-----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, DfnJhSfNUvqZ8EoS4vdJB+P4DgLeiJWiWtiRopUNQj2gW1RVSQR9WRbYQBpdiDAo /P3Nzfp8vk3+bGRYuVtTwQ== 0001086144-99-000056.txt : 19990831 0001086144-99-000056.hdr.sgml : 19990831 ACCESSION NUMBER: 0001086144-99-000056 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990830 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: 99702622 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 SEMIANNUAL REPORT BOND FUND ------------------------------- Semiannual Report June 30, 1999 ------------------------------- OPPENHEIMER Bond Fund [Graphic of Checks] [Logo] OppenheimerFunds(R) THE RIGHT WAY TO INVEST Contents 3 President's Letter 5 An Interview with Your Fund's Managers 11 Financial Statements 45 Officers and Trustees 48 Information and Services Report highlights - -------------------------------------------------------------------------------- o We benefited from our diversification among a wide range of industries, realizing good returns during the first three months of the year from growth-oriented sectors such as telecommunications, and later from value- oriented sectors such as energy. o We believe that the economic environment is likely to grow more favorable for bonds during the second half of the year. Cumulative Total Returns For the 6-Month Period Ended 6/30/99 Class A Without With Sales Chg.(1) Sales Chg.(2) - --------------------------------- - -1.74% -6.40% - --------------------------------- Class B Without With Sales Chg.(1) Sales Chg.(2) - --------------------------------- - -2.20% -6.95% - --------------------------------- Class C Without With Sales Chg.(1) Sales Chg.(2) - --------------------------------- - -2.19% -3.14% - --------------------------------- Class Y Without With Sales Chg.(1) Sales Chg.(2) - --------------------------------- - -1.61% -1.61% - --------------------------------- Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized. 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. 1. Includes changes in net asset value per share without deducting any sales charges. 2. Class A returns include the current maximum initial sales charge of 4.75%. Class B returns include the applicable contingent deferred sales charge of 5%. Class C returns include the contingent deferred sales charge of 1%. Class Y shares are offered only to certain institutional investors under special agreements with the Distributor. Class B and C shares are subject to an annual 0.75% asset-based sales charge. An explanation of the different performance calculations is in the Fund's prospectus. 2 Oppenheimer Bond Fund [Photo of James C. Swain] James C. Swain Chairman Oppenheimer Bond Fund [Photo of Bridget A. Macaskill Bridget A. Macaskill President Oppenheimer Bond Fund Dear shareholder, - -------------------------------------------------------------------------------- According to popular belief, the last six months have been particularly favorable for the financial markets. The truth of the matter is that it's been a long, uphill struggle for the diversified investor. That's because the stock market's dramatic rise reflects the performance of the Dow Jones Industrial Average, which has been fueled by only a small number of large-capitalization growth stocks and technology companies. In the bond market this year, while many corporate and foreign bonds have provided relatively attractive returns, the first quarter of 1999 was the worst quarter in history for U.S. Treasury securities.(1) Recently, though, signs of change have been emerging that confirm the importance of a well-diversified portfolio. While investors focusing on large-cap growth and technology stocks may have achieved superior short-term returns, they may have also dramatically increased their exposure to potential risks. If recent economic and market trends persist, previously out-of-favor stocks may continue to rise. Specifically, U.S. economic growth has continued to surpass most analysts' expectations and the breadth of the market's positive performance has begun to widen. This has raised concerns that inflationary pressures may re-emerge. Looking outside of the United States, many foreign economies also appear to be on the mend. The impact of these changes, as it applies to your fund, is discussed more fully inside by your portfolio manager. (over, please) 1. Foreign investing entails higher expenses and risks, such as foreign currency fluctuations, economic and political instability, and differences in accounting standards. 3 Oppenheimer Bond Fund You may also have wondered about the impact of the Year 2000 problem on your investments. While we cannot predict the final outcome, we are pleased that many companies and governments appear to be making progress toward avoiding a major disruption. For our part, OppenheimerFunds is in the advanced stages of our Y2K project, and we have successfully participated in industry-wide tests. Meanwhile, we intend to maintain the disciplined investment approach that has been helping Oppenheimer funds shareholders for more than 40 years as they pursue their financial goals. Our longstanding experience has taught us that while investment fads come and go, prudent diversification remains key to successful investing. In fact, it is an essential part of what makes OppenheimerFunds The Right Way to Invest. Sincerely, /s/ James C. Swain /s/ Bridget A. Macaskill James C. Swain Bridget A. Macaskill July 22, 1999 4 Oppenheimer Bond Fund [Photo of Portfolio Management Team] Portfolio Management Team (l to r) David Negri John Kowalik An interview with your Fund's managers - -------------------------------------------------------------------------------- How did Oppenheimer Bond Fund perform during the six-month period that ended June 30, 1999? Although the Fund benefited from its exposure to specific sectors, such as corporate bonds, we were somewhat disappointed with the overall performance of the Fund during a period that proved to be a difficult and volatile time for bond investing. What made this such a difficult and volatile period? The year began with the U.S. economy growing at a surprisingly robust rate, fueled by high levels of consumer confidence and consumer spending. Most bond sectors reacted negatively to the economy's unexpectedly high rate of growth, and the resulting increased potential for inflation, since inflation undermines the value of a bond's income. However, corporate securities remained relatively strong as investors shifted their focus from fixed income sectors offering higher levels of safety, such as Treasuries, to sectors offering greater yields, such as high yield corporate bonds and mortgage-backed securities (MBS). In early April, reassured by evidence that the U.S. economy was continuing to grow and that global economies were stabilizing, investors began looking for undervalued opportunities among companies in basic industries that stood to benefit from a global recovery. This abrupt shift in market sentiment affected bonds and equities alike, undermining the market performance of high-growth sectors while driving prices higher among these basic industrial sectors. 5 Oppenheimer Bond Fund An interview with your Fund's managers - -------------------------------------------------------------------------------- How did you manage the Fund in light of these conditions? We positioned the Fund to take advantage of these conditions by redeploying some of our U.S. Treasury holdings into corporate bonds and MBS, both of which benefited from the increased demand for higher yielding bonds. At the beginning of the period, at least 52% of the portfolio was made up of corporate bonds and collateralized mortgage obligations (CMOs). By the end of the period, that number had risen to approximately 57%. As a result, the Fund enjoyed relatively strong performance during the rally in higher yielding bonds that occurred during the first quarter of 1999. From January through March, we achieved our best results from new issues and from investments in the media/entertainment: telecommunications sector, many of which we sold when we believed they no longer offered further potential for price appreciation. We also realized significant gains from investments in the energy sector, which benefited from the rising price of oil. At the same time, we maintained our emphasis on the higher grade segment of the corporate bond market, maintaining an average credit rating of "A," which reduces the Fund's credit risk.(1) Our diversified investment approach helped cushion the Fund from market volatility in April 1999 when investors began showing renewed interest in basic industries that stood to benefit from a global recovery. Although many of our holdings were in high-growth sectors that had performed well until that time, many others were in basic industrial sectors favored during the shift in market sentiment. 1. The average credit rating of "A" refers to the Fund's underlying portfolio holdings, not the Fund itself. 6 Oppenheimer Bond Fund Avg Annual Total Returns For the Periods Ended 6/30/992 Class A 1 year 5 year 10 year - ------------------------- - -4.78% 6.09% 6.86% - ------------------------- Class B Since 1 year 5 year Inception - ------------------------- - -5.57% 5.99% 4.84% - ------------------------- Class C Since 1 year 5 year Inception - ------------------------- - -1.81% N/A 4.92% - ------------------------- Class Y Since 1 year 5 year Inception - ------------------------- 0.17% N/A 2.31% - ------------------------- Did any portfolio management moves fail to achieve your objectives during the period? One strategy we employed was to slightly increase the Fund's average duration throughout the period. Generally speaking, bonds with longer durations offer higher yields than similar bonds with shorter durations. We shifted the Fund into longer duration instruments to capture those higher yields. However, duration is also a measure of a bond's price sensitivity to changes in interest rates, and rising interest rates generally have a greater negative impact on longer duration bonds than shorter duration bonds. With the U.S. economy growing at a faster-than-expected pace, concern grew that the Federal Reserve Board (the "Fed") might be forced to raise interest rates to restrain inflation. (This concern proved justified when the Fed raised short-term interest rates on June 30, 1999.) As a result, short duration instruments generally outperformed long duration instruments, thereby detracting from the Fund's performance. 2. Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Class A returns include the current maximum initial sales charge of 4.75%. 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 B returns include the applicable contingent deferred sales charge of 5% (1-year) and 1% (since inception on 5/3/93). Class C returns for the one-year result include the contingent deferred sales charge of 1%. Class C shares have an inception date of 7/11/95. Class Y shares were first publicly offered on 4/27/98 and are offered only to certain institutional investors under special agreements with the Distributor. Class B and C shares are subject to an annual 0.75% asset-based sales charge. An explanation of the different performance calculations is in the Fund's prospectus. 7 Oppenheimer Bond Fund Standardized Yields(3) For the 30 Days Ended 6/30/99 - ----------------------------- Class A 6.37% - ----------------------------- Class B 5.94 - ----------------------------- Class C 5.93 - ----------------------------- Class Y 7.04 - ----------------------------- An interview with your Fund's managers - -------------------------------------------------------------------------------- What is your outlook for the Fund? We believe that the rate of U.S. economic growth will slow during the remainder of 1999, providing a more hospitable environment for bonds in general, and more favorable conditions for our duration position. We also believe that, despite recent declines, Treasury bond prices still remain somewhat elevated by historical standards when compared to the prices of higher yielding fixed income instruments. Therefore, we expect that these corporate and mortgage securities will appreciate in price relative to Treasury bonds, though for how long and to what degree will depend on the market's reaction to a wide range of economic developments. Accordingly, we intend to maintain our emphasis on corporate bonds while closely monitoring developments in the sector. 3. Standardized yield is based on net investment income for the 30-day period ended June 30, 1999. Falling share prices will tend to artificially raise yields. 4. Pie chart is based on total market value of investments as of June 30, 1999, and is subject to change. Average credit quality and ratings allocations include rated securities and those not rated by a national rating organization (currently 7.8% 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. 5. Portfolio is subject to change. Percentages are as of June 30, 1999, and are based on net assets. 6. Portfolio is subject to change. Percentages are as of June 30, 1999, and are based on total market value of investments. 