-----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, Gm5o79bU8C8KyV+DnWaYZYckSQBRM2J/uJF5BYqgl01GiR/o6rw96Wby+y0gkGFs 98IXxU/VZwS3ZDkwceG26A== 0000935069-06-002415.txt : 20060829 0000935069-06-002415.hdr.sgml : 20060829 20060829135540 ACCESSION NUMBER: 0000935069-06-002415 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060630 FILED AS OF DATE: 20060829 DATE AS OF CHANGE: 20060829 EFFECTIVENESS DATE: 20060829 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER BALANCED FUND CENTRAL INDEX KEY: 0000729968 IRS NUMBER: 133395850 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03864 FILM NUMBER: 061061721 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER MULTIPLE STRATEGIES FUND DATE OF NAME CHANGE: 19970306 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER ASSET ALLOCATION FUND DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER RETIREMENT FUND DATE OF NAME CHANGE: 19870503 0000729968 S000008978 OPPENHEIMER BALANCED FUND C000024395 A C000024396 B C000024397 C C000024398 N N-Q 1 rq240_33779nq.txt RQ240_33779NQ 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 811-3864 OPPENHEIMER BALANCED FUND (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: SEPTEMBER Date of reporting period: 06/30/2006 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS--49.4% - ------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--4.6% - ------------------------------------------------------------------------------------------------------------------------ INTERNET & CATALOG RETAIL--0.8% Liberty Media Holding Corp.-Interactive, Series A 1 440,200 $ 7,597,852 - ------------------------------------------------------------------------------------------------------------------------ MEDIA--3.8% Liberty Global, Inc., Series A 635,277 13,658,456 - ------------------------------------------------------------------------------------------------------------------------ Liberty Global, Inc., Series C 1 644,261 13,252,449 - ------------------------------------------------------------------------------------------------------------------------ Liberty Media Holding Corp.-Capital, Series A 1 134,920 11,302,248 --------------- 38,213,153 CONSUMER STAPLES--5.1% - ------------------------------------------------------------------------------------------------------------------------ BEVERAGES--1.5% Constellation Brands, Inc., Cl. A 1 375,700 9,392,500 - ------------------------------------------------------------------------------------------------------------------------ Diageo plc, Sponsored ADR 85,400 5,768,770 --------------- 15,161,270 - ------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--0.8% Wal-Mart Stores, Inc. 165,700 7,981,769 - ------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.3% ConAgra Foods, Inc. 126,100 2,788,071 - ------------------------------------------------------------------------------------------------------------------------ TOBACCO--2.5% Altria Group, Inc. 337,600 24,789,968 ENERGY--2.6% - ------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--0.4% Halliburton Co. 2 54,500 4,044,445 - ------------------------------------------------------------------------------------------------------------------------ OIL & GAS--2.2% BP plc, ADR 114,100 7,942,501 - ------------------------------------------------------------------------------------------------------------------------ Exxon Mobil Corp. 86,300 5,294,505 - ------------------------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc. 29,000 2,896,810 - ------------------------------------------------------------------------------------------------------------------------ Petroleo Brasileiro SA, Preference 129,000 2,564,038 - ------------------------------------------------------------------------------------------------------------------------ Talisman Energy, Inc. 150,900 2,633,281 --------------- 21,331,135 FINANCIALS--10.5% - ------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS--2.2% Bear Stearns Cos., Inc. (The) 28,000 3,922,240 - ------------------------------------------------------------------------------------------------------------------------ UBS AG 165,889 18,182,590 --------------- 22,104,830 - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--1.3% Wachovia Corp. 240,562 13,009,593 - ------------------------------------------------------------------------------------------------------------------------ CONSUMER FINANCE--1.3% Capital One Financial Corp. 153,400 13,108,030 - ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES--1.7% Bank of America Corp. 361,754 17,400,367 - ------------------------------------------------------------------------------------------------------------------------ INSURANCE--2.6% Everest Re Group Ltd. 111,900 9,687,183 - ------------------------------------------------------------------------------------------------------------------------ Genworth Financial, Inc., Cl. A 306,700 10,685,428 - ------------------------------------------------------------------------------------------------------------------------ Platinum Underwriters Holdings Ltd. 179,600 5,025,208 --------------- 25,397,819 - ------------------------------------------------------------------------------------------------------------------------ REAL ESTATE--0.5% Host Hotels & Resorts, Inc. 205,100 4,485,537
1 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE--0.9% Countrywide Financial Corp. 140,900 $ 5,365,472 - ------------------------------------------------------------------------------------------------------------------------ Freddie Mac 62,200 3,546,022 --------------- 8,911,494 HEALTH CARE--5.3% - ------------------------------------------------------------------------------------------------------------------------ BIOTECHNOLOGY--1.8% Amgen, Inc. 1 75,700 4,937,911 - ------------------------------------------------------------------------------------------------------------------------ Human Genome Sciences, Inc. 1,2 257,500 2,755,250 - ------------------------------------------------------------------------------------------------------------------------ MedImmune, Inc. 1 240,900 6,528,390 - ------------------------------------------------------------------------------------------------------------------------ Myogen, Inc. 1 70,900 2,056,100 - ------------------------------------------------------------------------------------------------------------------------ Vanda Pharmaceuticals, Inc. 1 256,700 2,138,311 --------------- 18,415,962 - ------------------------------------------------------------------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES--0.5% Beckman Coulter, Inc. 88,400 4,910,620 - ------------------------------------------------------------------------------------------------------------------------ Boston Scientific Corp. 1 24,600 414,264 --------------- 5,324,884 - ------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--0.4% Manor Care, Inc. 2 81,700 3,833,364 - ------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS--2.6% Medicines Co. (The) 1,2 124,600 2,435,930 - ------------------------------------------------------------------------------------------------------------------------ MGI Pharma, Inc. 1 57,300 1,231,950 - ------------------------------------------------------------------------------------------------------------------------ Pfizer, Inc. 452,640 10,623,461 - ------------------------------------------------------------------------------------------------------------------------ Sanofi-Aventis SA, ADR 232,800 11,337,360 --------------- 25,628,701 INDUSTRIALS--6.9% - ------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE--3.3% Empresa Brasileira de Aeronautica SA, ADR 2 142,100 5,182,387 - ------------------------------------------------------------------------------------------------------------------------ Orbital Sciences Corp. 1 1,038,617 16,763,278 - ------------------------------------------------------------------------------------------------------------------------ United Technologies Corp. 170,500 10,813,110 --------------- 32,758,775 - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--1.7% Cendant Corp. 1,047,300 17,060,517 - ------------------------------------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT--0.4% Gamesa Corporacion Tecnologica SA 168,200 3,605,684 - ------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--1.5% Siemens AG, Sponsored ADR 2 175,200 15,210,864 INFORMATION TECHNOLOGY--10.1% - ------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT--1.8% Cisco Systems, Inc. 1 616,300 12,036,339 - ------------------------------------------------------------------------------------------------------------------------ Juniper Networks, Inc. 1 295,300 4,721,847 - ------------------------------------------------------------------------------------------------------------------------ QUALCOMM, Inc. 30,700 1,230,149 --------------- 17,988,335 - ------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS--0.8% Hutchinson Technology, Inc. 1,2 158,200 3,421,866 - ------------------------------------------------------------------------------------------------------------------------ International Business Machines Corp. 63,200 4,855,024 --------------- 8,276,890
2 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------------------------ INTERNET SOFTWARE & SERVICES--0.5% eBay, Inc. 1,2 174,300 $ 5,105,247 - ------------------------------------------------------------------------------------------------------------------------ SOFTWARE--7.0% Compuware Corp. 1 999,029 6,693,494 - ------------------------------------------------------------------------------------------------------------------------ Microsoft Corp. 1,105,400 25,755,820 - ------------------------------------------------------------------------------------------------------------------------ Novell, Inc. 1 1,049,500 6,958,185 - ------------------------------------------------------------------------------------------------------------------------ Synopsys, Inc. 1 502,100 9,424,417 - ------------------------------------------------------------------------------------------------------------------------ Take-Two Interactive Software, Inc. 1,2 1,911,047 20,371,761 --------------- 69,203,677 MATERIALS--0.8% - ------------------------------------------------------------------------------------------------------------------------ CHEMICALS--0.5% Praxair, Inc. 2 102,200 5,518,800 - ------------------------------------------------------------------------------------------------------------------------ METALS & MINING--0.3% Companhia Vale do Rio Doce, Sponsored ADR 2 136,200 2,802,996 TELECOMMUNICATION SERVICES--1.6% - ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--1.2% IDT Corp., Cl. B 1,2 849,900 11,720,121 - ------------------------------------------------------------------------------------------------------------------------ WorldCom, Inc./WorldCom Group 1,3 450,000 -- --------------- 11,720,121 - ------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES--0.4% Sprint Nextel Corp. 228,100 4,559,719 UTILITIES--1.9% - ------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES--0.6% Reliant Energy, Inc. 1,2 521,400 6,246,372 - ------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS--1.3% AES Corp. (The) 1 675,700 12,466,665 --------------- Total Common Stocks (Cost $428,058,371) 492,052,906 UNITS - ------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% - ------------------------------------------------------------------------------------------------------------------------ Lucent Technologies, Inc. Wts., Exp. 12/10/07 1 (Cost $0) 11,758 3,175 PRINCIPAL AMOUNT - ------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--5.3% - ------------------------------------------------------------------------------------------------------------------------ Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2002-HE7, Cl. A2B, 5.503%, 11/25/35 4 $ 890,000 891,015 - ------------------------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl A2, 5.327%, 4/20/08 4 630,000 630,464 - ------------------------------------------------------------------------------------------------------------------------ Argent Securities, Inc., Home Equity Asset-Backed Securities: Series 2004-W8, Cl. A2, 5.803%, 5/25/34 4 3,180,000 3,198,851 Series 2006-W5, Cl. A2B, 5.423%, 5/26/36 4 1,250,000 1,250,755 - ------------------------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2005-A, Cl. A2, 3.66%, 12/26/07 639,559 638,418 - ------------------------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust, Automobile Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,140,000 2,095,105 - ------------------------------------------------------------------------------------------------------------------------ Capital One Prime Auto Receivables Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 1,588,153 1,586,106
3 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2005-B, Cl. AF1, 4.05%, 3/26/35 $ 79,036 $ 78,762 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 425,205 423,138 Series 2005-D, Cl. AF1, 5.04%, 10/25/35 1,179,365 1,170,369 Series 2005-D, Cl. AV2, 5.593%, 10/25/35 4 1,750,000 1,752,040 Series 2006-A, Cl. AV2, 5.423%, 5/16/36 4 1,570,000 1,570,948 - ------------------------------------------------------------------------------------------------------------------------ Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 966,526 963,230 - ------------------------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 291,713 - ------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust, Inc., CMO Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 4 1,791,131 1,769,093 - ------------------------------------------------------------------------------------------------------------------------ Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 5 1,970,000 2,005,099 - ------------------------------------------------------------------------------------------------------------------------ Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates: Series 2002-4, Cl. A1, 5.693%, 2/25/33 4 31,485 31,532 Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 4 483,559 481,288 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 4 630,000 623,649 Series 2005-17, Cl. 1AF1, 5.523%, 5/25/36 4 1,139,271 1,140,757 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 4 420,000 415,641 - ------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2005-A, Cl. A2, 3.17%, 9/8/07 155,439 155,474 Series 2005-B, Cl. A2, 3.75%, 12/8/07 63,451 63,397 - ------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity Receivables: Series 2005-FF10, Cl. A3, 5.533%, 11/25/35 4 2,600,000 2,602,928 Series 2006-FF5, Cl. 2A1, 5.373%, 5/15/36 4 950,635 951,210 Series 2006-FF9, Cl. 2A2, 7/7/36 4,6 620,000 620,000 Series 2006-FF10, Cl. A3, 5.413%, 7/25/36 4 1,230,000 1,230,000 - ------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2005-A, Cl. A3, 3.48%, 11/17/08 1,516,103 1,501,022 Series 2005-B, Cl. A2, 3.78%, 9/15/07 271,729 271,592 - ------------------------------------------------------------------------------------------------------------------------ GS Auto Loan Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.32%, 5/15/08 2,988,302 2,978,865 - ------------------------------------------------------------------------------------------------------------------------ Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-3, Cl. A2, 3.73%, 10/18/07 3 932,137 929,222 - ------------------------------------------------------------------------------------------------------------------------ Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.527%, 1/20/35 4 1,026,757 1,028,319 - ------------------------------------------------------------------------------------------------------------------------ Lehman XS Trust, Home Equity Asset-Backed Pass-Through Certificates, Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 4 1,455,938 1,448,239 - ------------------------------------------------------------------------------------------------------------------------ Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 3 544,489 549,275 - ------------------------------------------------------------------------------------------------------------------------ MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.549%, 3/15/16 4 2,900,000 3,087,295 - ------------------------------------------------------------------------------------------------------------------------ Morgan Stanley ABS Capital I, Home Equity Receivables, Series 2005-WMC6, Cl A2B, 5.583%, 7/25/35 4 790,000 792,125 - ------------------------------------------------------------------------------------------------------------------------
4 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ Onyx Acceptance Owner Trust, Automobile Receivable Obligations, Series 2005-B, Cl. A2, 4.03%, 4/15/08 $ 537,171 $ 536,359 - ------------------------------------------------------------------------------------------------------------------------ Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2006-2, Cl. 2A2, 5.435%, 7/1/36 4 2,060,000 2,060,000 - ------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. AF2, 3.735%, 11/10/34 4 570,000 565,624 Series 2005-1, Cl. AF2, 3.914%, 5/25/35 4 450,000 444,447 Series 2005-2, Cl. AF2, 4.415%, 4/25/35 4 720,000 710,632 - ------------------------------------------------------------------------------------------------------------------------ Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed Pass-Through Certificates: Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 1,300,000 1,288,102 Series 2006-RS4, Cl. A1, 5.163%, 7/25/36 4 830,000 830,000 - ------------------------------------------------------------------------------------------------------------------------ Structured Asset Investment Loan Trust, Home Equity Asset-Backed Securities, Series 2006-2, Cl. A1, 5.383%, 4/25/36 4 1,099,739 1,100,483 - ------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Home Equity Asset-Backed Securities, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,931,732 1,924,122 - ------------------------------------------------------------------------------------------------------------------------ Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2005-A, Cl. A2, 3.52%, 4/20/07 462,137 461,830 - ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates: Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 4 211,534 210,922 Series 2006-2, Cl. A2, 5.45%, 7/7/36 4 1,230,000 1,230,000 --------------- Total Asset-Backed Securities (Cost $52,740,788) 52,579,457 - ------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--25.2% - ------------------------------------------------------------------------------------------------------------------------ GOVERNMENT AGENCY--21.5% - ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED--21.3% Federal Home Loan Mortgage Corp.: 4.50%, 5/1/18-5/1/19 7,908,268 7,479,766 5%, 8/1/33 551,889 518,066 5%, 7/1/36 6 5,190,000 4,847,782 6%, 4/1/17-9/1/24 1,720,240 1,715,417 6.50%, 4/1/18-4/1/34 2,641,449 2,670,265 7%, 5/1/29-11/1/32 3,861,116 3,957,564 8%, 4/1/16 68,764 72,734 9%, 8/1/22-5/1/25 20,457 21,925 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2034, Cl. Z, 6.50%, 2/15/28 513,642 519,602 Series 2053, Cl. Z, 6.50%, 4/15/28 562,847 570,422 Series 2055, Cl. ZM, 6.50%, 5/15/28 718,599 725,588 Series 2075, Cl. D, 6.50%, 8/15/28 1,688,105 1,709,470 Series 2080, Cl. Z, 6.50%, 8/15/28 461,938 465,258 Series 2387, Cl. PD, 6%, 4/15/30 371,803 371,951 Series 2500, Cl. FD, 5.699%, 3/15/32 4 227,800 229,854 Series 2526, Cl. FE, 5.599%, 6/15/29 4 314,863 316,587 Series 2551, Cl. FD, 5.481%, 1/15/33 4 245,037 247,961 Series 2583, Cl. KA, 5.50%, 3/15/22 890,627 888,796
5 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Federal Home Loan Mortgage Corp., CMO Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 43,829 43,737 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 14.45%, 6/1/26 7 441,212 107,350 Series 183, Cl. IO, 11.301%, 4/1/27 7 676,825 170,364 Series 184, Cl. IO, 17.255%, 12/1/26 7 741,699 178,146 Series 192, Cl. IO, 16.018%, 2/1/28 7 209,894 49,827 Series 200, Cl. IO, 14.905%, 1/1/29 7 251,359 62,074 Series 2003-118, Cl. S, 11.86%, 12/25/33 7 3,716,733 359,325 Series 2130, Cl. SC, 0.302%, 3/15/29 7 558,635 30,810 Series 2796, Cl. SD, 3.307%, 7/15/26 7 819,202 46,812 Series 2920, Cl. S, (0.649)%, 1/15/35 7 4,818,460 160,442 Series 3000, Cl. SE, (0.731)%, 7/15/25 7 4,713,496 97,016 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.306%, 6/1/26 8 187,444 146,720 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 5%, 6/1/18-3/1/34 8,710,035 8,309,814 5%, 11/1/33 2 2,956,681 2,778,138 5%, 7/1/36 6 30,240,000 28,274,400 5.50%, 2/1/33-11/1/34 24,820,784 23,951,993 5.50%, 7/1/21-7/1/36 6 40,300,000 38,840,548 6%, 9/1/32-11/1/32 7,050,559 6,968,751 6%, 7/1/21-7/1/36 6 20,800,000 20,729,821 6.50%, 3/1/26-11/1/31 9,418,851 9,520,373 6.50%, 7/1/36 6 7,232,000 7,270,416 7%, 11/1/17-1/1/35 6,186,825 6,345,184 7.50%, 1/1/08-6/1/08 12,334 12,436 7.50%, 1/1/33 3 604,829 627,819 8.50%, 7/1/32 37,498 40,366 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,602,485 1,628,665 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-15, Cl. KZ, 7%, 2/25/22 121,465 122,585 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,341,622 1,364,588 Trust 1996-35, Cl. Z, 7%, 7/25/26 235,885 241,321 Trust 2001-50, Cl. NE, 6%, 8/25/30 219,242 219,896 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,846,034 1,862,650 Trust 2001-70, Cl. LR, 6%, 9/25/30 293,765 293,663 Trust 2001-72, Cl. NH, 6%, 4/25/30 140,770 140,557 Trust 2001-74, Cl. PD, 6%, 5/25/30 58,570 58,396 Trust 2002-77, Cl. WF, 5.652%, 12/18/32 4 367,750 371,142 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 630,000 596,751 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,045,000 1,001,448 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,869,000 1,778,853
