-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, ULCGh7lqCrwbPvpu50NjHaeOsy0DPie6r3Lg0xSD+byufubpo7yvZnF9w5DX/yMT 6BTofpIDwNKCQlMAw/wnCg== 0000950130-00-001169.txt : 20000313 0000950130-00-001169.hdr.sgml : 20000313 ACCESSION NUMBER: 0000950130-00-001169 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000310 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 042912220 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-03420 FILM NUMBER: 565060 BUSINESS ADDRESS: STREET 1: 6803 S TUCSON WAY CITY: ENGLEWOOD STATE: CO ZIP: 80112 BUSINESS PHONE: 3036713200 MAIL ADDRESS: STREET 1: 3410 SOUTH GALENA STREET 3RD FL STREET 2: 3410 SOUTH GALENA STREET 3RD FL CITY: DENVER STATE: CO ZIP: 80231 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 N-30D 1 BOND FUND A/R (12/31/99) [GRAPHIC] Annual Report December 31, 1999 Oppenheimer Bond Fund [LOGO] OppenheimerFunds(R) The Right Way to Invest - -------------------------------------------------------------------------------- REPORT HIGHLIGHTS - -------------------------------------------------------------------------------- Strong performance from corporate bonds during the first half of the year was largely offset by weak market conditions during the second half. Because of their high yields and low prices in the wake of 1998's financial crises, we focused primarily on corporate bonds throughout the year. CONTENTS
1 President's Letter Average Annual Total Returns 3 An Interview For the 1-Year with Your Fund's Ended 12/31/99* Period Managers Class A Without With 8 Fund Performance Sales Chg. Sales Chg. ------------------------------------ -1.65% -6.32% 14 Financial Class B Statements Without With Sales Chg. Sales Chg. ----------------------------------- -2.48% -7.07% 46 Independent Auditors' Report Class C Without With 47 Federal Income Tax Information Sales Chg. Sales Chg. ---------------------------------- -2.47% -3.39% 48 Officers and Trustees Class Y Without With 49 OppenheimerFunds Sales Chg. Sales Chg. Family ----------------------------------- -1.37% -1.37%
------------------ Not FDIC Insured. No Bank Guarantee. May Lose Value. ------------------ *See page 12 for further details. - -------------------------------------------------------------------------------- PRESIDENT'S LETTER - -------------------------------------------------------------------------------- Dear shareholder, [PHOTO APPEARS HERE] James C. Swain Chairman Oppenheimer Bond Fund [PHOTO APPEARS HERE] Bridget A. Macaskill President Oppenheimer Bond Fund Whenever a new year begins--let alone a new decade or century--it makes sense to pause a moment to assess where we've been and where we're going. In retrospect, U.S. stocks and bonds in 1999 were subject to sudden and substantial swings in investor sentiment because of economic uncertainty. When the year began, investors were concerned that growth in the United States might slow in response to economic weakness overseas. At mid-year, investors were concerned that the economy was too strong, potentially rekindling inflationary pressures. Yet, by year end, it became clearer that while the U.S. economy grew robustly in 1999, inflation remained at low levels. Indeed, investors appeared more comfortable with the economy after the Federal Reserve Board demonstrated its inflation-fighting resolve by raising interest rates three times between June and November. As is normal in a rising interest-rate environment, bond prices generally declined in 1999, led lower by U.S. Treasury bonds. In the stock market, while most major indices advanced, strong performance was mostly limited to a handful of large-capitalization growth companies, principally in the technology arena. Smaller and value-oriented stocks provided particularly lackluster returns, and overall, foreign stocks outperformed U.S. stocks in 1999. Looking forward, we expect the U.S. economy to remain on a moderate- growth, low-inflation course. As recent revisions of 1999's economic statistics demonstrated, the economy has defied many analysts' forecasts by growing at a strong rate, which should be positive for the bond market. Similarly, positive economic forces could help the stock market's performance broaden to include value-oriented and smaller stocks. 1 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- PRESIDENT'S LETTER - -------------------------------------------------------------------------------- We see particularly compelling opportunities outside of the U.S. market. Many foreign stocks also ended 1999 more attractively valued than large-cap U.S. stocks, and economic trends in overseas markets could lead to higher stock prices. In Europe, corporate restructuring has just begun, giving companies there the same potential for cost-cutting and productivity improvements that U.S. companies enjoyed 10 years ago. In Japan and Asia, economic recovery is expected to gain strength, which could allow stocks to rally from relatively low levels. Another 1999 trend that should remain in force in 2000 is the growth of businesses related to the Internet. The rise of e-commerce has been good for consumers and the economy because of greater price competition, which has helped keep inflation under control. The Internet has also been good for investors, as even companies with no earnings have seen their stock prices soar. Clearly, while the Internet is here to stay, not all "dot-com" companies will survive, and many of these high-flying Internet stocks will eventually--and perhaps very suddenly--return to more reasonable levels. The long--term winners are most likely to be companies that support the Internet's growth with content or infrastructure. What else is in store for investors in 2000? While we do not have an infallible crystal ball, we believe that in almost any investment environment, consistent success stems from an unwavering focus on fundamental investment principles such as maintaining a long-term perspective, using diversification to manage risks, and availing oneself of the services of a knowledgeable financial advisor. Indeed, these principles serve as the foundation for every investment we offer, helping to make OppenheimerFunds The Right Way to Invest in 2000 and beyond. Sincerely, /s/ James C.Swain /s/ Bridget A. Macaskill James C. Swain Bridget A. Macaskill January 24,2000 These general market views represent opinions of OppenheimerFunds,Inc. and are not intended to predict or depict performance of any particular fund. Specific discussion, as it applies to your Fund, is contained in the pages that follow. 2 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- AN INTERVIEW WITH YOUR FUND'S MANAGERS - -------------------------------------------------------------------------------- [PHOTO APPEARS HERE] Portfolio Management Team (l to r) David Negri John Kowalik How did Oppenheimer Bond Fund perform over the fiscal year that ended December 31, 1999? A. We were disappointed with the Fund's performance in a very challenging investment environment. During much of the year, stronger-than-expected economic growth in both domestic and overseas markets fueled investors' concerns that inflationary pressures might re-emerge. As a result, interest rates and most bond yields rose. Because bond yields and prices move in opposite directions, higher interest rates eroded the value of many fixed income securities. However, because we took advantage of low prices early in the year, the Fund benefited from our focus on corporate securities and other higher yielding bonds. During the first half of the year, price erosion was less severe for corporate bonds than it was for U.S. Treasury bonds.During the second half of the year, our holdings of corporate securities provided above-average yields, which partially offset renewed price declines caused primarily by Y2K-related concerns. What economic forces prevailed when the reporting period began? When the reporting period began, the U.S. bond market had just emerged from virtually unprecedented turmoil. The global credit and currency crisis had caused U.S. and foreign investors to flock to U.S. Treasury securities as a way to avoid riskier types of bonds such as corporate securities. The effects of the global financial crisis were intensified by the failure of a large U.S. hedge fund, which was forced to sell bonds into a marketplace with few buyers, causing virtually all bond prices except U.S. Treasury securities to decline sharply. 3 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- AN INTERVIEW WITH YOUR FUND'S MANAGERS - -------------------------------------------------------------------------------- How did investors and economic policy makers respond to the bond market's problems? Central banks throughout the world, including the U.S. Federal Reserve Board, responded to last fall's market crisis by reducing short-term interest rates. This strategy appears to have worked, as evidence emerged soon after the start of 1999 that the crisis was easing. With their recession-related concerns largely resolved, investors once again became comfortable with riskier, higher yielding fixed income securities during the first four months of the year. As a result, prices of U.S. Treasury securities declined. However, the flow of money back into corporate and mortgage-related securities helped support a rally in these bonds'prices. Beginning in May, however, prices of higher yielding bonds began to decline again because of Y2K-related concerns. Many issuers of corporate bonds decided to "play it safe" by issuing bonds in the spring that they otherwise would have issued closer to year-end. This sudden flood of supply caused corporate bond prices to weaken. Prices, while volatile, generally remained low through the end of the year because of decreased demand from investors who were also concerned about Y2K effects. 4 OPPENHEIMER BOND FUND Average Annual Total Returns For the Periods Ended 12/31/99(1) Class A 1-Year 5-Year 10-Year - ------------------------------------------ - -6.32% 5.96% 6.48% Class B Since 1-Year 5-Year Inception - ------------------------------------------ - -7.07% 5.86% 4.51% Class C Since 1-Year 5-Year Inception - ------------------------------------------ - -3.39% N/A 4.29% Class Y Since 1-Year 5-Year Inception - ------------------------------------------ - -1.37% N/A 1.76% - ------------------------------------------ Standardized Yields(2) For the 30 Days Ended 12/31/99 - ------------------------------------------ Class A 6.84% - ------------------------------------------ Class B 6.44 - ------------------------------------------ Class C 6.44 - ------------------------------------------ Class Y 7.64 - ------------------------------------------ Why did the Federal Reserve Board raise interest rates in the second half of 1999? During the summer and fall of 1999, the Federal Reserve reversed its course by raising short-term interest rates three times, effectively offsetting all of last fall's rate reductions. They took this action primarily because of concerns that the U.S. economy might be growing too fast, potentially reigniting inflationary pressures. These concerns about economic overheating stood in stark contrast to the fears of economic weakness that prevailed at the start of the year. While the U.S. economy continued to grow robustly throughout the year, the inflation rate remained low. Many economists attribute the unusual absence of inflationary pressures in a fast-growing economy to productivity improvements and intensified competition among companies doing business in global markets. How was the Fund managed in this environment? When the period began, we took advantage of the bond market's weakness and purchased corporate bonds that we believed had been more severely punished than circumstances warranted. As it turned out, recovery from last year's market crises generally offset the price erosion caused by higher interest rates over the first half of the year, enabling the Fund to benefit from the relatively high yields these securities provided. 1. See page 12 for further details. 2. Standardized yield is based on net investment income for the 30-day period ended December 31, 1999. Falling share prices will tend to artificially raise yields. 5 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- AN INTERVIEW WITH YOUR FUND 'S MANAGERS - -------------------------------------------------------------------------------- When the bond market weakened during the period of heavy issuance in the spring and summer, we maintained our emphasis on corporate securities and other higher yielding bonds. Although this stance contributed to higher-than-normal volatility within the Fund, we were able to lock in prevailing high yields. In what areas of the bond market did you find attractive values? Corporate bonds rated below investment grade, also called high yield bonds, provided particularly attractive values early in the year. In fact, the high yield market provided higher returns than most other sectors during the reporting period, helping us enhance the Fund's overall yield. Within the investment grade corporate bond sector, we emphasized longer maturity securities, including 30-year bonds. We even purchased a few 100-year bonds from large, well-known companies because of their higher yields. During the second half of the reporting period, after Y2K concerns caused corporate bond prices to fall, we found particularly attractive values in fixed income securities issued by insurance companies. By year-end, these bonds had appreciated to fair value, in our opinion. 3. Portfolio is subject to change. Percentages are based on total market value of investments as of December 31, 1999. Average credit quality and rating allocations include rated securities and those not rated by a national rating organization (currently 15.8% of total investments) but to which ratings given above have been assigned by the Manager for internal purposes as being comparable, in the Manager's judgment, to securities rated by a rating agency in the same category. Under normal market conditions, the Fund invests at least 65% of its assets in investment grade securities. Securities rated below investment grade (up to 35% of Fund's assets) carry a greater risk of default. While the Fund has generally invested under 10% of its assets in foreign securities, which are subject to exchange rate and political uncertainties, it is not restricted to any amount by prospectus. 