8 Oppenheimer Bond Fund Credit Allocation(4) [Begin: Tabular Representation of Pie Chart] [ ] Treasury/Agency 21.3% [ ] AAA/AA 6.7 [ ] A/BBB 55.3 [ ] BB/B 16.0 [ ] CCC/C 0.7 [End: Tabular Representation of Pie Chart] We also remain watchful for Y2K-related business disruptions that might affect corporate performance, thereby negatively affecting corporate debt obligations. Whatever changes occur in the market and the economy, we believe our flexibility to allocate assets among many different fixed income segments is a key reason why Oppenheimer Bond Fund remains part of The Right Way to Invest. Corporate Bonds & Notes--Top 10 Industries(5) - ------------------------------------------------------------------------ Financial 22.8% - ------------------------------------------------------------------------ Transportation 5.0 - ------------------------------------------------------------------------ Utilities 3.5 - ------------------------------------------------------------------------ Service 3.4 - ------------------------------------------------------------------------ Media/Entertainment: Telecommunications 2.6 - ------------------------------------------------------------------------ Retail 2.5 - ------------------------------------------------------------------------ Energy 2.4 - ------------------------------------------------------------------------ Chemicals 1.7 - ------------------------------------------------------------------------ Housing 1.6 - ------------------------------------------------------------------------ Media/Entertainment: Diversified Media 1.5 - ------------------------------------------------------------------------ Top 5 Holdings by Issuer(6) - ------------------------------------------------------------------------ Federal National Mortgage Assn. 8.8% - ------------------------------------------------------------------------ Government National Mortgage Assn. 6.1 - ------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. 5.4 - ------------------------------------------------------------------------ Dresdner Funding Trust II 2.2 - ------------------------------------------------------------------------ Liberty Mutual Insurance 2.1 - ------------------------------------------------------------------------ 9 Oppenheimer Bond Fund Financials ----------------------------------------------------- 10 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments June 30, 1999 (Unaudited) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) ================================================================================================== Asset-Backed Securities--0.5% - -------------------------------------------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 6%, 5/17/40(2) $ 2,500,000 $ 1,462,500 - -------------------------------------------------------------------------------------------------- Dayton Hudson Credit Card Master Trust, Asset-Backed Certificates, Series 1997-1, Cl. A, 6.25%, 8/25/05 125,000 123,906 - -------------------------------------------------------------------------------------------------- IROQUOIS Trust, Asset-Backed Amortizing Nts., Series 1997-2, Cl. A, 6.752%, 6/25/07(2) 175,000 173,510 - -------------------------------------------------------------------------------------------------- Olympic Automobile Receivables Trust, Automobile Receivables-Backed Nts.: Series 1996-A, Cl. A-4, 5.85%, 7/15/01 52,506 52,622 Series 1997-A, Cl. A-5, 6.80%, 2/15/05(2) 150,000 150,539 ----------- Total Asset-Backed Securities (Cost $2,526,324) 1,963,077 ================================================================================================== Mortgage-Backed Obligations--36.6% - -------------------------------------------------------------------------------------------------- Government Agency--20.7% - -------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored--14.5% Federal Home Loan Mortgage Corp., Certificates of Participation: 9%, 3/1/17 268,157 284,019 Series 17-039, 13.50%, 11/1/10 24,430 27,594 Series 17-094, 12.50%, 4/1/14 17,393 19,441 - -------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates: Series 1343, Cl. LA, 8%, 8/15/22 1,600,000 1,650,496 Series 151, Cl. F, 9%, 5/15/21 650,703 679,374 Series 1711, Cl. EA, 7%, 3/15/24 200,000 197,750 Series 1712, Cl. B, 6%, 3/15/09 1,000,000 969,680 Series 1714, Cl. M, 7%, 8/15/23 1,000,000 987,810 - -------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg Participation Certificates: 6%, 3/1/09 220,824 215,878 Series 1460, Cl. H, 7%, 5/15/07 1,500,000 1,520,145 Series 1843, Cl. VB, 7%, 4/15/03 85,000 85,983 Series 1849, Cl. VA, 6%, 12/15/10 173,357 172,708 Series G056, Cl. H, 9%, 7/20/24 2,493,000 2,605,185 - -------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2054, Cl. TE, 6.25%, 4/15/24 850,000 825,826 - -------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 1583, Cl. IC, 13.292%, 1/15/20(3) 362,685 33,095 Series 1661, Cl. PK, 18.919%, 11/15/06(3) 337,979 15,946 Series 194, Cl. IO, 10.468%, 4/1/28(3) 8,640,401 2,675,824 Series 197, Cl. IO, 10.486%, 4/1/28(3) 8,008,013 2,512,514 Series 202, Cl. IO, 12.097%, 4/1/29(3) 16,488,649 5,327,895
11 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments June 30, 1999 (Unaudited) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored (continued) Federal National Mortgage Assn.: 6%, 12/1/03 $ 136,244 $ 134,315 6.50%, 4/1/26-11/1/28 4,242,088 4,093,971 7%, 4/1/00-7/25/27 11,154,984 11,033,397 7.50%, 2/1/08-3/1/08 318,063 324,005 11%, 7/1/16 2,526,031 2,817,314 - -------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 540,000 555,860 Trust 1993-190, Cl. Z, 5.85%, 7/25/08 113,819 113,641 - -------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Mtg. Pass-Through Certificates, 8%, 8/1/17 216,869 220,598 Federal National Mortgage Assn., Gtd. Real Estate Mtg Investment Conduit Pass-Through Certificates: Trust 1991-170, Cl. E, 8%, 12/25/06 1,746,980 1,790,096 Trust 1992-162, Cl. C, 7%, 10/25/21 8,400,000 8,365,812 Trust 1995-4, Cl. PC, 8%, 5/25/25 869,210 904,787 - -------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security, Trust 294, Cl. 2, 15.962%-17.379%, 2/1/28(3) 11,221,319 3,308,536 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 277-C1, 8.497%, 4/1/27(4) 183,822 136,517 ----------- 54,606,012 - -------------------------------------------------------------------------------------------------- GNMA/Guaranteed--6.2% Government National Mortgage Assn.: 6%, 7/20/27 129,098 130,369 7%, 7/20/25(5) 484,399 489,772 7%, 7/15/09-8/15/28 4,961,490 4,903,951 7.50%, 1/15/28-9/15/28 12,242,918 12,381,842 8%, 6/15/05-8/15/28 4,065,770 4,184,140 9%, 2/15/09-6/15/09 248,135 264,030 10%, 11/15/09 167,357 178,151 10.50%, 12/15/17-5/15/21 206,980 223,286 11%, 10/20/19 466,942 521,808 12%, 5/15/14 897 1,014 13%, 12/15/14 26,597 30,754 ----------- 23,309,117
12 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Private--15.9% - -------------------------------------------------------------------------------------------------- Commercial--13.8% AMRESCO Commercial Mortgage Funding I Corp., Multiclass Mtg Pass-Through Certificates, Series 1997-C1, Cl. G, 7%, 6/17/29(2) $ 150,000 $ 118,125 - -------------------------------------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1996-D3, Cl. A5, 8.332%, 10/13/26(6) 800,000 740,625 Series 1996-MD6, Cl. A5, 7.438%, 11/13/26(6) 2,000,000 1,975,000 Series 1997-D4, Cl. B1, 7.525%, 4/14/29(6) 333,000 256,982 Series 1997-D4, Cl. B2, 7.525%, 4/14/29(6) 333,000 252,872 Series 1997-D4, Cl. B3, 7.525%, 4/14/29(6) 334,000 228,059 Series 1997-D5, Cl. A6, 7.439%, 2/14/41(6) 1,500,000 1,261,406 Series 1997-D5, Cl. B1, 6.93%, 2/14/41 2,000,000 1,463,125 - -------------------------------------------------------------------------------------------------- Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D5, Cl. PS1, 8.192%, 2/14/41(3) 6,126,115 557,094 - -------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 9.604%, 6/22/24(2)(3) 13,149,070 534,181 - -------------------------------------------------------------------------------------------------- CBA Mortgage Corp., Mtg. Pass-Through Certificates, Series 1993-C1, Cl. E, 6.72%, 12/25/03(2)(6) 250,000 217,500 - -------------------------------------------------------------------------------------------------- CMC Securities Corp. I, Collateralized Mtg. Obligations, Series 1993-D, Cl. D-3, 10%, 7/25/23 113,187 113,754 - -------------------------------------------------------------------------------------------------- Commercial Mortgage Acceptance Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1996-C1, Cl. X-2, 30.084%, 12/25/20(2)(3) 18,624,900 250,272 - -------------------------------------------------------------------------------------------------- Commercial Mortgage Asset Trust, Series 1999-C1, Cl. C, 7.35%, 8/17/13 5,250,000 5,003,906 - -------------------------------------------------------------------------------------------------- FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1994-C1, Cl. 2-D, 8.70%, 9/25/25 1,000,000 985,312 Series 1994-C1, Cl. 2-E, 8.70%, 9/25/25 1,000,000 980,000 - -------------------------------------------------------------------------------------------------- First Union-Lehman Brothers Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1998-C2, Cl. E, 6.778%, 5/18/13 2,000,000 1,686,250 - -------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., Collateralized Mtg. Obligations: Series 1997-C2, Cl. D, 7.192%, 1/15/08 1,500,000 1,415,625 Series 1997-C2, Cl. F, 6.75%, 4/16/29 1,000,000 656,250 Series 1998-C1, Cl. E, 7.154%, 3/15/11(6) 1,500,000 1,431,562 - -------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg Pass-Through Certificates: Series 1997-CL1, Cl. F, 7.352%, 7/13/30(6) 1,000,000 971,562 Series 1997-CL1, Cl. F, 7.822%, 7/13/30(6) 1,000,000 924,062 - -------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates: Series 1996-C1, Cl. D, 7.42%, 4/25/28 1,500,000 1,470,000 Series 1997-C2, Cl. D, 7.072%, 12/10/29(6) 1,000,000 940,000
13 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Commercial (continued) Morgan Stanley Capital I, Inc., Commercial Mtg Pass-Through Certificates: Series 1996-C1, Cl. D1, 7.426%, 2/15/28(2)(6) $ 1,000,000 $ 975,312 Series 1996-C1, Cl. E, 7.426%, 3/15/06(2)(6) 1,100,000 908,187 Series 1997-HF1, Cl. F, 6.86%, 2/15/10(2) 225,000 170,156 Series 1997-RR, Cl. E, 7.727%, 4/30/39(2)(6) 400,000 274,375 Series 1997-RR, Cl. F, 7.649%, 4/30/39(2) 400,000 219,625 - -------------------------------------------------------------------------------------------------- NationsCommercial Corp., NB Commercial Mtg. Pass-Through Certificates, Series DMC, Cl. B, 8.562%, 8/12/11(2) 3,000,000 2,948,437 - -------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 7/25/02(2) 4,280,275 4,218,747 - -------------------------------------------------------------------------------------------------- Option One Mortgage Trust, Collateralized Mtg. Obligations, Series 1999-1A, 10.06%, 3/1/29(2) 3,492,091 3,492,091 - -------------------------------------------------------------------------------------------------- PNC Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1995-2, Cl. A3, 6.50%, 2/25/12 74,000 73,376 - -------------------------------------------------------------------------------------------------- Potomac Gurnee Financial Corp., Commercial Mtg. Pass-Through Certificates, Series 1, Cl. D, 7.68%, 12/21/26(2) 1,500,000 1,450,547 - -------------------------------------------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates: Series 1994-C1, Cl. C, 8%, 6/25/26 1,500,000 1,496,836 Series 1995-C1, Cl. D, 6.90%, 2/25/27 2,500,000 2,445,703 - -------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-C1, Cl. E, 9.184%, 1/20/06 700,000 669,594 - -------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1997-LLI, Cl. D, 7.15%, 4/12/12 2,500,000 2,407,812 - -------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Multiclass Pass-Through Certificates: Series 1996-C3, Cl. D, 8%, 6/25/30(2) 2,500,000 2,474,219 Series 1996-CFL, Cl. D, 7.034%, 2/25/28 3,500,000 3,490,156 ----------- 52,148,697 - -------------------------------------------------------------------------------------------------- Multi-Family--0.6% Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1994-10, Cl. A3, 6%, 5/25/09 250,000 247,108 - -------------------------------------------------------------------------------------------------- Mortgage Capital Funding, Inc.: Commercial Mtg. Pass-Through Certificates, Series 1997-MC1, Cl. F, 7.452%, 5/20/07(2) 254,890 203,912 Multifamily Mtg. Pass-Through Certificates, Series 1996-MC1, Cl. G, 7.15%, 6/15/06(7) 2,250,000 1,781,016 - -------------------------------------------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates, Series 1991-M5, Cl. A, 9%, 3/25/17(2) 42,948 42,546 ----------- 2,274,582
