-----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, Wb9OYJwIfDncGLoBUgLWKc9GjL/0b2b1YWH+EMHjCFFw2M1KdwSCOKL300E7ymY8 x2R4/t5pSCL7ThWlTJGdiQ== 0000935069-03-001545.txt : 20031119 0000935069-03-001545.hdr.sgml : 20031119 20031119133734 ACCESSION NUMBER: 0000935069-03-001545 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20030930 FILED AS OF DATE: 20031119 EFFECTIVENESS DATE: 20031119 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER STRATEGIC INCOME FUND CENTRAL INDEX KEY: 0000850134 IRS NUMBER: 841120195 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05724 FILM NUMBER: 031012370 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER STRATEGIC FUNDS TRUST DATE OF NAME CHANGE: 19940330 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER STRATEGIC INCOME FUND DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER TOTAL INCOME FUND DATE OF NAME CHANGE: 19890906 N-CSR 1 ra0230_9436vef.txt RA0230_9436VEF UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-5724 Oppenheimer Strategic Income Fund (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. 498 Seventh Avenue, New York, New York 10018 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: September 30 Date of reporting period: October 1, 2002 - September 30, 2003 ITEM 1. REPORTS TO STOCKHOLDERS. FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- How has the Fund performed? Below is a discussion by OppenheimerFunds, Inc., of the Fund's performance during its fiscal year ended September 30, 2003, followed by a graphical comparison of the Fund's performance to an appropriate broad-based market index. Management's Discussion of Fund Performance. Oppenheimer Strategic Income Fund's positive returns during its fiscal year were driven primarily by its investments in high-yield corporate bonds. As a group, lower-rated bonds rallied strongly after falling to cyclical lows at the start of the reporting period. Improving investor sentiment created greater demand for high-yield bonds as economic expectations improved, and scandal-related concerns eased. Within the corporate bond market, we emphasized securities in the wireless telecommunications and utilities groups. We believed that prices of many such bonds had fallen too far during the declines that roiled both industry groups. Indeed, the Fund received strong returns from these areas as investors' concerns waned. In addition, the Fund successfully employed some yield-enhancement strategies using index-linked structured notes in the high-yield bond market. The Fund also benefited from its relatively short duration posture among U.S. government securities, which reduced the Fund's sensitivity to rising interest rates. Although this relatively defensive posture hindered performance while interest rates fell through June 2003, it helped the Fund avoid the brunt of the market's sharp declines in July and August, when rates rose sharply. Similarly, the Fund's relatively defensive posture helped it weather heightened volatility in the mortgage-backed securities market. By focusing primarily on securities backed by higher-rate mortgages, we reduced the uncertainty related to expected prepayments as a record number of homeowners refinanced their mortgages. Although the Fund benefited from its foreign investments as the U.S. dollar generally weakened relative to the euro and yen, the foreign government sector neither contributed nor detracted substantially from the Fund's returns during the reporting period. Because the year was characterized by declining interest rates and bond yields, the Fund's dividend distribution rate was adjusted in February and again in September, to reflect lower yields among many fixed-income securities, ranging from U.S. Treasuries to high-yield corporates. However, the Fund's yield should be considered in context of inflation. With inflation at very low levels, the Fund's "real" yield remained relatively high and the purchasing power of its income stream remained relatively strong. Between the start and end of the reporting period, we increased the Fund's emphasis on credit-sensitive securities over those that are more interest-rate sensitive. However, after their recent gains, we recently have taken some profits in emerging-market foreign bonds, reducing the Fund's exposure to the sector and increasing its holdings of 5 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- developed-market bonds, which we expect to benefit if the U.S. dollar remains relatively weak. In addition, during the spring, we sold the Fund's holdings of investment-grade corporate bonds after they had appreciated to levels we no longer considered attractive values. In the more interest rate-sensitive areas, we have maintained a modestly heavier-than-average position in mortgage-backed securities because of the declining risk of prepayments as refinancing activity ebbs. Of course, the Fund's composition is likely to change as economic and market conditions evolve. The Fund's holdings, strategies and management are subject to change. Comparing the Fund's Performance to the Market. The graphs that follow show the performance of a hypothetical $10,000 investment in each class of shares of the Fund held until September 30, 2003. In the case of Class A and B shares, performance is measured over a ten-year period; Class C shares since inception of the Class on May 26, 1995 and Class Y shares since inception of the Class on January 26, 1998. In the case of Class N shares, performance is measured from inception of the Class on March 1, 2001. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C and Class N shares, and reinvestments of all dividends and capital gains distributions. The performance of each class of the Fund's shares is compared to two indices because the Fund invests in a variety of debt securities in domestic and foreign markets. The Fund's performance is compared to the performance of the Lehman Brothers Aggregate Bond Index and the Citigroup World Government Bond Index, formerly Salomon Brothers World Government Bond Index. The former is a broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government securities and mortgage-backed securities widely regarded as a measure of the performance of the domestic debt securities market. The latter is an unmanaged index of fixed-rate bonds having a maturity of one year or more, widely regarded as a benchmark of fixed-income performance on a world-wide basis. Index performance reflects the reinvestment of income but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund's performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the securities in the indices and include below investment-grade obligations, which carry a greater risk of default. 6 | OPPENHEIMER STRATEGIC INCOME FUND Class A Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: [LINE CHART] Oppenheimer Lehman Brothers Citigroup Strategic Income Aggregate World Government Date Fund (Class A) Bond Index Bond Index 09/30/1993 $9,525 $10,000 $10,000 12/31/1993 $9,959 $10,006 $9,996 03/31/1994 $9,628 $9,719 $9,996 06/30/1994 $9,580 $9,619 $10,063 09/30/1994 $9,706 $9,678 $10,181 12/31/1994 $9,516 $9,714 $10,230 03/31/1995 $9,665 $10,204 $11,349 06/30/1995 $10,223 $10,826 $11,954 09/30/1995 $10,543 $11,038 $11,829 12/31/1995 $10,979 $11,509 $12,178 03/31/1996 $11,179 $11,305 $11,949 06/30/1996 $11,474 $11,369 $11,998 09/30/1996 $11,920 $11,579 $12,325 12/31/1996 $12,361 $11,927 $12,619 03/31/1997 $12,333 $11,860 $12,097 06/30/1997 $12,832 $12,295 $12,463 09/30/1997 $13,265 $12,704 $12,622 12/31/1997 $13,395 $13,078 $12,648 03/31/1998 $13,753 $13,281 $12,747 06/30/1998 $13,843 $13,592 $13,001 09/30/1998 $13,371 $14,166 $14,083 12/31/1998 $13,618 $14,214 $14,584 03/31/1999 $13,691 $14,144 $14,021 06/30/1999 $13,736 $14,019 $13,538 09/30/1999 $13,760 $14,114 $14,151 12/31/1999 $14,168 $14,097 $13,962 03/31/2000 $14,393 $14,408 $13,986 06/30/2000 $14,472 $14,659 $13,965 09/30/2000 $14,610 $15,101 $13,599 12/31/2000 $14,482 $15,736 $14,183 03/31/2001 $14,740 $16,214 $13,752 06/30/2001 $14,617 $16,305 $13,536 09/30/2001 $14,349 $17,057 $14,505 12/31/2001 $14,991 $17,065 $14,043 03/31/2002 $15,242 $17,081 $13,817 06/30/2002 $15,236 $17,712 $15,426 09/30/2002 $15,300 $18,523 $16,023 12/31/2002 $16,017 $18,815 $16,781 03/31/2003 $16,630 $19,077 $17,302 06/30/2003 $17,718 $19,554 $17,973 09/30/2003 $18,297 $19,526 $18,328 Average Annual Total Returns of Class A Shares of the Fund at 9/30/03* 1-Year 13.91% 5-Year 5.44% 10-Year 6.23% Class B Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: [LINE CHART] Oppenheimer Lehman Brothers Citigroup Strategic Income Aggregate World Government Date Fund (Class B) Bond Index Bond Index 09/30/1993 $10,000 $10,000 $10,000 12/31/1993 $10,434 $10,006 $9,996 03/31/1994 $10,048 $9,719 $9,996 06/30/1994 $10,000 $9,619 $10,063 09/30/1994 $10,111 $9,678 $10,181 12/31/1994 $9,895 $9,714 $10,230 03/31/1995 $10,009 $10,204 $11,349 06/30/1995 $10,589 $10,826 $11,954 09/30/1995 $10,899 $11,038 $11,829 12/31/1995 $11,328 $11,509 $12,178 03/31/1996 $11,512 $11,305 $11,949 06/30/1996 $11,793 $11,369 $11,998 09/30/1996 $12,228 $11,579 $12,325 12/31/1996 $12,655 $11,927 $12,619 03/31/1997 $12,603 $11,860 $12,097 06/30/1997 $13,088 $12,295 $12,463 09/30/1997 $13,503 $12,704 $12,622 12/31/1997 $13,609 $13,078 $12,648 03/31/1998 $13,946 $13,281 $12,747 06/30/1998 $14,011 $13,592 $13,001 09/30/1998 $13,538 $14,166 $14,083 12/31/1998 $13,732 $14,214 $14,584 03/31/1999 $13,780 $14,144 $14,021 06/30/1999 $13,830 $14,019 $13,538 09/30/1999 $13,806 $14,114 $14,151 12/31/1999 $14,215 $14,097 $13,962 03/31/2000 $14,440 $14,408 $13,986 06/30/2000 $14,519 $14,659 $13,965 09/30/2000 $14,658 $15,101 $13,599 12/31/2000 $14,529 $15,736 $14,183 03/31/2001 $14,788 $16,214 $13,752 06/30/2001 $14,665 $16,305 $13,536 09/30/2001 $14,396 $17,057 $14,505 12/31/2001 $15,041 $17,065 $14,043 03/31/2002 $15,293 $17,081 $13,817 06/30/2002 $15,286 $17,712 $15,426 09/30/2002 $15,351 $18,523 $16,023 12/31/2002 $16,070 $18,815 $16,781 03/31/2003 $16,684 $19,077 $17,302 06/30/2003 $17,776 $19,554 $17,973 09/30/2003 $18,357 $19,526 $18,328 Average Annual Total Returns of Class B Shares of the Fund at 9/30/03* 1-Year 13.62% 5-Year 5.38% 10-Year 6.26% *See Notes on page 10 for further details. The performance information for both indices in the graphs begins on 9/30/93 for Class A and B, 5/31/95 for Class C, 2/28/01 for Class N and 1/31/98 for Class Y shares. Past performance cannot guarantee future results. Graphs are not drawn to same scale. 7 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- Class C Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: [LINE CHART] Oppenheimer Lehman Brothers Citigroup Strategic Income Aggregate World Government Date Fund (Class C) Bond Index Bond Index 05/26/1995 $10,000 $10,000 $10,000 06/30/1995 $10,023 $10,073 $10,059 09/30/1995 $10,309 $10,271 $9,954 12/31/1995 $10,715 $10,709 $10,247 03/31/1996 $10,889 $10,519 $10,055 06/30/1996 $11,131 $10,579 $10,096 09/30/1996 $11,542 $10,774 $10,371 12/31/1996 $11,970 $11,098 $10,618 03/31/1997 $11,920 $11,036 $10,179 06/30/1997 $12,354 $11,441 $10,488 09/30/1997 $12,773 $11,821 $10,621 12/31/1997 $12,848 $12,169 $10,643 03/31/1998 $13,167 $12,358 $10,727 06/30/1998 $13,229 $12,647 $10,940 09/30/1998 $12,780 $13,182 $11,851 12/31/1998 $12,965 $13,226 $12,272 03/31/1999 $13,039 $13,160 $11,798 06/30/1999 $13,057 $13,045 $11,392 09/30/1999 $13,026 $13,133 $11,908 12/31/1999 $13,418 $13,117 $11,748 03/31/2000 $13,574 $13,407 $11,769 06/30/2000 $13,655 $13,640 $11,752 09/30/2000 $13,728 $14,051 $11,443 12/31/2000 $13,615 $14,642 $11,935 03/31/2001 $13,832 $15,087 $11,572 06/30/2001 $13,692 $15,172 $11,390 09/30/2001 $13,380 $15,872 $12,206 12/31/2001 $13,990 $15,879 $11,817 03/31/2002 $14,162 $15,894 $11,626 06/30/2002 $14,130 $16,481 $12,981 09/30/2002 $14,202 $17,236 $13,483 12/31/2002 $14,803 $17,507 $14,121 03/31/2003 $15,382 $17,751 $14,559 06/30/2003 $16,360 $18,195 $15,124 09/30/2003 $16,822 $18,168 $15,423 Average Annual Total Returns of Class C Shares of the Fund at 9/30/03* 1-Year 17.45% 5-Year 5.65% Since Inception 6.43% Class N Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: [LINE CHART] Oppenheimer Lehman Brothers Citigroup Strategic Income Aggregate World Government Date Fund (Class N) Bond Index Bond Index 03/01/2001 $10,000 $10,000 $10,000 03/31/2001 $9,799 $10,050 $9,712 06/30/2001 $9,717 $10,107 $9,560 09/30/2001 $9,539 $10,573 $10,244 12/31/2001 $9,988 $10,578 $9,917 03/31/2002 $10,122 $10,588 $9,757 06/30/2002 $10,112 $10,979 $10,894 09/30/2002 $10,177 $11,482 $11,316 12/31/2002 $10,617 $11,663 $11,851 03/31/2003 $11,044 $11,825 $12,219 06/30/2003 $11,753 $12,121 $12,693 09/30/2003 $12,092 $12,103 $12,944 Average Annual Total Returns of Class N Shares of the Fund at 9/30/03* 1-Year 17.82% Since Inception 7.64% *See Notes on page 10 for further details. 8 | OPPENHEIMER STRATEGIC INCOME FUND Class Y Shares Comparison of Change in Value of $10,000 Hypothetical Investments in: [LINE CHART] Oppenheimer Lehman Brothers Citigroup Strategic Income Aggregate World Government Date Fund (Class Y) Bond Index Bond Index 01/26/1998 $10,000 $10,000 $10,000 03/31/1998 $10,181 $10,027 $9,981 06/30/1998 $10,257 $10,261 $10,180 09/30/1998 $9,936 $10,695 $11,028 12/31/1998 $10,108 $10,731 $11,420 03/31/1999 $10,194 $10,678 $10,979 06/30/1999 $10,237 $10,584 $10,600 09/30/1999 $10,241 $10,656 $11,081 12/31/1999 $10,579 $10,643 $10,932 03/31/2000 $10,732 $10,878 $10,951 06/30/2000 $10,826 $11,067 $10,935 09/30/2000 $10,912 $11,401 $10,648 12/31/2000 $10,850 $11,880 $11,106 03/31/2001 $11,049 $12,241 $10,768 06/30/2001 $10,965 $12,310 $10,599 09/30/2001 $10,740 $12,877 $11,358 12/31/2001 $11,256 $12,883 $10,996 03/31/2002 $11,419 $12,895 $10,819 06/30/2002 $11,416 $13,372 $12,079 09/30/2002 $11,498 $13,984 $12,546 12/31/2002 $12,021 $14,204 $13,140 03/31/2003 $12,496 $14,402 $13,548 06/30/2003 $13,317 $14,762 $14,074 09/30/2003 $13,721 $14,741 $14,351 Average Annual Total Returns of Class Y Shares of the Fund at 9/30/03* 1-Year 19.33% 5-Year 6.67% Since Inception 5.73% The performance information for both indices in the graphs begins on 9/30/93 for Class A and B, 5/31/95 for Class C, 2/28/01 for Class N and 1/31/98 for Class Y shares. Past performance cannot guarantee future results. Graphs are not drawn to same scale. 9 | OPPENHEIMER STRATEGIC INCOME FUND NOTES - -------------------------------------------------------------------------------- In reviewing performance and rankings, please remember that past performance cannot guarantee future results. Investment return and principal value of an investment in the Fund will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. Because of ongoing market volatility, the Fund's performance may be subject to substantial fluctuations, and current performance may be more or less than the results shown. For updates on the Fund's performance, visit our website at www.oppenheimerfunds.com. Total returns and the ending account values in the graph includes changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. For more complete information about the Fund, including charges, expenses and risks, please refer to the prospectus. To obtain a copy, call your financial advisor, call OppenheimerFunds Distributor, Inc. at 1.800.CALL OPP (1.800.225.5677) or visit the OppenheimerFunds website at www.oppenheimerfunds.com. Read the prospectus carefully before you invest or send money. Class A shares of the Fund were first publicly offered on 10/16/89. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower prior to 2/1/93, so actual performance may have been higher. Class B shares of the Fund were first publicly offered on 11/30/92. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the "since inception" return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge. Class C shares of the Fund were first publicly offered on 5/26/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the one-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. Class N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the one-year period. Class N shares are subject to an annual 0.25% asset-based sales charge. Class Y shares of the Fund were first publicly offered on 1/26/98. Class Y shares are offered only to certain institutional investors under special agreement with the Distributor. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 10 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS September 30, 2003 - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities--4.9% American Money Management Corp., Commercial Debt Obligations Sub. Bonds, Series I, Cl. D1, 13.602%, 1/15/12 1 $ 8,642,914 $ 6,222,898 - --------------------------------------------------------------------------------------------------------------------------- Asset Backed Securities Corp., Home Equity Loan Trust Asset-Backed Pass-Through Certificates, Series 2001-HE1, Cl. B, 3.62%, 4/15/31 2 5,000,000 4,905,027 - --------------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2003-A, Cl. A2, 1.45%, 11/25/05 12,610,000 12,626,566 - --------------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2003-2, Cl. A2A, 1.20%, 5/16/05 7,930,000 7,927,683 - --------------------------------------------------------------------------------------------------------------------------- Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 4,770,000 4,772,292 - --------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-A, Cl. AF1, 1.836%, 10/25/17 2,027,781 2,030,752 Series 2003-B, Cl. AF1, 1.64%, 2/25/18 2,634,865 2,635,494 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 1 9,310,000 9,310,000 - --------------------------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-3, Cl. 1A1, 1.20%, 8/25/17 2 4,686,865 4,686,908 Series 2003-4, Cl. 1A1, 1.24%, 9/25/17 1,2 9,324,826 9,325,243 - --------------------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.26%, 1/16/06 3,420,000 3,420,464 Series 2003-B, Cl. A2, 1.287%, 3/15/06 3,720,000 3,721,570 - --------------------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-1, Cl. AF1, 1.94%, 1/25/33 1 4,298,112 4,306,920 Series 2003-2, Cl. AF1, 1.21%, 5/25/33 2 5,277,571 5,276,670 Series 2003-3, Cl. AF1, 1.24%, 12/15/05 2 6,780,000 6,780,000 - --------------------------------------------------------------------------------------------------------------------------- Conseco Finance Securitizations Corp., Home Equity Loan Pass-Through Certificates, Series 2001-D, Cl. M2, 2.87%, 11/15/32 2 8,500,000 8,301,512 - --------------------------------------------------------------------------------------------------------------------------- Conseco Finance Securitizations Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2, 10.32%, 12/1/30 1 5,000,000 1,153,125 - --------------------------------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 1 15,000,000 15,863,672 - --------------------------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates, Series 2000-1, Cl. BV, 3.22%, 3/25/31 1,2 4,161,328 4,148,599 - --------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2002-B, Cl. A2, 2.20%, 4/6/05 1,270,568 1,274,146 Series 2003-A, Cl. A2, 1.52%, 12/8/05 1 13,960,000 13,995,941 - --------------------------------------------------------------------------------------------------------------------------- DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 1,3,4 15,000,000 1,500 - --------------------------------------------------------------------------------------------------------------------------- DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 1 3,083,887 2,006,454 - --------------------------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Collateral Obligations, Series 2000-A, Cl. B, 0.678%, 8/15/25 1,3 2,275,078 11,375 - --------------------------------------------------------------------------------------------------------------------------- First U.S.A. Credit Card Master Trust, Asset-Backed Certificates, Series 2001-2, Cl. C, 2.07%, 11/20/06 2,5 10,000,000 10,020,426 - --------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Installment Sales, Series 2003-A, Cl. A2A, 1.62%, 8/15/05 5,919,717 5,930,348
11 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Asset-Backed Securities Continued Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1 $ 7,200,842 $ 360,042 - --------------------------------------------------------------------------------------------------------------------------- Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 1 5,000,000 3,340,625 - --------------------------------------------------------------------------------------------------------------------------- Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 1 5,214,000 2,435,064 - --------------------------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/16/07 3,988,720 4,003,065 Series 2003-3, Cl. A1, 1.50%, 1/15/08 12,398,618 12,432,693 - --------------------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivables Obligations: Series 2003-1, Cl. A2, 1.46%, 9/19/05 7,810,000 7,817,915 Series 2003-3, Cl. A2, 1.52%, 4/21/06 1 15,520,000 15,565,638 - --------------------------------------------------------------------------------------------------------------------------- Lehman ABS Manufactured Housing Contract, Commercial Mtg. Pass-Through Certificates, Series 2001-B, Cl. A4, 5.27%, 9/15/18 5,258,697 5,538,548 - --------------------------------------------------------------------------------------------------------------------------- Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 3.43%, 3/24/14 1,2 3,000,000 30,000 - --------------------------------------------------------------------------------------------------------------------------- MBNA Master Credit Card Trust, Asset-Backed Nts., Series 2000-H, Cl. C, 2.32%, 1/15/13 2,5 5,000,000 4,901,246 - --------------------------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 12/25/28 1 4,737,986 1,421,396 - --------------------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Auto Receivable Nts.: Series 2003-A, Cl. A2, 1.45%, 5/16/05 11,140,000 11,152,204 Series 2003-B, Cl. A2, 1.20%, 11/15/05 13,170,000 13,166,272 - --------------------------------------------------------------------------------------------------------------------------- Providian Master Trust, Sub. Collateralized Mtg. Obligations, Series 2000-2, Cl. C, 7.98%, 4/15/09 5 6,200,000 6,394,203 - --------------------------------------------------------------------------------------------------------------------------- Residential Funding Mortgage Securities II, Inc., Home Equity Loan Pass-Through Certificates, Series 2003-HS1, Cl. AI2, 1.22%, 1/25/33 1,2 5,645,372 5,647,055 - --------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Home Equity Pass-Through Certificates, Series 2002-WM1, Cl. M2, 2.675%, 1/25/32 1,2 8,000,000 8,014,746 - --------------------------------------------------------------------------------------------------------------------------- SB Finance Trust, Mtg. Pass-Through Certificates, Series 1999-1, Cl. D, 10.50%, 6/25/29 1 129,279 129,198 - --------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 1999-SP1, Cl. B, 9%, 5/25/29 5,417,369 5,461,807 - --------------------------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 3,960,000 4,025,346 Series 2003-A, Cl. A2, 1.28%, 8/15/05 11,870,000 11,871,170 Series 2003-B, Cl. A2, 1.43%, 2/15/06 8,990,000 8,990,000 - --------------------------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts., Series 2003-1, Cl. A2, 1.22%, 4/17/06 7,860,000 7,861,295 - --------------------------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivables, Series 2003-1, Cl. A2, 1.11%, 12/20/05 15,550,000 15,535,814 - --------------------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivables, Series 2003-1, Cl. A2A, 1.40%, 4/15/06 6 12,860,000 12,864,019 ----------------- Total Asset-Backed Securities (Cost $358,500,746) 319,614,946
12 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Mortgage-Backed Obligations--20.3% - --------------------------------------------------------------------------------------------------------------------------- Government Agency--15.1% - --------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored--14.5% Federal Home Loan Mortgage Corp.: 7%, 9/1/33 6 $ 8,090,000 $ 8,542,534 7.50%, 2/1/32 7,975,595 8,533,969 8.50%, 8/1/31 5,280,441 5,679,184 10%, 4/1/20-5/1/20 779,243 881,100 10.50%, 5/1/20 833,912 969,337 11.50%, 10/1/16-1/1/18 741,148 839,849 12%, 6/1/17 1,656,698 1,890,606 - --------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2347, Cl. PD, 6.50%, 8/15/31 15,413,000 16,300,675 Series 2368, Cl. PN, 6.50%, 7/15/28 4,746,158 4,774,015 Series 2410, Cl. NE, 6.50%, 9/15/30 25,000,000 26,322,532 Series 2413, Cl. MH, 6.50%, 2/15/32 25,000,000 26,698,632 Series 2423, Cl. PD, 6.50%, 11/15/30 13,700,000 14,002,838 Series 2430, Cl. GD, 6.50%, 11/15/30 25,000,000 25,782,032 Series 2430, Cl. ND, 6.50%, 1/15/31 25,000,000 25,703,235 Series 2500, Cl. FD, 1.62%, 6/15/32 2 3,786,591 3,820,565 Series 2526, Cl. FE, 1.52%, 6/15/29 2 3,695,839 3,717,110 Series 2551, Cl. FD, 1.52%, 1/15/33 2 3,215,663 3,228,173 - --------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 204, Cl. IO, (16.409)%, 5/15/29 7 685,987 98,646 Series 206, Cl. IO, (29.393)%, 12/15/29 7 4,813,005 782,151 Series 207, Cl. IO, (41.686)%, 4/15/30 7 5,581,108 753,777 Series 208, Cl. IO, (40.435)%, 6/1/30 7 4,855,628 651,810 Series 212, Cl. IO, (24.476)%, 5/1/31 7 6,216,783 771,843 Series 214, Cl. IO, (41.10)%, 6/1/31 7 4,504,298 623,844 Series 217, Cl. IO, (38.747)%, 2/1/32 7 5,557,590 738,276 - --------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations: Series H003, Cl. A2, 1.88%, 1/15/07 2,840,754 2,855,881 Series H006, Cl. A1, 1.724%, 4/15/08 1 2,987,562 2,990,982 Series T-42, Cl. A2, 5.50%, 2/25/42 2,106,457 2,151,730 - --------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 5%, 10/1/33 6 15,474,000 15,478,828 5.50%, 10/1/33 75,104,000 76,629,512 6%, 10/25/33 6 107,052,000 110,497,790 6.50%, 1/1/29-11/25/33 64,755,341 67,428,786 6.50%, 10/25/33 6 111,971,000 116,729,767 7%, 9/1/29-12/1/29 1,297,209 1,374,138 7%, 10/25/33 6 307,357,000 324,934,132 8.50%, 7/1/32 1,325,134 1,427,739 9.50%, 4/1/20-3/15/21 332,213 368,056 10.50%, 10/1/19 82,565 94,053 11%, 10/15/15-2/1/26 1,210,973 1,383,415 15%, 4/15/13 808,615 969,054
13 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/Sponsored Continued Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1994-27, Cl. PH, 6.50%, 9/25/22 $ 1,938,885 $ 1,969,079 Trust 2001-38, Cl. CD, 6.50%, 5/25/29 3,342,427 3,349,381 Trust 2001-50, Cl. LD, 6.50%, 5/25/30 11,012,000 11,254,761 Trust 2002-77, Cl. WF, 1.52%, 12/18/32 2 5,601,063 5,616,953 - --------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates Interest-Only Stripped Mtg.-Backed Security: Trust 2001-T3, Cl. IO, (11.625)%, 2/25/29 1,7 58,756,450 1,193,490 Trust 2001-T4, Cl. IO, (11.932)%, 7/25/28 1,7 98,012,124 2,511,561 - --------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Security, Trust 2001-T10, Cl. IO, 1.32%, 12/25/31 1,7 583,834,118 9,122,408 - --------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 313, Cl. 2, (42.47)%, 6/25/31 7 24,595,679 3,311,137 Trust 321, Cl. 2, (9.30)%, 3/1/32 7 5,761,283 854,430 ----------------- 946,603,796 - --------------------------------------------------------------------------------------------------------------------------- GNMA/Guaranteed--0.6% Government National Mortgage Assn.: 7%, 1/15/28-1/20/30 11,490,514 12,228,672 8%, 1/15/28-9/15/28 6,320,906 6,834,851 12.50%, 12/15/13-11/15/15 4,095,620 4,753,760 13%, 10/15/15 6,294,786 7,367,476 13.50%, 6/15/15 7,843,554 9,238,266 ----------------- 40,423,025 - --------------------------------------------------------------------------------------------------------------------------- Private--5.2% - --------------------------------------------------------------------------------------------------------------------------- Agricultural--0.0% Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates: Series 1992-2, Cl. B2, 2.638%,1/15/03 1,3 661,737 -- Series 1992-2, Cl. B3, 8.13%, 4/15/09 1,2 1,388,705 305,515 ----------------- 305,515 - --------------------------------------------------------------------------------------------------------------------------- Commercial--3.9% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 5,000,000 5,773,433 Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,000,000 23,051,082 Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 7,000,000 7,746,072 Series 1996-D2, Cl. A3, 4.786%, 2/14/29 2 11,767,000 12,518,736 Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,875,000 9,504,508 Series 1996-MD6, Cl. A7, 7.962%, 11/13/29 2 18,860,000 16,918,465 - --------------------------------------------------------------------------------------------------------------------------- CBA Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1993-C1, Cl. F, 6.72%, 12/25/03 1 14,300,000 14,180,461 - --------------------------------------------------------------------------------------------------------------------------- Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligations, Series 1996-C2, Cl. F, 7.691%, 9/15/23 2,5 2,500,000 2,667,966 - --------------------------------------------------------------------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Commercial Mtg. Interest-Only Certificates, Series 2002-CKP1, Cl. AX, 12.06%, 12/15/35 5,7 415,485,486 6,324,354
14 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Commercial Continued DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1999-STF1, Cl. B6, 7/5/08 1,3 $ 55,709,338 $ 55,709 - --------------------------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 1 36,400,000 18,149,040 - --------------------------------------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates: Series 1997-CHL1, Cl. D, 7.975%, 4/29/39 1,2 8,500,001 8,538,515 Series 1997-CHL1, Cl. E, 7.975%, 4/29/39 1,2 14,500,002 12,184,540 - --------------------------------------------------------------------------------------------------------------------------- GE Capital Mortgage Services, Inc., Interest-Only Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-5, Cl. S, (94.877)%, 5/25/29 1,7 71,892,440 179,731 Series 1999-11, Cl. S, (92.407)%, 7/25/29 1,7 94,224,085 206,115 - --------------------------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Interest-Only Mtg. Obligations, Series 1999-PLS1, Cl. X, 13.964%, 2/15/32 1,7 115,301,812 2,274,905 - --------------------------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,700,000 12,746,804 - --------------------------------------------------------------------------------------------------------------------------- LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,429,000 9,914,057 - --------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2000-C3, Cl. A2, 7.95%, 1/15/10 10,000,000 12,100,766 - --------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1,2 1,864,242 1,789,672 - --------------------------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 7.689%, 6/15/21 2 1,311,423 1,428,387 - --------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. F, 7.442%, 2/15/28 2,5 13,360,980 12,133,603 Series 1997-RR, Cl. D, 7.702%, 4/30/39 2,5 2,950,159 2,736,414 Series 1997-RR, Cl. E, 7.702%, 4/30/39 2,5 9,200,496 7,387,271 Series 1997-RR, Cl. F, 7.702%, 4/30/39 2,5 30,801,659 20,834,333 Series 1997-XL1, Cl. G, 7.695%, 10/3/30 5 14,358,000 13,372,315 - --------------------------------------------------------------------------------------------------------------------------- Norwest Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 1999-18, Cl. A2, 6%, 7/25/29 731,409 731,221 - --------------------------------------------------------------------------------------------------------------------------- PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 10,000,000 11,287,300 - --------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. F, 8.467%, 1/20/06 1,2 9,632,000 8,993,880 - --------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Commercial Mtg. Obligations, Series 1995-C4, Cl. E, 8.598%, 6/25/26 1,2 234,418 234,453 ----------------- 255,964,108 - --------------------------------------------------------------------------------------------------------------------------- Multifamily--0.0% Countrywide Funding Corp., Mtg. Pass-Through Certificates: Series 1993-11, Cl. B1, 6.25%, 2/25/09 219,164 219,119 Series 1993-11, Cl. B3, 6.25%, 2/25/09 1 117,412 88,059 ----------------- 307,178 - --------------------------------------------------------------------------------------------------------------------------- Other--0.1% CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 3,370,000 3,370,000