6 OPPENHEIMER BOND FUND Credit Allocation(3) . Treasury/ Agency 19.9% . AAA/AA 1.8 . A/BBB 55.4 . BB/B 21.3 . CCC/C 0.9 Other Securities 0.7 We have also maintained a modest position in highly liquid U.S. Treasury securities in order to take advantage of any Y2K-related opportunities that may arise. In our view, the Fund's broadly diversified portfolio positions us well for the rally we expect after 2000 begins and Y2K fears dissipate. Taking advantage of such opportunities is what makes Oppenheimer Bond Fund an important part of The Right Way to Invest. Corporate Bonds & Notes--Top Ten Sectors/4/ - --------------------------------------------------------------------- Financial 46.2% - --------------------------------------------------------------------- Service 9.1 - --------------------------------------------------------------------- Retail 7.5 - --------------------------------------------------------------------- Media/Entertainment: Cable/Wireless Video 5.7 - --------------------------------------------------------------------- Utility 4.1 - --------------------------------------------------------------------- Energy 3.7 - --------------------------------------------------------------------- Housing 3.3 - --------------------------------------------------------------------- Transportation 2.8 - --------------------------------------------------------------------- Media/Entertainment: Telecommunications 2.7 - --------------------------------------------------------------------- Media/Entertainment: Wireless Communications 2.0 - --------------------------------------------------------------------- Top Five Holdings by Issuer/5/ - --------------------------------------------------------------------- U.S. Treasury 7.7% - --------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 6.7 - --------------------------------------------------------------------- Federal National Mortgage Assn. 3.9 - --------------------------------------------------------------------- Conseco, Inc. 3.2 - --------------------------------------------------------------------- Nordbanken AB 2.6 4. Portfolio is subject to change. Percentages are as of December 31, 1999, and are based on total market value of corporate bonds and notes. 5. Portfolio is subject to change. Percentages are as of December 31, 1999, and are based on total market value of investments. 7 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- FUND PERFORMANCE - -------------------------------------------------------------------------------- How has the Fund performed? Below is a discussion, by the Manager, of the Fund's performance during its fiscal year ended December 31, 1999, followed by a graphical comparison of the Fund's performance to an appropriate broad-based market index. Management's discussion of performance. During the Fund's fiscal year that ended December 31, 1999, Oppenheimer Bond Fund's performance was strongly influenced by adverse economic and market conditions, including inflation fears, rising interest rates and Y2K-related concerns. However, the deleterious effects of these influences were partly offset by the management team's focus on corporate bonds, including high yield bonds. In the portfolio managers' opinion, many corporate bonds represented attractive values early in the year, and the Fund subsequently benefited from this market sector's rally. Later in the year, when corporate bond issuance patterns were disrupted by Y2K-related concerns, cor- porate bonds' relatively high yields helped cushion the Fund from the effects of falling prices. The Fund's portfolio holdings, allocations and investment style are subject to change. Comparing the Fund's performance to the market. The graphs that follow show the performance of a hypothetical $10,000 investment in each Class of the Fund held until December 31, 1999. In the case of Class A shares, performance is measured over a 10-year period. In the case of Class B shares, performance is measured from the inception of the class on May 3, 1993. In the case of Class C shares, performance is measured from the inception of the class on July 11, 1995. In the case of Class Y shares, performance is measured from the inception of the class on April 27, 1998. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B and Class C shares, and reinvestments of all dividends and capital gains distributions. 8 OPPENHEIMER BOND FUND The Fund's performance is compared to the performance of the Lehman Brothers Corporate Bond Index, a broad-based, unmanaged index of publicly issued nonconvertible investment grade corporate debt of U.S. issuers, widely recognized as a measure of the U.S. fixed-rate corporate bond market. Index performance reflects the reinvestment of income but does not consider the effect of transaction costs, and none of the data in the graphs shows the effect of taxes. The Fund's performance reflects the effects of the Fund's business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the investments in the index. 9 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- FUND PERFORMANCE - -------------------------------------------------------------------------------- Class A Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: Oppenheimer Bond Fund (Class A) and Lehman Brothers Corporate Bond Index [LINE GRAPH] Average Annual Total Return of Class A Shares of the Fund at 12/31/99/1/ 1-Year -6.32% 5-Year 5.96% 10-Year 6.48% Class B Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: Oppenheimer Bond Fund (Class B) and Lehman Brothers Corporate Bond Index [LINE GRAPH] Average Annual Total Return of Class B Shares of the Fund at 12/31/99/1/ 1-Year -7.07% 5-Year 5.86% Life 4.51% 10 OPPENHEIMER BOND FUND Class C Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: Oppenheimer Bond Fund (Class C) and Lehman Brothers Corporate Bond Index [LINE GRAPH] Average Annual Total Return of Class C Shares of the Fund at 12/31/99/1/ 1-Year -3.39% Life 4.29% Class Y Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: Oppenheimer Bond Fund (Class Y) and Lehman Brothers Corporate Bond Index [LINE GRAPH] Average Annual Total Return of Class Y Shares of the Fund at 12/31/99/1/ 1-Year -1.37% Life 1.76% The performance information for the Lehman Brothers Corporate Bond Index begins on 12/31/89 for Class A, 4/30/93 for Class B,6/30/95 for Class C and 4/30/98 for Class Y. 1. See page 12 for further details. Past performance is not predictive of future performance. Graphs are not drawn to same scale. 11 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES - -------------------------------------------------------------------------------- In reviewing performance and rankings, please remember that past performance does not guarantee future results. Investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund's performance may from time to time be subject to substantial short-term changes, particularly during periods of market or interest rate volatility. For updates on the Fund's performance, please contact your financial advisor, call us at 1.800.525.7048 or visit our website, www.oppenheimerfunds.com. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Class A shares were first publicly offered on 4/15/88.The Fund's maximum sales charge for Class A shares was lower prior to 3/29/91, so actual performance may have been higher. Class A returns include the current maximum initial sales charge of 4.75%. Class B shares of the Fund were first publicly offered on 5/3/93. Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 1% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the "life of class" return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge. Class C shares of the Fund were first publicly offered on 7/11/95. Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. Class Y shares of the Fund were first publicly offered on 4/27/98. Class Y shares are offered only to certain institutional investors under special agreement with the Distributor. An explanation of the different performance calculations is in the Fund's prospectus. 12 OPPENHEIMER BOND FUND Financials 13 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS December 31,1999 - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 Asset-Backed Securities--0.1% Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates, Series 1997-1, Cl.A, 6.25%, 8/25/05 $ 125,000 $ 121,796 - ---------------------------------------------------------------------------------------------------------------------- IROQUOIS Trust, Asset-Backed Amortizing Nts., Series 1997-2, Cl.A, 6.752%, 6/25/07 /2/ 120,855 118,429 - ---------------------------------------------------------------------------------------------------------------------- Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.: Series 1996-A, Cl.A-4, 5.85%, 7/15/01 14,925 14,883 Series 1997-A, Cl.A-5, 6.80%, 2/15/05 150,000 149,203 ---------------- Total Asset-Backed Securities (Cost $410,496) 404,311 ======================================================================================================================= Mortgage-Backed Obligations--32.3% - ---------------------------------------------------------------------------------------------------------------------- Government Agency--12.1% - ---------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored--10.5% Federal Home Loan Mortgage Corp., Certificates of Participation: 9%, 3/1/17 240,534 250,779 Series 17-039, 13.50%, 11/1/10 24,430 27,510 Series 17-094, 12.50%, 4/1/14 10,945 12,136 - ---------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates: Series 151, Cl.F, 9%, 5/15/21 528,711 546,223 Series 1343, Cl.LA, 8%, 8/15/22 1,600,000 1,616,496 Series 1711, Cl.EA, 7%, 3/15/24 200,000 193,312 Series 1714, Cl.M, 7%, 8/15/23 1,000,000 972,500 - ---------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg Participation Certificates: 6%, 3/1/09 198,727 191,520 Series 1843, Cl.VB, 7%, 4/15/03 85,000 85,000 Series 1849, Cl.VA, 6%, 12/15/10 150,528 148,787 - ---------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 850,000 797,665 2054, Cl.TE, 6.25%, 4/15/24 - ---------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest Only Stripped Mtg.-Backed Security: Series 194, Cl.IO, 10.159%, 4/1/283 8,238,932 2,754,249 Series 197, Cl.IO, 11.419%, 4/1/283 7,759,157 2,540,518 Series 202, Cl.IO, 10.115%, 4/1/293 15,957,578 5,482,924 Series 202, Cl.IO, 10.086%, 4/1/293 10,224,316 3,513,011 Series 1583, Cl.IC, 12.702%, 1/15/203 293,501 24,672 Series 1661, Cl.PK, 14.096%, 11/15/063 223,834 6,715 Series 2178, Cl.PI, 10.359%, 8/15/293 13,825,000 3,305,039 - ---------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 6%, 12/1/03 111,392 109,315 6.50%, 4/1/26 138,138 131,016 7%, 4/1/00-11/1/25 564,492 554,952 7.50%, 2/1/08-3/1/08 269,275 270,959 11%, 7/1/16 2,044,449 2,235,319
14 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - ---------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored Continued Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G,8%,3/25/22 $ 540,000 $ 546,410 Trust 1993-190, Cl. Z,5.85%,7/25/08 83,403 82,726 - ---------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd.Mtg.Pass-Through Certificates, 8%, 8/1/17 183,902 185,361 - ---------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1995-4, Cl. PC,8%,5/25/25 869,210 869,210 - ---------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security, Trust 294, Cl.2,10.581%-17.584%, 2/1/28 /3/ 24,433,603 8,036,365 ---------- 35,490,689 - ---------------------------------------------------------------------------------------------------------------------- GNMA/Guaranteed--1.6% Government National Mortgage Assn.: 6.625%, 7/20/27 103,508 104,301 7%, 7/15/09-7/20/25 587,447 589,068 8%, 6/15/05-8/15/28 3,673,328 3,717,129 9%, 2/15/09-6/15/09 200,568 211,439 10%, 11/15/09 157,183 168,020 10.50%, 12/15/17-5/15/21 184,040 200,519 11%, 10/20/19 398,598 437,431 12%, 5/15/14 885 991 13%, 12/15/14 17,969 20,530 ---------- 5,449,428 - ---------------------------------------------------------------------------------------------------------------------- Private--20.2% - ---------------------------------------------------------------------------------------------------------------------- Commercial--17.0% AMRESCO Commercial Mortgage Funding I Corp., Multiclass Mtg Pass-Through Certificates, Series 1997-C1, Cl. G, 7%, 6/17/29 /2/ 150,000 115,406 - ---------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1996-D3, Cl.A5, 8.142%, 10/13/26 /4/ 800,000 705,500 Series 1996-MD6, Cl.A5, 7.163%, 11/13/26 /4/ 2,000,000 1,903,750 Series 1997-D4, Cl.B1, 7.525%, 4/14/29 /4/ 333,000 237,471 Series 1997-D4, Cl.B2, 7.525%, 4/14/29 /4/ 333,000 231,019 Series 1997-D4, Cl.B3, 7.525%, 4/14/29 /4/ 334,000 210,420 Series 1997-D5, Cl.A6, 7.186%, 2/14/41 /4/ 1,500,000 1,213,594 Series 1997-D5, Cl.B1, 6.93%, 2/14/41 2,000,000 1,326,562 Series 1998-MD6, Cl.A3, 7.227%, 3/17/28 /4/ 2,625,000 2,362,500 - ---------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D5, Cl.PS1, 8.181%, 2/14/41/3/ 6,085,933 520,157 - ---------------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 9.593%, 6/22/24 /2,3/ 12,948,710 511,879 - ---------------------------------------------------------------------------------------------------------------------- CBA Mortgage Corp., Mtg. Pass-Through Certificates, Series 1993-C1, Cl.E, 6.72%, 12/25/03 /2,4/ 250,000 214,922 - ---------------------------------------------------------------------------------------------------------------------- CMC Securities Corp. I, Collateralized Mtg. Obligations, Series 1993-D, Cl. D-3, 10%, 7/25/23 51,336 50,919