14 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Other--0.3% JHM Mtg. Acceptance Corp., Collateralized Mtg. Obligation Bonds, Series E, Cl. 5, 8.96%, 4/1/19 $ 938,047 $ 947,128 - -------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI: Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 23.119%, 10/23/17(3) 65,650 17,264 Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, (1.238)%, 10/23/17(4) 97,150 80,240 ------------ 1,044,632 - -------------------------------------------------------------------------------------------------- Residential--1.2% CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. E, 7.50%, 3/1/11(2) 1,000,000 859,688 - -------------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1: 8.054%, 5/25/08(2)(6) 750,000 615,000 8.055%, 2/25/11(2)(6) 750,000 536,250 - -------------------------------------------------------------------------------------------------- GE Capital Mortgage Services, Inc., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1994-7, Cl. A18, 6%, 2/25/09 198,885 184,838 - -------------------------------------------------------------------------------------------------- NationsBank Trust, Lease Pass-Through Certificates, Series 1997A-1, 7.442%, 1/10/11(6) 500,000 500,156 - -------------------------------------------------------------------------------------------------- Residential Funding Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, Series 1993-S10, Cl. A9, 8.50%, 2/25/23 136,512 138,986 - -------------------------------------------------------------------------------------------------- Ryland Mortgage Securities Corp. III, Sub. Bonds, Series 1992-A, Cl. 1A, 8.256%, 3/29/30(6) 255,850 254,852 - -------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl. 1, 6.581%, 4/25/26(2) 1,914,663 1,352,231 ------------ 4,442,001 ------------ Total Mortgage-Backed Obligations (Cost $140,506,342) 137,825,041 ================================================================================================== U.S. Government Obligations--1.0% - -------------------------------------------------------------------------------------------------- U.S. Treasury Bonds, STRIPS, 11.81%, 11/15/18(8) 1,400,000 413,158 - -------------------------------------------------------------------------------------------------- U.S. Treasury Inflationary Index Nts., 3.875%, 1/15/09(16) 3,542,700 3,503,954 ------------ Total U.S. Government Obligations (Cost $3,965,654) 3,917,112 ================================================================================================== Foreign Government Obligations--2.4% - -------------------------------------------------------------------------------------------------- Banque Centrale de Tunisie Unsec. Bonds, 8.25%, 9/19/27 1,080,000 899,100 - -------------------------------------------------------------------------------------------------- Colombia (Republic of) Nts., 7.25%, 2/23/04 525,000 404,250 - -------------------------------------------------------------------------------------------------- Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 700,000 588,000 - -------------------------------------------------------------------------------------------------- Israel (State of) Bonds, 7.25%, 12/15/28 5,250,000 4,664,278 - -------------------------------------------------------------------------------------------------- South Africa (Republic of) Unsec. Nts., 8.50%, 6/23/17 1,435,000 1,318,002 - -------------------------------------------------------------------------------------------------- Vodohospodarska Vystavba Gtd. Nts., 7.25%, 12/19/06 1,250,000 950,000 ------------ Total Foreign Government Obligations (Cost $9,164,580) 8,823,630
15 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) ================================================================================================== Loan Participations--0.5% - -------------------------------------------------------------------------------------------------- Ferrell Companies, Inc., 9.06% Sr. Sec. Nts., 7/17/06(2)(6) (Cost $1,683,593) $ 1,700,000 $ 1,687,250 ================================================================================================== Corporate Bonds and Notes--55.8% - -------------------------------------------------------------------------------------------------- Aerospace/Defense--1.4% Amtran, Inc., 9.625% Nts., 12/15/05 200,000 196,250 - -------------------------------------------------------------------------------------------------- Atlas Air, Inc.: 10.75% Sr. Nts., 8/1/05 125,000 128,125 8.01% Nts., 1/2/10 944,396 926,948 9.375% Sr. Unsec. Nts., 11/15/06 1,000,000 955,000 - -------------------------------------------------------------------------------------------------- Boeing Co., 7.50% Debs., 8/15/42 2,000,000 1,992,124 - -------------------------------------------------------------------------------------------------- Rolls-Royce Capital, Inc., 7.125% Unsec. Unsub. Nts., 7/29/03 1,000,000 1,005,100 - -------------------------------------------------------------------------------------------------- SC International Services, Inc., 9.25% Sr. Sub. Nts., Series B, 9/1/07 100,000 102,000 ----------- 5,305,547 - -------------------------------------------------------------------------------------------------- Chemicals--1.7% Equistar Chemicals LP, 8.75% Sr. Unsec. Nts., 2/15/09(7) 1,750,000 1,771,584 - -------------------------------------------------------------------------------------------------- Lyondell Chemical Co., 9.875% Nts., Series B, 5/1/07(7) 600,000 616,500 - -------------------------------------------------------------------------------------------------- Morton International, Inc., 9.25% Credit Sensitive Nts., 6/1/20 85,000 98,540 - -------------------------------------------------------------------------------------------------- NL Industries, Inc., 11.75% Sr. Sec. Nts., 10/15/03 492,000 519,060 - -------------------------------------------------------------------------------------------------- Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07 100,000 82,500 - -------------------------------------------------------------------------------------------------- Polymer Group, Inc., 9% Sr. Sub. Nts., 7/1/07 150,000 146,250 - -------------------------------------------------------------------------------------------------- PPG Industries, Inc., 9% Debs., 5/1/21 85,000 98,896 - -------------------------------------------------------------------------------------------------- Rohm & Haas Co., 7.85% Debs., 7/15/29(9) 2,800,000 2,862,076 - -------------------------------------------------------------------------------------------------- Sovereign Specialty Chemicals, Inc., 9.50% Sr. Unsec. Sub. Nts., Series B, 8/1/07 175,000 176,312 - -------------------------------------------------------------------------------------------------- ZSC Specialty Chemical plc, 11% Sr. Nts., 7/1/09(7) 200,000 202,750 ----------- 6,574,468 - -------------------------------------------------------------------------------------------------- Consumer Durables--0.2% Black & Decker Corp., 6.625% Nts., 11/15/00 145,000 145,789 - -------------------------------------------------------------------------------------------------- Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 250,000 188,750 - -------------------------------------------------------------------------------------------------- TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05(2) 370,000 416,246 ----------- 750,785 - -------------------------------------------------------------------------------------------------- Consumer Non-Durables--0.3% Bell Sports, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 8/15/08 125,000 125,000 - -------------------------------------------------------------------------------------------------- Fruit of the Loom, Inc.: 7% Debs., 3/15/11 500,000 413,264 8.875% Sr. Unsec. Nts., 4/15/06(7) 225,000 194,625 - -------------------------------------------------------------------------------------------------- Kimberly-Clark Corp., 7.875% Debs., 2/1/23 85,000 87,832 - -------------------------------------------------------------------------------------------------- Phillips-Van Heusen Corp., 9.50% Sr. Unsec. Sub. Nts., 5/1/08 250,000 251,250 - -------------------------------------------------------------------------------------------------- Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 145,000 141,375 ----------- 1,213,346
16 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Energy--2.4% Baker Hughes, Inc., 6.875% Sr. Nts., 1/15/29(7) $ 1,700,000 $ 1,582,754 - -------------------------------------------------------------------------------------------------- Coastal Corp., 8.125% Sr. Nts., 9/15/02 85,000 88,370 - -------------------------------------------------------------------------------------------------- Eastern Energy Ltd., 6.75% Sr. Nts., 12/1/06(7) 2,000,000 1,960,376 - -------------------------------------------------------------------------------------------------- ENSCO International, Inc., 7.20% Debs., 11/15/27 1,000,000 923,734 - -------------------------------------------------------------------------------------------------- Gulf Canada Resources Ltd.: 8.25% Sr. Nts., 3/15/17 75,000 68,437 9% Debs., 8/15/99 75,000 75,375 - -------------------------------------------------------------------------------------------------- Louisiana Land & Exploration Co., 7.65% Debs., 12/1/23 100,000 99,538 - -------------------------------------------------------------------------------------------------- McDermott, Inc., 9.375% Nts., 3/15/02 100,000 104,484 - -------------------------------------------------------------------------------------------------- Occidental Petroleum Corp., 11.125% Sr. Debs., 6/1/19 1,045,000 1,103,112 - -------------------------------------------------------------------------------------------------- Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 200,000 145,000 - -------------------------------------------------------------------------------------------------- P&L Coal Holdings Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 300,000 299,250 - -------------------------------------------------------------------------------------------------- Petroleum Geo-Services ASA, 7.50% Nts., 3/31/07 75,000 75,152 - -------------------------------------------------------------------------------------------------- RBF Finance Co., 11% Sec. Nts., 3/15/06(7) 245,000 253,575 - -------------------------------------------------------------------------------------------------- Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07 300,000 300,000 - -------------------------------------------------------------------------------------------------- TransCanada PipeLines Ltd., 9.875% Debs., 1/1/21 1,500,000 1,833,795 - -------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.25% Sr. Unsec. Debs., 2/1/06 100,000 95,230 ----------- 9,008,182 - -------------------------------------------------------------------------------------------------- Financial--22.8% 1st Bank Oak Park, 9% Nts., 8/6/29(7) 4,200,000 4,141,549 - -------------------------------------------------------------------------------------------------- AES Ironwood LLC, 8.857% Nts., 11/30/25(2) 3,500,000 3,509,555 - -------------------------------------------------------------------------------------------------- Aetna Services, Inc., 8% Debs., 1/15/17 553,000 558,179 - -------------------------------------------------------------------------------------------------- Allmerica Capital I, 8.207% Debs., 2/3/27(10) 2,000,000 2,076,398 - -------------------------------------------------------------------------------------------------- American General Institutional Capital B, 8.125% Bonds, Series B, 3/15/46(7) 75,000 79,353 - -------------------------------------------------------------------------------------------------- Associates Corp. of North America, 7.40% Medium-Term Nts., 7/7/99 300,000 300,031 - -------------------------------------------------------------------------------------------------- BHP Finance USA Ltd., 7.25% Nts., 3/1/16 3,500,000 3,346,906 - -------------------------------------------------------------------------------------------------- Capital One Financial Corp., 7.25% Nts., 12/1/03 50,000 49,378 - -------------------------------------------------------------------------------------------------- Chelsea GCA Realty Partner, Inc., 7.75% Unsec. Nts., 1/26/01 60,000 60,385 - -------------------------------------------------------------------------------------------------- Citicorp Capital I, 7.933% Gtd. Bonds, 2/15/27 1,000,000 1,009,745 - -------------------------------------------------------------------------------------------------- Commercial Credit Co., 5.55% Unsec. Nts., 2/15/01 145,000 143,844 - -------------------------------------------------------------------------------------------------- Conseco Financing Trust III, 8.796% Bonds, 4/1/27 100,000 92,086 - -------------------------------------------------------------------------------------------------- Countrywide Home Loan, Inc.: 6.05% Medium-Term Nts., Series D, 3/1/01 90,000 89,528 6.85% Nts., 6/15/04 3,500,000 3,504,305 - -------------------------------------------------------------------------------------------------- Dresdner Funding Trust II, 8.151% Nts., 6/30/31(7) 8,750,000 8,401,732 - -------------------------------------------------------------------------------------------------- Farmers Exchange Capital, 7.05% Trust Surplus Nts., 7/15/28(7) 2,000,000 1,812,794 - -------------------------------------------------------------------------------------------------- First Industrial LP, 7.15% Bonds, 5/15/27 75,000 74,099 - -------------------------------------------------------------------------------------------------- First Union National Bank, 6.50% Sub. Bank Nts., 12/1/28 5,250,000 4,681,729
