N-Q 1 p14666nvq.txt N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3864 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: 06/30/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares Value -------------- -------------- COMMON STOCKS--52.9% CONSUMER DISCRETIONARY--4.6% MEDIA--4.6% Cablevision Systems Corp. New York Group, Cl. A 430,510 $ 8,356,199 Cinemark Holdings, Inc. 4,600 52,072 Jupiter Telecommunications Co. Ltd. 8,540 6,489,106 Liberty Global, Inc., Series A(1) 286,457 4,551,802 Liberty Global, Inc., Series C(1) 190,619 3,013,686 National CineMedia, Inc. 88,803 1,221,929 -------------- 23,684,794 -------------- CONSUMER STAPLES--4.3% FOOD & STAPLES RETAILING--0.9% Kroger Co. (The) 195,000 4,299,750 FOOD PRODUCTS--1.4% Nestle SA 195,350 7,356,976 TOBACCO--2.0% Altria Group, Inc. 181,800 2,979,702 Lorillard, Inc. 110,980 7,521,115 -------------- 10,500,817 -------------- ENERGY--4.7% OIL, GAS & CONSUMABLE FUELS--4.7% Chevron Corp. 140,800 9,328,000 Exxon Mobil Corp. 213,980 14,959,342 -------------- 24,287,342 -------------- FINANCIALS--5.4% COMMERCIAL BANKS--1.6% Wells Fargo & Co. 344,200 8,350,292 DIVERSIFIED FINANCIAL SERVICES--1.1% JPMorgan Chase & Co. 170,900 5,829,399 INSURANCE--2.7% Assurant, Inc. 112,900 2,719,761 Everest Re Group Ltd. 153,360 10,975,965 -------------- 13,695,726 -------------- HEALTH CARE--7.2% BIOTECHNOLOGY--1.4% Amicus Therapeutics, Inc.(1) 210,270 2,407,592 Genzyme Corp. (General Division)(1) 29,100 1,619,997 Human Genome Sciences, Inc.(1) 539,000 1,541,540 Orexigen Therapeutics, Inc.(1) 334,030 1,713,574 -------------- 7,282,703 -------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.5% Beckman Coulter, Inc. 71,910 4,108,937 Covidien plc 101,700 3,807,648 -------------- 7,916,585 -------------- HEALTH CARE PROVIDERS & SERVICES--2.0% Aetna, Inc. 189,610 4,749,731
1 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares Value -------------- -------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED Medco Health Solutions, Inc.(1) 115,040 $ 5,246,974 -------------- 9,996,705 -------------- PHARMACEUTICALS--2.3% Abbott Laboratories 108,810 5,118,422 Wyeth 151,000 6,853,890 -------------- 11,972,312 -------------- INDUSTRIALS--2.6% AEROSPACE & DEFENSE--0.4% Orbital Sciences Corp.(1) 142,457 2,161,073 MACHINERY--1.7% Joy Global, Inc. 128,570 4,592,520 Navistar International Corp.(1) 101,190 4,411,884 -------------- 9,004,404 -------------- TRADING COMPANIES & DISTRIBUTORS--0.5% Aircastle Ltd. 340,400 2,501,940 INFORMATION TECHNOLOGY--21.8% COMMUNICATIONS EQUIPMENT--4.1% Nortel Networks Corp.(1) 1,478 64 QUALCOMM, Inc. 246,830 11,156,716 Research in Motion Ltd.(1) 142,980 10,158,729 -------------- 21,315,509 -------------- COMPUTERS & PERIPHERALS--1.2% Apple, Inc.(1) 42,900 6,110,247 INTERNET SOFTWARE & SERVICES--3.5% eBay, Inc.(1) 327,800 5,615,214 Google, Inc., Cl. A(1) 30,290 12,769,961 -------------- 18,385,175 -------------- SOFTWARE--13.0% Microsoft Corp. 740,180 17,594,079 Novell, Inc.(1) 760,190 3,443,661 Synopsys, Inc.(1) 255,320 4,981,293 Take-Two Interactive Software, Inc. 2,992,447 28,338,473 THQ, Inc.(1) 1,781,530 12,755,755 -------------- 67,113,261 -------------- MATERIALS--1.8% CHEMICALS--1.8% Lubrizol Corp. (The) 131,650 6,228,362 Potash Corp. of Saskatchewan, Inc. 33,000 3,070,650 -------------- 9,299,012 -------------- UTILITIES--0.5% ENERGY TRADERS--0.5% NRG Energy, Inc.(1) 112,850 2,929,586 -------------- Total Common Stocks (Cost $298,916,341) 273,993,608 PREFERRED STOCKS--3.3% Mylan, Inc., 6.50% Cv., Non-Vtg. 9,900 8,527,860
2 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares Value -------------- -------------- Schering-Plough Corp., 6% Cv. 39,000 $ 8,841,300 -------------- Total Preferred Stocks (Cost $11,877,265) 17,369,160 --------------