15 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 - ---------------------------------------------------------------------------------------------- Commercial Continued Commercial Mortgage Acceptance Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1996-C1 ,Cl.X-2,22.983%, 12/25/20 /23/ $18,568,607 $ 232,108 - ---------------------------------------------------------------------------------------------- Commercial Mortgage Asset Trust, Series 1999-C1,Cl.C, 7.35%, 8/17/13 5,250,000 4,803,750 - ---------------------------------------------------------------------------------------------- CRIIMI MAE Trust I, Commercial Mortgage Trust, Series 1998-C1, Cl.A1,7%, 11/2/06 /2/ 1,812,000 1,603,054 - ---------------------------------------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Mtg.Pass-Through Certificates, Series 1997-C2, Cl.F, 6.85%, 12/17/07 1,750,000 1,645,000 - ---------------------------------------------------------------------------------------------- FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1994-C1: Cl.2-D, 8.70%, 9/25/25 1,000,000 965,000 Cl.2-E, 8.70%, 9/25/25 1,000,000 974,375 - ---------------------------------------------------------------------------------------------- First Union-Lehman Brothers Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates,Series 2,000,000 1,568,750 1998-C2, Cl.E, 6.778%, 5/18/13 - ---------------------------------------------------------------------------------------------- General Motors Acceptance Corp., Collateralized Mtg. Obligations: Series 1997-C2, Cl.D,7.192%, 1/15/08 1,500,000 1,312,500 Series 1997-C2, Cl.F, 6.75%, 4/16/29 1,000,000 600,312 Series 1998-C1, Cl.E,7.088%, 3/15/11 /4/ 1,500,000 1,332,656 - ---------------------------------------------------------------------------------------------- GS Mortgage Securities Corp.II, Commercial Mtg. Pass-Through Certificates, Series 1997-CL1,Cl.F: 7.155%, 7/13/30 /4/ 1,000,000 936,875 7.625%, 7/13/30 /4/ 1,000,000 869,687 - ---------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg.Pass-Through Certificates: Series 1996-C1, Cl.D,7.42%, 4/25/28 1,500,000 1,425,703 Series 1997-C2, Cl.D,7.004%, 12/10/29 /4/ 1,000,000 904,375 - ---------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl.D1, 7.421%, 2/15/28 /24 / 1,000,000 953,906 Series 1996-C1, Cl.E, 7.421%, 3/15/06 /24/ 1,100,000 901,828 Series 1997-HF1, Cl.F,6.86%, 2/15/10 /2/ 225,000 172,266 Series 1997-RR,Cl.E,7.718%, 4/30/39 /24/ 400,021 246,951 Series 1997-RR, Cl.F, 7.649%, 4/30/39 /2/ 400,021 204,136 - ---------------------------------------------------------------------------------------------- Nations Commercial Corp., NB Commercial Mtg. Pass-Through Certificates, Series DMC, Cl.B,8.562%, 8/12/11 /2/ 3,000,000 2,715,938 - ---------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl.ECFD, 8.75%, 12/25/28 8,285,263 8,049,651 - ---------------------------------------------------------------------------------------------- Option One Mortgage Trust, Collateralized Mtg. Obligations: Series 1999-1A, 10.06%, 3/1/29 /2/ 3,314,686 3,267,038 Series 1999-3, Cl.BB, 10.80%, 12/15/29 3,371,745 3,348,565 - ---------------------------------------------------------------------------------------------- PNC Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1995-2,Cl.A3, 6.50%, 2/25/12 20,775 20,692 - ---------------------------------------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates: Series 1994-C1, Cl.C, 8%, 6/25/26 1,160,794 1,154,084 Series 1995-C1, Cl.D, 6.90%, 2/25/27 2,500,000 2,429,492 - ---------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-C1, Cl.E, 9.184%, 1/20/06 700,000 640,938
16 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - ---------------------------------------------------------------------------------------------- Commercial Continued Structured Asset Securities Corp., Multiclass Pass-Through Certificates: Series 1996-C3,Cl.D,8%,6/25/30 /2/ $ 2,104,086 $ 2,100,799 Series 1999-1,10%,8/25/28 2,668,613 2,638,592 ---------- 57,623,120 - ---------------------------------------------------------------------------------------------- Multi-Family--0.6% Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1994-10,Cl.A3,6%,5/25/09 250,000 243,750 - ---------------------------------------------------------------------------------------------- Mortgage Capital Funding, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-MC1,Cl.F,7.452%,5/20/07 /2/ 254,890 192,840 - ---------------------------------------------------------------------------------------------- Mortgage Capital Funding, Inc., Multifamily Mtg. Pass-Through Certificates, Series 1996-MC1,Cl.G,7.15%,6/15/06 /6/ 2,250,000 1,736,719 --------- 2,173,309 - ---------------------------------------------------------------------------------------------- Other--0.0% Salomon Brothers Mortgage Securities VI, Interest-Only Stripped Mtg.-Backed Security, Series 1987-3,Cl.B,16.341%,10/23/17 /3/ 57,595 15,677 - ---------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Principal-Only Stripped Mtg.-Backed Security,Series 1987-3,Cl.A,6.717%,10/23/17 /7/ 85,230 68,877 --------- 84,554 - ---------------------------------------------------------------------------------------------- Residential--2.6% CS First Boston Mortgage Securities Corp.,Mtg.Pass-Through Certificates: Series 1,000,000 814,375 1997-C1,Cl.E,7.50%,3/1/11 /2/ Series 1998-C1,Cl.F,6%,5/17/40 /2/ 2,500,000 1,400,000 Series 1999-C1,Cl.C,7.682%,9/15/09 /4/ 3,500,000 3,436,562 - ---------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,Series 1997: Cl.D,8.126%,5/25/08 /2,4/ 750,000 585,000 Cl.E,8.126%,2/25/11 /2,4/ 750,000 502,500 - ---------------------------------------------------------------------------------------------- GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg.Investment Conduit Pass-Through Certificates, Series 198,885 175,330 1994-7,Cl.A18,6%,2/25/09 - ---------------------------------------------------------------------------------------------- NationsBank Trust, Lease Pass-Through Certificates, Series 1997A-1, 7.442%,1/10/11 /4/ 500,000 477,813 - ---------------------------------------------------------------------------------------------- Residential Funding Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, Series 1993-S10,Cl.A9,8.50%,2/25/23 78,503 79,019 - ---------------------------------------------------------------------------------------------- Ryland Mortgage Securities Corp. III, Sub. Bonds, Series 1992-A, Cl.1A,8.259%,3/29/30 /4/ 204,852 201,908 - ---------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl.1,6.581%,4/25/26 /2/ 1,894,500 1,249,778 ----------- 8,922,285 ----------- Total Mortgage-Backed Obligations (Cost $113,464,973) 109,743,385 -----------
17 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 - -------------------------------------------------------------------------------------------------- U.S. Government Obligations--7.6% U.S. Treasury Bonds,5.25%,2/15/29 $ 1,650,000 $ 1,365,375 - -------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 5.875%, 8/15/09 /5,8/ 18,850,000 18,266,837 6.25%, 8/31/02 6,200,000 6,198,066 -------------- Total U.S. Government Obligations (Cost $26,252,451) 25,830,278 - -------------------------------------------------------------------------------------------------- Foreign Government Obligations--1.3% Israel (State of) Bonds,7.25%,12/15/28 (Cost $4,917,225) 5,250,000 4,516,186 - -------------------------------------------------------------------------------------------------- Loan Participations--0.7% Ferrell Companies,Inc.,10.18% Sr.Sec.Nts.,7/17/06 /2,4/ 1,700,000 1,691,500 - -------------------------------------------------------------------------------------------------- Shoshone Partners Loan Trust Sr.Nts.,7.955%,4/28/02 (representing a basket of reference loans and a total return swap between Chase Manhattan Bank and the Trust) /2,4/ 750,000 736,900 -------------- Total Loan Participations (Cost $2,434,766) 2,428,400 - -------------------------------------------------------------------------------------------------- Corporate Bonds and Notes--51.9% - -------------------------------------------------------------------------------------------------- Aerospace/Defense--0.7% Amtran,Inc.,9.625% Nts.,12/15/05 200,000 193,000 - -------------------------------------------------------------------------------------------------- Atlas Air, Inc.: 8.01% Nts.,1/2/10 937,399 880,861 9.375% Sr.Unsec.Nts.,11/15/06 1,000,000 970,000 10.75% Sr.Nts.,8/1/05 125,000 128,125 - -------------------------------------------------------------------------------------------------- SC International Services,Inc.,9.25% Sr. Sub. Nts., Series B,9/1/07 100,000 94,500 -------------- 2,266,486 - -------------------------------------------------------------------------------------------------- Chemicals--0.9% Equistar Chemicals LP,7.55% Unsec.Debs.,2/15/06 1,750,000 1,422,204 - -------------------------------------------------------------------------------------------------- Lyondell Chemical Co.,9.875% Sec. Nts., Series B,5/1/07 350,000 358,750 - -------------------------------------------------------------------------------------------------- Morton International,Inc.,9.25% Credit Sensitive 85,000 94,429 Nts.,6/1/20 - -------------------------------------------------------------------------------------------------- NLIndustries,Inc.,11.75% Sr.Sec.Nts.,10/15/03 492,000 511,680 - -------------------------------------------------------------------------------------------------- Pioneer Americas Acquisition Corp.,9.25% Sr.Nts.,6/15/07 100,000 79,500 - -------------------------------------------------------------------------------------------------- Polymer Group,Inc.,9% Sr.Sub.Nts.,7/1/07 150,000 146,250 - -------------------------------------------------------------------------------------------------- PPG Industries,Inc.,9% Debs.,5/1/21 85,000 95,202 - -------------------------------------------------------------------------------------------------- Sovereign Specialty Chemicals,Inc.,9.50% Sr. Unsec. Sub. Nts., Series B,8/1/07 175,000 176,750 - -------------------------------------------------------------------------------------------------- Sterling Chemicals,Inc.,12.375% Sr. Sec. Nts., Series 100,000 104,000 B,7/15/06 - -------------------------------------------------------------------------------------------------- ZSC Specialty Chemical plc,11% Sr.Nts.,7/1/09 /6/ 200,000 208,500 --------- 3,197,265
18 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - --------------------------------------------------------------------------------------- Consumer Durables--0.1% Icon Health & Fitness,Inc.,12% Unsec.Nts.,7/15/05 /2/ $ 111,000 $ 61,050 - --------------------------------------------------------------------------------------- TAG Heuer International SA,12% Sr.Sub.Nts.,12/15/05 /2/ 370,000 405,735 ------- 466,785 - --------------------------------------------------------------------------------------- Consumer Non-Durables--0.2% Bell Sports,Inc.,11% Sr. Unsec. Sub. Nts., Series B,8/15/08 125,000 125,625 - --------------------------------------------------------------------------------------- Fruit of the Loom,Inc.,8.875% Sr.Unsec.Nts.,4/15/06 /9/ 50,000 2,750 - --------------------------------------------------------------------------------------- Kimberly-Clark Corp.,7.875% Debs.,2/1/23 85,000 83,530 - --------------------------------------------------------------------------------------- Phillips-Van Heusen Corp.,9.50% Sr.Unsec.Sub.Nts.,5/1/08 250,000 233,750 - --------------------------------------------------------------------------------------- Styling Technology Corp.,10.875% Sr.Unsec.Sub.Nts.,7/1/08 /2/ 145,000 51,475 ------- 497,130 - --------------------------------------------------------------------------------------- Energy--1.9% Eastern Energy Ltd.,6.75% Sr.Nts.,12/1/06 /6/ 2,000,000 1,858,902 - --------------------------------------------------------------------------------------- Gulf Canada Resources Ltd.,8.25% Sr.Nts.,3/15/17 75,000 65,474 - --------------------------------------------------------------------------------------- Louisiana Land & Exploration Co.,7.65% Debs.,12/1/23 100,000 94,432 - --------------------------------------------------------------------------------------- McDermott,Inc.,9.375% Nts.,3/15/02 100,000 102,305 - --------------------------------------------------------------------------------------- Murphy Oil Corp.,7.05% Sr.Unsec.Nts.,5/1/29 2,795,000 2,513,837 - --------------------------------------------------------------------------------------- Occidental Petroleum Corp.,11.125% Sr.Debs.,6/1/19 1,045,000 1,102,692 - --------------------------------------------------------------------------------------- Ocean Rig Norway AS,10.25% Sr.Sec.Nts.,6/1/08 200,000 167,000 - --------------------------------------------------------------------------------------- RBF Finance Co.,11% Sr.Sec.Nts.,3/15/06 245,000 262,150 - --------------------------------------------------------------------------------------- Stone Energy Corp.,8.75% Sr.Sub.Nts.,9/15/07 300,000 294,000 - --------------------------------------------------------------------------------------- Williams Holdings of Delaware,Inc.,6.25% Sr.Unsec.Debs.,2/1/06 100,000 93,014 --------- 6,553,806 - --------------------------------------------------------------------------------------- Financial--24.0% Aetna Services,Inc.,8% Debs.,1/15/17 553,000 531,682 - --------------------------------------------------------------------------------------- American General Institutional Capital B,8.125% Bonds, Series B,3/15/46 /6/ 75,000 75,103 - --------------------------------------------------------------------------------------- Astoria Capital Trust I,9.75% Gtd.Nts.,11/1/29 /6/ 1,750,000 1,734,105 - --------------------------------------------------------------------------------------- BHP Finance USA Ltd.,7.25% Nts.,3/1/16 3,500,000 3,149,356 - --------------------------------------------------------------------------------------- Capital One Financial Corp.,7.25% Nts.,12/1/03 50,000 48,939 - --------------------------------------------------------------------------------------- Chelsea GCA Realty Partner,Inc.,7.75% Unsec.Nts.,1/26/01 60,000 60,125 - --------------------------------------------------------------------------------------- Conseco,Inc.,9% Unsec.Nts.,10/15/06 10,500,000 10,888,563 - --------------------------------------------------------------------------------------- Dresdner Funding Trust II,8.151% Nts.,6/30/31 /6/ 7,000,000 6,608,329 - --------------------------------------------------------------------------------------- EOP Operating LP,7.50% Sr.Nts.,4/19/29 4,200,000 3,686,630 - --------------------------------------------------------------------------------------- First Industrial LP,7.15% Bonds,5/15/27 75,000 73,579 - --------------------------------------------------------------------------------------- HVB Fund Trust III,9% Bonds,10/22/31 /6/ 3,500,000 3,513,097
