0001193125-13-239990.txt : 20130530 0001193125-13-239990.hdr.sgml : 20130530 20130529210446 ACCESSION NUMBER: 0001193125-13-239990 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20130328 FILED AS OF DATE: 20130530 DATE AS OF CHANGE: 20130529 EFFECTIVENESS DATE: 20130530 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 13879709 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: 3RD FL CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL INTEGRITY FUNDS DATE OF NAME CHANGE: 19910329 FORMER COMPANY: FORMER CONFORMED NAME: MASSMUTUAL LIQUID ASSETS TRUST DATE OF NAME CHANGE: 19880403 0000701265 S000008824 Oppenheimer Core Bond Fund C000024033 A C000024034 B C000024035 C C000024036 N C000024037 Y C000113139 I N-Q 1 d514797dnq.htm OPPENHEIMER INTEGRITY FUNDS Oppenheimer Integrity Funds

 

 

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

OFI Global Asset Management, 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: 3/28/2013

 

 

 


Item 1. Schedule of Investments.


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

               

Principal

Amount

               Value          

Asset-Backed Securities—14.0%

  

    
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/141      $           1,460,000         $           1,470,281          
Ally Master Owner Trust, Asset-Backed Nts., Series 2012-2, Cl. A, 0.703%, 3/15/162                 3,355,000                    3,357,558          
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. A, 1.89%, 7/15/161                 2,494,912                    2,504,912          
American Credit Acceptance Receivables Trust 2012-3, Automobile Receivable Nts.:
Series 2012-3, Cl. A, 1.64%, 11/15/161
          1,037,168              1,037,391        
Series 2012-3, Cl. C, 2.78%, 9/17/181                 610,000                    609,908          
AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17                 1,995,000                    2,122,260          
AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.:
Series 2010-2, Cl. C, 4.52%, 10/8/15
          2,800,000              2,873,296        
Series 2010-2, Cl. D, 6.24%, 6/8/16                 1,670,000                    1,785,679          
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17                 720,000                    762,150          
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.:
Series 2011-2, Cl. B, 2.33%, 3/8/16
          2,817,000              2,854,653        
Series 2011-2, Cl. D, 4%, 5/8/17                 3,440,000                    3,639,575          
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 9/8/17                 3,995,000                    4,225,519          
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts., Series 2011-5, Cl. D, 5.05%, 12/8/17                 2,760,000                    3,002,890          
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18                 5,525,000                    6,020,338          
AmeriCredit Automobile Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. D, 3.38%, 4/9/18                 4,505,000                    4,718,870          
AmeriCredit Automobile Receivables Trust 2012-5, Automobile Receivables-Backed Nts.:
Series 2012-5, Cl. C, 1.69%, 11/8/18
          1,640,000              1,655,034        
Series 2012-5, Cl. D, 2.35%, 12/10/18                 2,445,000                    2,482,646          
AmeriCredit Automobile Receivables Trust 2013-1, Automobile Receivables-Backed Nts.:
Series 2013-1, Cl. C, 1.57%, 1/8/19
          2,745,000              2,753,956        
Series 2013-1, Cl. D, 2.09%, 2/8/19                 1,945,000                    1,948,272          
Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.:
Series 2010-3A, Cl. A, 4.64%, 5/20/161
          1,760,000              1,890,698        
Series 2011-2A, Cl. A, 2.37%, 11/20/141           2,975,000              3,039,498        
Series 2011-3A, Cl. B, 4.74%, 11/20/171           1,315,000              1,428,136        
Series 2012-1A, Cl. A, 2.054%, 8/20/161                 5,870,000                    6,005,612          

 

1   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          
Capital Auto Receivables Asset Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.19%, 9/20/21      $           1,265,000         $           1,264,696          
CarMax Auto Owner Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 1.99%, 8/15/19                 955,000                    957,672          
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/161                 376,695                    397,446          
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15                 460,000                    463,872          
CPS Auto Trust, Automobile Receivable Nts.:
Series 2012-B, Cl. A, 2.52%, 9/16/191
          3,005,911              3,016,570        
Series 2012-C, Cl. A, 1.82%, 12/16/191                 1,032,395                    1,037,640          
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.:
Series 2012-1A, Cl. A, 2.20%, 9/16/191
          1,675,000              1,698,356        
Series 2012-2A, Cl. A, 1.52%, 3/16/201           1,025,000              1,031,974        
Series 2012-2A, Cl. B, 2.21%, 9/15/201                 510,000                    515,199          
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16                 2,440,000                    2,477,547          
DT Auto Owner Trust 2010-1A, Automobile Receivable Nts., Series 2010-1A, Cl. D, 5.92%, 9/15/161                 1,617,807                    1,626,603          
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/17/151                 1,571,925                    1,577,965          
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 2/16/161                 660,034                    661,597          
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/171                 2,775,000                    2,820,231          
DT Auto Owner Trust 2012-1A, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.05%, 1/15/151                 731,310                    732,074          
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.:
Series 2012-2, Cl. C, 2.72%, 4/17/171
          665,000              674,027        
Series 2012-2, Cl. D, 4.35%, 3/15/191                 860,000                    890,295          
Enterprise Fleet Financing LLC, Automobile Receivable Nts., Series 2012-2, Cl. A2, 0.72%, 4/20/181                 415,000                    415,173          
Exeter Automobile Receivables Trust, Automobile Receivable Nts.:
Series 2012-1A, Cl. A, 2.02%, 8/15/161
          1,113,767              1,119,923        
Series 2012-2A, Cl. A, 1.30%, 6/15/171           1,272,875              1,276,565        
Series 2012-2A, Cl. B, 2.22%, 12/15/171           1,415,000              1,433,391        
Series 2012-2A, Cl. C, 3.06%, 7/16/181                 235,000                    238,439          
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15                 102,711                    102,772          
First Investors Auto Owner Trust 2012-1A, Automobile Receivables Nts., Series 2012-1A, Cl. D, 5.65%, 4/15/181                 1,055,000                    1,131,811          
Ford Credit Auto Owner Trust 2013-A, Automobile Receivables Nts., Series 2013-A, Cl. D, 1.86%, 8/15/19                 1,845,000                    1,852,391          
Ford Credit Floorplan Master Owner Trust A, Automobile Receivable Nts., Series 2012-2, Cl. C, 2.86%, 1/15/19                 2,585,000                    2,715,373          
Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2012-1, Cl. C, 1.703%, 1/15/162                 1,625,000                    1,635,867          

 

