N-Q 1 rq240_37515nq.txt RQ240_37515NQ.TXT 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 30 ------------ Date of reporting period: DECEMBER 31, 2006 ----------------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
SHARES VALUE -------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--50.0% -------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--6.5% -------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.0% Hilton Hotels Corp. 78,000 $ 2,722,200 -------------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc. 64,100 4,006,250 -------------------------------------------------------------------------------------------------------------------------- Wyndham Worldwide Corp. 1 129,560 4,148,511 ------------------- 10,876,961 -------------------------------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL--0.9% Liberty Media Holding Corp.-Interactive, Series A 1 440,200 9,495,114 -------------------------------------------------------------------------------------------------------------------------- MEDIA--4.6% Liberty Global, Inc., Series A 1,2 635,277 18,518,325 -------------------------------------------------------------------------------------------------------------------------- Liberty Global, Inc., Series C 1 644,261 18,039,308 -------------------------------------------------------------------------------------------------------------------------- Liberty Media Holding Corp.-Capital, Series A 1,2 115,720 11,338,246 ------------------- 47,895,879 -------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--5.4% -------------------------------------------------------------------------------------------------------------------------- BEVERAGES--1.2% Constellation Brands, Inc., Cl. A 1 185,100 5,371,602 -------------------------------------------------------------------------------------------------------------------------- Diageo plc, Sponsored ADR 85,400 6,773,074 ------------------- 12,144,676 -------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.3% ConAgra Foods, Inc. 126,100 3,404,700 -------------------------------------------------------------------------------------------------------------------------- TOBACCO--3.9% Altria Group, Inc. 337,600 28,972,832 -------------------------------------------------------------------------------------------------------------------------- Loews Corp./Carolina Group 185,800 12,024,976 ------------------- 40,997,808 -------------------------------------------------------------------------------------------------------------------------- ENERGY--3.4% -------------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.3% Halliburton Co. 2 109,000 3,384,450 -------------------------------------------------------------------------------------------------------------------------- OIL & GAS--3.1% BP plc, ADR 114,100 7,656,110 -------------------------------------------------------------------------------------------------------------------------- Exxon Mobil Corp. 239,700 18,368,211 -------------------------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc. 29,000 3,066,750 -------------------------------------------------------------------------------------------------------------------------- Petroleo Brasileiro SA, Preference 129,000 3,006,880 ------------------- 32,097,951 -------------------------------------------------------------------------------------------------------------------------- FINANCIALS--8.3% -------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--2.4% E*TRADE Financial Corp. 1 224,200 5,026,564 -------------------------------------------------------------------------------------------------------------------------- UBS AG 331,778 20,087,521 ------------------- 25,114,085 -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.3% Wachovia Corp. 240,562 13,700,006 -------------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--1.0% Capital One Financial Corp. 136,000 10,447,520 -------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.5% Bank of America Corp. 291,354 15,555,390 -------------------------------------------------------------------------------------------------------------------------- INSURANCE--1.7% Everest Re Group Ltd. 80,100 7,858,611
1 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
SHARES VALUE -------------------------------------------------------------------------------------------------------------------------- INSURANCE CONTINUED -------------------------------------------------------------------------------------------------------------------------- Genworth Financial, Inc., Cl. A 141,300 $ 4,833,873 -------------------------------------------------------------------------------------------------------------------------- Platinum Underwriters Holdings Ltd. 179,600 5,556,824 ------------------- 18,249,308 -------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.4% Freddie Mac 62,200 4,223,380 -------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--5.9% -------------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--2.5% Amgen, Inc. 1,3 75,700 5,171,067 -------------------------------------------------------------------------------------------------------------------------- Human Genome Sciences, Inc. 1,2 257,500 3,203,300 -------------------------------------------------------------------------------------------------------------------------- MedImmune, Inc. 1 240,900 7,797,933 -------------------------------------------------------------------------------------------------------------------------- Vanda Pharmaceuticals, Inc. 1,2 399,800 9,855,070 ------------------- 26,027,370 -------------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.9% Beckman Coulter, Inc. 2 88,400 5,286,320 -------------------------------------------------------------------------------------------------------------------------- Boston Scientific Corp. 1 261,100 4,485,698 ------------------- 9,772,018 -------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.7% WellPoint, Inc. 1 98,400 7,743,096 -------------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--1.8% Medicines Co. (The) 1,2 124,600 3,952,312 -------------------------------------------------------------------------------------------------------------------------- Novartis AG, ADR 89,500 5,140,880 -------------------------------------------------------------------------------------------------------------------------- Sanofi-Aventis SA, ADR 213,000 9,834,210 ------------------- 18,927,402 -------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--4.6% -------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--2.8% Empresa Brasileira de Aeronautica SA, ADR 2 142,100 5,887,203 -------------------------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 1,2 515,217 9,500,601 -------------------------------------------------------------------------------------------------------------------------- Spirit Aerosystems Holdings, Inc., Cl. A 1 88,070 2,947,703 -------------------------------------------------------------------------------------------------------------------------- United Technologies Corp. 170,500 10,659,660 ------------------- 28,995,167 -------------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.6% Siemens AG, Sponsored ADR 175,200 17,265,960 -------------------------------------------------------------------------------------------------------------------------- MACHINERY--0.2% Navistar International Corp. 1,2 76,600 2,560,738 -------------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--12.7% -------------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--1.2% Cisco Systems, Inc. 1 288,000 7,871,040 -------------------------------------------------------------------------------------------------------------------------- Juniper Networks, Inc. 1 131,800 2,496,292 -------------------------------------------------------------------------------------------------------------------------- QUALCOMM, Inc. 60,400 2,282,516 ------------------- 12,649,848 -------------------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.9% Hutchinson Technology, Inc. 1,2 158,200 3,728,774 -------------------------------------------------------------------------------------------------------------------------- International Business Machines Corp. 63,200 6,139,880 ------------------- 9,868,654
2 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
SHARES VALUE -------------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.9% eBay, Inc. 1 227,300 $ 6,834,911 -------------------------------------------------------------------------------------------------------------------------- Yahoo!, Inc. 1 94,700 2,418,638 ------------------- 9,253,549 -------------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.9% Texas Instruments, Inc. 339,800 9,786,240 -------------------------------------------------------------------------------------------------------------------------- SOFTWARE--8.8% Compuware Corp. 1 678,929 5,655,479 -------------------------------------------------------------------------------------------------------------------------- Microsoft Corp. 1,105,400 33,007,244 -------------------------------------------------------------------------------------------------------------------------- Novell, Inc. 1 1,049,500 6,506,900 -------------------------------------------------------------------------------------------------------------------------- Synopsys, Inc. 1 502,100 13,421,133 -------------------------------------------------------------------------------------------------------------------------- Take-Two Interactive Software, Inc. 1,2 1,911,047 33,940,195 ------------------- 92,530,951 -------------------------------------------------------------------------------------------------------------------------- MATERIALS--1.1% -------------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.8% Martin Marietta Materials, Inc. 2 27,300 2,836,743 -------------------------------------------------------------------------------------------------------------------------- Texas Industries, Inc. 2 41,900 2,691,237 -------------------------------------------------------------------------------------------------------------------------- Vulcan Materials Co. 29,900 2,687,113 ------------------- 8,215,093 -------------------------------------------------------------------------------------------------------------------------- METALS & MINING--0.3% Companhia Vale do Rio Doce, Sponsored ADR 2 136,200 3,575,250 -------------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.0% -------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.0% WorldCom, Inc./WorldCom Group 1,4 450,000 -- -------------------------------------------------------------------------------------------------------------------------- UTILITIES--2.1% -------------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--0.7% Reliant Energy, Inc. 1 521,400 7,409,094 -------------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS--1.4% AES Corp. (The) 1 675,700 14,892,428 ------------------- Total Common Stocks (Cost $399,504,317) 527,060,086 UNITS -------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% -------------------------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc. Wts., Exp. 12/10/07 1 (Cost $0) 11,758 3,645 PRINCIPAL AMOUNT -------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--3.8% -------------------------------------------------------------------------------------------------------------------------- Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.53%, 11/25/35 5 $ 890,000 890,872 -------------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005- 1A, Cl. A2, 5.41%, 4/20/08 5 630,000 630,631 -------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.83%, 5/25/34 5 3,180,000 3,191,346 -------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.45%, 5/26/36 5 1,250,000 1,250,954 -------------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed 2,140,000 2,116,864 Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09
3 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates: $ 415,614 $ 414,186 Series 2005-D, Cl. AF1, 5.04%, 10/25/35 Series 2005-D, Cl. AV2, 5.62%, 10/25/35 5 1,750,000 1,751,760 -------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.45%, 5/16/36 5 1,570,000 1,571,214 -------------------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 301,663 -------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2005-WF2, Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 5 1,113,736 1,105,831 -------------------------------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 6 1,970,000 1,984,890 -------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 5.72% 2/25/33 5 31,485 31,524 -------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 5 630,000 627,913 -------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: 718,567 719,380 Series 2005-17, Cl. 1AF1, 5.55%, 5/25/36 5 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 5 420,000 418,498 -------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 5.44%, 12/25/29 5 920,000 920,644 -------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.56%, 11/25/35 5 2,600,000 2,602,577 -------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.41%, 7/25/36 5 1,230,000 1,230,786 -------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.40%, 5/15/36 5 687,311 687,789 -------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36 5 620,000 620,396 -------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 848,234 843,481 -------------------------------------------------------------------------------------------------------------------------- GS Auto Loan Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.32%, 5/15/08 748,225 748,119 -------------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates: 840,459 841,821 Series 2005-3, Cl. A1, 5.61%, 1/20/35 5 Series 2006-4, Cl. A2V, 5.46%, 3/20/36 4,5 340,000 340,000 -------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 5 983,796 981,643 -------------------------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 4 489,836 500,029 -------------------------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.70%, 3/15/16 5 2,900,000 3,077,827 -------------------------------------------------------------------------------------------------------------------------- Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series 2005-WMC6, Cl. A2B, 5.61%, 7/25/35 5 790,000 791,520 -------------------------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.45%, 7/1/36 5 2,060,000 2,061,606 -------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2004-5, Mtg. Pass-Through 38,710 38,595 Certificates, Series 2004-5, Cl. AF2, 3.735%, 11/10/34 5
4 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-1, Mtg. Pass-Through $ 139,495 $ 139,019 Certificates, Series 2005-1, Cl. AF2, 3.914%, 5/25/35 5 -------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 5 720,000 713,221 -------------------------------------------------------------------------------------------------------------------------- RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, 891,559 885,343 Series 2004-RS7, Cl. AI32 4.45%, 7/25/28 -------------------------------------------------------------------------------------------------------------------------- RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.43%, 7/25/36 5 654,079 654,542 -------------------------------------------------------------------------------------------------------------------------- RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through 1,500,000 1,500,959 Certificates, Series 2006-KS7, Cl. A2, 5.42%, 9/25/36 5 -------------------------------------------------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.41%, 4/25/36 5 650,106 650,555 -------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,450,572 1,447,039 -------------------------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.59%, 7/25/36 5 1,230,000 1,230,786 ------------------- Total Asset-Backed Securities (Cost $40,538,641) 40,515,823 -------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--24.6% -------------------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--21.0% -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--20.8% Federal Home Loan Mortgage Corp.: 4.50%, 5/1/18-5/1/19 7,384,426 7,130,956 5%, 8/1/33 530,347 512,792 5%, 1/1/37 7 5,190,000 5,008,350 6%, 4/1/17-9/1/24 1,567,611 1,588,247 6.50%, 4/1/18-4/1/34 5,347,184 5,478,695 7%, 5/1/29-11/1/32 3,388,150 3,488,274 8%, 4/1/16 57,652 60,997 9%, 8/1/22-5/1/25 17,630 18,884 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates, Series 2410, Cl. PF, 6.33%, 2/15/32 5 1,819,198 1,863,711 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 5.06%, 3/25/36 5 768,738 763,485 Series 2034, Cl. Z, 6.50%, 2/15/28 452,598 461,813 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,298,581 1,327,439 Series 2053, Cl. Z, 6.50%, 4/15/28 484,693 494,912 Series 2055, Cl. ZM, 6.50%, 5/15/28 649,385 659,614 Series 2075, Cl. D, 6.50%, 8/15/28 1,538,787 1,571,063 Series 2080, Cl. Z, 6.50%, 8/15/28 970,774 986,461 Series 2387, Cl. PD, 6%, 4/15/30 225,859 226,037 Series 2427, Cl. ZM, 6.50%, 3/15/32 1,759,392 1,802,278 Series 2500, Cl. FD, 5.85%, 3/15/32 5 200,535 202,574 Series 2526, Cl. FE, 5.75%, 6/15/29 5 283,102 286,226 Series 2551, Cl. FD, 5.75%, 1/15/33 5 221,292 223,422
5 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Series 2583, Cl. KA, 5.50%, 3/15/22 $ 406,121 $ 405,681 Series 3025, Cl. SJ, 5.133%, 8/15/35 5 169,572 170,480 Series 3153, Cl. FJ, 5.73%, 5/15/36 5 745,304 748,447 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 39,317 39,232 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.984%, 6/1/26 8 397,421 84,851 Series 183, Cl. IO, 8.622%, 4/1/27 8 606,022 133,760 Series 184, Cl. IO, 14.236%, 12/1/26 8 660,432 140,235 Series 192, Cl. IO, 11.857%, 2/1/28 8 188,254 41,675 Series 200, Cl. IO, 10.61%, 1/1/29 8 224,530 47,746 Series 2003-118, Cl. S, 7.991%, 12/25/33 8 3,433,482 424,510 Series 2005-87, Cl. S G, 9.386%, 10/25/35 8 5,746,522 314,568 Series 2130, Cl. SC, (4.23)%, 3/15/29 8 499,576 35,428 Series 2796, Cl. SD, (0.67)%, 7/15/26 8 734,123 53,190 Series 2920, Cl. S, (4.244)%, 1/15/35 8 4,212,148 196,300 Series 3000, Cl. SE, (4.683)%, 7/15/25 8 4,315,037 151,845 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.719%, 6/1/26 9 168,840 137,724 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 5/1/18-12/1/20 8,822,340 8,533,508 5%, 12/1/17-3/1/34 32,078,061 31,398,698 5%, 1/1/22-1/1/37 7 22,149,000 21,507,573 5.50%, 2/1/33-11/1/34 9,777,651 9,680,916 5.50%, 1/1/22-1/1/37 7 13,483,000 13,397,441 6%, 11/1/29-11/1/33 11,774,478 11,893,032 6%, 1/1/22-3/1/33 7 19,474,036 19,707,066 6.50%, 6/1/17-11/1/31 12,387,489 12,713,526 7%, 11/1/17-1/1/35 5,043,783 5,203,350 7.50%, 1/1/08-1/1/33 538,607 562,198 8.50%, 7/1/32 30,408 32,745 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,423,667 1,464,863 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-15, Cl. KZ, 7%, 2/25/22 95,330 96,193 Trust 1993-215, Cl. ZQ, 6.50%, 11/25/23 1,514,250 1,548,877 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,208,281 1,241,838 Trust 1996-35, Cl. Z, 7%, 7/25/26 215,630 220,360 Trust 1998-61 Cl. PL, 6%,11/25/28 754,011 763,695 Trust 2001-44, Cl. QC, 6%, 9/25/16 2,321,801 2,351,234 Trust 2001-50, Cl. NE, 6%, 8/25/30 126,202 126,159 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,701,517 1,738,946 Trust 2001-70, Cl. LR, 6%, 9/25/30 223,815 223,861 Trust 2001-72, Cl. NH, 6%, 4/25/30 46,405 46,491 Trust 2001-74, Cl. PD, 6%, 5/25/30 30,818 30,747 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 691,449 711,298 Trust 2002-77, Cl. WF, 5.75%, 12/18/32 5 324,068 326,529
6 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 $ 630,000 $ 615,551 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,045,000 1,029,226 Trust 2003-84, Cl. PW, 3%, 6/25/22 1,449,587 1,424,848 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,869,000 1,823,044 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 160,000 147,725 Trust 2006-24, Cl. DB, 5.50%, 4/25/26 4,010,000 3,992,158 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 3,100,000 3,107,800 Trust 2006-46, Cl. SW, 4.583%, 6/25/36 5 602,588 586,298 Trust 2006-50, Cl. KS, 4.583%, 6/25/36 5 1,522,981 1,472,431 Trust 2006-50, Cl. SA, 4.583%, 6/25/36 5 496,794 480,542 Trust 2006-50, Cl. SK, 4.583%, 6/25/36 5 1,396,569 1,349,692 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 4,134,856 4,140,513 Trust 2006-64, Cl. MD, 5.50%, 7/25/36 5,101,000 4,973,401 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 1993-223, Cl. PM, 0.226%, 10/25/23 8 39,093 3,073 Trust 2001-65, Cl. S, 7.054%, 11/25/31 8 1,958,494 188,033 Trust 2001-81, Cl. S, (0.044)%, 1/25/32 8 430,164 40,395 Trust 2002-38, Cl. IO, (4.323)%, 4/25/32 8 728,276 39,892 Trust 2002-47, Cl. NS, (1.222)%, 4/25/32 8 834,125 78,923 Trust 2002-51, Cl. S, (1.105)%, 8/25/32 8 765,913 72,412 Trust 2002-52, Cl. SD, (2.609)%, 9/25/32 8 897,048 72,970 Trust 2002-77, Cl. IS, 0.621%, 12/18/32 8 1,240,767 105,429 Trust 2002-77, Cl. SH, 0.102%, 12/18/32 8 551,521 50,888 Trust 2002-9, Cl. MS, (0.424)%, 3/25/32 8 577,659 55,661 Trust 2002-96, Cl. SK, 7.472%, 4/25/32 8 5,139,135 511,744 Trust 2003-33, Cl. SP, 9.233%, 5/25/33 8 1,981,388 248,173 Trust 2003-4, Cl. S, 6.804%, 2/25/33 8 1,071,677 112,551 Trust 2003-46, Cl. IH, 6.736%, 6/25/33 8 7,065,789 1,446,964 Trust 2004-54, Cl. DS, (6.615)%, 11/25/30 8 807,345 48,361 Trust 2005-19, Cl. SA, (3.126)%, 3/25/35 8 11,194,736 571,819 Trust 2005-40, Cl. SA, (3.187)%, 5/25/35 8 2,423,307 118,602 Trust 2005-6, Cl. SE, (3.611)%, 2/25/35 8 2,985,701 152,148 Trust 2005-71, Cl. SA, 3.35%, 8/25/25 8 2,709,916 157,646 Trust 2006-33, Cl. SP, 11.684%, 5/25/36 8 6,169,437 538,399 Trust 214, Cl. 2, 14.872%, 3/1/23 8 1,069,573 225,603 Trust 222, Cl. 2, 11.767%, 6/1/23 8 1,398,272 296,892 Trust 240, Cl. 2, 15.882%, 9/1/23 8 2,174,761 487,904 Trust 247, Cl. 2, 11.997%, 10/1/23 8 280,542 60,732 Trust 252, Cl. 2, 9.028%, 11/1/23 8 1,030,646 237,347 Trust 273, Cl. 2, 11.884%, 8/1/26 8 292,734 62,389 Trust 319, Cl. 2, 9.895%, 2/1/32 8 414,081 95,259 Trust 321, Cl. 2, 5.257%, 4/1/32 8 4,247,374 976,624 Trust 329, Cl. 2, 8.306%, 1/1/33 8 1,100,733 255,588 Trust 331, Cl. 9, 8.462%, 2/1/33 8 143,990 35,113 Trust 334, Cl. 17, 16.574%, 2/1/33 8 688,605 159,472
7 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 340, Cl. 2, 7.032%, 9/1/33 8 $ 345,454 $ 83,313 Trust 342, Cl. 2, 9.01%, 9/1/33 8 942,677 214,207 Trust 344, Cl. 2, 4.59%, 12/1/33 8 1,465,850 332,408 Trust 346, Cl. 2, 11.437%, 12/1/33 8 2,436,166 562,908 Trust 362, Cl. 12, 5.435%, 8/1/35 8 5,906,933 1,247,078 Trust 362, Cl. 13, 5.442%, 8/1/35 8 3,277,807 693,608 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.682%, 9/25/23 9 488,941 397,479 Trust 340, Cl. 1, 5.532%, 9/1/33 9 345,454 252,460 ------------------- 219,236,742 -------------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 5.375%, 3/20/26 5 25,795 26,117 7%, 4/15/09-4/15/26 262,489 270,980 7.50%, 3/15/09-5/15/27 967,052 1,010,283 8%, 5/15/17 41,200 43,450 8.50%, 8/15/17-12/15/17 23,606 25,174 -------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (4.945)%, 1/16/27 8 1,032,967 69,698 Series 2002-15, Cl. SM, (8.305)%, 2/16/32 8 803,428 52,783 Series 2002-76, Cl. SY, (4.823)%, 12/16/26 8 1,940,883 135,680 Series 2004-11, Cl. SM, (7.851)%, 1/17/30 8 680,642 48,120 ------------------- 1,682,285 -------------------------------------------------------------------------------------------------------------------------- NON-AGENCY--3.6% -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL--3.2% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 1,810,000 1,768,977 -------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,297,297 1,314,959 -------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2005-E, Cl. 2A2, 4.975%, 6/25/35 5 108,011 107,830 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,104,856 1,114,869 -------------------------------------------------------------------------------------------------------------------------- ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 5.607%, 8/25/08 4,5 996,374 997,420 -------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 460,000 458,613 -------------------------------------------------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 2,102,570 2,098,742 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 611,335 611,507 -------------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 960,000 942,666 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,080,000 1,067,926 -------------------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 318,849 320,072
8 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 $ 1,520,000 $ 1,480,680 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,200,000 1,196,483 -------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 440,000 431,080 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 1,560,000 1,537,312 -------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,280,000 1,268,462 -------------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-9, Cl. A3, 4.70%, 8/25/34 5 1,856,032 1,841,319 Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,729,966 1,722,353 -------------------------------------------------------------------------------------------------------------------------- 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 1,673,874 -------------------------------------------------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 870,498 866,664 -------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 2,443,539 2,439,155 -------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 2,331,000 2,328,925 -------------------------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 2,521,796 2,517,886 -------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 2,490,000 2,457,429 -------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 492,000 491,601 -------------------------------------------------------------------------------------------------------------------------- WAMU Mortgage Pass-Through Certificates Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.673%, 5/25/35 5 660,557 659,183 ------------------- 33,715,987 -------------------------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.4% Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 2,669,264 2,698,461 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,478,283 1,503,497 ------------------- 4,201,958 ------------------- Total Mortgage-Backed Obligations (Cost $260,376,746) 258,836,972 -------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--2.7% -------------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 3.69%, 10/5/07 2,10 1,245,000 1,196,287 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 1,160,000 1,143,251 -------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 4.125%, 7/12/10 786,000 766,580 5.25%, 7/18/11 2 845,000 855,970 6.625%, 9/15/09 2 475,000 495,017 -------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 2,630,000 2,625,219 4.25%, 7/15/07 2 2,555,000 2,541,816
9 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- 4.75%, 12/15/10 2 $ 130,000 $ 129,284 5%, 10/15/11 2 2,200,000 2,207,196 6%, 5/15/11 2 2,305,000 2,402,340 7.25%, 1/15/10 11 2,380,000 2,533,793 -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 4.50%, 2/15/36 2 3,004,000 2,857,558 8.875%, 8/15/172 2,11 790,000 1,057,057 STRIPS, 4.96%, 2/15/16 10 171,000 111,235 -------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 4.625%, 10/31/11-11/15/16 2 5,968,000 5,944,713 4.875%, 10/31/08 2 1,229,000 1,229,961 ------------------- Total U.S. Government Obligations (Cost $28,252,688) 28,097,277 -------------------------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--14.3% -------------------------------------------------------------------------------------------------------------------------- ABN Amro Bank NV (NY Branch), 7.125% Sub. Nts., Series B, 10/15/93 500,000 561,126 -------------------------------------------------------------------------------------------------------------------------- Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 1,645,000 1,676,846 -------------------------------------------------------------------------------------------------------------------------- BAE Systems Holdings, Inc., 5.20% Nts., 8/15/15 6 2,115,000 2,018,053 -------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds 12 2,130,000 2,096,069 -------------------------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 6.875% Sr. Unsec. Nts., 7/15/15 2 1,025,000 1,009,625 -------------------------------------------------------------------------------------------------------------------------- British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 1,255,000 1,337,087 -------------------------------------------------------------------------------------------------------------------------- Bunge Ltd. Finance Corp., 4.375% Unsec. Nts., 12/15/08 615,000 602,315 -------------------------------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 2,240,000 2,325,788 -------------------------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 2,885,000 3,042,140 -------------------------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2 1,530,000 1,591,350 -------------------------------------------------------------------------------------------------------------------------- CIT Group, Inc., 5.40% Sr. Nts., 3/7/13 2,010,000 1,997,419 -------------------------------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.125% Sub. Nts., 8/25/36 820,000 856,840 -------------------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 2 1,425,000 1,386,092 -------------------------------------------------------------------------------------------------------------------------- Coca-Cola Co. (The), 7.375% Unsec. Debs., 7/29/93 440,000 542,437 -------------------------------------------------------------------------------------------------------------------------- Comcast Corp., 6.45% Unsec. Nts., 3/15/37 2 2,420,000 2,429,336 -------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 1,265,000 1,224,929 6.125% Nts., 1/15/14 895,000 889,918 -------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 7.30% Nts., 1/15/12 1,955,000 2,077,465 -------------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,235,000 1,472,497 -------------------------------------------------------------------------------------------------------------------------- Duke Energy Field Services Corp., 6.875% Sr. Unsec. Nts., 2/1/11 1,455,000 1,522,767 -------------------------------------------------------------------------------------------------------------------------- Earthgrains Co. (The), 6.50% Nts., 4/15/09 645,000 656,324 -------------------------------------------------------------------------------------------------------------------------- Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 244,000 236,439 -------------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 1,725,000 1,722,844 -------------------------------------------------------------------------------------------------------------------------- El Paso Corp.: 6.50% Sr. Unsec. Nts., 6/1/08 2 390,000 395,363 7.625% Sr. Unsec. Nts., 9/1/08 2 1,460,000 1,511,100 -------------------------------------------------------------------------------------------------------------------------- Enbridge Energy Partners LP, 5.95% Sr. Unsec. Nts., Series B, 6/1/33 525,000 486,258 -------------------------------------------------------------------------------------------------------------------------- Energy Transfer Partners LP: 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 385,000 383,833 6.625% Sr. Nts., 10/15/36 840,000 867,773 -------------------------------------------------------------------------------------------------------------------------- Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 1,885,000 2,012,002 -------------------------------------------------------------------------------------------------------------------------- EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 2,550,000 2,811,944 -------------------------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,335,000 1,357,238 -------------------------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 770,000 879,569
10 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 6 $ 3,780,000 $ 4,024,313 -------------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The): 6.90% Nts., 9/15/07 2 1,495,000 1,505,604 9.445% Unsub. Nts., 12/15/08 2,5 228,000 243,509 -------------------------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 2 1,670,000 1,922,840 -------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 2,065,000 2,097,078 -------------------------------------------------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 6,12 2,100,000 2,092,696 -------------------------------------------------------------------------------------------------------------------------- HCA, Inc., 8.75% Sr. Nts., 9/1/10 2,015,000 2,105,675 -------------------------------------------------------------------------------------------------------------------------- Heinz (H.J.) Co., 6.428% Bonds, 12/1/08 6 290,000 295,305 -------------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 2 1,480,000 1,594,700 -------------------------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 5 3,000,000 3,020,010 -------------------------------------------------------------------------------------------------------------------------- Hyatt Equities LLC, 6.875% Nts., 6/15/07 6 1,955,000 1,963,338 -------------------------------------------------------------------------------------------------------------------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 6 1,140,000 1,132,801 -------------------------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 5 920,000 959,100 -------------------------------------------------------------------------------------------------------------------------- iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 2,090,000 2,034,866 -------------------------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 9% Nts., 8/1/12 525,000 600,977 -------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co., 5.15% Sub. Nts., 10/1/15 2,000,000 1,966,034 -------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 6.50% Sr. Nts., 1/15/14 1,735,000 1,691,625 -------------------------------------------------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP: 5.875% Sr. Unsec. Nts., 6/1/13 330,000 331,403 7.75% Sr. Unsec. Nts., 2/15/12 190,000 207,294 -------------------------------------------------------------------------------------------------------------------------- KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 1,310,000 1,212,078 -------------------------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 1,810,000 1,968,885 -------------------------------------------------------------------------------------------------------------------------- Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 2 2,075,000 2,055,211 -------------------------------------------------------------------------------------------------------------------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 2 1,845,000 1,921,724 -------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 2 610,000 639,173 -------------------------------------------------------------------------------------------------------------------------- Limited Brands, Inc., 6.125% Sr. Unsec. Nts., 12/1/12 2,035,000 2,059,803 -------------------------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 2 1,300,000 1,187,836 7.125% Sr. Unsec. Nts., 6/15/09 1,170,000 1,209,718 -------------------------------------------------------------------------------------------------------------------------- May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 715,000 725,819 -------------------------------------------------------------------------------------------------------------------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 2,130,000 2,034,337 -------------------------------------------------------------------------------------------------------------------------- MeadWestvaco Corp., 6.85% Unsec. Unsub. Nts., 4/1/12 2 1,925,000 2,019,444 -------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 2,080,000 2,085,200 -------------------------------------------------------------------------------------------------------------------------- Mission Energy Holding Co., 13.50% Sr. Sec. Nts., 7/15/08 1,755,000 1,943,663 -------------------------------------------------------------------------------------------------------------------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 1,325,000 1,389,020 -------------------------------------------------------------------------------------------------------------------------- Morgan Stanley, 4.75% Sub. Nts., 4/1/14 2,090,000 2,001,315 -------------------------------------------------------------------------------------------------------------------------- NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 195,000 200,098 -------------------------------------------------------------------------------------------------------------------------- NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 2,740,000 2,958,548 -------------------------------------------------------------------------------------------------------------------------- ONEOK Partners LP: 7.10% Sr. Unsec. Nts., 3/15/11 285,000 299,895 6.65% Nts., 10/1/36 995,000 1,021,051 -------------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 1,960,000 2,058,980 -------------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 6 2,420,444 2,383,540 -------------------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 6 528,826 495,972 -------------------------------------------------------------------------------------------------------------------------- Popular North America, Inc., 4.70% Nts., 6/30/09 2,540,000 2,487,861 -------------------------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 6 1,885,000 2,310,426
11 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 $ 1,990,000 $ 2,504,893 -------------------------------------------------------------------------------------------------------------------------- PSEG Funding Trust I, 5.381% Nts., 11/16/07 1,320,000 1,317,502 -------------------------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 4.875% Nts., 7/15/09 2,005,000 1,975,500 -------------------------------------------------------------------------------------------------------------------------- Qwest Corp., 5.625% Unsec. Nts., 11/15/08 245,000 246,531 -------------------------------------------------------------------------------------------------------------------------- R&B Falcon Corp., 9.50% Sr. Unsec. Nts., 12/15/08 750,000 806,404 -------------------------------------------------------------------------------------------------------------------------- R.J. Reynolds Tobacco Holdings, Inc., 6.50% Unsec. Nts., 6/1/07 60,000 60,381 -------------------------------------------------------------------------------------------------------------------------- Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 865,000 827,149 -------------------------------------------------------------------------------------------------------------------------- Reynolds American, Inc., 6.50% Sr. Sec. Nts., 6/1/07 1,249,000 1,256,922 -------------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 550,000 557,740 -------------------------------------------------------------------------------------------------------------------------- Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 2,960,000 3,065,077 -------------------------------------------------------------------------------------------------------------------------- Sara Lee Corp., 2.75% Unsec. Nts., 6/15/08 850,000 817,016 -------------------------------------------------------------------------------------------------------------------------- Telecom Italia Capital SpA: 4% Sr. Unsec. Nts., 11/15/08 990,000 964,540 4% Unsec. Unsub. Nts., 1/15/10 1,090,000 1,041,560 -------------------------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 2,060,000 2,033,144 -------------------------------------------------------------------------------------------------------------------------- Telus Corp., 8% Nts., 6/1/11 1,815,000 1,986,621 -------------------------------------------------------------------------------------------------------------------------- TEPPCO Partners LP: 6.125% Nts., 2/1/13 930,000 931,256 7.625% Sr. Unsec. Nts., 2/15/12 290,000 312,146 -------------------------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 1,615,000 1,957,674 -------------------------------------------------------------------------------------------------------------------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 1,110,000 1,099,183 -------------------------------------------------------------------------------------------------------------------------- TXU Energy Co., 6.125% Nts., 3/15/08 1,330,000 1,338,757 -------------------------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 3.50% Sr. Unsec. Nts., 10/15/07 1,270,000 1,242,865 3.875% Sr. Unsec. Nts., 10/15/08 590,000 562,961 -------------------------------------------------------------------------------------------------------------------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 1,465,000 1,477,687 -------------------------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,055,000 2,053,862 -------------------------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 1,705,000 1,770,835 -------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. Credit Linked Certificate Trust (The), 6.75% Nts., 4/15/09 4 1,955,000 1,998,988 -------------------------------------------------------------------------------------------------------------------------- Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 1,885,000 2,045,225 -------------------------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 1,345,000 1,471,976 ------------------- Total Non-Convertible Corporate Bonds and Notes (Cost $148,478,418) 150,163,946 SHARES -------------------------------------------------------------------------------------------------------------------------- MONEY MARKET FUND--9.5% -------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.25% 13,14 (Cost $100,084,728) 100,084,728 100,084,728 -------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (EXCLUDING INVESTMENTS PURCHASED WITH CASH COLLATERAL (COST $977,235,538) 1,104,762,477 -------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT -------------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--8.2% 15 -------------------------------------------------------------------------------------------------------------------------- ASSET BACKED FLOATING NOTE--0.2% Whitehawk CDO Funding Corp., 5.41%, 3/1/07 $ 2,000,000 2,000,000
12 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--7.6% Undivided interest of 0.74% in joint repurchase agreement (Principal Amount/Value $4,100,000,000, with a maturity value of $4,102,437,222) with Nomura Securities, 5.35%, dated 12/29/06, to be repurchased at $30,329,040 on 1/2/07, collateralized by U.S. Agency Mortgages, 0.00%-22.12%, 3/15/14-5/1/46, with a value of $4,182,000,000 $ 30,311,022 $ 30,311,022 -------------------------------------------------------------------------------------------------------------------------- Undivided interest of 3.33% in joint repurchase agreement (Principal Amount/Value $1,500,000,000, with a maturity value of 1,500,887,083 with Banc of America Securities LLC, 5.3225%, dated 12/29/06, to be repurchased at $50,029,569 on 1/2/07, collateralized by U.S. Agency Mortgages, 0.00%-6%, 8/1/34-11/15/36, with a value of $1,530,000,000 50,000,000 50,000,000 ------------------- 80,311,022 -------------------------------------------------------------------------------------------------------------------------- YANKEE FLOATING CERTIFICATE OF DEPOSIT--0.4% Natexis Banques Populaires NY, 5.34%, 1/2/07 4,000,000 4,000,000 ------------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $86,311,022) 86,311,022 -------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $1,063,546,560) 113.1% 1,191,073,499 -------------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (13.1) (137,710,171) ------------------------------------------ NET ASSETS 100.0% $ 1,053,363,328 ==========================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Non-income producing security. 2. Partial or fully-loaned security. See accompanying Notes. 3. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows: CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO CALL DATE PRICE RECEIVED VALUE -------------------------------------------------------------------------------- Amgen, Inc. 159 4/23/07 $75 $ 83,552 $19,875 4. Illiquid security. The aggregate value of illiquid securities as of December 31, 2006 was $3,836,437, which represents 0.36% of the Fund's net assets. See accompanying Notes. 5. Represents the current interest rate for a variable or increasing rate security. 6. 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 $18,701,334 or 1.78% of the Fund's net assets as of December 31, 2006. 7. When-issued security or forward commitment to be delivered and settled after December 31, 2006. See accompanying Notes. 8. 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 $12,570,917 or 1.19% of the Fund's net assets as of December 31, 2006. 9. 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 $787,663 or 0.07% of the Fund's net assets as of December 31, 2006. 10. Zero coupon bond reflects effective yield on the date of purchase. 11. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $1,532,994. See accompanying Notes. 12. 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. 13. Rate shown is the 7-day yield as of December 31, 2006. 14. Represents ownership of an affiliated fund, at or during the period ended December 31, 2006. Transactions during the period in which the issuer was an affiliate are as follows: 13 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
SHARES GROSS GROSS SHARES SEPTEMBER 30, 2006 ADDITIONS REDUCTIONS DECEMBER 31, 2006 ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.25%* -- 194,915,677 94,830,929 100,084,728 DIVIDEND VALUE INCOME ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.25%* $ 100,084,728 $1,240,392
* The money market fund and the Fund are affiliated by having the same investment advisor. 15. The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See accompanying Notes. NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for 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(R) 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. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. 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. Investments in open-end registered investment companies (including affiliated funds) are valued at that fund's net asset value. 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 take place generally at least 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 whenissued 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 December 31, 2006, the Fund had purchased $70,320,569 of securities issued on a when-issued basis or forward commitment and sold $10,213,735 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 14 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED -------------------------------------------------------------------------------- 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. AFFILIATED FUNDS. The Fund is permitted to invest daily available cash balances in affiliated money market funds. Each day, the Fund invests the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") which seeks current income and stability of principal. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment advisor of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 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. INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities in the annual and semiannual reports. 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. 15 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED -------------------------------------------------------------------------------- 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 in the annual and semiannual reports 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 at 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 December 31, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS DECEMBER 31, 2006 (DEPRECIATION) -------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 3/21/07 332 $ 36,997,250 $ (500,760) --------------- CONTRACTS TO SELL Euro-Bundesobligation, 10 yr. 3/8/07 106 16,235,470 401,985 U.S. Treasury Nts., 2 yr. 3/30/07 428 87,325,375 227,755 U.S. Treasury Nts., 5 yr. 3/30/07 146 15,339,125 89,721 U.S. Treasury Nts., 10 yr. 3/21/07 93 9,994,594 87,359 --------------- 806,820 --------------- $ 306,060 ===============
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. 16 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED -------------------------------------------------------------------------------- Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Contracts subject to call or put, 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 period ended December 31, 2006 was as follows: CALL OPTIONS ----------------------------- NUMBER OF AMOUNT OF CONTRACTS PREMIUMS ---------------------------------------------------------- Options outstanding as of September 30, 2006 -- $ -- Options written 159 83,552 ----------------------------- Options outstanding as of December 31, 2006 159 $ 83,552 ============================= CREDIT DEFAULT SWAP CONTRACTS Credit default swaps are designed to transfer the credit exposure of fixed income products between counterparties. The Fund may enter into credit default swaps, both directly ("unfunded swaps") and indirectly in the form of a swap embedded within a structured note ("funded swaps"), to protect against the risk that a security will default. Unfunded and funded credit default swaps may be on a single security, or a basket of securities. The Fund may take a short position (purchaser of credit protection) or a long position (seller of credit protection) in the credit default swap. Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, pricing transparency when assessing the cost of a credit default swap, counterparty risk, and the need to fund the delivery obligation (either cash or defaulted bonds depending on whether the Fund is long or short the swap, respectively). The Fund would take a short position in a credit default swap (the "unfunded swap") against a long portfolio position to decrease exposure to specific high yield issuers. As a purchaser of credit protection under a 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. 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 and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in this amount is included on the Statement of Operations in the annual and semiannual reports. Information regarding such credit default swaps as of December 31, 2006 is as follows: 17 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
ANNUAL NOTIONAL AMOUNT INTEREST RECEIVED BY THE RATE FUND UPON CREDIT PAID BY TERMINATION UNREALIZED COUNTERPARTY REFERENCED DEBT OBLIGATION EVENT THE FUND DATES DEPRECIATION ---------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: CDX.NA.IG.7 $ 3,600,000 0.400 % 12/20/11 $ 11,030 J.C. Penney Co., Inc. 610,000 0.580 3/20/12 1,028 Weyerhaeuser Co. 1,990,000 0.580 9/20/11 13,002 ---------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Arrow Electronics, Inc. 1,990,000 0.790 9/20/11 35,625 Arrow Electronics, Inc. 1,000,000 0.770 9/20/11 17,052 Belo Corp. 1,190,000 0.650 6/20/11 8,168 Belo Corp. 655,000 0.670 6/20/11 5,025 Belo Corp. 1,325,000 0.675 6/20/11 10,432 Ford Motor Co. 990,000 5.300 12/20/08 55,085 Ford Motor Co. 2,090,000 5.400 12/20/08 120,231 General Motors Corp. 1,035,000 4.000 12/20/08 42,668 General Motors Corp. 1,005,000 3.950 12/20/08 40,478 International Paper Co. 2,065,000 0.409 12/20/11 6,565 -------------- $ 366,389 ==============
The Fund would take a long position in the credit default swap note (the "funded swap") to increase the exposure to specific high yield corporate issuers. As a seller of credit protection under a 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. 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 and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in this amount is included on the Statement of Operations in the annual and semiannual reports. Information regarding such credit default swaps as of December 31, 2006 is as follows: 18 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED --------------------------------------------------------------------------------
ANNUAL NOTIONAL AMOUNT INTEREST PAID BY THE FUND RATE UNREALIZED UPON CREDIT RECEIVED BY TERMINATION APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION EVENT THE FUND DATES (DEPRECIATION) ---------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Abitibi-Consolidated Co. of Canada $ 1,600,000 1.52 % 9/20/07 $ 6,599 Allied Waste North America, Inc. 630,000 2.00 9/20/09 17,131 Allied Waste North America, Inc. 990,000 2.00 9/20/09 26,920 Bombardier, Inc. 500,000 0.90 9/20/07 1,840 Eastman Kodak Co. 1,395,000 1.00 12/20/08 7,869 General Motors Acceptance Corp. 510,000 2.30 6/20/07 4,998 ---------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: ArvinMeritor Inc. 555,000 1.05 9/20/07 1,665 ArvinMeritor Inc. 460,000 1.10 9/20/07 1,555 ArvinMeritor Inc. 40,000 1.20 9/20/07 166 Bombardier, Inc. 560,000 1.00 9/20/07 2,977 Bombardier, Inc. 555,000 1.05 9/20/07 3,163 Ford Motor Co. 990,000 7.05 12/20/16 57,700 Ford Motor Co. 2,090,000 7.15 12/20/16 132,856 General Motors Corp. 1,035,000 5.80 12/20/16 81,585 General Motors Corp. 1,005,000 5.75 12/20/16 76,304 General Motors Acceptance Corp. 1,290,000 3.15 6/20/07 17,688 Hyundai Motor Manufacturing Alabama LLC 865,000 0.40 6/20/07 1,151 J.C. Penney Co., Inc. 1,990,000 0.61 6/20/13 (13,466) -------------- $ 428,701 ==============
ILLIQUID SECURITIES As of December 31, 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. 19 | OPPENHEIMER BALANCED FUND Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS DECEMBER 31, 2006 / UNAUDITED -------------------------------------------------------------------------------- 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 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 December 31, 2006, the Fund had on loan securities valued at $92,694,732, which are included in the Statement of Assets and Liabilities in the annual and semiannual reports as "Investments, at value" and, when applicable, as "Receivable for Investments sold." Collateral of $95,216,165 was received for the loans, of which $86,311,022 was received in cash and subsequently invested in approved investments or held as cash. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of December 31, 2006, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. 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 December 31, 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 $ 1,064,166,510 Federal tax cost of other investments (92,286,555) ----------------- Total federal tax cost $ 971,879,955 ================= Gross unrealized appreciation $ 140,318,921 Gross unrealized depreciation (12,979,884) ----------------- Net unrealized appreciation $ 127,339,037 ================= 20 | 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 December 31, 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: February 8, 2007 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: February 8, 2007 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: February 8, 2007