19 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 - ------------------------------------------------------------------------------------------------------- Financial Continued KBC Bank Fund Trust III,9.86% Bonds,11/29/49 /4,6/ $ 7,000,000 $ 7,257,229 - ------------------------------------------------------------------------------------------------------- Keycorp Capital III,7.75% Nts.,7/15/29 3,500,000 3,270,099 - ------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc.: 7.875% Sr.Nts.,11/1/09 4,550,000 4,548,671 8.80% Sr.Nts.,3/1/15 1,750,000 1,838,279 - ------------------------------------------------------------------------------------------------------- Liberty Financial Co.,7.625% Unsec.Debs.,11/15/28 3,500,000 3,203,847 - ------------------------------------------------------------------------------------------------------- Liberty Mutual Insurance Co.,7.697% Unsec.Nts.,10/15/2097 /6/ 9,000,000 7,544,376 - ------------------------------------------------------------------------------------------------------- Nordbanken AB,8.95% Bonds,11/29/49 /4,6/ 8,750,000 8,625,767 - ------------------------------------------------------------------------------------------------------- Ocwen Capital Trust I,10.875% Capital Nts.,8/1/27 /2/ 300,000 193,500 - ------------------------------------------------------------------------------------------------------- Rothmans Nederland Holdings BV,6.875% Sr.Unsec.Unsub.Nts.,5/6/08 7,250,000 6,538,050 - ------------------------------------------------------------------------------------------------------- Ryder System,Inc.,8.75% Debs., Series J,3/15/17 167,000 173,272 - ------------------------------------------------------------------------------------------------------- Safeco Capital Trust I,8.072% Nts.,7/15/37 4,000,000 3,529,144 - ------------------------------------------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust,9.75% Sr. Sec. Nts., Series B,4/1/08 435,000 399,656 - ------------------------------------------------------------------------------------------------------- Standard Chartered Nakornthon Bank,6.734% Unsec.Sub.Nts.,6/11/06 /2,4/ 4,000,000 3,840,000 - ------------------------------------------------------------------------------------------------------- Veritas Holdings,Inc.,9.625% Sr.Nts.,12/15/03 135,000 131,625 ---------- 81,463,023 - ------------------------------------------------------------------------------------------------------- Food & Drug--0.1% AmeriKing,Inc.,10.75% Sr.Nts.,12/1/06 160,000 148,000 - ------------------------------------------------------------------------------------------------------- Pathmark Stores,Inc.,12.625% Sub.Nts.,6/15/02 150,000 50,250 ------- 198,250 - ------------------------------------------------------------------------------------------------------- Food/Tobacco--0.2% B.A.T. Capital Corp.,6.66% Medium-Term Nts.,3/22/006 250,000 250,232 - ------------------------------------------------------------------------------------------------------- Canadaiqua Brands,Inc.,8.625% Sr.Unsec.Nts.,8/1/06 300,000 300,375 - ------------------------------------------------------------------------------------------------------- Purina Mills,Inc.,9% Sr.Unsec.Sub.Nts.,3/15/10 /9/ 100,000 25,500 - ------------------------------------------------------------------------------------------------------- SmithField Foods,Inc.,7.625% Sr.Unsec.Sub.Nts.,2/15/08 250,000 226,250 -------- 802,357 - ------------------------------------------------------------------------------------------------------- Forest Products/Containers--0.1% Riverwood International Corp.,10.625% Sr.Unsec.Nts.,8/1/07 200,000 207,000 - ------------------------------------------------------------------------------------------------------- U.S.Can Corp.,10.125% Sr. Sub. Nts., Series B,10/15/06 /2/ 250,000 256,250 -------- 463,250 - ------------------------------------------------------------------------------------------------------- Gaming/Leisure--0.9% Capstar Hotel Co.,8.75% Sr.Sub.Nts.,8/15/07 150,000 138,938 - ------------------------------------------------------------------------------------------------------- Casino Magic of Louisiana Corp.,13% First Mtg. Nts., Series B,8/15/03 235,000 266,431 - ------------------------------------------------------------------------------------------------------- Empress Entertainment,Inc.,8.125% Sr.Sub.Nts.,7/1/06 200,000 203,000 - ------------------------------------------------------------------------------------------------------- HMH Properties,Inc.,8.45% Sr. Nts., Series C,12/1/08 900,000 837,000 - ------------------------------------------------------------------------------------------------------- Horseshoe Gaming LLC,9.375% Sr.Sub.Nts.,6/15/07 100,000 100,000
20 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - -------------------------------------------------------------------------------------------------- Gaming/Leisure Continued Intrawest Corp.,9.75% Sr.Nts.,8/15/08 $ 250,000 $ 246,250 - -------------------------------------------------------------------------------------------------- Meristar Hospitality Corp.,8.75% Sr.Unsec.Sub.Nts.,8/15/07 700,000 647,500 - -------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 8.125% Sr.Nts.,1/1/06 200,000 195,000 8.75% Sr.Unsec.Sub.Nts.,1/1/09 100,000 99,000 - -------------------------------------------------------------------------------------------------- Premier Parks,Inc.,9.75% Sr.Nts.,6/15/07 200,000 200,000 - -------------------------------------------------------------------------------------------------- Station Casinos,Inc.,9.75% Sr.Sub.Nts.,4/15/07 150,000 151,500 --------- 3,084,619 - -------------------------------------------------------------------------------------------------- Healthcare--0.6% Columbia/HCA Healthcare Corp.,6.875% Nts.,7/15/01 160,000 155,792 - -------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II,7.875% Nts.,2/1/08 150,000 138,750 - -------------------------------------------------------------------------------------------------- HEALTHSOUTH Corp.,9.50% Sr.Sub.Nts.,4/1/01 500,000 494,479 - -------------------------------------------------------------------------------------------------- ICN Pharmaceutical,Inc.,8.75% Sr.Nts.,11/15/08 /6/ 265,000 254,400 - -------------------------------------------------------------------------------------------------- Imcera Group,Inc.,6% Nts.,10/15/03 500,000 482,258 - -------------------------------------------------------------------------------------------------- Oxford Health Plans,Inc.,11% Sr.Unsec.Nts.,5/15/05 250,000 241,250 - -------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.,8.625% Sr.Sub.Nts.,1/15/07 400,000 388,000 --------- 2,154,929 - -------------------------------------------------------------------------------------------------- Housing--1.7% Building Materials Corp. of America,8% Sr.Unsec.Nts.,12/1/08 200,000 182,000 - -------------------------------------------------------------------------------------------------- CB Richard Ellis Services,Inc.,8.875% Sr.Unsec.Sub.Nts.,6/1/06 250,000 223,750 - -------------------------------------------------------------------------------------------------- D.R.Horton,Inc.,8% Sr.Nts.,2/1/09 300,000 276,000 - -------------------------------------------------------------------------------------------------- Kimco Realty Corp.,6.875% Sr.Unsec.Nts.,2/10/09 4,900,000 4,482,902 - -------------------------------------------------------------------------------------------------- Nortek,Inc.: 9.125% Sr. Nts., Series B,9/1/07 250,000 243,125 9.25% Sr. Nts., Series B,3/15/07 450,000 441,000 --------- 5,848,777 - -------------------------------------------------------------------------------------------------- Information Technology--0.3% Details,Inc.,10% Sr. Sub. Nts., Series B,11/15/05 200,000 185,000 - -------------------------------------------------------------------------------------------------- Dyncorp,Inc.,9.50% Sr.Sub.Nts.,3/1/07 250,000 220,938 - -------------------------------------------------------------------------------------------------- Fisher Scientific International,Inc.,9% Sr.Unsec.Sub.Nts.,2/1/08 225,000 216,844 - -------------------------------------------------------------------------------------------------- Unisys Corp.,11.75% Sr.Nts.,10/15/04 300,000 329,250 --------- 952,032 - -------------------------------------------------------------------------------------------------- Manufacturing--0.3% Communications & Power Industries,Inc.,12% Sr. Sub. Nts., Series B,8/1/05 500,000 402,500 - -------------------------------------------------------------------------------------------------- Grove Worldwide LLC,9.25% Sr.Sub.Nts.,5/1/08 200,000 57,000 - -------------------------------------------------------------------------------------------------- Hydrochem Industrial Services,Inc.,10.375% Sr.Sub.Nts.,8/1/07 150,000 129,375
21 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 - -------------------------------------------------------------------------------------------------- Manufacturing Continued Roller Bearing Co. of America,Inc.,9.625% Sr.Sub.Nts.,Series B,6/15/07 $ 300,000 $ 273,000 --------- 861,875 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Broadcasting--0.9% AMFM Operating,Inc.,12.625% Debs.,10/31/06 /10/ 24,000 27,360 - -------------------------------------------------------------------------------------------------- Chancellor Media Corp.: 8.75% Sr. Unsec. Sub. Nts., Series B,6/15/07 1,200,000 1,215,000 9% Sr.Unsec.Sub.Nts.,10/1/08 800,000 836,000 - -------------------------------------------------------------------------------------------------- Emmis Communications Corp.,8.125% Sr. Unsec. Sub. Nts., Series B,3/15/09 300,000 286,500 - -------------------------------------------------------------------------------------------------- Young Broadcasting, Inc.: 8.75% Sr.Sub.Debs.,6/15/07 300,000 285,750 9% Sr. Sub. Nts., Series B,1/15/06 400,000 387,000 --------- 3,037,610 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Cable/Wireless Video--3.0% Adelphia Communications Corp.: 8.375% Sr. Nts., Series B,2/1/08 700,000 652,750 9.25% Sr.Nts.,10/1/02 150,000 150,000 - -------------------------------------------------------------------------------------------------- Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp.: 8.25% Sr.Unsec.Nts.,4/1/07 1,500,000 1,391,250 8.625% Sr.Unsec.Nts.,4/1/09 250,000 232,188 - -------------------------------------------------------------------------------------------------- CSC Holdings,Inc.,7.625% Sr.Unsec.Debs.,7/15/18 7,000,000 6,545,000 - -------------------------------------------------------------------------------------------------- EchoStar DBS Corp.,9.375% Sr.Unsec.Nts.,2/1/09 750,000 757,500 - -------------------------------------------------------------------------------------------------- Insight Midwest LP/Insight Capital,Inc.,9.75% Sr.Nts.,10/1/09 /6/ 300,000 311,250 ---------- 10,039,938 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Diversified Media--0.4% AMC Entertainment,Inc.,9.50% Sr.Unsec.Sub.Nts.,2/1/11 150,000 133,500 - -------------------------------------------------------------------------------------------------- Imax Corp.,7.875% Sr.Nts.,12/1/05 400,000 380,000 - -------------------------------------------------------------------------------------------------- Lamar Advertising Co.,8.625% Sr.Sub.Nts.,9/15/07 /2/ 400,000 394,000 - -------------------------------------------------------------------------------------------------- Lamar Media Corp.,9.625% Sr.Unsec.Sub.Nts.,12/1/06 150,000 153,750 - -------------------------------------------------------------------------------------------------- Mail-Well Corp.,8.75% Sr. Unsec. Sub. Nts., Series B,12/15/08 135,000 128,925 - -------------------------------------------------------------------------------------------------- SFX Entertainment, Inc.: 9.125% Sr. Unsec. Sub. Nts., 12/1/08 150,000 143,250 9.125% Sr. Unsec. Sub. Nts.,Series B, 2/1/08 125,000 118,438 --------- 1,451,863 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Telecommunications--1.4% Amazon.com,Inc.,0%/10% Sr.Unsec.Disc.Nts.,5/1/08 /11/ 200,000 128,000 - -------------------------------------------------------------------------------------------------- COLT Telecom Group plc, Units (each unit consists of $1,000 principal amount of 0%/12% sr.disc.nts.,12/15/06 and one warrant to purchase 7.8 ordinary shares) /11,12/ 350,000 355,250
22 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Telecommunications Continued Diamond Holdings plc,9.125% Sr.Nts.,2/1/08 $ 100,000 $ 99,500 - -------------------------------------------------------------------------------------------------- GST Telecommunications,Inc.,0%/13.875% Cv.Sr.Sub.Disc.Nts.,12/15/05 /6,11/ 100,000 112,000 - -------------------------------------------------------------------------------------------------- Intermedia Communications,Inc.,8.60% Sr. Unsec. Nts., Series B,6/1/08 400,000 368,000 - -------------------------------------------------------------------------------------------------- Metromedia Fiber Network,Inc.,10% Sr. Unsec. Nts., Series B,11/15/08 350,000 359,625 - -------------------------------------------------------------------------------------------------- NEXTLINK Communications, Inc.: 9% Sr.Nts.,3/15/08 150,000 141,750 9.625% Sr.Nts.,10/1/07 900,000 882,000 - -------------------------------------------------------------------------------------------------- NTL Communications Corp.,11.50% Sr. Unsec. Nts., Series B,10/1/08 400,000 436,000 - -------------------------------------------------------------------------------------------------- NTL,Inc.,10% Sr. Nts., Series B,2/15/07 100,000 103,250 - -------------------------------------------------------------------------------------------------- PSINet, Inc.: 10% Sr. Unsec. Nts., Series B,2/15/05 200,000 198,750 11.50% Sr.Unsec.Nts.,11/1/08 500,000 525,000 - -------------------------------------------------------------------------------------------------- Qwest Communications International,Inc.,0%/8.29% Sr. Unsec. Disc. Nts., Series B,2/1/08 /11/ 400,000 311,000 - -------------------------------------------------------------------------------------------------- Versatel Telecom International BV,11.875% Sr.Nts.,7/15/09 [EUR] 250,000 267,954 - -------------------------------------------------------------------------------------------------- Viatel,Inc.,11.25% Sr.Sec.Nts.,4/15/08 200,000 199,500 - -------------------------------------------------------------------------------------------------- WAM!NET,Inc.,0%/13.25% Sr. Unsec. Disc. Nts., Series B,3/1/05 /11/ 400,000 234,000 --------- 4,721,579 - -------------------------------------------------------------------------------------------------- Media/Entertainment-Wireless Communications--1.0% Arch Communications,Inc.,12.75% Sr.Nts.,7/1/07 100,000 79,625 - -------------------------------------------------------------------------------------------------- Dobson Communications Corp.,11.75% Sr.Nts.,4/15/07 200,000 227,000 - -------------------------------------------------------------------------------------------------- Geotek Communications,Inc.,12% Cv.Sr.Sub.Nts.,2/15/01 /9,13/ 25,000 156 - -------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd.,9.50% Sr.Nts.,1/15/06 100,000 90,500 - -------------------------------------------------------------------------------------------------- Omnipoint Corp.: 11.50% Sr.Nts.,9/15/09 /6/ 350,000 378,000 11.625% Sr.Nts.,8/15/06 60,000 63,900 11.625% Sr. Nts., Series A,8/15/06 200,000 213,000 - -------------------------------------------------------------------------------------------------- Orion Network Systems,Inc.,0%/12.50% Sr.Disc.Nts.,1/15/07 /11/ 200,000 93,000 - -------------------------------------------------------------------------------------------------- Pinnacle Holdings,Inc.,0%/10% Sr.Unsec.Disc.Nts.,3/15/08 /11/ 200,000 132,000 - -------------------------------------------------------------------------------------------------- Price Communications Wireless,Inc.,9.125% Sr. Sec. Nts., Series B,12/15/06 500,000 508,750 - -------------------------------------------------------------------------------------------------- Real Time Data Co.,11% Disc.Nts.,5/31/09 /6,10/ 394,554 379,419 - -------------------------------------------------------------------------------------------------- Rural Cellular Corp.,9.625% Sr. Sub. Nts., Series B,5/15/08 500,000 513,750 - -------------------------------------------------------------------------------------------------- SBA Communications Corp.,0%/12% Sr.Unsec.Disc.Nts.,3/1/08 /11/ 800,000 476,000 - -------------------------------------------------------------------------------------------------- Spectrasite Holdings,Inc.,0%/12% Sr.Disc.Nts.,7/15/08 /11/ 300,000 180,750 - -------------------------------------------------------------------------------------------------- VoiceStream Wireless Corp.,10.375% Sr.Nts.,11/15/09 /6/ 150,000 155,250 --------- 3,491,100