2   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151      $           2,900,000         $           2,942,597          
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.553%, 3/15/162                 2,900,000                    2,915,543          
Prestige Auto Receivables Trust, Automobile Receivable Nts., Series 2011-1A, Cl. D., 5.18%, 7/16/18                 935,000                    983,455          
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17                 2,950,000                    3,045,179          
Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, Cl. C, 3.02%, 10/17/161                 3,070,000                    3,118,337          
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17                 2,880,000                    3,011,079          
Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. B, 2.90%, 5/16/16                 1,895,000                    1,940,072          
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173                 1,049,698                    1,053,706          
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/173                 1,200,964                    1,210,332          
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts.:
Series 2012-2, Cl. C, 3.20%, 2/15/18
          350,000              364,114        
Series 2012-2, Cl. D, 3.87%, 2/15/18                 3,550,000                    3,740,310          
Santander Drive Auto Receivables Trust 2012-4, Automobile Receivables Nts.:
Series 2012-4, Cl. A3, 1.04%, 8/15/16
          6,260,000              6,299,648        
Series 2012-4, Cl. B, 1.83%, 3/15/17           1,040,000              1,056,257        
Series 2012-4, Cl. D, 3.50%, 6/15/18                 4,530,000                    4,757,537          
Santander Drive Auto Receivables Trust 2012-5, Automobile Receivables Nts.:
Series 2012-5, Cl. C, 2.70%, 8/15/18
          770,000              804,197        
Series 2012-5, Cl. D, 3.30%, 9/17/18                 5,425,000                    5,611,870          
Santander Drive Auto Receivables Trust 2012-6, Automobile Receivables Nts., Series 2012-6, Cl. D, 2.52%, 9/17/18                 5,750,000                    5,845,674          
Santander Drive Auto Receivables Trust 2012-AA, Automobile Receivables Nts., Series 2012-AA, Cl. D, 2.46%, 12/17/181                 990,000                    1,007,084          
Santander Drive Auto Receivables Trust 2013-1, Automobile Receivables Nts.:
Series 2013-1, Cl. C, 1.76%, 1/15/19
          3,180,000              3,205,105        
Series 2013-1, Cl. D, 2.80%, 1/15/19                 1,605,000                    1,606,650          
Santander Drive Auto Receivables Trust 2013-2, Automobile Receivables Nts., Series 2013-2, Cl. D, 2.70%, 3/15/19                 2,135,000                    2,136,385          
SNAAC Auto Receivables Trust, Automobile Receivable Nts.:
Series 2012-1A, Cl. A, 1.78%, 6/15/161
          1,160,712              1,167,540        
Series 2012-1A, Cl. C, 4.38%, 6/15/171                 1,105,000                    1,143,311          
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.:
Series 2012-1, Cl. A2, 1.10%, 3/16/15
          1,045,000              1,045,366        
Series 2012-1, Cl. B, 1.87%, 9/15/15           1,775,000              1,775,890        
Series 2012-1, Cl. C, 2.52%, 3/15/16           1,280,000              1,280,582        
Series 2012-1, Cl. D, 3.12%, 3/15/18                 895,000                    895,527          

 

3   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          
Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 3/15/161      $           1,045,000         $           1,047,111          
Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl. A2, 1.19%, 3/20/211                 1,557,403                    1,566,480          
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2012-B, Cl. A, 1.76%, 5/17/21           1,240,000              1,263,107        
               

 

 

      

Total Asset-Backed Securities (Cost $161,893,492)

 

                 

 

163,794,646

 

  

 

    

Mortgage-Backed Obligations—56.0%

                                              

Government Agency—43.2%

                                              

FHLMC/FNMA/FHLB/Sponsored—42.9%

                    
Federal Home Loan Mortgage Corp.:
3.50%, 4/1/434
          9,275,000              9,763,025        
5.50%, 9/1/39           5,141,933              5,632,727        
6%, 5/15/18-11/1/37           1,203,073              1,317,053        
6.50%, 4/1/18-4/1/34           1,359,139              1,504,318        
7%, 7/15/21-10/1/37           6,398,289              7,600,173        
8%, 4/1/16           91,894              97,253        
9%, 4/14/17-5/1/25           40,555              45,615        
12.50%, 5/15/14                 17                    17          

Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.

Investment Conduit Multiclass Pass-Through Certificates:
Series 151, Cl. F, 9%, 5/15/21

          10,650              12,204        
Series 1590, Cl. IA, 1.30%, 10/15/232           1,691,014              1,731,317        
Series 2034, Cl. Z, 6.50%, 2/15/28           12,924              14,804        
Series 2043, Cl. ZP, 6.50%, 4/15/28           1,762,660              2,030,254        
Series 2046, Cl. G, 6.50%, 4/15/28           991,463              1,135,904        
Series 2053, Cl. Z, 6.50%, 4/15/28           13,345              15,290        
Series 2063, Cl. PG, 6.50%, 6/15/28           839,047              961,495        
Series 2145, Cl. MZ, 6.50%, 4/15/29           322,696              367,610        
Series 2148, Cl. ZA, 6%, 4/15/29           496,861              563,575        
Series 2195, Cl. LH, 6.50%, 10/15/29           791,384              908,536        
Series 2326, Cl. ZP, 6.50%, 6/15/31           220,410              254,122        
Series 2341, Cl. FP, 1.103%, 7/15/312           368,975              377,317        
Series 2399, Cl. PG, 6%, 1/15/17           228,015              242,947        
Series 2423, Cl. MC, 7%, 3/15/32           1,236,905              1,457,052        
Series 2453, Cl. BD, 6%, 5/15/17           227,078              243,121        
Series 2461, Cl. PZ, 6.50%, 6/1/32           1,886,260              2,175,812        
Series 2463, Cl. F, 1.203%, 6/15/322           1,910,369              1,960,133        
Series 2500, Cl. FD, 0.703%, 3/15/322           131,877              133,250        
Series 2526, Cl. FE, 0.603%, 6/15/292           169,221              170,288        
Series 2551, Cl. FD, 0.603%, 1/15/332           352,908              355,317        
Series 2676, Cl. KY, 5%, 9/15/23           2,539,001              2,808,463        
Series 3025, Cl. SJ, 24.005%, 8/15/352           367,085              540,816        
Series 3822, Cl. JA, 5%, 6/1/40           2,573,552              2,699,356        
Series 3848, Cl. WL, 4%, 4/1/40                 2,802,781                    2,986,604          
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183, Cl. IO, 17.632%, 4/1/275
          729,440              110,077        
Series 192, Cl. IO, 11.03%, 2/1/285           82,638              19,704        
Series 206, Cl. IO, 16.159%, 12/1/295           131,097              24,298        

 

4   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

FHLMC/FNMA/FHLB/Sponsored Continued

  

    
Series 2129, Cl. S, 17.333%, 2/15/295      $           947,831         $           209,231        
Series 2130, Cl. SC, 55.081%, 3/15/295           276,502              66,867        
Series 2134, Cl. SB, 60.653%, 3/15/295           267,691              50,490        
Series 2422, Cl. SJ, 50.503%, 1/15/325           999,215              229,934        
Series 243, Cl. 6, 0%, 12/15/325,6           643,048              146,719        
Series 2493, Cl. S, 65.008%, 9/15/295           72,036              14,679        
Series 2601, Cl. GS, 2.481%, 11/15/175           438,322              14,815        
Series 2796, Cl. SD, 64.308%, 7/15/265           432,503              84,358        
Series 2802, Cl. AS, 41.958%, 4/15/335           316,690              11,811        
Series 2920, Cl. S, 63.242%, 1/15/355           1,715,870              311,853        
Series 2922, Cl. SE, 11.402%, 2/15/355           1,379,120              256,461        
Series 3005, Cl. WI, 6.992%, 7/15/355           2,073,308              113,492        
Series 3201, Cl. SG, 9.876%, 8/15/365           3,947,308              571,027        
Series 3450, Cl. BI, 16.399%, 5/15/385           7,768,212              1,135,158        
Series 3606, Cl. SN, 9.33%, 12/15/395           2,146,943              349,670        
Series 3662, Cl. SM, 28.579%, 10/15/325           6,894,934              896,332        
Series 3736, Cl. SN, 10.674%, 10/15/405                 15,249,196                    2,464,319          

Federal Home Loan Mortgage Corp., Principal-Only Stripped

Mtg.-Backed Security, Series 176, Cl. PO, 3.602%, 6/1/267

                98,644                    88,955          
Federal National Mortgage Assn.:
2.50%, 4/1/284
          140,600,000              145,894,476        
3.50%, 4/1/284           8,405,000              8,911,927        
4%, 4/1/434           45,745,000              48,782,756        
4.50%, 4/1/28-4/1/434           60,290,000              64,962,489        
5%, 4/1/434           970,000              1,050,935        
5.50%, 12/25/18-5/1/36           4,018,256              4,424,871        
6%, 5/25/20           336,660              356,802        
6.50%, 6/1/17-11/1/31           7,904,802              8,935,351        
7%, 9/25/14-4/1/34           3,687,219              4,310,528        
7.50%, 1/1/33-8/1/33           4,360,775              5,278,050        
8.50%, 7/1/32                 16,772                    19,803          
Federal National Mortgage Assn., 15 yr., 3%, 4/1/284                 11,365,000                    11,952,340          
Federal National Mortgage Assn., 30 yr., 3.50%, 4/1/434                 65,495,000                    69,179,094          

Federal National Mortgage Assn., Gtd. Real Estate Mtg.

