-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, KPzjdNXpQNSfqmYba8OoFe6AevZMioqmLBCDJwwRqUF9Q7hsgvqdWXLxImopLLSF sz+UYvtWRQ5ccEuUXGJJIg== 0001434991-09-000208.txt : 20090527 0001434991-09-000208.hdr.sgml : 20090527 20090527172304 ACCESSION NUMBER: 0001434991-09-000208 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090331 FILED AS OF DATE: 20090527 DATE AS OF CHANGE: 20090527 EFFECTIVENESS DATE: 20090527 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER INTEGRITY FUNDS CENTRAL INDEX KEY: 0000701265 IRS NUMBER: 042509354 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03420 FILM NUMBER: 09855230 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 N-Q 1 p14299nvq.txt N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3420 Oppenheimer Integrity Funds (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: December 31 Date of reporting period: 03/31/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- ASSET-BACKED SECURITIES--3.9% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.002%, 5/25/34(1) $ 3,925,924 $ 2,172,822 Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.622%, 5/26/36(1) 1,217,468 1,159,440 Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 0.576%, 4/15/11(1) 9,054,374 8,939,015 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.622%, 5/16/36(1) 1,241,184 1,183,385 Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 1.082%, 2/25/33(1) 970,587 778,983 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 460,000 263,503 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.622%, 10/25/36(1) 1,566,790 1,387,178 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 1.262%, 2/25/33(1) 48,808 21,014 Series 2005-11, Cl. AF2, 4.657%, 2/25/36 362,422 356,156 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(1) 4,980,000 4,029,568 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(1) 863,655 673,260 CWABS, Inc. Asset-Backed Certificates Trust, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.642%, 6/25/47(1) 3,020,000 2,002,281 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.612%, 7/25/36(1) 3,550,000 2,990,191 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.632%, 7/7/36(1) 1,820,000 1,496,459 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 0.805%, 1/20/35(1) 1,125,187 774,806 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.655%, 3/20/36(1) 1,120,000 945,632 Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35(1) 265,547 262,898 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 435,646 403,516 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(2) 672,359 658,911 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.906%, 3/15/16(1) 4,380,000 1,930,182 NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.945%, 1/25/29(1, 2) 1,750,658 223,209 Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.622%, 7/1/36(1) 8,567,676 6,199,485 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(1) 1,387,738 1,230,440 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.562%, 9/25/36(1) 1,260,993 1,162,016
1 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 $ 440,000 $ 442,825 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.622%, 7/25/36(1) 2,225,850 2,117,833 -------------- Total Asset-Backed Securities (Cost $56,774,433) 43,805,008 -------------- MORTGAGE-BACKED OBLIGATIONS--99.8% GOVERNMENT AGENCY--67.5% FHLMC/FNMA/SPONSORED--67.1% Federal Home Loan Mortgage Corp.: 5%, 6/15/33-8/15/33 10,445,783 10,818,169 6%, 5/15/18-3/15/33 7,811,756 8,228,763 6.50%, 4/15/18-4/1/34 5,321,234 5,623,018 7%, 7/15/21-10/1/37 15,318,436 16,611,677 8%, 4/1/16 393,973 420,806 9%, 4/14/17-5/1/25 110,525 121,547 12.50%, 5/15/14 624 737 13.50%, 12/15/10 420 453 ------------ -------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 25,104 25,116 Series 1590, Cl. IA, 1.613%, 10/15/23(1) 4,251,365 4,266,993 Series 2034, Cl. Z, 6.50%, 2/15/28 33,336 35,586 Series 2043, Cl. ZP, 6.50%, 4/15/28 3,295,600 3,478,498 Series 2046, Cl. G, 6.50%, 4/15/28 3,049,835 3,227,369 Series 2053, Cl. Z, 6.50%, 4/15/28 33,794 35,892 Series 2063, Cl. PG, 6.50%, 6/15/28 2,327,023 2,443,807 Series 2145, Cl. MZ, 6.50%, 4/15/29 822,848 872,825 Series 2148, Cl. ZA, 6%, 4/15/29 1,637,077 1,729,466 Series 2195, Cl. LH, 6.50%, 10/15/29 1,973,726 2,081,425 Series 2326, Cl. ZP, 6.50%, 6/15/31 675,990 713,022 Series 2341, Cl. FP, 1.456%, 7/15/31(1) 1,207,313 1,195,767 Series 2399, Cl. PG, 6%, 1/15/17 1,004,916 1,068,672 Series 2423, Cl. MC, 7%, 3/15/32 2,739,245 2,943,103 Series 2426, Cl. BG, 6%, 3/15/17 6,194,059 6,583,996 Series 2427, Cl. ZM, 6.50%, 3/15/32 3,724,455 3,972,960 Series 2453, Cl. BD, 6%, 5/15/17 962,495 1,021,721 Series 2461, Cl. PZ, 6.50%, 6/15/32 5,153,298 5,507,068 Series 2463, Cl. F, 1.556%, 6/15/32(1) 6,076,323 6,061,013 Series 2500, Cl. FD, 1.056%, 3/15/32(1) 300,474 293,108 Series 2526, Cl. FE, 0.956%, 6/15/29(1) 457,126 443,257 Series 2551, Cl. FD, 0.956%, 1/15/33(1) 1,114,108 1,089,937 Series 2676, Cl. KY, 5%, 9/15/23 4,548,000 4,833,410 Series 3025, Cl. SJ, 22.71%, 8/15/35(1) 929,418 1,129,001 Series 3094, Cl. HS, 22.344%, 6/15/34(1) 1,403,132 1,635,018 ------------ -------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.089%, 6/1/26(3) 551,147 73,853 Series 183, Cl. IO, 9.361%, 4/1/27(3) 1,821,847 243,274 Series 184, Cl. IO, 15.37%, 12/1/26(3) 946,153 128,760 Series 192, Cl. IO, 7.965%, 2/1/28(3) 230,615 30,058