23 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 - --------------------------------------------------------------------------------------------- Metals/Minerals--1.0% AK Steel Corp.: 7.875% Sr.Unsec.Nts.,2/15/09 $ 500,000 $ 475,000 9.125% Sr.Nts.,12/15/06 1,840,000 1,881,400 - --------------------------------------------------------------------------------------------- Alcan Aluminum Ltd.,9.625% Debs.,7/15/19 /2/ 25,000 25,250 - --------------------------------------------------------------------------------------------- Great Lakes Carbon Corp.,10.25% Sr. Sub. Nts., Series B, 5/15/08 250,000 238,750 - --------------------------------------------------------------------------------------------- International Utility Structures,Inc.,10.75% Sr.Sub.Nts., 2/1/08 175,000 147,875 - --------------------------------------------------------------------------------------------- National Steel Corp.,9.875% First Mtg. Bonds, Series D, 3/1/09 200,000 207,000 - --------------------------------------------------------------------------------------------- P&L Coal Holdings Corp.,9.625% Sr. Sub. Nts., Series B, 5/15/08 300,000 297,000 --------- 3,272,275 - --------------------------------------------------------------------------------------------- Retail--3.9% Boyds Collection Ltd.(The), 9% Sr. Unsec. Sub. Nts., Series B, 5/15/08 390,000 372,450 - --------------------------------------------------------------------------------------------- Cooper Tire & Rubber Co., 8% Sr. Nts., 12/15/19 7,000,000 6,727,924 - --------------------------------------------------------------------------------------------- Eye Care Centers of America,Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 150,000 105,750 - --------------------------------------------------------------------------------------------- Finlay Enterprises,Inc.,9% Debs.,5/1/08 100,000 91,500 - --------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp.,8.375% Sr.Nts.,5/1/08 200,000 186,000 - --------------------------------------------------------------------------------------------- Home Interiors & Gifts,Inc.,10.125% Sr.Sub.Nts.,6/1/08 400,000 344,000 - --------------------------------------------------------------------------------------------- May Department Stores Co.,10.625% Debs.,11/1/10 405,000 493,310 - --------------------------------------------------------------------------------------------- Sherwin-Williams Co.,7.45% Debs.,2/1/2097 5,250,000 4,813,373 --------- 13,134,307 - --------------------------------------------------------------------------------------------- Service--4.7% Allied Waste North America,Inc.: 7.875% Sr.Unsec.Nts.,Series B,1/1/09 300,000 266,625 10% Sr.Sub.Nts.,8/1/09 /6/ 249,999 225,000 - --------------------------------------------------------------------------------------------- Arvin Industries,Inc.,6.75% Nts.,3/15/08 500,000 453,794 - --------------------------------------------------------------------------------------------- Harcourt General,Inc.,7.30% Sr.Debs.,8/1/2097 5,400,000 4,464,947 - --------------------------------------------------------------------------------------------- Philip Morris,Co.,Inc.,7.75% Unsec.Debs.,1/15/27 3,500,000 3,168,589 - --------------------------------------------------------------------------------------------- Protection One Alarm Monitoring,Inc.,7.375% Gtd.Sr.Unsec.Nts.,8/15/05 500,000 400,000 - --------------------------------------------------------------------------------------------- Safety-Kleen Corp.,9.25% Sr.Unsec.Nts.,5/15/09 500,000 486,250 - --------------------------------------------------------------------------------------------- Tyco International Group SA,6.875% Unsec.Unsub.Nts.,1/15/29 7,000,000 5,979,260 - --------------------------------------------------------------------------------------------- URS Corp.,12.25% Sr.Sub.Nts.,Series B,5/1/09 500,000 515,000 - --------------------------------------------------------------------------------------------- USI American Holdings,Inc.,7.25% Sr.Nts.,Series B,12/1/06 80,000 75,533 ---------- 16,034,998 - --------------------------------------------------------------------------------------------- Transportation--1.5% Canadian Pacific Ltd.,9.45% Debs.,8/1/21 1,000,000 1,131,460 - --------------------------------------------------------------------------------------------- Great Lakes Dredge & Dock Corp.,11.25% Sr.Unsec.Sub.Nts.,8/15/08 150,000 157,500 - --------------------------------------------------------------------------------------------- Hayes Wheels International,Inc.,11% Sr.Sub.Nts.,7/15/06 200,000 210,000 - --------------------------------------------------------------------------------------------- Johnson Controls,Inc.,7.70% Debs.,3/1/15 500,000 507,090
24 OPPENHEIMER BOND FUND
Face Market Value Amount/1/ See Note 1 - ---------------------------------------------------------------------------------------------------- Transportation Continued Kansas City Southern Industries,Inc.,6.625% Nts.,3/1/05 $ 750,000 $ 742,621 - ---------------------------------------------------------------------------------------------------- Key Plastics,Inc.,10.25% Sr.Sub.Nts.,Series B,3/15/07 200,000 77,000 - ---------------------------------------------------------------------------------------------------- Navigator Gas Transport plc: 10.50% First Priority Ship Mtg.Nts.,6/30/07 /6/ 400,000 186,000 Units (each unit consists of $1,000 principal amount of 12% second priority ship mtg.nts.,6/30/07 and 7.66 warrants) /6//12/ 100,000 7,500 - ---------------------------------------------------------------------------------------------------- Oxford Automotive,Inc.,10.125% Sr.Unsec.Sub.Nts.,Series D,6/15/07 /2/ 200,000 189,000 - ---------------------------------------------------------------------------------------------------- Tenneco,Inc.,11.625% Sr.Sub.Nts.,10/15/09 /6/ 300,000 307,500 - ---------------------------------------------------------------------------------------------------- Terex Corp.,8.875% Sr.Unsec.Sub.Nts.,Series C,4/1/08 150,000 142,500 - ---------------------------------------------------------------------------------------------------- Trans World Airlines,Inc.,11.50% Sr.Sec.Nts.,12/15/04 150,000 97,313 - ---------------------------------------------------------------------------------------------------- Transtar Holdings LP/Transtar Capital Corp.,13.375% Sr.Disc.Nts., Series B,12/15/03 1,100,000 1,127,500 - ---------------------------------------------------------------------------------------------------- Union Pacific Corp.,9.65% Medium-Term Nts.,4/17/00 100,000 100,956 ---------- 4,983,940 - ---------------------------------------------------------------------------------------------------- Utility--2.1% Calpine Corp.: 7.75% Sr.Nts.,4/15/09 350,000 332,500 8.75% Sr.Nts.,7/15/07 185,000 186,388 - ---------------------------------------------------------------------------------------------------- Israel Electric Corp.Ltd.,7.70% Bonds,7/15/18 /6/ 6,500,000 5,764,759 - ---------------------------------------------------------------------------------------------------- Public Service Co. of Colorado,8.75% First Mtg.Bonds,3/1/22 250,000 253,429 - ---------------------------------------------------------------------------------------------------- South Carolina Electric & Gas Co.,9% Mtg.Bonds,7/15/06 500,000 531,081 - ---------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co.,7.50% Bonds,4/1/17 100,000 94,524 ---------- 7,162,681 ---------- Total Corporate Bonds and Notes (Cost $185,402,976) 176,140,875 Shares ==================================================================================================== Preferred Stocks--0.1% CRIIMI MAE,Inc.,10.875% Cum.Cv.,Series B,Non-Vtg. 13,000 214,500 - ---------------------------------------------------------------------------------------------------- NEXTLINK Communications,Inc.,14% Cum.,Non-Vtg. /10/ 2,493 133,999 - ---------------------------------------------------------------------------------------------------- Star Gas Partners,LP 330 4,372 ---------- Total Preferred Stocks (Cost $461,391) 352,871 ==================================================================================================== Other Securities--4.1% Allstate Financing I,7.95% Cum.Quarterly Income Preferred Securities, Series A,Non-Vtg. 80,000 1,785,000 - ---------------------------------------------------------------------------------------------------- EIX Trust I,7.875% Quarterly Income Preferred Securities 280,000 6,037,500 - ---------------------------------------------------------------------------------------------------- ING Capital Fund Trust,7.70% Non-Cum.,Non-Vtg. 70,000 1,478,750 - ---------------------------------------------------------------------------------------------------- Westpac Capital Trust I,8% Trust Originated Preferred Securities 210,000 4,541,250 ---------- Total Other Securities (Cost $16,000,000) 13,842,500
25 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Face Market Value Amount/1/ See Note 1 =============================================================================================== Common Stocks--0.0% Optel, Inc. /13/ $ 100 $ 1 - ------------------------------------------------------------------------------------------------ Price Communications Corp. 1,657 46,101 - ------------------------------------------------------------------------------------------------ Viatel, Inc. /13/ 795 42,632 ------- Total Common Stocks (Cost $5,459) 88,734 Units =============================================================================================== Rights, Warrants and Certificates--0.1% Concentric Network Corp.Wts.,Exp.12/15/07 /2/ 50 13,256 - ----------------------------------------------------------------------------------------------- Dairy Mart Convenience Stores,Inc.Wts.,Exp.12/12/01 /2/ 333 117 - ----------------------------------------------------------------------------------------------- e.spire Communications,Inc.Wts.,Exp.11/1/05 300 1,632 - ----------------------------------------------------------------------------------------------- Globix Corp.Wts.,Exp.5/1/05 200 48,000 - ----------------------------------------------------------------------------------------------- Gothic Energy Corp.Wts.,Exp.1/23/03 1,668 -- - ----------------------------------------------------------------------------------------------- Gothic Energy Corp.Wts.,Exp.1/23/03 /2/ 953 10 - ----------------------------------------------------------------------------------------------- Gothic Energy Corp.Wts.,Exp.9/1/04 /2/ 2,800 2,976 - ----------------------------------------------------------------------------------------------- HF Holdings,Inc.Wts.,Exp.9/27/00 /2/ 1,062 15,938 - ----------------------------------------------------------------------------------------------- ICG Communications,Inc.Wts.,Exp.9/15/05 1,980 24,433 - ----------------------------------------------------------------------------------------------- Intermedia Communications,Inc.Wts.,Exp.6/1/00 50 7,162 - ----------------------------------------------------------------------------------------------- Long Distance International,Inc.Wts.,Exp.4/13/08 /2/ 150 75 - ----------------------------------------------------------------------------------------------- Loral Space & Communications Ltd.Wts.,Exp.1/15/07 /2/ 200 2,425 - ----------------------------------------------------------------------------------------------- Real Time Data Co.Wts.,Exp.5/31/04 /2/ 121,440 1,214 - ----------------------------------------------------------------------------------------------- Signature Brands,Inc.Wts.,Exp.12/31/49 /2/ 50 1,006 - ----------------------------------------------------------------------------------------------- WAM!NET,Inc.Wts.,Exp.3/1/05 /6/ 1,200 26,850 ------- Total Rights, Warrants and Certificates (Cost $21,122) 145,094 Date Strike Contracts =============================================================================================== Options Purchased--0.1% U.S. Long Bond Futures,3/22/00 Put (Cost $139,431) 2/18/00 94% 105 360,938 Face Amount/1/ =============================================================================================== Repurchase Agreements--0.5% Repurchase agreement with Banc One Capital Markets,Inc.,2.75%, dated 12/31/99,to be repurchased at $1,600,367 on 1/3/00, collateralized by U.S. Treasury Bonds,5.25%-12%,2/15/01-11/15/28, with a value of $627,984 and U.S.Treasury Nts.,5%-7.50%,12/31/00-2/15/07, with a value of $1,004,945 (Cost $1,600,000) $ 1,600,000 1,600,000 - ----------------------------------------------------------------------------------------------- Total Investments,at Value (Cost $351,110,290) 98.8% 335,453,572 - ----------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 1.2 4,222,958 Net Assets 100.0% $339,676,530 ===== ============
26 OPPENHEIMER BOND FUND FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Face amount is reported in U.S. Dollars, except for those denoted in the following currency: EUR - Euro 2. Identifies issues considered to be illiquid or restricted - See Note 8 of Notes to Financial Statements. 3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. 4. Represents the current interest rate for a variable or increasing rate security. 5. Securities with an aggregate market value of $1,166,640 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 6. 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 $47,520,287 or 13.99% of the Fund's net assets as of December 31, 1999. 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. 8. A sufficient amount of liquid assets has been designated to cover outstanding written options, as follows:
