-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Mqt3SE5mmbkYYzthpLmkMsHDpEk2jX5wKLt+WHL6XNep5b6Ae/YHhpaAolif06qX dSdAs+NRhviOYKiKIAc2Iw== 0000950133-98-000057.txt : 19980112 0000950133-98-000057.hdr.sgml : 19980112 ACCESSION NUMBER: 0000950133-98-000057 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19971031 FILED AS OF DATE: 19980109 SROS: NYSE FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER MULTI SECTOR INCOME TRUST CENTRAL INDEX KEY: 0000829801 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 133448960 STATE OF INCORPORATION: MA FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05473 FILM NUMBER: 98503282 BUSINESS ADDRESS: STREET 1: TWO WORLD TRADE CENTER CITY: NEW YORK STATE: NY ZIP: 10048 BUSINESS PHONE: 2123230248 MAIL ADDRESS: STREET 1: MITCHELL HUTCHISN ASSET MANAGEMENT INC STREET 2: 1285 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10019 N-30D 1 OPPENHEIMER MULTI-SECTOR INCOME TRUST A/R 1 1997 Annual Report OPPENHEIMER Multi-Sector Income Trust October 31, 1997 [OPPENHEIMERFUNDS LOGO] THE RIGHT WAY TO INVEST 2 DEAR SHAREHOLDER: Oppenheimer Multi-Sector Income Trust maintained its overall positive returns for the past year, due to continued slower worldwide growth and generally favorable inflation trends around the globe. As of October 31, 1997, the Trust's one-year total return was 11.40%, at market value, and its dividend return was 8.20%.(1) The Trust's net asset value rose and the yield remained steady, although returns lagged our peer group because we took a defensive stance against interest rate exposure early in the year. After the Federal Reserve's slight rate increase in March 1997, which had a minor dampening effect on the markets, we repositioned our holdings to take advantage of higher returns. INVESTMENT BREAKDOWN: OPPENHEIMER MULTI-SECTOR INCOME TRUST AS OF 10/31/97:(4) 35.1% 23.5% 10.0% 9.7% 9.5% [PIE CHART] 5.5% 5.5% 1.2% - - U.S. corporate bonds & notes: 35.1% - - U.S. government obligations -- Agency: 23.5% - - Foreign government obligations: 10.0% - - Short-term securities: 9.7% - - U.S. government obligations -- Treasury: 9.5% - - Structured notes: 5.5% - - Foreign corporate bonds & notes: 5.5% - - Equity securities: 1.2% Over the year, three of the Trust's investment sectors -- U.S. government securities, lower-rated, high-yield domestic corporate bonds and foreign fixed-income securities -- benefited from advantageous conditions in most of the world's fixed-income markets. In spite of frequent bouts of short-term market volatility, the U.S. economy continued to provide moderate growth, inflation remained insignificant, and the economy continued to provide good investment opportunities. This low-inflationary growth environment was beneficial for the bond market, because when inflation is low, interest rates generally stay low and bond prices remain stable. As a result, the U.S. Treasury market rallied strongly. Another strong area was mortgage-backed securities, and the Trust was overweighted in this sector all year. Although mortgage rates declined, homeowner refinancings stayed surprisingly low. This helped keep volatility down and mortgage-backed security prices up.(2) About a third of the Trust's assets were in high-yield corporate bonds where we favored sectors that were demonstrating strong growth.(3) We particularly liked 1. Total return is based on the change in market value per share from 10/31/96 to 10/31/97, without deducting any sales charges or brokerage costs. Returns would have been lower if sales charges were deducted. Dividend return is determined by annualizing the October 1997 dividend of $0.07 and dividing by the closing market price on the New York Stock Exchange of $10.25 per share on 10/24/97 (payment date). Past performance does not guarantee future results. 2. Mortgage-backed securities involve risks from early prepayment of underlying mortgages that can affect the Fund's income and principal value. 3. Investors in high-yield bonds are subject to greater risk that the issuer will default in its principal or interest payments. 4. Portfolio composition is subject to change. Chart is based on total investments at market value. 3 telecommunications providers which generally contributed good, though volatile, high-yield returns. The break-up of monopolies, both in the United States and abroad, also benefited some new companies in the high-yield sector. The Trust's investments in foreign fixed-income securities delivered mixed performance. On the positive side, about 57% of our foreign bond holdings were in emerging markets, mainly Latin America and some Eastern European areas. Because many of the emerging market bonds are primarily U.S. dollar-denominated, they don't generally carry the usual foreign currency exchange risks. When emerging markets experience strong growth, as they did last year, their bonds generally perform well. (This is in contrast to developed market bonds which often sell off when growth is strong because of inflation fears.) The Trust's performance was not significantly impacted by the Southeast Asian currency crisis. On the other hand, bonds issued by developed countries were disappointing, primarily because the U.S. dollar was strong versus major European currencies. When the U.S. dollar is strong or rising compared to other currencies, generally those other currencies are weak or falling. Consequently, generally when the dollar rises, the value of investments--such as foreign bonds--denominated in non-U.S. currencies falls. To help control currency exchange rate risks, we partially hedged our European currency positions and diversified broadly. Of course, any foreign investment, especially emerging markets investment, entails greater expenses and risks, such as adverse market changes due to currency fluctuations. But by diversifying the portfolio by country and industry, we aim to help reduce those risks. However, generalized interest rate hikes worldwide could impair the environment. In early October, world markets experienced a series of interest-rate shocks, as several European countries modestly increased short-term rates. At the same time, Alan Greenspan, Chairman of the Federal Reserve, cautioned about U.S. job wage pressures and too-strong financial markets. His comments caused concerns in the markets; however, the markets seemed to recover quickly. As always, we appreciate the trust you have placed in OppenheimerFunds, The Right Way to Invest. We look forward to helping you meet your investment goals with Oppenheimer Multi-Sector Income Trust. Sincerely, [SIGNATURE] Bridget A. Macaskill President Oppenheimer Multi-Sector Income Trust November 21, 1997 4 `STATEMENT OF INVESTMENTS October 31, 1997 Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- U.S. GOVERNMENT SECTOR -- 10.4% TREASURY -- 10.3% U.S. Treasury Bonds: 11.875%, 11/15/03 . . . . . . . . . . . . . . . . . . . . . . . . . $ 2,130,000 $ 2,776,990 7.125%, 2/15/23(2) . . . . . . . . . . . . . . . . . . . . . . . . . 5,497,000 6,113,698 STRIPS, Zero Coupon, 6.85%, 2/15/19(3) . . . . . . . . . . . . . . . 11,000,000 2,908,015 U.S. Treasury Nts.: 6%, 8/15/00 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 800,000 806,750 6.125%, 8/31/98 . . . . . . . . . . . . . . . . . . . . . . . . . . 1,151,000 1,156,396 6.25%, 2/15/03 . . . . . . . . . . . . . . . . . . . . . . . . . . . 490,000 500,413 6.25%, 2/28/02(4) . . . . . . . . . . . . . . . . . . . . . . . . . 793,000 807,621 7%, 4/15/99(2) . . . . . . . . . . . . . . . . . . . . . . . . . . . 13,455,000 13,711,493 7.50%, 10/31/99 . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000 3,104,064 ----------- 31,885,440 -----------
Date Strike Contracts ------ ----------- ------------- CALL OPTIONS PURCHASED -- 0.1% U.S. Treasury, 30 yr. Futures, 12/97 Call Opt. . . . . . . . . . . . . . . . . . . . . . 11/97 $118 180 230,625 ----------- Total U.S. Government Sector (Cost $31,498,519) . . 32,116,065 -----------
Shares ------------- CONVERTIBLE SECTOR -- 1.4% PREFERRED STOCKS -- 0.9% American Radio Systems Corp., 11.375% Cum. Exchangeable Preferred . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,170 735,772 CGA Group Ltd., Preferred(5)(6) . . . . . . . . . . . . . . . . . . . 32,000 800,000 Crown American Realty Trust, 11% Cum. Non-Vtg. Preferred, Series A . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,000 217,000 Del Monte Foods Corp., 14% Preferred Stock(7) . . . . . . . . . . . . . 250 250,625 Intermedia Communications, Inc., 13.50% Exchangeable Preferred Stock, Series B(7) . . . . . . . . . . . . . . . . . . . . 500 591,250 Spanish Broadcasting Systems, Inc., 14.25% Cum. Sr. Exchangeable Preferred Stock, Non-Vtg.(7)(8) . . . . . . . . . . . . 175 185,938 ----------- 2,780,585 ----------- OTHER SECURITIES -- 0.4% SD Warren Co., 14% Cum. Exchangeable, Series B(5)(6) . . . . . . . . . 25,000 1,156,250 -----------
3 5 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Units See Note 1 ------------- ------------- RIGHTS, WARRANTS AND CERTIFICATES -- 0.1% American Communications Services, Inc. Wts., Exp. 11/05(6) . . . . . . 700 $ 59,500 American Telecasting, Inc. Wts., Exp. 6/99(6) . . . . . . . . . . . . . 4,750 47 Ames Department Stores, Inc., Litigation Trust(6) . . . . . . . . . . . 128,889 1,289 Becker Gaming, Inc. Wts., Exp. 11/00(6) . . . . . . . . . . . . . . . . 25,000 5,000 Cellular Communications International, Inc. Wts., Exp. 8/03(6) . . . . 2,500 42,500 CGA Group Ltd. Wts., Exp. 12/49(6) . . . . . . . . . . . . . . . . . . 32,000 16,000 Clearnet Communications, Inc. Wts., Exp. 9/05 . . . . . . . . . . . . . 330 2,310 Foamex LP/JPS Automotive Corp. Wts., Exp. 7/99(6) . . . . . . . . . . . 1,000 28,000 ICG Communications, Inc. Wts., Exp. 9/05(6) . . . . . . . . . . . . . . 4,125 61,875 In-Flight Phone Corp. Wts., Exp. 8/02 . . . . . . . . . . . . . . . . . 900 -- NEXTLINK Communications, Inc. Wts., Exp. 2/09(6) . . . . . . . . . . . 15,000 150 Orion Network Systems, Inc. Wts., Exp. 1/07 . . . . . . . . . . . . . . 975 12,188 Protection One, Inc. Wts., Exp. 6/05(6) . . . . . . . . . . . . . . . . 6,400 81,600 UNIFI Communications, Inc. Wts., Exp. 3/07(6) . . . . . . . . . . . . . 500 1,000 Wireless One, Inc. Wts., Exp. 10/00(6) . . . . . . . . . . . . . . . . 1,500 15 ----------- 311,474 ----------- Total Convertible Sector (Cost $3,382,149) . . . . . . . . . . . . . . 4,248,309 ----------- Shares ---------------- CORPORATE SECTOR -- 36.6% COMMON STOCKS -- 0.0% Capital Gaming International, Inc.(5) . . . . . . . . . . . . . . . . . 18 -- Optel, Inc.(5)(6) . . . . . . . . . . . . . . . . . . . . . . . . . . . 815 8 ----------- 8 ----------- Face Amount(1) ---------------- CORPORATE BONDS AND NOTES -- 36.6% BASIC INDUSTRY -- 2.3% Chemicals -- 1.1% ICO, Inc., 10.375% Sr. Nts., 6/1/07(8) . . . . . . . . . . . . . . . . $475,000 510,625 Laroche Industries, Inc., 9.50% Sr. Sub. Nts., 9/15/07(8) . . . . . . . 750,000 753,750 Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07(8) . . . . 600,000 597,000 Sovereign Specialty Chemicals, Inc., 9.50% Sr. Sub. Nts., 8/1/07(8) . . 600,000 612,000 Sterling Chemicals, Inc., 11.75% Sr. Unsec. Sub. Nts., 8/15/06 . . . . 600,000 667,500 ----------- 3,140,875 ----------- Containers -- 0.4% Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05(6) . . . . 750,000 813,750 U.S. Can Corp., 10.125% Sr. Sub. Nts., Series B, 10/15/06 . . . . . . . 250,000 265,000 ----------- 1,078,750 -----------
4 6
STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust Market Value Face Amount(1) See Note 1 --------------- ------------- Paper -- 0.1% Four M Corp., 12% Sr. Nts., Series B, 6/1/06(6) . . . . . . . . . . . . $ 300,000 $ 321,000 ----------- Steel -- 0.7% AK Steel Corp., 9.125% Sr. Nts., 12/15/06 . . . . . . . . . . . . . . . 700,000 731,500 Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 . . . . . . . . . 525,000 567,000 Keystone Consolidated Industries, Inc., 9.625% Sr. Nts., 8/1/07(8) . . 900,000 918,000 ----------- 2,216,500 ----------- CONSUMER RELATED -- 5.8% Consumer Products -- 0.4% Coleman Escrow Corp., Zero Coupon Sr. First Priority Disc. Nts., 10.71%, 5/15/01(3)(8) . . . . . . . . . . . . . . . . . . . . . . . 800,000 516,000 Dyersburg Corp., 9.75% Sr. Sub. Nts., 9/1/07(8) . . . . . . . . . . . . 500,000 512,500 Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts., 10.947%, 3/15/01(3) . . . . . . . . . . . . . . . . . . . . . . . . 455,000 311,675 ----------- 1,340,175 ----------- Food/Beverages/Tobacco -- 0.6% CFP Holdings, Inc., 11.625% Gtd. Sr. Nts., Series B, 1/15/04 . . . . . 600,000 579,000 International Home Foods, Inc., 10.375% Sr. Sub. Nts., 11/1/06 . . . . 500,000 532,500 Windy Hill Pet Food, Inc., 9.75% Sr. Sub. Nts., 5/15/07 . . . . . . . . 700,000 717,500 ----------- 1,829,000 ----------- Healthcare -- 0.7% Integrated Health Services, Inc.: 11% Sr. Sub. Nts., 4/30/06(12) . . . . . . . . . . . . . . . . . . . 15,000 15,900 9.50% Sr. Sub. Nts., 9/15/07(8) . . . . . . . . . . . . . . . . . . 1,200,000 1,245,000 Sun Healthcare Group, Inc., 9.50% Sr. Sub. Nts., 7/1/07(8) . . . . . . 800,000 812,000 ----------- 2,072,900 ----------- Hotel/Gaming -- 2.7% Arizona Charlie's, Inc., 12% First Mtg. Nts., Series B, 11/15/00(6)(9) 550,000 295,625 Capital Gaming International, Inc., Promissory Nts., 8/1/95(9) . . . . 5,500 -- Capitol Queen & Casino, Inc., 12% First Mtg. Nts., Series A, 11/15/00(6)(9) . . . . . . . . . . . . . . . . . . . . . . . . . . . 200,000 28,500 Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07(8) . . . . . . . . . . 875,000 884,844 Casino Magic of Louisiana Corp., 13% First Mtg. Nts., 8/15/03 . . . . . 750,000 716,250 Grand Casinos, Inc., 10.125% Gtd. First Mtg. Nts., 12/1/03 . . . . . . 250,000 265,625 HMH Properties, Inc., 9.50% Sr. Sec. Nts., Series B, 5/15/05 . . . . . 500,000 517,500 Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07(8) . . . . . . . . 1,000,000 1,025,000 Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts., Series B, 11/15/02 . . . . . . . . . . . . . . . . . . . . . . . . . 900,000 1,156,500
5 7 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Hotel/Gaming (Continued) Rio Hotel & Casino, Inc., 9.50% Gtd. Sr. Sub. Nts., 4/15/07 . . . . . . $ 500,000 $ 522,500 Showboat Marina Casino Partnership/Showboat Marina Finance Corp., 13.50% First Mtg. Nts., Series B, 3/15/03 . . . . . . 1,000,000 1,147,500 Signature Resorts, Inc., 9.75% Sr. Nts., 10/1/07(8) . . . . . . . . . . 530,000 537,950 Station Casinos, Inc., 10.125% Sr. Sub. Nts., 3/15/06 . . . . . . . . . 1,325,000 1,358,125 ----------- 8,455,919 ----------- Restaurants -- 0.1% Ameriking, Inc., 10.75% Sr. Nts., 12/1/06 . . . . . . . . . . . . . . . 230,000 244,375 ----------- Textile/Apparel -- 1.3% CMI Industries, Inc., 9.50% Sr. Sub. Nts., 10/1/03(6) . . . . . . . . . 575,000 563,500 Consoltex Group, Inc., 11% Gtd. Sr. Sub. Nts., Series B, 10/1/03(6) . . 500,000 527,500 Dan River, Inc., 10.125% Sr. Sub. Nts., 12/15/03 . . . . . . . . . . . 800,000 854,000 Tultex Corp., 9.625% Sr. Nts., 4/15/07 . . . . . . . . . . . . . . . . 700,000 722,750 WestPoint Stevens, Inc., 9.375% Sr. Sub. Debs., 12/15/05 . . . . . . . 750,000 791,250 William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 . . . . . 500,000 527,500 ----------- 3,986,500 ----------- ENERGY -- 3.2% Belden & Blake Corp., 9.875% Sr. Sub. Nts., 6/15/07(8) . . . . . . . . 1,310,000 1,342,750 Canadian Forest Oil Ltd., 8.75% Sr. Sub. Nts., 9/15/07(8) . . . . . . . 90,000 89,749 Chesapeake Energy Corp.: 12% Gtd. Sr. Exchangeable Nts., 3/1/01 . . . . . . . . . . . . . . . 1,000,000 1,080,000 9.125% Sr. Nts., 4/15/06 . . . . . . . . . . . . . . . . . . . . . . 700,000 724,500 Dailey International, Inc., 9.75% Gtd. Sr. Unsec. Nts., 8/15/07(8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 500,000 522,500 Forcenergy, Inc.: 8.50% Sr. Sub. Nts., Series B, 2/15/07 . . . . . . . . . . . . . . . 250,000 250,000 9.50% Sr. Sub. Nts., 11/1/06 . . . . . . . . . . . . . . . . . . . . 540,000 568,350 Gothic Energy Corp., Units (each unit consists of $1,000 principal amount of 0%/12.25% sr. disc. nts., 9/1/04 and 14 warrants to purchase one ordinary share)(8)(10)(11) . . . . . 725,000 772,125 J. Ray McDermott SA, 9.375% Sr. Sub. Bonds, 7/15/06 . . . . . . . . . . 275,000 292,875 Mesa Operating Co., 0%/11.625% Gtd. Sr. Sub. Disc. Nts., 7/1/06(11) . . 1,000,000 805,000 National Energy Group, Inc., 10.75% Sr. Nts., 11/1/06 . . . . . . . . . 100,000 104,000 Petroleum Heat & Power Co., Inc., 9.375% Sub. Debs., 2/1/06(6) . . . . 500,000 465,000 Pogo Producing Co., 8.75% Sub. Nts., 5/15/07 . . . . . . . . . . . . . 900,000 918,000 Statia Terminals International/Statia Terminals (Canada), Inc., 11.75% First Mtg. Nts., Series B, 11/15/03 . . . . . . . . . . . . . 200,000 213,000
6 8 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- ENERGY (CONTINUED) Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07(8) . . . . . . . . . . $1,400,000 $1,396,500 Wiser Oil Co., 9.50% Sr. Sub. Nts., 5/15/07 . . . . . . . . . . . . . . 385,000 385,000 ---------- 9,929,349 ---------- FINANCIAL SERVICES -- 2.6% Banks & Thrifts -- 0.4% First Nationwide Holdings, Inc., 10.625% Sr. Sub. Nts., 10/1/03 . . . . 530,000 585,650 Western Financial Bank, 8.875% Sub. Bonds, 8/1/07 . . . . . . . . . . . 725,000 728,335 ---------- 1,313,985 ---------- Diversified Financial -- 2.2% Americredit Corp., 9.25% Sr. Nts., 2/1/04 . . . . . . . . . . . . . . . 190,000 190,950 Amresco, Inc., 10% Sr. Sub. Nts., Series 97-A, 3/15/04 . . . . . . . . 400,000 420,000 Emergent Group, Inc., 10.75% Sr. Nts., 9/15/04(8) . . . . . . . . . . . 925,000 911,125 Saul (B.F.) Real Estate Investment Trust, 11.625% Sr. Sec. Nts., Series B, 4/1/02 . . . . . . . . . . . . . . . . . . . . . . . . . . 750,000 800,625 Shoshone Partners Loan Trust, 7.375% Sr. Nts., 5/31/02(6)(12) . . . . . 4,225,000 4,339,778 ---------- 6,662,478 ---------- HOUSING RELATED -- 0.9% Building Materials -- 0.4% Building Materials Corp. of America, 8.625% Sr. Nts., Series B, 12/15/06 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300,000 306,000 Nortek, Inc.: 9.125% Sr. Nts., 9/1/07(8) . . . . . . . . . . . . . . . . . . . . . 400,000 404,000 9.25% Sr. Nts., Series B, 3/15/07 . . . . . . . . . . . . . . . . . . 600,000 610,500 ---------- 1,320,500 ---------- Homebuilders/Real Estate -- 0.5% Continental Homes Holding Corp., 10% Gtd. Unsec. Bonds, 4/15/06 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,000 189,900 Hovnanian K. Enterprises, Inc., 11.25% Gtd. Sub. Nts., 4/15/02 . . . . 250,000 261,875 Standard Pacific Corp., 8.50% Sr. Nts., 6/15/07 . . . . . . . . . . . . 1,000,000 1,010,000 ---------- 1,461,775 ---------- MANUFACTURING -- 4.6% Aerospace -- 0.9% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05(6) . . . . . . . . 1,360,000 1,462,000 Amtran, Inc., 10.50% Sr. Nts., 8/1/04(8) . . . . . . . . . . . . . . . 900,000 911,250
7 9 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Aerospace (Continued) Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts., Cl. B, 6/15/04(6) . . . . . . . . . . . . . . . . . . . . . . . . . $ 490,315 $ 505,662 ---------- 2,878,912 ---------- Automotive -- 1.2% Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., 7/15/07(8) . . . . . 800,000 836,000 Collins & Aikman Products Co., 11.50% Gtd. Sr. Sub. Nts., 4/15/06 . . . 700,000 798,000 Hayes Wheels International, Inc., 9.125% Sr. Sub. Nts., 7/15/07 . . . . 600,000 618,000 Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07 . . . . . . 750,000 785,625 Oxford Automotive, Inc., 10.125% Sr. Sub. Nts., 6/15/07(8) . . . . . . 500,000 525,000 ---------- 3,562,625 ---------- Capital Goods -- 2.5% Burke Industries, Inc., 10% Sr. Nts., 8/15/07(8) . . . . . . . . . . . 700,000 728,000 Clark-Schwebel, Inc.: 10.50% Sr. Nts., 4/15/06 . . . . . . . . . . . . . . . . . . . . . . 250,000 271,250 12.50% Debs., 7/15/07(7)(8) . . . . . . . . . . . . . . . . . . . . 689,910 762,351 Farley, Inc., Zero Coupon Sub. Debs., 14.146%, 12/30/12(3)(6) . . . . . 198,000 24,930 Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07(8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 950,000 985,625 Insilco Corp., 10.25% Sr. Sub. Nts., 8/15/07(8) . . . . . . . . . . . . 800,000 840,000 International Wire Group, Inc., 11.75% Sr. Sub. Nts., Series B, 6/1/05(8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 700,000 768,250 Mettler Toledo, Inc., 9.75% Gtd. Sr. Sub. Nts., 10/1/06 . . . . . . . . 1,000,000 1,130,000 Roller Bearing Co. (America), 9.625% Sr. Sub. Nts., 6/15/07(6) . . . . 500,000 505,000 Synthetic Industries, Inc., 9.25% Sr. Sub. Nts., 2/15/07 . . . . . . . 250,000 256,250 Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 . . . . . 900,000 936,000 Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03(6) . . . . . . . . . 525,000 539,437 ---------- 7,747,093 ---------- MEDIA -- 5.4% Broadcasting -- 1.9% Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07 . . . 900,000 909,000 Chancellor Radio Broadcasting Co., 8.75% Sr. Sub. Nts., 6/15/07(8) . . 700,000 707,000 Jacor Communications Co.: 8.75% Gtd. Sr. Sub. Nts., 6/15/07(8) . . . . . . . . . . . . . . . . 465,000 467,325 9.75% Gtd. Unsec. Sr. Sub. Nts., 12/15/06 . . . . . . . . . . . . . . 250,000 267,500 Radio One, Inc., 7% Sr. Sub. Nts., 5/15/04(8)(13) . . . . . . . . . . . 700,000 675,500 SFX Broadcasting, Inc., 10.75% Sr. Sub. Nts., Series B, 5/15/06 . . . . 800,000 876,000 Sinclair Broadcast Group, Inc., 10% Sr. Sub. Nts., 9/30/05 . . . . . . 700,000 736,750
8 10 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Broadcasting (Continued) Spanish Broadcasting Systems, Inc., 11% Sr. Nts., 3/15/04 . . . . . . . $ 475,000 $ 515,375 Young Broadcasting, Inc., 9% Sr. Sub. Nts., Series B, 1/15/06 . . . . . 500,000 496,250 ---------- 5,650,700 ---------- Cable Television -- 1.9% Adelphia Communications Corp.: 9.25% Sr. Nts., 10/1/02(8) . . . . . . . . . . . . . . . . . . . . . 800,000 796,000 9.875% Sr. Nts., Series B, 3/1/07 . . . . . . . . . . . . . . . . . . 800,000 824,000 Cablevision Systems Corp., 9.875% Sr. Sub. Nts., 5/15/06 . . . . . . . 1,000,000 1,070,000 EchoStar DBS Corp., 12.50% Gtd. Nts., 7/1/02(8) . . . . . . . . . . . . 500,000 533,750 EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec. Disc. Nts., 3/15/04(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 750,000 596,250 FrontierVision Holdings LP, 0%/11.875% Sr. Disc. Nts., 9/15/07(8)(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . 485,000 333,437 Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts., Series B, 11/1/03(12) . . . . . . . . . . . . . . . . . . . . . . . . 250,000 265,000 Marcus Cable Operating Co. LP/Marcus Cable Capital Corp., 0%/13.50% Gtd. Sr. Sub. Disc. Nts., Series II, 8/1/04(11) . . . . . . 750,000 678,750 Optel, Inc., 13% Sr. Nts., Series B, 2/15/05 . . . . . . . . . . . . . 440,000 455,400 TCI Satellite Entertainment, Inc., 10.875% Sr. Sub. Nts., 2/15/07(8) . 390,000 403,650 ---------- 5,956,237 ---------- Diversified Media -- 1.2% Hollywood Theaters, Inc., 10.625% Sr. Sub. Nts., 8/1/07(8) . . . . . . 475,000 501,125 ITT Publimedia BV, 9.375% Sr. Sub. Nts., 9/15/07(8) . . . . . . . . . . 570,000 584,250 Katz Media Corp., 10.50% Sr. Sub. Nts., Series B, 1/15/07 . . . . . . . 735,000 810,338 Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07(8) . . . . . . . . 875,000 883,750 Outdoor Systems, Inc., 8.875% Sr. Sub. Nts., 6/15/07 . . . . . . . . . 500,000 513,750 Universal Outdoor, Inc., 9.75% Sr. Sub. Nts., 10/15/06 . . . . . . . . 500,000 557,500 ---------- 3,850,713 ---------- Publishing/Printing -- 0.4% Hollinger International Publishing, Inc.: 9.25% Gtd. Sr. Sub. Nts., 2/1/06 . . . . . . . . . . . . . . . . . . 500,000 516,250 9.25% Gtd. Sr. Sub. Nts., 3/15/07 . . . . . . . . . . . . . . . . . . 500,000 517,500 ---------- 1,033,750 ---------- OTHER -- 1.3% Conglomerates -- 0.1% Maxxam Group, Inc., 0%/12.25% Sr. Sec. Disc. Nts., 8/1/03(11) . . . . . 250,000 243,438 ----------