2 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Series 200, Cl. IO, 7.779%, 1/1/29(3) $ 285,071 $ 36,337 Series 202, Cl. IO, (3.611)%, 4/1/29(3) 19,023,948 2,446,966 Series 206, Cl. IO, (8.966)%, 12/1/29(3) 285,465 46,633 Series 2129, Cl. S, 45.058%, 2/15/29(3) 1,324,938 126,846 Series 2130, Cl. SC, 45.516%, 3/15/29(3) 616,078 58,556 Series 2134, Cl. SB, 61.529%, 3/15/29(3) 644,673 62,902 Series 2155, Cl. SE, 41.501%, 5/15/29(3) 1,634,448 156,264 Series 216, Cl. IO, 3.439%, 12/1/31(3) 1,097,792 148,259 Series 224, Cl. IO, 0.336%, 3/1/33(3) 3,231,673 427,769 Series 2422, Cl. SJ, 85.949%, 1/15/32(3) 2,912,318 292,171 Series 243, Cl. 6, 14.681%, 12/15/32(3) 1,955,893 233,538 Series 2493, Cl. S, 77.41%, 9/15/29(3) 169,664 19,378 Series 2517, Cl. GS, 40.903%, 2/15/32(3) 863,681 84,104 Series 2527, Cl. SG, 52.018%, 2/15/32(3) 3,759,194 225,437 Series 2531, Cl. ST, 53.085%, 2/15/30(3) 4,380,182 267,846 Series 2796, Cl. SD, 60.538%, 7/15/26(3) 980,861 94,981 Series 2802, Cl. AS, 99.999%, 4/15/33(3) 2,956,186 246,851 Series 2920, Cl. S, 71.988%, 1/15/35(3) 3,879,271 314,055 Series 3000, Cl. SE, 99.999%, 7/15/25(3) 5,753,196 538,950 Series 3110, Cl. SL, 99.999%, 2/15/26(3) 1,780,929 143,713 Series 3146, Cl. SA, 47.625%, 4/15/36(3) 23,428,015 2,446,784 ------------ -------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.911%, 6/1/26(4) 230,064 206,038 Series 192, Cl. PO, 7.622%, 2/1/28(4) 224,784 182,823 ------------ -------------- Federal National Mortgage Assn.: 4.50%, 4/1/24(5) 63,118,000 64,991,847 5%, 4/1/24-4/1/39(5) 155,499,800 160,865,633 5.50%, 12/25/18 9,763 10,251 5.50%, 4/1/24-4/1/39(5) 93,545,000 97,173,817 6%, 5/25/20 1,257,143 1,324,623 6%, 4/1/24-4/1/39(5) 107,808,000 112,650,973 6.50%, 6/25/17-11/25/31 27,334,832 28,932,808 6.50%, 4/1/39(5) 45,112,000 47,515,658 7%, 9/25/14-4/1/34 11,355,400 12,142,198 7.50%, 1/1/33-8/25/33 9,714,434 10,542,150 8.50%, 7/1/32 49,444 54,296 ------------ -------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-34, Cl. G, 8%, 3/25/22 13,991 14,762 Trust 1993-104, Cl. ZB, 6.50%, 7/25/23 801,365 844,733 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 628,489 666,750 Trust 1996-35, Cl. Z, 7%, 7/25/26 193,854 209,665 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 1,338,063 1,426,299 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,997,042 2,110,654 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 2,603,022 2,753,034 Trust 1999-60, Cl. PG, 7.50%, 12/25/29 8,393,711 8,943,275
3 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2001-51, Cl. OD, 6.50%, 10/25/31 $ 2,505,116 $ 2,701,861 Trust 2002-10, Cl. FB, 1.022%, 3/25/17(1) 304,754 302,026 Trust 2002-16, Cl. PG, 6%, 4/25/17 1,814,537 1,927,807 Trust 2002-2, Cl. UC, 6%, 2/25/17 1,064,810 1,123,778 Trust 2002-56, Cl. FN, 1.522%, 7/25/32(1) 1,561,053 1,551,531 Trust 2003-130, Cl. CS, 13.056%, 12/25/33(1) 6,985,821 7,060,908 Trust 2003-21, Cl. FK, 0.922%, 3/25/33(1) 585,696 572,826 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,492,000 1,589,037 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,677,000 2,830,642 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,450,000 2,608,019 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 12,573,000 13,386,422 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 10,000,000 10,661,788 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,480,000 2,584,405 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 1,260,000 1,315,475 Trust 2006-50, Cl. SK, 22.286%, 6/25/36(1) 2,259,559 2,654,344 ------------ -------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 73.444%, 3/17/31(3) 1,026,113 139,163 Trust 2001-61, Cl. SE, 44.047%, 11/18/31(3) 1,509,097 145,039 Trust 2001-65, Cl. S, 52.247%, 11/25/31(3) 3,747,369 364,498 Trust 2001-81, Cl. S, 35.355%, 1/25/32(3) 461,323 43,935 Trust 2002-12, Cl. SB, 66.40%, 7/25/31(3) 736,930 74,907 Trust 2002-2, Cl. SW, 70.56%, 2/25/32(3) 840,266 81,623 Trust 2002-38, Cl. SO, 52.867%, 4/25/32(3) 313,440 33,278 Trust 2002-41, Cl. S, 74.864%, 7/25/32(3) 3,250,829 303,795 Trust 2002-47, Cl. NS, 33.666%, 4/25/32(3) 1,201,691 137,823 Trust 2002-5, Cl. SD, 63.747%, 2/25/32(3) 560,842 64,469 Trust 2002-51, Cl. S, 34.016%, 8/25/32(3) 1,103,383 130,170 Trust 2002-52, Cl. SD, 35.433%, 9/25/32(3) 1,249,126 138,275 Trust 2002-60, Cl. SM, 52.856%, 8/25/32(3) 5,673,034 522,183 Trust 2002-60, Cl. SY, 10.537%, 4/25/32(3) 4,868,242 91,776 Trust 2002-7, Cl. SK, 53.208%, 1/25/32(3) 1,689,993 142,269 Trust 2002-75, Cl. SA, 53.641%, 11/25/32(3) 2,976,404 317,746 Trust 2002-77, Cl. BS, 42.476%, 12/18/32(3) 3,367,510 358,689 Trust 2002-77, Cl. IS, 44.796%, 12/18/32(3) 534,008 59,717 Trust 2002-77, Cl. JS, 41.336%, 12/18/32(3) 5,718,996 597,997 Trust 2002-77, Cl. SA, 43.243%, 12/18/32(3) 5,396,097 575,130 Trust 2002-77, Cl. SH, 40.584%, 12/18/32(3) 604,346 68,721 Trust 2002-84, Cl. SA, 55.895%, 12/25/32(3) 743,515 73,821 Trust 2002-89, Cl. S, 72.523%, 1/25/33(3) 4,757,607 449,445 Trust 2002-9, Cl. MS, 35.082%, 3/25/32(3) 38,281 4,378 Trust 2002-90, Cl. SN, 55.378%, 8/25/32(3) 2,921,870 302,701 Trust 2002-90, Cl. SY, 56.121%, 9/25/32(3) 1,165,025 120,233 Trust 2002-96, Cl. SK, 37.947%, 4/25/32(3) 173,286 17,585 Trust 2003-117, Cl. KS, 56.404%, 8/25/33(3) 27,347,287 2,159,109 Trust 2003-14, Cl. OI, 7.975%, 3/25/33(3) 7,200,064 802,429 Trust 2003-26, Cl. IK, 8.138%, 4/25/33(3) 2,708,731 300,567
4 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2003-33, Cl. SP, 42.219%, 5/25/33(3) $ 4,679,789 $ 481,295 Trust 2003-4, Cl. S, 47.81%, 2/25/33(3) 1,478,912 154,547 Trust 2003-52, Cl. NS, 67.354%, 6/25/23(3) 23,242,071 2,078,671 Trust 2003-89, Cl. XS, 51.13%, 11/25/32(3) 7,226,941 440,938 Trust 2004-54, Cl. DS, 46.46%, 11/25/30(3) 264,255 23,503 Trust 2005-19, Cl. SA, 69.287%, 3/25/35(3) 13,865,256 1,463,002 Trust 2005-40, Cl. SA, 70.306%, 5/25/35(3) 2,466,161 203,339 Trust 2005-6, Cl. SE, 82.477%, 2/25/35(3) 3,038,366 231,451 Trust 2005-71, Cl. SA, 75.825%, 8/25/25(3) 4,784,416 510,414 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(3) 18,328,728 1,358,019 Trust 2005-87, Cl. SG, 99.999%, 10/25/35(3) 14,412,973 1,010,103 Trust 222, Cl. 2, 14.943%, 6/1/23(3) 1,897,292 271,772 Trust 240, Cl. 2, 18.523%, 9/1/23(3) 2,269,936 298,953 Trust 247, Cl. 2, 18.318%, 10/1/23(3) 157,107 28,580 Trust 252, Cl. 2, 16.482%, 11/1/23(3) 1,650,524 248,098 Trust 254, Cl. 2, 10.462%, 1/1/24(3) 2,882,698 499,209 Trust 2682, Cl. TQ, 99.999%, 10/15/33(3) 4,409,777 406,291 Trust 273, Cl. 2, 12.125%, 8/1/26(3) 422,892 55,458 Trust 2981, Cl. BS, 99.999%, 5/15/35(3) 7,881,556 621,476 Trust 301, Cl. 2, (0.718)%, 4/1/29(3) 1,050,148 132,492 Trust 303, Cl. IO, (4.099)%, 11/1/29(3) 132,705 22,073 Trust 319, Cl. 2, 4.618%, 2/1/32(3) 650,465 82,745 Trust 321, Cl. 2, 2.958%, 4/1/32(3) 2,711,420 351,133 Trust 324, Cl. 2, (0.645)%, 7/1/32(3) 2,115,090 270,320 Trust 331, Cl. 9, 17.704%, 2/1/33(3) 7,005,306 867,300 Trust 334, Cl. 14, 20.594%, 2/1/33(3) 6,196,425 734,662 Trust 334, Cl. 15, 14.964%, 2/1/33(3) 4,308,863 522,697 Trust 334, Cl. 17, 28.675%, 2/1/33(3) 238,334 37,972 Trust 334, Cl. 3, 4.407%, 7/1/33(3) 2,949,731 338,845 Trust 338, Cl. 2, (5.639)%, 7/1/33(3) 22,583,114 2,495,110 Trust 339, Cl. 12, 9.477%, 7/1/33(3) 6,453,483 873,836 Trust 339, Cl. 7, 6.114%, 7/1/33(3) 8,211,565 956,127 Trust 339, Cl. 8, 6.366%, 8/1/33(3) 1,648,891 192,203 Trust 342, Cl. 2, 1.442%, 9/1/33(3) 105,296 13,623 Trust 343, Cl. 13, 10.72%, 9/1/33(3) 5,265,050 683,178 Trust 343, Cl. 18, 11.424%, 5/1/34(3) 2,600,187 423,197 Trust 344, Cl. 2, 0.598%, 12/1/33(3) 29,795,709 3,799,066 Trust 345, Cl. 9, 8.568%, 1/1/34(3) 4,919,502 589,670 Trust 351, Cl. 10, 9.127%, 4/1/34(3) 2,775,968 311,096 Trust 351, Cl. 11, 9.571%, 11/1/34(3) 1,428,651 162,719 Trust 351, Cl. 8, 9.503%, 4/1/34(3) 4,344,265 485,163 Trust 355, Cl. 6, 11.161%, 12/1/33(3) 2,104,858 240,524 Trust 355, Cl. 7, 8.839%, 11/1/33(3) 1,609,525 187,560 Trust 356, Cl. 10, 9.215%, 6/1/35(3) 3,833,847 421,648 Trust 356, Cl. 12, 9.365%, 2/1/35(3) 1,984,008 216,320
5 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 362, Cl. 12, 10.897%, 8/1/35(3) $ 7,750,690 $ 1,038,456 Trust 362, Cl. 13, 10.881%, 8/1/35(3) 4,288,586 573,072 Trust 364, Cl. 16, 12.012%, 9/1/35(3) 6,694,355 971,368 Trust 365, Cl. 16, 17.675%, 3/1/36(3) 4,174,152 417,493 ------------ -------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.575%, 9/25/23(4) 581,105 492,901 Trust 324, Cl. 1, 7.986%, 7/1/32(4) 528,154 491,334 -------------- 752,243,134 -------------- GNMA/GUARANTEED--0.4% Government National Mortgage Assn.: 4.625%, 8/8/25-7/1/27(1) 18,807 18,920 8.50%, 8/1/17-12/15/17 183,324 197,712 10.50%, 12/29/17-5/29/21 15,679 17,597 11%, 11/8/19 28,377 31,713 12%, 5/29/14 232 266 ------------ -------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 73.735%, 1/16/27(3) 1,151,383 134,124 Series 2002-15, Cl. SM, 63.357%, 2/16/32(3) 1,319,173 134,269 Series 2002-41, Cl. GS, 60.365%, 6/16/32(3) 941,820 138,022 Series 2002-76, Cl. SY, 65.249%, 12/16/26(3) 608,551 62,370 Series 2002-78, Cl. S, 39.541%, 11/16/32(3) 554,085 64,505 Series 2004-11, Cl. SM, 46.922%, 1/17/30(3) 215,758 25,090 Series 2006-47, Cl. SA, 75.544%, 8/16/36(3) 38,231,171 4,045,665 -------------- 4,870,253 -------------- NON-AGENCY--32.3% COMMERCIAL--16.0% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 1.992%, 4/14/29(3) 9,843,470 350,256 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 20,850,000 10,219,148 Series 2006-5, Cl. A2, 5.317%, 10/10/11 10,952,000 9,349,006 Bear Stearns Commercial Mortgage Securities Trust 2007-PW18, Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2, 5.613%, 6/1/50 17,675,000 13,990,397 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (6.915)%, 6/22/24(3) 3,648,994 101,052 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.096%, 12/1/49(1) 11,680,000 5,335,308 CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 2006-A5, Cl. 1A1, 0.922%, 10/25/36(1) 11,601,813 4,782,500 Series 2006-A5, Cl. 1A13, 0.972%, 10/25/36(1) 6,083,877 2,060,909
6 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 $ 5,163,499 $ 3,051,604 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 3,081,423 2,607,255 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 3,083,895 2,912,090 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,460,197 1,454,430 GSR Mortgage Loan Trust 2005-4F, Mtg. Pass-Through Certificates, Series 2005-4F, Cl. 6A1, 6.50%, 2/25/35 7,810,695 7,350,235 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,525,000 1,765,868 Series 2008-C2, Cl. A4, 6.068%, 2/1/51 21,450,000 10,390,826 Series 2008-C2, Cl. AM, 6.579%, 2/1/51 7,000,000 1,691,429 JPMorgan Chase Commercial Mortgage Securities Trust 2005-LDP2, Commercial Mtg. Pass-Through Certificates, Series 2005-LDP2, Cl. AM, 4.78%, 7/1/42 8,810,000 4,647,018 JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDPX, Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 8,120,000 5,512,881 JPMorgan Chase Commercial Mortgage Securities Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-LD11, Cl. A2, 5.804%, 6/15/49(1) 7,065,000 5,658,751 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 6,980,000 5,901,373 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 13,552,000 10,889,028 JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 3,852,102 3,874,934 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AM, 5.217%, 2/11/31(1) 11,760,000 5,674,648 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 1.871%, 2/18/30(3) 3,124,634 81,792 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24(2) 159,651 127,013 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,846,875 1,562,387 Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 0.972%, 10/25/36(1) 18,136,459 11,571,544 Merrill Lynch Mortgage Investors Trust 2005-A9, Mtg. Asset-Backed Certificates, Series 2005-A9, Cl. 4A1, 5.494%, 12/1/35(1) 8,226,371 5,324,024 Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.612%, 5/1/39(1) 6,100,000 5,466,280 Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 7,085,000 4,552,886