Contracts Expiration Exercise Premium Market Value Subject to Put Dat Price Received See Note 1 - ----------------------------------------------------------------------------------------------- U.S. Treasury Nts. Futures 10 yr. Put 175 2/18/00 98% $176,859 $421,094
9. Issuer is in default. 10. Interest or dividend is paid in kind. 11. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 12. Units maybe comprised of several components, such as debt and equity and/or warrants to purchase equity at some point in the future. For units which represent debt securities, face amount disclosed represents total underlying principal. 13. Non-income-producing security. See accompanying Notes to Financial Statements. 27 OPPENHEIMER BOND FUND
- -------------------------------------------------------------------------------- STATEMENT OF ASSETS AND LIABILITIES December 31,1999 - -------------------------------------------------------------------------------- ========================================================================================= Assets Investments,at value (cost $351,110,290)--see accompanying statement $ 335,453,572 - ----------------------------------------------------------------------------------------- Cash 598,754 - ----------------------------------------------------------------------------------------- Receivables and other assets: Interest,dividends and principal paydowns 5,149,827 Shares of beneficial interest sold 602,386 Other 5,492 ------------- Total assets 341,810,031 ========================================================================================= Liabilities Options written,at value (premiums received $176,859)-- see accompanying statement 421,094 - ----------------------------------------------------------------------------------------- Payables and other liabilities: Shares of beneficial interest redeemed 1,073,239 Distribution and service plan fees 229,399 Daily variation on futures contracts 194,225 Shareholder reports 72,716 Dividends 66,438 Transfer and shareholder servicing agent fees 27,704 Trustees' compensation 785 Other 47,901 ------------- Total liabilities 2,133,501 ========================================================================================= Net Assets $ 339,676,530 ============= ========================================================================================= Composition of Net Assets Paid-in capital $ 367,914,357 - ----------------------------------------------------------------------------------------- Overdistributed net investment income (42,207) - ----------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (11,801,621) - ----------------------------------------------------------------------------------------- Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies (16,393,999) ------------- Net assets $ 339,676,530 =============
28 OPPENHEIMER BOND FUND
- -------------------------------------------------------------------------------------------- Net Asset Value Per Share Class A Shares: Net asset value and redemption price per share (based on net assets of $220,502,363 and 22,123,150 shares of beneficial interest outstanding) $ 9.97 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 10.47 - -------------------------------------------------------------------------------------------- Class B Shares: Net asset value,redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $94,844,784 and 9,520,224 shares of beneficial interest outstanding) $ 9.96 - -------------------------------------------------------------------------------------------- Class C Shares: Net asset value,redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $24,143,056 and 2,421,087 shares of beneficial interest outstanding) $ 9.97 - -------------------------------------------------------------------------------------------- Class Y Shares: Net asset value,redemption price and offering price per share (based on net assets of $186,327 and 18,719 shares of beneficial interest outstanding) $ 9.95
See accompanying Notes to Financial Statements. 29 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENT OF OPERATIONS For the Year Ended December 31,1999 - -------------------------------------------------------------------------------- ===================================================================== Investment Income Interest $ 29,123,158 - --------------------------------------------------------------------- Dividends 953,254 ----------- Total income 30,076,412 ===================================================================== Expenses Management fees 2,729,532 - --------------------------------------------------------------------- Distribution and service plan fees: Class A 616,965 Class B 952,652 Class C 242,111 - --------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 440,450 Class B 166,741 Class C 42,430 Class Y 3 - --------------------------------------------------------------------- Custodian fees and expenses 33,058 - --------------------------------------------------------------------- Trustees'compensation 6,300 - --------------------------------------------------------------------- Other 262,125 ----------- Total expenses 5,492,367 Less expenses paid indirectly (18,474) ----------- Net expenses 5,473,893 ===================================================================== Net Investment Income 24,602,519 ===================================================================== Realized and Unrealized Gain (Loss) Net realized loss on: Investments (9,470,925) Closing of futures contracts (116,592) Closing and expiration of option contracts written (47,044) Foreign currency transactions (266,827) ----------- Net realized loss (9,901,388) - --------------------------------------------------------------------- Net change in unrealized appreciation or depreciation on: Investments (21,935,663) Translation of assets and liabilities denominated in foreign currencies 159,278 ----------- Net change (21,776,385) ----------- Net realized and unrealized loss (31,677,773) ===================================================================== Net Decrease in Net Assets Resulting from Operations $ (7,075,254) ============ See accompanying Notes to Financial Statements. 30 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Year Ended December 31, 1999 1998 =============================================================================================================== Operations Net investment income $ 24,602,519 $ 18,591,889 - --------------------------------------------------------------------------------------------------------------- Net realized gain (loss) (9,901,388) 314,291 - --------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation (21,776,385) (3,076,332) ----------- ---------- Net increase (decrease) in net assets resulting from (7,075,254) 15,829,848 operations =============================================================================================================== Dividends and/or Distributions to Shareholders Dividends from net investment income: Class A (17,338,583) (14,076,402) Class B (5,781,656) (3,655,574) Class C (1,471,630) (859,704) Class Y (2,474) (47) =============================================================================================================== Beneficial Interest Transactions Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A (4,788,442) 57,901,460 Class B 15,000,170 40,449,784 Class C 4,420,733 12,786,693 Class Y 187,967 999 =============================================================================================================== Net Assets Total increase (decrease) (16,849,169) 108,377,057 - --------------------------------------------------------------------------------------------------------------- Beginning of period 356,525,699 248,148,642 ----------- ----------- End of period (including overdistributed net investment income of $42,207 and $4,077, respectively) $ 339,676,530 $ 356,525,699 ============= =============
See accompanying Notes to Financial Statements. 31 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
Class A Year Ended December 31, 1999 1998 1997 1996 1995 ======================================================================================================================== Per Share Operating Data Net asset value, beginning of period $10.86 $10.97 $10.70 $10.98 $10.01 - ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .71 .71 .77 .78 .69 Net realized and unrealized gain (loss) (.89) (.11) .27 (.28) .96 ----------------------------------------------------------------------- Total income (loss) from investment operations (.18) .60 1.04 .50 1.65 - ------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.71) (.71) (.77) (.75) (.68) Tax return of capital -- -- -- (.03) -- ----------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.71) (.71) (.77) (.78) (.68) - ------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $9.97 $10.86 $10.97 $10.70 $10.98 ======================================================================================================================== Total Return, at Net Asset Value/1/ (1.65)% 5.61% 10.13% 4.87% 16.94% ======================================================================================================================== Ratios/Supplemental Data Net assets, end of period (in thousands) $220,502 $246,668 $190,706 $193,515 $169,059 - ------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $251,190 $217,944 $187,458 $178,130 $116,940 - ------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets:/2/ Net investment income 6.88% 6.46% 7.20% 7.35% 6.47% Expenses 1.24% 1.22%/3/ 1.27%/3/ 1.30%/3/ 1.27%/3/ Expenses, net of voluntary assumption of expenses N/A N/A N/A N/A 1.26% - ------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate/4/ 238% 67% 51% 54% 175%
1. Assumes a $1,000 hypothetical initial investment on the business day before the first day of the fiscal period, (or inception of offering), with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. 2. Annualized for periods of less than one full year. 3. Expense ratio has not been grossed up to reflect the effect of expenses paid indirectly. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended December 31,1999, were $900,518,427 and $843,525,147, respectively. For the period ended December 31,1995, purchases and sales of investment securities included mortgage dollar-rolls. See accompanying Notes to Financial Statements. 32 OPPENHEIMER BOND FUND
Class B Year Ended December 31, 1999 1998 1997 1996 1995 ============================================================================================ Per Share Operating Data Net asset value,beginning of period $10.86 $10.97 $10.69 $10.98 $10.01 - -------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .63 .62 .69 .70 .63 Net realized and unrealized gain (loss) (.90) (.10) .28 (.29) .94 -------------------------------------------------- Total income (loss) from investment operations (.27) .52 .97 .41 1.57 - -------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.63) (.63) (.69) (.67) (.60) Tax return of capital -- -- -- (.03) -- -------------------------------------------------- Total dividends and/or distributions to shareholders (.63) (.63) (.69) (.70) (.60) - -------------------------------------------------------------------------------------------- Net asset value, end of period $9.96 $10.86 $10.97 $10.69 $10.98 ============================================================================================ Total Return, at Net Asset Value/1/ (2.48)% 4.81% 9.41% 3.99% 16.06% ================================================== ============================================================================================ Ratios/Supplemental Data Net assets,end of period (in thousands) $94,845 $88,061 $48,255 $38,826 $39,187 - -------------------------------------------------------------------------------------------- Average net assets (in thousands) $95,285 $64,330 $41,439 $38,068 $12,823 - -------------------------------------------------------------------------------------------- Ratios to average net assets:/2/ Net investment income 6.13% 5.68% 6.42% 6.59% 5.84% Expenses 1.99% 1.97%/3/ 2.02%/3/ 2.05%/3/ 2.12%/3/ Expenses,net of voluntary assumption of expenses N/A N/A N/A N/A 2.08% - -------------------------------------------------------------------------------------------- Portfolio turnover rate/4/ 238% 67% 51% 54% 175%
1. Assumes a $1,000 hypothetical initial investment on the business day before the first day of the fiscal period (or inception of offering), with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. 2. Annualized for periods of less than one full year. 3. Expense ratio has not been grossed up to reflect the effect of expenses paid indirectly. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended December 31, 1999, were $900,518,427 and $843,525,147, respectively. For the period ended December 31, 1995, purchases and sales of investment securities included mortgage dollar-rolls. See accompanying Notes to Financial Statements. 33 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
Class C Year Ended December 31, 1999 1998 1997 1996 1995/5/ ======================================================================================================================= Per Share Operating Data Net asset value, beginning of period $ 10.87 $ 10.98 $ 10.70 $ 10.99 $ 10.89 - ----------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .63 .62 .69 .70 .28 Net realized and unrealized gain (loss) (.90) (.10) .28 (.29) .10 Total income (loss) from --------------------------------------------------------------------------- investment operations (.27) .52 .97 .41 .38 - ----------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.63) (.63) (.69) (.67) (.28) Tax return of capital -- -- -- (.03) -- Total dividends and/or distributions --------------------------------------------------------------------------- to shareholders (.63) (.63) (.69) (.70) (.28) - ----------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 9.97 $ 10.87 $ 10.98 $ 10.70 $ 10.99 ======================================================================================================================= Total Return, at Net Asset Value/1/ (2.47)% 4.81% 9.39% 4.00% 3.76% ======================================================================================================================= Ratios/Supplemental Data Net assets, end of period (in thousands) $ 24,143 $ 21,796 $ 9,188 $ 4,322 $ 3,971 - ----------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 24,218 $ 15,198 $ 6,134 $ 3,404 $ 979 - ----------------------------------------------------------------------------------------------------------------------- Ratios to average net assets:/2/ Net investment income 6.13% 5.66% 6.36% 6.60% 6.32% Expenses 1.99% 1.96%/3/ 2.02%/3/ 2.05%/3/ 2.25%/3/ Expenses, net of voluntary assumption of expenses N/A N/A N/A N/A 1.96% - ----------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate/4/ 238% 67% 51% 54% 175%