Principal Amount -------------- ASSET-BACKED SECURITIES--2.7% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.794%, 5/25/34(2) 1,500,534 864,804 Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 0.414%, 5/26/36(2) 314,618 289,802 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 250,000 258,695 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.414%, 5/16/36(2) 304,357 293,533 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 1,460,000 1,511,920 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 266,238 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 1.054%, 2/25/33(2) 31,485 13,505 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(2) 1,652,710 1,274,846 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(2) 355,620 259,403 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.434%, 6/25/47(2) 920,000 441,354 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.404%, 7/25/36(2) 1,161,834 1,058,371 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.424%, 7/7/36(2) 572,951 391,943 Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 165,000 165,137 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.575%, 1/20/35(2) 488,600 325,198 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.425%, 3/20/36(2) 340,000 295,375 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35(2) 21,793 21,655 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(3) 179,549 177,869 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.669%, 3/15/16(2) 2,900,000 2,202,263 Series 2005-A6, Cl. A6, 4.50%, 1/15/13 1,450,000 1,491,036 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.414%, 7/1/36(2) 1,453,763 950,976 RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.414%, 9/25/36(2) 885,608 769,027
3 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.354%, 9/25/36(2) $ 202,854 $ 194,975 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.414%, 7/25/36(2) 559,220 546,582 -------------- Total Asset-Backed Securities (Cost $17,691,909) 14,064,507 -------------- MORTGAGE-BACKED OBLIGATIONS--21.6% GOVERNMENT AGENCY--18.4% FHLMC/FNMA/SPONSORED--17.1% Federal Home Loan Mortgage Corp.: 4.50%, 5/15/18 152,321 158,027 5%, 8/15/33(4) 408,720 418,028 6%, 7/15/24 156,231 164,606 6%, 7/1/24(5) 290,000 306,630 7%, 10/1/37 4,490,394 4,834,061 8%, 4/1/16 30,365 32,545 9%, 8/1/22-5/1/25 8,925 9,867 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates: Series 3279, Cl. PH, 6%, 2/1/27 1,480,000 1,540,765 Series 3306, Cl. PA, 5.50%, 10/1/27 558,800 578,205 Series R001, Cl. AE, 4.375%, 4/1/15 433,047 444,669 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Mtg.-Backed Security, Series 3399, Cl. SC, 12.252%, 12/15/37(6) 3,733,933 324,364 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 3045, Cl. DI, 44.107%, 10/15/35(6) 4,193,465 351,531 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 23,871 25,838 Series 2006-11, Cl. PS, 23.416%, 3/25/36(2) 569,935 684,344 Series 2034, Cl. Z, 6.50%, 2/15/28 291,846 314,044 Series 2053, Cl. Z, 6.50%, 4/15/28 293,014 313,723 Series 2427, Cl. ZM, 6.50%, 3/15/32 1,081,850 1,155,973 Series 3025, Cl. SJ, 23.579%, 8/15/35(2) 119,690 143,772 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 12.837%, 6/1/26(6) 247,580 48,700 Series 183, Cl. IO, 10.29%, 4/1/27(6) 393,716 71,413 Series 184, Cl. IO, 17.265%, 12/1/26(6) 430,197 83,660 Series 192, Cl. IO, 10.839%, 2/1/28(6) 119,872 25,079 Series 200, Cl. IO, 10.215%, 1/1/29(6) 146,996 25,825 Series 202, Cl. IO, (1.583)%, 4/1/29(6) 1,332,373 214,086 Series 2130, Cl. SC, 48.74%, 3/15/29(6) 315,300 38,115 Series 224, Cl. IO, 1.677%, 3/1/33(6) 854,572 144,087 Series 243, Cl. 6, 1.711%, 12/15/32(6) 523,735 78,478 Series 2527, Cl. SG, 47.357%, 2/15/32(6) 336,359 21,024
4 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- FHLMC/FNMA/SPONSORED CONTINUED Series 2531, Cl. ST, 55.753%, 2/15/30(6) $ 413,485 $ 28,599 Series 2796, Cl. SD, 65.674%, 7/15/26(6) 468,797 54,383 Series 2802, Cl. AS, 99.999%, 4/15/33(6) 721,650 56,202 Series 2920, Cl. S, 77.023%, 1/15/35(6) 2,674,006 268,149 Series 3000, Cl. SE, 99.999%, 7/15/25(6) 2,668,270 226,467 Series 3110, Cl. SL, 99.999%, 2/15/26(6) 456,284 38,224 Series 3146, Cl. SA, 49.905%, 4/15/36(6) 3,364,895 362,836 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.689%, 6/1/26(7) 105,182 88,244 Series 192, Cl. PO, 6.883%, 2/1/28(7) 119,872 101,753 Federal National Mortgage Assn.: 4.50%, 7/1/24-7/1/39(5) 5,418,000 5,460,824 5%, 7/1/24-7/1/39(5) 10,392,000 10,615,599 5.50%, 7/1/24-7/1/39(5) 19,793,000 20,483,386 6%, 9/25/19-10/1/37 5,477,015 5,745,935 6%, 7/1/23-7/1/39(5) 11,239,000 11,830,859 6.50%, 7/1/37(5) 6,699,000 7,135,480 7%, 11/1/17 631,142 665,336 7.50%, 1/1/33 342,106 373,376 8.50%, 7/1/32 20,497 22,320 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-15, Cl. KZ, 7%, 2/25/22 13,988 14,106 Trust 1996-35, Cl. Z, 