15 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Residential--1.2% Citicorp Mortgage Securities, Inc., Collateralized Mtg. Obligations, Series 2001-6, Cl. A4, 6.50%, 5/25/29 $ 19,550,000 $ 20,002,324 - --------------------------------------------------------------------------------------------------------------------------- Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1993-12, Cl. B1, 6.625%, 2/25/24 506,787 506,701 - --------------------------------------------------------------------------------------------------------------------------- Granite Mortgages plc, Mtg.-Backed Obligations, Series 2002-2, Cl. 1A1, 1.22%, 1/21/17 2 193,154 193,148 - --------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Interest-Only Mtg. Pass-Through Certificates, Series 2001-GE9, Cl. A, (99.999)%, 1/25/31 1,7 24,110,812 1,446,649 - --------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2001-GE4, Cl. A, 8.946%, 10/25/30 2 3,665,102 3,710,916 - --------------------------------------------------------------------------------------------------------------------------- Norwest Asset Securities Corp., Collateralized Mtg. Obligations, Mtg. Pass-Through Certificates, Series 1999-18, Cl. A17, 6.75%, 7/25/29 11,886,286 11,977,596 - --------------------------------------------------------------------------------------------------------------------------- Residential Accredit Loans, Inc., Collateralized Mtg. Obligations, Mtg. Asset-Backed Pass-Through Certificates, Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 2,428,578 2,426,890 - --------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Collateralized Mtg. Obligations: Series 2000-UP1, Cl. A2, 8%, 9/25/30 3,443,924 3,592,303 Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 4,088,518 4,291,014 - --------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-B, Cl. 1, 7.254%, 4/25/26 1,2 3,307,453 2,842,342 - --------------------------------------------------------------------------------------------------------------------------- Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 1 2,500,000 2,614,287 - --------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 14,000,000 14,420,248 - --------------------------------------------------------------------------------------------------------------------------- Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1992-2, Cl. IO, (15.256)%, 9/15/22 7 43,278,975 764,025 Series 1995-2B, Cl. 2IO, 17.595%, 6/15/25 7 3,594,545 56,228 Series 1995-3, Cl. 1IO, (20.741)%, 9/15/25 7 111,790,469 681,922 - --------------------------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Obligations, Pass-Through Certificates, Series 2003-AR7, Cl. A1, 1.51%, 8/25/33 2 8,394,074 8,379,766 ----------------- 77,906,359 ----------------- Total Mortgage-Backed Obligations (Cost $1,322,093,175) 1,324,879,981 - --------------------------------------------------------------------------------------------------------------------------- U.S. Government Obligations--6.8% Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.75%, 8/15/06 8 80,000,000 81,346,000 4.50%, 1/15/13 16,000,000 16,217,024 4.50%, 7/15/13 8 16,000,000 16,188,976 4.875%, 3/15/07 8 2,000,000 2,159,886 - --------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 8 43,000,000 45,517,005 5.50%, 2/15/06 8 33,480,000 36,317,430 7.25%, 5/15/30 8 48,000,000 60,229,536 - --------------------------------------------------------------------------------------------------------------------------- Resolution Funding Corp. Federal Book Entry Principal Strips, 6.14%, 1/15/21 8,9 52,460,000 20,486,574
16 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- U.S. Government Obligations Continued U.S. Treasury Bonds: 5.375%, 2/15/31 8 $ 4,553,000 $ 4,887,363 5.50%, 8/15/28 8,10 48,750,000 52,234,894 6.125%, 11/15/27 8 3,909,000 4,528,791 6.25%, 5/15/30 8 2,594,000 3,078,858 9.25%, 2/15/16 8,11,12 32,000,000 47,106,272 STRIPS, 4.93%, 2/15/16 9 34,499,000 19,300,293 STRIPS, 4.94%, 8/15/17 8,9 19,980,000 10,166,763 STRIPS, 5.94%, 11/15/24 8,9 32,490,000 10,542,973 - --------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 5.75%, 8/15/10 7,000,000 8,016,372 6.50%, 2/15/10 8 4,615,000 5,477,973 ----------------- Total U.S. Government Obligations (Cost $436,627,514) 443,802,983 - --------------------------------------------------------------------------------------------------------------------------- Foreign Government Obligations--27.2% - --------------------------------------------------------------------------------------------------------------------------- Argentina--0.9% Argentina (Republic of) Bonds: 1.162%, 8/3/12 2 83,835,000 50,586,961 1.278%, 5/3/05 3,4 1,218,000 1,120,560 2%, 9/30/08 1 [ARP] 12,985,000 3,446,747 Series PR12, 2%, 1/3/16 1,3,4 [ARP] 224,891 52,314 - --------------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Disc. Bonds, 2.345%, 3/31/23 3,4 3,800,000 1,881,000 - --------------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Par Bonds, 5.984%, 3/31/23 3 5,450,000 2,697,750 - --------------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Treasury Bills, 14.75%, 10/8/04 9 [ARP] 253,000 76,791 - --------------------------------------------------------------------------------------------------------------------------- Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 3.257%, 4/1/07 1,3 [ARP] 1,374,528 454,303 - --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, Argentina (Republic of) Treasury Bills, 8.84%, 2/20/04 1,9 [ARP] 480,000 157,555 ----------------- 60,473,981 - --------------------------------------------------------------------------------------------------------------------------- Austria--0.7% Austria (Republic of) Nts.: 5.50%, 10/20/07 [EUR] 19,935,000 25,405,662 Series 98-3, 3.90%, 10/20/05 [EUR] 8,085,000 9,712,487 - --------------------------------------------------------------------------------------------------------------------------- Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 5%, 7/15/12 [EUR] 7,740,000 9,735,245 ----------------- 44,853,394 - --------------------------------------------------------------------------------------------------------------------------- Belgium--0.9% Belgium (Kingdom of) Bonds: 5%, 9/28/11 [EUR] 4,695,000 5,898,405 Series 19, 6.50%, 3/31/05 [EUR] 11,800,000 14,601,916 Series 26, 6.25%, 3/28/07 [EUR] 19,320,000 24,980,751 Series 28, 5.75%, 3/28/08 [EUR] 8,780,000 11,323,907 ----------------- 56,804,979 - --------------------------------------------------------------------------------------------------------------------------- Brazil--1.4% Brazil (Federal Republic of) Bonds, Series 15 yr., 2.188%, 4/15/09 2 165,583 149,645
17 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Brazil Continued Brazil (Federal Republic of) Unsec. Unsub. Bonds: 10%, 8/7/11 $ 38,482,000 $ 37,904,770 11%, 8/17/39 200 190 Cl. B, 8.875%, 4/15/24 63,760,000 51,071,760 ----------------- 89,126,365 - --------------------------------------------------------------------------------------------------------------------------- Canada--0.3% Canada (Government of) Bonds, 5.50%, 6/1/10 [CAD] 21,195,000 16,919,561 - --------------------------------------------------------------------------------------------------------------------------- Colombia--0.1% Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 7,235,000 6,620,025 - --------------------------------------------------------------------------------------------------------------------------- Denmark--0.3% Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 119,500,000 19,232,599 - --------------------------------------------------------------------------------------------------------------------------- Dominican Republic--0.1% Dominican Republic Unsec. Unsub. Bonds, 9.50%, 9/27/06 4,968,000 4,918,320 - --------------------------------------------------------------------------------------------------------------------------- Finland--0.1% Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,990,000 3,497,760 - --------------------------------------------------------------------------------------------------------------------------- France--1.9% France (Government of) Obligations Assimilables du Tresor Bonds: 5%, 4/25/12 [EUR] 19,197,000 24,052,671 5.50%, 10/25/07 [EUR] 6,225,000 7,930,033 - --------------------------------------------------------------------------------------------------------------------------- France (Government of) Treasury Nts.: 3.50%, 7/12/04 [EUR] 42,210,000 49,713,068 3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 24,763,357 5 yr., 4.75%, 7/12/07 [EUR] 795,000 985,773 5 yr., 5%, 7/12/05 [EUR] 15,700,000 19,152,807 ----------------- 126,597,709 - --------------------------------------------------------------------------------------------------------------------------- Germany--2.0% Germany (Republic of) Bonds: 2%, 6/17/05 [EUR] 42,040,000 48,786,318 5.375%, 1/4/10 [EUR] 19,385,000 24,884,198 Series 01, 5%, 7/4/11 [EUR] 9,800,000 12,326,735 Series 02, 5%, 7/4/12 [EUR] 26,650,000 33,468,413 Series 140, 4.50%, 8/17/07 [EUR] 10,185,000 12,507,360 ----------------- 131,973,024 - --------------------------------------------------------------------------------------------------------------------------- Great Britain--0.5% United Kingdom Treasury Nts., 7.50%, 12/7/06 [GBP] 19,525,000 35,510,793 - --------------------------------------------------------------------------------------------------------------------------- Greece--1.0% Greece (Republic of) Bonds: 3.50%, 4/18/08 [EUR] 41,835,000 49,345,706 4.60%, 5/20/13 [EUR] 2,720,000 3,282,099 5.35%, 5/18/11 [EUR] 10,900,000 13,930,963 ----------------- 66,558,768
18 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Guatemala--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 $ 4,235,000 $ 4,870,250 10.25%, 11/8/11 5 2,910,000 3,346,500 ----------------- 8,216,750 - --------------------------------------------------------------------------------------------------------------------------- Italy--1.2% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali: 4%, 3/1/05 [EUR] 6,635,000 7,926,911 5%, 10/15/07 [EUR] 9,855,000 12,354,600 5%, 2/1/12 [EUR] 15,000,000 18,825,528 5.25%, 8/1/11 [EUR] 10,850,000 13,844,569 5.25%, 12/15/05 [EUR] 21,165,000 26,133,951 ----------------- 79,085,559 - --------------------------------------------------------------------------------------------------------------------------- Ivory Coast--0.0% Ivory Coast (Government of) Front Loaded Interest Reduction Bonds, 2%, 3/29/18 1,3,4 87,000 14,817 - --------------------------------------------------------------------------------------------------------------------------- Ivory Coast (Government of) Past Due Interest Bonds, 1.90%, 3/29/18 1,3,4 [FRF] 93,959,750 2,981,746 ----------------- 2,996,563 - --------------------------------------------------------------------------------------------------------------------------- Japan--6.7% Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 48,740,000,000 437,340,227 - --------------------------------------------------------------------------------------------------------------------------- Mexico--1.7% Mexican Williams Sr. Nts., 1.258%, 11/15/08 1,2 1,500,000 1,563,750 - --------------------------------------------------------------------------------------------------------------------------- United Mexican States Bonds: 6.75%, 6/6/06 [JPY] 707,000,000 7,241,822 7.50%, 4/8/33 10,545,000 11,045,887 8.30%, 8/15/31 6,210,000 7,066,980 - --------------------------------------------------------------------------------------------------------------------------- United Mexican States Global Bonds, 9.875%, 1/15/07 38,925,000 47,332,800 - --------------------------------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 9,202,000 10,430,467 - --------------------------------------------------------------------------------------------------------------------------- United Mexican States Sr. Nts., 9.75%, 4/6/05 3,485,000 3,911,913 - --------------------------------------------------------------------------------------------------------------------------- United Mexican States Unsec. Unsub. Nts.: 8.50%, 2/1/06 10,455,000 11,929,155 Series 6 BR, 6.75%, 6/6/06 [JPY] 755,000,000 7,733,487 ----------------- 108,256,261 - --------------------------------------------------------------------------------------------------------------------------- Nigeria--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,695,000 3,288,550 - --------------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,978,570 3,335,211 ----------------- 6,623,761 - --------------------------------------------------------------------------------------------------------------------------- Peru--0.6% Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 9 64,200,557 38,282,792 - --------------------------------------------------------------------------------------------------------------------------- Philippines--0.5% Philippines (Republic of) Bonds, 9.375%, 1/18/17 12,665,000 13,915,669
19 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Philippines Continued Philippines (Republic of) Nts.: 9.875%, 3/16/10 $ 2,975,000 $ 3,369,187 10.625%, 3/16/25 2,920,000 3,387,200 - --------------------------------------------------------------------------------------------------------------------------- Philippines (Republic of) Unsec. Bonds: 8.875%, 4/15/08 5,910,000 6,523,163 9.875%, 1/15/19 4,489,000 4,898,621 ----------------- 32,093,840 - --------------------------------------------------------------------------------------------------------------------------- Portugal--0.1% Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Bonds, 5.85%, 5/20/10 [EUR] 4,365,000 5,742,914 - --------------------------------------------------------------------------------------------------------------------------- Russia--3.0% Ministry Finance of Russia Debs.: Series V, 3%, 5/14/08 38,330,000 34,305,350 Series VI, 3%, 5/14/06 25,680,000 24,906,390 - --------------------------------------------------------------------------------------------------------------------------- Russian Federation Unsec. Unsub. Nts.: 8.75%, 7/24/05 73,565,000 81,197,369 10%, 6/26/07 44,060,000 52,541,550 - --------------------------------------------------------------------------------------------------------------------------- Russian Federation Unsub. Nts., 5%, 3/31/30 2 510,250 484,020 ----------------- 193,434,679 - --------------------------------------------------------------------------------------------------------------------------- Spain--1.0% Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado, 4.80%, 10/31/06 [EUR] 20,670,000 25,589,657 - --------------------------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Treasury Bills, 2.02%, 10/10/03 9 [EUR] 34,790,000 40,494,427 ----------------- 66,084,084 - --------------------------------------------------------------------------------------------------------------------------- Sweden--0.8% Sweden (Kingdom of) Debs., Series 1040, 6.50%, 5/5/08 [SEK] 369,070,000 52,983,974 - --------------------------------------------------------------------------------------------------------------------------- The Netherlands--0.9% The Netherlands (Government of) Bonds: 4%, 7/15/05 [EUR] 4,475,000 5,367,701 5%, 7/15/11 [EUR] 8,795,000 11,080,028 Series 1, 5.75%, 2/15/07 [EUR] 34,200,000 43,571,394 ----------------- 60,019,123 - --------------------------------------------------------------------------------------------------------------------------- Turkey--0.1% Turkey (Republic of) Sr. Unsec. Unsub. Nts., 11.875%, 1/15/30 5,045,000 5,852,200 - --------------------------------------------------------------------------------------------------------------------------- Ukraine--0.2% Ukraine (Government of) Bonds, 7.65%, 6/11/13 9,475,000 9,475,000 - --------------------------------------------------------------------------------------------------------------------------- Ukraine (Government of) Sr. Unsec. Nts., 11%, 3/15/07 4,625,647 5,179,568 ----------------- 14,654,568 ----------------- Total Foreign Government Obligations (Cost $1,685,272,874) 1,774,754,573
20 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Loan Participations--1.1% Algeria (Republic of) Loan Participation Nts., 2.063%, 3/4/10 1,2 $ 8,624,817 $ 8,290,605 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 25,000,000 25,090,000 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Indonesian Rupiah Loan Participation Nts.: 2.636%, 3/25/05 23,680,000 20,542,400 2.636%, 5/21/04 20,675,000 18,969,313 - --------------------------------------------------------------------------------------------------------------------------- Telergy, Inc., Sr. Sec. Credit Facilities Term Loan Participation Nts., Tranche A, 11.111%, 1/1/02 1,3,4 8,877,258 -- ----------------- Total Loan Participations (Cost $76,504,437) 72,892,318 - --------------------------------------------------------------------------------------------------------------------------- Corporate Bonds and Notes--35.4% - --------------------------------------------------------------------------------------------------------------------------- Consumer Discretionary--10.2% - --------------------------------------------------------------------------------------------------------------------------- Auto Components--0.7% Cambridge Industries, Inc., Liquidating Trust Interests, 7/15/07 1 5,189,534 -- - --------------------------------------------------------------------------------------------------------------------------- Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 1 1,900,000 2,014,000 - --------------------------------------------------------------------------------------------------------------------------- Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 8 2,700,000 2,349,000 - --------------------------------------------------------------------------------------------------------------------------- Dana Corp.: 9% Unsec. Nts., 8/15/11 8 8,920,000 9,812,000 10.125% Nts., 3/15/10 8 3,500,000 3,928,750 - --------------------------------------------------------------------------------------------------------------------------- Dura Operating Corp.: 8.625% Sr. Nts., Series B, 4/15/12 8 2,500,000 2,606,250 9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 3,000,000 3,231,625 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 8 1,550,000 1,449,250 - --------------------------------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 5 2,500,000 2,637,500 - --------------------------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 1,300,000 1,501,500 - --------------------------------------------------------------------------------------------------------------------------- Metaldyne Corp., 11% Sr. Sub. Nts., 6/15/12 8 4,900,000 4,410,000 - --------------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 8 7,750,000 8,893,125 - --------------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., 7/15/13 5 3,100,000 3,379,000 - --------------------------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 5 1,600,000 1,672,000 ----------------- 47,884,000 - --------------------------------------------------------------------------------------------------------------------------- Automobiles--0.3% DirecTV Holdings LLC, 8.375% Sr. Nts., 3/15/13 5 11,450,000 12,967,125 - --------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 7.375% Nts., 10/28/09 2,896,000 3,090,634 ----------------- 16,057,759 - --------------------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & Leisure--2.8% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 1 4,875,000 1,730,625 - --------------------------------------------------------------------------------------------------------------------------- Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,000,000 4,345,000 - --------------------------------------------------------------------------------------------------------------------------- Boca Resorts, Inc., 9.875% Sr. Sub. Nts., 4/15/09 6,800,000 7,284,500 - --------------------------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 8 3,600,000 3,919,500 - --------------------------------------------------------------------------------------------------------------------------- Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/1995 1,3,4 33,500 -- - --------------------------------------------------------------------------------------------------------------------------- Choctaw Resort Development Enterprise, 9.25% Sr. Unsec. Nts., 4/1/09 3,000,000 3,232,500 - --------------------------------------------------------------------------------------------------------------------------- Coast Hotels & Casinos, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/09 4,000,000 4,290,000 - --------------------------------------------------------------------------------------------------------------------------- Dominos, Inc., 8.25% Sr. Sub. Nts., 7/1/11 5,8 3,200,000 3,396,000
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Hotels, Restaurants & Leisure Continued Family Restaurants, Inc., 10.875% Sr. Sub. Disc. Nts., 2/1/04 1,3,4 $ 4,800,000 $ 48,000 - --------------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.625% Nts., 12/1/12 8 6,800,000 7,463,000 - --------------------------------------------------------------------------------------------------------------------------- Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 8 5,250,000 5,387,812 - --------------------------------------------------------------------------------------------------------------------------- Intrawest Corp., 9.75% Sr. Nts., 8/15/08 8 8,050,000 8,502,813 - --------------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 8.75% Sr. Unsec. Nts., 4/15/09 2,900,000 3,088,500 9% Sr. Sub. Nts., 3/15/12 8 7,200,000 7,866,000 - --------------------------------------------------------------------------------------------------------------------------- John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 3,100,000 3,371,250 - --------------------------------------------------------------------------------------------------------------------------- Jupiters Ltd., 8.50% Sr. Unsec. Nts., 3/1/06 1 7,100,000 7,783,375 - --------------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 8 3,500,000 4,033,750 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 8 4,800,000 5,544,000 - --------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 8 5,100,000 5,635,500 - --------------------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.375% Sr. Sub. Nts., 7/15/09 5 3,300,000 3,345,375 8% Sr. Sub. Nts., 4/1/12 8 1,900,000 2,061,500 8.125% Sr. Nts., 1/1/06 3,750,000 4,064,063 8.375% Sr. Sub. Nts., 7/1/11 1,600,000 1,752,000 - --------------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8 7,000,000 7,525,000 - --------------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc.: 8.875% Sr. Sub. Nts., 3/15/10 3,700,000 4,000,625 11.125% Sr. Unsec. Sub. Nts., 3/1/08 8 8,000,000 9,010,000 - --------------------------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 1,3,4 10,800,000 -- - --------------------------------------------------------------------------------------------------------------------------- Premier Parks, Inc., 9.75% Sr. Nts., 6/15/07 8 4,950,000 4,888,125 - --------------------------------------------------------------------------------------------------------------------------- Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 1 3,900,000 3,861,000 - --------------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd.: 8% Sr. Unsec. Nts., 5/15/10 8 1,000,000 1,060,000 8.75% Sr. Unsub. Nts., 2/2/11 1,8 3,100,000 3,394,500 - --------------------------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Nts., 2/1/10 8 6,000,000 5,535,000 9.75% Sr. Nts., 4/15/13 5,8 7,500,000 7,087,500 - --------------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,000,000 8,800,000 - --------------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 8.875% Sr. Unsec. Sub. Nts., 12/1/08 1 4,500,000 4,725,000 9.875% Sr. Unsec. Sub. Nts., 7/1/10 3,500,000 3,889,375 - --------------------------------------------------------------------------------------------------------------------------- Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 5,000,000 5,443,750 - --------------------------------------------------------------------------------------------------------------------------- Trump Casino Holdings LLC/Trump Casino Funding, Inc., 11.625% Sr. Sec. Nts., 3/15/10 4,300,000 3,864,625 - --------------------------------------------------------------------------------------------------------------------------- Universal City Development Partners, 11.75% Sr. Nts., 4/1/10 1 3,800,000 4,294,000 - --------------------------------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 8.75% Sr. Unsec. Sub. Nts., 5/15/09 1 2,000,000 2,112,500 - --------------------------------------------------------------------------------------------------------------------------- Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 8 3,800,000 4,351,000 ----------------- 181,987,063
22 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Household Durables--1.0% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 $ 6,600,000 $ 7,161,000 - --------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 9.375% Sr. Unsec. Sub. Nts., 3/15/11 1 2,100,000 2,299,500 9.75% Sr. Sub. Nts., 9/15/10 10 2,325,000 2,627,250 - --------------------------------------------------------------------------------------------------------------------------- Del Webb Corp., 10.25% Sr. Unsec. Sub. Debs., 2/15/10 8,000,000 8,640,000 - --------------------------------------------------------------------------------------------------------------------------- Interface, Inc., 10.375% Sr. Nts., 2/1/10 8 1,500,000 1,511,250 - --------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,600,000 2,795,000 - --------------------------------------------------------------------------------------------------------------------------- KB Home: 7.75% Sr. Nts., 10/15/04 10,350,000 10,815,750 8.625% Sr. Sub. Nts., 12/15/08 2,050,000 2,229,375 9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 770,875 - --------------------------------------------------------------------------------------------------------------------------- Meritage Corp., 9.75% Sr. Nts., 6/1/11 5 2,500,000 2,750,000 - --------------------------------------------------------------------------------------------------------------------------- Salton, Inc.: 10.75% Sr. Unsec. Sub. Nts., 12/15/05 3,200,000 3,160,000 12.25% Sr. Sub. Nts., 4/15/08 8 2,000,000 1,965,000 - --------------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 1 2,000,000 2,195,000 - --------------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1 2,000,000 2,190,000 - --------------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,500,000 3,762,500 - --------------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,450,000 3,760,500 - --------------------------------------------------------------------------------------------------------------------------- Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 4,800,000 4,752,000 ----------------- 63,385,000 - --------------------------------------------------------------------------------------------------------------------------- Internet & Catalog Retail--0.1% InterActiveCorp, 7% Nts., 1/15/13 6,842,000 7,730,995 - --------------------------------------------------------------------------------------------------------------------------- Leisure Equipment & Products--0.0% Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 8 2,200,000 2,266,000 - --------------------------------------------------------------------------------------------------------------------------- Media--4.2% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 3,4 1,400,000 962,500 8.125% Sr. Nts., Series B, 7/15/03 3,4 3,750,000 2,587,500 8.375% Sr. Nts., Series B, 2/1/08 3,4 10,700,000 7,449,000 9.875% Sr. Nts., Series B, 3/1/07 3,4 1,500,000 1,053,750 10.25% Sr. Unsec. Nts., 11/1/06 3,4 6,300,000 4,378,500 10.25% Sr. Unsec. Sub. Nts., 6/15/11 3,4 2,600,000 1,872,000 10.50% Sr. Unsec. Nts., Series B, 7/15/04 3,4 4,000,000 2,800,000 10.875% Sr. Unsec. Nts., 10/1/10 3,4 100,000 70,500 - --------------------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 5,000,000 5,125,000 - --------------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 9.50% Sr. Unsec. Sub. Nts., 2/1/11 12,200,000 12,871,000 - --------------------------------------------------------------------------------------------------------------------------- Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,000,000 3,225,000 - --------------------------------------------------------------------------------------------------------------------------- British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 5,537,000 6,578,742 - --------------------------------------------------------------------------------------------------------------------------- Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 1,3,4 [EUR] 3,000,000 157,214 - --------------------------------------------------------------------------------------------------------------------------- CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Cl. B, 4/15/13 8 900,000 967,500 - --------------------------------------------------------------------------------------------------------------------------- Carmike Cinemas, Inc., 10.375% Gtd. Sr. Sub. Nts., Series B, 2/1/09 1,000,000 1,055,000 - --------------------------------------------------------------------------------------------------------------------------- CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 5 900,000 960,750