1. Assumes a $1,000 hypothetical initial investment on the business day before the first day of the fiscal period (or inception of offering), with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. 2. Annualized for periods of less than one full year. 3. Expense ratio has not been grossed up to reflect the effect of expenses paid indirectly. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended December 31, 1999, were $900,518,427 and $843,525,147, respectively. For the period ended December 31, 1995, purchases and sales of investment securities included mortgage dollar-rolls. 5. For the period from July 11, 1995 (inception of offering) to December 31, 1995. See accompanying Notes to Financial Statements. 34 OPPENHEIMER BOND FUND Class Y Year Ended December 31, 1999 1998/6/ =================================================================== Per Share Operating Data Net asset value, beginning of period $10.86 $10.88 - ------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .76 .49 Net realized and unrealized gain (loss) (.91) (.02) ------------------- Total income (loss) from investment operations (.15) .47 - ------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.76) (.49) Tax return of capital -- -- ------------------- Total dividends and/or distributions to shareholders (.76) (.49) - ------------------------------------------------------------------- Net asset value, end of period $ 9.95 $10.86 =================================================================== Total Return, at Net Asset Value/1/ (1.37)% 4.40% =================================================================== Ratios/Supplemental Data Net assets, end of period (in thousands) $ 186 $ 1 - ------------------------------------------------------------------- Average net assets (in thousands) $ 31 $ 1 - ------------------------------------------------------------------- Ratios to average net assets:/2/ Net investment income 7.94% 6.84% Expenses 0.83% 0.74%/3/ Expenses,net of voluntary assumption of expenses N/A N/A - ------------------------------------------------------------------- Portfolio turnover rate/4/ 238% 67% 1. Assumes a $1,000 hypothetical initial investment on the business day before the first day of the fiscal period, (or inception of offering), with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. 2. Annualized for periods of less than one full year. 3. Expense ratio has not been grossed up to reflect the effect of expenses paid indirectly. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended December 31, 1999 were $900,518,427 and $843,525,147, respectively. For the period ended December 31, 1995, purchases and sales of investment securities included mortgage dollar-rolls. 5. For the period from July 11, 1995 (inception of offering) to December 31, 1995. 6. For the period from April 27, 1998 (inception of offering) to December 31, 1998 See accompanying Notes to Financial Statements. 35 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- ================================================================================ 1. Significant Accounting Policies Oppenheimer Bond Fund (the Fund) is a separate fund of Oppenheimer Integrity Funds, a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund's investment objective is to seek a high level of current income by investing mainly in debt instruments. The Fund's investment advisor is OppenheimerFunds, Inc.(the Manager). The Fund offers Class A, Class B, Class C and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus an initial sales charge. Class B and Class C shares are sold without an initial sales charge but may be subject to a contingent deferred sales charge (CDSC). Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC. All classes of shares have identical rights to earnings, assets and voting privileges, except that each class has its own expenses directly attributable to that class and exclusive voting rights with respect to matters affecting that class. Classes A, B and C shares have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. - -------------------------------------------------------------------------------- Securities Valuation. Portfolio securities are valued at the close of the New York Stock Exchange on each trading day. Listed and unlisted securities for which such information is regularly reported are valued at the last sale price of the day or, in the absence of sales, at values based on the closing bid or the last sale price on the prior trading day. Long-term and short-term "non-money market" debt securities are valued by a portfolio pricing service approved by the Board of Trustees. Such securities which cannot be valued by an approved portfolio pricing service are valued using dealer-supplied valuations provided the Manager is satisfied that the firm rendering the quotes is reliable and that the quotes reflect current market value, or are valued under consistently applied procedures established by the Board of Trustees to determine fair value in good faith. Short-term "money market type" debt securities having a remaining maturity of 60 days or less are valued at cost (or last determined market value) adjusted for amortization to maturity of any premium or discount. Foreign currency exchange contracts are valued based on the closing prices of the foreign currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. Options are valued based upon the last sale price on the principal exchange on which the option is traded or, in the absence of any transactions that day, the value is based upon the last sale price on the prior trading date if it is within the spread between the closing bid and asked prices. If the last sale price is outside the spread, the closing bid is used. 36 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- Security Credit Risk. The Fund invests in high yield securities, which may be subject to a greater degree of credit risk, greater market fluctuations and risk of loss of income and principal, and may be more sensitive to economic conditions than lower yielding, higher rated fixed income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of December 31, 1999, securities with an aggregate market value of $28,406, representing 0.01% of the Fund's net assets, were in default. - -------------------------------------------------------------------------------- Foreign Currency Translation. The accounting records of the Fund are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations. - -------------------------------------------------------------------------------- Repurchase Agreements. The Fund requires the custodian to take possession, to have legally segregated in the Federal Reserve Book Entry System or to have segregated within the custodian's vault, all securities held as collateral for repurchase agreements. The market value of the underlying securities is required to be at least 102% of the resale price at the time of purchase. If the seller of the agreement defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the value of the collateral by the Fund may be delayed or limited. - -------------------------------------------------------------------------------- Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. - -------------------------------------------------------------------------------- Federal Taxes. The Fund intends to continue to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income, including any net realized gain on investments not offset by loss carry-overs, to shareholders. Therefore, no federal income or excise tax provision is required. As of December 31, 1999, the Fund had available for federal income tax purposes an unused capital loss carryover of approximately $16,500,000, which expires between 2002 and 2007. 37 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- ================================================================================ 1. Significant Accounting Policies Continued Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. - -------------------------------------------------------------------------------- Classification of Distributions to Shareholders. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes primarily because of paydown gains and losses and the recognition of certain foreign currency gains (losses) as ordinary income (loss) for tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. Also, due to timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or realized gain was recorded by the Fund. The Fund adjusts the classification of distributions to shareholders to reflect the differences between financial statement amounts and distributions determined in accordance with income tax regulations. Accordingly, during the year ended December 31, 1999, amounts have been reclassified to reflect a decrease in paid- in capital of $380,697, a decrease in undistributed net investment income of $46,306, and a decrease in accumulated net realized loss on investments of $427,003. - -------------------------------------------------------------------------------- Expense Offset Arrangements. Expenses paid indirectly represent a reduction of custodian fees for earnings on cash balances maintained by the Fund. - -------------------------------------------------------------------------------- Other. Investment transactions are accounted for as of trade date and dividend income is recorded on the ex-dividend date. Discount on securities purchased is amortized over the life of the respective securities, in accordance with federal income tax requirements. Realized gains and losses on investments and options written and unrealized appreciation and depreciation are determined on an identified cost basis, which is the same basis used for federal income tax purposes. Dividends-in-kind are recognized as income on the ex-dividend date, at the current market value of the underlying security. Interest on payment-in-kind debt instruments is accrued as income at the coupon rate and a market adjustment is made periodically. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 38 OPPENHEIMER BOND FUND ================================================================================ 2. Shares of Beneficial Interest The Fund has authorized an unlimited number of no par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Year Ended December 31,1999 Year Ended December 31,1998 Shares Amount Shares Amount - ------------------------------------------------------------------------------------------------ Class A Sold 7,601,510 $ 79,476,026 6,327,132 $ 68,506,645 Dividends and/or distributions reinvested 1,198,033 12,396,430 929,158 10,176,270 Acquisition--Note 9 -- -- 2,792,886 30,889,321 Redeemed (9,387,618) (96,660,898) (4,721,024) (51,670,776) ---------------------------------------------------------- Net increase (decrease) (588,075) $ (4,788,442) 5,328,152 $ 57,901,460 ========================================================== - --------------------------------------------------------------------------------------------- Class B Sold 4,714,675 $ 49,226,055 5,173,605 $ 56,405,052 Dividends and distributions reinvested 402,538 4,154,699 235,563 2,578,186 Acquisition--Note 9 -- -- 85,738 947,405 Redeemed (3,708,753) (38,380,584) (1,783,066) (19,480,859) ---------------------------------------------------------- Net increase 1,408,460 $ 15,000,170 3,711,840 $ 40,449,784 ========================================================== - --------------------------------------------------------------------------------------------- Class C Sold 1,334,801 $ 13,962,276 1,595,718 $ 17,436,546 Dividends and distributions reinvested 102,081 1,054,381 58,558 641,296 Acquisition--Note 9 -- -- 8,740 96,665 Redeemed (1,021,671) (10,595,924) (494,157) (5,387,814) ---------------------------------------------------------- Net increase 415,211 $ 4,420,733 1,168,859 $ 12,786,693 ========================================================== - --------------------------------------------------------------------------------------------- Class Y Sold 18,627 $ 187,967 92 $ 999 ---------------------------------------------------------- Net increase 18,627 $ 187,967 92 $ 999 ========================================================== =============================================================================================
3. Unrealized Gains and Losses on Securities As of December 31, 1999, net unrealized depreciation on securities and options written of $15,900,953 was composed of gross appreciation of $3,974,708, and gross depreciation of $19,875,661. 39 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- ================================================================================ 4. Management Fees and Other Transactions with Affiliates Management Fees. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee of 0.75% of the first $200 million of average annual net assets of the Fund, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66% of the next $200 million, 0.60% of the next $200 million and 0.50% of average annual net assets in excess of $1 billion. The Fund's management fee for the year ended December 31, 1999, was 0.74% of the average annual net assets for each class of shares. - -------------------------------------------------------------------------------- Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager, is the transfer and shareholder servicing agent for the Fund and for other Oppenheimer funds. OFS's total costs of providing such services are allocated ratably to these funds. - -------------------------------------------------------------------------------- Distribution and Service Plan Fees. Under its General Distributor's Agreement with the Manager, the Distributor acts as the Fund's principal underwriter in the continuous public offering of the different classes of shares of the Fund. The compensation paid to (or retained by) the Distributor from the sale of shares or on the redemption of shares is shown in the table below for the period indicated.