9 11 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Environmental -- 0.2% Allied Waste Industries, Inc., 0%/11.30% Sr. Disc. Nts., 6/1/07(8)(11) $ 500,000 $ 340,000 Allied Waste North America, Inc., 10.25% Sr. Sub. Nts., 12/1/06 . . . . 200,000 216,500 ---------- 556,500 ---------- Services -- 1.0% Borg-Warner Security Corp., 9.625% Sr. Sub. Nts., 3/15/07 . . . . . . . 700,000 724,500 Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(6)(11) . . . . . . . . . 500,000 395,000 Energy Corp. of America, 9.50% Sr. Sub. Nts., Series A, 5/15/07 . . . . 440,000 442,200 Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 . . . . 500,000 493,750 Protection One Alarm Monitoring, Inc., 0%/13.625% Sr. Disc. Nts., 6/30/05(11) . . . . . . . . . . . . . . . . . . . . . . . . . 1,100,000 1,171,500 ---------- 3,226,950 ---------- RETAIL -- 1.3% Specialty Retailing -- 0.5% Eye Care Centers of America, Inc., 12% Sr. Nts., 10/1/03 . . . . . . . 165,000 179,850 Finlay Fine Jewelry Corp., 10.625% Sr. Nts., 5/1/03(6) . . . . . . . . 250,000 263,750 Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07(6) . . . . . . . . . 775,000 763,375 Specialty Retailers, Inc., 9% Gtd. Sr. Sub. Nts., 7/15/07 . . . . . . . 400,000 408,000 ---------- 1,614,975 ---------- Supermarkets -- 0.8% Fleming Cos., Inc., 10.625% Sr. Sub. Nts., 7/31/07(8) . . . . . . . . . 1,000,000 1,060,000 Randall's Food Markets, Inc., 9.375% Sr. Sub. Nts., 7/1/07(8) . . . . . 850,000 845,750 Stater Brothers Holdings, Inc., 9% Sr. Sub. Nts., 7/1/04(8) . . . . . . 700,000 705,250 ---------- 2,611,000 ---------- TECHNOLOGY -- 7.3% Information Technology -- 4.2% CellNet Data Systems, Inc., 0%/13% Sr. Disc. Nts., 6/15/05(6)(11) . . . 400,000 276,000 Cellular Communications International, Inc., Zero Coupon Sr. Disc. Nts., 11.467%, 8/15/00(3) . . . . . . . . . . . . . . . . . 1,000,000 795,000 Cellular, Inc., 0%/11.75% Sr. Sub. Disc. Nts., 9/1/03(11) . . . . . . . 1,250,000 1,237,500 DII Group, Inc., 8.50% Sr. Sub. Nts., 9/15/07(8) . . . . . . . . . . . 465,000 460,931 Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 . . . . . . . . . . . . . . 600,000 609,000 Globalstar LP/Globalstar Capital Corp., 11.25% Sr. Nts., 6/15/04 . . . 500,000 490,000 Microcell Telecommunications, Inc., 0%/14% Sr. Disc. Nts., Series B, 6/1/06(11) . . . . . . . . . . . . . . . . . . . . . . . . 900,000 603,000 Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 775,000 587,063 Nextel Communications, Inc., 0%/9.75% Sr. Disc. Nts., 10/31/07(8)(11) . . . . . . . . . . . . . . . . . . . . . . . . . . 2,050,000 1,142,875
10 12 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Information Technology (Continued) Omnipoint Corp.: 11.625% Sr. Nts., 8/15/06 . . . . . . . . . . . . . . . . . . . . . $ 290,000 $ 300,150 11.625% Sr. Nts., Series A, 8/15/06 . . . . . . . . . . . . . . . . . 1,150,000 1,190,250 Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 975,000 721,500 Pierce Leahy Corp., 11.125% Sr. Sub. Nts., 7/15/06 . . . . . . . . . . 664,000 753,640 Price Communications Cellular Holdings, Inc., Units (each unit consists of $1,000 principal amount of 0%/13.50% sr. sec. disc. nts., 8/1/07 and 3.44 warrants to purchase one ordinary share)(8)(10)(11) . . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000 595,000 Sprint Spectrum LP/Sprint Spectrum Finance Corp.: 0%/12.50% Sr. Disc. Nts., 8/15/06(11) . . . . . . . . . . . . . . . . 500,000 380,000 11% Sr. Nts., 8/15/06 . . . . . . . . . . . . . . . . . . . . . . . 500,000 553,750 Teletrac, Inc., Units (each unit consists of $1,000 principal amount of 14% sr. nts., 8/1/07 and one warrant to buy .537495 ordinary shares)(6)(10) . . . . . . . . . . . . . . . . . . 375,000 380,625 Tracor, Inc., 8.50% Sr. Sub. Nts., 3/1/07 . . . . . . . . . . . . . . . 750,000 766,875 Unisys Corp., 11.75% Sr. Nts., 10/15/04 . . . . . . . . . . . . . . . . 500,000 567,500 Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07(8) . . . . . . . . . . . 800,000 820,000 ----------- 13,230,659 ----------- Telecommunications/Technology -- 3.1% American Communications Services, Inc., 13.75% Sr. Nts., 7/15/07(8) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 470,000 528,750 BTI Telecom Corp., 10.50% Sr. Nts., 9/15/07(8) . . . . . . . . . . . . 470,000 470,000 GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(11) . . . . . . 1,000,000 715,000 ICG Holdings, Inc.: 0%/12.50% Gtd. Sr. Sec. Disc. Nts., 5/1/06(11) . . . . . . . . . . . 900,000 664,875 0%/13.50% Sr. Disc. Nts., 9/15/05(11) . . . . . . . . . . . . . . . . 475,000 379,406 Intermedia Communications, Inc.: 0%/11.25% Sr. Disc. Nts., 7/15/07(11) . . . . . . . . . . . . . . . . 800,000 532,000 8.875% Sr. Nts., 11/1/07(8) . . . . . . . . . . . . . . . . . . . . 225,000 221,625 IXC Communications, Inc., 12.50% Sr. Nts., Series B, 10/1/05 . . . . . 350,000 399,000 McLeodUSA, Inc.: 0%/10.50% Sr. Disc. Nts., 3/1/07(11) . . . . . . . . . . . . . . . . 500,000 347,500 9.25% Sr. Nts., 7/15/07(8) . . . . . . . . . . . . . . . . . . . . . 200,000 205,000 MGC Communications, Inc., Units (each unit consists of $1,000 principal amount of 13% sr. sec. nts., 10/1/04 and one warrant to purchase 8.07 shares of common stock at $0.01 per share)(8)(10) . . . 885,000 876,150 NEXTLINK Communications, Inc., 9.625% Sr. Nts., 10/1/07 . . . . . . . . 750,000 753,750 NTL, Inc., 10% Sr. Nts., 2/15/07 . . . . . . . . . . . . . . . . . . . 250,000 258,750
11 13 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Telecommunications/Technology (Continued) Qwest Communications International, Inc., 0%/9.47% Sr. Disc. Nts., 10/15/07(8)(11) . . . . . . . . . . . . . . . . . . . . . . . . . . $ 1,600,000 $ 1,032,000 Teleport Communications Group, Inc., 0%/11.125% Sr. Disc. Nts., 7/1/07(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,000,000 1,577,500 UNIFI Communications, Inc., 14% Sr. Nts., 3/1/04 . . . . . . . . . . . 500,000 472,500 ------------- 9,433,806 ------------- TRANSPORTATION -- 1.2% Railroads -- 0.4% Transtar Holdings LP/Transtar Capital Corp., 0%/13.375% Sr. Disc. Nts., Series B, 12/15/03(11) . . . . . . . . . . . . . . . . . . . . 1,500,000 1,286,250 ------------- Shipping -- 0.5% Navigator Gas Transport plc: 10.50% First Priority Ship Mtg. Nts., 6/30/07(8) . . . . . . . . . . 1,250,000 1,343,750 Units (each unit consists of $1,000 principal amount of 12% second priority ship mtg. nts., 6/30/07 and 7.66 warrants)(8)(10) . . . . . . . . . . . . . . . . . . . . . . . . . 250,000 276,250 ------------- 1,620,000 ------------- Trucking -- 0.3% Coach USA, Inc., 9.375% Gtd. Sr. Sub. Nts., 7/1/07(8) . . . . . . . . . 925,000 938,875 ------------- UTILITIES -- 0.7% Electric Utilities -- 0.7% AES Corp., 8.375% Sr. Sub. Nts., 8/15/07 . . . . . . . . . . . . . . . 480,000 470,400 Calpine Corp., 10.50% Sr. Nts., 5/15/06(6) . . . . . . . . . . . . . . 700,000 759,500 El Paso Electric Co., 9.40% First Mtg. Bonds, Series E, 5/1/11 . . . . 800,000 888,000 ------------- 2,117,900 ------------- 112,934,464 ------------- Total Corporate Sector ($112,337,203) . . . . . . . . . . . . . . . . . 112,934,472 ------------- INTERNATIONAL SECTOR -- 25.2% CORPORATE BONDS AND NOTES -- 7.6% BASIC INDUSTRY -- 0.9% Metals/Mining -- 0.0% Royal Oak Mines, Inc., 11% Sr. Sub. Nts., Series B, 8/15/06 . . . . . . 35,000 30,975 -------------
12 14 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Paper -- 0.6% Ainsworth Lumber Ltd., 12.50% Sr. Sec. Nts., 7/15/07(7)(8) . . . . . . $ 410,000 $ 416,150 APP International Finance Co. BV, 11.75% Gtd. Sec. Nts., 10/1/05 . . . 450,000 451,125 Indah Kiat International Finance Co. BV, 11.875% Gtd. Sr. Sec. Nts., 6/15/02 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 273,000 279,825 Pindo Deli Finance Mauritius Ltd., 10.75% Gtd. Nts., 10/1/07(6) . . . . 455,000 423,150 Tjiwi Kimia International Finance Co. BV, 13.25% Gtd. Sr. Nts., 8/1/01 355,000 370,620 ---------- 1,940,870 ---------- Steel -- 0.3% Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 . . . . . . . . . 700,000 808,500 ---------- CONSUMER RELATED -- 0.3% Textile/Apparel -- 0.3% Polysindo International Finance Co. BV, 11.375% Gtd. Sec. Nts., 6/15/06 250,000 255,625 PT Polysindo Eka Perkasa, Zero Coupon Promissory Nts., 30.945%, 3/16/98(3)(IDR) . . . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000,000 739,863 ---------- 995,488 FINANCIAL SERVICES -- 1.0% Banks & Thrifts -- 0.2% Banco de Colombia, 5.20% Cv. Jr. Unsec. Sub. Nts., 2/1/99 . . . . . . . 550,000 576,125 ---------- Diversified Financial -- 0.5% Bakrie Investindo, Zero Coupon Promissory Nts., 17.246%, 3/16/98(3)(IDR) . . . . . . . . . . . . . . . . . . . . . . . . . . 3,160,000,000 768,725 Pycsa Panama SA, 10.28% Sr. Sec. Bonds, 12/15/12(6) . . . . . . . . . . 875,000 813,750 ---------- 1,582,475 ---------- Insurance -- 0.3% Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 . . . . . . . . . . . 1,000,000 1,040,000 ---------- HOUSING RELATED -- 0.3% Homebuilders/Real Estate -- 0.3% International de Ceramica SA, 9.75% Gtd. Unsec. Unsub. Nts., 8/1/02(6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 970,000 911,800 ---------- MEDIA -- 1.6% Broadcasting -- 0.1% Conecel Holdings Ltd., Units (each unit consists of $1,000 principal amount of 14% sec. nts., 10/1/00 and one warrant to buy class B common stock)(6)(10) . . . . . . . . . . . . . . . . . . . . . . . . 355,000 358,550 ----------
13 15 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Cable Television -- 0.2% Rogers Communications, Inc., 8.875% Sr. Nts., 7/15/07 . . . . . . . . . $ 675,000 $ 669,937 ---------- Diversified Media -- 0.8% ITT Promedia CVA, 9.125% Sr. Sub. Nts., 9/15/07(8)(DEM) . . . . . . . . 4,000,000 2,358,885 ---------- Entertainment/Film -- 0.3% Imax Corp., 10% Sr. Nts., 3/1/01 . . . . . . . . . . . . . . . . . . . 1,000,000 1,055,000 ---------- Publishing/Printing -- 0.2% Sun Media Corp., 9.50% Sr. Sub. Nts., 2/15/07 . . . . . . . . . . . . . 645,000 683,700 ---------- OTHER -- 0.2% Conglomerates -- 0.2% Mechala Group Jamaica Ltd.: 12% Bonds, 2/15/02(6) . . . . . . . . . . . . . . . . . . . . . . . 200,000 194,000 12.75% Bonds, 12/30/99 . . . . . . . . . . . . . . . . . . . . . . . 600,000 570,000 ---------- 764,000 ---------- TECHNOLOGY -- 2.3% Information Technology -- 1.1% Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 615,000 473,550 Comunicacion Celular SA, 0%/13.125% Sr. Deferred Coupon Bonds, 11/15/03(11) . . . . . . . . . . . . . . . . . . . . . . . . 1,875,000 1,415,625 Consorcio Ecuatoriano: 14% Nts., 5/1/02(6) . . . . . . . . . . . . . . . . . . . . . . . . 630,000 642,600 14% Nts., 5/1/02 . . . . . . . . . . . . . . . . . . . . . . . . . . 185,000 188,700 Microcell Telecommunications, Inc., 0%/11.125% Sr. Disc. Nts., 10/15/07(8)(11)(CAD) . . . . . . . . . . . . . . . . . . . . . . . 1,810,000 712,969 ---------- 3,433,444 ---------- Telecommunications/Technology -- 1.2% Call-Net Enterprises, Inc., 0%/9.27% Sr. Disc. Nts., 8/15/07(11) . . . 825,000 548,625 Colt Telecom Group plc, Units (each unit consists of $1,000 principal amount of 0%/12% sr. disc. nts., 12/15/06 and one warrant to purchase 7.8 ordinary shares)(10)(11) . . . . . . . . . . 900,000 679,500 Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts., 12/15/05(11) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,500,000 1,856,250 Telewest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(11) . . . 1,000,000 745,000 ---------- 3,829,375 ----------