7 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- COMMERCIAL CONTINUED Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 $ 6,330,000 $ 4,424,093 Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 248,911 248,856 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 4,421,250 1,839,179 Residential Asset Securitization Trust 2006-A9CB, Mtg. Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 4,419,266 2,055,024 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 4.465%, 5/18/32(3) 51,295,977 180,423 Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,076,879 974,230 Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 2,146,000 1,867,406 Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.902%, 2/1/51(1) 10,688,000 6,595,834 WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.695%, 2/25/37(1, 2) 4,360,943 784,970 WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.66%, 3/1/37(1) 10,978,489 2,779,477 WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 2A3, 5.647%, 5/1/37(1) 3,678,926 2,110,611 Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 4.008%, 10/1/34(1) 8,709,474 6,778,830 -------------- 178,895,805 -------------- MANUFACTURED HOUSING--1.8% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.097%, 9/25/36(1) 12,210,661 7,687,357 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.084%, 3/25/36(1) 20,346,852 11,701,941 -------------- 19,389,298 -------------- MULTIFAMILY--6.4% Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2005-F, Cl. 2A3, 4.72%, 7/25/35(1) 10,894,685 8,699,383 Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 4.65%, 10/1/35(1) 2,095,000 984,647 CHL Mortgage Pass-Through Trust 2003-46, Mtg. Pass-Through Certificates, Series 2003-46, Cl. 1A2, 5.145%, 1/19/34(1) 5,075,889 3,962,822
8 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- MULTIFAMILY CONTINUED CHL Mortgage Pass-Through Trust 2005-HYB1, Mtg. Pass-Through Certificates, Series 2005-HYB1, Cl. 5A1, 4.982%, 3/25/35(1) $ 10,660,487 $ 5,518,468 CWALT Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 7,710,000 5,632,402 GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates: Series 2004-J4, Cl. A7, 5.50%, 9/25/34 7,166,000 5,761,736 Series 2005-AR4, Cl. 2A1, 5.295%, 7/19/35(1) 10,254,170 6,116,916 GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.143%, 11/25/35(1) 17,651,234 11,775,918 Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.985%, 12/25/34(1) 3,400,202 2,379,920 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.734%, 9/25/34(1) 2,782,429 2,292,837 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 2A1, 5.627%, 7/25/36(1) 5,648,285 3,161,280 Series 2006-AR10, Cl. 4A1, 5.557%, 7/25/36(1) 7,155,446 3,924,777 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates: Series 2006-AR2, Cl. 2A3, 5.084%, 3/1/36(1) 14,634,547 8,764,424 Series 2006-AR2, Cl. 2A6, 5.084%, 3/25/36(1) 2,795,751 684,068 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/36(1) 3,603,941 2,342,124 -------------- 72,001,722 -------------- OTHER--0.2% JPMorgan Mortgage Trust 2005-S2, Mtg. Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.726%, 2/25/32(1) 3,218,469 2,465,746 Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 64.362%, 10/23/17(3) 3,624 381 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 1.03%, 10/23/17(4) 5,364 4,346 -------------- 2,470,473 -------------- RESIDENTIAL--7.9% Bank of America Alternative Loan Trust, Mtg. Pass-Through Certificates, Series 2003-1, Cl. A6, 6%, 2/1/33 6,812,152 6,598,080 CWALT Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl. 1A1, 6%, 11/1/34 7,469,564 6,694,556 CWALT Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 5,898,825 4,812,786 CWALT Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 9,396,000 6,092,860
9 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- RESIDENTIAL CONTINUED CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 $ 6,511,035 $ 4,283,391 CWALT Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,649,850 2,385,126 JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 5.137%, 11/1/33(1) 871,747 603,575 LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/45(1) 8,365,000 3,810,053 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,214,297 925,911 Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Asset-Backed Certificates, Series 2005-A1, Cl. 2A1, 4.504%, 12/25/34(1) 2,169,184 1,584,182 Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.416%, 6/25/36(1) 4,750,000 3,309,696 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 946,331 909,560 RALI Series 2004-QS10 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-QS10, Cl. A3, 1.022%, 7/25/34(1) 1,463,973 1,172,566 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 2,006,310 1,794,740 RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 647,638 589,852 STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.009%, 8/1/22(1, 2) 17,484,432 11,889,414 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.485%, 9/25/33(1) 4,079,556 3,369,527 WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.123%, 8/25/36(1) 13,578,646 7,874,280 WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 2A1, 6.617%, 11/1/36(1) 1,281,713 685,333 Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 13,364,498 9,540,982 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 4.372%, 9/1/34(1) 1,173,013 925,559 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.466%, 10/1/35(1) 6,071,057 4,239,736 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 5A3, 5.593%, 7/1/36(1) 3,390,827 1,762,741 Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A5, 5.751%, 9/1/36(1, 2) 7,349,213 1,249,366
10 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- RESIDENTIAL CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A2, 5.538%, 4/1/36(1, 2) $ 8,541,383 $ 1,537,449 -------------- 88,641,321 -------------- Total Mortgage-Backed Obligations (Cost $1,302,694,977) 1,118,512,006 -------------- U.S. GOVERNMENT OBLIGATIONS--2.6% U.S. Treasury Bonds: 7.50%, 11/15/16(6) 7,700,000 10,343,872 STRIPS, 3.862%, 2/15/13(6, 7) 1,520,000 1,424,818 U.S. Treasury Nts., 5.125%, 5/15/16 14,830,000 17,700,999 -------------- Total U.S. Government Obligations (Cost $29,581,657) 29,469,689 -------------- CORPORATE BONDS AND NOTES--15.8% American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 7,611,000 761,100 Axa SA, 6.379% Sub. Perpetual Bonds(8, 9) 21,104,000 7,739,259 Bank of America Corp.: 8% Unsec. Perpetual Bonds, Series K(9) 11,245,000 4,509,020 8.125% Perpetual Bonds, Series M(9) 2,855,000 1,174,376 Barclays Bank plc, 6.278% Perpetual Bonds(2, 9) 25,790,000 8,823,533 Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 3,545,000 3,312,792 Capmark Financial Group, Inc.: 1.891% Sr. Unsec. Nts., 5/10/10(1) 3,920,000 1,063,300 5.875% Sr. Unsec. Nts., 5/10/12(1) 8,158,000 1,617,201 Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 4,360,000 4,316,400 CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 5,029,000 4,175,709 Citigroup, Inc.: 8.30% Jr. Sub. Bonds, 12/21/57(1) 19,510,000 9,415,097 8.40% Perpetual Bonds, Series E(9) 6,885,000 3,899,595 Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 6,350,000 1,301,750 Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 1,550,000 1,475,631 Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 22,680,000 18,663,327 GMAC LLC, 8% Sr. Unsec. Unsub. Nts., 11/1/31 10,355,000 4,994,941 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 16,555,000 9,804,484 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(1) 26,180,000 5,245,687 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(9) 14,000,000 9,015,314 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 6,075,000 5,322,939 Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38(10) 42,265,000 4,227 Lloyds Banking Group plc, 6.413% Perpetual Bonds(8, 9) 25,700,000 5,916,346 MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 3,765,000 1,371,202 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 20,905,000 12,443,220 MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/38(1) 4,000,000 2,243,428 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(1) 17,960,000 7,555,970 MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 14,555,000 7,932,475
11 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
Principal Amount Value ------------ -------------- Morton International, Inc., 9.75% Credit Sensitive Nts., 6/1/20(1) $ 85,000 $ 91,875 Orion Network Systems, Inc., 12.50% Sr. Unsub. Nts., 1/15/07(2, 10, 11) 200,000 2 Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 3,000,000 1,215,000 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(8) 921,065 974,858 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(8) 9,470,000 8,164,892 Prudential Insurance Co. of America, 8.30% Nts., 7/1/25(8) 8,725,000 7,431,362 Real Time Data Co., 11% Nts., 5/31/09(2, 10, 11, 12) 476,601 -- TEPPCO Partners LP, 6.125% Nts., 2/1/13 2,185,000 2,122,583 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 4,347,000 3,755,641 Washington Mutual Bank NV, Sr. Unsec. Nts., 5/1/09(10) 13,045,000 3,456,925 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14(13) 7,432,000 5,648,320 -------------- Total Corporate Bonds and Notes (Cost $361,709,836) 176,959,781 --------------
Shares ------------ COMMON STOCKS--0.0% Chesapeake Energy Corp. (Cost $9) 181 3,088
Units ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 (2, 11) (Cost $5,577) 2,028 71
Shares ------------ INVESTMENT COMPANY--23.1% Oppenheimer Institutional Money Market Fund, Cl. E, 0.80%(14, 15) (Cost $259,324,068) 259,324,068 259,324,068 -------------- Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $2,010,090,557) 1,628,073,711 -------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.1%(16) OFI Liquid Assets Fund, LLC, 0.92%(14, 15) (Cost $785,000) 785,000 785,000 -------------- Total Investments, at Value (Cost $2,010,875,557) 145.3% 1,628,858,711 -------------- Liabilities in Excess of Other Assets (45.3) (507,708,722) ----------- -------------- Net Assets 100.0% $1,121,149,989 ----------- --------------
12 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited Footnotes to Statement of Investments (1.) Represents the current interest rate for a variable or increasing rate security. (2.) Illiquid security. The aggregate value of illiquid securities as of March 31, 2009 was $25,293,938, which represents 2.26% of the Fund's net assets. See accompanying Notes. (3.) Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $51,630,492 or 4.61% of the Fund's net assets as of March 31, 2009. (4.) Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,377,442 or 0.12% of the Fund's net assets as of March 31, 2009. (5.) When-issued security or delayed delivery to be delivered and settled after March 31, 2009. See accompanying Notes. (6.) All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $11,726,508. See accompanying Notes. (7.) Zero coupon bond reflects effective yield on the date of purchase. (8.) 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 $30,226,717 or 2.70% of the Fund's net assets as of March 31, 2009. (9.) 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. (10.) Issue is in default. See accompanying Notes. (11.) Non-income producing security. (12.) Interest or dividend is paid-in-kind, when applicable. (13.) Partial or fully-loaned security. See accompanying Notes. 13 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited (14.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2009, 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, 2008 ADDITIONS REDUCTIONS MARCH 31, 2009 ----------------- ----------- ----------- -------------- OFI Liquid Assets Fund, LLC 408,818 823,960 447,778 785,000 Oppenheimer Institutional Money Market Fund, Cl. E 171,712,453 515,728,852 428,117,237 259,324,068
VALUE INCOME ------------ -------- OFI Liquid Assets Fund, LLC $ 785,000 $ 674(a) Oppenheimer Institutional Money Market Fund, Cl. E 259,324,068 409,731 ------------ -------- $260,109,068 $410,405 ============ ========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. (15.) Rate shown is the 7-day yield as of March 31, 2009. (16.) The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See accompanying Notes. 14 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited VALUATION INPUTS 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-quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than quoted prices that are observable for the asset (such as quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The market value of the Fund's investments was determined based on the following inputs as of March 31, 2009:
INVESTMENTS IN OTHER FINANCIAL VALUATION DESCRIPTION SECURITIES INSTRUMENTS* - --------------------- -------------- --------------- Level 1--Quoted Prices $ 260,112,156 $ 1,102,120 Level 2--Other Significant Observable Inputs 1,367,961,514 (21,087,485) Level 3--Significant Unobservable Inputs 785,041 -- -------------- ------------ Total $1,628,858,711 $(19,985,365) ============== ============
* Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FUTURES CONTRACTS AS OF MARCH 31, 2009 ARE AS FOLLOWS:
NUMBER OF EXPIRATION UNREALIZED CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE APPRECIATION - -------------------- -------- --------- ---------- ------------ ------------ U.S. Treasury Long Bonds Buy 1,377 6/19/09 $178,601,203 $4,216,465 U.S. Treasury Nts., 2 yr. Buy 426 6/30/09 92,821,407 187,772 U.S. Treasury Nts., 5 yr. Buy 6 6/30/09 712,594 502 U.S. Treasury Nts., 10 yr. Sell 120 6/19/09 14,889,375 43,886 ---------- $4,448,625 ==========
15 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 31, 2009 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT SWAP CREDIT AMOUNT FIXED TERMINATION RECEIVED/ REFERENCE ENTITY COUNTERPARTY PROTECTION (000'S) RATE DATE (PAID) VALUE - ---------------- ---------------------- ---------- -------- ------- ----------- --------- ----------- Capmark Financial Goldman Sachs Bank Group, Inc. USA Sell $ 3,845 0.95% 6/20/12 $ -- $(3,093,651) ------- ------- ----------- Total 3,845 -- (3,093,651) ------- ------- ----------- CDX North America Morgan Stanley Investment Capital Services, Inc. Sell 17,000 0.75 12/20/11 64,344 (2,031,234) Grade Index, H ------- ------- ----------- Volume, Total 17,000 64,344 (2,031,234) Series 7 ------- ------- ----------- Countrywide Home Morgan Stanley Loans, Inc. Capital Services, Inc. Sell 11,880 0.42 6/20/09 -- (20,867) ------- ------- ----------- Total 11,880 -- (20,867) ------- ------- ----------- Inco Ltd.: Morgan Stanley Capital Services, Inc. Buy 3,660 0.70 3/20/17 -- 371,333 Morgan Stanley Capital Services, Inc. Buy 3,670 0.63 3/20/17 -- 388,822 ------- ------- ----------- Total 7,330 -- 760,155 ------- ------- ----------- Merrill Lynch & Barclays Bank plc Sell 15,210 4.15 9/20/09 -- (98,678) Co., Inc.: Credit Suisse International Sell 7,605 4.15 9/20/09 -- (49,339) ------- ------- ----------- Total 22,815 -- (148,017) ------- ------- ----------- Vale Overseas: Morgan Stanley Capital Services, Inc. Sell 3,660 1.17 3/20/17 -- (589,717) Morgan Stanley Capital Services, Inc. Sell 3,670 1.10 3/20/17 -- (606,168) ------- ------- ----------- Total 7,330 -- (1,195,885) ------- ------- ----------- Grand Total Buys -- 760,155 Grand Total Sells 64,344 (6,489,654) ------- ----------- Total Credit Default Swaps $64,344 $(5,729,499) ======= ===========
16 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL PAYMENTS REFERENCE FOR SELLING CREDIT ASSET TYPE OF REFERENCE ASSET ON PROTECTION AMOUNT RATING WHICH THE FUND SOLD PROTECTION (UNDISCOUNTED) RECOVERABLE* RANGE** - -------------------------------- ------------------ ------------ --------- Investment Grade Corporate Debt $17,000,000 $-- BBB- Indexes Investment Grade Single Name Corporate Debt 42,025,000 -- A to BBB+ Non-Investment Grade Single Name Corporate Debt 3,845,000 -- D ----------- --- Total $62,870,000 $-- =========== ===
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. INTEREST RATE SWAP CONTRACTS AS OF MARCH 31, 2009 ARE AS FOLLOWS:
NOTIONAL AMOUNT PAID BY RECEIVED BY TERMINATION REFERENCE ENTITY/SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE - ---------------------------------- -------- --------------- ------------- ----------- ------------- USD BBA LIBOR: Three-Month Credit Suisse International $ 60,000 4.145% USD BBA LIBOR 10/29/16 $ (6,712,246) Three-Month Credit Suisse International 45,500 2.768 USD BBA LIBOR 11/3/10 (1,237,262) Three-Month Credit Suisse International 23,970 2.225 USD BBA LIBOR 11/20/10 (446,605) Three-Month Goldman Sachs Group, Inc. (The) 80,000 2.820 USD BBA LIBOR 10/29/10 (2,193,466) Three-Month Goldman Sachs Group, Inc. (The) 84,500 2.765 USD BBA LIBOR 11/3/10 (2,293,593) Three-Month Goldman Sachs Group, Inc. (The) 119,390 2.233 USD BBA LIBOR 11/20/10 (2,242,210) Three-Month UBS AG 80,200 4.320 USD BBA LIBOR 11/3/16 (10,061,875) Three-Month UBS AG 31,640 2.230 USD BBA LIBOR 11/20/10 (592,648) -------- ------------ Total where Fund pays a fixed rate 525,200 (25,779,905) -------- ------------ Credit Suisse International Three-Month USD 19,780 BBA LIBOR 5.428% 8/7/17 4,068,904 Three-Month USD Credit Suisse International 76,200 BBA LIBOR 2.815 12/4/16 1,152,296 Three-Month USD Deutsche Bank AG 16,700 BBA LIBOR 5.445 8/8/17 3,457,384 Three-Month USD Goldman Sachs Group, Inc. (The) 73,800 BBA LIBOR 2.823 12/4/16 1,156,667 -------- ------------ Total where Fund pays a variable rate 186,480 9,835,251 -------- ------------ Reference Entity Total 711,680 (15,944,654) -------- ------------ Total Interest Rate Swaps $(15,944,654) ============
17 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited Abbreviation/Definition is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate TOTAL RETURN SWAP CONTRACTS AS OF MARCH 31, 2009 ARE AS FOLLOWS:
NOTIONAL AMOUNT PAID BY RECEIVED BY TERMINATION REFERENCE ENTITY/SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE - ---------------------------------- -------- --------------- ------------- ----------- ------------- BARCLAYS CAPITAL U.S. CMBS AAA* Barclays Bank plc $16,190 A B 5/1/09 $586,668
* The CMBS Indexes are representative indexes of segments of the commercial mortgage backed securities market. These indexes are measured by movements in the credit spreads of the underlying holdings. As the credit market perceives an improvement in the credit quality of an Index's underlying holdings and reduced probability of default, the spread of an index narrows. As the credit market perceives a decrease in credit quality and an increased probability of default on an Index's underlying holdings, the spread widens. Abbreviation/Definition is as follows: CMBS Commercial Mortgage Backed Securities A - The Fund makes periodic payments when credit spreads, as represented by the Reference Entity, widen. B - The Fund receives periodic payments when credit spreads, as represented by the Reference Entity, narrow. SWAP SUMMARY AS OF MARCH 31, 2009 IS AS FOLLOWS: The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables. 18 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE - ----------------- ------------------- -------- ------------ Barclays Bank plc: Credit Default Sell Protection $ 15,210 $ (98,678) Total Return 16,190 586,668 ------------ 487,990 ------------ Credit Suisse International: Credit Default Sell Protection 7,605 (49,339) Interest Rate 225,450 (3,174,913) ------------ (3,224,252) ------------ Deutsche Bank AG Interest Rate 16,700 3,457,384 Goldman Sachs Bank USA Credit Default Sell Protection 3,845 (3,093,651) Goldman Sachs Group, Inc. (The) Interest Rate 357,690 (5,572,602) Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection 7,330 760,155 Credit Default Sell Protection 36,210 (3,247,986) ------------ (2,487,831) ------------ UBS AG Interest Rate 111,840 (10,654,523) ------------ Total Swaps $(21,087,485) ============
NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, FAIR VALUE MEASUREMENTS, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, 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. Quoted prices in active markets for identical securities are classified as "Level 1," inputs other than quoted prices for an asset that are observable are classified as "Level 2" and unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees 19 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable market data inputs. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2. In the absence of a readily available quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as 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. 20 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited Fair valued securities may be classified as "Level 3" if the valuation primarily reflects the Manager's own assumptions about the inputs that market participants would use in valuing such securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2009, 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 $567,894,662 Sold securities 89,700,033
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. 21 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited 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. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. 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 in default, and is not obligated to dispose of securities whose issuers subsequently default. As of March 31, 2009, securities with an aggregate market value of $3,461,154, representing 0.31% of the Fund's net assets, were in default. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. 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. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. 22 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market factors. MARKET RISK FACTORS In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: 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. 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. FOREIGN EXCHANGE RATE RISK Foreign exchange rate risk relates to the change in 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. EQUITY RISK Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 23 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited RISKS OF INVESTING IN DERIVATIVES The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the manager believes to be creditworthy at the time of the transaction. As of March 31, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $4,044,052, which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's ISDA master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $3,945,374 as of March 31, 2009. CREDIT RELATED CONTINGENT FEATURES The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of March 31, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $25,032,860. If a contingent feature would have been triggered as of March 31, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. 24 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited A futures contract is a commitment to buy or sell a specific amount of a financial instrument 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. Futures contracts are exposed to the market risk factor of the specific underlying financial instrument. During the period ended March 31, 2009, the Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. In addition, the Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. SWAP CONTRACTS The Fund may enter into privately negotiated agreements with a counterparty to exchange or "swap" payments at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). The swap agreement will specify the "notional" amount of the asset or non-asset reference to which the contract relates. As derivative contracts, swaps typically do not have an associated cost at contract inception. 25 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited At initiation, contract terms are typically set at market value such that the value of the swap is $0. If a counterparty specifies terms that would result in the contract having a value other than $0 at initiation, one counterparty will pay the other an upfront payment to equalize the contract. Subsequent changes in market value are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. Contract types may include credit default, interest rate, total return, and currency swaps. Swaps are marked to market daily using quotations primarily from pricing services, counterparties or brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) is comprised of the change in the valuation of the swap combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. Any payment received or paid to initiate a contract is recorded as a cost of the swap in the Statement of Assets and Liabilities in the annual and semiannual reports and as a component of unrealized gain or loss on the Statement of Operations in the annual and semiannual reports until contract termination; upon contract termination, this amount is recorded as realized gain or loss on the Statement of Operations in the annual and semiannual reports. Excluding amounts paid at contract initiation as described above, the Fund also records any periodic payments received from (paid to) the counterparty, including at termination, as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractive compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. Liquidity risk is the risk that the Fund may be unable to close the contract prior to its termination. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The 26 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. In addition, the Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain 27 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument, or instruments. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. ILLIQUID SECURITIES 28 | Oppenheimer Core Bond Fund Oppenheimer Core Bond Fund STATEMENT OF INVESTMENTS March 31, 2009 / Unaudited As of March 31, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments. SECURITIES LENDING The Fund lends portfolio securities from time to time in order to earn additional income in the form of fees or interest on securities received as collateral or the investment of any cash received as collateral. The loans are secured by collateral (either securities, letters of credit, or cash) in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower and recognizes the gain or loss in the fair value of the securities loaned that may occur during the term of the loan. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. As of March 31, 2009, the Fund had on loan securities valued at $777,083. Collateral of $785,000 was received for the loans, all of which was received in cash and subsequently invested in approved instruments. FEDERAL TAX. 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 31, 2009 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 $2,011,198,141 Federal tax cost of other investments 252,732,860 -------------- Total federal tax cost $2,263,931,001 ============== Gross unrealized appreciation $ 39,057,835 Gross unrealized depreciation (437,971,781) -------------- Net unrealized depreciation $ (398,913,946) ==============
29 | 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 03/31/2009, 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/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 05/14/2009 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/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 05/14/2009 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 05/14/2009 EX-99.CERT 2 p14299exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, 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/ John V. Murphy - ------------------------------------- John V. Murphy Principal Executive Officer Date: 05/14/2009 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: 05/14/2009 -----END PRIVACY-ENHANCED MESSAGE-----