7%, 7/25/26 137,919 149,515 Trust 1998-61, Cl. PL, 6%, 11/25/28 457,502 489,167 Trust 2001-44, Cl. QC, 6%, 9/25/16 1,229,000 1,314,332 Trust 2003-130, Cl. CS, 13.473%, 12/25/33(2) 812,347 865,655 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 829,382 846,636 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 1,359,733 1,433,565 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 160,000 163,574 Trust 2006-46, Cl. SW, 23.049%, 6/25/36(2) 450,876 538,832 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 1,150,705 1,186,468 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2005-14, Cl. SE, 42.618%, 3/25/35(6) 665,631 59,260 Trust 2006-60, Cl. DI, 42.267%, 4/25/35(6) 450,116 39,095 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 1993-223, Cl. PM, 99.999%, 10/25/23(6) 4,593 75 Trust 2001-65, Cl. S, 52.225%, 11/25/31(4, 6) 1,200,157 129,870 Trust 2001-81, Cl. S, 37.291%, 1/25/32(6) 259,487 29,380 Trust 2002-38, Cl. SO, 58.174%, 4/25/32(6) 459,298 44,997 Trust 2002-47, Cl. NS, 35.91%, 4/25/32(6) 532,479 57,604 Trust 2002-51, Cl. S, 36.246%, 8/25/32(6) 488,934 52,170 Trust 2002-52, Cl. SD, 39.768%, 9/25/32(6) 565,736 59,609 Trust 2002-7, Cl. SK, 55.313%, 1/25/32(6) 21,551 2,469
5 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2002-77, Cl. BS, 45.141%, 12/18/32(6) $ 39,482 $ 4,094 Trust 2002-77, Cl. IS, 49.941%, 12/18/32(6) 782,507 84,316 Trust 2002-77, Cl. SH, 45.032%, 12/18/32(6) 355,985 42,965 Trust 2002-9, Cl. MS, 36.639%, 3/25/32(6) 367,156 40,960 Trust 2002-90, Cl. SN, 58.034%, 8/25/32(6) 34,352 3,061 Trust 2002-90, Cl. SY, 59.285%, 9/25/32(6) 16,297 1,416 Trust 2002-96, Cl. SK, 55.561%, 4/25/32(6) 3,269,356 359,165 Trust 2003-33, Cl. SP, 62.33%, 5/25/33(6) 1,332,743 142,716 Trust 2003-4, Cl. S, 50.554%, 2/25/33(6) 693,787 73,284 Trust 2003-46, Cl. IH, (8.63)%, 6/1/33(6, 8) 4,551,416 508,433 Trust 2003-89, Cl. XS, 66.925%, 11/25/32(6) 730,391 47,479 Trust 2004-54, Cl. DS, 51.701%, 11/25/30(6) 517,648 65,004 Trust 2005-40, Cl. SA, 76.40%, 5/25/35(6) 1,540,577 147,591 Trust 2005-6, Cl. SE, 89.161%, 2/25/35(6) 2,016,105 188,475 Trust 2005-71, Cl. SA, 75.048%, 8/25/25(6) 1,705,198 162,548 Trust 2005-87, Cl. SE, 49.35%, 10/25/35(6) 3,137,975 280,909 Trust 214, Cl. 2, 24.681%, 3/1/23(6) 668,654 122,624 Trust 222, Cl. 2, 15.851%, 6/1/23(6) 885,023 122,351 Trust 240, Cl. 2, 21.534%, 9/1/23(6) 1,412,491 193,865 Trust 247, Cl. 2, 19.335%, 10/1/23(6) 178,644 35,132 Trust 252, Cl. 2, 19.069%, 11/1/23(6) 677,145 127,976 Trust 273, Cl. 2, 14.514%, 8/1/26(6) 187,413 36,767 Trust 319, Cl. 2, 5.893%, 2/1/32(6) 263,187 46,389 Trust 331, Cl. 9, 15.477%, 2/1/33(6) 92,482 14,072 Trust 334, Cl. 17, 22.111%, 2/1/33(6) 445,126 53,551 Trust 334, Cl. 3, (15.137)%, 7/1/33(6) 235,889 28,877 Trust 339, Cl. 12, 3.909%, 7/1/33(6) 976,210 139,976 Trust 339, Cl. 7, (7.829)%, 7/1/33(6) 1,922,974 215,330 Trust 339, Cl. 8, (7.298)%, 8/1/33(6) 133,901 16,590 Trust 343, Cl. 13, 6.355%, 9/1/33(6) 799,802 126,425 Trust 343, Cl. 18, 3.918%, 5/1/34(6) 138,423 26,254 Trust 345, Cl. 9, 2.355%, 1/1/34(6) 1,284,557 225,092 Trust 351, Cl. 10, 3.464%, 4/1/34(6) 236,143 30,393 Trust 351, Cl. 11, (0.318)%, 11/1/34(6) 155,877 20,135 Trust 351, Cl. 8, 2.745%, 4/1/34(6) 474,962 64,529 Trust 355, Cl. 6, 4.166%, 12/1/33(6) 112,368 14,898 Trust 355, Cl. 7, 1.119%, 11/1/33(6) 85,210 11,701 Trust 356, Cl. 10, (2.058)%, 6/1/35(6) 412,747 50,685 Trust 356, Cl. 12, (3.812)%, 2/1/35(6) 211,200 25,462 Trust 362, Cl. 12, 1.293%, 8/1/35(6) 3,964,589 609,415 Trust 362, Cl. 13, (0.575)%, 8/1/35(6) 2,189,010 306,769 Trust 364, Cl. 16, 0.008%, 9/1/35(6) 993,579 152,672 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.924%, 9/25/23(7) 332,154 300,318 -------------- 88,856,474 --------------