Investment Conduit Multiclass Pass-Through Certificates:
Trust 1993-104, Cl. ZB, 6.50%, 7/25/23

          302,401              337,855        
Trust 1993-87, Cl. Z, 6.50%, 6/25/23           237,834              271,050        
Trust 1996-35, Cl. Z, 7%, 7/25/26           79,057              91,819        
Trust 1998-58, Cl. PC, 6.50%, 10/25/28           487,138              558,439        
Trust 1998-61, Cl. PL, 6%, 11/25/28           604,117              685,054        
Trust 1999-54, Cl. LH, 6.50%, 11/25/29           884,645              1,012,879        
Trust 1999-60, Cl. PG, 7.50%, 12/25/29           3,803,020              4,472,401        
Trust 2001-51, Cl. OD, 6.50%, 10/25/31           975,514              1,124,905        
Trust 2002-10, Cl. FB, 0.704%, 3/25/172           74,786              75,332        
Trust 2002-16, Cl. PG, 6%, 4/25/17           417,684              447,501        
Trust 2002-2, Cl. UC, 6%, 2/25/17           260,575              277,666        
Trust 2002-56, Cl. FN, 1.204%, 7/25/322           537,982              552,005        
Trust 2003-130, Cl. CS, 13.692%, 12/25/332           2,919,474              3,569,417        

 

5   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

FHLMC/FNMA/FHLB/Sponsored Continued

  

    
Trust 2003-21, Cl. FK, 0.604%, 3/25/332      $           159,171         $           160,261        
Trust 2003-28, Cl. KG, 5.50%, 4/25/23           1,295,508              1,432,798        
Trust 2004-101, Cl. BG, 5%, 1/25/20           1,076,408              1,146,082        
Trust 2005-104, Cl. MC, 5.50%, 12/25/25           4,276,651              4,740,503        
Trust 2005-109, Cl. AH, 5.50%, 12/25/25           10,000,000              11,305,700        
Trust 2005-31, Cl. PB, 5.50%, 4/25/35           2,480,000              3,046,493        
Trust 2005-71, Cl. DB, 4.50%, 8/25/25           1,001,765              1,099,348        
Trust 2006-50, Cl. SK, 23.451%, 6/25/362           996,626              1,468,885        
Trust 2007-109, Cl. NF, 0.754%, 12/25/372           2,847,196              2,883,815        
Trust 2009-36, Cl. FA, 1.144%, 6/25/372           2,229,744              2,259,653        
Trust 2009-37, Cl. HA, 4%, 4/1/19           2,616,117              2,775,658        
Trust 2009-70, Cl. PA, 5%, 8/1/35           755,979              761,483        
Trust 2011-15, Cl. DA, 4%, 3/1/41           1,069,527              1,142,944        
Trust 2011-3, Cl. KA, 5%, 4/1/40                 2,871,848                    3,163,749          
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 50.022%, 3/17/315
          396,739              79,749        
Trust 2001-61, Cl. SE, 28.851%, 11/18/315           448,418              85,495        
Trust 2001-65, Cl. S, 26.824%, 11/25/315           982,954              226,852        
Trust 2001-81, Cl. S, 22.56%, 1/25/325           137,080              29,059        
Trust 2002-12, Cl. SB, 36.401%, 7/25/315           218,975              41,428        
Trust 2002-2, Cl. SW, 42%, 2/25/325           268,350              50,060        
Trust 2002-38, Cl. SO, 51.119%, 4/25/325           131,907              27,636        
Trust 2002-41, Cl. S, 63.848%, 7/25/325           1,332,983              289,381        
Trust 2002-47, Cl. NS, 34.237%, 4/25/325           430,703              97,536        
Trust 2002-5, Cl. SD, 57.815%, 2/25/325           240,131              46,179        
Trust 2002-51, Cl. S, 34.423%, 8/25/325           395,468              85,771        
Trust 2002-52, Cl. SD, 40.749%, 9/25/325           525,679              109,241        
Trust 2002-60, Cl. SM, 21.944%, 8/25/325           1,461,875              261,459        
Trust 2002-60, Cl. SY, 0%, 4/25/325,6           1,285,007              37,584        
Trust 2002-64, Cl. SD, 16.19%, 4/25/275           539,865              112,670        
Trust 2002-7, Cl. SK, 25.396%, 1/25/325           846,550              152,149        
Trust 2002-75, Cl. SA, 25.893%, 11/25/325           785,643              149,002        
Trust 2002-77, Cl. BS, 20.593%, 12/18/325           1,570,695              283,162        
Trust 2002-77, Cl. IS, 44.665%, 12/18/325           224,731              54,736        
Trust 2002-77, Cl. SA, 17.994%, 12/18/325           1,390,512              254,661        
Trust 2002-77, Cl. SH, 36.91%, 12/18/325           215,408              43,000        
Trust 2002-84, Cl. SA, 34.05%, 12/25/325           214,795              40,695        
Trust 2002-89, Cl. S, 53.989%, 1/25/335           1,922,488              467,165        
Trust 2002-9, Cl. MS, 27.532%, 3/25/325           12,226              2,560        
Trust 2002-90, Cl. SN, 26.618%, 8/25/325           1,330,113              237,807        
Trust 2002-90, Cl. SY, 34.861%, 9/25/325           682,819              138,279        
Trust 2003-14, Cl. OI, 16.459%, 3/25/335           3,068,123              468,223        
Trust 2003-26, Cl. IK, 11.178%, 4/25/335           1,081,016              205,276        
Trust 2003-33, Cl. SP, 22.955%, 5/25/335           1,303,395              197,410        
Trust 2003-4, Cl. S, 27.714%, 2/25/335           417,005              79,895        
Trust 2003-52, Cl. NS, 42.831%, 6/25/235           6,151,235              870,582        

 

6   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

FHLMC/FNMA/FHLB/Sponsored Continued

  

    
Trust 2003-89, Cl. XS, 0%, 11/25/325,6      $           94,309         $           294        
Trust 2004-54, Cl. DS, 45.76%, 11/25/305           106,635              20,647        
Trust 2004-56, Cl. SE, 11.333%, 10/25/335           1,748,432              315,507        
Trust 2005-12, Cl. SC, 14.389%, 3/25/355           693,315              133,355        
Trust 2005-40, Cl. SA, 54.854%, 5/25/355           989,695              184,207        
Trust 2005-6, Cl. SE, 69.714%, 2/25/355           1,471,094              280,096        
Trust 2005-71, Cl. SA, 59.657%, 8/25/255           1,633,168              253,482        
Trust 2005-93, Cl. SI, 12.232%, 10/25/355           1,525,020              248,711        
Trust 2006-53, Cl. US, 9.64%, 6/25/365           122,365              16,308        
Trust 2007-75, Cl. BI, 8.156%, 8/25/375           8,527,308              1,768,382        
Trust 2008-46, Cl. EI, 17.054%, 6/25/385           7,851,565              1,164,264        
Trust 2008-55, Cl. SA, 8.633%, 7/25/385           2,734,130              400,695        
Trust 2009-8, Cl. BS, 22.646%, 2/25/245           3,689,748              351,358        
Trust 222, Cl. 2, 27.532%, 6/1/235           717,978              129,105        
Trust 247, Cl. 2, 47.92%, 10/1/235           74,771              14,733        
Trust 252, Cl. 2, 43.321%, 11/1/235           733,499              140,387        
Trust 254, Cl. 2, 36.839%, 1/1/245           1,318,202              248,216        
Trust 2682, Cl. TQ, 99.999%, 10/15/335           1,853,949              382,520        
Trust 2981, Cl. BS, 99.999%, 5/15/355           3,279,762              604,026        
Trust 301, Cl. 2, 2.021%, 4/1/295           374,306              88,022        
Trust 303, Cl. IO, 10.134%, 11/1/295           63,074              11,051        
Trust 319, Cl. 2, 2.265%, 2/1/325           294,569              70,407        
Trust 320, Cl. 2, 11.682%, 4/1/325           4,871,337              787,825        
Trust 321, Cl. 2, 5.399%, 4/1/325           884,070              209,455        
Trust 324, Cl. 2, 0.244%, 7/1/325           408,903              93,323        
Trust 331, Cl. 9, 2.873%, 2/1/335           2,875,759              673,870        
Trust 334, Cl. 14, 5.74%, 2/1/335           2,556,973              565,407        
Trust 334, Cl. 15, 7.164%, 2/1/335           1,888,282              426,427        
Trust 334, Cl. 17, 13.78%, 2/1/335           98,937              20,290        
Trust 339, Cl. 12, 19.288%, 6/1/335           2,463,698              461,418        
Trust 339, Cl. 7, 66.729%, 8/1/335           2,533,138              379,222        
Trust 343, Cl. 13, 0%, 9/1/335,6           2,494,797              370,673        
Trust 343, Cl. 18, 4.173%, 5/1/345           1,656,589              241,076        
Trust 345, Cl. 9, 99.999%, 1/1/345           1,133,856              161,487        
Trust 351, Cl. 10, 9.632%, 4/1/345           1,027,660              151,938        
Trust 351, Cl. 8, 33.496%, 4/1/345           1,676,474              247,019        
Trust 356, Cl. 10, 74.115%, 6/1/355           1,274,906              182,144        
Trust 356, Cl. 12, 84.023%, 2/1/355           625,822              88,955        
Trust 362, Cl. 13, 38.996%, 8/1/355           1,577,011              260,936        
Trust 364, Cl. 16, 82.295%, 9/1/355           2,142,589              287,274        
Trust 365, Cl. 16, 71.117%, 3/1/365                 1,673,965                    238,128          
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.104%, 9/25/237           229,873              215,743        
               

 

 

      
     500,312,220        

 

7   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

GNMA/Guaranteed—0.3%

  

    
Government National Mortgage Assn.:
1.75%, 8/8/25-7/1/272
     $           11,974         $           12,589        
8.50%, 8/1/17-12/15/17           58,591              62,581        
10.50%, 12/29/17           5,699              5,845        
11%, 10/1/19           7,395              7,864        
12%, 5/29/14                 9                    9          

Government National Mortgage Assn. , Interest-Only Stripped

Mtg.-Backed Security:
Series 2001-21, Cl. SB, 79.812%, 1/16/275

          564,117              113,982        
Series 2002-15, Cl. SM, 69.388%, 2/16/325           615,073              134,406        
Series 2002-41, Cl. GS, 50.245%, 6/16/325           426,609              94,943        
Series 2002-76, Cl. SY, 79.734%, 12/16/265           314,661              70,153        
Series 2004-11, Cl. SM, 73.88%, 1/17/305                 125,373                    33,289          

Government National Mortgage Assn., Interest-Only Stripped

Mtg.-Backed Security:
Series 2007-17, Cl. AI, 22.895%, 4/16/375

          3,268,615              680,051        
Series 2011-52, Cl. HS, 13.38%, 4/16/415           9,827,240              2,517,040        
               

 

 

      
                                      3,732,752          

Non-Agency—12.8%

                                              

Commercial—7.6%

                    

Asset Securitization Corp., Commercial Interest-Only Stripped

Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.24%, 4/14/295

                1,894,506                    100,524          

Banc of America Commercial Mortgage Trust 2006-6, Commercial

Mtg. Pass-Through Certificates, Series 2006-6,

Cl. AM, 5.39%, 10/1/45

                2,820,000                    3,089,015          
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.353%, 6/1/472                 2,206,097                    1,968,014          
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.893%, 6/1/502                 2,880,000                    3,342,804          
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 7.032%, 6/15/243,5                 962,617                    44,944          
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441                 621,069                    631,373          
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37                 861,452                    720,065          
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.053%, 12/1/492                 2,940,000                    3,411,378          
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49                 212,344                    215,077          
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates:
Series 2012-CR4, Cl. D, 4.579%, 10/1/451,2
          320,000              304,615        
Series 2012-CR5, Cl. E, 4.335%, 12/1/452                 510,000                    473,680          

 

8   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Commercial Continued

  

      
Credit Suisse First Boston Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C6, Cl. AJ, 5.23%, 12/1/40      $           2,750,000         $           2,957,642          
CSMC Mortgage-Backed Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. 1A4, 6%, 7/1/36                 2,076,917                    1,614,949          
CSMC Mortgage-Backed Trust 2006-C1, Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.404%, 2/1/392                 1,890,000                    2,063,371          
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.557%, 11/1/461,2                 490,000                    522,397          
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2010-C1, Cl. XPA, 5.011%, 7/1/461,5
          25,446,561              1,373,822        
Series 2012-CR5, Cl. XA, 3.847%, 12/1/455                 17,497,114                    2,128,078          
EverBank Mortgage Loan Trust, Commercial Mtg. Pass-Through Certificates, Series 2013-1, Cl. A1, 2.25%, 4/1/43                 1,110,000                    1,109,778          
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35                 1,791,629                    1,829,886          
First Horizon Alternative Mortgage Securities Trust 2005-FA8, Mtg. Pass-Through Certificates, Series 2005-FA8, Cl. 1A6, 0.854%, 11/25/352                 2,259,645                    1,715,909          
First Horizon Alternative Mortgage Securities Trust 2005-FA9, Mtg. Pass-Through Certificates, Series 2005-FA9, Cl. A4A, 5.50%, 12/1/35                 92,566                    86,403          
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/1/37                 1,921,261                    1,538,091          
First Horizon Alternative Mortgage Securities Trust 2007-FA4, Mtg. Pass-Through Certificates, Series 2007-FA4, Cl. 1A6, 6.25%, 8/1/372                 2,479,792                    2,179,292          
FREMF Mortgage Trust 2013-K25, Commerical Mtg. Pass-Through Certificates, Series 2013-K25, Cl. C, 3.617%, 11/1/452                 605,000                    566,100          
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44                 1,276,726                    1,302,571          
GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38                 2,739,112                    3,034,187          
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35                 1,608,284                    1,589,636          
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.895%, 11/1/352                 3,321,401                    2,820,174          
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates:
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49
          3,980,000              4,100,073        
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/493           123,939              126,857        
Series 2011-C3, Cl. A1, 1.875%, 2/1/461                 1,833,184                    1,861,606          
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37                 2,814,652                    2,638,715          

 

9   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Commercial Continued

  

      
JPMorgan, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.614%, 7/1/361,2      $           2,804,860         $           2,049,225          
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 92.422%, 2/18/305                 930,369                    19,562          
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/243                 67,053                    59,069          
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43                 2,800,000                    3,179,973          
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commerical Mtg. Pass-Through Certificates, Series 2012-C6, Cl. E, 4.665%, 11/1/451,2                 950,000                    905,436          
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commerical Mtg. Pass-Through Certificates, Series 2013-C7, Cl. D, 4.31%, 2/1/46                 1,150,000                    1,061,165          
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, Commerical Mtg. Pass-Through Certificates, Series 2013-C8, Cl. D, 4.173%, 12/1/48                 830,000                    754,697          
Morgan Stanley Capital I Trust 2007-IQ13, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ13, Cl. AM, 5.406%, 3/1/44                 2,830,000                    3,157,268          
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.889%, 6/1/492                 3,115,000                    3,453,681          
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1B, 2.404%, 11/1/362,3                 2,393,337                    1,214,323          
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 99.999%, 5/18/325                 17,061,241                    10,305          
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.312%, 5/1/362                 1,545,393                    1,338,720          
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.716%, 7/1/372                 3,218,880                    2,635,286          
UBS-Barclays Commercial Mortgage Trust 2012-C2, Commerical Mtg. Pass-Through Certificates, Series 2012-C2, Cl. E, 4.893%, 5/1/631,2                 460,000                    444,800          
Wachovia Bank Commercial Mortgage Trust 2003-C5, Commercial Mtg. Pass-Through Certificates, Series 2003-C5, Cl. A2, 3.989%, 6/1/35                 321,302                    321,855          
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. AM, 5.603%, 10/1/482                 2,970,000                    3,339,134          
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.527%, 12/1/352                 1,777,323                    1,684,414          

 

10   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Commercial Continued

  

      
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A6, 2.617%, 9/1/352      $           304,820         $           287,658          
Wells Fargo Mortgage-Backed Securities 2007-16 Trust, Mtg. Pass-Through Certificates, Series 2007-16, Cl. 1A1, 6%, 12/4/37                 2,959,228                    3,181,754          
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.698%, 4/1/372                 892,027                    863,846          
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 5.992%, 11/1/372                 2,153,762                    1,956,518          
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 12.113%, 3/1/445                 28,114,776                    2,233,831          
WFRBS Commercial Mortgage Trust 2012-C10, Commercial Mtg. Pass-Through Certificates, Series 2012-C10, Cl. D, 4.462%, 12/1/451,2                 480,000                    444,854          
WFRBS Commercial Mortgage Trust 2012-C7, Commercial Mtg. Pass-Through Certificates, Series 2012-C7, Cl. E, 4.85%, 6/1/451,2                 840,000                    814,937          
WFRBS Commercial Mortgage Trust 2012-C8, Commercial Mtg. Pass-Through Certificates, Series 2012-C8, Cl. D, 4.88%, 8/1/451,2                 935,000                    909,498          
WFRBS Commercial Mortgage Trust 2013-C11, Commercial Mtg. Pass-Through Certificates, Series 2013-C11, Cl. D, 4.186%, 3/1/451,2           481,000              439,741        
               

 

 

      
                                      88,222,576          

Multifamily—1.2%

                    
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37                 3,225,373                    2,976,265          
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.547%, 6/1/362                 2,018,289                    1,901,289          
Countrywide Alternative Loan Trust 2005-86CB, Mtg. Pass-Through Certificates, Series 2005-86CB, Cl. A8, 5.50%, 2/1/36                 431,282                    392,528          
Countrywide Alternative Loan Trust 2005-J14, Mtg. Pass-Through Certificates, Series 2005-J14, Cl. A7, 5.50%, 12/1/35                 1,391,385                    1,175,717          
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-24CB, Cl. A12, 5.75%, 6/1/36                 849,044                    701,971          
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 4.924%, 5/1/372                 472,847                    462,348          
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.641%, 3/1/362                 3,846,663                    3,848,890          
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.767%, 3/25/362           2,259,151              2,229,169        
               

 

 

      
     13,688,177        

 

11   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Other—0.0%

  

    
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 15.251%, 10/23/175      $           140         $           5          
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 0.939%, 10/23/177           207              205        
               

 

 

      
                                      210          

Residential—4.0%

                    
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates:
Series 2007-1, Cl. 1A3, 6%, 1/1/37
          1,712,386              1,525,377        
Series 2007-4, Cl. AM, 5.821%, 2/1/512                 3,075,000                    3,538,236          
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.449%, 5/1/362                 846,755                    840,781          
Banc of America Mortgage 2007-1 Trust, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A24, 6%, 3/1/37                 2,410,947                    2,408,866          
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.314%, 7/25/362                 1,231,574                    1,194,533          
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.764%, 2/25/332                 432,438                    408,395          
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35                 1,547,903                    1,523,688          
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35                 1,635,652                    1,547,868          
CHL Mortgage Pass-Through Trust 2006-17, Mtg. Pass-Through Certificates, Series 2006-17, Cl. A2, 6%, 12/1/36                 5,540,752                    5,116,519          
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36                 1,083,319                    1,027,653          
CHL Mortgage Pass-Through Trust 2007-15, Mtg. Pass-Through Certificates, Series 2007-15, Cl. 1A29, 6.25%, 9/1/37                 102,203                    97,861          
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35                 3,242,908                    2,944,900          
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35                 2,156,554                    1,718,424          
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37                 3,567,840                    2,953,642          
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.194%, 5/1/362                 1,953,023                    1,827,289          
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37                 1,225,706                    1,079,467          
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.324%, 6/25/472                 856,846                    848,207          
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36                 1,189,083                    1,171,437          
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36                 2,779,919                    2,669,881          
Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates, Series 2005-A1, Cl. 2A1, 2.701%, 12/25/342                 973,453                    977,180          
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,8                 1,750,658                    119,920          

 

12   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Residential Continued

  

      
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/1/33      $           229,747         $           236,608          
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/1/36                 276,959                    210,323          
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37                 1,433,361                    1,093,026          
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36                 596,777                    548,075          
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35                 683,812                    684,524          
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.114%, 5/1/372                 1,774,898                    1,720,825          
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 4.725%, 6/25/372                 858,408                    745,860          
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.547%, 1/1/372                 1,132,194                    1,014,642          
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37                 2,529,943                    2,420,769          
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35                 1,049,000                    1,112,225          
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.649%, 10/1/362           1,846,948              1,807,739        
               

 

 

      
                  47,134,740        
               

 

 

      

Total Mortgage-Backed Obligations (Cost $633,413,331)

 

                 

 

653,090,675

 

  

 

    

U.S. Government Obligations—4.0%

                                              
Federal Home Loan Mortgage Corp. Nts.:
0.875%, 3/7/18
          4,727,000              4,725,620        
1.25%, 10/2/19           2,585,000              2,573,171        
2.375%, 1/13/22           5,830,000              6,084,235        
5.25%, 4/18/16                 2,650,000                    3,037,483          
Federal National Mortgage Assn. Nts., 0.875%, 2/8/18                 3,484,000                    3,479,537          
U.S. Treasury Bonds, 7.50%, 11/15/169                 7,700,000                    9,635,826          
U.S. Treasury Nts., 5.125%, 5/15/16           14,830,000              17,004,686        
               

 

 

      

Total U.S. Government Obligations (Cost $44,552,348)

 

                 

 

46,540,558

 

  

 

    

Corporate Bonds and Notes—42.4%

                                              

Consumer Discretionary—6.0%

                                              

Auto Components—0.3%

                    
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21                 2,745,000                    3,019,500          

Automobiles—0.9%

                    
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31                 1,581,000                    2,457,655          

 

13   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Automobiles Continued

  

    
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21      $           6,499,000         $           7,451,370        
               

 

 

      
                                      9,909,025          

Diversified Consumer Services—0.2%

                    
Service Corp International, 4.50% Sr. Unsec. Unsub. Nts., 11/15/20                 2,880,000                    2,908,800          

Hotels, Restaurants & Leisure—0.7%

                    
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151                 5,163,000                    5,611,856          
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19           1,788,000              2,263,778        
               

 

 

      
                                      7,875,634          

Household Durables—0.5%

                    
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22                 3,078,000                    3,312,698          
Lennar Corp., 4.125% Sr. Unsec. Nts., 12/1/181           2,990,000              2,997,475        
               

 

 

      
                                      6,310,173          

Media—1.9%

                    
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22                 1,751,000                    2,659,787          
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42                 1,073,000                    1,098,276          
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42                 873,000                    848,166          
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21                 3,022,000                    3,373,308          
Interpublic Group of Cos., Inc. (The):
6.25% Sr. Unsec. Nts., 11/15/14
          2,269,000              2,439,175        
10% Sr. Unsec. Nts., 7/15/17                 2,881,000                    3,097,075          
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23                 3,115,000                    3,130,575          
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41                 1,048,000                    1,261,510          
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42                 881,000                    805,355          
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33                 1,542,000                    2,140,273          
Time Warner, Inc., 9.15% Debs., 2/1/23                 400,000                    583,398          
WPP Finance 2010, 5.125% Sr. Unsec. Unsub. Nts., 9/7/42           880,000              870,859        
               

 

 

      
                                      22,307,757          

Multiline Retail—0.7%

                    
Dollar General Corp., 4.125% Nts., 7/15/17                 3,080,000                    3,322,550          
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14           4,350,000              4,615,576        
               

 

 

      
                                      7,938,126          

Specialty Retail—0.3%

                    
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21                 2,994,000                    3,398,190          

Textiles, Apparel & Luxury Goods—0.5%

                    
Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20                 2,874,000                    3,143,438          
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22           2,925,000              2,903,063        
               

 

 

      
                                      6,046,501          

Consumer Staples—2.2%

                                              

Beverages—1.0%

                    
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39                 1,587,000                    2,565,174          
Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13                 3,180,000                    3,234,734          
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14                 824,000                    877,496          

 

14   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Beverages Continued

Foster’s Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/141      $           2,875,000         $           3,052,112          
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42           1,324,000              1,468,982        
               

 

 

      
                                      11,198,498          

Food & Staples Retailing—0.2%

Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40                 1,394,000                    1,366,693          
Safeway, Inc., 5.625% Sr. Unsec. Unsub. Nts., 8/15/14           1,131,000              1,199,082        
               

 

 

      
                                      2,565,775          

Food Products—0.6%

Bunge Ltd. Finance Corp.:
5.35% Sr. Unsec. Unsub. Nts., 4/15/14
          2,811,000              2,935,755        
8.50% Sr. Unsec. Nts., 6/15/19                 1,956,000                    2,525,738          
ConAgra Foods, Inc., 4.65% Sr. Unsec. Unsub. Nts., 1/25/43           1,408,000              1,409,269        
               

 

 

      
                                      6,870,762          

Personal Products—0.2%

Avon Products, Inc., 4.60% Sr. Unsec. Nts., 3/15/20                 2,481,000                    2,583,011          

Tobacco—0.2%

Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39                 1,495,000                    2,527,417          

Energy—5.9%

Energy Equipment & Services—1.0%

Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21                 3,357,000                    3,756,681          
Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14                 2,633,000                    2,793,787          
Rowan Cos., Inc., 4.875% Sr. Unsec. Nts., 6/1/22                 2,249,000                    2,450,704          
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20           1,949,000              2,106,616        
               

 

 

      
                                      11,107,788          

Oil, Gas & Consumable Fuels—4.9%

Anadarko Petroleum Corp.:
6.20% Sr. Unsec. Nts., 3/15/40
          1,155,000              1,407,239        
7.625% Sr. Unsec. Nts., 3/15/14                 2,092,000                    2,225,578          
Canadian Oil Sands Ltd.:
5.80% Sr. Unsec. Nts., 8/15/131
          2,907,000              2,962,593        
6% Sr. Unsec. Nts., 4/1/421                 1,361,000                    1,558,096          
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22                 2,650,000                    2,855,375          
Copano Energy LLC/Copano Energy Finance Corp., 7.125% Sr. Unsec. Unsub. Nts., 4/1/21                 3,120,000                    3,619,200          
DCP Midstream Operating LP:
2.50% Sr. Unsec. Unsub. Nts., 12/1/17
          2,750,000              2,796,104        
3.875% Sr. Unsec. Nts., 3/15/23                 1,425,000                    1,436,704          
El Paso Pipeline Partners Operating Co. LLC, 4.70% Sr. Unsec. Nts., 11/1/42                 2,106,000                    2,013,496          
Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14                 2,264,000                    2,430,320          
EnCana Holdings Finance Corp., 5.80% Sr. Unsec. Unsub. Nts., 5/1/14                 1,463,000                    1,539,363          
Energy Transfer Partners LP:
4.65% Sr. Unsec. Unsub. Nts., 6/1/21
          2,402,000              2,620,575        
5.20% Sr. Unsec. Unsub. Nts., 2/1/22           884,000              994,870        
8.50% Sr. Unsec. Nts., 4/15/14                 2,216,000                    2,385,912          
NuStar Logistics LP, 4.75% Sr. Unsec. Unsub. Nts., 2/1/22                 3,112,000                    3,029,750          

 

15   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Oil, Gas & Consumable Fuels Continued

  

      
Phillips 66, 4.30% Sr. Unsec. Unsub. Nts., 4/1/221      $           2,141,000         $           2,356,327          
Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21                 2,789,000                    3,005,148          
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141                 2,768,000                    2,951,380          
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151                 3,097,000                    3,135,713          
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22                 1,556,000                    1,648,668          
Talisman Energy, Inc.:
5.125% Sr. Unsec. Unsub. Nts., 5/15/15
          2,167,000              2,327,620        
6.25% Sr. Unsec. Unsub. Nts., 2/1/38                 801,000                    909,395          
Williams Cos, Inc. (The), 3.70% Unsec. Unsub. Nts., 1/15/23                 1,458,000                    1,451,381          
Woodside Finance Ltd.:
4.60% Sr. Unsec. Nts., 5/10/211
          2,232,000              2,491,385        
5% Sr. Unsec. Nts., 11/15/131           2,979,000              3,054,494        
               

 

 

      
                                      57,206,686          

Financials—13.9%

                                              

Capital Markets—3.7%

                    
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/191                 3,819,000                    4,588,765          
Carlyle Holdings Finance LLC, 3.875% Unsec. Nts., 2/1/231                 2,441,000                    2,507,224          
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34                 2,839,000                    2,970,372          
Goldman Sachs Group, Inc. (The):
5.25% Sr. Unsec. Nts., 7/27/21
          2,592,000              2,943,750        
6.25% Sr. Nts., 2/1/41                 2,816,000                    3,363,704          
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/211                 4,420,000                    4,949,671          
Morgan Stanley:
3.75% Sr. Unsec. Nts., 2/25/23
          2,932,000              2,971,919        
4.875% Sub. Nts., 11/1/22           2,483,000              2,639,134        
6.375% Sr. Unsec. Nts., 7/24/42                 3,119,000                    3,767,016          
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16                 5,428,000                    5,419,711          
Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24                 2,772,000                    3,168,210          
UBS AG (Stamford CT), 2.25% Sr. Unsec. Nts., 8/12/13                 714,000                    717,882          
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10           3,313,000              3,441,379        
               

 

 

      
         43,448,737          

Commercial Banks—3.4%

                    
Amsouth Bank NA (Birmingham AL), 5.20% Unsec. Sub. Nts., 4/1/15                 2,723,000                    2,902,903          
CIT Group, Inc., 5.50% Sr. Unsec. Nts., 2/15/191                 998,000                    1,100,295          
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                 2,686,000                    3,000,144          
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352                 7,750,000                    7,846,875          
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201                 2,530,000                    2,842,855          
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13                 1,818,000                    1,820,294          
RBS Citizens Financial Group, Inc., 4.15% Sub. Nts., 9/28/221                 2,326,000                    2,394,996          
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds10                 3,000,000                    2,700,000          

 

16   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Commercial Banks Continued

  

      
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10      $           3,421,000         $           3,953,393          
Zions Bancorp, 4.50% Sr. Unsec. Unsub. Nts., 3/27/17           5,293,000              5,660,837        
               

 

 

      
                                      39,532,573          

Consumer Finance—0.8%

                    
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13                 2,690,000                    2,694,194          
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22                 3,485,000                    3,593,986          
SLM Corp., 5.50% Sr. Unsec. Nts., 1/25/23           2,659,000              2,645,793        
               

 

 

      
                                      8,933,973          

Diversified Financial Services—2.3%

                    
Citigroup, Inc.:
3.375% Sr. Unsec. Unsub. Nts., 3/1/23
          2,151,000              2,174,465        
4.05% Unsec. Unsub. Nts., 7/30/22           1,346,000              1,394,118        
5.95% Jr. Sub. Perpetual Bonds10                 2,880,000                    2,991,600          
ING US, Inc., 5.50% Sr. Unsec. Nts., 7/15/221                 1,737,000                    1,926,616          
Jefferies Group, Inc., 5.125% Sr. Unsec. Nts., 1/20/23                 1,495,000                    1,587,032          
JPMorgan Chase & Co., 7.90% Jr. Sub. Perpetual Bonds, Series 110                 9,819,000                    11,297,604          
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38           4,191,000              5,611,485        
               

 

 

      
                                      26,982,920          

Insurance—2.1%

                    
Assurant, Inc., 2.50% Sr. Unsec. Nts., 3/15/18                 1,458,000                    1,449,931          
CNA Financial Corp.:
5.75% Sr. Unsec. Unsub. Nts., 8/15/21
          2,298,000              2,720,425        
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20                 1,534,000                    1,809,608          
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/151                 2,825,000                    3,019,883          
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67                 5,258,000                    5,310,580          
Marsh & McLennan Cos., Inc., 5.375% Nts., 7/15/14                 667,000                    705,246          
Prudential Financial, Inc.:
5.20% Unsec. Sub. Nts., 3/15/44
          1,994,000              2,012,468        
5.625% Unsec. Sub. Nts., 6/15/43                 2,360,000                    2,454,400          
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,10           4,962,000              5,277,087        
               

 

 

      
                                      24,759,628          

Real Estate Investment Trusts (REITs)—1.6%

                    
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20
          1,185,000              1,318,260        
7% Sr. Unsec. Nts., 10/15/17                 2,465,000                    2,935,263          
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/203,4                 1,080,000                    1,102,275          
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13                 3,074,000                    3,093,750          
Hospitality Properties Trust, 5.125% Sr. Unsec. Nts., 2/15/15                 2,830,000                    2,961,473          
Host Hotels & Resorts, Inc., 3.75% Sr. Unsec. Nts., 10/15/23                 1,981,000                    1,993,698          
National Retail Properties, Inc., 6.25% Sr. Unsec. Unsub. Nts., 6/15/14                 2,147,000                    2,272,527          
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/141           2,683,000              2,883,557        
               

 

 

      
                                      18,560,803          

Health Care—1.7%

                                              

Biotechnology—0.8%

                    
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22                 3,031,000                    3,244,595          

 

17   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Biotechnology Continued

  

      
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22      $           3,363,000         $           3,410,499          
Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41           1,585,000              1,934,130        
               

 

 

      
                                      8,589,224          

Health Care Equipment & Supplies—0.1%

                    
Medtronic, Inc., 4% Sr. Unsec. Unsub. Nts., 4/1/43                 1,081,000                    1,058,036          

Health Care Providers & Services—0.6%

                    
Cardinal Health, Inc.:
1.70% Sr. Unsec. Nts., 3/15/18
          970,000              968,614        
3.20% Sr. Unsec. Nts., 3/15/23                 1,455,000                    1,451,866          
Express Scripts Holding Co., 6.25% Sr. Unsec. Nts., 6/15/14                 2,795,000                    2,976,133          
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41           1,440,000              1,865,337        
               

 

 

      
                                      7,261,950          

Pharmaceuticals—0.2%

                    
Zoetis, Inc.:
1.875% Sr. Unsec. Nts., 2/1/181
          987,000              994,963        
4.70% Sr. Unsec. Nts., 2/1/431           1,482,000              1,521,593        
               

 

 

      
                                      2,516,556          

Industrials—3.7%

                                              

Aerospace & Defense—0.5%

                    
BE Aerospace, Inc., 5.25% Sr. Unsec. Unsub. Nts., 4/1/22                 2,166,000                    2,244,518          
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21           2,933,000              3,204,303        
               

 

 

      
                                      5,448,821          

Building Products—0.2%

                    
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22                 2,192,000                    2,247,791          

Commercial Services & Supplies—0.3%

                    
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20                 3,175,000                    3,294,063          

Industrial Conglomerates—0.8%

                    
General Electric Capital Corp.:
6.375% Unsec. Sub. Bonds, 11/15/67
          6,149,000              6,533,313        
7.125% Jr. Sub. Perpetual Bonds10           2,600,000              3,031,519        
               

 

 

      
                                      9,564,832          

Machinery—0.8%

                    
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16                 3,214,000                    3,567,540          
Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22                 2,240,000                    2,331,645          
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/171           2,616,000              2,923,380        
               

 

 

      
                                      8,822,565          

Professional Services—0.3%

                    
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20                 2,833,000                    3,080,888          

Road & Rail—0.6%

                    
Kansas City Southern de Mexico SA de CV, 6.625% Sr. Unsec. Unsub. Nts., 12/15/20                 2,757,000                    3,142,980          

Penske Truck Leasing Co. LP/PTL Finance Corp.:

2.50% Sr. Nts., 7/11/141

          2,909,000              2,955,800        
4.25% Sr. Unsec. Nts., 1/17/231           1,512,000              1,527,016        
               

 

 

      
                  7,625,796        

 

18   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Trading Companies & Distributors—0.2%

  

    
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19      $           2,660,000         $           2,887,967          

Information Technology—1.6%

                                              

Computers & Peripherals—0.6%

                    
Hewlett-Packard Co.:
2.65% Sr. Unsec. Unsub. Nts., 6/1/16
          5,375,000              5,487,069        
4.75% Sr. Unsec. Nts., 6/2/14           1,425,000              1,488,856        
               

 

 

      
                                      6,975,925          

Electronic Equipment, Instruments & Components—0.7%

                    
Amphenol Corp., 4.75% Sr. Unsec. Unsub. Nts., 11/15/14                 848,000                    898,706          
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21                 3,515,000                    3,762,329          
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22           3,275,000              3,405,316        
               

 

 

      
                                      8,066,351          

Office Electronics—0.2%

                    
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13                 2,655,000                    2,669,730          

Semiconductors & Semiconductor Equipment—0.1%

                    
Maxim Integrated Products, Inc., 3.375% Sr. Unsec. Nts., 3/15/23                 1,392,000                    1,405,823          

Materials—3.1%

                                              

Chemicals—0.4%

                    
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41                 521,000                    587,703          
Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42                 668,000                    697,547          
RPM International, Inc., 3.45% Sr. Unsec. Nts., 11/15/22                 1,502,000                    1,492,826          
Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42           1,547,000              1,522,053        
               

 

 

      
                                      4,300,129          

Containers & Packaging—1.0%

                    
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21                 2,937,000                    3,223,358          
Packaging Corp. of America, 3.90% Sr. Unsec. Unsub. Nts., 6/15/22                 2,240,000                    2,316,158          
Rock Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20                 2,837,000                    2,906,166          
Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/211           2,552,000              2,934,800        
               

 

 

      
                                      11,380,482          

Metals & Mining—1.6%

                    
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21                 1,722,000                    1,929,286          
Carpenter Technology Corp., 4.45% Sr. Unsec. Nts., 3/1/23                 951,000                    979,242          
Cliffs Natural Resources, Inc., 3.95% Sr. Unsec. Unsub. Nts., 1/15/18                 2,613,000                    2,627,505          
Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22                 2,166,000                    2,158,575          
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19                 4,948,000                    5,628,731          
Xstrata Canada Corp.:
5.375% Sr. Unsec. Unsub. Nts., 6/1/15
          2,070,000              2,237,086        
6% Sr. Unsec. Unsub. Nts., 10/15/15                 2,552,000                    2,831,620          
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/161           52,000              59,258        
               

 

 

      
     18,451,303        

 

19   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

                Principal
Amount
               Value          

Paper & Forest Products—0.1%

International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41      $           1,333,000         $           1,559,071          

Telecommunication Services—2.3%

                                              

Diversified Telecommunication Services—1.7%

                    
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38                 3,567,000                    4,299,715          
British Telecommunications plc, 9.625% Bonds, 12/15/30                 1,896,000                    2,949,736          
CenturyLink, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/20                 2,918,000                    2,989,488          
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20                 2,863,000                    3,256,663          
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38                 2,509,000                    2,627,508          
Telefonica Emisiones SAU, 7.045% Sr. Unsub. Unsec. Nts., 6/20/36                 1,850,000                    1,997,795          
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38           1,465,000              1,777,829        
               

 

 

      
                                      19,898,734          

Wireless Telecommunication Services—0.6%

                    
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42                 1,654,000                    1,535,369          
CC Holdings GS V LLC, 3.849% Sr. Sec. Nts., 4/15/231                 1,573,000                    1,589,202          
MetroPCS Wireless, Inc., 6.25% Sr. Unsec. Nts., 4/1/211                 2,930,000                    2,992,263          
Vodafone Group plc, 4.375% Sr. Unsec. Unsub. Nts., 2/19/43           765,000              734,281        
               

 

 

      
                                      6,851,115          

Utilities—2.0%

                                              

Electric Utilities—1.6%

                    
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17                 4,312,000                    4,704,767          
Electricite de France SA, 5.25% Jr. Sub. Perpetual Bonds1,2,10                 2,372,000                    2,362,531          
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22                 1,500,000                    1,582,335          
FirstEnergy Corp., 4.25% Sr. Unsec. Unsub. Nts., 3/15/23                 1,765,000                    1,789,987          
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13                 2,763,000                    2,780,189          
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Nts., 12/1/22                 2,180,000                    2,202,184          
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/211           2,845,000              3,259,443        
               

 

 

      
                                      18,681,436          

Energy Traders—0.2%

                    
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13                 2,889,000                    2,987,648          

Multi-Utilities—0.2%

                    

CMS Energy Corp.:

4.70% Sr. Unsec. Nts., 3/31/43

          999,000              1,004,748        
5.05% Sr. Unsec. Unsub. Nts., 3/15/22           1,051,000              1,215,838        
               

 

 

      
                  2,220,586        
               

 

 

      
Total Corporate Bonds and Notes (Cost $467,881,281)                   493,839,099        
                Shares                            

Investment Company—14.0%

                    
Oppenheimer Institutional Money Market Fund, Cl. E, 0.14%11,12 (Cost $163,072,233)           163,072,233              163,072,233        

 

20   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

         
              Value                
Total Investments, at Value (Cost $1,470,812,685)      130.4%       $ 1,520,337,211               
Liabilities in Excess of Other Assets      (30.4)           (354,576,720)           
  

 

 

    
Net Assets            100.0%       $     1,165,760,491           
  

 

 

    

Footnotes to Statement of Investments

*March 28, 2013 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 $150,759,252 or 12.93% of the Fund’s net assets as of March 28, 2013.

2. Represents the current interest rate for a variable or increasing rate security.

3. Restricted security. The aggregate value of restricted securities as of March 28, 2013 was $4,931,426, which represents 0.42% 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, 7.032%, 6/15/24

     4/21/97         $ 176,452         $ 44,944         $ (131,508

    Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/20

     3/21/13         1,080,000         1,102,275         22,275   

    JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49

     7/14/10         122,390         126,857         4,467   

    Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl.A, 2.514%, 7/1/24

     1/28/02         65,678         59,069         (6,609

    Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1B, 2.404%, 11/1/36

     10/24/12         1,156,914         1,214,323         57,409   

    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         119,920         (1,583,415

    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         1,050,654         1,053,706         3,052   

    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         1,198,396         1,210,332         11,936   
     

 

 

 
        $   6,553,819       $   4,931,426       $ (1,622,393
     

 

 

 

4. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 28, 2013. 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 $34,533,572 or 2.96% of the Fund’s net assets as of March 28, 2013.

6. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.

 

21   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $304,903 or 0.03% of the Fund’s net assets as of March 28, 2013.

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 $1,033,661. See accompanying Notes.

10. 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.

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 28, 2013, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

 

     Shares      Gross      Gross      Shares  
      December 31,
2012
     Additions      Reductions     

March 28,

2013

 
Oppenheimer Institutional Money Market Fund, Cl. E      225,847,537         99,175,680         161,950,984         163,072,233   
                         Value         Income   
Oppenheimer Institutional Money Market Fund, Cl. E       $ 163,072,233       $ 56,600   

12. Rate shown is the 7-day yield as of March 28, 2013.

 

Futures Contracts as of March 28, 2013 are as follows:      
Contract Description      Buy/Sell      Number of
Contracts
     Expiration
Date
     Value      Unrealized  
Appreciation  
(Depreciation)  
 
U.S. Long Bonds        Sell         82         6/19/13       $     11,846,438           $ (46,405)     
U.S. Treasury Nts., 2 yr.        Sell         431         6/28/13         95,015,297         (20,205)     
U.S. Treasury Nts., 5 yr.        Sell         618         6/28/13         76,665,797         (267,318)     
U.S. Treasury Nts., 10 yr.        Sell         281         6/19/13         37,087,609         (82,139)     
U.S. Treasury Ultra Bonds        Buy         329         6/19/13         51,848,344         398,372      
                

 

 

 
                     $     (17,695)     
                

 

 

 

Notes to Statement of Investments

Quarterly Period. 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.

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.

 

22   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

As of March 28, 2013, 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        $556,232,618   
Sold securities        194,818,607   

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 March 28, 2013 is as follows:

 

Cost      $ 1,703,335   
Market Value      $ 119,920   
Market Value as a % of Net Assets        0.01%   

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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.

 

23   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

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 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.

 

24   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

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, 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.)
  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 March 28, 2013 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    $      $ 163,794,646       $       $ 163,794,646     
Mortgage-Backed Obligations             652,911,686         178,989         653,090,675     
U.S. Government Obligations             46,540,558                 46,540,558     
Corporate Bonds and Notes             493,839,099                 493,839,099     
Investment Company      163,072,233                        163,072,233     
Total Investments, at Value      163,072,233        1,357,085,989         178,989         1,520,337,211     

Other Financial Instruments:

          
Futures margins      106,475                        106,475     
Total Assets    $   163,178,708      $   1,357,085,989       $   178,989       $   1,520,443,686     

Liabilities Table

          

Other Financial Instruments:

          
Futures margins    $ (202,146   $       $       $ (202,146)     
Total Liabilities    $ (202,146   $       $       $ (202,146)     

 

25   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

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.

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.

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.

 

26   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

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.

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 March 28, 2013, the Fund had an ending monthly average market value of $52,205,617 and $275,131,412 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.

Restricted Securities

As of March 28, 2013, 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.

 

27   

Oppenheimer Core Bond Fund

 


  STATEMENT OF INVESTMENTS     March 28, 2013* (Unaudited)

 

 

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 March 28, 2013 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     $           1,471,271,491     
Federal tax cost of other investments        (168,749,102)     
 

 

 

 
Total federal tax cost     $           1,302,522,389     
 

 

 

 
Gross unrealized appreciation     $           56,597,657     
Gross unrealized depreciation        (7,549,632)     
 

 

 

 
Net unrealized appreciation     $           49,048,025     
 

 

 

 

 

28   

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 3/28/2013, 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:   5/8/2013

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:   5/8/2013

 

By:  

/s/ Brian W. Wixted

  Brian W. Wixted
  Principal Financial Officer
Date:   5/8/2013
EX-99.CERT 2 d514797dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, William F. Glavin, Jr., certify that:

 

1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

/s/ William F. Glavin, Jr.

William F. Glavin, Jr.
Principal Executive Officer
Date: 5/8/2013


Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Brian W. Wixted, certify that:

 

1. I have reviewed this report on Form N-Q of Oppenheimer Integrity Funds;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

/s/ Brian W. Wixted

Brian W. Wixted
Principal Financial Officer
Date: 5/8/2013