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Media Continued Charter Communications Holdings LLC/ Charter Communications Holdings Capital Corp.: 0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11 13 $ 21,600,000 $ 15,390,000 8.625% Sr. Unsec. Nts., 4/1/09 8 16,600,000 12,782,000 10% Sr. Nts., 4/1/09 1,000,000 795,000 10% Sr. Unsec. Sub. Nts., 5/15/11 8 2,000,000 1,535,000 10.75% Sr. Unsec. Nts., 10/1/09 1,300,000 1,069,250 11.125% Sr. Unsec. Nts., 1/15/11 8 3,200,000 2,632,000 - --------------------------------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 3,200,000 3,432,000 - --------------------------------------------------------------------------------------------------------------------------- Classic Cable, Inc., 10.50% Sr. Sub. Nts., 3/1/10 1,3,4 2,725,000 -- - --------------------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc.: 7.65% Sr. Nts., 9/15/10 4,690,000 5,569,347 7.875% Sr. Nts., 6/15/05 1,000,000 1,098,662 - --------------------------------------------------------------------------------------------------------------------------- Comcast Cable Communications, Inc.: 6.75% Sr. Unsub. Nts., 1/30/11 8 374,000 422,502 8.875% Unsub. Nts., 5/1/17 1,845,000 2,409,957 - --------------------------------------------------------------------------------------------------------------------------- Comcast UK Cable Partner Ltd., 11.20% Sr. Unsec. Disc. Debs., 11/15/07 6,260,000 6,299,125 - --------------------------------------------------------------------------------------------------------------------------- Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,200,000 2,409,000 - --------------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 8 19,000,000 19,047,500 - --------------------------------------------------------------------------------------------------------------------------- Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 8 1,600,000 1,602,000 - --------------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 9.125% Sr. Nts., 1/15/09 2,206,000 2,509,325 9.375% Sr. Unsec. Nts., 2/1/09 8,000,000 8,570,000 10.375% Sr. Unsec. Nts., 10/1/07 11,850,000 13,242,375 - --------------------------------------------------------------------------------------------------------------------------- Emmis Communications Corp.: 0%/12.50% Sr. Unsec. Disc. Nts., 3/15/11 8,13 8,128,000 7,274,560 8.125% Sr. Unsec. Sub. Nts., Series B, 3/15/09 8 5,925,000 6,206,438 - --------------------------------------------------------------------------------------------------------------------------- Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 2,000,000 2,115,000 - --------------------------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 8 1,400,000 1,473,500 - --------------------------------------------------------------------------------------------------------------------------- Hollinger International Publishing, Inc., 9% Sr. Unsec. Nts., 12/15/10 3,175,000 3,361,531 - --------------------------------------------------------------------------------------------------------------------------- Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 8 1,700,000 1,789,250 - --------------------------------------------------------------------------------------------------------------------------- Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 8 1,500,000 1,518,750 - --------------------------------------------------------------------------------------------------------------------------- Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 8 1,800,000 1,890,000 - --------------------------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 5 2,200,000 2,150,500 - --------------------------------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,550,000 1,650,750 - --------------------------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 8 2,700,000 2,571,750 - --------------------------------------------------------------------------------------------------------------------------- PanAmSat Corp., 8.50% Sr. Unsec. Nts., 2/1/12 8 9,200,000 9,683,000 - --------------------------------------------------------------------------------------------------------------------------- PRIMEDIA, Inc., 8% Sr. Nts., 5/15/13 5 7,600,000 7,714,000 - --------------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I: 8.875% Sr. Nts., 12/15/10 5,8 2,800,000 3,150,000 10.875% Sr. Sub. Nts., 12/15/12 5 4,300,000 5,095,500 - --------------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 8 2,900,000 3,168,250 - --------------------------------------------------------------------------------------------------------------------------- Regal Cinemas, Inc., 9.375% Sr. Sub. Nts., Series B, 2/1/12 5,400,000 6,102,000 - --------------------------------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,580,000 9,419,277
24 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Media Continued Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 8 $ 11,400,000 $ 12,084,000 8.75% Sr. Sub. Nts., 12/15/11 800,000 874,000 - --------------------------------------------------------------------------------------------------------------------------- Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,850,000 11,528,125 - --------------------------------------------------------------------------------------------------------------------------- Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 5 2,250,000 2,379,375 - --------------------------------------------------------------------------------------------------------------------------- Vivendi Universal SA, 9.25% Sr. Nts., 4/15/10 5 3,100,000 3,576,625 - --------------------------------------------------------------------------------------------------------------------------- World Color Press, Inc., 7.75% Sr. Unsec. Sub. Nts., 2/15/09 2,500,000 2,642,863 - --------------------------------------------------------------------------------------------------------------------------- WRC Media, Inc./Weekly Reader Corp./Compass Learning Corp., 12.75% Sr. Sub. Nts., 11/15/09 7,900,000 7,949,375 ----------------- 270,297,418 - --------------------------------------------------------------------------------------------------------------------------- Multiline Retail--0.3% J. C. Penney Co., Inc., 8% Nts., 3/1/10 8 7,050,000 7,772,625 - --------------------------------------------------------------------------------------------------------------------------- Saks, Inc.: 8.25% Sr. Unsec. Nts., 11/15/08 5,420,000 5,962,000 9.875% Nts., 10/1/11 1 2,700,000 3,199,500 ----------------- 16,934,125 - --------------------------------------------------------------------------------------------------------------------------- Specialty Retail--0.6% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 8 5,900,000 5,929,500 - --------------------------------------------------------------------------------------------------------------------------- AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,500,000 6,187,500 - --------------------------------------------------------------------------------------------------------------------------- CSK Auto, Inc., 12% Sr. Unsec. Nts., 6/15/06 8 6,700,000 7,520,750 - --------------------------------------------------------------------------------------------------------------------------- Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 3,775,000 3,737,250 - --------------------------------------------------------------------------------------------------------------------------- Finlay Enterprises, Inc., 9% Debs., 5/1/08 3,200,000 3,196,000 - --------------------------------------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 1,8 3,125,000 3,234,375 - --------------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The): 6.90% Nts., 9/15/07 500,000 540,000 10.55% Unsub. Nts., 12/15/08 1,200,000 1,449,000 - --------------------------------------------------------------------------------------------------------------------------- Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 3,200,000 3,496,000 - --------------------------------------------------------------------------------------------------------------------------- Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 1,3,4 4,300,000 -- - --------------------------------------------------------------------------------------------------------------------------- Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 1 4,000,000 4,620,000 - --------------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Sub. Nts., Cl. B, 5/1/10 1,250,000 1,320,313 - --------------------------------------------------------------------------------------------------------------------------- United Auto Group, Inc., 9.625% Sr. Unsec. Sub. Nts., 3/15/12 8 400,000 439,000 ----------------- 41,669,688 - --------------------------------------------------------------------------------------------------------------------------- Textiles, Apparel & Luxury Goods--0.2% Broder Brothers Co., 11.25% Sr. Nts., 10/15/10 5 2,800,000 2,849,000 - --------------------------------------------------------------------------------------------------------------------------- Galey & Lord, Inc., 9.125% Sr. Unsec. Sub. Nts., 3/1/08 1,3,4 5,050,000 63,125 - --------------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co.: 11.625% Sr. Unsec. Nts., 1/15/08 1,950,000 1,608,750 12.25% Sr. Nts., 12/15/12 8 2,200,000 1,771,000 - --------------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 5 1,500,000 1,605,000 - --------------------------------------------------------------------------------------------------------------------------- Phillips/Van Heusen Corp.: 8.125% Sr. Nts., 5/1/13 1 600,000 631,500 9.50% Sr. Unsec. Sub. Nts., 5/1/08 1 3,750,000 3,881,250
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Textiles, Apparel & Luxury Goods Continued Russell Corp., 9.25% Sr. Nts., 5/1/10 1 $ 2,500,000 $ 2,662,500 ----------------- 15,072,125 - --------------------------------------------------------------------------------------------------------------------------- Consumer Staples--1.5% - --------------------------------------------------------------------------------------------------------------------------- Beverages--0.1% Canandaigua Brands, Inc.: 8.50% Sr. Unsec. Sub. Nts., 3/1/09 1,500,000 1,590,000 8.625% Sr. Unsec. Nts., 8/1/06 8 1,300,000 1,425,125 - --------------------------------------------------------------------------------------------------------------------------- Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,000,000 2,170,000 ----------------- 5,185,125 - --------------------------------------------------------------------------------------------------------------------------- Food & Staples Retailing--0.3% Delhaize America, Inc., 8.125% Unsub. Debs., 4/15/11 9,605,000 10,613,525 - --------------------------------------------------------------------------------------------------------------------------- Fleming Cos., Inc.: 10.125% Sr. Unsec. Nts., 4/1/08 3 6,000,000 1,020,000 10.625% Sr. Unsec. Sub. Nts., Series D, 7/31/07 1,3,8 1,000,000 5,100 - --------------------------------------------------------------------------------------------------------------------------- Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 8 1,400,000 1,323,000 - --------------------------------------------------------------------------------------------------------------------------- Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,588,000 - --------------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 13% Disc. Nts., 5/31/09 1,3,4,14 8,836,185 176,724 - --------------------------------------------------------------------------------------------------------------------------- Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 5 4,000,000 4,280,000 9.50% Sr. Sec. Nts., 2/15/11 8 2,000,000 2,270,000 ----------------- 23,276,349 - --------------------------------------------------------------------------------------------------------------------------- Food Products--0.8% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 1 4,700,000 5,522,500 - --------------------------------------------------------------------------------------------------------------------------- Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 3 2,400,000 1,368,000 - --------------------------------------------------------------------------------------------------------------------------- Burns Philp Capital Pty Ltd., 9.75% Sr. Sub. Nts., 7/15/12 5 4,350,000 4,371,750 - --------------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc., 10.56% Sr. Unsec. Nts., 3/15/09 8 622,000 688,865 - --------------------------------------------------------------------------------------------------------------------------- Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 5 3,900,000 4,280,250 - --------------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 1 3,200,000 3,536,000 - --------------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 7,500,000 8,025,000 8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,819,000 - --------------------------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Nts., 10/1/11 5 1,800,000 1,890,000 - --------------------------------------------------------------------------------------------------------------------------- New World Pasta Co., 9.25% Sr. Nts., 2/15/09 1,000,000 270,000 - --------------------------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 8 3,050,000 3,187,250 8% Sr. Nts., Series B, 10/15/09 8 1,000,000 1,095,000 - --------------------------------------------------------------------------------------------------------------------------- Swift & Co., 10.125% Sr. Nts., 10/1/09 8 2,000,000 2,220,000 - --------------------------------------------------------------------------------------------------------------------------- Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 5,500,000 5,197,500 - --------------------------------------------------------------------------------------------------------------------------- United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 4,000,000 7,310,160 ----------------- 50,781,275
26 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Household Products--0.3% AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 1 $ 3,700,000 $ 3,903,500 - --------------------------------------------------------------------------------------------------------------------------- Holmes Products Corp.: 9.875% Sr. Sub. Nts., Series C, 11/15/07 1 1,000,000 960,000 9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 1 4,610,000 4,425,600 - --------------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc., 9.375% Sr. Unsec. Sub. Nts., 6/1/11 4,500,000 4,342,500 - --------------------------------------------------------------------------------------------------------------------------- Rayovac Corp., 8.50% Sr. Sub. Nts., 10/1/13 5 1,600,000 1,644,000 - --------------------------------------------------------------------------------------------------------------------------- Revlon Consumer Products Corp., 12% Sr. Sec. Nts., 12/1/05 8 3,450,000 3,467,250 - --------------------------------------------------------------------------------------------------------------------------- Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 1,3,4 6,340,000 -- ----------------- 18,742,850 - --------------------------------------------------------------------------------------------------------------------------- Energy--2.6% - --------------------------------------------------------------------------------------------------------------------------- Energy Equipment & Services--0.6% Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 8 1,900,000 2,004,500 - --------------------------------------------------------------------------------------------------------------------------- Grant Geophysical, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/15/08 1,3,4 5,925,000 1,481,250 - --------------------------------------------------------------------------------------------------------------------------- Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 8 1,900,000 1,966,500 - --------------------------------------------------------------------------------------------------------------------------- Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 12,750,000 14,056,875 - --------------------------------------------------------------------------------------------------------------------------- Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 14,250,000 12,753,750 - --------------------------------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,000,000 2,190,000 - --------------------------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,200,000 3,312,000 ----------------- 37,764,875 - --------------------------------------------------------------------------------------------------------------------------- Oil & Gas--2.0% Chesapeake Energy Corp.: 7.75% Sr. Unsec. Nts., 1/15/15 8 9,300,000 9,858,000 8.125% Sr. Unsec. Nts., 4/1/11 8 3,650,000 3,978,500 9% Sr. Nts., 8/15/12 1,000,000 1,130,000 - --------------------------------------------------------------------------------------------------------------------------- El Paso Energy Partners LP: 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 2,300,000 2,489,750 10.625% Sr. Sub. Nts., 12/1/12 3,900,000 4,592,250 - --------------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,500,000 3,657,500 - --------------------------------------------------------------------------------------------------------------------------- Frontier Escrow Corp., 8% Sr. Nts., 4/15/13 5 1,500,000 1,530,000 - --------------------------------------------------------------------------------------------------------------------------- Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 9,735,000 11,049,225 - --------------------------------------------------------------------------------------------------------------------------- GulfTerra Energy Partners LP, 8.50% Sr. Sub. Unsec. Nts., Series B, 6/1/10 2,700,000 2,922,750 - --------------------------------------------------------------------------------------------------------------------------- Leviathan Gas Pipeline Partners LP/Leviathan Finance Corp., 10.375% Sr. Unsec. Sub. Nts., Series B, 6/1/09 1 7,000,000 7,980,000 - --------------------------------------------------------------------------------------------------------------------------- Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,250,000 3,542,500 - --------------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: 6.625% Nts., 4/4/10 [EUR] 8,610,000 10,670,993 8.50% Unsub. Nts., 2/15/08 8 3,450,000 4,019,250 - --------------------------------------------------------------------------------------------------------------------------- Petroleos Mexicanos: 6.50% Unsub. Nts., 2/1/05 11,855,000 12,536,663 9.375% Sr. Unsec. Bonds, 12/2/08 9,030,000 10,836,000 - --------------------------------------------------------------------------------------------------------------------------- Pioneer Natural Resources Co., 7.50% Sr. Nts., 4/15/12 8 3,000,000 3,420,000 - --------------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,800,000 6,409,000
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Oil & Gas Continued Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 $ 1,000,000 $ 1,065,000 - --------------------------------------------------------------------------------------------------------------------------- Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 2,000,000 2,220,000 - --------------------------------------------------------------------------------------------------------------------------- Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 7,800,000 8,034,000 9.625% Sr. Sub. Nts., 4/1/12 8 2,250,000 2,250,000 - --------------------------------------------------------------------------------------------------------------------------- Tom Brown, Inc., Units (each unit consists of $512 principal amount of 7.25% sr. sub. nts., due 2013 and $488 principal amount of Tom Brown Resources Funding Corp., 7.25% sr. sub. nts., due 2013) 15 1,800,000 1,872,000 - --------------------------------------------------------------------------------------------------------------------------- Westport Resources Corp.: 8.25% Sr. Sub. Nts., 11/1/11 5 2,000,000 2,195,000 8.25% Sr. Unsec. Sub. Nts., 11/1/11 6,700,000 7,353,250 - --------------------------------------------------------------------------------------------------------------------------- XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,200,000 5,811,000 ----------------- 131,422,631 - --------------------------------------------------------------------------------------------------------------------------- Financials--2.1% - --------------------------------------------------------------------------------------------------------------------------- Commercial Banks--0.5% Bank Plus Corp., 12% Sr. Nts., 7/18/07 1 4,167,000 4,479,525 - --------------------------------------------------------------------------------------------------------------------------- BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 1 10,050,000 10,979,625 - --------------------------------------------------------------------------------------------------------------------------- Local Financial Corp., 11% Sr. Nts., 9/8/04 1 10,000,000 10,200,000 - --------------------------------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 1,3,4 4,970,000 31,062 - --------------------------------------------------------------------------------------------------------------------------- Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 1,000,000 1,191,326 - --------------------------------------------------------------------------------------------------------------------------- Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,800,000 4,132,500 ----------------- 31,014,038 - --------------------------------------------------------------------------------------------------------------------------- Diversified Financial Services--0.4% Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 3,200,000 3,584,000 - --------------------------------------------------------------------------------------------------------------------------- Finova Group, Inc. (The), 7.50% Nts., 11/15/09 8,848,000 4,424,000 - --------------------------------------------------------------------------------------------------------------------------- LaBranche & Co., Inc., 12% Sr. Unsec. Sub. Nts., 3/2/07 5,900,000 6,696,500 - --------------------------------------------------------------------------------------------------------------------------- MBNA Corp., 6.125% Nts., 3/1/13 8 3,740,000 4,005,428 - --------------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.375% Bonds,12/15/14 8,570,000 9,255,600 - --------------------------------------------------------------------------------------------------------------------------- SBS Agro Finance BV, 10.25% Bonds, 7/21/00 1,3,4 14,961,000 -- ----------------- 27,965,528 - --------------------------------------------------------------------------------------------------------------------------- Insurance--0.1% Arbor I Ltd., 16.64% Nts., 6/15/06 1,2 6,250,000 6,339,063 - --------------------------------------------------------------------------------------------------------------------------- Conseco, Inc., Escrow Shares, 6/15/09 3,4 3,050,000 -- ----------------- 6,339,063 - --------------------------------------------------------------------------------------------------------------------------- Real Estate--0.9% Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 8 7,700,000 7,642,250 - --------------------------------------------------------------------------------------------------------------------------- CB Richard Ellis Services, Inc., 11.25% Sr. Unsec. Sub. Nts., 6/15/11 1,450,000 1,576,875 - --------------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 7.50% Sr. Nts., 5/1/11 8 1,500,000 1,554,375 9.875% Sr. Nts., 5/1/09 2,000,000 2,255,000
28 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Real Estate Continued Felcor Lodging LP, 9% Sr. Nts., 6/1/11 $ 2,609,000 $ 2,791,630 - --------------------------------------------------------------------------------------------------------------------------- Felcor Suites LP, 7.375% Sr. Nts., 10/1/04 2,200,000 2,263,250 - --------------------------------------------------------------------------------------------------------------------------- HMH Properties, Inc.: 7.875% Sr. Nts., Series B, 8/1/08 6,300,000 6,504,750 8.45% Sr. Nts., Series C, 12/1/08 8 3,000,000 3,138,750 - --------------------------------------------------------------------------------------------------------------------------- Host Marriott LP, 9.50% Sr. Nts., 1/15/07 5,000,000 5,500,000 - --------------------------------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp.: 8.75% Sr. Unsec. Sub. Nts., 8/15/07 6,800,000 6,749,000 9.125% Sr. Unsec. Nts., 1/15/11 4,850,000 5,116,750 - --------------------------------------------------------------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts., Series B, 4/1/08 15,590,000 15,745,900 ----------------- 60,838,530 - --------------------------------------------------------------------------------------------------------------------------- Thrifts & Mortgage Finance--0.2% Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,250,000 4,856,250 - --------------------------------------------------------------------------------------------------------------------------- Ocwen Financial Corp., 11.875% Nts., 10/1/03 1 4,817,000 4,817,000 ----------------- 9,673,250 - --------------------------------------------------------------------------------------------------------------------------- Health Care--1.2% - --------------------------------------------------------------------------------------------------------------------------- Health Care Equipment & Supplies--0.2% Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 3,400,000 3,629,500 - --------------------------------------------------------------------------------------------------------------------------- HMP Equity Holdings Corp., Units (each unit consists of $1,000 principal amount of 15.43% Sr. Sec. Disc. Nts., 5/15/08 and one warrant to purchase 2.8094 shares of Huntsman Corp. common stock) 9,15 3,500,000 1,715,000 - --------------------------------------------------------------------------------------------------------------------------- Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4,150,000 4,440,500 - --------------------------------------------------------------------------------------------------------------------------- Vanguard Health Systems, Inc., 9.75% Sr. Unsec. Sub. Nts., 8/1/11 550,000 588,500 ----------------- 10,373,500 - --------------------------------------------------------------------------------------------------------------------------- Health Care Providers & Services--1.0% Alliance Imaging, Inc., 10.375% Sr. Unsec. Sub. Nts., 4/15/11 800,000 836,000 - --------------------------------------------------------------------------------------------------------------------------- AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,800,000 3,010,000 - --------------------------------------------------------------------------------------------------------------------------- AmerisourceBergen Corp., 7.25% Sr. Unsec. Nts., 11/15/12 2,200,000 2,249,500 - --------------------------------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc., 9.50% Sr. Unsec. Sub. Nts., 7/1/10 8 1,900,000 2,071,000 - --------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 3,290,000 3,429,825 - --------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,042,589 - --------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 3,000,000 3,150,000 - --------------------------------------------------------------------------------------------------------------------------- Hanger Orthopedic Group, Inc., 10.375% Sr. Nts., 2/15/09 2,850,000 3,195,562 - --------------------------------------------------------------------------------------------------------------------------- HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 3,900,000 3,981,756 - --------------------------------------------------------------------------------------------------------------------------- Healthsouth Corp., 7.625% Nts., 6/1/12 10,500,000 9,082,500 - --------------------------------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 8 3,300,000 3,498,000 - --------------------------------------------------------------------------------------------------------------------------- NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 3,700,000 4,033,000 - --------------------------------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 4,600,000 5,313,000 - --------------------------------------------------------------------------------------------------------------------------- Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 5 2,450,000 2,541,875 - --------------------------------------------------------------------------------------------------------------------------- Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 8 5,200,000 5,512,000 - --------------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp., 6.375% Sr. Nts., 12/1/11 6,931,000 6,671,087
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Health Care Providers & Services Continued Triad Hospitals, Inc., 8.75% Sr. Unsec. Nts., Series B, 5/1/09 $ 4,000,000 $ 4,370,000 - --------------------------------------------------------------------------------------------------------------------------- US Oncology, Inc., 9.625% Sr. Sub. Nts., 2/1/12 1,600,000 1,704,000 ----------------- 65,691,694 - --------------------------------------------------------------------------------------------------------------------------- Pharmaceuticals--0.0% aaiPharma, Inc., 11% Sr. Sub. Nts., 4/1/10 8 1,200,000 1,344,000 - --------------------------------------------------------------------------------------------------------------------------- Industrials--4.3% - --------------------------------------------------------------------------------------------------------------------------- Aerospace & Defense--0.4% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,900,000 3,175,500 - --------------------------------------------------------------------------------------------------------------------------- American Plumbing & Mechanical, Inc., 11.625% Sr. Sub. Nts., Series B, 10/15/08 1,3 6,700,000 1,917,875 - --------------------------------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8.875% Sr. Unsec. Sub. Nts., 5/1/11 8 1,800,000 1,566,000 9.50% Sr. Unsec. Sub. Nts., 11/1/08 8 2,500,000 2,287,500 - --------------------------------------------------------------------------------------------------------------------------- K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 8 2,100,000 2,320,500 - --------------------------------------------------------------------------------------------------------------------------- L-3 Communications Corp., 7.625% Sr. Sub. Nts., 6/15/12 1,700,000 1,848,750 - --------------------------------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,150,000 2,397,250 - --------------------------------------------------------------------------------------------------------------------------- TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 5 3,100,000 3,348,000 - --------------------------------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 5,8 2,200,000 2,486,000 11% Sr. Sub. Nts., 2/15/13 5,8 2,500,000 2,925,000 - --------------------------------------------------------------------------------------------------------------------------- Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 5 1,950,000 1,998,750 ----------------- 26,271,125 - --------------------------------------------------------------------------------------------------------------------------- Air Freight & Logistics--0.1% Atlas Air, Inc.: 9.25% Sr. Nts., 4/15/08 3 6,200,000 2,790,000 9.375% Sr. Unsec. Nts., 11/15/06 3 2,700,000 1,215,000 ----------------- 4,005,000 - --------------------------------------------------------------------------------------------------------------------------- Airlines--0.4% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 16,843,956 - --------------------------------------------------------------------------------------------------------------------------- Amtran, Inc., 10.50% Sr. Nts., 8/1/04 9,750,000 7,556,250 ----------------- 24,400,206 - --------------------------------------------------------------------------------------------------------------------------- Building Products--0.2% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,400,000 2,550,000 - --------------------------------------------------------------------------------------------------------------------------- Green Star Products, Inc., 10.15% Bonds, 6/24/10 5 577,603 600,588 - --------------------------------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 5 3,100,000 3,231,750 - --------------------------------------------------------------------------------------------------------------------------- Nortek, Inc.: 9.125% Sr. Unsec. Nts., Series B, 9/1/07 1 5,200,000 5,382,000 9.25% Sr. Nts., Series B, 3/15/07 1 2,990,000 3,094,650 9.875% Sr. Unsec. Sub. Nts., 6/15/11 1 1,150,000 1,221,875 ----------------- 16,080,863
30 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Commercial Services & Supplies--1.5% Allied Waste North America, Inc.: 7.875% Sr. Nts., 4/15/13 $ 3,800,000 $ 3,999,500 7.875% Sr. Unsec. Nts., Series B, 1/1/09 800,000 834,000 8.50% Sr. Sub. Nts., 12/1/08 8 10,300,000 11,175,500 8.875% Sr. Nts., Series B, 4/1/08 14,800,000 16,095,000 9.25% Sr. Sec. Debs., Series B, 9/1/12 15,550,000 17,260,500 10% Sr. Unsec. Sub. Nts., Series B, 8/1/09 8 1,900,000 2,068,625 - --------------------------------------------------------------------------------------------------------------------------- American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 5,8 1,550,000 1,646,875 - --------------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1,3,4 3,462,000 24,234 - --------------------------------------------------------------------------------------------------------------------------- Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 1,3,4 10,175,000 2,403,844 - --------------------------------------------------------------------------------------------------------------------------- Buhrmann US, Inc., 12.25% Sr. Unsec. Sub. Nts., 11/1/09 2,500,000 2,787,500 - --------------------------------------------------------------------------------------------------------------------------- Coinmach Corp., 9% Sr. Nts., 2/1/10 3,300,000 3,531,000 - --------------------------------------------------------------------------------------------------------------------------- Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2,920,000 1,941,800 - --------------------------------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 5,800,000 4,089,000 - --------------------------------------------------------------------------------------------------------------------------- IT Group, Inc., 11.25% Sr. Unsec. Sub. Nts., Series B, 4/1/09 1,3,4 5,300,000 -- - --------------------------------------------------------------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 3,050,000 3,080,500 - --------------------------------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 5,900,000 6,431,000 - --------------------------------------------------------------------------------------------------------------------------- Moore North American Finance, Inc., 7.875% Sr. Nts., 1/15/11 5 1,600,000 1,708,000 - --------------------------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 5,150,000 4,255,187 - --------------------------------------------------------------------------------------------------------------------------- Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 1,3,4 13,150,000 657,500 - --------------------------------------------------------------------------------------------------------------------------- Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 8 2,400,000 2,640,000 - --------------------------------------------------------------------------------------------------------------------------- United Rentals (North America), Inc.: 9% Sr. Unsec. Sub. Nts., Series B, 4/1/09 8 2,000,000 2,080,000 9.25% Sr. Unsec. Sub. Nts., Series B, 1/15/09 8 250,000 260,000 10.75% Sr. Nts., 4/15/08 5,8 3,000,000 3,337,500 10.75% Sr. Unsec. Nts., 4/15/08 8 3,450,000 3,838,125 10.75% Sr. Unsec. Nts., Series B, 4/15/08 2,800,000 3,115,000 ----------------- 99,260,190 - --------------------------------------------------------------------------------------------------------------------------- Construction & Engineering--0.1% Integrated Electrical Services, Inc.: 9.375% Sr. Sub. Nts., Series B, 2/1/09 1 300,000 310,500 9.375% Sr. Sub. Nts., Series C, 2/1/09 2,150,000 2,225,250 - --------------------------------------------------------------------------------------------------------------------------- URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 1 6,350,000 6,985,000 ----------------- 9,520,750 - --------------------------------------------------------------------------------------------------------------------------- Electrical Equipment--0.0% Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,900,000 2,595,500 - --------------------------------------------------------------------------------------------------------------------------- Industrial Conglomerates--0.5% Great Lakes Dredge & Dock Corp., 11.25% Sr. Unsec. Sub. Nts., 8/15/08 7,105,000 7,540,181 - --------------------------------------------------------------------------------------------------------------------------- Tyco International Group SA: 6.375% Nts., 10/15/11 19,200,000 19,896,000 6.75% Sr. Unsub. Nts., 2/15/11 8 1,900,000 2,014,000 ----------------- 29,450,181
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Machinery--0.8% Actuant Corp., 13% Sr. Sub. Nts., 5/1/09 $ 1,977,000 $ 2,500,905 - --------------------------------------------------------------------------------------------------------------------------- AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 9,900,000 10,741,500 - --------------------------------------------------------------------------------------------------------------------------- Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 4,750,000 4,251,250 - --------------------------------------------------------------------------------------------------------------------------- Insilco Corp., 12% Sr. Sub. Nts., 8/15/07 1,3,4 10,550,000 105,500 - --------------------------------------------------------------------------------------------------------------------------- NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,400,000 2,652,000 - --------------------------------------------------------------------------------------------------------------------------- Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts., Series B, 6/15/07 10,400,000 9,620,000 - --------------------------------------------------------------------------------------------------------------------------- SPX Corp., 7.50% Sr. Nts., 1/1/13 8 5,700,000 6,027,750 - --------------------------------------------------------------------------------------------------------------------------- Terex Corp.: 8.875% Sr. Unsec. Sub. Nts., 4/1/08 600,000 628,500 8.875% Sr. Unsec. Sub. Nts., Series C, 4/1/08 1,325,000 1,387,938 9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,700,000 2,970,000 10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 8 6,000,000 6,750,000 - --------------------------------------------------------------------------------------------------------------------------- Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 1 4,000,000 4,040,000 ----------------- 51,675,343 - --------------------------------------------------------------------------------------------------------------------------- Marine--0.2% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,350,000 7,270,750 - --------------------------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05 1,3,4 5,400,000 2,352,780 - --------------------------------------------------------------------------------------------------------------------------- Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1,3 11,650,000 4,019,250 ----------------- 13,642,780 - --------------------------------------------------------------------------------------------------------------------------- Road & Rail--0.1% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,000,000 2,085,000 - --------------------------------------------------------------------------------------------------------------------------- Stena AB, 9.625% Sr. Nts., 12/1/12 8 2,150,000 2,348,875 ----------------- 4,433,875 - --------------------------------------------------------------------------------------------------------------------------- Transportation Infrastructure--0.0% Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 5,8 1,350,000 1,420,875 - --------------------------------------------------------------------------------------------------------------------------- Information Technology--1.3% - --------------------------------------------------------------------------------------------------------------------------- Communications Equipment--0.1% Orion Network Systems, Inc., 12.50% Sr. Disc. Nts., 1/15/07 3 11,975,000 5,155,237 - --------------------------------------------------------------------------------------------------------------------------- Computers & Peripherals--0.1% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 8 4,600,000 5,094,500 - --------------------------------------------------------------------------------------------------------------------------- Electronic Equipment & Instruments--0.3% Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 1 12,553,000 12,804,060 - --------------------------------------------------------------------------------------------------------------------------- Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 1 5,000,000 5,412,500 - --------------------------------------------------------------------------------------------------------------------------- Xerox Capital plc (Europe), 5.875% Nts., 5/15/04 8 1,000,000 1,010,000 ----------------- 19,226,560 - --------------------------------------------------------------------------------------------------------------------------- Internet Software & Services--0.0% Exodus Communications, Inc.: 10.75% Sr. Nts., 12/15/09 1,3,4 [EUR] 2,165,754 113,496 10.75% Sr. Unsec. Sub. Nts., 12/15/09 1,3,4 7,121,396 -- - --------------------------------------------------------------------------------------------------------------------------- FirstWorld Communications, Inc., 0%/13% Sr. Disc. Nts., 4/15/08 1,3,4,13 5,700,000 570 - --------------------------------------------------------------------------------------------------------------------------- Globix Corp., 11% Sr. Nts., 4/26/08 1 962,364 736,208
32 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Internet Software & Services Continued PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 1,3,4 [EUR] 6,150,000 $ 349,147 ----------------- 1,199,421 - --------------------------------------------------------------------------------------------------------------------------- IT Services--0.2% Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 11,650,000 12,086,875 - --------------------------------------------------------------------------------------------------------------------------- Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 5 1,600,000 1,880,000 ----------------- 13,966,875 - --------------------------------------------------------------------------------------------------------------------------- Office Electronics--0.0% ASAT Finance LLC, 12.50% Sr. Unsec. Nts., 11/1/06 1,8 1,430,000 1,508,650 - --------------------------------------------------------------------------------------------------------------------------- Semiconductors & Semiconductor Equipment--0.6% AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 4,750,000 5,391,250 - --------------------------------------------------------------------------------------------------------------------------- Amkor Technology, Inc.: 7.75% Sr. Nts., 5/15/13 5,8 6,500,000 6,565,000 9.25% Sr. Unsec. Sub. Nts., 2/15/08 8 5,850,000 6,347,250 - --------------------------------------------------------------------------------------------------------------------------- ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 8 4,000,000 4,480,000 - --------------------------------------------------------------------------------------------------------------------------- Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 1 14,000,000 13,580,000 ----------------- 36,363,500 - --------------------------------------------------------------------------------------------------------------------------- Materials--4.2% - --------------------------------------------------------------------------------------------------------------------------- Chemicals--1.5% Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 8 3,600,000 3,168,000 - --------------------------------------------------------------------------------------------------------------------------- ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1 1,700,000 688,500 - --------------------------------------------------------------------------------------------------------------------------- Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,800,000 4,237,000 - --------------------------------------------------------------------------------------------------------------------------- Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 8 3,400,000 3,196,000 10.625% Sr. Nts., 5/1/11 5 2,650,000 2,636,750 - --------------------------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc: 13.09% Sr. Unsec. Disc. Nts., 12/31/09 9 14,040,000 5,616,000 10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 3,300,000 3,372,245 10.125% Sr. Unsec. Sub. Nts., 7/1/09 8 14,350,000 13,704,250 - --------------------------------------------------------------------------------------------------------------------------- Huntsman International LLC: 9.875% Sr. Nts., 3/1/09 3,200,000 3,376,000 9.875% Sr. Nts., 3/1/09 5,8 2,300,000 2,426,500 - --------------------------------------------------------------------------------------------------------------------------- ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 4,100,000 4,489,500 - --------------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 5,6 3,050,000 3,179,625 - --------------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 9.50% Sec. Nts., 12/15/08 8 2,700,000 2,511,000 9.625% Sr. Sec. Nts., Series A, 5/1/07 6,000,000 5,730,000 9.875% Sec. Nts., Series B, 5/1/07 8 19,350,000 18,527,625 - --------------------------------------------------------------------------------------------------------------------------- Millennium America, Inc., 9.25% Sr. Nts., 6/15/08 5 1,200,000 1,251,000 - --------------------------------------------------------------------------------------------------------------------------- Noveon, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 2/28/11 1,8 4,500,000 5,107,500 - --------------------------------------------------------------------------------------------------------------------------- OM Group, Inc., 9.25% Sr. Sub. Nts., 12/15/11 8 4,500,000 4,488,750 - --------------------------------------------------------------------------------------------------------------------------- PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 8 2,557,668 2,231,565 - --------------------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc., 4.64% Sr. Sec. Nts., 12/31/06 2 809,925 706,660 - --------------------------------------------------------------------------------------------------------------------------- Rockwood Specialties Corp., 10.625% Sr. Sub. Nts., 5/15/11 5 1,200,000 1,284,000
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Chemicals Continued Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 1,8 $ 2,000,000 $ 1,605,000 - --------------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 1 1,816,791 1,716,867 11.25% Sr. Sub. Nts., 8/15/06 1,3,4 7,915,000 -- - --------------------------------------------------------------------------------------------------------------------------- Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 5 3,100,000 3,231,750 ----------------- 98,482,087 - --------------------------------------------------------------------------------------------------------------------------- Construction Materials--0.1% Formica Corp., 10.875% Sr. Unsec. Sub. Nts., Series B, 3/1/09 3,4 4,300,000 1,096,500 - --------------------------------------------------------------------------------------------------------------------------- Texas Industries, Inc., 10.25% Sr. Nts., 6/15/11 5 3,200,000 3,520,000 ----------------- 4,616,500 - --------------------------------------------------------------------------------------------------------------------------- Containers & Packaging--1.1% Ball Corp.: 6.875% Sr. Unsec. Nts., 12/15/12 5 2,200,000 2,279,750 7.75% Sr. Unsec. Nts., 8/1/06 2,300,000 2,507,000 - --------------------------------------------------------------------------------------------------------------------------- Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 1,3,4 5,875,000 14,688 - --------------------------------------------------------------------------------------------------------------------------- Crown Euro Holdings SA: 9.50% Sr. Sec. Nts., 3/1/11 5,8 3,600,000 3,888,000 10.875% Sr. Sec. Nts., 3/1/13 5,8 1,850,000 2,048,875 - --------------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5 5,700,000 6,198,750 9.50% Sr. Sub. Nts., 8/15/13 5 2,550,000 2,811,375 - --------------------------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,365,000 - --------------------------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,200,000 3,520,000 - --------------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 2,900,000 3,016,000 8.25% Sr. Unsec. Nts., 5/15/13 5,8 1,500,000 1,537,500 8.75% Sr. Sec. Nts., 11/15/12 8 12,500,000 13,468,750 8.875% Sr. Sec. Nts., 2/15/09 5,800,000 6,206,000 - --------------------------------------------------------------------------------------------------------------------------- Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 8 4,700,000 4,958,500 9.25% Sr. Unsec. Nts., 2/1/08 4,500,000 4,916,250 9.75% Sr. Unsec. Nts., 2/1/11 7,900,000 8,650,500 - --------------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,550,000 5,661,000 ----------------- 73,047,938 - --------------------------------------------------------------------------------------------------------------------------- Metals & Mining--0.9% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 7,000,000 4,865,000 7.875% Sr. Unsec. Nts., 2/15/09 8 3,925,000 2,826,000 - --------------------------------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 5 3,200,000 3,312,000 - --------------------------------------------------------------------------------------------------------------------------- Better Minerals & Aggregates Co., 13% Sr. Unsec. Sub. Nts., 9/15/09 1 1,050,000 672,000 - --------------------------------------------------------------------------------------------------------------------------- California Steel Industries Corp., 8.50% Sr. Unsec. Nts., Series B, 4/1/09 8 3,000,000 3,135,000 - --------------------------------------------------------------------------------------------------------------------------- Century Aluminum Co., 11.75% Sr. Sec. Nts., 4/15/08 6,750,000 7,256,250 - --------------------------------------------------------------------------------------------------------------------------- International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 1,3,4 1,586,000 15,860 - --------------------------------------------------------------------------------------------------------------------------- IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 5,8 1,000,000 1,050,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Metals & Mining Continued Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 1 $ 5,200,000 $ 5,564,000 - --------------------------------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 1,3,4,8 4,500,000 3,487,500 - --------------------------------------------------------------------------------------------------------------------------- Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 1 5,700,000 598,500 - --------------------------------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 9,595,000 5,037,375 - --------------------------------------------------------------------------------------------------------------------------- National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 1,3,4 3,856,845 289,263 - --------------------------------------------------------------------------------------------------------------------------- Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 8 1,100,000 1,199,000 - --------------------------------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 8 3,700,000 3,052,500 - --------------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,300,000 3,456,750 - --------------------------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 8 2,000,000 2,150,000 - --------------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,400,000 2,634,000 - --------------------------------------------------------------------------------------------------------------------------- United States Steel Corp.: 9.75% Sr. Nts., 5/15/10 3,200,000 3,296,000 10.75% Sr. Nts., 8/1/08 8 4,700,000 5,029,000 ----------------- 58,925,998 - --------------------------------------------------------------------------------------------------------------------------- Paper & Forest Products--0.6% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,859,122 - --------------------------------------------------------------------------------------------------------------------------- Ainsworth Lumber Co. Ltd.: 12.50% Sr. Nts., 7/15/07 8,14 3,650,000 4,197,500 13.875% Sr. Sec. Nts., 7/15/07 400,000 460,000 - --------------------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 5 1,450,000 1,500,750 - --------------------------------------------------------------------------------------------------------------------------- Doman Industries Ltd., 8.75% Sr. Nts., 3/15/04 1,3 15,250,000 2,516,250 - --------------------------------------------------------------------------------------------------------------------------- Domtar, Inc., 10.85% Debs., 8/5/17 [CAD] 1,700,000 1,764,576 - --------------------------------------------------------------------------------------------------------------------------- Fort James Corp.: 6.625% Sr. Unsec. Nts., 9/15/04 8 500,000 515,000 6.875% Sr. Nts., 9/15/07 2,500,000 2,587,500 - --------------------------------------------------------------------------------------------------------------------------- Georgia-Pacific Corp.: 8.125% Sr. Unsec. Nts., 5/15/11 8 10,675,000 11,155,375 9.375% Sr. Unsec. Nts., 2/1/13 6,400,000 7,176,000 - --------------------------------------------------------------------------------------------------------------------------- Louisiana-Pacific Corp., 10.875% Sr. Sub. Nts., 11/15/08 1 3,000,000 3,502,500 - --------------------------------------------------------------------------------------------------------------------------- PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 1,3,4 4,025,000 100,625 - --------------------------------------------------------------------------------------------------------------------------- U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 5,000,000 2,725,000 ----------------- 40,060,198 - --------------------------------------------------------------------------------------------------------------------------- Telecommunication Services--4.5% - --------------------------------------------------------------------------------------------------------------------------- Diversified Telecommunication Services--2.4% 360networks, Inc.: 13% Sr. Unsec. Nts., 5/1/08 1,3,4 1,100,000 110 13% Sr. Unsec. Nts., 5/1/08 1,3,4 [EUR] 1,900,000 221 - --------------------------------------------------------------------------------------------------------------------------- Adelphia Business Solutions, Inc., 12% Sr. Sub. Nts., 11/1/07 1,3,4,8 2,490,000 18,675 - --------------------------------------------------------------------------------------------------------------------------- American Tower Corp., 9.375% Sr. Nts., 2/1/09 8 5,400,000 5,535,000 - --------------------------------------------------------------------------------------------------------------------------- COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 3,4,5 5,340,408 40,053 - --------------------------------------------------------------------------------------------------------------------------- Concentric Network Corp., Escrow Shares, 12/15/07 1,3,4 4,085,000 -- - --------------------------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 9,415,000 11,534,910
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Diversified Telecommunication Services Continued Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 $ 4,300,000 $ 4,891,250 - --------------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 5 2,450,000 2,676,625 9.875% Sr. Sub. Nts., 8/15/13 5 4,400,000 4,994,000 - --------------------------------------------------------------------------------------------------------------------------- Focal Communications Corp.: 12.125% Sr. Unsec. Disc. Nts., 2/15/08 1,3 2,150,000 180,062 11.875% Sr. Unsec. Nts., Series B, 1/15/10 1,3 1,090,000 91,288 - --------------------------------------------------------------------------------------------------------------------------- France Telecom SA, 9.25% Sr. Unsec. Nts., 3/1/11 18,005,000 22,030,504 - --------------------------------------------------------------------------------------------------------------------------- Intermedia Communications, Inc., 0%/12.25% Sr. Disc. Nts., Series B, 3/1/09 3,4,8,13 6,950,000 2,797,375 - --------------------------------------------------------------------------------------------------------------------------- IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 8 1,050,000 1,102,500 - --------------------------------------------------------------------------------------------------------------------------- KPNQwest BV, 8.875% Sr. Nts., 2/1/08 1,3,4 [EUR] 5,000,000 14,557 - --------------------------------------------------------------------------------------------------------------------------- Level 3 Communications, Inc.: 0%/10.50% Sr. Disc. Nts., 12/1/08 8,13 3,300,000 2,788,500 9.125% Sr. Unsec. Nts., 5/1/08 8 5,400,000 4,617,000 - --------------------------------------------------------------------------------------------------------------------------- MCI Communications Corp., 7.75% Sr. Unsec. Debs., 3/23/25 3,4,8 2,150,000 1,703,875 - --------------------------------------------------------------------------------------------------------------------------- Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 3,4 10,100,000 782,750 - --------------------------------------------------------------------------------------------------------------------------- Nextlink Communications, Inc.: Escrow Shares, 10/1/07 1,3,4 9,283,000 -- Escrow Shares, 3/15/08 1,3,4 7,300,000 -- Escrow Shares, 4/15/08 1,3,4 2,750,000 -- Escrow Shares, 11/15/08 1,3,4 5,200,000 -- Escrow Shares, 6/1/09 1,3,4 1,400,000 -- - --------------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4 2,400,000 519,000 - --------------------------------------------------------------------------------------------------------------------------- Qwest Capital Funding, Inc.: 5.875% Nts., 8/3/04 7,500,000 7,462,500 7.75% Nts., 8/15/06 8 2,300,000 2,265,500 - --------------------------------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 7.50% Sr. Unsec. Nts., Series B, 11/1/08 5,000,000 4,825,000 - --------------------------------------------------------------------------------------------------------------------------- Qwest Corp.: 7.20% Unsec. Nts., 11/1/04 2,000,000 2,065,000 8.875% Nts., 3/15/12 5 15,200,000 16,948,000 - --------------------------------------------------------------------------------------------------------------------------- Qwest Services Corp., 13.50% Nts., 12/15/10 5,8 6,900,000 8,073,000 - --------------------------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 8.375% Nts., 3/15/12 8 5,100,000 6,027,129 8.75% Nts., 3/15/32 8 5,237,000 6,244,625 - --------------------------------------------------------------------------------------------------------------------------- Telewest Communications plc: 0%/9.25% Sr. Disc. Nts., 4/15/09 3,4,8,13 11,300,000 4,463,500 0%/9.875% Sr. Disc. Nts., 4/15/09 1,3,4,13 [GBP] 9,500,000 6,273,862 - --------------------------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 1,3,4 4,835,000 -- - --------------------------------------------------------------------------------------------------------------------------- Time Warner Telecom LLC/Time Warner Telecom, Inc., 9.75% Sr. Nts., 7/15/08 8,500,000 8,415,000 - --------------------------------------------------------------------------------------------------------------------------- Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 8 1,200,000 1,203,000 - --------------------------------------------------------------------------------------------------------------------------- Verizon Global Funding Corp., 7.375% Sr. Nts., 9/1/12 8 13,245,000 15,651,285 - --------------------------------------------------------------------------------------------------------------------------- Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 1,3,4 9,480,000 -- ----------------- 156,235,656