6 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/SPONSORED CONTINUED Trust 2005-71, Cl. DB, 4.50%, 8/25/25 $ 160,000 $ 142,874 Trust 2006-24, Cl. DB, 5.50%, 4/25/26 4,010,000 3,872,663 Trust 2006-50, Cl. KS, 4.684%, 6/25/36 4 1,634,887 1,384,052 Trust 2006-50, Cl. SK, 4.684%, 6/25/36 4 1,530,057 1,354,369 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 4,546,059 4,512,548 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 1993-223, Cl. PM, 9.191%, 10/25/23 7 48,482 4,315 Trust 2002-38, Cl. SO, (1.956)%, 4/25/32 7 826,441 36,278 Trust 2002-47, Cl. NS, 1.963%, 4/25/32 7 923,480 73,118 Trust 2002-51, Cl. S, 2.088%, 8/25/32 7 847,961 67,025 Trust 2002-77, Cl. IS, 2.83%, 12/18/32 7 1,408,010 105,455 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 214, Cl. 2, 15.687%, 3/1/23 7 1,190,295 282,876 Trust 222, Cl. 2, 15.109%, 6/1/23 7 1,552,580 350,783 Trust 240, Cl. 2, 18.899%, 9/1/23 7 2,389,659 601,787 Trust 247, Cl. 2, 13.185%, 10/1/23 7 318,725 72,499 Trust 252, Cl. 2, 9.734%, 11/1/23 7 1,143,277 282,186 Trust 273, Cl. 2, 16.418%, 8/1/26 7 332,535 78,623 Trust 319, Cl. 2, 12.239%, 2/1/32 7 458,901 122,325 Trust 321, Cl. 2, 7.45%, 4/1/32 7 4,702,370 1,257,129 Trust 329, Cl. 2, 10.626%, 1/1/33 7 1,181,677 314,428 Trust 331, Cl. 9, 8.246%, 2/1/33 7 160,367 39,776 Trust 334, Cl. 17, 16.629%, 2/1/33 7 772,374 196,440 Trust 344, Cl. 2, 9.146%, 12/1/33 7 1,619,799 429,699 Trust 2001-65, Cl. S, 11.836%, 11/25/31 7 2,136,365 182,900 Trust 2001-81, Cl. S, 5.533%, 1/25/32 7 476,630 34,594 Trust 2002-9, Cl. MS, 2.807%, 3/25/32 7 640,184 50,800 Trust 2002-52, Cl. SD, (0.658)%, 9/25/32 7 1,017,962 73,777 Trust 2002-77, Cl. SH, 5.784%, 12/18/32 7 613,183 52,605 Trust 2002-96, Cl. SK, 13.323%, 4/25/32 7 5,594,106 478,647 Trust 2003-4, Cl. S, 12.657%, 2/25/33 7 1,175,655 114,052 Trust 2003-33, Cl. SP, 14.996%, 5/25/33 7 2,173,075 223,574 Trust 2003-46, Cl. IH, 8.525%, 6/25/33 7 7,640,884 1,635,482 Trust 2004-54, Cl. DS, (1.607)%, 11/25/30 7 902,167 37,869 Trust 2005-6, Cl. SE, 0.203%, 2/25/35 7 3,260,293 114,610 Trust 2005-19, Cl. SA, (0.536)%, 3/25/35 7 12,751,344 445,566 Trust 2005-40, Cl. SA, (0.372)%, 5/25/35 7 2,790,681 91,914 Trust 2005-71, Cl. SA, 5.882%, 8/25/25 7 2,984,855 114,229 Trust 2006-33, Cl. SP, 16.295%, 5/25/36 7 6,594,837 443,091 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.355%, 9/25/23 8 532,840 414,201 --------------- 212,221,364
7 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 5.375%, 3/20/26 4 $ 29,798 $ 29,905 7%, 4/15/09-4/15/26 284,198 292,944 7.50%, 3/15/09-5/15/27 1,111,418 1,163,258 8%, 5/15/17 42,503 44,722 8.50%, 8/15/17-12/15/17 26,760 28,554 - ------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (4.617)%, 1/16/27 7 1,137,173 55,472 Series 2002-15, Cl. SM, (7.383)%, 2/16/32 7 896,687 43,838 Series 2002-76, Cl. SY, (3.723)%, 12/16/26 7 2,132,566 121,969 Series 2004-11, Cl. SM, (6.54)%, 1/17/30 7 766,955 36,928 --------------- 1,817,590 NON-AGENCY--3.7% - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL--3.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 1,810,000 1,734,080 - ------------------------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,456,180 1,435,987 - ------------------------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,157,298 1,152,235 Series 2005-E, Cl. 2A2, 4.977%, 6/25/35 4 214,825 214,356 - ------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust, Inc., CMO, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 460,000 456,255 - ------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, CMO, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,582,799 1,585,808 - ------------------------------------------------------------------------------------------------------------------------ Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, CMO, Series 2006-AB2, Cl A7, 5.961%, 5/1/36 2,980,164 2,970,292 - ------------------------------------------------------------------------------------------------------------------------ Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, CMO, Series 2006-AB3, Cl A7, 6.36%, 4/25/08 900,000 900,000 - ------------------------------------------------------------------------------------------------------------------------ First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.619%, 4/29/39 4,5 366,123 366,581 - ------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 960,000 929,495 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,080,000 1,049,512 - ------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 461,899 465,869 - ------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,520,000 1,457,063 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,200,000 1,172,968 - ------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 440,000 422,218 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 1,560,000 1,504,854 - ------------------------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,280,000 1,244,354 - ------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,979,269 1,961,405 Series 2004-9, Cl. A3, 4.70%, 8/25/34 4 3,287,567 3,256,318
8 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL CONTINUED - ------------------------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 $ 1,554,000 $ 1,641,025 - ------------------------------------------------------------------------------------------------------------------------ Residential Accredit Loans, Inc., CMO Asset-Backed Pass-Through Certificates: Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 965,795 955,445 Series 2006-QS5, Cl. A2, 6%, 4/25/08 3,370,584 3,359,034 - ------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 2,490,000 2,414,314 - ------------------------------------------------------------------------------------------------------------------------ Washington Mutual Mortgage Securities Corp., CMO Pass-Through Certificates, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 4 928,867 926,833 - ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities Trust, CMO, Series 2004-DD, Cl. 2A1, 572,664 570,175 4.513%, 1/25/35 4 --------------- 34,146,476 - ------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL--0.3% Countrywide Alternative Loan Trust, CMO, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 3,003,133 2,996,565 --------------- Total Mortgage-Backed Obligations (Cost $255,615,516) 251,181,995 - ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--3.8% - ------------------------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.69%, 10/5/07 9 1,245,000 1,163,247 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Bank Unsec. Bonds: 3.125%, 11/15/06 2,600,000 2,578,475 3.50%, 11/15/07 2 1,160,000 1,130,060 - ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts.: 3.625%, 9/15/06 2 4,560,000 4,543,411 4.125%, 7/12/10 2 786,000 748,384 5.125%, 4/18/11 845,000 832,681 6.625%, 9/15/09 475,000 491,592 - ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 2,630,000 2,604,092 4.25%, 7/15/07 2 2,555,000 2,523,229 4.75%, 12/15/10 2 130,000 126,422 6%, 5/15/11 10 4,605,000 4,709,179 6.625%, 9/15/09 2 135,000 139,670 7.25%, 1/15/10 2,10 2,250,000 2,379,557 - ------------------------------------------------------------------------------------------------------------------------ Tennessee Valley Authority Bonds, Series A, 6.79%, 5/23/12 2 5,662,000 6,022,839 - ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds: 5.375%, 2/15/31 2 808,000 822,204 8.875%, 8/15/17 2 790,000 1,031,136 STRIPS, 4.96%, 2/15/16 9 171,000 103,984 - ------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Nts.: 4.375%, 1/31/08 2 583,000 575,918 4.875%, 5/15/09-5/31/11 2 5,106,000 5,061,320 5.125%, 5/15/16 2 693,000 692,405 --------------- 38,279,805 Total U.S. Government Obligations (Cost $39,192,550)