6 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- GNMA/GUARANTEED--1.3% Government National Mortgage Assn.: 4.375%, 4/8/26(2) $ 15,503 $ 15,834 4.50%, 7/1/24(5) 5,440,000 5,431,503 7%, 1/29/24-4/29/26 159,694 173,995 7.50%, 5/29/27 538,905 591,134 8%, 5/30/17 24,011 26,313 8.50%, 8/1/17-12/15/17 14,090 15,263 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 77.784%, 1/16/27(6) 642,540 75,514 Series 2002-15, Cl. SM, 69.603%, 2/16/32(6) 534,051 69,628 Series 2002-76, Cl. SY, 71.16%, 12/16/26(6) 1,326,844 153,540 Series 2004-11, Cl. SM, 52.771%, 1/17/30(6) 433,078 53,365 -------------- 6,606,089 -------------- NON-AGENCY--3.2% COMMERCIAL--2.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 3,700,000 1,917,373 Bear Stearns Commercial Mortgage Securities Trust 2007-PW18, Commercial Mtg. Pass-Through Certificates, Series PW18, Cl. A2, 5.613%, 6/1/50 1,050,000 950,620 ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.414%, 9/25/36(2) 74,059 72,014 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.299%, 12/1/49(2) 1,700,000 917,275 Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 1,013,080 696,757 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 670,366 547,443 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 731,649 526,956 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 635,073 633,699 Series 2005-C4, Cl. AM, 5.513%, 11/1/45(2) 790,000 504,358 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 350,000 376,895 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 1,000,000 637,194 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 555,000 502,570 Series 2007-LD11, Cl. A2, 5.992%, 6/15/49(2) 640,000 590,989 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: Series 2006-C1, Cl. A2, 5.084%, 2/11/31 810,000 785,739
7 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- COMMERCIAL CONTINUED Series 2006-C1, Cl. AM, 5.217%, 2/11/31(2) $ 2,090,000 $ 1,318,224 Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 4.369%, 4/1/34(2) 667,912 588,451 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,148,005 879,634 Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 27,299 27,332 -------------- 12,473,523 MULTIFAMILY--0.3% Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.981%, 12/25/34(2) 691,360 616,431 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.581%, 9/25/34(2) 588,244 511,865 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/36(2) 753,675 512,444 -------------- 1,640,740 RESIDENTIAL--0.5% LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/45(2) 1,220,000 593,004 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 419,643 399,206 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 486,517 451,553 RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 53,442 52,045 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.478%, 9/25/33(2) 895,712 806,928 -------------- 2,302,736 -------------- Total Mortgage-Backed Obligations (Cost $116,106,846) 111,879,562 U.S. GOVERNMENT OBLIGATIONS--0.6% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 1,670,000 1,646,151 Federal National Mortgage Assn. Nts., 2.50%, 5/15/14 1,365,000 1,344,042 -------------- Total U.S. Government Obligations (Cost $3,029,588) 2,990,193 NON-CONVERTIBLE CORPORATE BONDS AND NOTES--8.2% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 615,000 706,182 American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 340,000 334,058 American Express Co., 8.125% Sr. Unsec. Nts., 5/20/19 221,000 229,727 American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 665,000 174,563 Analog Devices, Inc., 5% Sr. Unsec. Nts., 7/1/14 148,000 148,480 Anheuser-Busch InBev Worldwide, Inc.: 8% Sr. Nts., 11/15/39(9) 145,000 158,347
8 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- 8.20% Sr. Unsec. Unsub. Nts., 1/15/39(9) $ 545,000 $ 608,034 AT&T Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 795,000 769,862 Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 175,000 204,694 Axa SA, 6.379% Sub. Perpetual Bonds(9, 10) 565,000 362,478 BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(9) 375,000 384,098 Barclays Bank plc, 6.278% Perpetual Bonds(10) 290,000 156,856 Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 325,000 304,973 Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 423,000 412,173 8.50% Sr. Unsec. Nts., 6/15/19 330,000 345,645 Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09(3) 960,000 961,200 CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 275,000 288,151 CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 680,000 578,055 Citigroup, Inc.: 5.50% Unsec. Sub. Nts., 2/15/17 465,000 379,450 5.625% Unsec. Sub. Nts., 8/27/12 310,000 290,518 6.125% Sub. Nts., 8/25/36 410,000 305,822 8.30% Jr. Sub. Bonds, 12/21/57(2) 180,000 140,585 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 240,000 281,156 Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 435,000 512,146 ConAgra Foods, Inc., 7% Nts., 4/15/19 350,000 384,386 ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 150,000 159,990 Covidien International Finance SA, 6.55% Sr. Unsec. Unsub. Nts., 10/15/37 370,000 410,738 Credit Suisse New York, 6% Unsec. Sub. Nts., 2/15/18 460,000 459,994 CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 575,000 625,557 Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 380,000 386,792 Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 210,000 255,331 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(2) 367,000 386,077 Duke Energy Carolinas LLC, 6.10% Sr. Unsec. Unsub. Nts., 6/1/37 355,000 372,345 Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 430,000 450,877 Exelon Generation Co. LLC, 6.20% Sr. Nts., 10/1/17 225,000 224,286 Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 400,000 401,998 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 1,310,000 1,255,183 Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 420,000 392,091 General Electric Capital Corp.: 5.45% Sr. Unsec. Nts., Series A, 1/15/13 620,000 637,023 5.875% Unsec. Unsub. Nts., 1/14/38 295,000 233,882 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 691,000 558,394 Goldman Sachs Group, Inc. (The), 7.50% Sr. Unsec. Nts., 2/15/19 260,000 278,881 Home Depot, Inc. (The), 5.40% Sr. Nts., 3/1/16 265,000 264,943 Hospira, Inc., 6.40% Sr. Unsec. Unsub. Nts., 5/15/15 70,000 73,812
9 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(2) $ 940,000 $ 497,425 John Deere Capital Corp., 5.75% Sr. Nts., 9/10/18 350,000 357,760 JPMorgan Chase & Co.: 5.125% Unsec. Sub. Nts., 9/15/14 335,000 333,905 7.90% Perpetual Bonds, Series 1(10) 750,000 658,148 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 770,000 718,438 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 330,000 375,967 Kraft Foods, Inc., 6.875% Sr. Unsec. Unsub. Nts., 2/1/38 295,000 312,651 Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38(3, 11) 4,120,000 412 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 1,400,000 1,302,602 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(2) 345,000 247,322 Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 725,000 734,352 Morgan Stanley: 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 180,000 167,817 7.30% Sr. Unsec. Nts., 5/13/19 1,015,000 1,054,352 News America, Inc., 6.65% Sr. Unsec. Unsub. Nts., 11/15/37 365,000 328,911 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 375,000 345,145 Noble Energy, Inc., 8.25% Sr. Unsec. Nts., 3/1/19 410,000 467,270 Nokia Corp., 5.375% Sr. Unsec. Nts., 5/15/19 380,000 385,190 Oncor Electric Delivery Co.: 5.95% Sec. Bonds, 9/1/13 240,000 250,033 6.375% Sr. Sec. Nts., 1/15/15 280,000 293,227 Oracle Corp., 6.125% Sr. Unsec. Nts., 7/8/39(5) 490,000 484,806 Pacific Gas & Electric Co., 6.25% Sr. Unsec. Unsub. Nts., 3/1/39 250,000 267,817 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 215,000 194,172 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(9) 343,191 351,950 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 470,000 476,391 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 460,000 438,110 Pride International, Inc., 8.50% Sr. Nts., 6/15/19 435,000 431,738 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(9) 400,000 383,506 Prudential Insurance Co. of America, 8.30% Nts., 7/1/25(9) 460,000 418,695 R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 770,000 744,312 Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 73,000 79,674 Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 255,000 270,185 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 360,000 380,731 Schering-Plough Corp., 6% Sr. Unsec. Nts., 9/15/17 365,000 389,307 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 220,000 229,939 9.80% Sr. Unsec. Nts., 2/15/19 320,000 388,193 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 302,000 319,521 Target Corp., 7% Bonds, 1/15/38 295,000 315,027 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 755,000 762,955 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 360,000 379,899 Telus Corp., 8% Nts., 6/1/11 580,000 622,861 TEPPCO Partners LP, 6.125% Nts., 2/1/13 930,000 927,438 Time Warner Cable, Inc., 7.30% Sr. Nts., 7/1/38 145,000 151,366