Aggregate Class A Commissions Commissions Commissions Front-End Front-End on Class A on Class B on Class C Sales Charges Sales Charges Shares Shares Shares on Class A Retained by Advanced by Advanced by Advanced by Year Ended Shares Distributor Distributor/1/ Distributor/1/ Distributor/1/ - ------------------------------------------------------------------------------------------------ December 31, 1999 $782,752 $223,035 $184,997 $1,411,106 $114,046 /1./ The Distributor advances commission payments to dealers for certain sales of Class A shares and for sales of Class B and Class C shares from its own resources at the time of sale. Class A Class B Class C Contingent Deferred Contingent Deferred Contingent Deferred Sales Charges Sales Charges Sales Charges Year Ended Retained by Distributor Retained by Distributor Retained by Distributor - -------------------------------------------------------------------------------------------- December 31, 1999 $22,318 $363,916 $14,554
The Fund has adopted a Service Plan for Class A shares and Distribution and Service Plans for Class B and Class C shares under Rule 12b-1 of the Investment Company Act. Under those plans the Fund pays the Distributor for all or a portion of its costs incurred in connection with the distribution and/or servicing of the shares of the particular class. 40 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- Class A Service Plan Fees. Under the Class A service plan, the Distributor currently uses the fees it receives from the Fund to pay brokers, dealers and other financial institutions. The Class A service plan permits reimbursements to the Distributor at a rate of up to 0.25% of average annual net assets of Class A shares purchased. The Distributor makes payments to plan recipients quarterly at an annual rate not to exceed 0.25% of the average annual net assets consisting of Class A shares of the Fund. For the fiscal year ended December 31, 1999, payments under the Class A Plan totaled $616,965, all of which was paid by the Distributor to recipients. That included $195,670 paid to an affiliate of the Manager. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent years. - -------------------------------------------------------------------------------- Class B and Class C Distribution and Service Plan Fees. Under each plan, service fees and distribution fees are computed on the average of the net asset value of shares in the respective class, determined as of the close of each regular business day during the period. The Class B and Class C plans provide for the Distributor to be compensated at a flat rate, whether the Distributor's distribution expenses are more or less than the amounts paid by the Fund under the plan during the period for which the fee is paid. The Distributor retains the asset-based sales charge on Class B shares. The Distributor retains the asset-based sales charge on Class C shares during the first year the shares are outstanding. The asset-based sales charges on Class B and Class C shares allow investors to buy shares without a front-end sales charge while allowing the Distributor to compensate dealers that sell those shares. The Distributor's actual expenses in selling Class B and Class C shares may be more than the payments it receives from the contingent deferred sales charges collected on redeemed shares and asset-based sales charges from the Fund under the plans. If any plan is terminated by the Fund, the Board of Trustees may allow the Fund to continue payments of the asset-based sales charge to the Distributor for distributing shares before the plan was terminated. The plans allow for the carry-forward of distribution expenses, to be recovered from asset-based sales charges in subsequent fiscal periods. Distribution fees paid to the Distributor for the year ended December 31,1999,were as follows:
Distributor's Distributor's Aggregate Unreimbursed Unreimbursed Expenses as % Total Payments Amount Retained Expenses of Net Assets Under Plan by Distributor Under Plan of Class - --------------------------------------------------------------------------------------------- Class B Plan $952,652 $819,411 $3,114,109 3.28% Class C Plan 242,111 138,363 350,315 1.45
41 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- ================================================================================ 5. Foreign Currency Contracts A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts for operational purposes and to seek to protect against adverse exchange rate fluctuations. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using foreign currency exchange rates as provided by a reliable bank, dealer or pricing service. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities. The Fund may realize a gain or loss upon the closing or settlement of the foreign currency transactions. Realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. Securities denominated in foreign currency to cover net exposure on outstanding foreign currency contracts are noted in the Statement of Investments where applicable. ================================================================================ 6. Futures Contracts The Fund may buy and sell futures contracts in order to gain exposure to or to seek to protect against changes in interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts to hedge against increases in interest rates and the resulting negative effect on the value of fixed rate portfolio securities. The Fund may also purchase futures contracts to gain exposure to changes in interest rates as it may be more efficient or cost effective than actually buying fixed income securities. 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. The Fund may recognize a realized gain or loss when the contract is closed or expires. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. 42 OPPENHEIMER BOND FUND As of December 31, 1999, the Fund had outstanding futures contracts as follows:
Unrealized Expiration Number of Valuation as of Appreciation Contract Description Date Contracts December 31, 1999 (Depreciation) - ----------------------------------------------------------------------------------------------- Contracts to Purchase U.S. Treasury Nts., 5 yr. 3/22/00 544 $53,320,500 $(319,633) U.S. Treasury Nts., 10 yr. 3/22/00 119 11,407,266 (111,664) --------- (431,297) --------- Contracts to Sell Federal Funds Interest Rate 1/31/00 174 68,557,859 (39,878) U.S. Treasury Bonds, 20 yr. 3/22/00 33 3,000,938 23,156 --------- (16,722) --------- $(448,019) =========
================================================================================ 7.Option Activity The Fund may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Fund generally purchases put options or writes covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call options are noted in the Statement of Investments where applicable. Shares subject to call, expiration date, exercise price, premium received and market value are detailed in a note to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities. Gains and losses are reported in the Statement of Operations. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. 43 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- ================================================================================ 7. Option Activity Continued Written option activity for the year ended December 31, 1999 was as follows: Put Options ---------------------- Number of Amount of Options Premiums - ---------------------------------------------------------------------- Options outstanding as of December 31, 1998 -- $ -- Options written 630 521,850 ptions closed or expired (455) (344,991) ------------------- Options outstanding as of December 31, 1999 175 $ 176,859 =================== ================================================================================ 8. Illiquid or Restricted Securities As of December 31, 1999, investments in securities included issues that are illiquid or restricted. Restricted securities are often purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and are valued under methods approved by the Board of Trustees as reflecting fair value. A security may also be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund intends to invest no more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid or restricted securities. Certain restricted securities, eligible for resale to qualified institutional investors, are not subject to that limitation. The aggregate value of illiquid or restricted securities subject to this limitation as of December 31, 1999,was $25,984,829, which represents 7.65% of the Fund's net assets, of which $406,949 is considered restricted. Information concerning restricted securities is as follows:
Valuation Per Unit as of Security Acquisition Date Cost Per Unit December 31, 1999 - -------------------------------------------------------------------------------------------- Bonds TAG Heuer International SA,12% Sr. Sub. Nts., 12/15/05 12/8/95 100.000% 109.658% Stocks and Warrants Real Time Data Wts., Exp.5/31/04 6/30/99 $0.01 $0.01
44 OPPENHEIMER BOND FUND ================================================================================ 9. Acquisition of Oppenheimer LifeSpan Income Fund On June 12, 1998, the Fund acquired all the net assets of Oppenheimer LifeSpan Income Fund, pursuant to an agreement and plan of reorganization approved by the Oppenheimer LifeSpan Income Fund shareholders on June 9, 1998. The Fund issued 2,793,467, 85,715 and 8,737 shares of beneficial interest for Class A, Class B, and Class C, respectively, valued at $30,889,321, $947,405 and $96,665 in exchange for the net assets, resulting in combined Class A net assets of $230,808,283, Class B net assets of $59,193,669 and Class C net assets of $13,957,428 on June 12, 1998. The net assets acquired included net unrealized appreciation of $514,326. The exchange qualified as a tax-free reorganization for federal income tax purposes. ================================================================================ 10. Bank Borrowings The Fund may borrow from a bank for temporary or emergency purposes including, without limitation, funding of shareholder redemptions provided asset coverage for borrowings exceeds 300%. The Fund has entered into an agreement which enables it to participate with other Oppenheimer funds in an unsecured line of credit with a bank, which permits borrowings up to $400 million, collectively. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Funds Rate plus 0.45%. Borrowings are payable 30 days after such loan is executed. The Fund also pays a commitment fee equal to its pro rata share of the average unutilized amount of the credit facility at a rate of 0.08% per annum. The Fund had no borrowings outstanding during the year ended December 31, 1999. 45 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- INDEPENDENT AUDITORS' REPORT - -------------------------------------------------------------------------------- ================================================================================ To the Board of Trustees and Shareholders of Oppenheimer Bond Fund: We have audited the accompanying statement of assets and liabilities, including the statement of investments, of Oppenheimer Bond Fund as of December 31, 1999, the related statement of operations for the year then ended, the statements of changes in net assets for the years ended December 31, 1999 and 1998 and the financial highlights for the period January 1, 1995 to December 31, 1999. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 1999, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing pro- cedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement pre-sentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, such financial statements and financial highlights present fairly, in all material respects, the financial position of Oppenheimer Bond Fund as of December 31, 1999, the results of its operations, the changes in its net assets, and the financial highlights for the respective stated periods, in conformity with generally accepted accounting principles. Deloitte & Touche LLP Denver, Colorado January 24, 2000 46 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- FEDERAL INCOME TAX INFORMATION Unaudited - -------------------------------------------------------------------------------- ================================================================================ In early 2000 shareholders will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 1999. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends paid by the Fund during the fiscal year ended December 31,1999, which are not designated as capital gain distributions should be multiplied by 3.94% to arrive at the net amount eligible for the corporate dividend-received deduction. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 47 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- A Series of Oppenheimer Integrity Funds ================================================================================ Officers and Trustees James C. Swain, Trustee and Chairman of the Board Bridget A. Macaskill, President William H. Armstrong, Trustee Robert G. Avis, Trustee William A. Baker, Trustee Jon S. Fossel, Trustee Sam Freedman, Trustee Raymond J. Kalinowski, Trustee C. Howard Kast, Trustee Robert M. Kirchner, Trustee Ned M. Steel, Trustee David P. Negri, Vice President John S. Kowalik, Vice President Andrew J. Donohue, Vice President and Secretary Brian W. Wixted, Treasurer Robert G. Zack, Assistant Secretary Robert J. Bishop, Assistant Treasurer Scott T. Farrar, Assistant Treasurer ================================================================================ Investment Advisor OppenheimerFunds, Inc. ================================================================================ Distributor OppenheimerFunds Distributor, Inc. ================================================================================ Transfer and Shareholder OppenheimerFunds Services Servicing Agent ================================================================================ Custodian of The Bank of New York Portfolio Securities ================================================================================ Independent Auditors Deloitte & Touche LLP ================================================================================ Legal Counsel Myer, Swanson, Adams & Wolf, P.C. This is a copy of a report to shareholders of Oppenheimer Bond Fund. This report must be preceded by a Prospectus of Oppenheimer Bond Fund. For material information concerning the Fund, see the Prospectus. Shares of Oppenheimer funds are not deposits or obligations of anybank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested. 48 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- OPPENHEIMERFUNDS FAMILY - --------------------------------------------------------------------------------
================================================================================================================== Global Equity Developing Markets Fund Global Fund International Small Company Quest Global Value Fund Fund Europe Fund Global Growth & Income Fund International Growth Fund ================================================================================================================== Equity Stock Stock & Bond Enterprise Fund/1/ Main Street(R) Growth & Income Fund Discovery Fund Quest Opportunity Value Fund Main Street(R) Small Cap Fund Total Return Fund Quest Small Cap Value Fund Quest Balanced Value Fund MidCap Fund Capital Income Fund/2/ Capital Appreciation Fund Multiple Strategies Fund Growth Fund Disciplined Allocation Fund Disciplined Value Fund Convertible Securities Fund Quest Value Fund Specialty Real Asset Fund Gold & Special Minerals Fund ================================================================================================================== Fixed Income Taxable Municipal International Bond Fund California Municipal Fund/3/ World Bond Fund Florida Municipal Fund/3/ High Yield Fund New Jersey Municipal Fund/3/ Champion Income Fund New York Municipal Fund/3/ Strategic Income Fund Pennsylvania Municipal Fund/3/ Bond Fund Municipal Bond Fund U.S.Government Trust Insured Municipal Fund Limited-Term Government Intermediate Municipal Fund Fund Rochester Division Rochester Fund Municipals Limited Term New York Municipal Fund ================================================================================================================== Money Market/4/ Money Market Fund Cash Reserves
1. Effective July 1, 1999, this fund is closed to new investors. See prospectus for details. 2. On 4/1/99, the Fund's name was changed from "Oppenheimer Equity Income Fund." 3. Available to investors only in certain states. 4. An investment in money market funds is neither insured nor guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although these funds may seek to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in these funds. Oppenheimer funds are distributed by OppenheimerFunds Distributor,Inc., Two World Trade Center, New York, NY 10048-0203. (C) Copyright 1999 OppenheimerFunds,Inc. All rights reserved. 49 OPPENHEIMER BOND FUND - -------------------------------------------------------------------------------- INFORMATION AND SERVICES - -------------------------------------------------------------------------------- As an Oppenheimer fund shareholder,you can benefit from special services designed to make investing simple.Whether it's automatic investment plans,timely market updates,or immediate account access,you can count on us whenever you need assistance.So call us today,or visit our website--we're here to help. - -------------------------------------------------------------------------------- Internet 24-hr access to account information and transactions www.oppenheimerfunds.com ------------------------------------------------------- General Information Mon-Fri 8:30am-9pm ET, Sat 10am-4pm ET 1.800.525.7048 ------------------------------------------------------- Telephone Transactions Mon-Fri 8:30am-9pm ET, Sat 10am-4pm ET 1.800.852.8457 ------------------------------------------------------- PhoneLink 24-hr automated information and automated transactions 1.800.533.3310 ------------------------------------------------------- Telecommunications Device for the Deaf (TDD) Mon-Fri 8:30am-7pm ET 1.800.843.4461 ------------------------------------------------------- OppenheimerFunds Information Hotline 24 hours a day,timely and insightful messages on the economy and issues that may affect your investments 1.800.835.3104 ------------------------------------------------------- Transfer and Shareholder Servicing Agent OppenheimerFunds Services P.O.Box 5270,Denver,CO 80217-5270 - -------------------------------------------------------------------------------- [LOGO] OppenheimerFunds(R) Distributor, Inc. -----END PRIVACY-ENHANCED MESSAGE-----