17 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Financial (continued) Fleet Mtg./Norstar Group, Inc., 9.90% Sub. Nts., 6/15/01 $ 145,000 $ 153,817 - -------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 6.75% Nts., 8/15/08 1,000,000 985,013 - -------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 5.625% Nts., 2/15/01 175,000 173,461 - -------------------------------------------------------------------------------------------------- Integra Financial Corp., 6.50% Sub. Nts., 4/15/00 145,000 145,539 - -------------------------------------------------------------------------------------------------- Keycorp Capital II, 6.875% Bonds, 3/17/29 3,500,000 3,246,397 - -------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 6.625% Unsec. Nts., 2/5/06 3,150,000 3,018,286 - -------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 1,000,000 934,483 - -------------------------------------------------------------------------------------------------- Liberty Financial Co., 7.625% Unsec. Debs., 11/15/28 3,500,000 3,446,779 - -------------------------------------------------------------------------------------------------- Liberty Mutual Insurance Co., 7.697% Unsec. Nts., 10/15/2097(7) 9,000,000 8,196,444 - -------------------------------------------------------------------------------------------------- Lumbermens Mutual Casualty Co., 8.30% Surplus Nts., 12/1/37(7) 2,000,000 1,918,726 - -------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 6.50% Nts., 4/1/01 150,000 150,551 - -------------------------------------------------------------------------------------------------- National City Corp., 6.875% Unsec. Sub. Nts., 5/15/19 4,550,000 4,285,122 - -------------------------------------------------------------------------------------------------- National Westminster Bank plc, 9.375% Gtd. Capital Nts., 11/15/03 70,000 77,290 - -------------------------------------------------------------------------------------------------- NationsBank Corp., 10.20% Sub. Nts., 7/15/15 1,300,000 1,640,629 - -------------------------------------------------------------------------------------------------- Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 300,000 235,500 - -------------------------------------------------------------------------------------------------- Rothmans Nederland Holdings BV, 6.875% Sr. Unsec. Unsub. Nts., 5/6/08 7,250,000 6,856,687 - -------------------------------------------------------------------------------------------------- Royal Bank of Scotland Group (The) plc, 10.125% Gtd. Sub. Capital Nts., 3/1/04 500,000 566,504 - -------------------------------------------------------------------------------------------------- Ryder System, Inc., 8.75% Debs., Series J, 3/15/17 1,317,000 1,366,997 - -------------------------------------------------------------------------------------------------- Safeco Capital Trust I, 8.072% Nts., 7/15/37 5,750,000 5,544,552 - -------------------------------------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts., Series B, 4/1/08 435,000 406,725 - -------------------------------------------------------------------------------------------------- Sears Roebuck Acceptance Corp., 6.25% Unsec. Nts., 5/1/09 5,600,000 5,243,616 - -------------------------------------------------------------------------------------------------- Travelers Group, Inc., 6.875% Unsec. Nts., 2/15/2098 1,000,000 899,821 - -------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., 6.75% Nts., 4/15/01 145,000 146,304 - -------------------------------------------------------------------------------------------------- Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 135,000 132,975 - -------------------------------------------------------------------------------------------------- Washington Mutual Capital I, 8.375% Sub. Capital Income Nts., 6/1/27 2,000,000 2,034,576 ----------- 85,738,390 - -------------------------------------------------------------------------------------------------- Food & Drug--0.1% AmeriKing, Inc., 10.75% Sr. Nts., 12/1/06 160,000 162,400 - -------------------------------------------------------------------------------------------------- Pathmark Stores, Inc., 12.625% Sub. Nts., 6/15/02 150,000 153,000 ----------- 315,400 - -------------------------------------------------------------------------------------------------- Food/Tobacco--1.1% B.A.T. Capital Corp., 6.66% Medium-Term Nts., 3/22/00(7) 250,000 251,332 - -------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc., 10% Sr. Nts., 6/15/09 150,000 150,375 - -------------------------------------------------------------------------------------------------- Dole Food Distributing, Inc., 6.75% Nts., 7/15/00 150,000 150,119 - -------------------------------------------------------------------------------------------------- Pepsi Bottling Group, Inc., 7% Sr. Nts., 3/1/29(7) 3,500,000 3,281,526 - -------------------------------------------------------------------------------------------------- Purina Mills, Inc., 9% Sr. Unsec. Sub. Nts., 3/15/10 100,000 75,500 - -------------------------------------------------------------------------------------------------- SmithField Foods, Inc., 7.625% Sr. Unsec. Sub. Nts., 2/15/08 250,000 227,500 ----------- 4,136,352
18 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Forest Products/Containers--0.2% Mail-Well Corp., 8.75% Sr. Unsec. Sub. Nts., Series B, 12/15/08 $ 135,000 $ 131,625 - -------------------------------------------------------------------------------------------------- Riverwood International Corp., 10.625% Sr. Unsec. Nts., 8/1/07 200,000 206,000 - -------------------------------------------------------------------------------------------------- U.S. Can Corp., 10.125% Sr. Sub. Nts., Series B, 10/15/06 250,000 262,188 ----------- 599,813 - -------------------------------------------------------------------------------------------------- Gaming/Leisure--0.9% Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 150,000 141,000 - -------------------------------------------------------------------------------------------------- Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 235,000 267,019 - -------------------------------------------------------------------------------------------------- Empress Entertainment, Inc., 8.125% Sr. Sub. Nts., 7/1/06 200,000 200,750 - -------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.375% Nts., 6/1/02 75,000 74,980 - -------------------------------------------------------------------------------------------------- HMH Properties, Inc., 8.45% Sr. Nts., Series C, 12/1/08 900,000 859,500 - -------------------------------------------------------------------------------------------------- Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 100,000 102,125 - -------------------------------------------------------------------------------------------------- Intrawest Corp., 9.75% Sr. Nts., 8/15/08 250,000 253,125 - -------------------------------------------------------------------------------------------------- Meristar Hospitality Corp., 8.75% Sr. Sub. Nts., 8/15/07(7) 700,000 668,500 - -------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 8.125% Sr. Nts., 1/1/06 200,000 197,000 8.75% Sr. Unsec. Sub. Nts., 1/1/09 100,000 99,500 - -------------------------------------------------------------------------------------------------- Premier Parks, Inc., 9.75% Sr. Nts., 6/15/07 200,000 203,000 - -------------------------------------------------------------------------------------------------- Station Casinos, Inc., 9.75% Sr. Sub. Nts., 4/15/07 150,000 153,000 ----------- 3,219,499 - -------------------------------------------------------------------------------------------------- Healthcare--0.5% Columbia/HCA Healthcare Corp., 6.875% Nts., 7/15/01 160,000 155,814 - -------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 150,000 139,875 - -------------------------------------------------------------------------------------------------- HEALTHSOUTH Corp., 9.50% Sr. Sub. Nts., 4/1/01(2) 500,000 512,839 - -------------------------------------------------------------------------------------------------- ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(7) 140,000 138,250 - -------------------------------------------------------------------------------------------------- Imcera Group, Inc., 6% Nts., 10/15/03 500,000 490,614 - -------------------------------------------------------------------------------------------------- Integrated Health Services, Inc., 9.50% Sr. Sub. Nts., 9/15/07 20,000 14,700 - -------------------------------------------------------------------------------------------------- Oxford Health Plans, Inc., 11% Sr. Nts., 5/15/05(7) 350,000 362,250 ----------- 1,814,342 - -------------------------------------------------------------------------------------------------- Housing--1.6% Building Materials Corp. of America, 8% Sr. Unsec. Nts., 12/1/08 200,000 187,500 - -------------------------------------------------------------------------------------------------- CB Richard Ellis Services, Inc., 8.875% Sr. Unsec. Sub. Nts., 6/1/06(2) 250,000 242,500 - -------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 300,000 283,500 - -------------------------------------------------------------------------------------------------- Kimco Realty Corp., 6.875% Sr. Unsec. Nts., 2/10/09 4,900,000 4,680,328 - -------------------------------------------------------------------------------------------------- Nortek, Inc.: 9.125% Sr. Nts., Series B, 9/1/07 250,000 248,750 9.25% Sr. Nts., Series B, 3/15/07 250,000 251,250 ----------- 5,893,828
19 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Information Technology--0.2% Details, Inc., 10% Sr. Sub. Nts., Series B, 11/15/05 $ 200,000 $ 186,500 - -------------------------------------------------------------------------------------------------- Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 250,000 243,750 - -------------------------------------------------------------------------------------------------- Unisys Corp., 11.75% Sr. Nts., 10/15/04 300,000 334,500 ----------- 764,750 - -------------------------------------------------------------------------------------------------- Manufacturing--0.8% Caterpillar, Inc., 9.75% Debs., 6/1/19 1,750,000 1,834,352 - -------------------------------------------------------------------------------------------------- Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 500,000 515,000 - -------------------------------------------------------------------------------------------------- Grove Worldwide LLC, 9.25% Sr. Sub. Nts., 5/1/08 200,000 147,000 - -------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 150,000 135,750 - -------------------------------------------------------------------------------------------------- Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts., Series B, 6/15/07 300,000 285,000 - -------------------------------------------------------------------------------------------------- Terex Corp., 8.875% Sr. Unsec. Sub. Nts., Series C, 4/1/08(7) 150,000 144,000 ----------- 3,061,102 - -------------------------------------------------------------------------------------------------- Media/Entertainment: Broadcasting--0.8% Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07 175,000 178,500 - -------------------------------------------------------------------------------------------------- Chancellor Media Corp.: 8.75% Sr. Unsec. Sub. Nts., Series B, 6/15/07 1,200,000 1,201,500 9% Sr. Unsec. Sub. Nts., 10/1/08 800,000 818,000 - -------------------------------------------------------------------------------------------------- Emmis Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09(7) 300,000 286,875 - -------------------------------------------------------------------------------------------------- Young Broadcasting, Inc.: 8.75% Sr. Sub. Debs., 6/15/07 300,000 292,500 9% Sr. Sub. Nts., Series B, 1/15/06 400,000 393,000 ----------- 3,170,375 - -------------------------------------------------------------------------------------------------- Media/Entertainment: Cable/Wireless Video--1.2% Adelphia Communications Corp.: 8.375% Sr. Nts., Series B, 2/1/08 700,000 677,250 9.25% Sr. Nts., 10/1/02 150,000 152,625 - -------------------------------------------------------------------------------------------------- Charter Communication Holdings LLC/Charter Communication Holdings Capital Corp., 8.25% Sr. Nts., 4/1/07(7) 1,500,000 1,443,750 - -------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 500,000 465,625 - -------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09(7) 600,000 613,500 - -------------------------------------------------------------------------------------------------- TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 1,125,000 1,196,699 ----------- 4,549,449
20 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Media/Entertainment: Diversified Media--1.5% Imax Corp., 7.875% Sr. Nts., 12/1/05 $ 400,000 $ 378,500 - -------------------------------------------------------------------------------------------------- Knight-Ridder, Inc., 6.875% Debs., 3/15/29 5,250,000 4,872,945 - -------------------------------------------------------------------------------------------------- SFX Entertainment, Inc., 9.125% Sr. Unsec. Sub. Nts.: 12/1/08 150,000 146,250 Series B, 2/1/08 125,000 123,125 ----------- 5,520,820 - -------------------------------------------------------------------------------------------------- Media/Entertainment: Telecommunications--2.6% Amazon.Com, Inc., 0%/10% Sr. Unsec. Disc. Nts., 5/1/08(11) 200,000 131,500 - -------------------------------------------------------------------------------------------------- Cable & Wireless Communications plc, 6.75% Nts., 12/1/08 5,250,000 5,029,526 - -------------------------------------------------------------------------------------------------- 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) 350,000 292,250 - -------------------------------------------------------------------------------------------------- Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 100,000 100,750 - -------------------------------------------------------------------------------------------------- Focal Communications Corp., 0%/12.125% Sr. Unsec Disc. Nts., 2/15/08(11) 160,000 90,400 - -------------------------------------------------------------------------------------------------- Globix Corp., 13% Sr. Unsec. Nts., 5/1/05(2) 100,000 96,000 - -------------------------------------------------------------------------------------------------- GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts., 12/15/05(7)(11) 100,000 135,625 - -------------------------------------------------------------------------------------------------- Intermedia Communications, Inc., 8.60% Sr. Unsec. Nts., Series B, 6/1/08 400,000 370,000 - -------------------------------------------------------------------------------------------------- Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 350,000 361,375 - -------------------------------------------------------------------------------------------------- NEXTLINK Communications, Inc.: 9% Sr. Nts., 3/15/08 150,000 141,750 9.625% Sr. Nts., 10/1/07 900,000 879,750 - -------------------------------------------------------------------------------------------------- NTL, Inc.: 10% Sr. Nts., Series B, 2/15/07 100,000 104,000 11.50% Sr. Unsec. Nts., Series B, 10/1/08 400,000 442,500 - -------------------------------------------------------------------------------------------------- PSINet, Inc.: 10% Sr. Unsec. Nts., Series B, 2/15/05 350,000 353,500 11.50% Sr. Unsec. Nts., 11/1/08 500,000 530,000 - -------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 0%/8.29% Sr. Unsec Disc. Nts., Series B, 2/1/08(11) 400,000 298,000 - -------------------------------------------------------------------------------------------------- Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 200,000 205,000 - -------------------------------------------------------------------------------------------------- WAM!NET, Inc., 0%/13.25% Sr. Unsec. Disc. Nts., Series B, 3/1/05(2)(11) 400,000 244,000 ----------- 9,805,926
21 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Media/Entertainment: Wireless Communications--0.7% Arch Communications, Inc., 12.75% Sr. Nts., 7/1/07 $ 100,000 $ 86,500 - -------------------------------------------------------------------------------------------------- Dobson Communications Corp., 11.75% Sr. Nts., 4/15/07 200,000 213,000 - -------------------------------------------------------------------------------------------------- Geotek Communications, Inc., 12% Cv. Sr. Sub. Nts., 2/15/01(13) 25,000 156 - -------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd., 9.50% Sr. Nts., 1/15/06 75,000 65,438 - -------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 0%/10.65% Sr. Disc. Nts., 9/15/07(11) 30,000 21,975 - -------------------------------------------------------------------------------------------------- Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 60,000 61,500 - -------------------------------------------------------------------------------------------------- Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(11) 200,000 111,000 - -------------------------------------------------------------------------------------------------- Pinnacle Holdings, Inc., 0%/10% Sr. Unsec. Disc. Nts., 3/15/08(11) 200,000 115,500 - -------------------------------------------------------------------------------------------------- Price Communications Wireless, Inc., 9.125% Sr. Sec. Nts., Series B, 12/15/06 500,000 507,500 - -------------------------------------------------------------------------------------------------- Real Time Data, Inc., Units (each unit consists of $1,000 principal amount of 0%/13.50% sub. disc. nts., 8/15/06 and one warrant to purchase six ordinary shares)(2)(11)(12) 1,000,000 465,000 - -------------------------------------------------------------------------------------------------- Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 500,000 505,000 - -------------------------------------------------------------------------------------------------- SBA Communications Corp., 0%/12% Sr. Unsec. Disc. Nts., 3/1/08(11) 800,000 464,000 - -------------------------------------------------------------------------------------------------- Spectrasite Holdings, Inc., 0%/12% Sr. Disc. Nts., 7/15/08(7)(11) 300,000 190,500 ----------- 2,807,069 - -------------------------------------------------------------------------------------------------- Metals/Minerals--0.4% AK Steel Corp.: 7.875% Sr. Nts., 2/15/09(7) 500,000 482,500 9.125% Sr. Nts., 12/15/06 90,000 93,150 - -------------------------------------------------------------------------------------------------- Alcan Aluminum Ltd.: 9.625% Debs., 7/15/19 25,000 26,285 9.625% Debs., 7/15/19 140,000 146,496 - -------------------------------------------------------------------------------------------------- Great Lakes Carbon Corp., 10.25% Sr. Sub. Nts., Series B, 5/15/08 250,000 245,000 - -------------------------------------------------------------------------------------------------- International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 175,000 176,313 - -------------------------------------------------------------------------------------------------- National Steel Corp., 9.875% Nts., Series B, 3/1/09(7) 200,000 204,500 ----------- 1,374,244 - -------------------------------------------------------------------------------------------------- Retail--2.5% Boyds Collection Ltd. (The), 9% Sr. Sub. Nts., 5/15/08(7) 390,000 387,075 - -------------------------------------------------------------------------------------------------- Dana Corp., 7% Unsec. Nts., 3/1/29 2,450,000 2,241,233 - -------------------------------------------------------------------------------------------------- Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 150,000 131,250 - -------------------------------------------------------------------------------------------------- Finlay Enterprises, Inc., 9% Debs., 5/1/08 100,000 96,000 - -------------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 200,000 194,000 - -------------------------------------------------------------------------------------------------- Home Interiors & Gifts, Inc., 10.125% Sr. Sub. Nts., 6/1/08 400,000 398,000 - -------------------------------------------------------------------------------------------------- May Department Stores Cos., 10.625% Debs., 11/1/10 405,000 512,464 - -------------------------------------------------------------------------------------------------- Sears Canada, Inc., 11.70% Debs., 7/10/00(CAD) 500,000 358,009 - -------------------------------------------------------------------------------------------------- Sherwin-Williams Co., 7.45% Debs., 2/1/2097 5,250,000 5,097,850 ----------- 9,415,881
22 Oppenheimer Bond Fund
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Service--3.4% Allied Waste North America, Inc., 7.875% Sr. Unsec. Nts., Series B, 1/1/09 $ 300,000 $ 279,750 - -------------------------------------------------------------------------------------------------- Archer Daniels Midland Co., 7.125% Debs., 3/1/13 750,000 754,409 - -------------------------------------------------------------------------------------------------- Arvin Industries, Inc., 6.75% Nts., 3/15/08 500,000 469,960 - -------------------------------------------------------------------------------------------------- Fisher Scientific International, Inc.: 9% Sr. Unsec. Sub. Nts., 2/1/08 275,000 262,625 9% Sr. Unsec. Sub. Nts., 2/1/08 50,000 47,750 - -------------------------------------------------------------------------------------------------- Great Lakes Dredge & Dock Corp., 11.25% Sr. Unsec. Sub. Nts., 8/15/08 150,000 155,250 - -------------------------------------------------------------------------------------------------- Harcourt General, Inc., 7.30% Sr. Debs., 8/1/2097 5,400,000 4,487,870 - -------------------------------------------------------------------------------------------------- Lamar Advertising Co.: 8.625% Sr. Sub. Nts., 9/15/07 400,000 394,000 9.625% Sr. Sub. Nts., 12/1/06 150,000 155,250 - -------------------------------------------------------------------------------------------------- Norsk Hydro ASA, 7.15% Bonds, 1/15/29 5,150,000 4,757,148 - -------------------------------------------------------------------------------------------------- Safety-Kleen Corp., 9.25% Sr. Nts., 5/15/09(7) 500,000 505,000 - -------------------------------------------------------------------------------------------------- Sun Co., Inc., 7.95% Debs., 12/15/01 75,000 76,765 - -------------------------------------------------------------------------------------------------- URS Corp., 12.25% Sr. Sub. Nts., 5/1/09(7) 500,000 510,000 - -------------------------------------------------------------------------------------------------- USI American Holdings, Inc., 7.25% Sr. Nts., Series B, 12/1/06 80,000 78,768 ----------- 12,934,545 - -------------------------------------------------------------------------------------------------- Transportation--5.0% Canadian Pacific Ltd., 9.45% Debs., 8/1/21 1,000,000 1,165,090 - -------------------------------------------------------------------------------------------------- Chrysler Corp., 7.40% Debs., 8/1/2097 3,000,000 2,947,995 - -------------------------------------------------------------------------------------------------- Coach USA, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 40,000 41,800 - -------------------------------------------------------------------------------------------------- CSX Corp., 7.05% Debs., 5/1/02 85,000 85,885 - -------------------------------------------------------------------------------------------------- Ford Motor Co., 8.875% Debs., 11/15/22 2,000,000 2,100,056 - -------------------------------------------------------------------------------------------------- Hayes Wheels International, Inc., 11% Sr. Sub. Nts., 7/15/06 200,000 217,500 - -------------------------------------------------------------------------------------------------- Johnson Controls, Inc., 7.70% Debs., 3/1/15 500,000 518,543 - -------------------------------------------------------------------------------------------------- Kansas City Southern Industries, Inc., 6.625% Nts., 3/1/05 750,000 732,668 - -------------------------------------------------------------------------------------------------- Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07 200,000 197,000 - -------------------------------------------------------------------------------------------------- Navigator Gas Transport plc: 10.50% First Priority Ship Mtg. Nts., 6/30/07(7) 400,000 198,000 Units (each unit consists of $1,000 principal amount of 12% second priority ship mtg. nts., 6/30/07 and 7.66 warrants)(7)(12) 100,000 32,500 - -------------------------------------------------------------------------------------------------- Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 200,000 201,000 - -------------------------------------------------------------------------------------------------- Qantas Airways Ltd., 7.75% Nts., 6/15/09(7) 5,250,000 5,276,660 - -------------------------------------------------------------------------------------------------- Trans World Airlines, Inc., 11.50% Sr. Sec. Nts., 12/15/04 150,000 132,938 - -------------------------------------------------------------------------------------------------- Transtar Holdings LP/Transtar Capital Corp., 0%/13.375% Sr. Disc. Nts., Series B, 12/15/03(11) 1,100,000 1,094,500 - -------------------------------------------------------------------------------------------------- Union Pacific Corp.: 7% Nts., 6/15/00 150,000 150,987 9.65% Medium-Term Nts., 4/17/00 100,000 102,506 - -------------------------------------------------------------------------------------------------- United Air Lines, Inc., 9.75% Non-Redeemable Debs., 8/15/21 3,000,000 3,486,963 ----------- 18,682,591
23 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) - -------------------------------------------------------------------------------------------------- Utilities--3.5% Ameritech Capital Funding Corp., 5.65% Unsec. Nts., 1/15/01 $ 100,000 $ 99,408 - -------------------------------------------------------------------------------------------------- Calpine Corp.: 7.75% Sr. Nts., 4/15/09 350,000 329,875 8.75% Sr. Nts., 7/15/07 185,000 183,150 - -------------------------------------------------------------------------------------------------- Israel Electric Corp. Ltd., 7.70% Bonds, 7/15/18(7) 6,500,000 6,091,657 - -------------------------------------------------------------------------------------------------- KN Energy, Inc., 7.45% Sr. Debs., 3/1/2098 3,500,000 2,969,071 - -------------------------------------------------------------------------------------------------- Laclede Gas Co., 8.50% First Mtg. Bonds, 11/15/04 500,000 534,474 - -------------------------------------------------------------------------------------------------- Long Island Lighting Co., 8.20% Debs., 3/15/23 1,700,000 1,810,194 - -------------------------------------------------------------------------------------------------- Northern Illinois Gas Co., 6.45% First Mtg. Bonds, 8/1/01 220,000 219,566 - -------------------------------------------------------------------------------------------------- Public Service Co. of Colorado, 8.75% First Mtg. Bonds, 3/1/22 250,000 258,976 - -------------------------------------------------------------------------------------------------- South Carolina Electric & Gas Co., 9% Mtg. Bonds, 7/15/06 500,000 554,704 - -------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 100,000 99,501 ------------ 13,150,576 ------------ Total Corporate Bonds and Notes (Cost $218,260,569) 209,807,280 Shares ================================================================================================== Preferred Stocks--0.6% - -------------------------------------------------------------------------------------------------- Capstar Communications, Inc., 12.625% Cum. Exchangeable, Series E, Non-Vtg.(2)(14) 226 26,272 - -------------------------------------------------------------------------------------------------- CRIIMI MAE, Inc., 10.875% Cum. Cv., Series B, Non-Vtg 13,000 211,250 - -------------------------------------------------------------------------------------------------- ING Capital Fund Trust, 7.70% Non-Cum.(15) 70,000 1,750,000 - -------------------------------------------------------------------------------------------------- NEXTLINK Communications, Inc., 14% Cum., Non-Vtg.(14) 2,328 118,146 - -------------------------------------------------------------------------------------------------- Star Gas Partners LP, Units (representing Ltd. Partnership interests) 330 5,672 - -------------------------------------------------------------------------------------------------- Total Preferred Stocks (Cost $2,229,635) 2,111,340 ------------ ================================================================================================== Other Securities--1.4% - -------------------------------------------------------------------------------------------------- Allstate Financing I, 7.95% Cum. Quarterly Income Preferred Securities, Series A, Non-Vtg 80,000 2,020,000 - -------------------------------------------------------------------------------------------------- News Corp. Ltd., 5% Preferred Stock(15) 52,500 3,228,750 - -------------------------------------------------------------------------------------------------- Total Other Securities (Cost $5,414,600) 5,248,750 ================================================================================================== Common Stocks--0.0% - -------------------------------------------------------------------------------------------------- Optel, Inc.(15) 100 1 - -------------------------------------------------------------------------------------------------- Viatel, Inc.(15) 795 44,620 ------------ Total Common Stocks (Cost $5,442) 44,621
24 Oppenheimer Bond Fund
Market Value Units See Note (1) ================================================================================================== Rights, Warrants and Certificates--0.0% - -------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/07(2) 50 $ 17,506 - -------------------------------------------------------------------------------------------------- Dairy Mart Convenience Stores, Inc. Wts., Exp. 12/01(2) 333 117 - -------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/05 300 17,268 - -------------------------------------------------------------------------------------------------- Globix Corp. Wts., Exp. 5/05(2) 200 20,000 - -------------------------------------------------------------------------------------------------- Gothic Energy Corp. Wts.: Exp. 1/03 1,668 -- Exp. 1/03(2) 953 10 Exp. 9/04(2) 2,800 2,976 - -------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/05(2) 1,980 28,558 - -------------------------------------------------------------------------------------------------- Intermedia Communications, Inc. Wts., Exp. 6/00(2) 50 5,548 - -------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/08(2) 150 450 - -------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/07(2) 200 2,425 - -------------------------------------------------------------------------------------------------- Price Communications Corp. Wts., Exp. 8/07(2) 258 23,607 - -------------------------------------------------------------------------------------------------- Signature Brands, Inc. Wts., Exp. 12/49(2) 50 1,006 - -------------------------------------------------------------------------------------------------- WAM!NET, Inc. Wts., Exp. 3/05(7) 1,200 26,850 ----------- Total Rights, Warrants and Certificates (Cost $3,971) 146,321 Face Amount(1) ================================================================================================== Structured Instruments--0.2% - -------------------------------------------------------------------------------------------------- Shoshone Partners Loan Trust Sr. Nts., 6.653%, 4/28/02 (representing a basket of reference loans and a total return swap between Chase Manhattan Bank and the Trust)(2)(6) (Cost $750,000) $ 750,000 711,067 Date Strike Contracts ================================================================================================== Call Options Purchased--0.0% - -------------------------------------------------------------------------------------------------- U.S. Treasury Bond Futures, 10 yr., 9/99 Call Opt. 7/99 111% 105 85,312 - -------------------------------------------------------------------------------------------------- U.S. Treasury Bond Futures, 10 yr., 9/99 Call Opt. 7/99 112 210 75,469 ----------- Total Call Options Purchased (Cost $86,888) 160,781
25 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Investments (Unaudited) (Continued) - --------------------------------------------------------------------------------
Face Market Value Amount(1) See Note (1) ================================================================================================== Repurchase Agreements--3.0% - -------------------------------------------------------------------------------------------------- Repurchase agreement with First Chicago Capital Markets, 4.80%, dated 6/30/99, to be repurchased at $11,301,507 on 7/1/99, collateralized by U.S. Treasury Nts., 5.50%-8%, 11/30/99-7/15/06, with a value of $9,539,474, U.S. Treasury Bonds, 6%-9.25%, 2/15/16-2/15/26, with a value of $1,997,643 (Cost $11,300,000) $11,300,000 $ 11,300,000 - --------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $395,897,598) 102.0% 383,746,270 - --------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (2.0) (7,588,060) ----------- ------------ Net Assets 100.0% $376,158,210 =========== ============
1. Face amount is reported in U.S. Dollars, except for those denoted in the following currency: CAD--Canadian Dollar 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. 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. 5. A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See Note 5 of Notes to Financial Statements. 6. Represents the current interest rate for a variable rate security. 7. 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 $54,144,628 or 14.39% of the Fund's net assets as of June 30, 1999. 8. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 9. When-issued security to be delivered and settled after June 30, 1999. 10. Securities with an aggregate market value of $1,031,096 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 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 may be 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--issuer is in default. 14. Interest or dividend is paid in kind. 15. Non-income-producing security. 16. Denotes an inflation-indexed security: coupon and principal are indexed to the consumer price index. See accompanying Notes to Financial Statements. 26 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Assets and Liabilities June 30, 1999 (Unaudited) - -------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------- Assets Investments, at value (cost $395,897,598)--see accompanying statement $ 383,746,270 - ---------------------------------------------------------------------------------------------- Cash 60,364 - ---------------------------------------------------------------------------------------------- Receivables and other assets: Interest, dividends and principal paydowns 5,342,182 Investments sold 4,241,253 Shares of beneficial interest sold 808,954 Closed foreign currency exchange contracts 1,021 Other 6,017 ------------- Total assets 394,206,061 ============================================================================================== Liabilities Unrealized depreciation on foreign currency exchange contracts--Note 5 10,407 - ---------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $2,797,956 purchased on a when-issued basis)--Note 1 16,443,050 Dividends 515,940 Shares of beneficial interest redeemed 442,862 Distribution and service plan fees 233,825 Daily variation on futures contracts--Note 6 188,531 Shareholder reports 77,638 Transfer and shareholder servicing agent fees 57,251 Closed foreign currency exchange contracts 49,644 Other 28,703 ------------- Total liabilities 18,047,851 ============================================================================================== Net Assets $ 376,158,210 ============= ============================================================================================== Composition of Net Assets Paid-in capital $ 391,893,212 - ---------------------------------------------------------------------------------------------- Overdistributed net investment income (4,120) - ---------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (3,360,177) - ---------------------------------------------------------------------------------------------- Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies (12,370,705) ------------- Net assets $ 376,158,210 =============
27 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Assets and Liabilities (Unaudited) (Continued) - -------------------------------------------------------------------------------- ============================================================================================== Net Asset Value Per Share Class A Shares: Net asset value and redemption price per share (based on net assets of $253,551,912 and 24,548,225 shares of beneficial interest outstanding) $ 10.33 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 10.85 - ---------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $98,220,426 and 9,513,957 shares of beneficial interest outstanding) $ 10.32 - ---------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $24,384,917 and 2,359,751 shares of beneficial interest outstanding) $ 10.33 - ---------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $955 and 92 shares of beneficial interest outstanding) $ 10.38
See accompanying Notes to Financial Statements. 28 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statement of Operations For the Six Months Ended June 30, 1999 (Unaudited) - -------------------------------------------------------------------------------- ============================================================================================== Investment Income Interest (net of foreign withholding taxes of $984) $ 14,112,502 - ---------------------------------------------------------------------------------------------- Dividends 278,843 ------------- Total income 14,391,345 ============================================================================================== Expenses Management fees--Note 4 1,356,392 - ---------------------------------------------------------------------------------------------- Distribution and service plan fees--Note 4 Class A 311,134 Class B 465,091 Class C 117,805 - ---------------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees--Note 4 330,448 - ---------------------------------------------------------------------------------------------- Shareholder reports 103,654 - ---------------------------------------------------------------------------------------------- Registration and filing fees 25,746 - ---------------------------------------------------------------------------------------------- Custodian fees and expenses 17,782 - ---------------------------------------------------------------------------------------------- Legal, auditing and other professional fees 10,818 - ---------------------------------------------------------------------------------------------- Trustees' compensation 3,161 - ---------------------------------------------------------------------------------------------- Other 20,215 ------------- Total expenses 2,762,246 Less expenses paid indirectly--Note 1 (9,427) ------------- Net expenses 2,752,819 ============================================================================================== Net Investment Income 11,638,526 Realized and Unrealized Gain (Loss) Net realized gain (loss) on: Investments (1,648,572) Closing of futures contracts 597,388 Closing and expiration of option contracts written--Note 7 18,243 ------------- Net realized loss (1,032,941) - ---------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation on: Investments (17,861,081) Translation of assets and liabilities denominated in foreign currencies 107,990 ------------- Net change (17,753,091) ------------- Net realized and unrealized loss (18,786,032) ============================================================================================== Net Decrease in Net Assets Resulting from Operations $ (7,147,506) =============