10 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Principal Amount Value -------------- -------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 $ 545,000 $ 600,646 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 215,000 241,104 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 780,000 738,893 Union Pacific Corp.: 5.75% Sr. Unsec. Unsub. Nts., 11/15/17 215,000 217,082 6.125% Sr. Unsec. Nts., 2/15/20 405,000 420,763 United Health Group, Inc., 6% Sr. Unsec. Nts., 2/15/18 180,000 173,035 Vale Overseas Ltd.: 6.25% Nts., 1/23/17 295,000 298,877 6.875% Bonds, 11/21/36 455,000 433,888 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 75,000 71,650 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 620,000 608,307 Viacom, Inc.: 6.25% Sr. Unsec. Nts., 4/30/16 160,000 157,824 6.875% Sr. Unsec. Nts., 4/30/36 340,000 313,865 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 200,000 191,342 WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 370,000 379,502 Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 630,000 467,523 Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 310,000 312,317 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 395,000 350,371 6% Sr. Unsec. Unsub. Nts., 10/15/15 296,000 262,535 Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/37(5, 9) 510,000 407,366 XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 140,000 150,464 -------------- Total Non-Convertible Corporate Bonds and Notes (Cost $46,252,637) 42,286,707 --------------
11 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
Shares Value -------------- -------------- INVESTMENT COMPANIES--21.9% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(12, 13) 664 664 Oppenheimer Institutional Money Market Fund, Cl. E, 0.48%(12, 14) 113,555,825 113,555,825 -------------- Total Investment Companies (Cost $113,556,489) 113,556,489 -------------- TOTAL INVESTMENTS, AT VALUE (COST $607,431,075) 111.2% 576,140,226 -------------- Liabilities in Excess of Other Assets (11.2) (58,013,370) -------------- Net Assets 100.0% $ 518,126,856 ==============
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Represents the current interest rate for a variable or increasing rate security. (3.) Illiquid security. The aggregate value of illiquid securities as of June 30, 2009 was $1,139,481, which represents 0.22% of the Fund's net assets. See accompanying Notes. (4.) 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 $547,898. See accompanying Notes. (5.) When-issued security or delayed delivery to be delivered and settled after June 30, 2009. See accompanying Notes. (6.) 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 $8,258,144 or 1.59% of the Fund's net assets as of June 30, 2009. 12 | Oppenheimer Balanced Fund (7.) Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $490,315 or 0.09% of the Fund's net assets as of June 30, 2009. (8.) A sufficient amount of liquid assets has been designated to cover outstanding written put options. See accompanying Notes. (9.) 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 $3,074,474 or 0.59% of the Fund's net assets as of June 30, 2009. (10.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (11). Issue is in default. See accompanying Notes. (12.) Rate shown is the 7-day yield as of June 30, 2009. (13.) Interest rate is less than 0.0005%. (14.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended June 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES SEPTEMBER GROSS GROSS JUNE 30, 30, 2008 ADDITIONS REDUCTIONS 2009 ---------- ----------- ----------- ----------- OFI Liquid Assets Fund, LLC -- 1,380,000 1,380,000 -- Oppenheimer Institutional Money Market Fund, Cl. E 21,175,009 357,012,655 264,631,839 113,555,825
VALUE INCOME ------------ -------- OFI Liquid Assets Fund, LLC $ -- $ 678(a) Oppenheimer Institutional Money Market Fund, Cl. E 113,555,825 462,805 ------------ -------- $113,555,825 $463,483 ============ ========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. 13 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of June 30, 2009 based on valuation input level:
LEVEL 2-- LEVEL 1-- OTHER LEVEL 3-- UNADJUSTED SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS VALUE ------------ ------------ ------------ ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 23,684,794 $ -- $-- $ 23,684,794 Consumer Staples 22,157,543 -- -- 22,157,543 Energy 24,287,342 -- -- 24,287,342 Financials 27,875,417 -- -- 27,875,417 Health Care 37,168,305 -- -- 37,168,305 Industrials 13,667,417 -- -- 13,667,417 Information Technology 112,924,192 -- -- 112,924,192 Materials 9,299,012 -- -- 9,299,012 Utilities 2,929,586 -- -- 2,929,586 Preferred Stocks 8,527,860 8,841,300 -- 17,369,160 Asset-Backed Securities -- 14,064,507 -- 14,064,507 Mortgage-Backed Obligations -- 111,879,562 -- 111,879,562 U.S. Government Obligations -- 2,990,193 -- 2,990,193 Non-Convertible Corporate Bonds and Notes -- 42,286,707 -- 42,286,707 Investment Companies 113,556,489 -- -- 113,556,489 ------------ ------------ --- ------------ Total Investments, at Value 396,077,957 180,062,269 -- 576,140,226 OTHER FINANCIAL INSTRUMENTS: Swaps -- 690,022 -- 690,022 Futures 12,967 -- -- 12,967 ------------ ------------ --- ------------ Total Assets $396,090,924 $180,752,291 $-- $576,843,215 ============ ============ === ============ LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Swaps $ -- $ (106,066) $-- $ (106,066) Options written -- -- -- -- Futures (39,502) -- -- (39,502) ------------ ------------ --- ------------ Total Liabilities $ (39,502) $ (106,066) $-- $ (145,568) ============ ============ === ============
14 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FUTURES CONTRACTS AS OF JUNE 30, 2009 ARE AS FOLLOWS:
NUMBER OF EXPIRATION UNREALIZED CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE APPRECIATION -------------------- -------- --------- ---------- ------------ ----------- U.S. Treasury Long Bonds Buy 133 9/21/09 $ 15,741,797 $283,526 U.S. Treasury Nts., 2 yr. Sell 29 9/30/09 6,270,344 14,688 U.S. Treasury Nts., 5 yr. Sell 41 9/30/09 4,703,469 48,341 U.S. Treasury Nts., 10 yr. Buy 176 9/21/09 20,462,750 137,446 -------- $484,001 ========
WRITTEN OPTIONS AS OF JUNE 30, 2009 ARE AS FOLLOWS:
NUMBER OF EXERCISE EXPIRATION PREMIUMS DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE ----------- ---- --------- -------- ---------- -------- ----- Aetna, Inc. Put 1,080 $17.50 7/20/09 $229,062 $-- Electronic Arts, Inc. Put 1,081 12.50 9/21/09 158,906 -- -------- --- $387,968 $-- ======== ===
CREDIT DEFAULT SWAP CONTRACTS AS OF JUNE 30, 2009 ARE AS FOLLOWS: 15 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited
BUY/SELL NOTIONAL RECEIVE CREDIT AMOUNT FIXED TERMINATION SWAP REFERENCE ENTITY COUNTERPARTY PROTECTION (000S) RATE DATE VALUE --------------------- -------------------------------- ---------- -------- ------- ----------- --------- Inco Ltd.: Morgan Stanley Capital Services, Inc. Buy $1,055 0.70% 3/20/17 $ 20,634 Morgan Stanley Capital Services, Inc. Buy 1,065 0.63 3/20/17 25,769 ------ --------- Total 2,120 46,403 Merrill Lynch & Co., Inc.: Barclays Bank plc Sell 2,355 4.15 9/20/09 11,989 Credit Suisse International Sell 1,175 4.15 9/20/09 5,982 ------ --------- Total 3,530 17,971 Vale Overseas: Morgan Stanley Capital Services, Inc. Sell 1,055 1.17 3/20/17 (50,380) Morgan Stanley Capital Services, Inc. Sell 1,065 1.10 3/20/17 (55,686) ------ --------- Total 2,120 (106,066) --------- Grand Total Buys 46,403 Grand Total Sells (88,095) --------- Total Credit Default Swaps $ (41,692) =========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL PAYMENTS FOR REFERENCE SELLING CREDIT ASSET TYPE OF REFERENCE ASSET ON PROTECTION AMOUNT RATING WHICH THE FUND SOLD PROTECTION (UNDISCOUNTED) RECOVERABLE* RANGE** ------------------------------ -------------- ------------ --------- Investment Grade Single Name Corporate Debt $5,650,000 $-- A to BBB+
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. 16 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited INTEREST RATE SWAP CONTRACTS AS OF JUNE 30, 2009 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ----------------- -------- ------------- ----------- ----------- -------- USD BBA LIBOR Three-Month Deutsche Bank AG $3,920 USD BBA LIBOR 5.445% 8/8/17 $625,648
Abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate SWAP SUMMARY AS OF JUNE 30, 2009 IS AS FOLLOWS: The following table aggregates, as of period , the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