9 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES--13.0% - ------------------------------------------------------------------------------------------------------------------------ ABN Amro Bank NV (NY Branch), 7.125% Sub. Nts., Series B, 10/15/93 $ 500,000 $ 535,925 - ------------------------------------------------------------------------------------------------------------------------ Ahold Finance USA, Inc., 6.25% Sr. Unsec. Unsub. Nts., 5/1/09 1,615,000 1,602,888 - ------------------------------------------------------------------------------------------------------------------------ Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 1,745,000 1,581,450 - ------------------------------------------------------------------------------------------------------------------------ AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 1,435,000 1,580,970 - ------------------------------------------------------------------------------------------------------------------------ BAE Systems Holdings, Inc., 4.75% Nts., 8/15/10 5 2,050,000 1,966,053 - ------------------------------------------------------------------------------------------------------------------------ Barclays Bank plc, 6.278% Perpetual Bonds 11 2,700,000 2,357,154 - ------------------------------------------------------------------------------------------------------------------------ Beazer Homes USA, Inc., 6.875% Sr. Unsec. Nts., 7/15/15 1,025,000 937,875 - ------------------------------------------------------------------------------------------------------------------------ British Telecommunications plc, 8.875% Bonds, 12/15/30 910,000 1,121,531 - ------------------------------------------------------------------------------------------------------------------------ Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 2,055,000 2,135,028 - ------------------------------------------------------------------------------------------------------------------------ CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 1,925,000 2,005,992 - ------------------------------------------------------------------------------------------------------------------------ Centex Corp., 4.875% Sr. Unsec. Nts., 8/15/08 1,235,000 1,207,376 - ------------------------------------------------------------------------------------------------------------------------ Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 995,000 1,035,049 - ------------------------------------------------------------------------------------------------------------------------ CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,920,000 2,083,763 - ------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 810,000 836,532 - ------------------------------------------------------------------------------------------------------------------------ Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 2 1,425,000 1,400,772 - ------------------------------------------------------------------------------------------------------------------------ Coca-Cola Co. (The), 7.375% Unsec. Debs., 7/29/93 440,000 509,492 - ------------------------------------------------------------------------------------------------------------------------ Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 2,165,000 2,066,744 - ------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 2 1,265,000 1,183,569 6.125% Nts., 1/15/14 2 895,000 852,478 - ------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler North America Holdings Corp., 7.30% Nts., 1/15/12 1,955,000 2,036,719 - ------------------------------------------------------------------------------------------------------------------------ Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,345,000 1,481,665 - ------------------------------------------------------------------------------------------------------------------------ Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 1,880,000 2,019,308 - ------------------------------------------------------------------------------------------------------------------------ EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 870,000 852,600 - ------------------------------------------------------------------------------------------------------------------------ EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 1,900,000 2,044,898 - ------------------------------------------------------------------------------------------------------------------------ Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,335,000 1,357,003 - ------------------------------------------------------------------------------------------------------------------------ FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,890,000 2,033,710 - ------------------------------------------------------------------------------------------------------------------------ Ford Motor Credit Co.: 5.80% Sr. Unsec. Nts., 1/12/09 625,000 571,303 9.75% Sr. Unsec. Nts., 9/15/10 2,5 3,430,000 3,344,943 - ------------------------------------------------------------------------------------------------------------------------ Gap, Inc. (The): 6.90% Nts., 9/15/07 1,495,000 1,504,586 9.393% Unsub. Nts., 12/15/08 4 228,000 245,346 - ------------------------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp., 8% Bonds, 11/1/31 2 1,670,000 1,609,356 - ------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,140,000 2,936,453 - ------------------------------------------------------------------------------------------------------------------------ HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 5,11 2,600,000 2,336,168 - ------------------------------------------------------------------------------------------------------------------------ HCA, Inc., 5.50% Sr. Unsec. Nts., 12/1/09 1,645,000 1,593,441 - ------------------------------------------------------------------------------------------------------------------------ Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 1,465,000 1,542,879 - ------------------------------------------------------------------------------------------------------------------------ HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 4 2,100,000 2,007,602 - ------------------------------------------------------------------------------------------------------------------------ Hyatt Equities LLC, 6.875% Nts., 6/15/07 5 1,955,000 1,967,053 - ------------------------------------------------------------------------------------------------------------------------ Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 5 1,140,000 1,116,363 - ------------------------------------------------------------------------------------------------------------------------ IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 4 920,000 949,900 - ------------------------------------------------------------------------------------------------------------------------ iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 2,195,000 2,089,506 - ------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase & Co., 5.15% Sub. Nts., 10/1/15 2,140,000 2,001,067 - ------------------------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 1,735,000 1,570,175 - ------------------------------------------------------------------------------------------------------------------------ Kaiser Aluminum & Chemical Corp., Escrow Shares, 3/15/10 2,3 250,000 11,510 - ------------------------------------------------------------------------------------------------------------------------ KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 2 1,310,000 1,158,337 - ------------------------------------------------------------------------------------------------------------------------
10 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 $ 1,150,000 $ 1,180,892 - ------------------------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,675,000 1,593,548 - ------------------------------------------------------------------------------------------------------------------------ Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 2,075,000 1,994,583 - ------------------------------------------------------------------------------------------------------------------------ Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 1,510,000 1,565,215 - ------------------------------------------------------------------------------------------------------------------------ Liberty Media Corp.: 5.70% Sr. Unsec. Nts., 5/15/13 2 1,070,000 977,051 7.875% Sr. Nts., 7/15/09 610,000 634,569 - ------------------------------------------------------------------------------------------------------------------------ Limited Brands, Inc., 6.125% Sr. Unsec. Nts., 12/1/12 2,035,000 2,001,280 - ------------------------------------------------------------------------------------------------------------------------ Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 1,410,000 1,228,441 7.125% Sr. Unsec. Nts., 6/15/09 1,170,000 1,204,744 - ------------------------------------------------------------------------------------------------------------------------ May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 715,000 729,874 - ------------------------------------------------------------------------------------------------------------------------ MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 1,012,000 898,197 - ------------------------------------------------------------------------------------------------------------------------ MeadWestvaco Corp., 6.85% Unsec. Unsub. Nts., 4/1/12 1,925,000 1,961,409 - ------------------------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 1,100,000 1,030,152 - ------------------------------------------------------------------------------------------------------------------------ MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 1,070,000 957,666 - ------------------------------------------------------------------------------------------------------------------------ MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 1,655,000 1,617,763 - ------------------------------------------------------------------------------------------------------------------------ Mission Energy Holding Co., 13.50% Sr. Sec. Nts., 7/15/08 1,050,000 1,176,000 - ------------------------------------------------------------------------------------------------------------------------ National City Bank, 6.20% Sub. Nts., 12/15/11 141,000 144,043 - ------------------------------------------------------------------------------------------------------------------------ Nationwide Financial Services, Inc.: 5.90% Nts., 7/1/12 925,000 925,175 6.25% Sr. Unsec. Nts., 11/15/11 225,000 228,846 - ------------------------------------------------------------------------------------------------------------------------ NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 2,090,000 2,238,001 - ------------------------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 2,865,000 2,979,600 - ------------------------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 5 2,766,222 2,706,577 - ------------------------------------------------------------------------------------------------------------------------ PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 5 563,541 521,177 - ------------------------------------------------------------------------------------------------------------------------ Popular North America, Inc., 4.70% Nts., 6/30/09 2,540,000 2,456,670 - ------------------------------------------------------------------------------------------------------------------------ Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 5 1,885,000 2,243,340 - ------------------------------------------------------------------------------------------------------------------------ Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 1,990,000 2,391,210 - ------------------------------------------------------------------------------------------------------------------------ PSEG Funding Trust I, 5.381% Nts., 11/16/07 1,030,000 1,022,919 - ------------------------------------------------------------------------------------------------------------------------ Pulte Homes, Inc., 4.875% Nts., 7/15/09 1,665,000 1,607,251 - ------------------------------------------------------------------------------------------------------------------------ R&B Falcon Corp., 9.50% Sr. Unsec. Nts., 12/15/08 750,000 813,128 - ------------------------------------------------------------------------------------------------------------------------ Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 865,000 802,339 - ------------------------------------------------------------------------------------------------------------------------ Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 550,000 557,772 - ------------------------------------------------------------------------------------------------------------------------ Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 2,010,000 2,033,433 - ------------------------------------------------------------------------------------------------------------------------ TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 1,945,000 2,246,205 - ------------------------------------------------------------------------------------------------------------------------ Telus Corp., 8% Nts., 6/1/11 245,000 265,580 - ------------------------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,785,000 2,025,224 - ------------------------------------------------------------------------------------------------------------------------ Tribune Co., 5.50% Nts., Series E, 10/6/08 1,110,000 1,093,232 - ------------------------------------------------------------------------------------------------------------------------ TXU Energy Co., 6.125% Nts., 3/15/08 1,330,000 1,332,536 - ------------------------------------------------------------------------------------------------------------------------ Tyson Foods, Inc., 7.25% Sr. Unsec. Nts., 10/1/06 405,000 406,238 - ------------------------------------------------------------------------------------------------------------------------ Univision Communications, Inc., 3.50% Sr. Unsec. Nts., 10/15/07 1,920,000 1,856,204 - ------------------------------------------------------------------------------------------------------------------------ Verizon Global Funding Corp.: 5.85% Nts., 9/15/35 1,050,000 916,393 7.25% Sr. Unsec. Unsub. Nts., 12/1/10 960,000 1,006,319 - ------------------------------------------------------------------------------------------------------------------------ Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,055,000 2,046,755 - ------------------------------------------------------------------------------------------------------------------------ Wachovia Bank NA, 5.60% Sub. Nts., 3/15/16 1,075,000 1,044,235 - ------------------------------------------------------------------------------------------------------------------------ Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 1,400,000 1,501,500 - ------------------------------------------------------------------------------------------------------------------------ Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 1,345,000 1,448,408 --------------- Total Non-Convertible Corporate Bonds and Notes (Cost $132,763,799) 128,994,226
11 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--12.0% 12 - ------------------------------------------------------------------------------------------------------------------------ Undivided interest of 4.91% in joint repurchase agreement (Principal Amount/Value $2,439,041,000, with a maturity value of $2,440,006,454) with UBS Warburg LLC, 4.75%, dated 6/30/06, to be repurchased at $119,708,366 on 7/3/06, collateralized by Federal National Mortgage Assn., 5%-6%, 10/1/35-3/1/36, with a value of $2,494,907,407 (Cost $119,661,000) $ 119,661,000 $ 119,661,000 - ------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL (COST $1,028,032,024) 1,082,752,564 - ------------------------------------------------------------------------------------------------------------------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--9.8% - ------------------------------------------------------------------------------------------------------------------------ ASSET BACKED FLOATING NOTE--0.2% Whitehawk CDO Funding Corp., 5.38%, 9/15/06 13 2,000,000 2,000,000 - ------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--9.6% Undivided interest of 1.58% in joint repurchase agreement (Principal Amount/Value $1,000,000,000, with a maturity value of $1,000,444,375) with Bank of America NA, 5.3325%, dated 6/30/06, to be repurchased at $15,810,108 on 7/3/06, collateralized by U.S. Agency Mortgages, 5%, 6/1/35, with a value of $1,020,000,000 13 15,803,086 15,803,086 - ------------------------------------------------------------------------------------------------------------------------ Undivided interest of 1.78% in joint repurchase agreement (Principal Amount/Value $4,500,000,000, with a maturity value of $4,502,006,250) with Nomura Securities, 5.35%, dated 6/30/06, to be repurchased at $80,035,667 on 7/3/06, collateralized by U.S. Agency Mortgages, 0.00%--8.50%, 3/1/07--3/1/43, with a value of $4,590,000,000 13 80,000,000 80,000,000 --------------- 95,803,086 --------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $97,803,086) 97,803,086 - ------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $1,125,835,110) 118.5% 1,180,555,650 - ------------------------------------------------------------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (18.5) (184,335,278) -------------------------------- NET ASSETS 100.0% $ 996,220,372 ================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Non-income producing security. 2. Partial or fully-loaned security. See accompanying Notes. 3. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of June 30, 2006 was $2,117,826, which represents 0.21% of the Fund's net assets. See accompanying Notes. 4. Represents the current interest rate for a variable or increasing rate security. 5. 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 $18,573,354 or 1.86% of the Fund's net assets as of June 30, 2006. 6. When-issued security or forward commitment to be delivered and settled after June 30, 2006. See Note 1 of accompanying Notes. 7. 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 $9,928,825 or 1.00% of the Fund's net assets as of June 30, 2006. 8. 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 $560,921 or 0.06% of the Fund's net assets as of June 30, 2006. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts. The aggregate market value of such securities is $321,732. See accompanying Notes. 12 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS JUNE 30, 2006 / UNAUDITED - -------------------------------------------------------------------------------- 11. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 12. The Fund may have elements of risk due to concentrated investments. Such concentrations may subject the Fund to additional risks. 13. The security has 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. 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 June 30, 2006 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 $ 1,127,473,512 Federal tax cost of other investments (91,616,912) ------------------ Total federal tax cost $ 1,035,856,600 ================== Gross unrealized appreciation $ 100,020,008 Gross unrealized depreciation (46,369,710) ------------------ Net unrealized appreciation $ 53,650,298 ================== NOTES TO QUARTERLY 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 business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided 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 closing "bid" and "asked" prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. 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. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign and domestic 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 their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. 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 June 30, 2006, the Fund had purchased $125,836,572 of securities 13 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - -------------------------------------------------------------------------------- issued on a when-issued basis or forward commitment and sold $25,028,646 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. 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. 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; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars 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 business. Foreign exchange rates may be valued primarily using dealer supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. FOREIGN CURRENCY CONTRACTS A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing foreign currency exchange rates. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities in the annual and and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports with the change in unrealized appreciation or depreciation. 14 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - -------------------------------------------------------------------------------- The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations in the annual and semiannual reports. As of June 30, 2006, the Fund had no outstanding foreign currency contracts. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations in the annual and semiannual reports as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of June 30, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS JUNE 30, 2006 (DEPRECIATION) - ----------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 9/20/06 199 $ 21,224,594 $ 70,718 U.S. Treasury Nts., 10 yr. 9/20/06 132 13,841,438 (3,480) --------------- 67,238 --------------- CONTRACTS TO SELL Euro-Bundesobligation, 10 yr. 9/7/06 111 16,372,511 91,733 U.S. Treasury Nts., 2 yr. 9/29/06 450 91,251,563 263,321 U.S. Treasury Nts., 5 yr. 9/29/06 179 18,509,719 126,859 --------------- 481,913 --------------- $ 549,151 ===============
15 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - -------------------------------------------------------------------------------- OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Fund generally purchases put options or writes covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Contracts subject to call, expiration date, exercise price, premium received and market value are detailed in a note to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Realized gains and losses are reported in the Statement of Operations in the annual and semiannual reports. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the year ended June 30, 2006 was as follows:
CALL OPTIONS PUT OPTIONS -------------------------- --------------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS - ------------------------------------------------------------------------------------------ Options outstanding as of September 30, 2005 786 $ 96,477 -- $ -- Options written 802 75,434 3,384 173,876 Options closed or expired (1,588) (171,911) (3,384) (173,876) --------------------------------------------------------- Options outstanding as of June 30, 2006 -- $ -- -- $ -- =========================================================
CREDIT DEFAULT SWAP CONTRACTS The Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or for other non-speculative purposes. Credit default swap contracts are subject to credit risks (for example if the counterparty fails to meet its obligations). As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized loss upon payment. The Fund also records an increase or decrease to unrealized gain (loss) in an amount equal to the daily valuation. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as realized gain. Information regarding such credit default swaps as of June 30, 2006 is as follows: 16 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - --------------------------------------------------------------------------------
ANNUAL NOTIONAL AMOUNT INTEREST RATE UNREALIZED RECEIVED BY THE FUND PAID BY THE APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION UPON CREDIT EVENT FUND (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank Weyerhaeuser Co. $ 1,990,000 0.580% $ (158) - ------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: Arrow Electronics, Inc. 1,990,000 0.790 (652) Arrow Electronics, Inc. 1,000,000 0.770 872 Belo Corp. 1,190,000 0.650 4,530 Belo Corp. 655,000 0.670 1,925 Belo Corp. 1,325,000 0.675 3,606 Federated Department Stores, Inc. 1,990,000 0.445 (2,564) --------------- $ 7,559 ===============
As a seller of a credit default swap contract, the Fund receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt. The Fund also records an increase or decrease to unrealized gain (loss) in an amount equal to the daily valuation. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as realized loss. Information regarding such credit default swaps as of June 30, 2006 is as follows:
ANNUAL NOTIONAL AMOUNT INTEREST RATE UNREALIZED PAID BY THE FUND RECEIVED BY APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION UPON CREDIT EVENT THE FUND (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank: Allied Waste North America, Inc. $ 630,000 2.00% $ (2,671) Allied Waste North America, Inc. 990,000 2.00 (4,198) General Motors Acceptance Corp. 510,000 2.30 (1,122) General Motors Corp. 630,000 6.40 (82) General Motors Corp. 380,000 6.40 (49) - ------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: Countrywide Home Loans, Inc. 1,280,000 0.40 (5,779) Countrywide Home Loans, Inc. 765,000 0.42 (2,290) General Motors Acceptance Corp. 1,290,000 3.15 13,207 Hyundai Motor Manufacturing Alabama LLC 865,000 0.40 (64) J.C. Penney Corp., Inc. 1,990,000 0.61 (2,208) --------------- $ (5,256) ===============
17 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - -------------------------------------------------------------------------------- TOTAL RETURN SWAP CONTRACTS The Fund may enter into a total return swap transaction to maintain a total return on a particular investment, or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. The unrealized gain (loss) related to the daily change in the valuation of the notional amount of the swap, as well as the amount due to (owed by) the Fund at termination or settlement, is combined and separately disclosed as an asset (liability). The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss). Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of June 30, 2006, the Fund had entered into the following total return swap agreements:
SWAP NOTIONAL TERMINATION UNREALIZED COUNTERPARTY SWAP DESCRIPTION AMOUNT DATES APPRECIATION - ------------------------------------------------------------------------------------------------------------------------------------ Received or paid monthly. The Counterparty pays the Fund a Floating Payment which is the sum of the Notional Amount, the Lehman Brothers CMBS Index Spread and the Financial Spread on the initial Notional Amount for the Swap Interest Accrual Period. In addition, the Counterparty, pays the Fund the Total Return Amount if it is a positive value for a given Index Period. If it is a negative, the Fund pays the Counterparty the absolute value of the Total Return Amount for a given Deutsche Bank AG Index Period, on each Payment Date. $ 3,880,000 12/1/06 $ 7,919 - ------------------------------------------------------------------------------------------------------------------------------------ Received or paid monthly. If the Carry Amount, plus the Spread Return Amount (Spread Change times Duration times Notional Amount), is positive, the Counterparty pays the Fund. The payment is based on the Carry Amount which is the Spread on the Lehman Brothers CMBS AAA 8.5+ Index as of the close of one Business Day prior to the Period End Day plus 15 basis points times the Notional Amount times the Day Count Lehman Brothers Special Basis. If it is negative, the Fund pays the Counterparty the Financing, Inc., absolute value of the Spread Return Amount. 4,300,000 12/1/06 8,777 ------------- $ 16,696 ============= Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities
ILLIQUID SECURITIES As of June 30, 2006, investments in securities included issues that are illiquid. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with the 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 return, the Fund receives collateral in the form of securities, letters of credit or cash, against the loaned securities and maintains collateral 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 business each day. If the Fund is undercollateralized at the close of business due to an increase in market value of securities on loan, additional collateral is requested from the borrowing counterparty and is delivered to the Fund on the next business day. Cash collateral may be invested in approved investments and the Fund bears the risk of any loss in value of these investments. The Fund retains a portion of the interest earned from the collateral. If the borrower defaults on its obligation to return the securities loaned because of insolvency 18 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund - -------------------------------------------------------------------------------- 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. As of June 30, 2006, the Fund had on loan securities valued at $96,879,211, which are included in the Statement of Assets and Liabilities as "Investments, at value" and, when applicable, as "Investments sold". Collateral of $97,803,086 was received for the loans, all of which was received in cash and subsequently invested in approved investments or held as cash. 19 | OPPENHEIMER BALANCED 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 06/30/2006, 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 Balanced Fund By: /s/ John V. Murphy ---------------------------- John V. Murphy Principal Executive Officer Date: 08/08/2006 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: 08/08/2006 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: 08/08/2006 EX-99.CERT 2 rq240_33779cert302.txt RQ240_33779CERT302 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 Balanced Fund; 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: 08/08/2006 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 Balanced Fund; 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: 08/08/2006 -----END PRIVACY-ENHANCED MESSAGE-----