N-CSRS 1 rs0230_10909.txt RS0230_10909.TXT 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. Two World Financial Center, New York, New York 10281-1008 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: September 30 Date of reporting period: October 1, 2003 - March 31, 2004 ITEM 1. REPORTS TO STOCKHOLDERS. STATEMENT OF INVESTMENTS March 31, 2004 / Unaudited -------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--4.8% -------------------------------------------------------------------------------------------------------------------- American Money Management Corp., Commercial Debt Obligations Sub. Bonds, Series I, Cl. D1, 13.602%, 1/15/12 1 $ 8,642,914 $ 8,340,412 -------------------------------------------------------------------------------------------------------------------- Arbor I Ltd., Catastrophe Linked Nts., Series 2004-4, 15.11%, 3/15/06 2 250,000 250,000 -------------------------------------------------------------------------------------------------------------------- Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 7,070,000 7,076,965 -------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2003-A, Cl. A2, 1.45%, 11/25/05 6,645,665 6,654,988 -------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2003-2, Cl. A2A, 1.20%, 5/16/05 5,877,278 5,881,282 -------------------------------------------------------------------------------------------------------------------- Caterpillar Financial Asset Trust, Equipment Loan Pass-Through Certificates, Series 2003-A, Cl. A2, 1.25%, 10/25/05 4,163,045 4,166,067 -------------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2003-A, Cl. AF1, 1.836%, 10/25/17 850,449 850,958 Series 2003-B, Cl. AF1, 1.64%, 2/25/18 1,679,270 1,679,669 Series 2003-C, Cl. AF1, 2.14%, 7/25/18 7,607,343 7,626,214 Series 2004-A, Cl. AF1, 2.03%, 6/25/19 3,851,743 3,860,413 -------------------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-3, Cl. 1A1, 1.17%, 8/25/17 2 3,316,524 3,317,962 Series 2003-4, Cl. 1A1, 1.21%, 9/25/17 2 7,696,893 7,701,264 -------------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2003-A, Cl. A2, 1.26%, 1/16/06 2,777,606 2,780,022 Series 2003-B, Cl. A2, 1.287%, 3/15/06 3,720,000 3,723,326 -------------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2002-A3, Cl. A3, 4.40%, 5/15/07 4,780,000 4,941,768 -------------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations: Series 2003-1, Cl. AF1, 1.94%, 1/25/33 1,615,679 1,616,325 Series 2003-2, Cl. AF1, 1.19%, 5/25/33 2 3,036,008 3,037,310 Series 2003-3, Cl. AF1, 1.21%, 8/25/33 1,2 4,721,703 4,723,559 -------------------------------------------------------------------------------------------------------------------- Conseco Finance Securitizations Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 2000-2, Cl. M2, 10.32%, 12/1/30 1 4,093,535 534,718 -------------------------------------------------------------------------------------------------------------------- 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 16,023,161 -------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2002-B, Cl. A2, 2.20%, 4/6/05 61,033 61,078 Series 2003-A, Cl. A2, 1.52%, 12/8/05 13,960,000 13,987,352 Series 2003-B, Cl. A2, 1.61%, 7/8/06 12,330,000 12,367,947 -------------------------------------------------------------------------------------------------------------------- DLJ Ltd., Collateralized Bond Obligations, Series 1A, 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 1,389,677 -------------------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Collateral Obligations, Series 2000-A, Cl. B, 0.678%, 8/15/25 1,3,4 2,275,079 5,688
10 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued -------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2003-A, Cl. A2A, 1.62%, 8/15/05 $ 3,175,897 $ 3,181,791 -------------------------------------------------------------------------------------------------------------------- Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1 7,652,335 1,071,327 -------------------------------------------------------------------------------------------------------------------- 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 3,390,625 -------------------------------------------------------------------------------------------------------------------- Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 2,350,388 -------------------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts.: Series 2002-2, Cl. A1, 1.91%, 4/16/07 2,193,851 2,199,421 Series 2003-3, Cl. A1, 1.50%, 1/15/08 9,105,434 9,126,954 -------------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-1, Cl. A2, 1.46%, 9/19/05 4,076,507 4,081,930 Series 2003-3, Cl. A2, 1.52%, 4/21/06 15,520,000 15,553,230 Series 2003-4, Cl. A2, 1.58%, 7/17/06 11,000,000 11,030,143 -------------------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 5,490,000 5,504,771 -------------------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 7,111,318 7,168,046 Series 2003-1, Cl. A2, 1.60%, 7/20/06 9,510,000 9,535,900 -------------------------------------------------------------------------------------------------------------------- Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 3.40%, 3/24/14 1,2 3,000,000 30,000 -------------------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 4,700,000 4,697,063 -------------------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 12/25/28 1 4,445,081 1,155,721 -------------------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2003-A, Cl. A2, 1.69%, 12/15/05 7,000,000 7,015,407 -------------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts.: Series 2003-A, Cl. A2, 1.45%, 5/16/05 4,800,543 4,805,340 Series 2003-B, Cl. A2, 1.20%, 11/15/05 13,170,000 13,179,210 Series 2004-A, Cl. A2, 1.40%, 7/17/06 5,470,000 5,476,559 -------------------------------------------------------------------------------------------------------------------- Residential Funding Mortgage Securities II, Inc., Home Equity Loan Pass-Through Certificates, Series 2003-HS1, Cl. AI2, 1.19%, 1/25/33 2 967,745 968,349 -------------------------------------------------------------------------------------------------------------------- Sequoia Capital Ltd., Catastrophe Nts., Series 2004-2, 5.86%, 3/15/05 2 250,000 250,050 -------------------------------------------------------------------------------------------------------------------- Toyota Auto Receivables Owner Trust, Automobile Mtg.-Backed Obligations: Series 2002-B, Cl. A3, 3.76%, 6/15/06 2,515,809 2,543,681 Series 2003-A, Cl. A2, 1.28%, 8/15/05 6,841,855 6,847,563 Series 2003-B, Cl. A2, 1.43%, 2/15/06 8,990,000 8,999,369 -------------------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2002-1, Cl. A3, 2.41%, 10/16/06 3,930,393 3,955,712 Series 2003-1, Cl. A2, 1.22%, 4/17/06 6,745,454 6,751,072 Series 2004-1, Cl. A2, 1.43%, 9/15/06 13,000,000 13,004,371
11 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued -------------------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2, 1.11%, 12/20/05 $ 14,405,096 $ 14,409,657 Series 2003-2, Cl. A2, 1.55%, 6/20/06 6,370,000 6,385,819 -------------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2002-1, Cl. A2, 1.88%, 6/15/05 4,700,438 4,709,220 Series 2003-1, Cl. A2A, 1.40%, 4/15/06 12,860,000 12,878,745 -------------- Total Asset-Backed Securities (Cost $351,366,905) 314,857,059 -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--19.2% -------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 5,000,000 5,727,230 Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,000,000 22,862,314 Series 1996-D2, Cl. A3, 7.195%, 2/14/29 2 11,767,000 11,895,912 Series 1996-MD6, Cl. A7, 7.719%, 11/13/29 2 18,860,000 18,977,347 Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,875,000 11,393,748 Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 7,000,000 7,688,774 -------------------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2003-EF1, Cl. A2, 1.49%, 12/20/05 3,370,000 3,375,987 -------------------------------------------------------------------------------------------------------------------- Citicorp Mortgage Securities, Inc., Collateralized Mtg. Obligations, Series 2001-6, Cl. A4, 6.50%, 5/25/29 9,776,516 9,920,600 -------------------------------------------------------------------------------------------------------------------- Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligations, Series 1996-C2, Cl. F, 6.919%, 9/15/23 2,7 1,911,168 1,910,457 -------------------------------------------------------------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Commercial Mtg. Interest-Only Certificates, Series 2002-CKP1, Cl. AX, 11.763%, 12/15/35 6,7 412,542,880 6,735,340 -------------------------------------------------------------------------------------------------------------------- DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1999-STF1, Cl. B6, 7/5/08 1,3,4 55,709,338 -- -------------------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 1 36,400,000 18,149,040 -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 5%, 4/15/34 5 36,997,000 37,181,985 5.50%, 1/1/34 3,491,438 3,581,891 5.50%, 4/15/34 5 49,458,000 50,694,450 7%, 9/1/33-8/1/34 33,017,069 35,053,363 7.50%, 2/1/32 5,205,442 5,602,392 8.50%, 8/1/31 3,325,657 3,598,103 10%, 4/1/20-5/1/20 417,467 472,189 10.50%, 5/1/20 631,070 733,380 11.50%, 10/1/16-1/1/18 683,154 775,895 12%, 6/1/17 1,377,039 1,572,556 -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 1669, Cl. G, 6.50%, 2/15/23 3,229,910 3,290,711
12 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2055, Cl. ZM, 6.50%, 5/15/28 $ 4,874,971 $ 5,112,063 Series 2080, Cl. Z, 6.50%, 8/15/28 3,266,147 3,392,718 Series 2347, Cl. PD, 6.50%, 8/15/31 15,413,000 16,359,409 Series 2387, Cl. PD, 6%, 4/15/30 5,791,000 5,971,306 Series 2410, Cl. NE, 6.50%, 9/15/30 18,950,286 19,348,958 Series 2413, Cl. MH, 6.50%, 2/15/32 25,000,000 26,307,520 Series 2423, Cl. PD, 6.50%, 11/15/30 8,891,581 9,013,331 Series 2430, Cl. GD, 6.50%, 11/15/30 14,708,290 15,083,897 Series 2430, Cl. ND, 6.50%, 1/15/31 15,919,115 16,224,144 Series 2491, Cl. PE, 6%, 12/15/27 4,260,000 4,317,243 Series 2498, Cl. PC, 5.50%, 10/15/14 1,300,000 1,330,583 Series 2500, Cl. FD, 1.59%, 3/15/32 2 2,579,983 2,601,355 Series 2526, Cl. FE, 1.49%, 6/15/29 2 2,655,722 2,667,059 Series 2551, Cl. FD, 1.49%, 1/15/33 2 2,269,623 2,278,493 Series 2551, Cl. TA, 4.50%, 2/15/18 8,647,533 8,720,146 -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. B, (8.452)%, 7/1/26 6 8,090,097 1,205,659 Series 204, Cl. IO, (28.192)%, 5/15/29 6 512,105 76,819 Series 205, Cl. IO, (9.90)%, 9/15/29 6 10,319,565 1,487,364 Series 206, Cl. IO, (32.278)%, 12/15/29 6 3,273,896 521,323 Series 207, Cl. IO, (42.128)%, 4/15/30 6 3,711,943 517,420 Series 208, Cl. IO, (23.262)%, 6/1/30 6 6,306,635 879,103 Series 212, Cl. IO, (34.493)%, 5/1/31 6 4,452,796 661,039 Series 214, Cl. IO, (36.852)%, 6/1/31 6 3,232,642 507,049 Series 217, Cl. IO, (47.031)%, 2/1/32 6 3,656,990 557,956 Series 2526, Cl. SE, 20.414%, 6/15/29 6 4,828,335 471,222 -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Structured Pass-Through Securities, Collateralized Mtg. Obligations: Series H006, Cl. A1, 1.724%, 4/15/08 908,087 906,748 Series T-42, Cl. A2, 5.50%, 2/25/42 774,754 781,290 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 5%, 4/15/34 5 39,945,000 40,132,262 5.50%, 7/1/33-12/1/34 26,680,614 27,360,052 5.50%, 2/1/34-4/11/34 5 33,449,121 34,279,643 6.50%, 1/1/29 536,143 564,311 6.50%, 10/1/30-4/1/34 5 123,779,461 130,049,450 7%, 9/1/29-11/1/33 17,082,467 18,216,805 7%, 4/25/34 5 348,278,000 369,718,690 8.50%, 7/1/32 787,206 851,184 9.50%, 4/1/20-3/15/21 294,262 328,854 10.50%, 10/1/19 81,564 92,996 11%, 10/15/15-2/1/26 962,969 1,099,450 15%, 4/15/13 721,056 861,203
13 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, Commercial Mtg Obligations, Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10, Cl. IO, (13.882)%, 12/25/31 1,6 $ 477,358,527 $ 6,414,505 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1994-27, Cl. PH, 6.50%, 9/25/22 724,379 728,789 Trust 1998-63, Cl. PG, 6%, 3/25/27 2,984,053 3,032,981 Trust 2001-50, Cl. LD, 6.50%, 5/25/30 6,210,433 6,295,006 Trust 2001-50, Cl. NE, 6%, 8/25/30 4,572,862 4,715,478 Trust 2001-70, Cl. LR, 6%, 9/25/30 4,005,123 4,102,180 Trust 2001-70, Cl. PD, 6%, 3/25/29 4,090,000 4,164,228 Trust 2001-72, Cl. NH, 6%, 4/25/30 3,520,000 3,621,370 Trust 2001-74, Cl. PD, 6%, 5/25/30 1,410,000 1,443,058 Trust 2002-50, Cl. PD, 6%, 9/25/27 3,110,000 3,176,201 Trust 2002-73, Cl. PA, 5%, 1/25/17 3,285,461 3,304,981 Trust 2002-77, Cl. WF, 1.49%, 12/18/32 2 3,798,329 3,810,891 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 5,934,984 6,011,493 Trust 2003-81, Cl. PA, 5%, 2/25/12 2,414,406 2,465,086 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates Interest-Only Stripped Mtg.-Backed Security: Trust 2001-T3, Cl. IO, 10.991%, 2/25/29 1,6 48,559,258 1,183,632 Trust 2001-T4, Cl. IO, (1.289)%, 7/25/28 1,6 81,439,699 1,985,093 Trust 2002-28, Cl. SA, 14.491%, 4/25/32 6 2,775,141 235,336 Trust 2002-39, Cl. SD, 14.474%, 3/18/32 6 4,506,975 390,354 Trust 2002-48, Cl. S, 11.803%, 7/25/32 6 4,362,576 423,640 Trust 2002-52, Cl. SL, 12.502%, 9/25/32 6 2,764,792 277,222 Trust 2002-53, Cl. SK, 14.057%, 4/25/32 6 2,810,212 253,255 Trust 2002-56, Cl. SN, 15.731%, 7/25/32 6 5,980,441 582,036 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 221, Cl. 2, (7.576)%, 5/1/23 6 2,847,990 486,350 Trust 240, Cl. 2, (5.058)%, 9/1/23 6 4,270,895 700,560 Trust 313, Cl. 2, (35.645)%, 6/25/31 6 16,873,128 2,584,701 Trust 2002-9, Cl. MS, 9.507%, 3/25/32 6 5,118,936 472,598 -------------------------------------------------------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates: Series 1997-CHL1, Cl. D, 7.966%, 4/29/39 1,2 8,500,001 9,029,923 Series 1997-CHL1, Cl. E, 7.966%, 4/29/39 1,2 14,500,002 13,149,689 -------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn.: 7%, 1/15/28-1/20/30 8,137,026 8,675,621 8%, 1/15/28-9/15/28 4,523,822 4,950,019 12.50%, 12/15/13-11/15/15 3,530,954 4,099,851 13%, 10/15/15 5,481,995 6,418,312 13.50%, 6/15/15 6,808,851 8,022,095 -------------------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Interest-Only Mtg. Obligations, Series 1999-PLS1, Cl. X, 13.691%, 2/15/32 6,7 114,061,335 2,364,377
14 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued -------------------------------------------------------------------------------------------------------------------- J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 $ 10,700,000 $ 12,758,623 -------------------------------------------------------------------------------------------------------------------- LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,429,000 9,968,221 -------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2000-C3, Cl. A2, 7.95%, 1/15/10 10,000,000 12,142,837 -------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Interest-Only Mtg Pass-Through Certificates, Series 2001-GE9, Cl. A, (99.999)%, 1/25/31 1,6 408,328 510 -------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations: Series 2001-GE4, Cl. A, 249.24%, 10/25/30 2 231,001 235,838 Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1 950,221 907,461 -------------------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 7.321%, 6/15/21 2 1,261,899 1,354,251 -------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. F, 7.464%, 2/15/28 2,7 13,360,980 12,430,004 Series 1997-RR, Cl. D, 7.73%, 4/30/39 2,7 2,950,159 3,185,231 Series 1997-RR, Cl. E, 7.73%, 4/30/39 2,7 9,200,496 8,859,978 Series 1997-XL1, Cl. G, 7.695%, 10/3/30 7 14,358,000 12,661,964 -------------------------------------------------------------------------------------------------------------------- PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 10,000,000 11,407,738 -------------------------------------------------------------------------------------------------------------------- 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 1,3 624,465 -- Series 1992-2, Cl. B3, 8.445%, 4/15/09 1,2 1,209,499 350,755 -------------------------------------------------------------------------------------------------------------------- Residential Accredit Loans, Inc., Collateralized Mtg. Obligations, Asset-Backed Pass-Through Certificates, Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 2,147,253 2,145,902 -------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Collateralized Mtg. Obligations: Series 2000-UP1, Cl. A2, 8%, 9/25/30 2,502,783 2,634,695 Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 2,504,413 2,584,442 -------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg Pass-Through Certificates: Series 1996-B, Cl. 1, 6.996%, 4/25/26 1,2 2,214,176 1,992,758 Series 1996-C1, Cl. F, 8.455%, 1/20/06 1,2 9,632,000 9,535,680 -------------------------------------------------------------------------------------------------------------------- Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,500,000 2,663,966 -------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2001-9, Cl. 3A7, 6.75%, 6/25/31 7,659,933 7,766,530 -------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Commercial Mtg. Obligations, Series 1995-C4, Cl. E, 8.966%, 6/25/26 1,2 144,771 144,728 -------------------------------------------------------------------------------------------------------------------- Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1992-2, Cl. IO, (19.744)%, 9/15/22 6 35,911,226 631,082 Series 1995-2B, Cl. 2IO, (20.019)%, 6/15/25 6 2,803,843 44,090 Series 1995-3, Cl. 1IO, (28.849)%, 9/15/25 6 91,730,011 612,633
15 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued -------------------------------------------------------------------------------------------------------------------- Washington Mutual Mortgage Securities Corp., Collateralized Mtg Obligations Pass-Through Certificates, Series 2003-AR7, Cl. A1, 1.507%, 8/25/33 2 $ 3,080,487 $ 3,083,288 -------------- Total Mortgage-Backed Obligations (Cost $1,260,711,868) 1,271,723,897 -------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--6.3% -------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 2.875%, 12/15/06 80,000,000 81,618,960 4.50%, 1/15/13 13,285,000 13,675,180 4.875%, 3/15/07-11/15/13 23,555,000 25,083,723 5.75%, 1/15/12 45,000,000 50,487,750 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Nts., 1.51%, 2/7/05 11,500,000 11,501,047 -------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 43,000,000 45,503,417 5.50%, 2/15/06 33,480,000 35,853,129 6%, 5/15/08 40,000,000 45,014,600 7.25%, 5/15/30 12,900,000 16,511,058 -------------------------------------------------------------------------------------------------------------------- Resolution Funding Corp. Federal Book Entry Principal Strips, 6.11%, 1/15/21 8 52,460,000 22,079,627 -------------------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: Series C, 4.75%, 8/1/13 4,155,000 4,333,137 Series C, 6%, 3/15/13 3,990,000 4,540,273 -------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.50%, 8/15/28 9 7,850,000 8,564,782 6.125%, 11/15/27 7,749,000 9,144,432 9.25%, 2/15/16 10 7,000,000 10,365,747 STRIPS, 4.93%, 2/15/16 8,9,11 34,499,000 20,316,668 STRIPS, 5.52%, 11/15/26 8 1,681,000 521,653 -------------------------------------------------------------------------------------------------------------------- United States (Government of) Gtd. Israel Aid Bonds, 5.50%, 12/4/23 11,400,000 12,097,144 --------------- Total U.S. Government Obligations (Cost $405,557,803) 417,212,327 -------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--26.6% -------------------------------------------------------------------------------------------------------------------- ARGENTINA--1.4% Argentina (Republic of) Bonds: 1.234%, 8/3/12 2 103,245,000 68,717,084 1.278%, 5/3/05 3 1,218,000 1,178,415 2%, 9/30/08 1 [ARP] 12,985,000 4,212,054 Series PRE8, 2%, 1/3/10 1,3,4 [ARP] 19,480,000 7,892,685 Series PR12, 2%, 1/3/16 1,3,4 [ARP] 13,204,891 4,378,494 -------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Disc. Bonds, 2.345%, 3/31/23 3 3,800,000 1,957,000 -------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Letras del Banco Central de la Republica Treasury Bills, 14.75%, 10/8/04 8 [ARP] 253,000 86,705 -------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Par Bonds, 5.984%, 3/31/23 3,4 5,450,000 2,834,000
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ARGENTINA Continued Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 3.257%, 4/1/07 1,3 [ARP] 1,178,379 $ 474,903 --------------- 91,731,340 -------------------------------------------------------------------------------------------------------------------- AUSTRIA--0.8% Austria (Republic of) Bonds, 6.25%, 7/15/27 [EUR] 36,250,000 53,902,617 -------------------------------------------------------------------------------------------------------------------- BELGIUM--1.0% Belgium (Kingdom of) Bonds: 5%, 9/28/11 [EUR] 4,695,000 6,259,531 Series 19, 6.50%, 3/31/05 [EUR] 11,800,000 15,150,663 Series 26, 6.25%, 3/28/07 [EUR] 19,320,000 26,235,290 Series 28, 5.75%, 3/28/08 [EUR] 8,780,000 11,943,163 Series 32, 3.75%, 3/28/09 [EUR] 5,535,000 6,985,613 --------------- 66,574,260 -------------------------------------------------------------------------------------------------------------------- BRAZIL--1.7% Brazil (Federal Republic of) Bonds, Series 15 yr., 2.063%, 4/15/09 2 152,064 143,320 -------------------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Debt Capitalization Bonds, Series 20 yr., 8%, 4/15/14 100,187,518 98,183,767 -------------------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Unsec. Unsub. Bonds: 11%, 8/17/40 200 215 Cl. B, 8.875%, 4/15/24 13,625,000 12,548,625 --------------- 110,875,927 -------------------------------------------------------------------------------------------------------------------- COLOMBIA--0.1% Colombia (Republic of) Unsec. Unsub. Bonds, 8.375%, 2/15/27 7,235,000 6,989,010 -------------------------------------------------------------------------------------------------------------------- DENMARK--0.3% Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 129,370,000 22,133,785 -------------------------------------------------------------------------------------------------------------------- FINLAND--0.1% Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,990,000 3,713,286 -------------------------------------------------------------------------------------------------------------------- FRANCE--1.9% France (Government of) Obligations Assimilables du Tresor Bonds: 5.50%, 10/25/10 [EUR] 5,160,000 7,074,157 5.75%, 10/25/32 [EUR] 25,445,000 36,018,232 -------------------------------------------------------------------------------------------------------------------- France (Government of) Treasury Nts.: 3.50%, 7/12/04 [EUR] 42,210,000 52,097,503 3 yr., 3.50%, 1/12/05 [EUR] 20,895,000 25,997,679 5 yr., 4.75%, 7/12/07 [EUR] 795,000 1,042,159 5 yr., 5%, 7/12/05 [EUR] 1,500,000 1,913,673 --------------- 124,143,403
17 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- GERMANY--5.5% Germany (Republic of) Bonds: 2%, 6/17/05 [EUR] 42,040,000 $ 51,706,861 5.375%, 1/4/10 [EUR] 19,385,000 26,399,787 Series 01, 5%, 7/4/11 [EUR] 9,800,000 13,104,225 Series 02, 5%, 7/4/12 [EUR] 26,650,000 35,550,320 Series 140, 4.50%, 8/17/07 [EUR] 3,410,000 4,435,276 Series 143, 3.50%, 10/10/08 [EUR] 186,290,000 233,785,095 --------------- 364,981,564 -------------------------------------------------------------------------------------------------------------------- GREAT BRITAIN--0.6% United Kingdom Treasury Nts., 7.50%, 12/7/06 [GBP] 21,025,000 41,519,539 -------------------------------------------------------------------------------------------------------------------- GREECE--1.0% Greece (Republic of) Bonds: 3.50%, 4/18/08 [EUR] 11,735,000 14,725,786 4.60%, 5/20/13 [EUR] 2,720,000 3,481,042 5.35%, 5/18/11 [EUR] 10,900,000 14,763,643 -------------------------------------------------------------------------------------------------------------------- Greece (Republic of) Sr. Unsub. Bonds, 4.65%, 4/19/07 [EUR] 23,245,000 30,278,151 --------------- 63,248,622 -------------------------------------------------------------------------------------------------------------------- GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 7 2,910,000 3,521,100 10.25%, 11/8/11 4,235,000 5,124,350 --------------- 8,645,450 -------------------------------------------------------------------------------------------------------------------- ITALY--1.5% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali: 4%, 3/1/05 [EUR] 6,635,000 8,307,856 5%, 10/15/07 [EUR] 21,650,000 28,638,354 5%, 2/1/12 [EUR] 26,035,000 34,630,745 5.25%, 12/15/05 [EUR] 21,165,000 27,362,167 --------------- 98,939,122 -------------------------------------------------------------------------------------------------------------------- IVORY COAST--0.1% Ivory Coast (Government of) Front Loaded Interest Reduction Bonds, 2%, 3/29/18 3,4 87,000 15,878 -------------------------------------------------------------------------------------------------------------------- Ivory Coast (Government of) Past Due Interest Bonds, 1.90%, 3/29/18 1,3,4 [FRF] 93,959,750 3,344,541 --------------- 3,360,419 -------------------------------------------------------------------------------------------------------------------- JAPAN--2.0% Japan (Government of) Bonds, 5 yr., Series 14, 0.40%, 6/20/06 [JPY] 13,686,000,000 132,247,791 -------------------------------------------------------------------------------------------------------------------- MEXICO--0.5% Mexican Williams Sr. Nts., 1.278%, 11/15/08 1,2 1,500,000 1,567,500
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MEXICO Continued United Mexican States Bonds: 6.75%, 6/6/06 [JPY] 707,000,000 $ 7,643,904 7.50%, 4/8/33 10,545,000 11,520,413 8.30%, 8/15/31 6,210,000 7,312,275 -------------------------------------------------------------------------------------------------------------------- United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 755,000,000 8,162,868 --------------- 36,206,960 -------------------------------------------------------------------------------------------------------------------- NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,695,000 3,464,063 -------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 3,716,806 3,422,617 --------------- 6,886,680 -------------------------------------------------------------------------------------------------------------------- PERU--0.5% Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 62,986,855 36,185,948 -------------------------------------------------------------------------------------------------------------------- PHILIPPINES--0.2% Philippines (Republic of) Bonds: 8.375%, 2/15/11 6,485,000 6,529,584 9.375%, 1/18/17 4,220,000 4,467,925 10.625%, 3/16/25 2,920,000 3,193,750 --------------- 14,191,259 -------------------------------------------------------------------------------------------------------------------- POLAND--0.7% Poland (Republic of) Bonds, Series 0K0805, 5.16%, 8/12/05 8 [PLZ] 189,340,000 45,220,862 -------------------------------------------------------------------------------------------------------------------- PORTUGAL--0.6% Portugal (Republic of) Obrig Do Tes Medio Prazo Nts., 4.875%, 8/17/07 [EUR] 23,400,000 30,766,749 -------------------------------------------------------------------------------------------------------------------- Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Bonds, 5.85%, 5/20/10 [EUR] 4,365,000 6,078,464 --------------- 36,845,213 -------------------------------------------------------------------------------------------------------------------- RUSSIA--0.8% Ministry Finance of Russia Debs.: Series V, 3%, 5/14/08 22,945,000 21,324,509 Series VI, 3%, 5/14/06 13,775,000 13,607,083 -------------------------------------------------------------------------------------------------------------------- Russian Federation Unsec. Unsub. Nts., 10%, 6/26/07 12,050,000 14,309,375 -------------------------------------------------------------------------------------------------------------------- Russian Federation Unsub. Nts., 5%, 3/31/30 2 510,250 510,649 --------------- 49,751,616 -------------------------------------------------------------------------------------------------------------------- SPAIN--1.1% Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 20,670,000 29,187,812 -------------------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Treasury Bills, 1.96%, 4/23/04 8 [EUR] 35,045,000 43,021,573 --------------- 72,209,385
19 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- SWEDEN--2.9% Sweden (Kingdom of) Bonds, Series 1043, 5%, 1/28/09 [SEK] 920,550,000 $ 130,612,560 -------------------------------------------------------------------------------------------------------------------- Sweden (Kingdom of) Debs., Series 1040, 6.50%, 5/5/08 [SEK] 397,045,000 59,167,408 --------------- 189,779,968 -------------------------------------------------------------------------------------------------------------------- THE NETHERLANDS--0.6% Netherlands (Kingdom of the) Bonds: 5%, 7/15/11 [EUR] 5,250,000 7,004,637 5.50%, 1/15/28 [EUR] 22,970,000 31,290,548 --------------- 38,295,185 -------------------------------------------------------------------------------------------------------------------- TURKEY--0.2% Turkey (Republic of) Nts., 7.20%, 2/16/06 [JPY] 1,565,000,000 16,321,671 -------------------------------------------------------------------------------------------------------------------- URUGUAY--0.0% Uruguay (Republic of) Treasury Bills, Series UYP1, 14.92%, 6/7/04 8 [UYU] 42,070,000 1,375,981 -------------------------------------------------------------------------------------------------------------------- VENEZUELA--0.3% Venezuela (Republic of) Debs., Series DL, 2.125%, 12/18/07 2 6,788,351 6,423,477 -------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Disc. Bonds, Series W-A, 2.188%, 3/31/20 2 18,490,000 15,624,050 --------------- 22,047,527 --------------- Total Foreign Government Obligations (Cost $1,679,028,457) 1,758,324,390 -------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--1.2% -------------------------------------------------------------------------------------------------------------------- Algeria (Republic of) Loan Participation Nts., 2%, 3/4/10 1,2 8,624,817 8,484,664 -------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, OAO Gazprom Loan Participation Nts., 6.50%, 8/4/05 1 25,000,000 25,072,500 -------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Indonesia (Republic of) Rupiah Loan Participation Nts.: 2.636%, 5/21/04 1 20,675,000 19,951,375 2.636%, 3/25/05 1 23,680,000 22,200,000 -------------------------------------------------------------------------------------------------------------------- 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 $81,574,315) 75,708,539 -------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--29.6% -------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--8.8% -------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.8% Cambridge Industries, Inc., Liquidating Trust Interests, 7/15/07 1,12 5,189,534 -- -------------------------------------------------------------------------------------------------------------------- Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 1,900,000 2,042,500 -------------------------------------------------------------------------------------------------------------------- Collins & Aikman Products Co., 10.75% Sr. Nts., 12/31/11 2,700,000 2,787,750 -------------------------------------------------------------------------------------------------------------------- Dana Corp.: 9% Unsec. Nts., 8/15/11 6,920,000 8,355,900 10.125% Nts., 3/15/10 3,500,000 4,060,000
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS Continued Dura Operating Corp.: 8.625% Sr. Nts., Series B, 4/15/12 $ 2,500,000 $ 2,675,000 9% Sr. Sub. Nts., Series B, 5/1/09 [EUR] 3,000,000 3,686,699 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,550,000 1,577,125 -------------------------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3,800,000 4,180,000 -------------------------------------------------------------------------------------------------------------------- Keystone Automotive Operations, Inc., 9.75% Sr. Sub. Nts., 11/1/13 7 1,000,000 1,100,000 ------------------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,500,000 2,968,750 -------------------------------------------------------------------------------------------------------------------- Metaldyne Corp.: 10% Sr. Nts., 11/1/13 7 1,500,000 1,492,500 11% Sr. Sub. Nts., 6/15/12 4,900,000 4,410,000 -------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 5,750,000 6,885,625 -------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc., 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,100,000 3,580,500 -------------------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,600,000 1,736,000 --------------- 51,538,349 -------------------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.2% DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec. Nts., 3/15/13 9,450,000 10,820,250 -------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--2.4% 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 4,515,000 -------------------------------------------------------------------------------------------------------------------- Boca Resorts, Inc., 9.875% Sr. Sub. Nts., 4/15/09 1 6,800,000 7,191,000 -------------------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 3,600,000 3,987,000 -------------------------------------------------------------------------------------------------------------------- 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 1 3,000,000 3,255,000 -------------------------------------------------------------------------------------------------------------------- Coast Hotels & Casinos, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/09 4,000,000 4,220,000 -------------------------------------------------------------------------------------------------------------------- Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 3,200,000 3,464,000 -------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 7 1,100,000 1,178,375 -------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 7.625% Nts., 12/1/12 2,300,000 2,653,625 -------------------------------------------------------------------------------------------------------------------- Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 4,750,000 4,886,563 -------------------------------------------------------------------------------------------------------------------- Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,167,000 3,285,763 -------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 7% Sr. Sub. Nts., 3/1/14 7 2,100,000 2,121,000 8.75% Sr. Unsec. Nts., 4/15/09 2,900,000 3,041,375 9% Sr. Sub. Nts., 3/15/12 7,200,000 8,172,000 -------------------------------------------------------------------------------------------------------------------- John Q. Hammons Hotels, Inc., 8.875% Sr. Nts., Series B, 5/15/12 3,100,000 3,464,250 -------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 3,500,000 4,186,875 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 4,800,000 5,676,000 -------------------------------------------------------------------------------------------------------------------- MGM Grand, Inc., 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,050,000 1,218,000 -------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 8.375% Sr. Unsec. Sub. Nts., 2/1/11 5,100,000 5,916,000
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE Continued Mohegan Tribal Gaming Authority: 6.375% Sr. Sub. Nts., 7/15/09 $ 3,300,000 $ 3,481,500 8% Sr. Sub. Nts., 4/1/12 1,900,000 2,109,000 8.375% Sr. Sub. Nts., 7/1/11 1 1,600,000 1,776,000 -------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 7,000,000 7,840,000 -------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc.: 8.875% Sr. Sub. Nts., 3/15/10 1 3,700,000 4,051,500 11.125% Sr. Unsec. Sub. Nts., 3/1/08 1 8,000,000 9,020,000 -------------------------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8.25% Sr. Sub. Nts., 3/15/12 7 3,100,000 3,038,000 -------------------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 1,3,4 10,800,000 -- -------------------------------------------------------------------------------------------------------------------- Prime Hospitality Corp., 8.375% Sr. Sub. Nts., 5/1/12 3,900,000 4,134,000 -------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd.: 8% Sr. Unsec. Nts., 5/15/10 1,000,000 1,135,000 8.75% Sr. Unsub. Nts., 2/2/11 3,100,000 3,642,500 -------------------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Nts., 2/1/10 6,000,000 6,225,000 9.75% Sr. Nts., 4/15/13 5,500,000 5,871,250 -------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,000,000 9,080,000 -------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc., 9.875% Sr. Unsec. Sub. Nts., 7/1/10 2,500,000 2,771,875 -------------------------------------------------------------------------------------------------------------------- Sun International Hotels Ltd., 8.875% Sr. Unsec. Sub. Nts., 8/15/11 5,000,000 5,575,000 -------------------------------------------------------------------------------------------------------------------- Trump Casino Holdings LLC/Trump Casino Funding, Inc., 11.625% Sr. Sec. Nts., 3/15/10 4,300,000 4,321,500 -------------------------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,800,000 4,441,250 -------------------------------------------------------------------------------------------------------------------- Venetian Casino Resort LLC/Las Vegas Sands, Inc., 11% Sec. Nts., 6/15/10 3,800,000 4,389,000 --------------- 157,064,826 -------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.9% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,600,000 7,408,500 -------------------------------------------------------------------------------------------------------------------- Blount, Inc., 13% Sr. Sub. Nts., 8/1/09 1 4,750,000 5,159,688 -------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,100,000 2,404,500 9.75% Sr. Sub. Nts., 9/15/10 9 2,325,000 2,859,750 -------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,600,000 2,951,000 -------------------------------------------------------------------------------------------------------------------- KB Home: 7.75% Sr. Nts., 10/15/04 10,350,000 10,647,563 8.625% Sr. Sub. Nts., 12/15/08 2,050,000 2,321,625 9.50% Sr. Unsec. Sub. Nts., 2/15/11 700,000 798,000 -------------------------------------------------------------------------------------------------------------------- Meritage Corp., 9.75% Sr. Unsec. Nts., 6/1/11 2,500,000 2,850,000 -------------------------------------------------------------------------------------------------------------------- Salton, Inc.: 10.75% Sr. Unsec. Sub. Nts., 12/15/05 3,200,000 3,104,000 12.25% Sr. Sub. Nts., 4/15/08 2,000,000 1,970,000 -------------------------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 5,7 2,200,000 2,194,500
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES Continued Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 $ 2,000,000 $ 2,355,000 -------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 2,000,000 2,270,000 -------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,500,000 3,920,000 -------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,450,000 4,096,875 -------------------------------------------------------------------------------------------------------------------- Williams Scotsman, Inc., 9.875% Sr. Unsec. Nts., 6/1/07 4,800,000 4,824,000 --------------- 62,135,001 -------------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.0% Remington Arms Co., Inc., 10.50% Sr. Unsec. Nts., 2/1/11 2,200,000 2,238,500 -------------------------------------------------------------------------------------------------------------------- MEDIA--3.6% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 3,4 1,400,000 1,302,000 8.125% Sr. Nts., Series B, 7/15/03 3,4 3,750,000 3,543,750 8.375% Sr. Nts., Series B, 2/1/08 3,4 4,400,000 4,224,000 9.25% