N-Q 1 d416742dnq.htm OPPENHEIMER CORE BOND FUND Oppenheimer Core Bond Fund

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-3420

 

 

Oppenheimer Integrity Funds

(Exact name of registrant as specified in charter)

 

 

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

 

 

Arthur S. Gabinet

OppenheimerFunds, Inc.

Two World Financial Center, New York, New York 10281-1008

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (303) 768-3200

        Date of fiscal year end: December 31

Date of reporting period: 9/28/2012

 

 

 


Item 1. Schedule of Investments.


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Asset-Backed Securities–9.2%

     

AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/131

   $ 1,460,000       $ 1,470,714   

Ally Master Owner Trust, Asset-Backed Nts., Series 2012-2, Cl. A, 0.721%, 3/15/162

     3,355,000         3,357,786   

American Credit Acceptance Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. A1, 1.96%, 1/15/141

     685,624         685,676   

American Credit Acceptance Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. A, 1.89%, 7/15/161

     3,644,268         3,647,688   

AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17

     1,995,000         2,143,585   

AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.:

     

Series 2010-2, Cl. C, 4.52%, 10/8/15

     2,800,000         2,909,768   

Series 2010-2, Cl. D, 6.24%, 6/8/16

     1,670,000         1,808,380   

AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17

     720,000         767,731   

AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.:

     

Series 2011-2, Cl. B, 2.33%, 3/8/16

     2,817,000         2,866,014   

Series 2011-2, Cl. D, 4%, 5/8/17

     3,440,000         3,572,283   

AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17

     3,995,000         4,185,603   

AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts., Series 2011-5, Cl. D, 5.05%, 12/8/17

     2,760,000         2,978,175   

AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18

     2,765,000         2,967,894   

AmeriCredit Automobile Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. D, 3.38%, 4/9/18

     4,505,000         4,627,700   

 

1      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.:

     

Series 2010-3A, Cl. A, 4.64%, 5/20/161

   $ 1,760,000       $ 1,914,344   

Series 2011-2A, Cl. A, 2.37%, 11/20/141

     2,975,000         3,057,442   

Series 2012-1A, Cl. A, 2.054%, 8/20/161

     5,870,000         6,039,981   

Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/151

     427,179         448,168   

Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15

     460,000         472,945   

Citibank Omni Master Trust, Credit Card Receivables Nts., Series 2009-A17, Cl. A17, 4.90%, 11/15/181

     4,790,000         5,223,548   

CPS Auto Trust, Automobile Receivable Nts.:

     

Series 2012-B, Cl. A, 3.09%, 9/1/191

     3,702,738         3,718,811   

Series 2012-C, Cl. A, 2.26%, 12/16/191

     1,330,000         1,331,180   

Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.:

     

Series 2012-1A, Cl. A, 2.20%, 9/16/191

     1,675,000         1,687,253   

Series 2012-2A, Cl. A, 2.35%, 3/15/201

     1,025,000         1,025,564   

Series 2012-2A, Cl. B, 5.45%, 9/15/201

     510,000         507,052   

DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16

     2,440,000         2,500,966   

DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151

     3,420,000         3,427,459   

DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/131

     850,000         850,665   

DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/411

     2,775,000         2,817,162   

DT Auto Owner Trust 2012-1A, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.05%, 1/15/151

     1,864,566         1,865,945   

DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: Series 2012-2, Cl. C, 2.72%, 4/17/171

     365,000         366,002   

Series 2012-2, Cl. D, 4.35%, 3/15/191

     860,000         863,495   

Enterprise Fleet Financing LLC, Automobile Receivable Nts., Series 2012-2, Cl. A2, 0.72%, 11/20/171,2

     415,000         415,304   

 

2      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Exeter Automobile Receivables Trust, Automobile Receivable Nts.:

     

Series 2012-1A, Cl. A, 2.02%, 8/15/161

   $ 1,682,593       $ 1,686,148   

Series 2012-2A, Cl. A, 1.30%, 6/15/171

     1,635,000         1,635,333   

First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15

     666,158         666,207   

Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151

     2,900,000         2,961,970   

MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.571%, 3/15/162

     2,900,000         2,919,558   

Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/161

     2,155,000         2,197,210   

Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17

     2,950,000         2,994,712   

Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, Cl. C, 3.02%, 10/17/161

     3,070,000         3,127,312   

Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17

     2,880,000         2,945,219   

Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. B, 2.90%, 5/16/16

     1,895,000         1,950,913   

Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173

     1,994,285         2,002,162   

Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/173

     1,638,300         1,647,507   

Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18

     3,550,000         3,657,272   

SNAAC Auto Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.78%, 6/15/161

     1,813,722         1,817,532   

United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.:

     

Series 2012-1, Cl. A2, 1.10%, 3/16/15

     1,045,000         1,045,000   

Series 2012-1, Cl. B, 1.87%, 9/15/15

     1,775,000         1,775,000   

Series 2012-1, Cl. C, 2.52%, 3/15/16

     1,280,000         1,280,000   

Series 2012-1, Cl. D, 3.12%, 3/15/18

     895,000         894,937   

 

3      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/141

   $ 1,095,960       $ 1,097,741   

Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 6/16/141,2

     1,045,000         1,045,124   

Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl. A2, 1.19%, 3/20/211

     1,685,000         1,690,367   

World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2012-B, Cl. A, 1.76%, 5/17/21

     1,240,000         1,249,234   
     

 

 

 

Total Asset-Backed Securities (Cost $117,420,872)

        118,808,741   

Mortgage-Backed Obligations–67.0%

     

Government Agency–54.7%

     

FHLMC/FNMA/FHLB/Sponsored–54.3%

     
Federal Home Loan Mortgage Corp.:      

3.50%, 10/1/424

     18,075,000         19,385,438   

5.50%, 9/1/39

     5,785,796         6,377,006   

6%, 5/15/18-11/1/37

     1,495,674         1,644,917   

6.50%, 4/15/18-4/1/34

     1,655,542         1,836,888   

7%, 7/15/21-10/1/37

     7,289,960         8,709,655   

8%, 4/1/16

     117,623         126,326   

9%, 4/14/17-5/1/25

     47,374         54,824   

12.50%, 5/15/14

     66         67   

Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:

     

Series 151, Cl. F, 9%, 5/15/21

     13,068         15,059   

Series 1590, Cl. IA, 1.30%, 10/15/232

     1,911,486         1,957,819   

Series 2034, Cl. Z, 6.50%, 2/15/28

     14,270         16,438   

Series 2043, Cl. ZP, 6.50%, 4/15/28

     1,980,340         2,291,649   

Series 2046, Cl. G, 6.50%, 4/15/28

     1,152,571         1,326,167   

Series 2053, Cl. Z, 6.50%, 4/15/28

     15,258         17,562   

Series 2063, Cl. PG, 6.50%, 6/15/28

     999,046         1,150,170   

Series 2145, Cl. MZ, 6.50%, 4/15/29

     364,152         416,784   

Series 2148, Cl. ZA, 6%, 4/15/29

     585,927         663,523   

Series 2195, Cl. LH, 6.50%, 10/15/29

     888,738         1,025,483   

Series 2326, Cl. ZP, 6.50%, 6/15/31

     256,165         296,592   

Series 2341, Cl. FP, 1.121%, 7/15/312

     433,336         443,710   

Series 2399, Cl. PG, 6%, 1/15/17

     283,958         303,542   

Series 2423, Cl. MC, 7%, 3/15/32

     1,355,067         1,605,433   

Series 2453, Cl. BD, 6%, 5/15/17

     273,810         293,988   

Series 2461, Cl. PZ, 6.50%, 6/15/32

     2,194,649         2,546,844   

Series 2463, Cl. F, 1.221%, 6/15/322

     2,370,186         2,431,002   

Series 2500, Cl. FD, 0.721%, 3/15/322

     147,016         148,835   

Series 2526, Cl. FE, 0.621%, 6/15/292

     194,779         196,373   

Series 2551, Cl. FD, 0.621%, 1/15/332

     409,578         413,236   

 

4      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

FHLMC/FNMA/FHLB/Sponsored Continued

     

Series 2676, Cl. KY, 5%, 9/15/23

   $ 3,166,558       $ 3,477,830   

Series 3025, Cl. SJ, 23.941%, 8/15/352

     469,201         715,316   

Series 3822, Cl. JA, 5%, 6/1/40

     3,639,080         3,809,225   

Series 3848, Cl. WL, 4%, 4/1/40

     3,241,960         3,462,550   

Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:

     

Series 183, Cl. IO, 15.048%, 4/1/275

     817,660         184,724   

Series 192, Cl. IO, 12.469%, 2/1/285

     98,053         20,481   

Series 206, Cl. IO, 10.355%, 12/1/295

     140,925         35,151   

Series 2129, Cl. S, 15.811%, 2/15/295

     1,055,327         225,375   

Series 2130, Cl. SC, 51.495%, 3/15/295

     301,471         68,397   

Series 2134, Cl. SB, 62.137%, 3/15/295

     305,879         66,801   

Series 2422, Cl. SJ, 56.087%, 1/15/325

     1,180,426         245,543   

Series 243, Cl. 6, 0.119%, 12/15/325

     746,562         157,544   

Series 2493, Cl. S, 68.814%, 9/15/295

     80,335         19,572   

Series 2531, Cl. ST, 99.999%, 2/15/305

     97,121         638   

Series 2601, Cl. GS, 33.068%, 11/15/175

     751,165         37,417   

Series 2796, Cl. SD, 66.877%, 7/15/265

     482,947         105,026   

Series 2802, Cl. AS, 79.46%, 4/15/335

     506,645         27,203   

Series 2920, Cl. S, 66.138%, 1/15/355

     1,905,260         376,310   

Series 2922, Cl. SE, 10.691%, 2/15/355

     1,560,748         344,162   

Series 3005, Cl. WI, 13.625%, 7/15/355

     4,179,216         441,953   

Series 3201, Cl. SG, 10.301%, 8/15/365

     4,463,181         859,934   

Series 3450, Cl. BI, 13.334%, 5/15/385

     8,499,511         1,516,502   

Series 3606, Cl. SN, 9.161%, 12/15/395

     2,421,894         397,966   

Series 3662, Cl. SM, 26.186%, 10/15/325

     6,894,946         1,049,647   

Series 3736, Cl. SN, 7.59%, 10/15/405

     17,259,157         2,988,615   

Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.808%, 6/1/266

     110,999         95,234   

Federal National Mortgage Assn.:

     

2.50%, 10/1/274

     86,720,000         91,164,400   

3.50%, 11/1/424

     106,410,000         113,875,327   

4.50%, 10/1/27-10/1/424

     84,645,000         91,609,919   

5.50%, 12/25/18

     3,100         3,372   

5.50%, 10/1/27-10/1/424

     23,518,500         25,754,906   

6%, 5/25/20

     415,903         443,586   

6%, 10/1/424

     6,795,000         7,503,168   

6.50%, 6/25/17-11/25/31

     9,373,206         10,644,885   

7%, 9/25/14-4/1/34

     4,404,440         5,163,554   

7.50%, 1/1/33-8/25/33

     4,908,154         5,973,200   

 

5      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

FHLMC/FNMA/FHLB/Sponsored Continued

     

8.50%, 7/1/32

   $ 17,213       $ 21,459   

Federal National Mortgage Assn., 15 yr.: 3%, 10/1/274

     115,345,000         122,301,745   

3.50%, 10/1/274

     8,000,000         8,515,000   

Federal National Mortgage Assn., 30 yr., 4%, 10/1/424

     56,775,000         61,183,936   

Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:

     

Trust 1992-34, Cl. G, 8%, 3/25/22

     98         98   

Trust 1993-104, Cl. ZB, 6.50%, 7/25/23

     332,825         373,029   

Trust 1993-87, Cl. Z, 6.50%, 6/25/23

     273,007         312,198   

Trust 1996-35, Cl. Z, 7%, 7/25/26

     87,959         102,637   

Trust 1998-58, Cl. PC, 6.50%, 10/25/28

     552,239         636,254   

Trust 1998-61, Cl. PL, 6%, 11/25/28

     709,271         803,152   

Trust 1999-54, Cl. LH, 6.50%, 11/25/29

     1,074,472         1,235,731   

Trust 1999-60, Cl. PG, 7.50%, 12/25/29

     4,429,971         5,233,902   

Trust 2001-51, Cl. OD, 6.50%, 10/25/31

     1,137,640         1,321,053   

Trust 2002-10, Cl. FB, 0.717%, 3/25/172

     92,705         93,423   

Trust 2002-16, Cl. PG, 6%, 4/25/17

     533,013         573,479   

Trust 2002-2, Cl. UC, 6%, 2/25/17

     325,392         347,909   

Trust 2002-56, Cl. FN, 1.217%, 7/25/322

     631,960         648,449   

Trust 2003-130, Cl. CS, 13.667%, 12/25/332

     3,438,447         4,345,427   

Trust 2003-21, Cl. FK, 0.617%, 3/25/332

     191,851         193,552   

Trust 2003-28, Cl. KG, 5.50%, 4/25/23

     1,492,000         1,648,677   

Trust 2004-101, Cl. BG, 5%, 1/25/20

     1,383,039         1,476,684   

Trust 2005-104, Cl. MC, 5.50%, 12/25/25

     5,073,000         5,591,882   

Trust 2005-109, Cl. AH, 5.50%, 12/25/25

     10,000,000         11,369,420   

Trust 2005-31, Cl. PB, 5.50%, 4/25/35

     2,480,000         3,095,397   

Trust 2005-71, Cl. DB, 4.50%, 8/25/25

     1,160,462         1,261,903   

Trust 2006-50, Cl. SK, 23.406%, 6/25/362

     1,191,462         1,976,195   

Trust 2009-36, Cl. FA, 1.157%, 6/25/372

     2,969,376         3,018,583   

Trust 2009-37, Cl. HA, 4%, 4/1/19

     3,328,022         3,524,027   

Trust 2009-70, Cl. PA, 5%, 8/1/35

     2,335,253         2,360,567   

Trust 2011-15, Cl. DA, 4%, 3/1/41

     1,487,090         1,601,814   

Trust 2011-3, Cl. KA, 5%, 4/1/40

     3,143,807         3,433,422   

 

6      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

FHLMC/FNMA/FHLB/Sponsored Continued

     

Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:

     

Trust 2001-15, Cl. SA, 43.908%, 3/17/315

   $ 455,623       $ 89,219   

Trust 2001-61, Cl. SE, 33.055%, 11/18/315

     555,296         120,550   

Trust 2001-65, Cl. S, 32.93%, 11/25/315

     1,217,874         246,991   

Trust 2001-78, Cl. JS, 0%, 8/25/415,7

     6,580,607         1,141,475   

Trust 2001-81, Cl. S, 25.784%, 1/25/325

     169,752         33,447   

Trust 2002-12, Cl. SB, 40.99%, 7/25/315

     271,166         58,366   

Trust 2002-2, Cl. SW, 49.404%, 2/25/325

     325,050         65,073   

Trust 2002-38, Cl. SO, 53.802%, 4/25/325

     150,932         33,147   

Trust 2002-41, Cl. S, 69.806%, 7/25/325

     1,527,892         291,382   

Trust 2002-47, Cl. NS, 33.832%, 4/25/325

     495,674         98,217   

Trust 2002-5, Cl. SD, 63.439%, 2/25/325

     277,086         62,244   

Trust 2002-51, Cl. S, 35.334%, 8/25/325

     455,124         90,181   

Trust 2002-52, Cl. SD, 42.292%, 9/25/325

     601,497         119,652   

Trust 2002-60, Cl. SM, 99.999%, 8/25/325

     1,801,314         339,602   

Trust 2002-60, Cl. SY, 3.424%, 4/25/325

     1,582,987         51,094   

Trust 2002-64, Cl. SD, 14.391%, 4/25/275

     601,887         145,855   

Trust 2002-7, Cl. SK, 32.02%, 1/25/325

     1,060,384         219,085   

Trust 2002-75, Cl. SA, 30.423%, 11/25/325

     967,825         160,882   

Trust 2002-77, Cl. BS, 27.817%, 12/18/325

     1,934,923         330,791   

Trust 2002-77, Cl. IS, 48.702%, 12/18/325

     257,143         61,145   

Trust 2002-77, Cl. JS, 22.667%, 12/18/325

     1,770,324         300,741   

Trust 2002-77, Cl. SA, 25.26%, 12/18/325

     1,713,380         289,615   

 

7      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

FHLMC/FNMA/FHLB/Sponsored Continued

     

Trust 2002-77, Cl. SH, 40.495%, 12/18/325

   $ 251,868       $ 55,415   

Trust 2002-84, Cl. SA, 38.428%, 12/25/325

     258,044         43,417   

Trust 2002-89, Cl. S, 54.959%, 1/25/335

     2,201,288         493,258   

Trust 2002-9, Cl. MS, 31.649%, 3/25/325

     14,809         3,109   

Trust 2002-90, Cl. SN, 32.699%, 8/25/325

     1,638,958         308,974   

Trust 2002-90, Cl. SY, 39.31%, 9/25/325

     820,307         158,179   

Trust 2003-14, Cl. OI, 19.165%, 3/25/335

     3,580,574         822,650   

Trust 2003-26, Cl. IK, 6.725%, 4/25/335

     1,158,504         240,219   

Trust 2003-33, Cl. SP, 30.709%, 5/25/335

     1,630,461         267,455   

Trust 2003-4, Cl. S, 32.126%, 2/25/335

     500,867         96,865   

Trust 2003-52, Cl. NS, 45.884%, 6/25/235

     7,375,502         1,119,508   

Trust 2003-89, Cl. XS, 99.999%, 11/25/325

     723,828         18,647   

Trust 2004-54, Cl. DS, 51.34%, 11/25/305

     126,134         26,744   

Trust 2004-56, Cl. SE, 16.902%, 10/25/335

     2,080,334         378,548   

Trust 2005-12, Cl. SC, 14.171%, 3/25/355

     796,181         169,377   

Trust 2005-40, Cl. SA, 57.888%, 5/25/355

     1,125,815         223,023   

Trust 2005-5, Cl. SD, 12.539%, 1/25/355

     3,295,704         631,346   

Trust 2005-6, Cl. SE, 72.08%, 2/25/355

     1,622,283         333,428   

Trust 2005-71, Cl. SA, 64.35%, 8/25/255

     1,891,891         286,089   

Trust 2005-93, Cl. SI, 99.999%, 10/25/355

     1,896,304         294,205   

Trust 2006-53, Cl. US, 15.202%, 6/25/365

     157,126         22,534   

Trust 2007-75, Cl. BI, 2.546%, 8/25/375

     9,431,586         2,223,182   

Trust 2008-46, Cl. EI, 14.595%, 6/25/385

     8,670,971         1,558,243   

Trust 2008-55, Cl. SA, 22.345%, 7/25/385

     4,072,568         605,439   

Trust 2009-8, Cl. BS, 21.865%, 2/25/245

     4,553,444         466,825   

 

8      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

FHLMC/FNMA/FHLB/Sponsored Continued

     

Trust 222, Cl. 2, 26.031%, 6/1/235

   $ 824,157       $ 162,356   

Trust 247, Cl. 2, 48.106%, 10/1/235

     84,744         19,069   

Trust 252, Cl. 2, 39.493%, 11/1/235

     816,449         180,044   

Trust 254, Cl. 2, 34.073%, 1/1/245

     1,486,198         319,979   

Trust 2682, Cl. TQ, 99.999%, 10/15/335

     2,075,150         468,379   

Trust 2981, Cl. BS, 99.999%, 5/15/355

     3,701,510         727,359   

Trust 301, Cl. 2, 1.361%, 4/1/295

     437,661         88,560   

Trust 303, Cl. IO, 8.27%, 11/1/295

     70,312         16,646   

Trust 319, Cl. 2, 2.963%, 2/1/325

     356,810         70,623   

Trust 320, Cl. 2, 11.639%, 4/1/325

     5,573,924         1,321,510   

Trust 321, Cl. 2, 4.394%, 4/1/325

     1,017,429         204,722   

Trust 324, Cl. 2, 0.90%, 7/1/325

     480,333         96,854   

Trust 331, Cl. 9, 2.576%, 2/1/335

     3,215,342         629,884   

Trust 334, Cl. 14, 12.066%, 2/1/335

     2,892,225         555,359   

Trust 334, Cl. 15, 7.114%, 2/1/335

     2,090,726         387,552   

Trust 334, Cl. 17, 13.707%, 2/1/335

     111,863         21,768   

Trust 339, Cl. 12, 0%, 7/1/335,7

     2,822,971         496,496   

Trust 339, Cl. 7, 18.548%, 7/1/335

     3,020,534         392,728   

Trust 343, Cl. 13, 0%, 9/1/335,7

     2,926,957         402,853   

Trust 343, Cl. 18, 8.494%, 5/1/345

     1,941,706         256,795   

Trust 345, Cl. 9, 49.282%, 1/1/345

     1,559,848         185,822   

Trust 351, Cl. 10, 3.541%, 4/1/345

     1,201,512         159,642   

Trust 351, Cl. 8, 4.991%, 4/1/345

     1,941,287         268,339   

Trust 356, Cl. 10, 18.005%, 6/1/355

     1,539,972         204,674   

Trust 356, Cl. 12, 22.03%, 2/1/355

     762,834         97,113   

Trust 362, Cl. 13, 7.433%, 8/1/355

     1,854,624         275,712   

Trust 364, Cl. 16, 12.763%, 9/1/355

     2,674,001         381,665   

Trust 365, Cl. 16, 3.063%, 3/1/365

     2,165,146         343,231   

Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.21%, 9/25/236

     263,971         246,795   
     

 

 

 
        701,339,729   

GNMA/Guaranteed–0.4%

     

Government National Mortgage Assn.:

     

1.625%, 8/8/25-7/1/272

     12,459         12,902   

8.50%, 8/1/17-12/15/17

     69,633         74,703   

10.50%, 12/29/17

     6,208         6,388   

11%, 11/8/19

     9,605         10,423   

12%, 5/29/14

     43         43   

 

9      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 81.634%, 1/16/275

   $ 614,236       $ 126,557   

Series 2002-15, Cl. SM, 78.508%, 2/16/325

     684,347         155,228   

Series 2002-41, Cl. GS, 48.829%, 6/16/325

     478,604         106,629   

Series 2002-76, Cl. SY, 81.916%, 12/16/265

     338,153         78,085   

Series 2004-11, Cl. SM, 71.057%, 1/17/305

     131,121         33,480   

Series 2007-17, Cl. AI, 22.033%, 4/16/375

     3,597,596         811,271   

Series 2011-52, Cl. HS, 9.436%, 4/16/415

     10,675,107         3,085,514   
     

 

 

 
        4,501,223   
Non-Agency–12.3%      

Commercial–7.1%

     

Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.054%, 4/14/295

     2,728,528         116,186   

Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49

     5,399,000         6,268,736   

Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.893%, 6/1/492

     2,460,000         2,837,504   

Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.532%, 6/1/472

     2,518,308         2,107,753   

Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.915%, 6/1/502

     2,880,000         3,173,823   

Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/243,5,7

     1,032,509         50,465   

 

10      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Commercial Continued

     

CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441

   $ 705,369       $ 719,845   

CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37

     1,014,694         797,343   

Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49

     215,501         219,658   

Series 2007-CD4, Cl. A4, 5.322%, 12/1/49

     3,310,000         3,789,900   

Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.899%, 9/1/201,5

     26,301,022         1,650,271   

First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35

     1,920,300         1,853,834   

First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37

     2,111,630         1,446,669   

Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49

     5,265,000         6,179,054   

GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44

     1,788,039         1,838,577   

GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38

     2,739,112         2,947,991   

GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35

     1,835,465         1,813,668   

IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.96%, 11/1/352

     3,605,641         3,001,040   

JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49

     3,980,000         4,127,445   

 

11      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Commercial Continued

     

Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/491

   $ 183,917       $ 190,241   

Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49

     945,000         1,094,086   

Series 2011-C3, Cl. A1, 1.875%, 2/1/461

     2,100,710         2,139,472   

JPMorgan Chase Commercial Mortgage Securities Trust 2007-LD11, Commercial Mtg. Pass-Through Certificates, Series 2007-LD11, Cl. A4, 6.003%, 6/1/492

     5,100,000         5,934,998   

JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37

     3,051,118         2,825,772   

JPMorgan, Re-securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.614%, 7/1/361,2

     2,867,877         1,982,717   

LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40

     670,786         677,990   

LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40

     5,595,000         6,659,060   

Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 29.284%, 2/18/305

     1,587,688         22,473   

Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241

     74,931         67,239   

Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43

     2,800,000         3,059,008   

Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates: Series 2007-IQ15, Cl. A4, 6.076%, 6/1/492

     1,600,000         1,891,466   

Series 2007-IQ15, Cl. AM, 6.076%, 6/1/492

     3,115,000         3,293,544   

 

12      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Commercial Continued

     

Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 99.999%, 5/18/325

   $ 25,445,302       $ 30,992   

Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.402%, 5/1/362

     1,721,699         1,403,499   

Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.876%, 7/1/372

     3,467,403         2,664,663   

Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48

     1,640,000         1,895,278   

Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48

     87,301         87,812   

Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46

     2,965,000         3,502,359   

WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.468%, 12/1/352

     1,887,866         1,731,161   

Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.733%, 4/1/372

     999,925         897,353   

Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 5.992%, 11/1/372

     2,353,342         2,107,871   

WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 8.956%, 3/1/445

     28,369,335         2,341,108   
     

 

 

 
        91,439,924   

Multifamily–1.0%

     

CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37

     3,682,299         3,137,806   

 

13      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Multifamily Continued

     

Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.584%, 6/1/362

   $ 2,222,941       $ 2,143,643   

Countrywide Alternative Loan Trust 2005-86CB, Mtg. Pass-Through Certificates, Series 2005-86CB, Cl. A8, 5.50%, 2/1/36

     458,676         410,337   

Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-424B, Cl. A12, 5.75%, 6/1/36

     931,356         732,690   

JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.046%, 5/1/372

     522,126         494,102   

Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.617%, 3/1/362

     4,093,596         3,889,606   

Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.693%, 3/25/362

     2,369,548         2,231,615   
     

 

 

 
        13,039,799   

Other–0.4%

     

Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39

     5,115,000         5,872,125   

Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 69.60%, 10/23/175

     316         18   

Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 0.84%, 10/23/176

     468         462   
     

 

 

 
        5,872,605   

Residential–3.8%

     

Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates:

     

Series 2007-1, Cl. 1A3, 6%, 1/1/37

     1,959,946         1,694,128   

Series 2007-4, Cl. AM, 5.987%, 2/1/512

     3,075,000         3,280,799   

 

14      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Residential Continued

     

Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.526%, 5/1/362

   $ 920,077       $ 899,543   

Banc of America Mortgage 2007-1 Trust, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A24, 6%, 3/1/37

     2,497,180         2,464,184   

Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.327%, 7/25/362

     1,318,202         1,264,150   

Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.777%, 2/25/332

     504,673         457,807   

CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35

     941,165         873,835   

CHL Mortgage Pass-Through Trust 2006-17, Mtg. Pass-Through Certificates, Series 2006-17, Cl. A2, 6%, 12/1/36

     6,108,632         5,521,366   

CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36

     1,222,913         1,081,543   

Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35

     3,533,053         3,156,702   

Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35

     2,361,437         1,837,228   

Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37

     4,071,462         3,188,958   

Countrywide Home Loans, Asset-Backed Certificates:

     

Series 2002-4, Cl. A1, 0.957%, 2/25/332

     2,406         2,383   

Series 2005-16, Cl. 2AF2, 5.287%, 5/1/362

     2,328,591         1,827,028   

CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37

     1,358,277         1,175,334   

CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.337%, 6/25/472

     1,476,992         1,454,837   

 

15      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Residential Continued

     

GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36

   $ 1,370,695       $ 1,326,455   

JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36

     2,935,859         2,732,065   

Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.632%, 12/25/342

     1,105,036         1,109,880   

NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,8

     1,750,658         142,679   

Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.175%, 1/1/362

     659,358         519,692   

RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33

     309,198         320,886   

RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36

     300,359         217,222   

RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37

     1,544,809         1,098,232   

Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36

     647,794         579,226   

Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35

     716,197         642,835   

WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.20%, 5/1/372

     1,954,260         1,887,577   

WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 4.948%, 6/25/372

     959,042         803,800   

WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.744%, 1/1/372

     1,267,861         1,096,600   

 

16      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Residential Continued

     

Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37

   $ 2,721,178       $ 2,576,805   

Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35

     1,138,501         1,212,826   

Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.649%, 10/1/362

     2,057,148         2,038,388   
     

 

 

 
        48,484,993   
     

 

 

 

Total Mortgage-Backed Obligations (Cost $835,253,083)

        864,678,273   
U.S. Government Obligations–3.8%      

Federal Home Loan Mortgage Corp. Nts.:

     

1%, 7/28/17

     2,465,000         2,500,309   

1.25%, 8/1/19

     390,000         391,787   

1.25%, 10/2/194

     2,195,000         2,188,431   

2.375%, 1/13/22

     5,830,000         6,130,198   

5.25%, 4/18/16

     2,650,000         3,094,710   

Federal National Mortgage Assn. Nts., 0.875%, 8/28/17-10/26/17

     5,746,000         5,782,025   

U.S. Treasury Bonds:

     

7.50%, 11/15/169

     7,700,000         9,904,726   

STRIPS, 3.862%, 2/15/1310

     1,520,000         1,519,508   

U.S. Treasury Nts.:

     

1.75%, 5/15/22

     905,000         918,222   

5.125%, 5/15/16

     14,830,000         17,340,675   
     

 

 

 

Total U.S. Government Obligations (Cost $47,427,926)

        49,770,591   
Corporate Bonds and Notes–43.3%      
Consumer Discretionary–7.1%      
Auto Components–0.2%      

Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21

     2,745,000         2,978,325   
Automobiles–0.8%      

Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31

     1,581,000         2,513,490   

Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21

     6,819,000         7,729,882   
     

 

 

 
        10,243,372   
Diversified Consumer Services–0.3%      

Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15

     3,267,000         3,626,370   

 

17      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  

Hotels, Restaurants & Leisure–0.6%

     

Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts., 10/15/21

   $ 1,545,000       $ 1,662,638   

Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151

     5,163,000         5,656,820   

Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19

     762,000         933,045   
     

 

 

 
        8,252,503   
Household Durables–0.6%      

Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22

     3,078,000         3,339,630   

Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13

     2,781,000         2,847,978   

Whirlpool Corp., 5.50% Sr. Unsec. Unsub. Nts., 3/1/13

     971,000         987,728   
     

 

 

 
        7,175,336   
Media–2.2%      

CBS Corp., 4.85% Sr. Unsec. Unsub. Nts., 7/1/42

     1,019,000         1,084,705   

Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22

     1,751,000         2,619,629   

Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42

     744,000         800,143   

CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18

     2,825,000         3,269,938   

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42

     1,748,000         1,787,327   

DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21

     3,022,000         3,309,090   

Historic TW, Inc., 9.125% Debs., 1/15/13

     922,000         943,817   

Interpublic Group of Cos., Inc. (The): 6.25% Sr. Unsec. Nts., 11/15/14

     1,368,000         1,484,280   

10% Sr. Unsec. Nts., 7/15/17

     2,881,000         3,215,916   

News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41

     1,048,000         1,311,061   

Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33

     1,542,000         2,250,418   

Time Warner, Inc., 9.15% Debs., 2/1/23

     400,000         574,158   

Virgin Media Secured Finance plc:

     

5.25% Sr. Sec. Nts., 1/15/21

     1,825,000         2,121,345   

6.50% Sr. Sec. Nts., 1/15/18

     3,389,000         3,727,900   
     

 

 

 
        28,499,727   

 

18      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Multiline Retail–0.6%      

Dollar General Corp., 4.125% Nts., 7/15/17

   $ 3,080,000       $ 3,234,000   

Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14

     4,350,000         4,717,392   
     

 

 

 
        7,951,392   
Specialty Retail–1.3%      

Gap, Inc. (The), 5.95% Sr. Unsec. Unsub. Nts., 4/12/21

     3,526,000         3,935,129   

Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21

     2,994,000         3,413,160   

Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20

     3,333,000         3,616,305   

Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19

     3,071,000         3,431,843   

Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14

     2,606,000         2,884,151   
     

 

 

 
        17,280,588   
Textiles, Apparel & Luxury Goods–0.5%      

Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20

     2,874,000         3,132,660   

Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub. Nts., 5/15/20

     2,633,000         2,988,455   
     

 

 

 
        6,121,115   
Consumer Staples–3.3%      
Beverages–1.2%      

Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39

     1,549,000         2,599,874   

Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13

     3,180,000         3,267,107   

Constellation Brands, Inc., 6% Sr. Unsec. Unsub. Nts., 5/1/22

     3,091,000         3,531,468   

Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14

     824,000         899,029   

Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221

     2,999,000         3,272,401   

SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42

     1,324,000         1,549,170   
     

 

 

 
        15,119,049   
Food & Staples Retailing–0.4%      
Delhaize Group:      

5.70% Sr. Unsec. Nts., 10/1/40

     845,000         755,069   

5.875% Sr. Unsec. Unsub. Bonds, 2/1/14

     2,660,000         2,795,711   

Safeway, Inc., 3.95% Sr. Unsec. Unsub. Nts., 8/15/20

     2,033,000         1,983,330   
     

 

 

 
        5,534,110   

 

19      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Food Products–1.0%      
Bunge Ltd. Finance Corp.:      

5.35% Sr. Unsec. Unsub. Nts., 4/15/14

   $ 2,811,000       $ 2,969,535   

8.50% Sr. Unsec. Nts., 6/15/19

     1,956,000         2,481,978   

Kraft Foods Group, Inc., 6.50% Sr. Unsec. Unsub. Nts., 2/9/401

     1,887,000         2,538,389   

TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18

     3,180,000         3,482,100   

Tyson Foods, Inc., 4.50% Sr. Unsec. Unsub. Nts., 6/15/22

     1,598,000         1,681,895   
     

 

 

 
        13,153,897   
Tobacco–0.7%      

Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39

     2,200,000         3,785,549   

Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41

     1,831,000         2,215,660   

Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13

     2,925,000         3,046,882   
     

 

 

 
        9,048,091   
Energy–4.6%      
Energy Equipment & Services–1.3%      

Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21

     3,457,000         3,912,304   

FMC Technologies, Inc., 2% Sr. Unsec. Unsub. Nts., 10/1/17

     1,526,000         1,544,014   

Nabors Industries, Inc., 4.625% Sr. Unsec. Nts., 9/15/21

     2,829,000         3,047,119   

Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14

     2,633,000         2,867,556   

Precision Drilling Corp.:

     

6.50% Sr. Unsec. Nts., 12/15/21

     1,380,000         1,480,050   

6.625% Sr. Unsec. Nts., 11/15/20

     1,330,000         1,423,100   

Rowan Cos., Inc., 4.875% Sr. Unsec. Nts., 6/1/22

     2,030,000         2,183,137   
     

 

 

 
        16,457,280   
Oil, Gas & Consumable Fuels–3.3%      

Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40

     1,155,000         1,422,043   

Canadian Oil Sands Ltd.:

     

5.80% Sr. Unsec. Nts., 8/15/131

     2,907,000         3,038,048   

6% Sr. Unsec. Nts., 4/1/421

     1,361,000         1,573,720   

DCP Midstream LLC, 5.35% Sr. Unsec. Nts., 3/18/201

     2,098,000         2,305,945   

El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20

     4,444,000         5,295,257   

Energy Transfer Partners LP: 4.65% Sr. Unsec. Unsub. Nts., 6/1/21

     2,402,000         2,588,318   

5.20% Sr. Unsec. Unsub. Nts., 2/1/22

     884,000         982,635   

Kinder Morgan Energy Partners LP, 5% Sr. Unsec. Unsub. Nts., 8/15/42

     956,000         997,774   

 

20      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Oil, Gas & Consumable Fuels Continued      

Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20

   $ 2,933,000       $ 3,233,633   

Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37

     1,340,000         1,708,732   

Phillips 66, 4.30% Unsec. Nts., 4/1/221

     2,141,000         2,349,249   

Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19

     2,966,000         3,307,090   

Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143

     2,768,000         3,004,443   

Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151

     3,097,000         3,066,030   

Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/221

     1,556,000         1,655,161   

Woodside Finance Ltd.:

     

4.60% Sr. Unsec. Nts., 5/10/211

     2,326,000         2,558,295   

5% Sr. Unsec. Nts., 11/15/131

     2,974,000         3,095,586   
     

 

 

 
        42,181,959   
Financials–15.1%      
Capital Markets–3.5%      
Blackstone Holdings Finance Co. LLC:      

4.75% Sr. Unsec. Nts., 2/15/231

     898,000         938,435   

6.625% Sr. Unsec. Nts., 8/15/191

     3,700,000         4,275,768   

Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34

     2,839,000         2,863,376   

Goldman Sachs Group, Inc. (The):

     

5.25% Sr. Unsec. Nts., 7/27/21

     2,592,000         2,863,219   

6.25% Sr. Nts., 2/1/41

     2,816,000         3,273,375   

Macquarie Bank Ltd.:

     

5% Sr. Nts., 2/22/171

     979,000         1,046,908   

6.625% Unsec. Sub. Nts., 4/7/211

     4,420,000         4,738,501   

Morgan Stanley:

     

5.625% Sr. Unsec. Nts., 9/23/19

     7,183,000         7,860,034   

6.375% Sr. Unsec. Nts., 7/24/42

     2,573,000         2,846,947   

Nomura Holdings, Inc.:

     

4.125% Sr. Unsec. Unsub. Nts., 1/19/16

     2,649,000         2,740,531   

6.70% Sr. Unsec. Nts., 3/4/20

     271,000         310,329   

Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24

     2,977,000         3,286,543   

TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12

     3,242,000         3,255,474   

UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13

     1,120,000         1,134,776   

 

21      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Capital Markets Continued      

UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.11

   $ 3,206,000       $ 3,189,970   
     

 

 

 
        44,624,186   
Commercial Banks–3.1%      

ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/121

     3,088,000         3,101,692   

Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37

     5,277,000         5,309,981   

HBOS plc, 6.75% Unsec. Sub. Nts., 5/21/181

     3,000,000         3,060,000   

HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352

     7,850,000         7,761,688   

Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201

     2,530,000         2,669,737   

Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13

     1,818,000         1,853,404   

RBS Citizens Financial Group, Inc., 4.15% Sub. Nts., 9/28/221

     6,354,000         6,380,299   

Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K11

     3,421,000         3,942,703   

Zions Bancorp, 4.50% Sr. Unsec. Unsub. Nts., 3/27/17

     5,471,000         5,654,372   
     

 

 

 
        39,733,876   
Consumer Finance–0.9%      

American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13

     2,690,000         2,763,663   

Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19

     4,468,000         5,778,031   

SLM Corp., 4.625% Sr. Unsec. Nts., 9/25/17

     2,635,000         2,676,491   
     

 

 

 
        11,218,185   
Diversified Financial Services–3.0%      

Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts., 1/24/22

     4,930,000         5,802,600   

Citigroup, Inc.:

     

4.50% Sr. Unsec. Nts., 1/14/22

     5,033,000         5,537,996   

6.125% Sr. Unsec. Unsub. Nts., 11/21/17

     4,928,000         5,806,317   

ING Bank NV, 2% Nts., 9/25/151

     5,296,000         5,307,736   

JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 111

     9,819,000         11,191,824   

Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38

     4,315,000         5,441,495   
     

 

 

 
        39,087,968   

 

22      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Insurance–3.4%      

American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37

   $ 1,458,000       $ 1,479,870   

Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40

     1,376,000         1,732,112   

CNA Financial Corp.:

     

5.75% Sr. Unsec. Unsub. Nts., 8/15/21

     2,298,000         2,677,869   

5.875% Sr. Unsec. Unsub. Bonds, 8/15/20

     1,534,000         1,794,180   

Hartford Financial Services Group, Inc., 6.625% Sr. Unsec. Unsub. Nts., 4/15/42

     1,895,000         2,302,535   

Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/131

     1,900,000         1,914,250   

Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67

     6,060,000         5,961,525   

Principal Financial Group, Inc., 4.625% Sr. Unsec. Nts., 9/15/42

     1,889,000         1,939,219   

Prudential Covered Trust 2012-1, 2.997% Sec. Nts., 9/30/151

     3,910,000         4,065,098   

Prudential Financial, Inc., 5.875% Sub. Nts., 9/15/42

     2,370,000         2,438,138   

Swiss Re Capital I LP, 6.854% Perpetual Bonds1,11

     6,303,000         6,419,448   

Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20

     5,031,000         5,634,192   

ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,3

     5,581,000         5,929,813   
     

 

 

 
        44,288,249   
Real Estate Investment Trusts (REITs)–1.2%      

American Tower Corp.:

     

5.05% Sr. Unsec. Unsub. Nts., 9/1/20

     1,185,000         1,324,909   

7% Sr. Unsec. Nts., 10/15/17

     2,465,000         2,937,405   

CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14

     2,798,000         2,873,899   

Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13

     3,074,000         3,176,948   

National Retail Properties, Inc., 6.25% Sr. Unsec. Unsub. Nts., 6/15/14

     2,147,000         2,307,649   

WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/141

     2,683,000         2,957,694   
     

 

 

 
        15,578,504   
Health Care–1.7%      
Biotechnology–0.7%      

Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22

     3,031,000         3,202,724   

Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22

     3,363,000         3,402,922   

 

23      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Biotechnology Continued      

Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41

   $ 1,585,000       $ 1,992,797   
     

 

 

 
        8,598,443   
Health Care Providers & Services–0.5%      

Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/221

     2,094,000         2,286,361   

McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41

     1,440,000         1,977,221   

Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40

     2,043,000         2,430,191   
     

 

 

 
        6,693,773   
Pharmaceuticals–0.5%      

Bristol-Myers Squibb Co., 2% Sr. Unsec. Unsub. Nts., 8/1/22

     2,291,000         2,232,996   

Mylan, Inc., 6% Sr. Nts., 11/15/181

     3,358,000         3,576,270   

Watson Pharmaceuticals, Inc., 3.25% Sr. Unsec. Nts., 10/1/224

     1,143,000         1,160,337   
     

 

 

 
        6,969,603   
Industrials–2.9%      
Aerospace & Defense–0.4%      

BE Aerospace, Inc., 5.25% Sr. Unsec. Unsub. Nts., 4/1/22

     2,130,000         2,220,525   

Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21

     2,933,000         3,171,306   
     

 

 

 
        5,391,831   
Commercial Services & Supplies–0.3%      

Clean Harbors, Inc., 5.25% Sr. Unsec. Nts., 8/1/201

     3,175,000         3,286,125   
Industrial Conglomerates–0.8%      

General Electric Capital Corp.:

     

5.25% Sr. Unsec. Nts., 10/19/12

     578,000         579,285   

6.375% Unsec. Sub. Bonds, 11/15/67

     6,149,000         6,503,797   

7.125% Unsec. Sub. Nts., 12/15/49

     2,600,000         2,908,805   
     

 

 

 
        9,991,887   
Machinery–1.1%      

CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/161

     3,214,000         3,507,278   

ITT Corp., 7.375% Unsec. Debs., 11/15/15

     2,134,000         2,483,553   

Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21

     2,233,000         2,482,855   

Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22

     2,240,000         2,348,071   

 

24      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Machinery Continued      

SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/171

   $ 2,616,000       $ 2,936,460   
     

 

 

 
        13,758,217   
Professional Services–0.2%      

FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20

     2,833,000         3,038,393   
Road & Rail–0.1%      

CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41

     1,243,000         1,504,778   
Information Technology–1.6%      
Communications Equipment–0.1%      

Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41

     1,294,000         1,451,213   
Computers & Peripherals–0.5%      

Hewlett-Packard Co.:

     

4.65% Sr. Unsec. Nts., 12/9/21

     2,498,000         2,610,103   

4.75% Sr. Unsec. Nts., 6/2/14

     2,915,000         3,074,453   
     

 

 

 
        5,684,556   
Electronic Equipment, Instruments & Components–0.4%      

Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21

     3,515,000         3,845,122   

Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42

     1,196,000         1,299,505   
     

 

 

 
        5,144,627   
Internet Software & Services–0.1%      

eBay, Inc., 4% Sr. Unsec. Unsub. Nts., 7/15/42

     1,269,000         1,242,321   
Office Electronics–0.2%      

Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13

     2,655,000         2,737,119   
Software–0.3%      

Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20

     3,908,000         4,066,325   
Materials–3.1%      
Chemicals–0.7%      

Agrium, Inc.:

     

3.15% Sr. Unsec. Nts., 10/1/224

     2,591,000         2,615,374   

6.125% Sr. Unsec. Nts., 1/15/41

     1,491,000         1,881,140   

CF Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 5/1/20

     2,408,000         3,028,060   

Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42

     1,560,000         1,699,313   
     

 

 

 
        9,223,887   
Containers & Packaging–0.9%      

Crown Americas LLC/Crown Americas Capital Corp. II I, 6.25% Sr. Unsec. Nts., 2/1/21

     2,937,000         3,289,440   

 

25      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
     Value  
Containers & Packaging Continued      

Greif, Inc., 7.75% Sr. Unsec. Nts., 8/1/19

   $ 2,751,000       $ 3,191,160   

Rock-Tenn Co.:

     

3.50% Sr. Nts., 3/1/201

     926,000         946,630   

4.90% Sr. Unsec. Nts., 3/1/221

     1,064,000         1,155,055   

Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/211

     2,552,000         2,871,000   
     

 

 

 
        11,453,285   
Metals & Mining–1.1%      

Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21

     89,000         98,424   

ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22

     1,653,000         1,631,319   

Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40

     814,000         799,956   

Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22

     2,166,000         2,172,918   

Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19

     4,948,000         5,583,452   

Xstrata Canada Corp.:

     

5.375% Sr. Unsec. Unsub. Nts., 6/1/15

     1,485,000         1,618,940   

6% Sr. Unsec. Unsub. Nts., 10/15/15

     2,552,000         2,844,339   

Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/161

     52,000         58,817   
     

 

 

 
        14,808,165   
Paper & Forest Products–0.4%      

International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41

     1,333,000         1,632,370   

Westvaco Corp., 7.95% Sr. Unsec. Unsub. Nts., 2/15/31

     2,593,000         3,417,730   
     

 

 

 
        5,050,100   
Telecommunication Services–2.2%      
Diversified Telecommunication Services–2.1%      

AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38

     2,482,000         3,273,490   

British Telecommunications plc, 9.625% Bonds, 12/15/30

     1,896,000         3,096,724   

CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42

     2,430,000         2,599,332   

Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20

     2,863,000         3,249,505   

Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38

     4,210,000         4,252,100   

Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21

     4,450,000         4,372,125   

Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38

     1,690,000         2,288,481   

 

26      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

     Principal
Amount
    Value  

Diversified Telecommunication Services Continued

    

Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17

   $ 2,881,000      $ 3,233,923   
    

 

 

 
       26,365,680   
Wireless Telecommunication Services–0.1%     

America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42

     1,610,000        1,676,107   
Utilities–1.7%     
Electric Utilities–1.1%     

Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17

     4,312,000        4,638,069   

Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13

     2,763,000        2,802,052   

Oncor Electric Delivery Co. LLC, 4.10% Unsub. Nts., 6/1/22

     605,000        643,240   

PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/211

     4,961,000        5,544,032   
    

 

 

 
       13,627,393   
Energy Traders–0.2%     

TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13

     2,889,000        3,023,393   
Multi-Utilities–0.4%     

CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22

     2,917,000        3,228,226   

Nisource Finance Corp., 3.85% Sr. Unsec. Unsub. Nts., 2/15/23

     2,190,000        2,302,542   
    

 

 

 
       5,530,768   
    

 

 

 

Total Corporate Bonds and Notes (Cost $522,472,222)

       558,472,071   
     Shares        
Investment Company–17.6%     

Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%12,13 (Cost $226,857,574)

     226,857,574        226,857,574   
Total Investments, at Value (Cost $1,749,431,677)      140.9     1,818,587,250   

Liabilities in Excess of Other Assets

     (40.9     (527,746,908
  

 

 

   

 

 

 

Net Assets

     100.0   $ 1,290,840,342   
  

 

 

   

 

 

 

Footnotes to Statement of Investments

 

* September 28, 2012 represents the last business day of the Fund’s quarterly period. See accompanying Notes
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $169,525,213 or 13.13% of the Fund’s net assets as of September 28, 2012.
2. Represents the current interest rate for a variable or increasing rate security.

 

27      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

3. Restricted security. The aggregate value of restricted securities as of September 28, 2012 was $12,777,069, which represents 0.99% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:

 

Security

   Acquisition
Dates
   Cost      Value      Unrealized
Appreciation
(Depreciation)
 

Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/24

   4/21/97    $ 170,960       $ 50,465       $ (120,495

NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29

   8/10/10      1,703,335         142,679         (1,560,656

Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14

   7/16/09-2/16/12      2,841,423         3,004,443         163,020   

Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17

   2/4/11-2/9/12      1,996,318         2,002,162         5,844   

Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17

   5/19/11-1/19/12      1,634,467         1,647,507         13,040   

ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37

   2/24/11-2/23/12      5,465,063         5,929,813         464,750   
     

 

 

    

 

 

    

 

 

 
      $ 13,811,566       $ 12,777,069       $ (1,034,497
     

 

 

    

 

 

    

 

 

 

 

4. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 28, 2012. See accompanying Notes.
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $41,708,405 or 3.23% of the Fund’s net assets as of September 28, 2012.
6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $342,491 or 0.03% of the Fund’s net assets as of September 28, 2012.
7. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
8. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes.
9. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,319,773. See accompanying Notes.
10. Zero coupon bond reflects effective yield on the date of purchase.
11. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.

 

28      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

12. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 28, 2012, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

 

    Shares
December 30,
2011
a
    Gross
Additions
    Gross
Reductions
    Shares
September  28,
2012
 

Oppenheimer Institutional Money Market Fund, Cl. E

    216,745,143        339,153,096        329,040,665        226,857,574   
                Value     Income  

Oppenheimer Institutional Money Market Fund, Cl. E

      $ 226,857,574      $ 315,397   

 

a. December 30, 2011 represents the last business day of the Fund’s 2011 fiscal year. See accompanying Notes.

 

13. Rate shown is the 7-day yield as of September 28, 2012.

 

29      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Futures Contracts as of September 28, 2012 are as follows:

 

    

Contract Description

   Buy/Sell    Number of
Contracts
   Expiration
Date
     Value      Unrealized
Appreciation
(Depreciation)
 

U.S. Treasury Long Bonds, 20 yr.

   Buy    112      12/19/12       $ 16,730,000       $ 103,644   

U.S. Treasury Nts., 2 yr.

   Sell    727      12/31/12         160,326,219         (52,933

U.S. Treasury Nts., 5 yr.

   Sell    500      12/31/12         62,316,407         (276,799

U.S. Treasury Nts., 10 yr.

   Sell    656      12/19/12         87,565,750         (541,038

U.S. Treasury Ultra Bonds

   Buy    329      12/19/12         54,356,969         29,833   
              

 

 

 
               $ (737,293
              

 

 

 

Notes to Statement of Investments

Quarterly and Annual Periods. The last day of the Fund’s quarterly period was the last day the New York Stock Exchange was open for trading. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

The last day of the Fund’s fiscal year was the last day the New York Stock Exchange was open for trading. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

 

30      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

As of September 28, 2012, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

 

     When-Issued or
Delayed Delivery
Basis Transactions
 

Purchased securities

   $ 658,514,034   

Sold securities

     114,706,934   

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 28, 2012 is as follows:

 

Cost

   $ 1,703,335   

Market Value

   $ 142,679   

Market Value as a % of Net Assets

     0.01

 

31      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.

Securities Valuation

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not

 

32      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

 

Security Type

  

Standard inputs generally considered by third-party pricing vendors

Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities    Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
Loans    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Event-linked bonds    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager,

 

33      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

 

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

 

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

 

34      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of September 28, 2012 based on valuation input level:

 

     Level 1—
Unadjusted
Quoted Prices
    Level 2—
Other Significant
Observable
Inputs
     Level 3—
Significant
Unobservable
Inputs
     Value  

Assets Table

          

Investments, at Value:

          

Asset-Backed Securities

   $ —        $ 118,808,741       $ —         $ 118,808,741   

Mortgage-Backed Obligations

     —          864,678,273         —           864,678,273   

U.S. Government Obligations

     —          49,770,591         —           49,770,591   

Corporate Bonds and Notes

     —          558,472,071         —           558,472,071   

Investment Company

     226,857,574        —           —           226,857,574   
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Investments, at Value

     226,857,574        1,591,729,676         —           1,818,587,250   

Other Financial Instruments:

          

Futures margins

     8,786        —           —           8,786   
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Assets

   $ 226,866,360      $ 1,591,729,676       $ —         $ 1,818,596,036   
  

 

 

   

 

 

    

 

 

    

 

 

 

Liabilities Table

          

Other Financial Instruments:

          

Futures margins

   $ (149,255   $ —         $ —         $ (149,255
  

 

 

   

 

 

    

 

 

    

 

 

 

Total Liabilities

   $ (149,255   $ —         $ —         $ (149,255
  

 

 

   

 

 

    

 

 

    

 

 

 

Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

There have been no significant changes to the fair valuation methodologies of the Fund during the period.

 

35      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Risk Exposures and the Use of Derivative Instruments

The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors.

Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

 

36      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

The Fund’s actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.

Risks of Investing in Derivatives. The Fund’s use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow.

Counterparty Credit Risk. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

Credit Related Contingent Features. The Fund’s agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund’s net assets and or a percentage decrease in the Fund’s Net

 

37      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Asset Value or NAV. The contingent features are established within the Fund’s International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.

Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.

Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended September 28, 2012, the Fund had an ending monthly average market value of $88,269,413 and $233,475,120 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

 

38      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Option Activity

The Fund may buy and sell put and call options, or write put and call options. 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. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.

The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

During the period ended September 28, 2012, the Fund had an ending monthly average market value of $7,400 on purchased call options.

Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.

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 that there may be an illiquid market where the Fund is unable to close the contract.

Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.

As of September 28, 2012, the Fund had no outstanding written or purchased options.

 

39      Oppenheimer Core Bond Fund


Oppenheimer Core Bond Fund

STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)

 

Restricted Securities

As of September 28, 2012, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.

Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 28, 2012 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.

 

Federal tax cost of securities

   $ 1,749,679,299   

Federal tax cost of other investments

     (238,384,114
  

 

 

 

Total federal tax cost

   $ 1,511,295,185   
  

 

 

 

Gross unrealized appreciation

   $ 76,043,110   

Gross unrealized depreciation

     (7,872,452
  

 

 

 

Net unrealized appreciation

   $ 68,170,658   
  

 

 

 

 

40      Oppenheimer Core Bond Fund


Item 2. Controls and Procedures.

 

  (a) Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/28/2012, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

 

  (b) There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibits attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Integrity Funds

 

By:  

/s/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer
Date:   11/12/2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ William F. Glavin, Jr.

  William F. Glavin, Jr.
  Principal Executive Officer
Date:   11/12/2012

 

By:  

/s/ Brian W. Wixted

  Brian W. Wixted
  Principal Financial Officer
Date:   11/12/2012