36 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Wireless Telecommunication Services--2.1% Alamosa Delaware, Inc., 12.50% Sr. Unsec. Nts., 2/1/11 8 $ 6,500,000 $ 6,305,000 - --------------------------------------------------------------------------------------------------------------------------- American Tower Escrow Corp., Sr. Sub. Disc. Nts., 12.25%, 8/1/08 9 6,000,000 4,020,000 - --------------------------------------------------------------------------------------------------------------------------- Arch Wireless Holdings, Inc., 12% Sub. Nts., 5/15/09 233,000 273,775 - --------------------------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07 5,237,000 5,965,755 - --------------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., 14% Sr. Unsec. Disc. Nts., 10/1/07 1,3,4 21,148,000 -- - --------------------------------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co./Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 5 5,100,000 5,278,500 - --------------------------------------------------------------------------------------------------------------------------- Crown Castle International Corp.: 0%/10.375% Sr. Disc. Nts., 5/15/11 8,13 7,200,000 7,272,000 9% Sr. Nts., 5/15/11 8 1,000,000 1,037,500 - --------------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 5 4,100,000 4,166,625 10.875% Sr. Unsec. Nts., 7/1/10 8 3,200,000 3,504,000 - --------------------------------------------------------------------------------------------------------------------------- Horizon PCS, Inc., 13.75% Sr. Nts., 6/15/11 3 1,000,000 255,000 - --------------------------------------------------------------------------------------------------------------------------- IPCS, Inc., 0%/14% Sr. Unsec. Disc. Nts., 7/15/10 1,3,13 2,200,000 253,000 - --------------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc.: 0%/14.50% Sr. Unsec. Disc. Nts., 4/15/10 1,3,4,13 5,400,000 540,000 12.50% Sr. Nts., 4/15/10 1,3 5,775,000 721,875 - --------------------------------------------------------------------------------------------------------------------------- Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 3,4 7,470,000 -- - --------------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc.: 7.375% Sr. Nts., 8/1/15 8 2,170,000 2,202,550 9.375% Sr. Unsec. Nts., 11/15/09 8 16,250,000 17,712,500 9.95% Sr. Disc. Nts., 2/15/08 14,350,000 15,157,187 12% Sr. Unsec. Nts., 11/1/08 8 2,950,000 3,167,563 - --------------------------------------------------------------------------------------------------------------------------- Nextel Partners, Inc.: 8.125% Sr. Nts., 7/1/11 5 1,300,000 1,274,000 11% Sr. Unsec. Nts., 3/15/10 1,400,000 1,536,500 12.50% Sr. Nts., 11/15/09 11,700,000 13,396,500 - --------------------------------------------------------------------------------------------------------------------------- Orbcomm Global LP, Escrow Shares, 8/15/04 1,3,4 15,930,000 -- - --------------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 9.625% Sr. Sub. Nts., Series B, 5/15/08 4,300,000 3,934,500 9.75% Sr. Sub. Nts., 1/15/10 8 5,400,000 4,941,000 9.875% Sr. Nts., 2/1/10 5 4,550,000 4,515,875 - --------------------------------------------------------------------------------------------------------------------------- SBA Communications Corp.: 10.25% Sr. Unsec. Nts., 2/1/09 400,000 362,000 12% Sr. Unsec. Disc. Nts., 3/1/08 8 13,545,000 14,357,700 - --------------------------------------------------------------------------------------------------------------------------- SpectraSite, Inc., 8.25% Sr. Nts., 5/15/10 5,8 1,400,000 1,484,000 - --------------------------------------------------------------------------------------------------------------------------- Triton PCS, Inc.: 8.50% Sr. Unsec. Nts., 6/1/13 8 3,200,000 3,448,000 8.75% Sr. Unsec. Sub. Nts., 11/15/11 8 1,200,000 1,203,000 9.375% Sr. Unsec. Sub. Nts., 2/1/11 8 2,300,000 2,351,750 - --------------------------------------------------------------------------------------------------------------------------- US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 13 8,800,000 6,468,000 - --------------------------------------------------------------------------------------------------------------------------- USA Mobile Communications, Inc. II, Escrow Shares, 11/1/04 1,3,4 5,885,000 -- - --------------------------------------------------------------------------------------------------------------------------- Western Wireless Corp., 9.25% Sr. Nts., 7/15/13 5 4,200,000 4,305,000 ----------------- 141,410,655
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Utilities--3.5% - --------------------------------------------------------------------------------------------------------------------------- Electric Utilities--1.6% AES Corp. (The): 8.75% Sr. Sec. Nts., 5/15/13 5,8 $ 11,000,000 $ 11,605,000 8.75% Sr. Unsec. Unsub. Nts., 6/15/08 8 2,015,000 2,030,113 8.875% Sr. Unsec. Nts., 2/15/11 8 1,031,000 1,031,000 9.375% Sr. Unsec. Nts., 9/15/10 8 989,000 1,013,725 9.50% Sr. Unsec. Nts., 6/1/09 8 502,000 519,570 - --------------------------------------------------------------------------------------------------------------------------- AES Drax Holdings Ltd., 10.41% Sr. Sec. Sub. Nts., Series B, 12/31/20 1,3 2,700,000 2,025,000 - --------------------------------------------------------------------------------------------------------------------------- Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,674,752 2,888,732 - --------------------------------------------------------------------------------------------------------------------------- Calpine Corp.: 8.25% Sr. Unsec. Nts., 8/15/05 8 1,550,000 1,379,500 8.50% Sr. Sec. Nts., 7/15/10 5 16,300,000 15,077,500 8.50% Sr. Unsec. Nts., 2/15/11 8,400,000 5,964,000 8.625% Sr. Nts., 8/15/10 8 600,000 426,000 8.75% Sr. Nts., 7/15/07 5,700,000 4,275,000 8.75% Sr. Sec. Nts., 7/15/13 5 8,150,000 7,498,000 - --------------------------------------------------------------------------------------------------------------------------- Central Termica Guemes SA, 2% Nts., 1/1/12 1 5,422,500 542,250 - --------------------------------------------------------------------------------------------------------------------------- CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 8 1,200,000 1,194,000 7.75% Sr. Nts., 8/1/10 5 1,550,000 1,542,250 8.50% Sr. Nts., 4/15/11 2,500,000 2,556,250 9.875% Sr. Unsec. Nts., 10/15/07 8 8,610,000 9,255,750 - --------------------------------------------------------------------------------------------------------------------------- CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec. Pass-Through Certificates, 1/15/05 5,200,000 5,187,000 - --------------------------------------------------------------------------------------------------------------------------- Edison Mission Energy: 9.875% Sr. Unsec. Nts., 4/15/11 1,900,000 1,634,000 10% Sr. Unsec. Nts., 8/15/08 5,200,000 4,602,000 - --------------------------------------------------------------------------------------------------------------------------- El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 4,000,000 4,720,128 - --------------------------------------------------------------------------------------------------------------------------- Funding Corp./Beaver Valley Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 956,000 1,062,030 - --------------------------------------------------------------------------------------------------------------------------- Messer Griesheim Holding AG, 10.375% Sr. Nts., 6/1/11 [EUR] 3,000,000 3,991,494 - --------------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC: 7.625% Sr. Unsec. Nts., 5/1/06 3 2,300,000 1,834,250 8.30% Sr. Unsec. Nts., 5/1/11 3 700,000 556,500 - --------------------------------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 5 1,550,000 1,627,500 - --------------------------------------------------------------------------------------------------------------------------- PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 5 3,100,000 3,270,500 - --------------------------------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 5 2,300,000 2,093,000 9.50% Sr. Sec. Nts., 7/15/13 5 3,000,000 2,715,000 - --------------------------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/15/07 1,200,000 1,353,000 ----------------- 105,470,042 - --------------------------------------------------------------------------------------------------------------------------- Gas Utilities--1.1% AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr. Unsec. Nts., Series B, 5/20/11 10 6,400,000 6,896,000 - --------------------------------------------------------------------------------------------------------------------------- ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,800,000 1,935,000 - --------------------------------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 8 9,185,000 7,761,325
38 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Gas Utilities Continued El Paso Energy Corp., 7.625% Nts., 7/15/11 8 $ 6,875,000 $ 5,706,250 - --------------------------------------------------------------------------------------------------------------------------- NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 1,259,000 1,503,073 - --------------------------------------------------------------------------------------------------------------------------- SEMCO Energy, Inc.: 7.125% Sr. Nts., 5/15/08 5 1,200,000 1,212,000 7.75% Sr. Nts., 5/15/13 5,8 1,200,000 1,215,000 - --------------------------------------------------------------------------------------------------------------------------- Southern Natural Gas Co.: 7.35% Nts., 2/15/31 3,100,000 2,867,500 8% Sr. Unsub. Nts., 3/1/32 4,500,000 4,398,750 8.875% Sr. Nts., 3/15/10 8 2,700,000 2,902,500 - --------------------------------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 14,050,000 13,488,000 - --------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), 7.125% Nts., 9/1/11 18,450,000 18,311,625 ----------------- 68,197,023 - --------------------------------------------------------------------------------------------------------------------------- Multi-Utilities & Unregulated Power--0.8% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 3,892,946 4,019,467 - --------------------------------------------------------------------------------------------------------------------------- Aquila, Inc., 7% Sr. Unsec. Nts., 7/15/04 8 1,000,000 1,000,000 - --------------------------------------------------------------------------------------------------------------------------- Consumers Energy Co.: 6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,317,395 7.375% Nts., 9/15/23 1,900,000 1,969,801 - --------------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 18,850,000 15,881,125 8.75% Sr. Nts., 2/15/12 8 6,950,000 6,394,000 10.125% Sr. Sec. Nts., 7/15/13 5,8 6,600,000 6,996,000 - --------------------------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Nts., 6/1/13 5 4,800,000 4,584,000 - --------------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,141,232 3,127,489 - --------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 8.625% Sr. Nts., 6/1/10 8 3,200,000 3,416,000 9.25% Sr. Unsec. Unsub. Nts., 3/15/04 8 2,800,000 2,870,000 - --------------------------------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,072,500 ----------------- 52,647,777 - --------------------------------------------------------------------------------------------------------------------------- Water Utilities--0.0% National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 1 1,900,000 2,085,250 ----------------- Total Corporate Bonds and Notes (Cost $2,435,075,581) 2,310,147,436 Shares - --------------------------------------------------------------------------------------------------------------------------- Preferred Stocks--0.9% - --------------------------------------------------------------------------------------------------------------------------- AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1,4,14 338,141 3,381 - --------------------------------------------------------------------------------------------------------------------------- Crown American Realty Trust, 11% Cum., Series A, Non-Vtg. 49,500 2,838,825 - --------------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 11.125% Cum., Series M, Non-Vtg. 14 85,396 8,945,231 - --------------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co., 14.25% Jr. Sub. Debs., Non-Vtg. 1,4 255,000 10,263,750 - --------------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 4 6,800 1,372,750 12.25% Sr. Exchangeable, Non-Vtg. 14 1 1,064 - --------------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1,4,14 11,723 1,172
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Market Value Shares See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Preferred Stocks Continued Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1,4 39,000 $ 2,583,750 - --------------------------------------------------------------------------------------------------------------------------- Global Crossing Holdings Ltd., 10.50% Sr. Exchangeable, Non-Vtg. 1,4,14 21,050 -- - --------------------------------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 1,4,14 5,773 -- - --------------------------------------------------------------------------------------------------------------------------- Intermedia Communications, Inc., 13.50% Exchangeable, Series B 1,4,14 1 32 - --------------------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc., 2.50% Cv., Series A 4 6,516 46,198 - --------------------------------------------------------------------------------------------------------------------------- Metrocall Holdings, Inc., 15% Cum., Series A 1 5,863 65,959 - --------------------------------------------------------------------------------------------------------------------------- Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 1,4,14 96,993 -- - --------------------------------------------------------------------------------------------------------------------------- NTL Europe, Inc., 10% Nts., Series A, Non-Vtg. 1 323 1,131 - --------------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp.: 14.25% Cum. 4,14 -- 2,166 14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 1,447 13,059,175 - --------------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 14 10,825 8,849,438 - --------------------------------------------------------------------------------------------------------------------------- SF Holdings Group, Inc., 13.75% Exchangeable, Non-Vtg. 1,4 3 2,985 - --------------------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 57,800 8,568,850 - --------------------------------------------------------------------------------------------------------------------------- Supermarkets General Holdings Corp., $14.08 Exchangeable 1,4,14 200,000 -- - --------------------------------------------------------------------------------------------------------------------------- XO Communications, Inc., 14% Cum. Sr. Exchangeable Redeemable, Non-Vtg. 1,4,14 3 -- - --------------------------------------------------------------------------------------------------------------------------- Ziff Davis Holdings, Inc., 10% Nts., Series E-1 1,4 240 600 ----------------- Total Preferred Stocks (Cost $92,360,273) 56,606,457 - --------------------------------------------------------------------------------------------------------------------------- Common Stocks--2.3% Adelphia Business Solutions, Inc. 4 6,272 69 - --------------------------------------------------------------------------------------------------------------------------- Adobe Systems, Inc. 30,496 1,197,273 - --------------------------------------------------------------------------------------------------------------------------- Albertson's, Inc. 56,926 1,170,968 - --------------------------------------------------------------------------------------------------------------------------- Allegheny Energy, Inc. 4 128,913 1,178,265 - --------------------------------------------------------------------------------------------------------------------------- Altera Corp. 4 53,714 1,015,195 - --------------------------------------------------------------------------------------------------------------------------- Altria Group, Inc. 28,770 1,260,126 - --------------------------------------------------------------------------------------------------------------------------- AO VimpelCom, Sponsored ADR 4 20,685 1,258,889 - --------------------------------------------------------------------------------------------------------------------------- Apache Corp. 17,511 1,214,213 - --------------------------------------------------------------------------------------------------------------------------- Arch Wireless, Inc., Cl. A 4 53,116 597,024 - --------------------------------------------------------------------------------------------------------------------------- AutoNation, Inc. 4 63,288 1,110,072 - --------------------------------------------------------------------------------------------------------------------------- Bank Pekao SA, Sponsored GDR 52,692 1,508,730 - --------------------------------------------------------------------------------------------------------------------------- Bear Stearns Cos., Inc. (The) 16,641 1,244,747 - --------------------------------------------------------------------------------------------------------------------------- Best Buy Co., Inc. 4 22,573 1,072,669 - --------------------------------------------------------------------------------------------------------------------------- Brasil Telecom Participacoes SA, Sponsored ADR 86,125 3,298,587 - --------------------------------------------------------------------------------------------------------------------------- Burlington Resources, Inc. 24,860 1,198,252 - --------------------------------------------------------------------------------------------------------------------------- Capital One Financial Corp. 21,637 1,234,174 - --------------------------------------------------------------------------------------------------------------------------- Cavco Industries, Inc. 4 770 16,555 - --------------------------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc. 136,700 1,253,539 - --------------------------------------------------------------------------------------------------------------------------- Centex Corp. 16,215 1,262,824 - --------------------------------------------------------------------------------------------------------------------------- Cesky Telecom AS, GDR 4 121,441 1,196,194
40 | OPPENHEIMER STRATEGIC INCOME FUND
Market Value Shares See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Common Stocks Continued Charles River Laboratories International, Inc. 4 45,220 $ 1,387,802 - --------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. 875,000 9,432,500 - --------------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc. 4 88,293 1,562,786 - --------------------------------------------------------------------------------------------------------------------------- Citrix Systems, Inc. 4 57,530 1,270,262 - --------------------------------------------------------------------------------------------------------------------------- Classic Cable, Inc. 4 7,208 -- - --------------------------------------------------------------------------------------------------------------------------- Companhia de Bebidas das Americas, ADR 188,400 4,078,860 - --------------------------------------------------------------------------------------------------------------------------- Companhia Siderurgica Nacional SA, Sponsored ADR 10,390 369,053 - --------------------------------------------------------------------------------------------------------------------------- Companhia Vale do Rio Doce, ADR 51,520 2,103,046 - --------------------------------------------------------------------------------------------------------------------------- Compuware Corp. 4 194,175 1,040,778 - --------------------------------------------------------------------------------------------------------------------------- Conseco, Inc. 4 142,199 2,568,114 - --------------------------------------------------------------------------------------------------------------------------- Cooper Industries Ltd., Cl. A 23,424 1,125,055 - --------------------------------------------------------------------------------------------------------------------------- Countrywide Financial Corp. 17,423 1,363,872 - --------------------------------------------------------------------------------------------------------------------------- Covad Communications Group, Inc. 4 168,383 931,158 - --------------------------------------------------------------------------------------------------------------------------- Criimi MAE, Inc. 4 431,792 4,482,001 - --------------------------------------------------------------------------------------------------------------------------- Devon Energy Corp. 23,220 1,118,972 - --------------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. A 4 437,675 2,843,137 - --------------------------------------------------------------------------------------------------------------------------- Dollar General Corp. 52,379 1,047,580 - --------------------------------------------------------------------------------------------------------------------------- Edison International 4 63,517 1,213,175 - --------------------------------------------------------------------------------------------------------------------------- Equinix, Inc. 4 133,114 2,481,245 - --------------------------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc. 27,041 1,133,018 - --------------------------------------------------------------------------------------------------------------------------- Freddie Mac 22,272 1,165,939 - --------------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The) 57,061 976,884 - --------------------------------------------------------------------------------------------------------------------------- Gedeon Richter Rt, GDR, S Shares 10,499 1,028,902 - --------------------------------------------------------------------------------------------------------------------------- General Motors Corp. 28,249 1,156,232 - --------------------------------------------------------------------------------------------------------------------------- Geotek Communications, Inc. 1,4 6,475 -- - --------------------------------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 1,4 625 -- - --------------------------------------------------------------------------------------------------------------------------- Globix Corp. 1,4 100,917 252,292 - --------------------------------------------------------------------------------------------------------------------------- Horizon Natural Resources Co. 1,4 133,333 -- - --------------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 1,4 276,705 235,199 - --------------------------------------------------------------------------------------------------------------------------- J. C. Penney Co., Inc. (Holding Co.) 54,595 1,166,695 - --------------------------------------------------------------------------------------------------------------------------- JSC Mining & Metallurgical Co. Norilsk Nickel, ADR 28,135 1,396,199 - --------------------------------------------------------------------------------------------------------------------------- KB Home 20,856 1,244,269 - --------------------------------------------------------------------------------------------------------------------------- KGHM Polska Miedz SA, GDR 4 48,216 501,446 - --------------------------------------------------------------------------------------------------------------------------- Komercni Banka AS, GDR 81,233 2,367,942 - --------------------------------------------------------------------------------------------------------------------------- Kroger Co. (The) 4 62,048 1,108,798 - --------------------------------------------------------------------------------------------------------------------------- Ladish Co., Inc. 4 30,000 187,500 - --------------------------------------------------------------------------------------------------------------------------- LUKOIL, Sponsored ADR 13,205 1,090,205 - --------------------------------------------------------------------------------------------------------------------------- Magyar Tavkozlesi Rt, Sponsored ADR 68,963 1,288,918 - --------------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The) 7,919 171,763 - --------------------------------------------------------------------------------------------------------------------------- Marathon Oil Corp. 42,328 1,206,348 - --------------------------------------------------------------------------------------------------------------------------- MBIA, Inc. 21,138 1,161,956
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Market Value Shares See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Common Stocks Continued Metrocall Holdings, Inc. 4 6,801 $ 986,145 - --------------------------------------------------------------------------------------------------------------------------- MGIC Investment Corp. 20,819 1,084,045 - --------------------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc. 4 45,738 584,668 - --------------------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. A 4 381 4,659 - --------------------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. B 4 45,465 539,401 - --------------------------------------------------------------------------------------------------------------------------- MOL Magyar Olaj-es Gazipari Rt, Sponsored GDR 44,938 1,244,783 - --------------------------------------------------------------------------------------------------------------------------- Network Appliance, Inc. 4 53,050 1,089,117 - --------------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., Cl. A 4 61,567 1,212,254 - --------------------------------------------------------------------------------------------------------------------------- Nordstrom, Inc. 45,714 1,134,164 - --------------------------------------------------------------------------------------------------------------------------- NTL, Inc. 4 259,147 12,211,007 - --------------------------------------------------------------------------------------------------------------------------- OAO Gazprom, Sponsored ADR 50,020 1,240,496 - --------------------------------------------------------------------------------------------------------------------------- Occidental Petroleum Corp. 33,987 1,197,362 - --------------------------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 4 36,365 337,467 - --------------------------------------------------------------------------------------------------------------------------- OTP Bank Ltd., GDR, S Shares 4 86,263 2,053,059 - --------------------------------------------------------------------------------------------------------------------------- Paccar, Inc. 13,984 1,044,465 - --------------------------------------------------------------------------------------------------------------------------- PerkinElmer, Inc. 73,037 1,118,196 - --------------------------------------------------------------------------------------------------------------------------- Petroleo Brasileiro SA, Sponsored ADR 189,770 4,351,426 - --------------------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc. 4 165,394 756,678 - --------------------------------------------------------------------------------------------------------------------------- Polski Koncern Naftowy Orlen SA, GDR 123,888 1,499,045 - --------------------------------------------------------------------------------------------------------------------------- Polymer Group, Inc., Cl. A 1,4 6,989 38,824 - --------------------------------------------------------------------------------------------------------------------------- Prandium, Inc. 4,16 1,019,757 316,125 - --------------------------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 1,4,16 799,833 -- - --------------------------------------------------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 27,759 1,165,878 - --------------------------------------------------------------------------------------------------------------------------- Pulte Homes, Inc. 18,013 1,225,064 - --------------------------------------------------------------------------------------------------------------------------- RadioShack Corp. 38,011 1,079,893 - --------------------------------------------------------------------------------------------------------------------------- Scientific-Atlanta, Inc. 33,441 1,041,687 - --------------------------------------------------------------------------------------------------------------------------- Sears Roebuck & Co. 26,226 1,146,863 - --------------------------------------------------------------------------------------------------------------------------- Sempra Energy 39,894 1,171,288 - --------------------------------------------------------------------------------------------------------------------------- Sibneft, Sponsored ADR 4 42,555 1,244,734 - --------------------------------------------------------------------------------------------------------------------------- Southern Pacific Funding Corp., Liquidating Trust 1 7,946,502 -- - --------------------------------------------------------------------------------------------------------------------------- Sprint Corp. (Fon Group) 80,731 1,219,038 - --------------------------------------------------------------------------------------------------------------------------- Staples, Inc. 4 48,465 1,151,044 - --------------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 4 9,927 155,109 - --------------------------------------------------------------------------------------------------------------------------- Surgutneftegaz, Sponsored ADR 48,075 1,088,899 - --------------------------------------------------------------------------------------------------------------------------- Symantec Corp. 4 20,833 1,312,896 - --------------------------------------------------------------------------------------------------------------------------- Telekomunikacja Polska SA, GDR 388,030 1,389,147 - --------------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp. 4 74,086 1,072,765 - --------------------------------------------------------------------------------------------------------------------------- Toys 'R' Us, Inc. 4 87,912 1,057,581 - --------------------------------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 1,4 56,750 -- - --------------------------------------------------------------------------------------------------------------------------- UGC Europe, Inc. 4 171,530 8,979,596 - --------------------------------------------------------------------------------------------------------------------------- United States Steel Corp. 65,217 1,198,688
42 | OPPENHEIMER STRATEGIC INCOME FUND
Market Value Shares See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Common Stocks Continued Viatel Holding Ltd. (Bermuda) 1,4 37,131 $ 144,811 - --------------------------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 60,000 643,800 - --------------------------------------------------------------------------------------------------------------------------- Washington Mutual, Inc. 30,395 1,196,651 - --------------------------------------------------------------------------------------------------------------------------- Wilshire Financial Services Group, Inc. 4 560,000 2,598,400 - --------------------------------------------------------------------------------------------------------------------------- Winn-Dixie Stores, Inc. 117,302 1,131,964 - --------------------------------------------------------------------------------------------------------------------------- WRC Media Corp. 1,4 15,559 311 - --------------------------------------------------------------------------------------------------------------------------- XO Communications, Inc. 4 28,777 166,907 - --------------------------------------------------------------------------------------------------------------------------- YUKOS, ADR 20,670 1,281,747 ----------------- Total Common Stocks (Cost $171,488,642) 150,456,413 Units - --------------------------------------------------------------------------------------------------------------------------- Rights, Warrants and Certificates--1.1% American Tower Corp. Wts., Exp. 8/1/08 1,4 6,000 738,000 - --------------------------------------------------------------------------------------------------------------------------- ASAT Finance LLC Wts., Exp. 11/1/06 1,4 2,200 3,025 - --------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. Wts.: Exp. 5/1/05 1,4 27,926 279 Exp. 9/1/04 4 36,061 1,848 - --------------------------------------------------------------------------------------------------------------------------- Citigroup, Inc. Litigation Wts., Exp. 12/31/50 4 48,080 51,926 - --------------------------------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 1,4 6,350 64 - --------------------------------------------------------------------------------------------------------------------------- Comunicacion Celular SA Wts., Exp. 11/15/03 1,4 8,109 81 - --------------------------------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/15/07 1,4 4,650 -- - --------------------------------------------------------------------------------------------------------------------------- Covergent Communications, Inc. Wts., Exp. 4/1/08 1,4 18,300 183 - --------------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc. Wts., Exp. 11/1/05 1,4 5,225 52 - --------------------------------------------------------------------------------------------------------------------------- HF Holdings, Inc. Wts., Exp. 9/27/09 1,4 34,425 4,647 - --------------------------------------------------------------------------------------------------------------------------- Horizon PCS, Inc. Wts., Exp. 10/1/10 1,4 11,000 -- - --------------------------------------------------------------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/15/05 1,4 46,860 469 - --------------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. Wts.: Exp. 5/16/06 1,4 69,399 347 Exp. 5/16/06 1,4 103 -- - --------------------------------------------------------------------------------------------------------------------------- Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 1,4 86,946 -- - --------------------------------------------------------------------------------------------------------------------------- Insilco Corp. Wts., Exp. 8/15/07 1,4 7,780 -- - --------------------------------------------------------------------------------------------------------------------------- IPCS, Inc. Wts., Exp. 6/15/10 1,4 6,600 66 - --------------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. Wts., Exp. 4/15/10 1,4 6,700 -- - --------------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 1,4 4,160 -- - --------------------------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. Wts., Exp. 1/15/07 1,4 6,250 63 - --------------------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc. Wts., Exp. 4/16/07 1,4 14,440 7,509 - --------------------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc.: Cl. A Wts., Exp. 5/1/05 4 16,888 19,773 Cl. B Wts., Exp. 5/1/08 4 28,147 48,599 - --------------------------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc. Wts., Exp. 7/15/05 1,4 5,800 58 - --------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc. All Country Asia Free (except for Japan) Wts., Exp. 3/4/05 4 1,413,050 18,169,138 - --------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc. Basket of countries Wts., Exp. 3/4/05 4 2,187,446 26,159,229
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Market Value Units See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Rights, Warrants and Certificates Continued Morgan Stanley Capital III, Inc. All Country Asia Free (except for Japan) Wts., Exp. 3/4/05 4 2,733,566 $ 29,486,156 - --------------------------------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 1,4 8,000 7,000 - --------------------------------------------------------------------------------------------------------------------------- Occidente y Caribe Celular SA Wts., Exp. 3/15/04 1,4 21,600 -- - --------------------------------------------------------------------------------------------------------------------------- PLD Telekom, Inc. Wts., Exp. 6/1/06 (cv. into Metromedia International Group, Inc.) 1,4 16,650 167 - --------------------------------------------------------------------------------------------------------------------------- Protection One, Inc. Wts.: Exp. 11/1/03 1,4 182,000 -- Exp. 6/30/05 1,4 13,440 -- - --------------------------------------------------------------------------------------------------------------------------- Real Time Data Co. Wts., Exp. 5/31/04 1,4 2,251,489 -- - --------------------------------------------------------------------------------------------------------------------------- Republic Technologies International LLC Wts., Exp. 7/15/09 1,4 4,900 49 - --------------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,4 16,111 -- - --------------------------------------------------------------------------------------------------------------------------- Telergy, Inc. Wts., Exp. 9/25/10 1,4 18,175 -- - --------------------------------------------------------------------------------------------------------------------------- Telus Corp. Wts., Exp. 9/15/05 4 12,147 71,522 - --------------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 1,4 18,600 -- - --------------------------------------------------------------------------------------------------------------------------- Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 1,4 7,000 105 - --------------------------------------------------------------------------------------------------------------------------- XO Communications, Inc.: Cl. A Wts., Exp. 1/16/10 4 57,557 105,042 Cl. B Wts., Exp. 1/16/10 4 43,168 69,069 Cl. C Wts., Exp. 1/16/10 4 43,168 44,463 - --------------------------------------------------------------------------------------------------------------------------- Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 1,4 44,000 440 ----------------- Total Rights, Warrants and Certificates (Cost $65,578,044) 74,989,369 Principal Amount - --------------------------------------------------------------------------------------------------------------------------- Structured Notes--8.4% Citigroup Global Capital Markets Holdings, Inc., Brazilian Real Linked Nts., 23.18%, 5/20/04 9 [BRR] 7,236,940 2,177,386 - --------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc., Argentine Peso Linked Nts., 7/6/04 3,325,000 3,265,815 - --------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Cayman): Russia (Government of) Linked Bonds, Series 24, 15%, 9/2/05 [RUR] 82,770,000 2,888,710 Russia (Government of) Linked Bonds, Series 26, 15%, 3/11/05 [RUR] 83,913,000 2,888,822 - --------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Nassau Branch), U.S. Dollar/Philippine Peso Linked Nts., 12.50%, 3/5/12 2 [PHP] 804,270,000 14,688,645 - --------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (New York Branch): Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 27011, 10.028%, 10/8/03 1,2 [RUR] 131,512,500 4,301,771 Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 27011, 10.028%, 10/8/03 1,2 [RUR] 10,781,020 352,647 Russian Obligatzii Federal'nogo Zaima Linked Nts., Series 28001, 10.028%, 1/21/04 1,2 [RUR] 10,781,020 354,973 - --------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International, U.S. Dollar/ South African Rand Linked Nts., Series FBi 43, 1.065%, 5/23/22 2 13,740,000 13,329,174
44 | OPPENHEIMER STRATEGIC INCOME FUND
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Structured Notes Continued - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Basket of Emerging Market Currencies Linked Nts.: 0.85%, 1/20/04 $ 25,470,000 $ 25,808,751 0.85%, 3/24/04 27,465,000 27,602,325 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Indonesian Rupiah Linked Nts.: 14%, 6/22/09 13,171,778 15,331,950 14%, 6/22/09 6,708,285 7,383,139 14%, 6/22/09 6,147,455 7,055,434 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Peru Credit Default Linked Nts., 4.716%, 4/29/06 2 22,035,000 22,458,072 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Turkish Lira Treasury Bill Linked Nts, 0.985%, 8/20/04 2 13,210,000 14,437,209 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Venezuela (Republic of) Credit Linked Certificate of Deposit, 8.18%, 9/20/06 2 16,900,000 16,455,530 - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Venezuela (Republic of) Credit Linked Nts., 1.094%, 6/15/04 2 10,685,000 11,216,044 - --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: High Yield Beta Index Linked Nts., 10%, 6/20/08 8 32,000,000 31,440,000 High Yield Index B Linked Nts., 9%, 6/20/08 8 157,037,037 160,177,778 High Yield Index-100 Linked Nts., 8%, 6/20/08 8 89,100,000 90,882,000 - --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked Certificate of Deposit: 7.79%, 9/20/05 2 15,385,000 15,372,692 7.84%, 9/20/05 2 15,225,000 15,226,522 - --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked Default Bonds, 7.94%, 9/20/05 2 15,225,000 15,253,927 - --------------------------------------------------------------------------------------------------------------------------- Parametric RE Ltd., Catastrophe Linked Nts., 5.54%, 11/19/07 2,5 2,400,000 2,444,856 - --------------------------------------------------------------------------------------------------------------------------- Pioneer 2002 Ltd., Sec. Catastrophe Linked Nts.: Series 2002-1, Cl. E-A, 5.39%, 6/15/06 2 1,250,000 1,251,812 Series 2003-II, Cl. A, 7.14%, 6/15/06 1,2 6,250,000 6,385,937 Series 2003-II, Cl. B, 6.14%, 6/15/06 1,2 6,250,000 6,329,063 Series 2003-II, Cl. C, 6.89%, 6/15/06 1,2 6,250,000 6,304,063 - --------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Fujiyama Ltd., Catastrophe Linked Nts., 5.13%, 5/16/05 2,5 2,500,000 2,510,225 ----------------- Total Structured Notes (Cost $546,574,997) 545,575,272 Date Strike Contracts - --------------------------------------------------------------------------------------------------------------------------- Options Purchased--0.2% Chilean Peso Call 1,4 3/22/04 655CLP 18,986,184 400,267 - --------------------------------------------------------------------------------------------------------------------------- Euro Call 1,4 4/1/04 1.20EUR 192,325,000 3,577,245 - --------------------------------------------------------------------------------------------------------------------------- Japanese Yen Call 1,4 6/1/04 107JPY 8,608,000,000 1,768,083 - --------------------------------------------------------------------------------------------------------------------------- Japanese Yen Put 1,4 2/25/04 122EUR 42,280,000 417,304 - --------------------------------------------------------------------------------------------------------------------------- Standard & Poor's 500 Index Futures, 12/18/03 Put 11/21/03 $1,005 414 3,736,350 ----------------- Total Options Purchased (Cost $8,976,593) 9,899,249
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
Principal Market Value Amount See Note 1 - --------------------------------------------------------------------------------------------------------------------------- Joint Repurchase Agreements--1.2% Undivided interest of 12.92% in joint repurchase agreement (Principal Amount/Market Value $626,785,000, with a maturity value of $626,801,192) with Banc One Capital Markets, Inc., 0.93%, dated 9/30/03, to be repurchased at $80,999,092 on 10/1/03, collateralized by U.S. Treasury Nts., 7.25%, 5/15/04, with a value of $53,265,500, U.S. Treasury Bonds, 1.75%--9%, 9/30/05--8/15/23, with a value of $448,490,782 and U.S. Treasury Bills, 2/5/04--2/19/04, with a value of $138,244,579 (Cost $80,997,000) $ 80,997,000 $ 80,997,000 - --------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $7,280,049,876) 109.8% 7,164,615,997 - --------------------------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (9.8) (636,700,790) ------------------------------------ Net Assets 100.0% $ 6,527,915,207 ====================================
Footnotes to Statement of Investments Principal amount and strike are reported in U.S. dollars, except for those denoted in the following currencies: ARP Argentine Peso BRR Brazilian Real CAD Canadian Dollar CLP Chilean Peso DEM German Mark DKK Danish Krone EUR Euro FRF French Franc GBP British Pound Sterling JPY Japanese Yen PHP Philippines Peso RUR Russian Ruble SEK Swedish Krona 1. Identifies issues considered to be illiquid or restricted. See Note 11 of Notes to Financial Statements. 2. Represents the current interest rate for a variable or increasing rate security. 3. Issuer is in default. See Note 1 of Notes to Financial Statements. 4. Non-income producing security. 5. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $371,018,228 or 5.68% of the Fund's net assets as of September 30, 2003. 6. Delayed settlement security to be delivered and settled after September 30, 2003. See Note 1 of Notes to Financial Statements. 7. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $33,347,302 or 0.51% of the Fund's net assets as of September 30, 2003. 8. Partial or fully-loaned security--See Note 12 of Notes to Financial Statements. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. Securities with an aggregate market value of $23,186,304 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 11. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of Notes to Financial Statements. 46 | OPPENHEIMER STRATEGIC INCOME FUND 12. A sufficient amount of liquid assets has been designated to cover outstanding written options, as follows:
Contracts Expiration Exercise Premium Market Value Subject to Call Dates Price Received See Note 1 - -------------------------------------------------------------------------------------------------------------- Chilean Peso 18,986 3/22/04 665.00CLP $ 446,173 $ 562,938 Japanese Yen 84,560 4/28/04 141.00JPY 1,178,420 289,195 Japanese Yen 42,280 2/25/04 132.00EUR 485,887 655,763 Japanese Yen 31,174 10/23/03-10/30/03 110.00JPY 2,840,757 2,318,022 Thailand Baht 8,600 10/27/03 140.00THB 56,330 56,760 ---------------------------- 5,007,567 3,882,678 ---------------------------- Contracts Subject to Put - -------------------------------------------------------------------------------------------------------------- Japanese Yen 9,703 6/1/04 120.00JPY 1,811,227 595,764 Thailand Baht 8,600 10/27/03 40.50THB 34,830 20,210 ---------------------------- 1,846,057 615,974 ---------------------------- $6,853,624 $4,498,652 ============================
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 14. Interest or dividend is paid-in-kind. 15. 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, principal amount disclosed represents total underlying principal. 16. Affiliated company. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2003. The aggregate fair value of securities of affiliated companies held by the Fund as of September 30, 2003 amounts to $316,125. Transactions during the period in which the issuer was an affiliate are as follows:
Shares Gross Gross Shares Unrealized Sept. 30, 2002 Additions Reductions Sept. 30, 2003 Depreciation - ------------------------------------------------------------------------------------------------------------ Stocks and/or Warrants Prandium, Inc. 1,019,757 -- -- 1,019,757 $11,669,875 Premier Holdings Ltd. 799,833 -- -- 799,833 -- ----------- $11,669,875 ===========
See accompanying Notes to Financial Statements. 47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES September 30, 2003 - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------- Assets Investments, at value--see accompanying statement: Unaffiliated companies (cost $7,268,063,876) $7,164,299,872 Affiliated companies (cost $11,986,000) 316,125 --------------- 7,164,615,997 - ----------------------------------------------------------------------------------------------------------- Cash 9,383,247 - ----------------------------------------------------------------------------------------------------------- Cash--foreign currencies (cost $35,702) 35,891 - ----------------------------------------------------------------------------------------------------------- Collateral for securities loaned 588,906,159 - ----------------------------------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 34,547,946 - ----------------------------------------------------------------------------------------------------------- Receivables and other assets: Interest, dividends and principal paydowns 102,015,903 Investments sold (including $15,860,173 sold on a delayed settlement basis) 60,472,674 Shares of beneficial interest sold 8,621,604 Futures margins 6,740,676 Other 331,906 --------------- Total assets 7,975,672,003 - ----------------------------------------------------------------------------------------------------------- Liabilities Return of collateral for securities loaned 588,906,159 - ----------------------------------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 15,578,484 - ----------------------------------------------------------------------------------------------------------- Options written, at value (premiums received $6,853,624)--see accompanying statement 4,498,652 - ----------------------------------------------------------------------------------------------------------- Swaptions written, at value (premiums received $395,561)--see accompanying statement 210,508 - ----------------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $745,964,382 purchased on a delayed statement basis) 803,960,305 Closed foreign currency contracts 12,274,625 Shares of beneficial interest redeemed 11,459,381 Dividends 3,941,132 Distribution and service plan fees 3,833,112 Swap contract 1,295,578 Transfer and shareholder servicing agent fees 900,100 Shareholder reports 643,607 Trustees' compensation 37,209 Other 217,944 --------------- Total liabilities 1,447,756,796 - ----------------------------------------------------------------------------------------------------------- Net Assets $6,527,915,207 =============== - ----------------------------------------------------------------------------------------------------------- Composition of Net Assets Par value of shares of beneficial interest $ 1,598,743 - ----------------------------------------------------------------------------------------------------------- Additional paid-in capital 7,806,869,657 - ----------------------------------------------------------------------------------------------------------- Overdistributed net investment income (26,416,177) - ----------------------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (1,179,105,482) - ----------------------------------------------------------------------------------------------------------- Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies (75,031,534) --------------- Net Assets $6,527,915,207 ===============
48 | OPPENHEIMER STRATEGIC INCOME FUND
- ---------------------------------------------------------------------------------------------- Net Asset Value Per Share Class A Shares: Net asset value and redemption price per share (based on net assets of $3,873,017,762 and 949,148,024 shares of beneficial interest outstanding) $4.08 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $4.28 - ---------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,686,295,194 and 411,775,837 shares of beneficial interest outstanding) $4.10 - ---------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $698,196,252 and 171,429,718 shares of beneficial interest outstanding) $4.07 - ---------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $30,109,834 and 7,373,613 shares of beneficial interest outstanding) $4.08 - ---------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $240,296,165 and 59,015,579 shares of beneficial interest outstanding) $4.07
See accompanying Notes to Financial Statements. 49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS For the Year Ended September 30, 2003 - --------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------- Investment Income Interest (net of foreign withholding taxes of $139,783) $ 455,805,209 - ---------------------------------------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $57,828) 6,625,529 - ---------------------------------------------------------------------------------------------------------------- Lending fees 180,468 --------------- Total investment income 462,611,206 - ---------------------------------------------------------------------------------------------------------------- Expenses - ---------------------------------------------------------------------------------------------------------------- Management fees 32,424,727 Distribution and service plan fees: Class A 8,660,139 Class B 17,575,847 Class C 6,232,376 Class N 112,928 - ---------------------------------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 5,069,181 Class B 2,182,038 Class C 780,257 Class N 64,078 Class Y 1,647,219 - ---------------------------------------------------------------------------------------------------------------- Shareholder reports 747,393 - ---------------------------------------------------------------------------------------------------------------- Custodian fees and expenses 698,630 - ---------------------------------------------------------------------------------------------------------------- Trustees' compensation 194,499 - ---------------------------------------------------------------------------------------------------------------- Other 254,723 --------------- Total expenses 76,644,035 Less reduction to custodian expenses (76,611) Less voluntary waiver of transfer and shareholder servicing agent fees--Class Y (978,905) --------------- Net expenses 75,588,519 - ---------------------------------------------------------------------------------------------------------------- Net Investment Income 387,022,687 - ---------------------------------------------------------------------------------------------------------------- Realized and Unrealized Gain (Loss) Net realized gain (loss) on: Investments (including premiums on options exercised) (197,258,234) Closing of futures contracts (31,459,200) Closing and expiration of option contracts written 1,705,390 Foreign currency transactions 48,585,976 --------------- Net realized loss (178,426,068) - ---------------------------------------------------------------------------------------------------------------- Net change in unrealized depreciation on: Investments 789,582,547 Translation of assets and liabilities denominated in foreign currencies 80,586,248 Futures contracts (6,780,389) --------------- Net change in unrealized depreciation 863,388,406 - ---------------------------------------------------------------------------------------------------------------- Net Increase in Net Assets Resulting from Operations $1,071,985,025 ===============
See accompanying Notes to Financial Statements. 50 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Year Ended September 30, 2003 2002 - --------------------------------------------------------------------------------------------------------------- Operations Net investment income $ 387,022,687 $ 457,975,004 - --------------------------------------------------------------------------------------------------------------- Net realized loss (178,426,068) (159,493,130) - --------------------------------------------------------------------------------------------------------------- Net change in unrealized depreciation 863,388,406 81,078,629 ---------------------------------------- Net increase in net assets resulting from operations 1,071,985,025 379,560,503 - --------------------------------------------------------------------------------------------------------------- Dividends and/or Distributions to Shareholders Dividends from net investment income: Class A (228,607,620) (265,599,919) Class B (101,542,711) (151,627,069) Class C (35,917,109) (42,267,132) Class N (1,359,641) (694,273) Class Y (12,603,902) (10,529,269) - --------------------------------------------------------------------------------------------------------------- Tax return of capital distribution: Class A -- (15,387,732) Class B -- (9,696,394) Class C -- (2,693,708) Class N -- (42,219) Class Y -- (603,497) - --------------------------------------------------------------------------------------------------------------- Beneficial Interest Transactions Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 271,084,579 84,394,819 Class B (358,847,116) (304,556,289) Class C 59,394,216 27,485,800 Class N 12,050,473 12,727,093 Class Y 65,509,777 52,746,414 - --------------------------------------------------------------------------------------------------------------- Net Assets Total increase (decrease) 741,145,971 (246,782,872) - --------------------------------------------------------------------------------------------------------------- Beginning of period 5,786,769,236 6,033,552,108 ---------------------------------------- End of period [including overdistributed net investment income of $26,416,177 and $68,166,742, respectively] $6,527,915,207 $5,786,769,236 ========================================
See accompanying Notes to Financial Statements. 51 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
Class A Year Ended September 30, 2003 2002 2001 2000 1999 - -------------------------------------------------------------------------------------------------------------------------- Per Share Operating Data Net asset value, beginning of period $3.64 $3.72 $4.18 $4.33 $4.59 - -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .26 .32 .36 .43 .42 Net realized and unrealized gain (loss) .43 (.08) (.43) (.17) (.29) ----------------------------------------------------------------- Total from investment operations .69 .24 (.07) .26 .13 - -------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.25) (.30) (.26) (.41) (.39) Tax return of capital distribution -- (.02) (.13) -- -- ----------------------------------------------------------------- Total dividends and/or distributions to shareholders (.25) (.32) (.39) (.41) (.39) - -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $4.08 $3.64 $3.72 $4.18 $4.33 ================================================================= - -------------------------------------------------------------------------------------------------------------------------- Total Return, at Net Asset Value 1 19.59% 6.63% (1.79)% 6.18% 2.91% - -------------------------------------------------------------------------------------------------------------------------- Ratios/Supplemental Data Net assets, end of period (in thousands) $3,873,018 $3,202,825 $3,186,441 $3,431,763 $3,578,105 - -------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $3,521,307 $3,263,490 $3,349,859 $3,517,517 $3,798,380 - -------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 2 Net investment income 6.60% 7.91% 8.90% 9.98% 9.34% Total expenses 0.95% 3 1.01% 3 0.93% 3 0.95% 3 0.94% 3 - -------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 104% 117% 209% 136% 172% 1. Assumes an investment 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 redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 2. Annualized for periods of less than one full year. 3. Reduction to custodian expenses less than 0.01%. See accompanying Notes to Financial Statements.
52 | OPPENHEIMER STRATEGIC INCOME FUND
Class B Year Ended September 30, 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------------------ Per Share Operating Data Net asset value, beginning of period $3.66 $3.73 $4.19 $4.34 $4.61 - ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .22 .28 .33 .39 .39 Net realized and unrealized gain (loss) .44 (.05) (.43) (.17) (.30) ---------------------------------------------------------------------- Total from investment operations .66 .23 (.10) .22 .09 - ------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.22) (.28) (.24) (.37) (.36) Tax return of capital distribution -- (.02) (.12) -- -- ---------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.22) (.30) (.36) (.37) (.36) - ------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $4.10 $3.66 $3.73 $4.19 $4.34 ====================================================================== - ------------------------------------------------------------------------------------------------------------------------ Total Return, at Net Asset Value 1 18.62% 6.11% (2.53)% 5.37% 1.92% - ------------------------------------------------------------------------------------------------------------------------ Ratios/Supplemental Data Net assets, end of period (in thousands) $1,686,295 $1,847,182 $2,186,638 $2,581,391 $3,380,689 - ------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $1,757,152 $2,056,449 $2,394,886 $2,907,627 $3,838,145 - ------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets :2 Net investment income 5.92% 7.22% 8.14% 9.01% 8.55% Total expenses 1.68% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3 - ------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 104% 117% 209% 136% 172% 1. Assumes an investment 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 redemption at the net asset value calculated on the last business business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 2. Annualized for periods of less than one full year. 3. Reduction to custodian expenses less than 0.01%.
See accompanying Notes to Financial Statements. 53 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
Class C Year Ended September 30, 2003 2002 2001 2000 1999 - ------------------------------------------------------------------------------------------------------------------------ Per Share Operating Data Net asset value, beginning of period $3.64 $3.71 $4.17 $4.32 $4.59 - ------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .23 .29 .33 .39 .39 Net realized and unrealized gain (loss) .42 (.06) (.43) (.17) (.30) ------------------------------------------------------------- Total from investment operations .65 .23 (.10) .22 .09 - ------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.22) (.28) (.24) (.37) (.36) Tax return of capital distribution -- (.02) (.12) -- -- ------------------------------------------------------------- Total dividends and/or distributions to shareholders (.22) (.30) (.36) (.37) (.36) - ------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $4.07 $3.64 $3.71 $4.17 $4.32 ============================================================= - ------------------------------------------------------------------------------------------------------------------------ Total Return, at Net Asset Value 1 18.45% 6.15% (2.54)% 5.39% 1.92% - ------------------------------------------------------------------------------------------------------------------------ Ratios/Supplemental Data Net assets, end of period (in thousands) $698,196 $568,487 $553,399 $548,332 $610,686 - ------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $623,598 $571,292 $554,279 $568,742 $650,197 - ------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 2 Net investment income 5.85% 7.15% 8.15% 9.21% 8.58% Total expenses 1.69% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3 - ------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 104% 117% 209% 136% 172% 1. Assumes an investment 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 redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 2. Annualized for periods of less than one full year. 3. Reduction to custodian expenses less than 0.01%. See accompanying Notes to Financial Statements.
54 | OPPENHEIMER STRATEGIC INCOME FUND
Class N Year Ended September 30, 2003 2002 2001 1 - ----------------------------------------------------------------------------------------------------------- Per Share Operating Data Net asset value, beginning of period $3.65 $3.72 $4.13 - ----------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .25 .30 .22 Net realized and unrealized gain (loss) .42 (.05) (.41) ---------------------------------------------- Total from investment operations .67 .25 (.19) - ----------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.24) (.30) (.15) Tax return of capital distribution -- (.02) (.07) ---------------------------------------------- Total dividends and/or distributions to shareholders (.24) (.32) (.22) - ----------------------------------------------------------------------------------------------------------- Net asset value, end of period $4.08 $3.65 $3.72 ============================================== - ----------------------------------------------------------------------------------------------------------- Total Return, at Net Asset Value 2 18.82% 6.70% (4.61)% - ----------------------------------------------------------------------------------------------------------- Ratios/Supplemental Data Net assets, end of period (in thousands) $30,110 $15,508 $3,215 - ----------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $22,627 $ 8,954 $1,348 - ----------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 6.08% 7.07% 9.74% Total expenses 1.34% 4 1.22% 4 0.98% 4 - ----------------------------------------------------------------------------------------------------------- Portfolio turnover rate 104% 117% 209% 1. For the period from March 1, 2001 (inception of offering) to September 30, 2001. 2. Assumes an investment on the business day before the first day of the fiscal period (or inception of offering), with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. See accompanying Notes to Financial Statements.
55 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
Class Y Year Ended September 30, 2003 2002 2001 2000 1999 - ----------------------------------------------------------------------------------------------------------------------- Per Share Operating Data Net asset value, beginning of period $3.64 $3.71 $4.17 $4.32 $4.59 - ----------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .26 .32 .36 .46 .44 Net realized and unrealized gain (loss) .42 (.06) (.42) (.19) (.30) ------------------------------------------------------------- Total from investment operations .68 .26 (.06) .27 .14 - ----------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.25) (.31) (.26) (.42) (.41) Tax return of capital distribution -- (.02) (.14) -- -- ------------------------------------------------------------- Total dividends and/or distributions to shareholders (.25) (.33) (.40) (.42) (.41) - ----------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $4.07 $3.64 $3.71 $4.17 $4.32 ============================================================= - ----------------------------------------------------------------------------------------------------------------------- Total Return, at Net Asset Value 1 19.33% 7.06% (1.58)% 6.55% 3.07% - ----------------------------------------------------------------------------------------------------------------------- Ratios/Supplemental Data Net assets, end of period (in thousands) $240,296 $152,767 $103,858 $75,748 $48,566 - ----------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $194,308 $127,992 $ 94,400 $57,127 $32,310 - ----------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 2 Net investment income 6.57% 7.86% 9.09% 11.39% 10.16% Total expenses 1.41% 1.74% 1.35% 0.83% 0.57% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses 0.91% 0.90% 0.78% N/A 3 N/A 3 - ----------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 104% 117% 209% 136% 172% 1. Assumes an investment 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 redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. 2. Annualized for periods of less than one full year. 3. Reduction to custodian expenses less than 0.01%.
See accompanying Notes to Financial Statements. 56 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. Significant Accounting Policies Oppenheimer Strategic Income Fund (the Fund) is a separate series of Oppenheimer Strategic Funds Trust, an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund's investment objective is to seek high current income by investing mainly in debt securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC. All classes of shares have identical rights and voting privileges. Earnings, net assets and net asset value per share may differ by minor amounts due to each class having its own expenses directly attributable to that class. Classes A, B, C and N have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. - -------------------------------------------------------------------------------- Securities Valuation. Securities listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing bid and asked prices, and if not, at the closing bid price. Securities (including restricted securities) for which quotations are not readily available are valued primarily using dealer-supplied valuations, a portfolio pricing service authorized by the Board of Trustees, or at their fair value. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). - -------------------------------------------------------------------------------- Structured Notes. The Fund invests in foreign currency-linked structured notes whose market values and redemption prices are linked to foreign currency exchange rates. The Fund also invests in "index-linked" notes whose principal and/or interest payments depend on the performance of an underlying index. The structured notes are leveraged, increasing the volatility of each note's market value relative to the change in the underlying foreign currency exchange rate or underlying index. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying financial statements. The Fund records a realized gain or loss when a structured note is sold or 57 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. Significant Accounting Policies Continued matures. As of September 30, 2003, the market value of these securities comprised 8.4% of the Fund's net assets and resulted in unrealized losses of $999,725. The Fund also hedges a portion of the foreign currency exposure generated by these securities, as discussed in Note 5. - -------------------------------------------------------------------------------- Securities on a Delayed Settlement Basis. Delivery and payment for securities that have been purchased by the Fund on a delayed settlement basis can take place a month or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains segregated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a deferred settlement basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such purchases while remaining substantially fully invested. As of September 30, 2003, the Fund had entered into delayed settlement purchase commitments of $745,964,382. Additionally, the Fund had delayed settlement sale commitments of $15,860,173. In connection with its ability to purchase securities on a delayed settlement basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as interest income or realized gain (loss) on investments. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities to what was sold to the counterparty at redelivery; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. - -------------------------------------------------------------------------------- Security Credit Risk. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of September 30, 2003, securities with an aggregate market value of $86,491,371, representing 1.32% of the Fund's net assets, were in default. 58 | OPPENHEIMER STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- Foreign Currency Translation. The Fund's accounting records 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 foreign 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 Fund's Statement of Operations. - -------------------------------------------------------------------------------- Joint Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. Secured by U.S. government securities, these balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. - -------------------------------------------------------------------------------- Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. - -------------------------------------------------------------------------------- Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders, therefore, no federal income or excise tax provision is required. The tax components of capital shown in the table below represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes. 59 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. Significant Accounting Policies Continued
Net Unrealized Depreciation Based on Cost of Securities and Undistributed Undistributed Accumulated Other Investments Net Investment Long-Term Loss for Federal Income Income Gain Carryforward 1,2,3,4 Tax Purposes -------------------------------------------------------------------------------- $20,228,658 $-- $1,136,669,728 $117,865,111
1. As of September 30, 2003, the Fund had $1,022,131,149 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2003, details of the capital loss carryforwards were as follows: Expiring ------------------------------ 2004 $ 114,650,580 2007 16,381,920 2008 358,683,799 2009 52,578,252 2010 185,647,798 2011 294,188,800 -------------- Total $1,022,131,149 ============== 2. During the fiscal years ended September 30, 2003 and September 30, 2002, the Fund did not utilize any capital loss carryforwards. 3. As of September 30, 2003, the Fund had $108,416,056 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2012. 4. The Fund had $6,122,523 of straddle losses which were deferred. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal 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 dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. Accordingly, the following amounts have been reclassified for September 30, 2003. Net assets of the Fund were unaffected by the reclassifications. From To Net Ordinary Capital Tax Return Investment Loss Loss of Capital Loss --------------------------------------------------------------- $34,758,861 $34,758,861 $-- $-- The tax character of distributions paid during the years ended September 30, 2003 and September 30, 2002 was as follows: Year Ended Year Ended September 30, 2003 September 30, 2002 -------------------------------------------------------------------- Distributions paid from: Ordinary income $380,030,983 $470,717,662 Return of capital -- 28,423,550 ------------------------------------ Total $380,030,983 $499,141,212 ==================================== 60 | OPPENHEIMER STRATEGIC INCOME FUND The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2003 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities and other investments $10,105,769,435 =============== Gross unrealized appreciation $ 423,704,765 Gross unrealized depreciation (541,569,876) --------------- Net unrealized depreciation $ (117,865,111) =============== - ------------------------------------------------------------------------------- Trustees' Compensation. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or are invested in other selected Oppenheimer funds. Deferral of trustees' fees under the plan will not affect the net assets of the Fund, and will not materially affect the Fund's assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance to the Plan. - ------------------------------------------------------------------------------- Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually. - ------------------------------------------------------------------------------- Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income, which includes accretion of discount and amortization of premium, is accrued as earned. - ------------------------------------------------------------------------------- Expense Offset Arrangement. The reduction of custodian fees represents earnings on cash balances maintained by the Fund. - ------------------------------------------------------------------------------- Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost. - ------------------------------------------------------------------------------- Other. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America 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. 61 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 2. Shares of Beneficial Interest The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Year Ended September 30, 2003 Year Ended September 30, 2002 Shares Amount Shares Amount - ----------------------------------------------------------------------------------------------------------- Class A Sold 239,075,415 $ 920,837,843 172,101,425 $ 646,946,497 Dividends and/or distributions reinvested 39,925,641 153,907,293 48,064,194 180,500,573 Redeemed (208,815,336) (803,660,557) (197,799,204) (743,052,251) -------------------------------------------------------------------------- Net increase 70,185,720 $ 271,084,579 22,366,415 $ 84,394,819 ========================================================================== - ----------------------------------------------------------------------------------------------------------- Class B Sold 63,952,473 $ 246,602,223 72,239,653 $ 272,446,824 Dividends and/or distributions reinvested 15,896,757 61,263,462 24,126,021 90,899,162 Redeemed (173,280,500) (666,712,801) (177,141,272) (667,902,275) -------------------------------------------------------------------------- Net decrease (93,431,270) $(358,847,116) (80,775,598) $(304,556,289) ========================================================================== - ----------------------------------------------------------------------------------------------------------- Class C Sold 44,468,531 $ 171,414,411 38,283,028 $ 143,665,045 Dividends and/or distributions reinvested 6,320,901 24,316,496 7,553,119 28,283,682 Redeemed (35,649,094) (136,336,691) (38,550,880) (144,462,927) -------------------------------------------------------------------------- Net increase 15,140,338 $ 59,394,216 7,285,267 $ 27,485,800 ========================================================================== - ----------------------------------------------------------------------------------------------------------- Class N Sold 4,309,056 $ 16,669,277 3,786,342 $ 14,209,840 Dividends and/or distributions reinvested 334,213 1,294,796 187,836 702,952 Redeemed (1,522,702) (5,913,600) (585,248) (2,185,699) -------------------------------------------------------------------------- Net increase 3,120,567 $ 12,050,473 3,388,930 $ 12,727,093 ========================================================================== - ----------------------------------------------------------------------------------------------------------- Class Y Sold 41,339,112 $ 159,458,161 25,193,404 $ 94,584,057 Dividends and/or distributions reinvested 2,467,304 9,527,352 2,410,896 9,023,067 Redeemed (26,811,939) (103,475,736) (13,562,379) (50,860,710) -------------------------------------------------------------------------- Net increase 16,994,477 $ 65,509,777 14,041,921 $ 52,746,414 ==========================================================================
- ------------------------------------------------------------------------------- 3. Purchases and Sales of Securities The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the year ended September 30, 2003, were $7,839,630,741 and $7,216,140,023, respectively. 62 | OPPENHEIMER STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- 4. Fees and Other Transactions with Affiliates Management Fees. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee at an annual rate of 0.75% of the first $200 million of average annual net assets of the Fund, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66% of the next $200 million, 0.60% of the next $200 million, and 0.50% of average annual net assets in excess of $1 billion. - -------------------------------------------------------------------------------- Transfer Agent Fees. OppenheimerFunds Services (OFS), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the year ended September 30, 2003, the Fund paid $9,133,117 to OFS for services to the Fund. Additionally, Class Y shares are subject to minimum fees of $5,000 for assets of less than $10 million and $10,000 for assets of $10 million or more. The Class Y shares are subject to the minimum fees in the event that the per account fee does not equal or exceed the applicable minimum fees. OFS may voluntarily waive the minimum fees. OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees up to an annual rate of 0.35% of average annual net assets for all classes. This undertaking may be amended or withdrawn at any time. - -------------------------------------------------------------------------------- Distribution and Service Plan (12b-1) Fees. Under its General Distributor's Agreement with the Manager, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Fund's principal underwriter in the continuous public offering of the different classes of shares of the Fund. The compensation paid to (or retained by) the Distributor from the sale of shares or on the redemption of shares is shown in the table below for the period indicated.
Aggregate Class A Concessions Concessions Concessions Concessions Front-End Front-End on Class A on Class B on Class C on Class N Sales Charges Sales Charges Shares Shares Shares Shares on Class A Retained by Advanced by Advanced by Advanced by Advanced by Year Ended Shares Distributor Distributor 1 Distributor 1 Distributor 1 Distributor 1 - ------------------------------------------------------------------------------------------------------------------------- September 30, 2003 $5,134,030 $1,418,393 $594,870 $6,186,560 $1,150,531 $122,428
1. The Distributor advances concession payments to dealers for certain sales of Class A shares and for sales of Class B, Class C and Class N shares from its own resources at the time of sale.
Class A Class B Class C Class N Contingent Contingent Contingent Contingent Deferred Deferred Deferred Deferred Sales Charges Sales Charges Sales Charges Sales Charges Retained by Retained by Retained by Retained by Year Ended Distributor Distributor Distributor Distributor - -------------------------------------------------------------------------------------------- September 30, 2003 $115,085 $6,274,772 $97,016 $41,724
- ------------------------------------------------------------------------------- Service Plan for Class A Shares. The Fund has adopted a Service Plan for Class A shares. It reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made quarterly at an annual rate of up to 0.25% of the average annual net assets of Class A shares of the Fund. For the year ended September 30, 2003, expense under the Class A Plan totaled $8,660,139, all of 63 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 4. Fees and Other Transactions with Affiliates Continued which were paid by the Distributor to recipients, which included $25,427 retained by the Distributor and $554,215 which was paid to an affiliate of the Manager. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent years. - -------------------------------------------------------------------------------- Distribution and Service Plans for Class B, Class C and Class N Shares. The Fund has adopted Distribution and Service Plans for Class B, Class C and Class N shares. Under the plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% per year on Class B shares and on Class C shares and the Fund pays the Distributor an annual asset-based sales charge of 0.25% per year on Class N shares. The Distributor also receives a service fee of 0.25% per year under each plan. Distribution fees paid to the Distributor for the year ended September 30, 2003, were as follows:
Distributor's Distributor's Aggregate Aggregate Uncompensated Uncompensated Expenses as % Total Expenses Amount Retained Expenses of Net Assets Under Plan by Distributor Under Plan of Class - -------------------------------------------------------------------------------------------------- Class B Plan $17,575,847 $12,679,658 $101,273,876 6.01% Class C Plan 6,232,376 1,064,235 18,958,511 2.72 Class N Plan 112,928 91,162 545,064 1.81
- ------------------------------------------------------------------------------- 5. Foreign Currency Contracts A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing foreign currency exchange rates. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations with the change in unrealized appreciation or depreciation. The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gain or loss. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. 64 | OPPENHEIMER STRATEGIC INCOME FUND As of September 30, 2003, the Fund had outstanding foreign currency contracts as follows:
Contract Valuation Expiration Amount as of Unrealized Unrealized Contract Description Dates (000s) Sept. 30, 2003 Appreciation Depreciation - ----------------------------------------------------------------------------------------------------------------------------- Contracts to Purchase Argentine Peso [ARP] 5/28/04-6/8/04 36,401ARP $ 11,794,482 $ 415,253 $ -- British Pound Sterling [GBP] 11/20/03 16,395GBP 27,139,961 1,252,256 -- Chilean Peso [CLP] 11/25/03 13,103,380CLP 19,812,088 1,096,984 -- Columbian Peso [COP] 10/29/03 12,299,560COP 4,237,371 -- 24,431 Euro [EUR] 11/20/03-3/8/04 184,960EUR 214,931,006 10,332,482 28,623 Japanese Yen [JPY] 10/14/03-3/17/04 58,830,545JPY 528,462,302 21,089,080 15,239 Swiss Franc [CHF] 10/29/03 20,390CHF 15,451,941 298,850 -- Turkish Lira [TRL] 10/27/03 5,114,912,000TRL 3,606,013 -- 26,737 -------------------------------- 34,484,905 95,030 -------------------------------- Contracts to Sell Australian Dollar [AUD] 10/29/03 25,410AUD 17,143,491 53,997 -- British Pound Sterling [GBP] 10/29/03-3/9/04 23,570GBP 38,865,706 -- 1,007,924 Canadian Dollar [CAD] 2/23/04 20,695CAD 15,238,326 -- 603,058 Euro [EUR] 10/8/03-4/27/04 322,465EUR 374,381,698 -- 12,885,891 Indonesia Rupiah [IDR] 11/12/03 127,453,529IDR 15,182,137 -- 632,660 Japanese Yen [JPY] 4/27/04 800,000JPY 7,209,516 -- 353,921 New Zealand Dollar [NZD] 10/29/03 27,415NZD 16,227,490 9,044 -- -------------------------------- 63,041 15,483,454 -------------------------------- Total unrealized appreciation and depreciation $34,547,946 $15,578,484 ================================
- -------------------------------------------------------------------------------- 6. Futures Contracts A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices "financial futures" or debt securities "interest rate futures" in order to gain exposure to or protection from changes in market value of stock and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying fixed income securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. 65 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - ------------------------------------------------------------------------------- - ------------------------------------------------------------------------------- 6. Futures Contracts Continued Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported on the Statement of Operations as closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported on the Statement of Operations. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of September 30, 2003, the Fund had outstanding futures contracts as follows:
Unrealized Expiration Number of Valuation as of Appreciation Contract Description Dates Contracts Sept. 30, 2003 (Depreciation) - -------------------------------------------------------------------------------------------------- Contracts to Purchase Euro-Bundesobligation 12/8/03 126 $ 16,897,803 $ 225,467 NASDAQ 100 Index 12/18/03 126 16,455,600 (458,267) U.S. Long Bonds 12/19/03 1,886 211,526,688 7,202,686 U.S. Treasury Nts., 10 yr. 12/19/03 5,031 576,678,375 22,083,034 ------------ 29,052,920 ------------ Contracts to Sell DAX Index 12/19/03 51 4,853,072 141,981 FTSE 100 Index 12/19/03 13 886,822 14,326 Japan (Government of) Bonds 12/11/03 86 105,449,403 1,001,387 Standard & Poor's 500 Index 12/18/03 401 99,658,525 1,929,792 U.S. Long Bonds 12/19/03 560 62,807,500 (4,325,428) U.S. Treasury Nts., 2 yr. 12/29/03 1,203 259,359,281 (3,122,633) U.S. Treasury Nts., 5 yr. 12/19/03 1,429 162,146,844 (4,930,367) United Kingdom Long Gilt 12/29/03 25 4,918,159 (31,722) ------------ (9,322,664) ------------ $19,730,256 ============
- -------------------------------------------------------------------------------- 7. Option Activity The Fund may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Fund generally purchases put options or writes covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon the expiration or closing of the option transaction. 66 | OPPENHEIMER STRATEGIC INCOME FUND 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 to call, expiration date, exercise price, premium received and market value are detailed in a note to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities. Realized gains and losses are reported in the Statement of Operations. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the year ended September 30, 2003 was as follows:
Call Options Put Options -------------------------------- ------------------------------------ Principal (000s)/ Principal (000s)/ Number of Amount of Number of Amount of Contracts Premiums Contracts Premiums - -------------------------------------------------------------------------------------------------------------- Options outstanding as of September 30, 2002 -- $ -- -- $ -- Options written 31,540,373,204 7,285,837 9,753,444,550 3,755,725 Options closed or expired (14,030,000) (155,733) (41,844,550) (1,909,668) Options exercised (197,917,100) (2,122,537) -- -- --------------------------------------------------------------------------- Options outstanding as of September 30, 2003 31,328,426,104 $5,007,567 9,711,600,000 $1,846,057 ===========================================================================
- -------------------------------------------------------------------------------- 8. Interest Rate Swap Contracts The Fund may enter into an interest rate swap transaction 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 notional. The Fund records an increase or decrease to interest income, in the amount due to or owed by the Fund at termination or settlement. Interest rate swaps are subject to credit risk (if the counterparty fails to meet its obligations) and interest rate risk. The Fund could be obligated to pay more under its swap agreements than it receives under them, as a result of interest rate changes. 67 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 8. Interest Rate Swap Contracts Continued As of September 30, 2003, the Fund had entered into the following interest rate swap agreements:
Floating Rate Rate Paid by Received by Unrealized Swap Notional the Fund at the Fund at Floating Termination Appreciation Counterparty Principal Sept. 30, 2003 Sept. 30, 2003 Rate Index Dates (Depreciation) - -------------------------------------------------------------------------------------------------------------------- Deutsche Bank Three-Month AG $ 43,910,000 3.1025% 1.330628% LIBOR flat 3/4/08 $116,460 JPMorgan Three-Month Chase Bank 22,120,000 3.052 1.317499 LIBOR flat 3/10/08 306,541 JPMorgan Six-Month Chase Bank 11,025,000 0.0314 0.02081 LIBOR flat 7/14/08 114,936 JPMorgan Six-Month Chase Bank 3,075,000,000 9.13 7.00 LIBOR flat 7/14/08 (121,417) --------- $416,520 =========
- -------------------------------------------------------------------------------- 9. Credit Swap Contracts The Fund may enter into a credit swap transaction to maintain a total return on a particular investment or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as a notional principal amount. The Fund records an increase or decrease to interest income, in the amount due to or owed by the Fund at termination or settlement. Credit swaps are subject to credit risks (if the counterparty fails to meet its obligations). During the year ended September 30, 2003, the Fund entered into a transaction to hedge credit risk. The Fund pays an annual 2% interest fee on the notional amount in exchange for the counterparty paying in a potential credit event. Information regarding the credit swap is as follows: 68 | OPPENHEIMER STRATEGIC INCOME FUND
Unrealized Expiration Notional Valuation as of Appreciation Contract Description Dates Amount Sept. 30, 2003 (Depreciation) - ---------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Colombia (Republic of) Credit Nts. 9/20/13 $ 3,355,000 $ 115,939 $ 115,939 Deutsche Bank AG, Colombia (Republic of) Credit Nts. 9/20/13 3,355,000 72,627 72,627 Deutsche Bank AG, United Mexican States Credit Bonds 9/20/13 14,505,000 (147,927) (147,927) Deutsche Bank AG, Philippines (Republic of) 5 yr. Credit Nts. 7/25/08 15,770,000 (11,381) (11,381) Deutsche Bank AG, Philippines (Republic of) 10 yr. Credit Bonds 7/25/13 15,770,000 15,300 15,300 Deutsche Bank AG, Philippines (Republic of) Credit Nts. 12/20/08 3,725,000 (3,967) (3,967) Deutsche Bank AG, Russia Federation Credit Bonds 9/20/13 18,125,000 59,232 59,232 Deutsche Bank AG, Russia Federation Credit Bonds 9/10/13 14,745,000 101,718 101,718 Deutsche Bank AG, Turkey (Republic of) Credit Bonds 9/20/10 8,405,000 (48,387) (48,387) JPMorgan Chase Bank, Jordan (Kingdom of) Credit Nts. 6/6/06 4,350,000 26,025 26,025 JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 10,000,000 (587,938) (587,938) JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 17,610,000 (856,790) (856,790) JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 8,805,000 (446,549) (446,549) ------------ $(1,712,098) ============
- -------------------------------------------------------------------------------- 10. Swaption Transactions The Fund may enter into a swaption transaction, whereby a contract that grants the holder, in return for payment of the purchase price (the "premium") of the option, the right, but not the obligation, to enter into an interest rate swap at a preset rate within a specified period of time, with the writer of the contract. The writer receives premiums and bears the risk of unfavorable changes in the preset rate on the underlying interest rate swap. Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. Swaptions written are reported as a liability in the Statement of Assets and Liabilities. As of September 30, 2003, the Fund had entered into the following swaption contracts:
Contracts Expiration Exercise Premium Market Value Swaptions Subject to Call Date Price Received See Note 1 - ---------------------------------------------------------------------------------------------------------- Deutsche Swaption 44,445,000 5/17/04 2.825% $395,561 $210,508
69 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 11. Illiquid or Restricted Securities As of September 30, 2003, investments in securities included issues that are illiquid or restricted. Restricted securities are 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 also be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund 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 limitation. The aggregate value of illiquid or restricted securities subject to this limitation as of September 30, 2003 was $500,248,561, which represents 7.66% of the Fund's net assets, of which zero is considered restricted. Information concerning restricted securities is as follows:
Acquisition Valuation as of Unrealized Security Dates Cost September 30, 2003 Depreciation - --------------------------------------------------------------------------------------------------------------- Stocks and/or Warrants Geotek Communications, Inc. 4/6/00 $ -- $-- $ -- Geotek Communications, Inc., Series B, Escrow Shares 1/4/01 2,500 -- 2,500 Real Time Data Co. Wts., Exp. 5/31/04 6/30/99 22,515 -- 22,515
- -------------------------------------------------------------------------------- 12. Securities Lending The Fund lends portfolio securities from time to time in order to earn additional income. In return, the Fund receives collateral in the form of US Treasury obligations or cash, against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the funds and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. As of September 30, 2003, the Fund had on loan securities valued at $579,509,275. Cash of $588,906,159 was received as collateral for the loans, and has been invested in approved instruments. 70 | OPPENHEIMER STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- 13. Borrowing and Lending Arrangements The Fund entered into an "interfund borrowing and lending arrangement" with other funds in the Oppenheimer funds complex, to allow funds to borrow for liquidity purposes. The arrangement was initiated pursuant to exemptive relief granted by the Securities and Exchange Commission to allow these affiliated funds to lend money to, and borrow money from, each other, in an attempt to reduce borrowing costs below those of bank loan facilities. Under the arrangement the Fund may lend money to other Oppenheimer funds and may borrow from other Oppenheimer funds at a rate set by the Fund's Board of Trustees, based upon a recommendation by the Manager. The Fund's borrowings, if any, are subject to asset coverage requirements under the Investment Company Act and the provisions of the SEC order and other applicable regulations. If the Fund borrows money, there is a risk that the loan could be called on one day's notice, in which case the Fund might have to borrow from a bank at higher rates if a loan were not available from another Oppenheimer fund. If the Fund lends money to another fund, it will be subject to the risk that the other fund might not repay the loan in a timely manner, or at all. The Fund had no interfund borrowings or loans outstanding during the year ended or at September 30, 2003. 71 | OPPENHEIMER STRATEGIC INCOME FUND INDEPENDENT AUDITORS' REPORT - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- To the Board of Trustees and Shareholders of Oppenheimer Strategic Income Fund: We have audited the accompanying statement of assets and liabilities of Oppenheimer Strategic Income Fund, including the statement of investments, as of September 30, 2003, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated. These financial statements and financial highlights are the responsibility of the Fund'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 auditing standards generally accepted in the United States of America. 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 September 30, 2003, by correspondence with the custodian and brokers; where replies 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 Strategic Income Fund as of September 30, 2003, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated, in conformity with accounting principles generally accepted in the United States of America. Deloitte & Touche LLP Denver, Colorado November 14, 2003 72 | OPPENHEIMER STRATEGIC INCOME FUND FEDERAL INCOME TAX INFORMATION Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- In early 2004, if applicable, shareholders of record will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 2003. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends paid by the Fund during the fiscal year ended September 30, 2003 which are not designated as capital gain distributions should be multiplied by 1.19% to arrive at the amount eligible for the corporate dividend-received deduction. A portion, if any, of the dividends paid by the Fund during the fiscal year ended September 30, 2003 which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. $6,683,357 of the Fund's fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2004, shareholders of record will receive information regarding the percentage of distributions that are eligible for lower individual income tax rates. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund 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. PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities ("portfolio proxies") held by the Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.225.5677, (ii) on the Fund's website at www.oppenheimerfunds.com, and (iii) on the SEC's website at www.sec.gov. In addition, the Fund will be required to file new Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The first such filing is due no later than August 31, 2004, for the twelve months ended June 30, 2004. Once filed, the Fund's Form N-PX filing will be available (i) without charge, upon request, by calling the Fund toll-free at 1.800.225.5677, and (ii) on the SEC's website at www.sec.gov. 73 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- Name, Position(s) Held with Principal Occupation(s) During Past 5 Years; Fund, Length of Service, Age Other Trusteeships/Directorships Held by Trustee; Number of Portfolios in Fund Complex Currently Overseen by Trustee INDEPENDENT The address of each Trustee in the chart TRUSTEES below is 6803 S. Tucson Way, Centennial, CO 80112-3924. Each Trustee serves for an indefinite term, until his or her resignation, retirement, death or removal. James C. Swain, Formerly, Chief Executive Officer (until Chairman and Trustee August 27, 2002) of the Board II Funds, Vice (since 1995) Chairman (until January 2, 2002) of Age: 69 OppenheimerFunds, Inc. and President and a director (until 1997) of Centennial Asset Management Corporation (a wholly-owned investment advisory subsidiary of the Manager). Oversees 41 portfolios in the OppenheimerFunds complex. William L. Armstrong, Chairman of the following private mortgage Vice Chairman and Trustee banking companies: Cherry Creek Mortgage (since 1999) Company (since 1991), Centennial State Age: 66 Mortgage Company (since 1994), The El Paso Mortgage Company (since 1993), Transland Financial Services, Inc. (since 1997); Chairman of the following private companies: Great Frontier Insurance (insurance agency) (since 1995), Ambassador Media Corporation and Broadway Ventures (since 1984); a director of the following public companies: Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992) and UNUMProvident (insurance company) (since 1991). Mr. Armstrong is also a Director/Trustee of Campus Crusade for Christ and the Bradley Foundation. Formerly a director of the following: Storage Technology Corporation (a publicly-held computer equipment company) (1991-February 2003), and International Family Entertainment (television channel) (1992-1997), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-1999), and Frontier Title (title insurance agency) (1995-June 1999); a U.S. Senator (January 1979-January 1991). Oversees 41 portfolios in the OppenheimerFunds complex. Robert G. Avis, Formerly, Director and President of A.G. Trustee (since 1995) Edwards Capital, Inc. (General Partner of Age: 72 private equity funds) (until February 2001); Chairman, President and Chief Executive Officer of A.G. Edwards Capital, Inc. (until March 2000); Vice Chairman and Director of A.G. Edwards, Inc. and Vice Chairman of A.G. Edwards & Sons, Inc. (its brokerage company subsidiary) (until March 1999); Chairman of A.G. Edwards Trust Company and A.G.E. Asset Management (investment advisor) (until March 1999); and a Director (until March 2000) of A.G. Edwards & Sons and A.G. Edwards Trust Company. Oversees 41 portfolios in the OppenheimerFunds complex. George C. Bowen, Formerly (until April 1999): Senior Vice Trustee (since 1997) President (from September 1987) and Treasurer Age: 67 (from March 1985) of the Manager; Vice President (from June 1983) and Treasurer (since March 1985) of OppenheimerFunds Distributor, Inc. (a subsidiary of the Manager); Senior Vice President (since February 1992), Treasurer (since July 1991) Assistant Secretary and a director (since December 1991) of Centennial Asset Management Corporation; Vice President (since October 1989) and Treasurer (since April 1986) of HarbourView Asset Management Corporation (an investment advisory subsidiary of the Manager); President, Treasurer and a director (June 1989-January 1990) of Centennial Capital Corporation (an investment advisory subsidiary of the Manager); Vice President and Treasurer (since August 1978) and Secretary (since April 1981) of Shareholder Services, Inc. (a transfer agent subsidiary of the Manager); Vice President, Treasurer and Secretary (since November 1989) of Shareholder Financial Services, Inc. (a transfer agent subsidiary of the Manager); Assistant Treasurer (since March 1998) of Oppenheimer Acquisition Corp. (the Manager's parent corporation); Treasurer (since November 1989) of Oppenheimer Partnership Holdings, Inc. (a holding company subsidiary of the Manager); Vice President and Treasurer (since July 74 | OPPENHEIMER STRATEGIC INCOME FUND George C. Bowen, 1996) of Oppenheimer Real Asset Management, Continued Inc. (an investment advisory subsidiary of the Manager); Chief Executive Officer and director (since March 1996) of MultiSource Services, Inc. (a broker-dealer subsidiary of the Manager); Treasurer (since October 1997) of OppenheimerFunds International Ltd. and OppenheimerFunds plc (offshore fund management subsidiaries of the Manager). Oversees 41 portfolios in the OppenheimerFunds complex. Edward L. Cameron, A member of The Life Guard of Mount Vernon, Trustee (since 1999) George Washington's home (since June 2000). Age: 65 Formerly (March 2001 - May 2002) Director of Genetic ID, Inc. and its subsidiaries (a privately held biotech company); a partner with PricewaterhouseCoopers LLP (from 1974-1999) (an accounting firm) and Chairman (from 1994-1998), Price Waterhouse LLP Global Investment Management Industry Services Group. Oversees 41 portfolios in the OppenheimerFunds complex. Jon S. Fossel, Chairman and Director (since 1998) of Rocky Trustee (since 1995) Mountain Elk Foundation (a not-for-profit Age: 61 foundation); and a director (since October 1999) of P.R. Pharmaceuticals (a privately held company) and UNUMProvident (an insurance company) (since June 1, 2002). Formerly Chairman and a director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and a director of Oppenheimer Acquisition Corp., Shareholders Services Inc. and Shareholder Financials Services, Inc. (until October 1995). Oversees 41 portfolios in the OppenheimerFunds complex. Sam Freedman, Director of Colorado Uplift (a non-profit Trustee (since 1996) charity) (since September 1984). Formerly Age: 62 (until October 1994) Mr. Freedman held several positions in subsidiary or affiliated companies of the Manager. Oversees 41 portfolios in the OppenheimerFunds complex. Beverly L. Hamilton, Trustee (since 1996) of MassMutual Trustee (since 2002) Institutional Funds and of MML Series Age: 56 Investment Fund (open-end investment companies); Director of MML Services (since April 1987) and America Funds Emerging Markets Growth Fund (since October 1991) (both are investment companies), The California Endowment (a philanthropy organization) (since April 2002), and Community Hospital of Monterey Peninsula, (since February 2002); a trustee (since February 2000) of Monterey International Studies (an educational organization), and an advisor to Unilever (Holland)'s pension fund and to Credit Suisse First Boston's Sprout venture capital unit. Mrs. Hamilton also is a member of the investment committees of the Rockefeller Foundation, the University of Michigan and Hartford Hospital. Formerly, President (February 1991-April 2000) ARCO Investment Management Company. Oversees 42 portfolios in the OppenheimerFunds complex. Robert J. Malone, Chairman and CEO (since August 2003) of Trustee (since 2002) Steele Street Bank (a commercial banking Age: 59 entity) Director (since 2001) of Jones Knowledge, Inc. (a privately held company), U.S. Exploration, Inc., (since 1997), Colorado UpLIFT (a non-profit organization) (since 1986) and a trustee of the Gallagher Family Foundation (non-profit organization) (since 2000). Formerly, Chairman of U.S. Bank (a subsidiary of U.S. Bancorp and formerly Colorado National Bank,) (July 1996-April 1, 1999) and a director of Commercial Assets, Inc. (a REIT) (1993-2000). Oversees 40 portfolios in the OppenheimerFunds complex. 75 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued - -------------------------------------------------------------------------------- F. William Marshall, Jr., Trustee (since 1996) of MassMutual Trustee (since 2000) Institutional Funds and of MML Series Age: 61 Investment Fund (open-end investment companies); Trustee (since 1987), Chairman of the Board (since 2003) and Chairman of the investment committee (since 1994) for the Worcester Polytech Institute; President and Treasurer (since January 1999) of the SIS Fund (a private not for profit charitable fund); Trustee (since 1995) of the Springfield Library and Museum Association; Trustee (since 1996) of the Community Music School of Springfield. Formerly, member of the investment committee of the Community Foundation of Western Massachusetts (1998 - 2003); Chairman (January 1999-July 1999) of SIS & Family Bank, F.S.B. (formerly SIS Bank); President, Chief Executive Officer and Director (May 1993-December 1998) of SIS Bankcorp, Inc. and SIS Bank (formerly Springfield Institution for Savings) and Executive Vice President (January 1999-July 1999) of Peoples Heritage Financial Group, Inc. Oversees 43 portfolios in the OppenheimerFunds complex. - -------------------------------------------------------------------------------- INTERESTED TRUSTEE The address of Mr. Murphy in the chart below AND OFFICER is Two World Financial Center, New York, NY 10080. Mr. Murphy serves for an indefinite term, until his resignation, death or removal. John V. Murphy, Chairman, Chief Executive Officer and President and Trustee director (since June 2001) and President (since 2001) (since September 2000) of the Manager; Age: 54 President and a director or trustee of other Oppenheimer funds; President and a director (since July 2001) of Oppenheimer Acquisition Corp. and of Oppenheimer Partnership Holdings, Inc.; a director (since November 2001) of OppenheimerFunds Distributor, Inc.; Chairman and a director (since July 2001) of Shareholder Services, Inc. and of Shareholder Financial Services, Inc.; President and a director (since July 2001) of OppenheimerFunds Legacy Program (a charitable trust program established by the Manager); a director of the following investment advisory subsidiaries of OppenheimerFunds, Inc.: OFI Institutional Asset Management, Inc. and Centennial Asset Management Corporation (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 1, 2001) and a director (since July 2001) of Oppenheimer Real Asset Management, Inc.; a director (since November 2001) of Trinity Investment Management Corp. and Tremont Advisers, Inc. (investment advisory affiliates of the Manager); Executive Vice President (since February 1997) of Massachusetts Mutual Life Insurance Company (the Manager's parent company); a director (since June 1995) of DLB Acquisition Corporation (a holding company that owns the shares of David L. Babson & Company, Inc.); formerly, Chief Operating Officer (September 2000-June 2001) of the Manager; President and trustee (November 1999-November 2001) of MML Series Investment Fund and MassMutual Institutional Funds (open-end investment companies); a director (September 1999-August 2000) of C.M. Life Insurance Company; President, Chief Executive Officer and director (September 1999-August 2000) of MML Bay State Life Insurance Company; a director (June 1989-June 1998) of Emerald Isle Bancorp and Hibernia Savings Bank (a wholly-owned subsidiary of Emerald Isle Bancorp). Oversees 75 portfolios in the OppenheimerFunds complex. 76 | OPPENHEIMER STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- OFFICERS The address of the Officers in the chart below is as follows: for Messrs. Steinmetz and Zack, Two World Financial Center, New York, NY 10080, for Mr. Wixted, 6803 S. Tucson Way, Centennial, CO 80112-3924. Each Officer serves for an annual term or until his earlier resignation, death or removal. Arthur P. Steinmetz, Senior Vice President of the Manager (since Senior Vice President March 1993) and of HarbourView Asset and Portfolio Manager Management Corporation (since March 2000); an (since 1993) officer of 6 portfolios in the Age: 44 OppenheimerFunds complex. Brian W. Wixted, Senior Vice President and Treasurer (since Treasurer (since 1999) March 1999) of the Manager; Treasurer (since Age: 43 March 1999) of HarbourView Asset Management Corporation, Shareholder Services, Inc., Oppenheimer Real Asset Management Corporation, Shareholder Financial Services, Inc., Oppenheimer Partnership Holdings, Inc., OFI Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (offshore fund management subsidiaries of the Manager) (since May 2000) and OFI Institutional Asset Management, Inc. (since November 2000); Treasurer and Chief Financial Officer (since May 2000) of Oppenheimer Trust Company (a trust company subsidiary of the Manager); Assistant Treasurer (since March 1999) of Oppenheimer Acquisition Corp. and OppenheimerFunds Legacy Program (since April 2000); formerly Principal and Chief Operating Officer (March 1995-March 1999), Bankers Trust Company-Mutual Fund Services Division. An officer of 91 portfolios in the OppenheimerFunds complex. Robert G. Zack, Senior Vice President (since May 1985) and Vice President and Secretary General Counsel (since February 2002) of the (since 2001) Manager; General Counsel and a director Age: 55 (since November 2001) of OppenheimerFunds Distributor, Inc.; Senior Vice President and General Counsel (since November 2001) of HarbourView Asset Management Corporation; Vice President and a director (since November 2000) of Oppenheimer Partnership Holdings, Inc.; Senior Vice President, General Counsel and a director (since November 2001) of Shareholder Services, Inc., Shareholder Financial Services, Inc., OFI Private Investments, Inc., Oppenheimer Trust Company and OFI Institutional Asset Management, Inc.; General Counsel (since November 2001) of Centennial Asset Management Corporation; a director (since November 2001) of Oppenheimer Real Asset Management, Inc.; Assistant Secretary and a director (since November 2001) of OppenheimerFunds International Ltd.; Vice President (since November 2001) of OppenheimerFunds Legacy Program; Secretary (since November 2001) of Oppenheimer Acquisition Corp.; formerly Acting General Counsel (November 2001-February 2002) and Associate General Counsel (May 1981-October 2001) of the Manager; Assistant Secretary of Shareholder Services, Inc. (May 1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November 2001); OppenheimerFunds International Ltd. And OppenheimerFunds plc (October 1997-November 2001). An officer of 91 portfolios in the OppenheimerFunds complex. The Fund's Statement of Additional Information contains additional information about the Fund's Trustees and is available without charge upon request. 77 | OPPENHEIMER STRATEGIC INCOME FUND ITEM 2. CODE OF ETHICS ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT The Board of Trustees of the Fund has determined that Edward L. Cameron, the Chairman of the Board's Audit Committee, and George C. Bowen, a member of the Board's Audit Committee, possess the technical attributes identified in Instruction 2(b) of Item 3 to Form N-CSR to qualify as "audit committee financial experts," and has designated Messrs. Cameron and Bowen as the Audit Committee's financial experts. Messrs. Cameron and Bowen are "independent" Trustees pursuant to paragraph (a)(2) of Item 3 to Form N-CSR. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES - NOT REQUIRED ITEM 5. NOT APPLICABLE ITEM 6. RESERVED ITEM 7. NOT APPLICABLE ITEM 8. RESERVED ITEM 9. CONTROLS AND PROCEDURES (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-2(c) under the Investment Company Act of 1940 (17 CFR 270.30a-2(c)) as of September 30, 2003, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to be appropriately designed to ensure that information required to be disclosed by registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in registrant's internal controls or in other factors that could significantly affect registrant's internal controls subsequent to the date of the most recent evaluation as indicated, including no significant deficiencies or material weaknesses that required corrective action. ITEM 10. EXHIBITS. (A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT) (B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS) EX-99.CODE ETH 3 ex99_code-230.txt EX99_CODE-230 EX-99.CODE ETH CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS OF THE OPPENHEIMER FUNDS AND OF OPPENHEIMERFUNDS, INC. This Code of Ethics for Principal Executive and Senior Financial Officers (referred to in this document as the "Code") has been adopted by each of the investment companies for which OppenheimerFunds, Inc. or one of its subsidiaries or affiliates (referred to collectively in this document as "OFI") acts as investment adviser (individually, a "Fund" and collectively, the "Funds"), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406. This Code applies to each Fund's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions ("Covered Officers"). A listing of positions currently within the ambit of Covered Officers is attached as EXHIBIT A.(1) 1. Purpose of the Code ------------------- This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and promote: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission ("SEC") and in other public communications made by the Fund; o compliance with applicable governmental laws, rules and regulations; o the prompt internal reporting of violations of this Code to the Code Administrator identified below; and o accountability for adherence to this Code. In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Fund's financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Funds' business and affairs in an honest and ethical manner. - --------------- 1 The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by the Oppenheimer Funds dated May 15, 2002, under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFI's fiduciary duties to each Fund, the Covered Officers will, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds. 2. Prohibitions ------------ The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest in personal and professional relationships. No Covered Officer may use information concerning the business and affairs of a Fund, including the investment intentions of a Fund, or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders. No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders. No Covered Officer shall intentionally for any reason take any action or fail to take any action in connection with his or her official acts on behalf of a Fund that causes the Fund to violate applicable laws, rules and regulations. No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund: (i) employ any device, scheme or artifice to defraud a Fund or its shareholders; (ii) intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; (iii) engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; (iv) engage in any manipulative practice with respect to any Fund; (v) use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders; (vi) intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; (vii) intentionally mislead or omit to provide material information to the Fund's independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters; (viii) fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; (ix) retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or (x) fails to acknowledge or certify compliance with this Code if requested to do so. 3. Reports of Conflicts of Interests --------------------------------- If a Covered Officer becomes aware of a conflict of interest under this Code or, to the Covered Officer's reasonable belief, the appearance of one, he or she must immediately report the matter to the Code's Administrator. If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to the OFI's Chief Executive Officer. Upon receipt of a report of a conflict, the Code Administrator will take prompt steps to determine whether a conflict of interest exists. If the Code Administrator determines that an actual conflict of interest exists, the Code Administrator will take steps to resolve the conflict. If the Code Administrator determines that the appearance of a conflict exists, the Code Administrator will take appropriate steps to remedy such appearance. If the Code Administrator determines that no conflict or appearance of a conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the Fund's Board of Trustees/Directors. 4. Waivers ------- Any Covered Officer requesting a waiver of any of the provisions of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon, which shall be binding. The Code Administrator may in reviewing such request, consult at his discretion with legal counsel to OFI or to the Fund. In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed waiver: : (i) is prohibited by this Code; (ii) is consistent with honest and ethical conduct; and (iii) will result in a conflict of interest between the Covered Officer's personal and professional obligations to a Fund. In lieu of determining whether to grant a waiver, the Code Administrator in his or her discretion may refer the matter to the appropriate Fund's Board of Trustees/Directors. 5. Reporting Requirements ---------------------- (a) Each Covered Officer shall, upon becoming subject to this Code, be provided with a copy of this Code and shall affirm in writing that he or she has received, read, understands and shall adhere to this Code. (b) At least annually, all Covered Officers shall be provided with a copy of this Code and shall certify that they have read and understand this Code and recognize that they are subject thereto. (c) At least annually, all Covered Officers shall certify that they have complied with the requirements of this Code and that they have disclosed or reported any violations of this Code to the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser. (d) The Code Administrator shall submit a quarterly report to the Board of Trustees/Directors of each Fund containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; (iv) interpretations issued under the Code by the Code Administrator; and (v) any other significant information arising under the Code including any proposed amendments. (e) Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code. (f) Any changes to or waivers of this Code, including "implicit" waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Code Administrator or his or her designee as provided by applicable SEC rules.(2) 6. Annual Renewal -------------- At least annually, the Board of Trustees/Directors of each Fund shall review the Code and determine whether any amendments (including any amendments that may be recommended by OFI or the Fund's legal counsel) are necessary or desirable, and shall consider whether to renew and/or amend the Code. 7. Sanctions --------- Any violation of this Code of Ethics shall be subject to the imposition of such sanctions by OFI as may be deemed appropriate under the circumstances to achieve the purposes of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of OFI. 8. Administration and Construction ------------------------------- (a) The administration of this Code of Ethics shall be the responsibility of OFI's General Counsel or his designee as the "Code Administrator" of this Code, acting under the terms of this Code and the oversight of the Trustees/Directors of the Funds. (b) The duties of such Code Administrator will include: (i) Continuous maintenance of a current list of the names of all Covered Officers; (ii) Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder; (iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; (v) Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, to the Chief Executive Officer of OFI and to the Trustees/Directors of the - ------------------ 2 An "implicit waiver" is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, an executiv officer of the Fund or OFI. affected Fund(s) or any committee appointed by them to deal with such information; and (vi) Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. (c) In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with legal counsel, who may include legal counsel to the applicable Funds, and such other persons as the Administrator shall deem necessary or desirable. The Code Administrator shall be protected from any liability hereunder or under any applicable law, rule or regulation, for decisions made in good faith based upon his or her reasonable judgment. 9. Required Records ---------------- The Administrator shall maintain and cause to be maintained in an easily accessible place, the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of OFI in which the applicable event or report occurred): (a) A copy of any Code which has been in effect during the period; (b) A record of any violation of any such Code and of any action taken as a result of such violation, during the period; (c) A copy of each annual report pursuant to the Code made by a Covered Officer during the period; (d) A copy of each report made by the Code Administrator pursuant to this Code during the period; (e) A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; (f) A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and (g) A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision. 10. Amendments and Modifications ---------------------------- This Code may not be amended or modified except by an amendment in writing which is approved or ratified by OFI and by a majority vote of the Independent Trustees/Directors of each of the applicable Funds. 11. Confidentiality. ---------------- This Code is identified for the internal use of the Funds and OFI. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trustees/Directors of the affected Fund(s) and their counsel, the independent auditors of the affected Funds and/or OFI, and to OFI, except as such disclosure may be required pursuant to applicable judicial or regulatory process. Dated as of: June 25, 2003 Adopted by Board I of the Oppenheimer Funds June 13, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board II of the Oppenheimer/Centennial Funds June 24, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board III of the Oppenheimer Funds June 9, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by Board IV of the Oppenheimer Funds May 21, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Secretary Adopted by the Boards of Directors of OppenheimerFunds, Inc. and its subsidiaries and affiliates that act as investment adviser to the Oppenheimer or Centennial funds June 1, 2003 /S/ ROBERT G. ZACK Robert G. Zack, Senior Vice President and General Counsel EXHIBIT A - --------- POSITIONS COVERED BY THIS CODE OF ETHICS FOR SENIOR OFFICERS Each Oppenheimer or Centennial fund - ----------------------------------- Principal Executive Officer Principal Financial Officer Treasurer Assistant Treasurer Personnel of OFI who by virtue of their jobs perform critical financial and - --------------------------------------------------------------------------- accounting functions for OFI on behalf of a Fund, including: - ------------------------------------------------------------ Treasurer Senior Vice President/Fund Accounting Vice President/Fund Accounting EX-99.CERT 4 ex99_302cert-230.txt EX99_302CERT-230 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: -------------- 1. I have reviewed this report on Form N-CSR of Oppenheimer Strategic Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls. Date: 11/14/03 /s/John V. Murphy --------------------------- John V. Murphy Chief Executive Officer Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: --------------- 1. I have reviewed this report on Form N-CSR of Oppenheimer Strategic Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-2(c) under the Investment Company Act of 1940) for the registrant and have: a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and 5. The registrant's other certifying officers and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions): a) all significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal controls. Date: 11/14/03 /s/Brian W. Wixted ---------------------------- Brian W. Wixted Chief Financial Officer EX-99.CERT 5 ex99_906cert-230.txt EX99_906CERT-230 EX-99.906CERT Section 906 Certifications CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2003 John V. Murphy, Chief Executive Officer, and Brian W. Wixted, Chief -------------- --------------- Financial Officer, of Oppenheimer Strategic Income Fund (the "Registrant"), each certify to the best of his or her knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended September 30, 2003 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. ss. 1350 and is not being filed as part of the Form N-CSR filed with the Commission. Chief Executive Officer Chief Financial Officer Oppenheimer Strategic Income Fund Oppenheimer Strategic Income Fund /s/John V. Murphy /s/Brian W. Wixted - ---------------------------- ---------------------------- John V. Murphy Brian W. Wixted Date: 11/14/03 Date: 11/14/03 -----END PRIVACY-ENHANCED MESSAGE-----