NOTIONAL AMOUNT SWAP COUNTERPARTY SWAP TYPE FROM FUND PERSPECTIVE (000'S) VALUE ----------------- ------------------------------- -------- ---------- Barclays Bank plc Credit Default Sell Protection $2,355 $ 11,989 Credit Suisse International Credit Default Sell Protection 1,175 5,982 Deutsche Bank AG Interest Rate 3,920 625,648 Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection 2,120 46,403 Credit Default Sell Protection 2,120 (106,066) --------- (59,663) --------- Total Swaps $ 583,956 =========
NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, FAIR VALUE MEASUREMENTS, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The 17 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. These securities are typically designated as Level 2. In the absence of a readily available unadjusted quoted market price, including for securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: 18 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Fair valued securities may be classified as "Level 3" if the Manager's own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of June 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS -------------- Purchased securities $69,641,891 Sold securities 8,194,246
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During 19 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of June 30, 2009, securities with an aggregate market value of $412, representing less than 0.005% of the Fund's net assets, were in default. CONCENTRATION OF RISKS. The Fund from time to time may have elements of concentration risk due to the value of certain securities held compared to the overall net investments value of the Fund. Such concentrations may subject the Fund to additional risks. 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 Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations 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 appreciation and depreciation on the translation of assets 20 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited and liabilities denominated in foreign currencies 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. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to 21 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these 22 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of June 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $690,022, which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $643,619 as of June 30, 2009. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of June 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $59,663. If a contingent feature would have been triggered as of June 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund 23 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional asscoiated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. 24 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. The Fund has written put options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the period ended June 30, 2009 was as follows:
PUT OPTIONS ---------------------- NUMBER OF AMOUNT OF CONTRACTS PREMIUMS --------- ----------- Options outstanding as of September 30, 2008 -- $ -- Options written 2,161 387,968 ----- -------- Options outstanding as of June 30, 2009 2,161 $387,968 ===== ========
SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. 25 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an 26 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer. The intent of a pairs trade is to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. 27 | Oppenheimer Balanced Fund Oppenheimer Balanced Fund STATEMENT OF INVESTMENTS June 30, 2009 / Unaudited The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. ILLIQUID SECURITIES As of June 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of June 30, 2009 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $612,259,731 Federal tax cost of other investments 24,358,766 ------------ Total federal tax cost $636,618,497 ============ Gross unrealized appreciation $ 41,820,440 Gross unrealized depreciation (76,484,020) ------------ Net unrealized depreciation $(34,663,580) ============
28 | Oppenheimer Balanced Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 06/30/2009, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Balanced Fund By: /s/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 08/11/2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 08/11/2009 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 08/11/2009