14 16 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- TRANSPORTATION -- 0.4% Trucking -- 0.4% Road King Infrastructure Finance (1997) Ltd., 9.50% Gtd. Unsec. Unsub. Bonds, 7/15/07(6) . . . . . . . . . . . . . . . . . . . . . . $1,200,000 $ 1,119,000 ----------- UTILITIES -- 1.1% Electric Utilities -- 1.0% Panda Global Energy Co., 12.50% Sr. Nts., 4/15/04(6) . . . . . . . . . 900,000 868,500 ----------- Gas Utilities -- 0.1% CE Casecnan Water & Energy, Inc., 11.45% Sr. Nts., Series A, 11/15/05 . 300,000 312,750 ----------- 23,339,374 ----------- FOREIGN GOVERNMENT OBLIGATIONS -- 11.2% Argentina -- 0.2% Banco Hipotecario Nacional (Argentina) Medium-Term Nts., 10.625%, 8/7/06(14) . . . . . . . . . . . . . . . . . . . . . . . . 700,000 714,000 ----------- Australia -- 0.4% Queensland Treasury Corp. Exchangeable Gtd. Nts.: 8%, 5/14/03 (AUD) . . . . . . . . . . . . . . . . . . . . . . . . . 210,000 163,127 8%, 8/14/01 (AUD) . . . . . . . . . . . . . . . . . . . . . . . . . 95,000 72,297 Treasury Corp. of Victoria Gtd. Bonds, 8.25%, 10/15/03 (AUD) . . . . . 1,220,000 957,846 ----------- 1,193,270 ----------- Canada -- 0.2% Canada (Government of) Bonds, 5.50%, 9/1/02 (CAD) . . . . . . . . . . . 920,000 667,782 ----------- Cayman Islands -- 0.4% Pera Financial Services Sec. Nts., 9.375%, 10/15/02(8) . . . . . . . . 1,270,000 1,189,037 ----------- Colombia -- 0.2% Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 . . . . . . 200,000 184,248 Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 . . . . . . . . 300,000 302,812 ----------- 487,060 ----------- Germany -- 1.2% Germany (Republic of) Bonds: 6.50%, 7/15/03 (DEM) . . . . . . . . . . . . . . . . . . . . . . . . 2,300,000 1,420,769 Series 123, 4.50%, 5/17/02 (DEM) . . . . . . . . . . . . . . . . . . 3,185,000 1,822,007 Series JA07, Zero Coupon, 4.255%, 1/4/01(3) (DEM) . . . . . . . . . . 470,000 235,986 Series JA07, Zero Coupon, 5.747%, 1/4/07(3) (DEM) . . . . . . . . . . 95,000 33,262 Series JL07, Zero Coupon, 5.66%, 7/4/07(3) (DEM) . . . . . . . . . . 510,000 172,738 ----------- 3,684,762 -----------
15 17 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Great Britain -- 1.0% United Kingdom Treasury Nts: 13%, 7/14/00 (GBP) . . . . . . . . . . . . . . . . . . . . . . . . . 315,000 $ 605,972 8%, 6/10/03 (GBP) . . . . . . . . . . . . . . . . . . . . . . . . . 1,360,000 2,420,272 ---------- 3,026,244 ---------- Italy -- 1.0% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 12%, 1/1/02 (ITL) . . . . . . . . . . . . . . . . . . . . . . . . . 4,210,000,000 3,045,627 ---------- Ivory Coast -- 0.2% Ivory Coast (Government of) Past Due Interest Bonds, 12/29/49(13)(15) . . . . . . . . . . . . . . . . . . . . . . . . . . 1,770,000 652,687 ---------- Jordan -- 0.7% Hashemite (Kingdom of Jordan) Bonds, Series DEF, 4%, 12/23/23(13) . . . 1,250,000 800,000 Hashemite (Kingdom of Jordan) Disc. Bonds, 6.75%, 12/23/23(12) . . . . 1,750,000 1,421,875 ---------- 2,221,875 ---------- Mexico -- 0.2% Petroleos Mexicanos Debs., 14.50%, 3/31/06 . . . . . . . . . . . . . . 280,000 605,697 ---------- Moldova -- 0.2% Moldova (Republic of) Sr. Unsub. Nts., 8.465%, 12/10/99(12) . . . . . . 550,000 550,344 ---------- New Zealand -- 0.9% National Bank of New Zealand, New Zealand Dollar Bank Bill, Zero Coupon, 7.594%, 12/10/97(3)(16) (NZD) . . . . . . . . . . . . . 3,885,000 2,403,870 New Zealand (Government of) Bonds, 8%, 11/15/06 (NZD) . . . . . . . . . 630,000 431,889 ---------- 2,835,759 ---------- Norway -- 0.4% Norway (Government of) Bonds, 9.50%, 10/31/02 (NOK) . . . . . . . . . . 6,330,000 1,065,610 ---------- Pakistan -- 0.4% Pakistan (Republic of) Debs., 11.50%, 12/22/99 . . . . . . . . . . . . 64,000 66,880 Pakistan (Republic of) Bonds, 9.946%, 5/30/00(12) . . . . . . . . . . . 1,090,000 1,106,350 ---------- 1,173,230 ---------- Peru -- 0.3% . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Peru (Republic of) Front-Loaded Interest Reduction Bonds, 3.25%, 3/7/17(13) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,760,000 893,200 ---------- Romania -- 0.2% Romania (Government of) Bonds, 7.75%, 6/17/02 (DEM) . . . . . . . . . . 1,349,000 754,386 ----------
16 18 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- Russia -- 0.4% Ministry of Finance (Russian Government) Debs., 9%, 3/25/04 (DEM) . . . 1,275,000 $ 711,152 SBS Agro Finance BV Bonds, 10.25%, 7/21/00 . . . . . . . . . . . . . . 670,000 654,088 ---------- 1,365,240 ---------- South Africa -- 1.4% South Africa (Republic of) Bonds: Series 150, 12%, 2/28/05 (ZAR) . . . . . . . . . . . . . . . . . . . 12,571,150 2,322,402 Series 162, 12.50%, 1/15/02 (ZAR) . . . . . . . . . . . . . . . . . . 6,980,980 1,360,339 Series 175, 9%, 10/15/02 (ZAR) . . . . . . . . . . . . . . . . . . . 3,666,620 615,383 ---------- 4,298,124 ---------- Spain -- 0.2% Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion del Estado, 12.25%, 3/25/00 (ESP) . . . . . . . . . . . . . . . . . . . . . . . 94,240,000 747,558 ---------- Sweden -- 0.5% Sweden (Kingdom of) Bonds, Series 1033, 10.25%, 5/5/03 (SEK) . . . . . 10,600,000 1,691,799 ---------- Turkey -- 0.5% Export Credit Bank of Turkey Bonds, 8.352%, 8/18/00(12) . . . . . . . . 640,000 632,800 Halkbank Turkiye Halk Bonds, 8%, 2/26/02 (DEM) . . . . . . . . . . . . 1,670,000 907,212 ---------- 1,540,012 ---------- Venezuela -- 0.1% Venezuela (Republic of) Disc. Bonds, Series DL, 6.75%, 12/18/07(12) . . 500,000 433,750 ---------- 34,837,053 ---------- LOAN PARTICIPATIONS -- 0.4% Morocco (Kingdom of) Loan Participation Agreement, Tranche B, 6.812%, 1/1/04(12) . . . . . . . . . . . . . . . . . . . 764,705 698,750 Trinidad & Tobago Loan Participation Agreement, Tranche B, 1.575%, 9/30/00(6)(12)(JPY) . . . . . . . . . . . . . . . . . . . . . 71,999,999 556,747 ---------- 1,255,497 ---------- Units ----------- RIGHTS, WARRANTS AND CERTIFICATES -- 0.0% Australis Media Ltd. Wts., Exp. 5/00(6) . . . . . . . . . . . . . . . . 80 -- Comunicacion Celular SA Wts., Exp. 11/03(6) . . . . . . . . . . . . . . 2,125 127,500 Microcell Telecommunications, Inc.: Conditional Wts., Exp. 12/97(6) . . . . . . . . . . . . . . . . . . 2,800 1,751 Wts., Exp. 12/97(6) . . . . . . . . . . . . . . . . . . . . . . . . 2,800 36,400 ---------- 165,651 ----------
17 19 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- STRUCTURED INSTRUMENTS -- 5.8% Business Development Bank of Canada, Goldman Sachs Excess Return Commodity Index Linked Commercial Paper, 5.40%, 12/22/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,000,000 $ 2,351,800 Canadian Imperial Bank of Commerce (New York Branch) Canadian Dollar Three Month Banker's Acceptance Linked Maximum Rate Nts., 8.66%, 4/13/98 . . . . . . . . . . . . . . . . . . 1,000,000 1,003,200 Canadian Imperial Bank of Commerce, U.S. Dollar Nts. Linked to the Ministry of Finance of the Russian Federation GKO, Zero Coupon, 9.857%, 9/17/98(3) . . . . . . . . . . . . . . . . . . 1,170,000 1,042,236 Credit Suisse First Boston (Cayman) Ltd., City of Moscow, Credit & Convertibility Linked Nts., Series EM 215, Zero Coupon, 12.046%, 12/30/97(3) . . . . . . . . . . . . . . . . . . . . 400,000 389,281 ING (U.S.) Financial Holdings Corp., PT Polysindo Linked Nts., Zero Coupon, 10.426%, 7/15/98(3)(6) . . . . . . . . . . . . . . . . . 400,000 359,212 Merrill Lynch & Co., Inc.: SPIRES Ltd. -- Series XXX, 10.91%, 10/11/06(15) . . . . . . . . . . . 1,880,000 1,880,000 U.S. Dollar Nts. Linked to the Ministry of Finance of Ukraine OVGZ's, Zero Coupon, 11.45%, 10/19/98(3) . . . . . . . . . . . . . 2,560,000 2,221,312 Morgan Guaranty Trust Co. of New York: 2 Times Leveraged Nts. on The Emerging Bond Markets Index, Zero Coupon, 0%, 1/29/98(3) . . . . . . . . . . . . . . . . . . . 3,000,000 2,630,400 Japanese Government Bond 193 Currency Protected Bank Nts., 8.14%, 4/29/98 . . . . . . . . . . . . . . . . . . . . . . . . . . 30,000 18,000 Salomon, Inc.: Colombian Peso Linked Nts., Zero Coupon, 18.174%, 8/20/98(3) . . . . 934,000 754,672 Russian GKO Linked Nts., Zero Coupon: 9.58%, 6/11/99(3) . . . . . . . . . . . . . . . . . . . . . . . . 1,200,000 955,800 9.589%, 6/11/99(3) . . . . . . . . . . . . . . . . . . . . . . . . 3,000,000 2,389,500 Russian S-Account Credit Linked Nts., Zero Coupon: 14.163%, 5/22/98(3) . . . . . . . . . . . . . . . . . . . . . . . 1,520,000 1,405,696 9.785%, 7/31/98(3) . . . . . . . . . . . . . . . . . . . . . . . . 1,000,000 894,900 Union Bank of Switzerland, Indian Rupee Linked Nts., 5.40%, 11/17/97 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 94,000 94,978 ---------- 18,390,987 ----------
Date Strike Contracts ------ ------------------ ------------- CALL OPTIONS PURCHASED -- 0.0% German Mark Call Opt. . . . . . . . . . . . . . . . 12/97 19.22 CZK 735,000 16,905 Russian (Government of) Principal Loans Debs., 5.80%, 12/29/49 Call Opt. . . . . . . . . 11/97 75.125% 1,080 540
18 20 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value See Note 1 ------------- CALL OPTIONS PURCHASED (CONTINUED) Date Strike Contracts ------ -------------- ----------- Russian (Government of) Principal Loans Debs., 12/29/49 Call Opt. . . . . . . . . . . . 12/97 75.50% 1,590 $ 795 ----------- 18,240 ----------- PUT OPTIONS PURCHASED -- 0.1% Brazil (Federal Republic of) Capitalization Bonds, 8%, 4/15/14 Put Opt. (Cost $216,866) . . . 12/97 76.00% 1,756 199,306 ----------- Total International Sector (Cost $77,906,933) . . . 78,206,108 ----------- Face Amount(1) -------------- MORTGAGE-BACKED SECTOR -- 24.1% GOVERNMENT AGENCY -- 20.7% FHLMC/FNMA/Sponsored -- 16.4% Federal Home Loan Mortgage Corp., Certificates of Participation: 12%, 10/1/11 . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 298,326 342,846 12%, 10/1/14 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 186,675 211,268 12%, 5/1/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 547,055 622,746 12%, 6/1/15 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 215,322 249,100 12%, 8/1/13 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44,051 50,962 12%, 8/1/14 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463,691 534,942 Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 1343, Cl. LA, 8%, 8/15/22 . . . 1,000,000 1,101,257 Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1610, Cl. PM, 6.25%, 4/15/22 . . . . . . . . . 2,500,000 2,498,425 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 10.751%-11.001% 7/1/26(17) . . . . . . . . . . . . . . . . . 11,092,590 3,433,504 Federal National Mortgage Assn.: 11%, 7/1/16 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 812,434 933,031 7%, 11/1/25 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,556,568 2,570,271 7%, 11/25/27(15) . . . . . . . . . . . . . . . . . . . . . . . . . . 5,700,000 5,717,841 7%, 12/1/12(15) . . . . . . . . . . . . . . . . . . . . . . . . . . 7,140,000 7,235,962 7.50%, 11/1/27(15) . . . . . . . . . . . . . . . . . . . . . . . . . 12,950,000 13,229,202 7.50%, 6/1/10 . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,614,509 1,662,202 Gtd. Mtg. Pass-Through Certificates, 13%, 6/1/15 . . . . . . . . . . 1,050,136 1,254,314
19 21 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- FHLMC/FNMA/SPONSORED (Continued) Federal National Mortgage Assn.: (continued) Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1992-162, Cl. C, 7%, 10/25/21 . . . . . . . . . . . . . . . $ 5,400,000 $ 5,489,424 Trust 1995-4, Cl. PC, 8%, 5/25/25 . . . . . . . . . . . . . . . . 664,690 738,495 Trust 1997-25, Cl. B, 7%, 12/18/22 . . . . . . . . . . . . . . . 340,000 347,196 Trust 1997-27, Cl. J, 7.50%, 4/18/27 . . . . . . . . . . . . . . 537,753 572,931 Trust 1997-5, Cl. B, 7%, 9/18/17 . . . . . . . . . . . . . . . . 1,045,000 1,067,067 Principal-Only Stripped Mtg.-Backed Security, Trust 277-C1, 5.924%, 4/1/27(18) . . . . . . . . . . . . . . . . . . . . . . . . 984,297 746,528 ----------- 50,609,514 ----------- GNMA/Guaranteed -- 4.3% Government National Mortgage Assn.: 11%, 10/20/19 . . . . . . . . . . . . . . . . . . . . . . . . . . . 614,365 704,407 12%, 11/20/13-9/20/15 . . . . . . . . . . . . . . . . . . . . . . . 582,878 682,530 6%, 7/20/27-8/20/27 . . . . . . . . . . . . . . . . . . . . . . . . 3,744,319 3,783,522 7.50%, 11/1/27(15) . . . . . . . . . . . . . . . . . . . . . . . . . 3,500,000 3,578,750 7.50%, 2/15/27 . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,593,751 3,676,983 Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1994-5, Cl. PQ, 7.493%, 7/16/24 . . . . . . . . . . . . . . . . . . . . . . . . . 750,000 796,883 ----------- 13,223,075 ----------- PRIVATE -- 3.4% Commercial -- 2.4% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1996-D3, Cl. A5, 8.334%, 10/13/26(6)(12) . . . . . . . . . . 500,000 546,094 Series 1996-MD6, Cl. A5, 6.957%, 11/13/26(12) . . . . . . . . . . . 800,000 837,625 Series 1997-MD7, Cl. A6, 8.243%, 1/13/30(12) . . . . . . . . . . . 150,000 161,016 BKB Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 1997-C1, Cl. C, 7.45%, 10/25/00(6) . . . . . . . . . . . . . . 250,000 252,266 Capital Lease Funding Securitization LP, Interest-Only Stripped Mtg.-Backed Security, Series 1997-CTL1, 0.549%, 6/22/24(6)(17) . . . 11,502,462 540,616 Commercial Mortgage Acceptance Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1996-C1, Cl. X-2, 0.981%, 12/25/20(6)(17) 12,416,600 360,857 General Motors Acceptance Corp., Interest-Only Stripped Mtg.- Backed Security, Series 1997-C1, Cl. X, 1.629%, 7/15/27(17) . . . . . 3,600,000 374,625 Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1996-C1, Cl. D, 7.42%, 4/25/28 . . . . . . . . . 800,000 834,062
20 22 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust
Market Value Face Amount(1) See Note 1 --------------- ------------- COMMERCIAL (Continued) Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. D-1, 7.51%, 2/15/28(6)(12) . . . . $ 1,000,000 $ 1,039,375 NationsCommercial Corp., NB Commercial Mtg. Pass-Through Certificates, Series-DMC: Cl. B, 8.562%, 8/12/11(6) . . . . . . . . . . . . . . . . . . . . 400,000 422,375 Cl. C, 8.921%, 8/12/11(8) . . . . . . . . . . . . . . . . . . . . 400,000 428,937 Potomac Gurnee Financial Corp., Commercial Mtg. Pass-Through Certificates, Series 1, Cl. D, 7.683%, 12/21/26(6) . . . . . . . . . 500,000 511,875 Structured Asset Securities Corp.: Commercial Mtg. Pass-Through Certificates, Series 1997-LLI, Cl. E, 7.30%, 10/20/34 . . . . . . . . . . . . . . . . . . . . . . 500,000 511,094 Multiclass Pass-Through Certificates, Series 1996-C3, Cl. D, 8%, 6/25/30(6) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 650,000 669,500 ------------ 7,490,317 ------------ Residential -- 1.0% CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. E, 7.50%, 3/1/11(6) . . . . . . . . 710,000 722,425 First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, 8.134%, 7/25/06(6)(12) . . . . . . . 800,000 827,250 First Union-Lehman Brothers Commercial Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1997-C1, 1.307%, 4/18/27(17) . . . . . . . . . . . . . . . . . . . . . . . . 4,748,654 378,501 Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl. 1, 7.136%, 4/25/26 . . . . . . . . . . . . . . . . . . . . . . . . . . 1,329,112 930,379 Salomon Brothers, Inc., Series 1997-TZH, Cl. D, 7.902%, 3/25/22(6) . . 250,000 266,094 ------------ 3,124,649 ------------ Total Mortgage-Backed Sector (Cost $73,079,840) . . . . . . . . . . . . 74,447,555 ------------ MONEY MARKET SECTOR -- 10.5% Repurchase agreement with First Chicago Capital Markets, 5.69%, dated 10/31/97, to be repurchased at $32,338,326 on 11/3/97, collateralized by U.S. Treasury Nts., 5.75%-8.50%, 5/15/99-11/15/00, with a value of $32,986,315 (Cost $32,323,000) . . . . . . . . . . . 32,323,000 32,323,000 ------------ Total Investments, at Value (Cost $330,527,644) . . . . . . . . . . . . 108.2% 334,275,509 Liabilities in Excess of Other Assets . . . . . . . . . . . . . . . . . (8.2) (25,303,363) ------- ------------ Net Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100.0% $308,972,146 ======= ============
21 23 STATEMENT OF INVESTMENTS (Continued) Oppenheimer Multi-Sector Income Trust 1. Face amount is reported in U.S. Dollars, except for those denoted in the following currencies: AUD -- Australian Dollar ITL -- Italian Lira CAD -- Canadian Dollar JPY -- Japanese Yen CZK -- Czech Koruna NOK -- Norwegian Krone DEM -- German Mark NZD -- New Zealand Dollar ESP -- Spanish Peseta SEK -- Swedish Krona GBP -- British Pound Sterling ZAR -- South African Rand IDR -- Indonesian Rupiah 2. Securities with an aggregate market value of $1,881,407 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 3. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 4. A sufficient amount of securities has been designated to cover outstanding forward foreign currency exchange contracts. 5. Non-income producing security. 6. Identifies issues considered to be illiquid or restricted -- See Note 8 of Notes to Financial Statements. 7. Interest or dividend is paid in kind. 8. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $43,759,803 or 14.16% of the Trust's net assets as of October 31, 1997. 9. Non-income producing -- issuer is in default of interest payment. 10. Units may be comprised of several components, such as debt and equity and/or warrants to purchase equity at some point in the future. For units which represent debt securities, face amount disclosed represents total underlying principal. 11. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 12. Represents the current interest rate for a variable rate security. 13. Represents the current interest rate for an increasing rate security. 14. A sufficient amount of cash and securities has been designated to cover outstanding written options, as follows:
Expiration Exercise Premium Market Value Contracts Date Price Received See Note 1 --------- ---- ----- ---------- ------------ Banco Hipotecario Nacional (Argentina) Medium- Term Nts., 10.625%, 8/7/06 Call Opt. 700 8/7/00 100.00% $ 6,440 $ 24,500 Natural Gas Futures, 1/98 Call Opt. 20 12/26/97 $3.20 75,880 111,000 United Mexican States Collateralized Fixed Rate Par Bonds, Series A, 6.25%, 12/31/19 Put Opt. 705 11/28/97 75.00% 63,450 45,120 -------- -------- $145,770 $180,620 ======== ========
15. When-issued security to be delivered and settled after October 31, 1997. 16. A sufficient amount of securities has been designated to cover outstanding interest rate swap transactions. See Note 9 of Notes to Financial Statements. 17. 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. 18. 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. See accompanying Notes to Financial Statements. 22 24 STATEMENT OF ASSETS AND LIABILITIES October 31, 1997 Oppenheimer Multi-Sector Income Trust ASSETS: Investments, at value (cost $330,527,644) -- see accompanying statement . . $334,275,509 Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 378,741 Unrealized appreciation on forward foreign currency exchange contracts -- Note 5 70,249 Receivables: Investments sold and options written . . . . . . . . . . . . . . . . . . 50,422,343 Interest, dividends and principal paydowns . . . . . . . . . . . . . . . 4,232,948 Closed forward foreign currency exchange contracts . . . . . . . . . . . 212,390 Daily variation on futures contracts -- Note 6 . . . . . . . . . . . . . 7,813 Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9,878 ------------ Total assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 389,609,871 ------------ LIABILITIES: Unrealized depreciation on forward foreign currency exchange contracts -- Note 5 1,526 Options written, at value (premiums received $145,770) -- see accompanying statement -- Note 7 . . . . . . . . . . . . . . . . . . . . . . . . . . . 180,620 Open interest rate swap transactions at market value -- Note 9 . . . . . . 15,297 Payables and other liabilities: Investments purchased (including $32,422,733 purchased on a when-issued basis) -- Note 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 79,794,979 Closed forward foreign currency exchange contracts . . . . . . . . . . . 233,072 Trustees' fees -- Note 1 . . . . . . . . . . . . . . . . . . . . . . . . 154,787 Management and administrative fees . . . . . . . . . . . . . . . . . . . 129,885 Daily variation on futures contracts -- Note 6 . . . . . . . . . . . . . . 17,643 Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 109,916 ------------ Total liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . 80,637,725 ------------ NET ASSETS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $308,972,146 ============ COMPOSITION OF NET ASSETS: Par value of shares of beneficial interest . . . . . . . . . . . . . . . . $ 291,161 Additional paid-in capital . . . . . . . . . . . . . . . . . . . . . . . . 313,688,210 Overdistributed net investment income . . . . . . . . . . . . . . . . . . . (249,479) Accumulated net realized loss on investments and foreign currency transactions (8,495,256) Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies . . . . . . . . . 3,737,510 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ------------ NET ASSETS -- applicable to 29,116,068 shares of beneficial interest outstanding . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $308,972,146 ============ NET ASSET VALUE PER SHARE . . . . . . . . . . . . . . . . . . . . . . . . . $10.61 ======
See accompanying Notes to Financial Statements. 23 25 STATEMENT OF OPERATIONS For the Year Ended October 31, 1997 Oppenheimer Multi-Sector Income Trust INVESTMENT INCOME: Interest (net of foreign withholding taxes of $710) . . . . . . . . . . . . $28,938,776 Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131,377 ----------- Total income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29,070,153 ----------- EXPENSES: Management fees -- Note 4 . . . . . . . . . . . . . . . . . . . . . . . . . 1,997,563 Administrative fees -- Note 4 . . . . . . . . . . . . . . . . . . . . . . . 614,751 Shareholder reports . . . . . . . . . . . . . . . . . . . . . . . . . . . . 172,583 Transfer agent and accounting services fees -- Note 4 . . . . . . . . . . . 79,657 Custodian fees and expenses . . . . . . . . . . . . . . . . . . . . . . . . 58,807 Legal and auditing fees . . . . . . . . . . . . . . . . . . . . . . . . . . 47,243 Trustees' fees and expenses -- Note 1 . . . . . . . . . . . . . . . . . . . 31,658 Registration and filing fees . . . . . . . . . . . . . . . . . . . . . . . 23,922 Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36,985 ----------- Total expenses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,063,169 ----------- NET INVESTMENT INCOME . . . . . . . . . . . . . . . . . . . . . . . . . . . 26,006,984 ----------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) on: Investments (including premiums on options exercised) . . . . . . . . . . 8,829,790 Closing of futures contracts . . . . . . . . . . . . . . . . . . . . . . (1,015,374) Closing and expiration of options written -- Note 7 . . . . . . . . . . . (143,877) Foreign currency transactions . . . . . . . . . . . . . . . . . . . . . . (1,484,706) ----------- Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,185,833 ----------- Net change in unrealized appreciation or depreciation on: Investments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (2,977,811) Translation of assets and liabilities denominated in foreign currencies . (685,629) ----------- Net change . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (3,663,440) ----------- NET REALIZED AND UNREALIZED GAIN . . . . . . . . . . . . . . . . . . . . . 2,522,393 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS . . . . . . . . . . . $28,529,377 ===========
See accompanying Notes to Financial Statements. 24 26 STATEMENTS OF CHANGES IN NET ASSETS Oppenheimer Multi-Sector Income Trust
Year Ended October 31, 1997 1996 ------------ -------------- OPERATIONS: Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 26,006,984 $ 26,471,497 Net realized gain . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,185,833 7,876,133 Net change in unrealized appreciation or depreciation . . . . . . . . . . . (3,663,440) 3,026,272 ------------ ----------- Net increase in net assets resulting from operations . . . . . . . . . . 28,529,377 37,373,902 ------------ ----------- DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT INCOME . . . . . . . . . . . (25,738,551) (26,320,905) ------------ ----------- NET ASSETS: Total increase . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,790,826 11,052,997 Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . 306,181,320 295,128,323 ------------ ------------- End of period [including undistributed (overdistributed) net investment income of $(249,479) and $556,961, respectively] . . . . . . . . . . . . $308,972,146 $306,181,320 ============ ============
See accompanying Notes to Financial Statements. 25 27 FINANCIAL HIGHLIGHTS Oppenheimer Multi-Sector Income Trust
Year Ended October 31, --------------------------------------------------------------- 1997 1996 1995 1994 1993 --------- --------- ---------- ----------- ---------- PER SHARE OPERATING DATA: Net asset value, beginning of period . . . . . . . . . . . $10.52 $10.14 $10.17 $10.96 $10.46 ------ ------ ------ ------ ------ Income (loss) from investment operations: Net investment income . . . . . . . . . . . . . . . . . . .89 .91 .94 1.00 1.08 Net realized and unrealized gain (loss) . . . . . . . . . .08 .37 (.04) (.82) .43 ------ ------ ------ ------ ------ Total income from investment operations . . . . . . . . .97 1.28 .90 .18 1.51 ------ ------ ------ ------ ------ Dividends and distributions to shareholders: Dividends from net investment income . . . . . . . . . . (.88) (.90) (.91) (.84) (1.01) Tax return of capital distribution . . . . . . . . . . . -- -- (.02) (.13) -- ------ ------ ------ ------ ------ Total dividends and distributions to shareholders . . . (.88) (.90) (.93) (.97) (1.01) ------ ------ ------ ------ ------ Net asset value, end of period . . . . . . . . . . . . . . $10.61 $10.52 $10.14 $10.17 $10.96 ====== ====== ====== ====== ====== Market value, end of period . . . . . . . . . . . . . . . . $10.13 $ 9.88 $10.00 $ 9.50 $11.25 TOTAL RETURN, AT MARKET VALUE(1) . . . . . . . . . . . . . 11.40% 7.85% 15.62% (7.46)% 11.10% RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) . . . . . . . . . $308,972 $306,181 $295,128 $295,658 $316,647 Average net assets (in thousands) . . . . . . . . . . . . . $308,712 $298,496 $288,884 $306,686 $307,244 Ratios to average net assets: Net investment income . . . . . . . . . . . . . . . . . . 8.42% 8.87% 9.51% 9.17% 10.13% Expenses . . . . . . . . . . . . . . . . . . . . . . . . 0.99% 1.04% 1.05% 1.02% 1.00% Portfolio turnover rate(2) . . . . . . . . . . . . . . . . 258.9% 225.4% 240.1% 187.6% 131.3%
(1) Assumes a hypothetical purchase at the current market price on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and a sale at the current market price on the last business day of the period. Total return does not reflect sales charges or brokerage commissions. (2) The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities and mortgage "dollar-rolls") for the period ended October 31, 1997 were $776,051,192 and $765,405,480, respectively. Prior to the period ended October 31, 1996, purchases and sales of investment securities included mortgage "dollar-rolls." See accompanying Notes to Financial Statements. 26 28 NOTES TO FINANCIAL STATEMENTS Oppenheimer Multi-Sector Income Trust 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Multi-Sector Income Trust (the Trust) is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company. The Trust's investment objective is to seek high current income consistent with preservation of capital by investments among seven sectors of the fixed income securities market. The Trust's investment advisor is OppenheimerFunds, Inc. (the Manager). The following is a summary of significant accounting policies consistently followed by the Trust. Investment Valuation -- Portfolio securities are valued at the close of the New York Stock Exchange on the last day of each week on which day the New York Stock Exchange is open. Listed and unlisted securities for which such information is regularly reported are valued at the last sale price of the day or, in the absence of sales, at values based on the closing bid or the last sale price on the prior trading day. Long-term and short-term "non-money market" debt securities are valued by a portfolio pricing service approved by the Board of Trustees. Such securities which cannot be valued by the approved portfolio pricing service are valued using dealer-supplied valuations provided the Manager is satisfied that the firm rendering the quotes is reliable and that the quotes reflect current market value, or are valued under consistently applied procedures established by the Board of Trustees to determine fair value in good faith. Short-term "money market type" debt securities having a remaining maturity of 60 days or less are valued at cost (or last determined market value) adjusted for amortization to maturity of any premium or discount. Forward foreign currency contracts are valued based on the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. Options are valued based upon the last sale price on the principal exchange on which the option is traded or, in the absence of any transactions that day, the value is based upon the last sale price on the prior trading date if it is within the spread between the closing bid and asked prices. If the last sale price is outside the spread, the closing bid is used. Structured Notes -- The Trust invests in foreign currency-linked structured notes whereby the market value and redemption price are linked to foreign currency exchange rates. The structured notes may be leveraged, which increases the notes' volatility relative to the face of the security. Fluctuations in values of the securities are recorded as unrealized gains and losses in the accompanying financial statements. During the year ended October 31, 1997, the market value of these securities comprised an average of 6% of the Trust's net assets, and resulted in realized and unrealized losses of $1,634,532. Securities Purchased on a When-Issued Basis -- Delivery and payment for securities that have been purchased by the Trust on a forward commitment or when-issued basis can take place a month or more after the transaction 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 Trust maintains, in a segregated account with its custodian, assets with a market value equal to the amount of its purchase commitments. The purchase of securities on a when-issued or forward commitment basis may increase the volatility of the Trust's net asset value to the extent the Trust makes such purchases while remaining substantially fully invested. As of October 31, 1997, the Trust had entered into outstanding when-issued or forward commitments of $32,422,733. 27 29 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust 1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) Securities Purchased on a When-Issued Basis (continued) In connection with its ability to purchase securities on a when-issued or forward commitment basis, the Trust may enter into mortgage "dollar-rolls" in which the Trust sells securities for delivery in the current month and simultaneously contracts with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Trust records each dollar-roll as a sale and a new purchase transaction. Security Credit Risk -- The Trust invests in high yield securities, which may be subject to a greater degree of credit risk, greater market fluctuations and risk of loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed income securities. The Trust may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. At October 31, 1997, securities with an aggregate market value of $324,125, representing 0.01% of the Trust's net assets, were in default. Foreign Currency Translation -- The accounting records of the Trust are maintained in U.S. dollars. Prices of securities denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange. Amounts related to the purchase and sale of securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. 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 Trust's Statement of Operations. Repurchase Agreements -- The Trust requires the custodian to take possession, to have legally segregated in the Federal Reserve Book Entry System or to have segregated within the custodian's vault, all securities held as collateral for repurchase agreements. The market value of the underlying securities is required to be at least 102% of the resale price at the time of purchase. If the seller of the agreement defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the value of the collateral by the Trust may be delayed or limited. Federal Taxes -- The Trust intends to continue to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders. Therefore, no federal income or excise tax provision is required. At October 31, 1997, the Trust had available for federal income tax purposes an unused capital loss carryover of approximately $7,983,000, which expires in 2003. Trustees' Fees and Expenses -- The Trust has adopted a nonfunded retirement plan for the Trust's independent trustees. Benefits are based on years of service and fees paid to each trustee during the years of service. During the year ended October 31, 1997, a provision of $185 was made for the Trust's projected benefit obligations and payments of $7,544 were made to retired trustees, resulting in an accumulated liability of $142,773 at October 31, 1997. Distributions to Shareholders -- The Trust intends to declare and pay dividends from net investment income monthly. Distributions from net realized gains on investments, if any, will be made at least once each year. 28 30 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust Classification of Distributions to Shareholders -- Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes primarily because of paydown gains and losses and the recognition of certain foreign currency gains (losses) as ordinary income (loss) for tax purposes. The character of the distributions made during the year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the income or realized gain was recorded by the Trust. The Trust adjusts the classification of distributions to shareholders to reflect the differences between financial statement amounts and distributions determined in accordance with income tax regulations. Accordingly, during the year ended October 31, 1997, amounts have been reclassified to reflect a decrease in undistributed net investment income of $1,074,873, a decrease in accumulated net realized loss on investments of $2,827,430, and a decrease in additional paid-in capital of $1,752,557. Other -- Investment transactions are accounted for on the date the investments are purchased or sold (trade date) and dividend income is recorded on the ex-dividend date. Discount on securities purchased is amortized over the life of the respective securities, in accordance with federal income tax requirements. Realized gains and losses on investments and unrealized appreciation and depreciation are determined on an identified cost basis, which is the same basis used for federal income tax purposes. Dividends in kind are recognized as income on the ex-dividend date, at the current market value of the underlying security. Interest on payment-in-kind debt instruments is accrued as income at the coupon rate and a market adjustment is made periodically. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 2. SHARES OF BENEFICIAL INTEREST The Trust has authorized an unlimited number of $.01 par value shares of beneficial interest. There were no transactions in shares of beneficial interest for the years ended October 31, 1997 and 1996. 3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS At October 31, 1997 net unrealized appreciation on investments and options written of $3,713,015 was composed of gross appreciation of $8,558,085, and gross depreciation of $4,845,070. 4. MANAGEMENT AND ADMINISTRATIVE FEES AND OTHER TRANSACTIONS WITH AFFILIATES Management fees paid to the Manager were in accordance with the investment advisory agreement with the Trust which provides for an annual fee of 0.65% on the Trust's average annual net assets. Mitchell Hutchins Asset Management Inc. serves as the Trust's Administrator. The Trust pays the Administrator an annual fee of 0.20% of the Trust's average annual net assets. The Manager acts as the accounting agent for the Trust at an annual fee of $24,000, plus out-of-pocket costs and expenses reasonably incurred. Shareholder Financial Services, Inc. (SFSI), a wholly owned subsidiary of the Manager, is the transfer agent and registrar for the Trust. Fees paid 29 31 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust 4. MANAGEMENT AND ADMINISTRATIVE FEES AND OTHER TRANSACTIONS WITH AFFILIATES (CONTINUED) to SFSI are based on the number of accounts and the number of shareholder transactions, plus out-of-pocket costs and expenses. 5. FORWARD CONTRACTS A forward foreign currency exchange contract (forward contract) is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Trust uses forward contracts to manage foreign currency risks. They may also be used to tactically shift portfolio currency risk. The Trust generally enters into forward contracts as a hedge upon the purchase or sale of a security denominated in a foreign currency. In addition, the Trust may enter into such contracts as a hedge against changes in foreign currency exchange rates on portfolio positions. Forward contracts are valued based on the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. The Trust will realize a gain or loss upon the closing or settlement of the forward transaction. Securities held in segregated accounts to cover net exposure on outstanding forward contracts are noted in the Statement of Investments where applicable. Unrealized appreciation or depreciation on forward contracts is reported in the Statement of Assets and Liabilities. Realized gains and losses are reported with all other foreign currency gains and losses in the Trust's Statement of Operations. Risks include the potential inability of the counterparty to meet the terms of the contract and unanticipated movements in the value of a foreign currency relative to the U.S. dollar. At October 31, 1997, the Trust had outstanding forward contracts as follows:
Valuation Contract as of Expiration Amount October 31, Unrealized Unrealized Dates (000s) 1997 Appreciation Depreciation ---------------------------------------------------------------------------------------------------------------------------- Contracts to Purchase - --------------------- German Mark (DEM) . . . . . . . . . . 11/4/97 1,170 DEM $ 679,660 $ -- $ 151 -------- ------ Contracts to Sell - ----------------- Argentine Peso (ARP) . . . . . . . . 11/5/97 3,042 ARP 1,767,695 -- 1,375 Indonesian Rupiah (IDR) . . . . . . . 2/10/98 4,905,000 IDR 1,306,501 7,573 -- South African Rand (ZAR) . . . . . . 12/29/97 16,224 ZAR 3,310,273 62,676 -- ------- ------ 70,249 1,375 ------- ------ Total Appreciation and Depreciation . . . . . . . . . . . . . . . . . . . . . . . . . . . . $70,249 $1,526 ======= ======
6. FUTURES CONTRACTS The Trust may buy and sell interest rate futures contracts in order to gain exposure to or protect against changes in interest rates. The Trust may also buy or write put or call options on these futures contracts. The Trust generally sells futures contracts to hedge against increases in interest rates and the resulting negative effect on the value of fixed rate portfolio securities. The Trust may also purchase futures contracts to gain exposure to changes in interest rates as it may be more efficient or cost effective than actually buying fixed income securities. 30 32 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust Upon entering into a futures contract, the Trust is required to deposit either cash or securities in an amount (initial margin) equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Trust 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 Trust recognizes a realized gain or loss when the contract is closed or expires. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. 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. At October 31, 1997, the Trust had outstanding futures contracts as follows:
Valuation Number as of Unrealized Expiration of Futures October 31, Appreciation Date Contracts 1997 (Depreciation) - --------------------------------------------------------------------------------------------------------- Contracts to Purchase - --------------------- U.S. Treasury Bonds . . . . . . . . . 12/97 25 $2,961,718 $ 20,312 -------- Contracts to Sell - ----------------- Hang Seng Index . . . . . . . . . . . 11/97 16 1,096,061 (52,008) Nikkei 225 . . . . . . . . . . . . . 12/97 17 1,394,000 24,800 Standard & Poor's 500 . . . . . . . . 12/97 6 2,772,000 (9,750) U.S. Treasury Nts., 5 yr. . . . . . 12/97 44 4,769,875 (18,719) U.S. Treasury Nts., 2 yr. . . . . . 12/97 6 1,247,250 (8,718) U.S. Treasury Nts., 10 yr. . . . . . 12/97 44 4,917,000 -- -------- (64,395) -------- $(44,083) ========
7. OPTION ACTIVITY The Trust 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 Trust 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 Trust 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 Trust will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call options are noted in the Statement of Investments where applicable. Shares subject 31 33 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust 7. OPTION ACTIVITY (CONTINUED) to call, expiration date, exercise price, premium received and market value are detailed in a footnote to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities. Gains and losses are reported in the Statement of Operations. The risk in writing a call option is that the Trust 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 Trust 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 Trust pays a premium whether or not the option is exercised. The Trust also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the year ended October 31, 1997 was as follows:
Call Options Put Options ----------------------------- -------------------------------- Number Amount Number Amount of of of of Options Premiums Options Premiums ------------- ------------ -------------- ----------- Options outstanding at October 31, 1996 9,277,500 $ 107,323 -- $ -- Options written . . . . . . . . . . . 73,237,667 1,151,885 389,549,046 423,720 Options closed or expired . . . . . . (75,477,897) (856,023) (377,347,901) (291,477) Options exercised . . . . . . . . . . (7,036,550) (320,865) (12,200,440) (68,793) ------------ ---------- ------------- ---------- Options outstanding at October 31, 1997 720 $ 82,320 705 $ 63,450 ============ ========== ============= ==========
8. ILLIQUID AND RESTRICTED SECURITIES At October 31, 1997, investments in securities included issues that are illiquid or restricted. Restricted securities are often purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and are valued under methods approved by the Board of Trustees as reflecting fair value. 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 Trust intends to invest no more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid or restricted securities. Certain restricted securities, eligible for resale to qualified institutional investors, are not subject to that limit. The aggregate value of illiquid or restricted securities subject to this limitation at October 31, 1997 was $28,054,853, which represents 9.08% of the Trust's net assets, of which $2,233,753 is considered restricted. Information concerning restricted securities is as follows:
Valuation Per Acquisition Cost Unit as of Security Date Per Unit October 31, 1997 - ------------------------------------------------------------------------------------------------------------------------------------ Bonds: Arizona Charlie's, Inc., 12% First Mtg. Nts., Series B, 11/15/00 . . . . . . . . . . . . . . 11/18/93 100.00% 53.75% Capitol Queen & Casino, Inc., 12% First Mtg. Nts., Series A, 11/15/00 . . . . . . . . . . . . . . 11/18/93 87.50 14.25 Stocks and Warrants: Becker Gaming, Inc. Wts., Exp. 11/00 . . . . . . 11/18/93 $ 2.00 $ .20 CGA Group Ltd., Preferred . . . . . . . . . . . . 6/17/97 25.00 25.00 CGA Group Ltd. Wts., Exp. 12/49 . . . . . . . . . 6/17/97 -- .50
32 34 NOTES TO FINANCIAL STATEMENTS (Continued) Oppenheimer Multi-Sector Income Trust 9. INTEREST RATE SWAP TRANSACTIONS The Trust may enter into an interest rate swap transaction to seek to maintain a total return or yield spread on a particular investment or portion of its portfolio, or for other non-speculative purposes. Interest rate swaps involve the exchange of commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments. The coupon payments are based on an agreed upon principal amount and a specified index. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as a notional principal amount. The Trust records an increase or decrease to interest income, the amount due or owed by the Trust at termination or settlement. The Trust enters into swaps only on securities it owns. Interest rate swaps are subject to credit risks (if the other party fails to meet its obligations) and also to interest rate risks. The Trust could be obligated to pay more under its swap agreements than it receives under them, as a result of interest rate changes. The Trust segregates liquid assets to cover any amounts it could owe under swaps that exceed the amounts it is entitled to receive. As of October 31, 1997, the Trust had entered into the following interest rate swap agreements:
Swap Notional Rate Paid by the Floating Rate Received Floating Termination Net Counterparty Principal Trust at 10/31/97 by the Trust at 10/31/97 Rate Index Date Unrealized Loss - ------------ ----------- ----------------- ------------------------ ------------- ------------ --------------- Morgan $3,830,000 7.65% 7.287% Three- 3/8/01 $15,297 Guaranty month Trust Co. New Zealand of New York Dollar Bank Bills
33 35 INDEPENDENT AUDITORS' REPORT Oppenheimer Multi-Sector Income Trust The Board of Trustees and Shareholders of Oppenheimer Multi-Sector Income Trust: We have audited the accompanying statements of investments and assets and liabilities of Oppenheimer Multi-Sector Income Trust as of October 31, 1997 and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended and the financial highlights for each of the years in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 1997 by correspondence with the custodian and brokers; and where confirmations were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Multi-Sector Income Trust as of October 31, 1997 the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the five-year period then ended, in conformity with generally accepted accounting principles. KPMG PEAT MARWICK LLP Denver, Colorado November 21, 1997 34 36 FEDERAL INCOME TAX INFORMATION (Unaudited) OPPENHEIMER MULTI-SECTOR INCOME TRUST In early 1998 shareholders will receive information regarding all dividends and distributions paid to them by the Trust during calendar year 1997. Regulations of the U.S. Treasury Department require the Trust to report this information to the Internal Revenue Service. Dividends paid by the Trust during the fiscal year ended October 31, 1997 which are not designated as capital gain distributions should be multiplied by 0.57% to arrive at the net amount eligible for the corporate dividend received deduction. The foregoing information is presented to assist shareholders in reporting distributions received from the Trust to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 35 37 SHAREHOLDER MEETING (Unaudited) On May 5, 1997, an annual shareholder meeting was held at which the three Trustees identified below were elected, the selection of KPMG Peat Marwick LLP as the independent certified public accountants and auditors of the Trust for the fiscal year beginning November 1, 1996 was ratified (Proposal No. 1) and the Investment Advisory Agreement between the Trust and OppenheimerFunds, Inc. was approved (Proposal No. 2) as described in the Trust's proxy statement for that meeting. The following is a report of the votes cast:
Withheld/ Nominee/Proposal For Against Abstain Broker Non-Votes Total - ---------------- ------- -------- --------- ---------------- --------- Trustees Leon Levy . . . . . . . 23,915,196 21,626 4,798,621 23,936,822 Bridget A. Macaskill . 23,916,012 20,810 4,798,621 23,936,822 Clayton K. Yeutter . . 23,914,886 21,936 4,798,621 23,936,822 Proposal No. 1 . . . . 23,839,950 42,542 54,330 4,798,621 23,936,822 Proposal No. 2 . . . . 23,733,503 72,351 130,968 4,798,621 23,936,822
36 38 OPPENHEIMER MULTI-SECTOR INCOME TRUST GENERAL INFORMATION CONCERNING THE TRUST Oppenheimer Multi-Sector Income Trust (the Trust) is a closed-end diversified management investment company with a primary investment objective of seeking high current income consistent with preservation of capital. The Trust's secondary investment objective is capital appreciation. In seeking its objectives, the Trust may invest any percentage of its assets in at least three of the following seven fixed-income sectors: U.S. Government, Corporate, International, Asset-Backed, Municipal, Convertible and Money Market. Current income, preservation of capital and, secondarily, possible capital appreciation will be considerations in the allocation of assets among such sectors. The Trust may invest in a number of different kinds of "derivative investments" and may also engage in certain special investment techniques, including repurchase transactions, when-issued and delayed delivery transactions and hedging. The investment advisor to the Trust is OppenheimerFunds, Inc. (the Manager). The Portfolio Managers of the Trust are Robert E. Patterson, Thomas P. Reedy, Ashwin K. Vasan, Carol E. Wolf and Arthur J. Zimmer and who also serve as Vice Presidents of the Trust and of the Manager, and are officers of certain mutual funds managed by the Manager. Messrs. Reedy and Vasan have been the persons principally responsible for the day-to-day management of the Trust's portfolio since June 1993. Prior to that, Mr. Reedy served as a securities analyst for the Manager and Mr. Vasan served as a securities analyst for Citibank, N.A. and Mr. Zimmer served as a Vice President of Hanifen Imhoff Management Company. Dividend Reinvestment and Cash Purchase Plan -- Pursuant to the Trust's Dividend Reinvestment and Cash Purchase Plan (the Plan), as to shares of the Trust (Shares) not registered in nominee name, all dividends and capital gains distributions (Distributions) declared by the Trust will be automatically reinvested in additional full and fractional Shares unless a shareholder elects to receive cash. If Shares are registered in nominee name, the shareholder should consult the nominee if the shareholder desires to participate in the Plan. Shareholders that participate in the Plan (Participants) may, at their option, make additional cash investments in Shares, semi-annually in amounts of at least $100, through payment to Shareholder Financial Services, Inc., the agent for the Plan (the Agent), accompanied by a service fee of $0.75. Depending upon the circumstances hereinafter described, Plan Shares will be acquired by the Agent for the Participant's account through receipt of newly issued Shares or the purchase of outstanding Shares on the open market. If the market price of Shares on the relevant date (normally the payment date) equals or exceeds their net asset value, the Agent will ask the Trust for payment of the Distribution in additional Shares at the greater of the Trust's net asset value determined as of the date of purchase or 95% of the then-current market price. If the market price is lower than net asset value, the Distribution will be paid in cash, which the Agent will use to buy Shares on The New York Stock Exchange (the NYSE), or otherwise on the open market to the extent available. If the market price exceeds the net asset value before the Agent has completed its purchases, the average purchase price per Share paid by the Agent may 37 39 OPPENHEIMER MULTI-SECTOR INCOME TRUST General Information Concerning the Fund (Continued) exceed the net asset value, resulting in fewer Shares being acquired than if the Distribution had been paid in Shares issued by the Trust. Participants may elect to withdraw from the Plan at any time and thereby receive cash in lieu of Shares by sending appropriate written instructions to the Agent. Elections received by the Agent will be effective only if received more than ten days prior to the record date for any Distribution; otherwise, such termination will be effective shortly after the investment of such Distribution with respect to any subsequent Distribution. Upon withdrawal from or termination of the Plan, all Shares acquired under the Plan will remain in the Participant's account unless otherwise requested. For full Shares, the Participant may either: (1) receive without charge a share certificate for such Shares; or (2) request the Agent (after receipt by the Agent of signature guaranteed instructions by all registered owners) to sell the Shares acquired under the Plan and remit the proceeds less any brokerage commissions and a $2.50 service fee. Fractional Shares may either remain in the Participant's account or be reduced to cash by the Agent at the current market price with the proceeds remitted to the Participant. Shareholders who have previously withdrawn from the Plan may rejoin at any time by sending written instructions signed by all registered owners to the Agent. There is no direct charge for participation in the Plan; all fees of the Agent are paid by the Trust. There are no brokerage charges for Shares issued directly by the Trust. However, each Participant will pay a pro rata share of brokerage commissions incurred with respect to open market purchases of Shares to be issued under the Plan. Participants will receive tax information annually for their personal records and to assist in federal income tax return preparation. The automatic reinvestment of Distributions does not relieve Participants of any income tax that may be payable on Distributions. The Plan may be terminated or amended at any time upon 30 days' prior written notice to Participants which, with respect to a Plan termination, must precede the record date of any Distribution by the Trust. Additional information concerning the Plan may be obtained by shareholders holding Shares registered directly in their names by writing the Agent, Shareholder Financial Services, Inc., P.O. Box 173673, Denver, CO 80217-3673 or by calling 1-800-647-7374. Shareholders holding Shares in nominee name should contact their brokerage firm or other nominee for more information. Shareholder Information -- The Shares are traded on the NYSE. Daily market prices for the Trust's shares are published in the New York Stock Exchange Composite Transaction section of newspapers under the designation "OppenMlti." The Trust's NYSE trading symbol is OMS. Weekly net asset value (NAV) and market price information about the Trust is published each Monday in The Wall Street Journal and each Sunday in The New York Times and each Saturday in Barron's, and other newspapers in a table called "Closed-End Bond Funds." 38 40 (This Page Intentionally Left Blank) 39 41 OPPENHEIMER MULTI-SECTOR INCOME TRUST Officers and Trustees Leon Levy, Chairman of the Board of Trustees Donald W. Spiro, Vice Chairman of the Board of Trustees Bridget A. Macaskill, Trustee and President Robert G. Galli, Trustee Benjamin Lipstein, Trustee Elizabeth B. Moynihan, Trustee Kenneth A. Randall, Trustee Edward V. Regan, Trustee Russell S. Reynolds, Jr., Trustee Pauline Trigere, Trustee Clayton K. Yeutter, Trustee Robert E. Patterson, Vice President Thomas P. Reedy, Vice President Ashwin K. Vasan, Vice President Carol E. Wolf, Vice President Arthur J. Zimmer, Vice President George C. Bowen, Treasurer Robert J. Bishop, Assistant Treasurer Scott T. Farrar, Assistant Treasurer Andrew J. Donohue, Secretary Robert G. Zack, Assistant Secretary Investment Advisor OppenheimerFunds, Inc. Administrator Mitchell Hutchins Asset Management Inc. Transfer Agent and Registrar Shareholder Financial Services, Inc. Custodian of Portfolio Securities The Bank of New York Independent Auditors KPMG Peat Marwick LLP Legal Counsel Gordon Altman Butowsky Weitzen Shalov & Wein This is a copy of a report to shareholders of Oppenheimer Multi-Sector Income Trust. It does not offer for sale or solicit orders to buy any securities. Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940 that periodically the Trust may purchase its shares of beneficial interest in the open market at prevailing market prices. Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, and are not insured by the FDIC or any other agency, and involve investment risks, including possible loss of the principal amount invested. RA0680.001.1097 [RECYCLELOGO] Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----