See accompanying Notes to Financial Statements. 29 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Statements of Changes in Net Assets - --------------------------------------------------------------------------------
Six Months Ended Year Ended June 30, 1999 December 31, (Unaudited) 1998 ================================================================================================== Operations Net investment income $ 11,638,526 $ 18,591,889 - -------------------------------------------------------------------------------------------------- Net realized gain (loss) (1,032,941) 314,291 - -------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation (17,753,091) (3,076,332) ------------ ------------ Net increase (decrease) in net assets resulting from operations (7,147,506) 15,829,848 ================================================================================================== Dividends to Shareholders Dividends from net investment income: Class A (8,259,359) (14,076,402) Class B (2,696,120) (3,655,574) Class C (683,056) (859,704) Class Y (34) (47) ================================================================================================== Beneficial Interest Transactions Net increase in net assets resulting from beneficial interest transactions--Note 2: Class A 19,709,479 57,901,460 Class B 14,930,645 40,449,784 Class C 3,778,462 12,786,693 Class Y -- 999 ================================================================================================== Net Assets Total increase 19,632,511 108,377,057 - -------------------------------------------------------------------------------------------------- Beginning of period 356,525,699 248,148,642 ------------ ------------ End of period (including overdistributed net investment income of $4,120 and $4,077, respectively) $376,158,210 $356,525,699 ============ ============
See accompanying Notes to Financial Statements. 30 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Financial Highlights - --------------------------------------------------------------------------------
Class A ----------------------------------------------------------------------------- Six Months Ended June 30, 1999 Year Ended December 31, (Unaudited) 1998 1997 1996 1995 1994 ============================================================================================================================ Per Share Operating Data Net asset value, beginning of period $10.86 $10.97 $10.70 $10.98 $10.01 $11.12 - ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .35 .71 .77 .78 .69 .65 Net realized and unrealized gain (loss) (.53) (.11) .27 (.28) .96 (1.08) ------ ------ ------ ------ ------ ------ Total income (loss) from investment operations (.18) .60 1.04 .50 1.65 (.43) - ---------------------------------------------------------------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.35) (.71) (.77) (.75) (.68) (.65) Dividends in excess of net investment income -- -- -- -- -- (.03) Tax return of capital -- -- -- (.03) -- -- ------ ------ ------ ------ ------ ------ Total dividends and distributions to shareholders (.35) (.71) (.77) (.78) (.68) (.68) - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $10.33 $10.86 $10.97 $10.70 $10.98 $10.01 ====== ====== ====== ====== ====== ====== ============================================================================================================================ Total Return, at Net Asset Value(1) (1.74)% (5.61)% 10.13% 4.87% 16.94% (3.87)% ============================================================================================================================ Ratios/Supplemental Data Net assets, end of period (in thousands) $253,552 $246,668 $190,706 $193,515 $169,059 $96,640 - ---------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $254,048 $217,944 $187,458 $178,130 $116,940 $102,168 - ---------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets:(2) Net investment income 6.56) 6.46) 7.20% 7.35% 6.47% 6.25% Expenses, before voluntary reimbursement by the Manager(3) 1.26) 1.22) 1.27% 1.30% 1.27% 1.06% Expenses, net of voluntary reimbursement by the Manager N/A N/A N/A N/A 1.26% N/A - ---------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate(4) 14% 67% 51% 54% 175% 70%
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. 31 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Financial Highlights (Continued) - --------------------------------------------------------------------------------
Class B ---------------------------------------------------------------------------- Six Months Ended June 30, 1999 Year Ended December 31, (Unaudited) 1998 1997 1996 1995 1994 ============================================================================================================================ Per Share Operating Data Net asset value, beginning of period $10.86 $10.97 $10.69 $10.98 $10.01 $11.11 - ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .31 .62 .69 .70 .63 .58 Net realized and unrealized gain (loss) (.54) (.10) .28 (.29) .94 (1.08) ------ ------ ------ ------ ------ ------ Total income (loss) from investment operations (.23) .52 .97 .41 1.57 (.50) - ---------------------------------------------------------------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.31) (.63) (.69) (.67) (.60) (.57) Dividends in excess of net investment income -- -- -- -- -- (.03) Tax return of capital -- -- -- (.03) -- -- ------ ------ ------ ------ ------ ------ Total dividends and distributions to shareholders (.31) (.63) (.69) (.70) (.60) (.60) - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $10.32 $10.86 $10.97 $10.69 $10.98 $10.01 ====== ====== ====== ====== ====== ====== ============================================================================================================================ Total Return, at Net Asset Value(1) (2.20)% 4.81% 9.41% 3.99% 16.06% (4.53)% ============================================================================================================================ Ratios/Supplemental Data Net assets, end of period (in thousands) $98,220 $88,061 $48,255 $38,826 $39,187 $3,451 - ---------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $93,847 $64,330 $41,439 $38,068 $12,823 $2,747 - ---------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets:(2) Net investment income 5.79% 5.68% 6.42% 6.59% 5.84% 5.53% Expenses, before voluntary reimbursement by the Manager(3) 2.01% 1.97% 2.02% 2.05% 2.12% 1.78% Expenses, net of voluntary reimbursement by the Manager N/A N/A N/A N/A 2.08% N/A - ---------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate(4) 14% 67% 51% 54% 175% 70%
2. Annualized for periods less than one full year. 3. Beginning in fiscal 1995, the expense ratio reflects the effect of expenses paid indirectly by the Fund. Prior year expense ratios have not been adjusted. 32 Oppenheimer Bond Fund
Class C ------------------------------------------------------------ Six Months Ended June 30, 1999 Year Ended December 31, (Unaudited) 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 .31 .62 .69 .70 .28 Net realized and unrealized gain (loss) (.54) (.10) .28 (.29) .10 ------ ------ ------ ------ ------ Total income (loss) from investment operations (.23) .52 .97 .41 .38 - ----------------------------------------------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.31) (.63) (.69) (.67) (.28) Dividends in excess of net investment income -- -- -- -- -- Tax return of capital -- -- -- (.03) -- ------ ------ ------ ------ ------ Total dividends and distributions to shareholders (.31) (.63) (.69) (.70) (.28) - ----------------------------------------------------------------------------------------------------------- Net asset value, end of period $10.33 $10.87 $10.98 $10.70 $10.99 ====== ====== ====== ====== ====== =========================================================================================================== Total Return, at Net Asset Value(1) (2.19)% 4.81% 9.39% 4.00% 3.76% =========================================================================================================== Ratios/Supplemental Data Net assets, end of period (in thousands) $24,385 $21,796 $9,188 $4,322 $3,971 - ----------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $23,770 $15,198 $6,134 $3,404 $ 979 - ----------------------------------------------------------------------------------------------------------- Ratios to average net assets:(2) Net investment income 5.79% 5.66% 6.36% 6.60% 6.32% Expenses, before voluntary reimbursement by the Manager(3) 2.01% 1.96% 2.02% 2.05% 2.25% Expenses, net of voluntary reimbursement by the Manager N/A N/A N/A N/A 1.96% - ----------------------------------------------------------------------------------------------------------- Portfolio turnover rate(4) 14% 67% 51% 54% 175%
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 June 30, 1999, were $426,356,247 and $361,111,991, respectively. For the period ended December 31, 1995, purchases and sales of investment securities included mortgage dollar-rolls. 33 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Financial Highlights (Continued) - --------------------------------------------------------------------------------
Class Y ----------------------- Six Months Ended Period June 30, Ended 1999 Dec. 31, (Unaudited) 1998(6) ====================================================================================== Per Share Operating Data Net asset value, beginning of period $10.86 $10.88 - -------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .37 .49 Net realized and unrealized gain (loss) (.48) (.02) ------ ------ Total income (loss) from investment operations (.11) .47 - -------------------------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.37) (.49) Dividends in excess of net investment income -- -- Tax return of capital -- -- ------ ------ Total dividends and distributions to shareholders (.37) (.49) - -------------------------------------------------------------------------------------- Net asset value, end of period $10.38 $10.86 ====== ====== ====================================================================================== Total Return, at Net Asset Value(1) (1.61)% 4.40% ====================================================================================== Ratios/Supplemental Data Net assets, end of period (in thousands) $1 $1 - -------------------------------------------------------------------------------------- Average net assets (in thousands) $1 $1 Ratios to average net assets:(2) Net investment income 7.18% 6.84 Expenses, before voluntary reimbursement by the Manager(3) 0.83% 0.74 Expenses, net of voluntary reimbursement by the Manager N/A N/A - -------------------------------------------------------------------------------------- Portfolio turnover rate(4) 14% 67%
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. 34 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) - -------------------------------------------------------------------------------- ================================================================================ 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. 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 with a front-end sales charge, on investments up to $1 million. Class B and Class C shares 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 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. 35 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 1. Significant Accounting Policies (continued) Securities Purchased on a When-Issued Basis. Delivery and payment for securities that have been purchased by the Fund on a forward commitment or when-issued basis can take place a month or more after the transaction date. Normally the settlement date occurs within six months after the transaction date; however, the fund may, from time to time, purchase securities whose settlement date extends beyond six months and possibly as long as two years or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains segregated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued or forward commitment basis may increase the volatility of the Fund's net asset value to the extent the Fund makes such purchases while remaining substantially fully invested. As of June 30, 1999, the Fund had entered into outstanding when-issued or forward commitments of $2,797,956. In connection with its ability to purchase securities on a when-issued or forward commitment basis, the Fund may enter into mortgage dollar-rolls in which the Fund sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records each dollar-roll as a sale and a new purchase transaction. - -------------------------------------------------------------------------------- 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. 36 Oppenheimer Bond Fund ================================================================================ 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 carryovers, to shareholders. Therefore, no federal income or excise tax provision is required. - -------------------------------------------------------------------------------- Distributions to Shareholders. 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. - -------------------------------------------------------------------------------- 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. 37 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 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:
Six Months Ended June 30, 1999 Year Ended December 31, 1998 ------------------------------ ---------------------------- Shares Amount Shares Amount - --------------------------------------------------------------------------------------------------------------------------- Class A: Sold 3,321,042 $ 35,527,263 6,327,132 $ 68,506,645 Dividends reinvested 1,706,829 18,132,739 929,158 10,176,270 Issued in connection with the acquisition of Oppenheimer LifeSpan Income Fund--Note 9 -- -- 2,792,886 30,889,321 Redeemed (3,190,871) (33,950,523) (4,721,024) (51,670,776) ---------- ------------ ---------- ------------ Net increase 1,837,000 $ 19,709,479 5,328,152 $ 57,901,460 ========== ============ ========== ============ - --------------------------------------------------------------------------------------------------------------------------- Class B: Sold 1,996,559 $ 21,241,721 5,173,605 $ 56,405,052 Dividends reinvested 1,002,358 10,667,423 235,563 2,578,186 Issued in connection with the acquisition of Oppenheimer LifeSpan Income Fund--Note 9 -- -- 85,738 947,405 Redeemed (1,596,724) (16,978,499) (1,783,066) (19,480,859) ---------- ------------ ---------- ------------ Net increase 1,402,193 $ 14,930,645 3,711,840 $ 40,449,784 ========== ============ ========== ============ - --------------------------------------------------------------------------------------------------------------------------- Class C: Sold 672,939 $ 7,177,322 1,595,718 $ 17,436,546 Dividends reinvested 185,722 1,964,539 58,558 641,296 Issued in connection with the acquisition of Oppenheimer LifeSpan Income Fund--Note 9 -- -- 8,740 96,665 Redeemed (504,786) (5,363,399) (494,157) (5,387,814) ---------- ------------ ---------- ------------ Net increase 353,875 $ 3,778,462 1,168,859 $ 12,786,693 ========== ============ ========== ============ - --------------------------------------------------------------------------------------------------------------------------- Class Y: Sold -- -- 92 $ 999 ---------- ------------ ---------- ------------ Net increase -- -- 92 $ 999 ========== ============ ========== ============
38 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 3. Unrealized Gains and Losses on Securities As of June 30, 1999, net unrealized depreciation on investments of $12,151,328 was composed of gross appreciation of $3,100,840, and gross depreciation of $15,252,168. ================================================================================ 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 the Fund's average annual net assets, 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 annualized management fee for the six months ended June 30, 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 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 Six Months Ended Shares Distributor Distributor(1) Distributor(1) Distributor(1) - ----------------------------------------------------------------------------------------------------------------- June 30, 1999 $478,103 $130,665 $135,589 $849,515 $71,462
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 Six Months Ended Retained by Distributor Retained by Distributor Retained by Distributor - ----------------------------------------------------------------------------------------------------- June 30, 1999 $-- $194,422 $8,548
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. 39 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 4. Management Fees and Other Transactions with Affiliates (continued) 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 on or after April 1, 1988. The rate is 0.15% for shares purchased before that date. 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 six months ended June 30, 1999, payments under the Class A Plan totaled $311,134, all of which was paid by the Distributor to recipients. That included $103,611 paid to an affiliate of the Distributor's parent company. 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 from the Fund under the plans. If either the Class B or the Class C 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 six months ended June 30, 1999 were as follows:
Distributor's Distributor's Aggregate Unreimbursed Unreimbursed Expenses Total Payments Amount Retained Expenses As % of Net Class Under Plan By Distributor Under Plan Assets of Class - ------------------------------------------------------------------------------------------------------- Class B Plan $465,091 $395,887 $2,941,767 3.00% - ------------------------------------------------------------------------------------------------------- Class C Plan $117,805 $ 62,908 $ 331,492 1.36%
40 Oppenheimer Bond Fund ================================================================================ 5. Foreign Currency Contracts A foreign currency exchange 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 exchange contracts for operational purposes and to seek to protect against adverse exchange rate fluctuation. 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. As of June 30, 1999, the Fund had outstanding foreign currency contracts as follows:
Contract Expiration Amount Valuation as of Unrealized Contract Description Date (000s) June 30, 1999 Depreciation - ------------------------------------------------------------------------------------------ Contracts to Sell - ----------------- Canadian Dollar(CAD) 7/15/99 550(CAD) $371,690 $10,407
================================================================================ 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. 41 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 6. Futures Contracts (continued) 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. As of June 30, 1999, the Fund had outstanding futures contracts as follows:
Expiration Number of Valuation as of Unrealized Contract Description Dates Contracts June 30, 1999 Depreciation - ---------------------------------------------------------------------------------------------------- Contracts to Sell - ----------------- U.S. Treasury Nts., 5 yr. 9/21/99 2 $ 218,000 $ 1,812 U.S. Treasury Nts., 10 yr. 9/21/99 105 11,674,688 149,843 U.S. Treasury Nts., 30 yr. 9/21/99 105 12,170,156 57,423 -------- $209,078 ========
================================================================================ 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. Options written are reported as a liability in the Statement of Assets and Liabilities. Gains and losses are reported in the Statement of Operations. 42 Oppenheimer Bond Fund ================================================================================ 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. Written option activity for the six months ended June 30, 1999 was as follows:
Put Options --------------------------- Number of Amount of Options Premiums - ----------------------------------------------------------------------------------------- Options outstanding as of December 31, 1998 -- $ -- Options written 70 18,244 Options closed or expired (70) (18,244) --- -------- Options outstanding as of June 30, 1999 -- $ -- === ========
================================================================================ 8. Illiquid or Restricted Securities As of June 30, 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 June 30, 1999, was $31,660,882, which represents 8.42% of the Fund's net assets, of which $416,246 is considered restricted. Information concerning restricted securities is as follows:
Valuation Acquisition Cost Per Unit as of Security Date Per Unit June 30, 1999 - ------------------------------------------------------------------------------ Bonds - ----- TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05 12/8/95 100% 112.499%
43 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Notes to Financial Statements (Unaudited) (Continued) - -------------------------------------------------------------------------------- ================================================================================ 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 (at an exchange ratio of 0.936419 for Class A, 0.940145 for Class B and 0.939042 for Class C to the Fund to one share of Oppenheimer LifeSpan Income Fund) 2,792,886, 85,738 and 8,740 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 0.35%. 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 0.0575% per annum. The Fund had no borrowings outstanding during the six months ended June 30, 1999. 44 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- Oppenheimer Bond Fund - -------------------------------------------------------------------------------- A Series of Oppenheimer Integrity Funds ================================================================================ Officers and Trustees James C. Swain, Chairman and Chief Executive Officer Bridget A. Macaskill, President Robert G. Avis, Trustee William A. Baker, 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, Vice President and 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. The financial statements included herein have been taken from the records of the Fund without examination of the independent auditors. 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 any bank, 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. 45 Oppenheimer Bond Fund - -------------------------------------------------------------------------------- OppenheimerFunds Family - -------------------------------------------------------------------------------- ============================================================================================== Real Asset Funds - ---------------------------------------------------------------------------------------------- Real Asset Fund Gold & Special Minerals Fund ============================================================================================== Global Stock Funds - ---------------------------------------------------------------------------------------------- Developing Markets Fund International Growth Fund Global Growth & Income Fund International Small Global Fund Europe Fund Company Fund Quest Global Value Fund ============================================================================================== Stock Funds - ---------------------------------------------------------------------------------------------- Enterprise Fund MidCap Fund Growth Fund Discovery Fund Capital Appreciation Fund Large Cap Growth Fund Quest Small Cap Value Fund Quest Capital Value Fund Disciplined Value Fund Quest Value Fund ============================================================================================== Stock & Bond Funds - ---------------------------------------------------------------------------------------------- Main Street Growth & Total Return Fund Multiple Strategies Fund Income Fund(1) Quest Balanced Disciplined Allocation Fund Quest Opportunity Value Fund Convertible Securities Fund Value Fund Capital Income Fund(2) ============================================================================================== Taxable Bond Funds - ---------------------------------------------------------------------------------------------- International Bond Fund Champion Income Fund U.S. Government Trust World Bond Fund Strategic Income Fund Limited-Term Government Fund High Yield Fund Bond Fund ============================================================================================== Municipal Bond Funds - ---------------------------------------------------------------------------------------------- California Municipal Fund(3) Pennsylvania Municipal Fund(3) Rochester Division: Florida Municipal Fund(3) Municipal Bond Fund Rochester Fund Municipals New Jersey Municipal Fund(3) Insured Municipal Fund Limited Term New York New York Municipal Fund(3) Intermediate Municipal Fund Municipal Fund ============================================================================================== Money Market Funds(4) - ---------------------------------------------------------------------------------------------- Money Market Fund Cash Reserves
1. On 12/22/98, the Fund's name was changed from "Main Street Income & Growth Fund." 2. On 4/1/99, the Fund's name was changed from "Equity Income Fund." 3. Available only to investors 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. 46 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 - ---------------------------------------------------- Telecommunication Device for the Deaf (TDD) Mon-Fri 8:30am-6pm ET - ---------------------------------------------------- 1-800-843-4461 - ---------------------------------------------------- OppenheimerFunds Information Hotline 24 hours a day, timely and insightful messages on the economy and issues that 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. RS0285.001.0699 August 27, 1999 -----END PRIVACY-ENHANCED MESSAGE-----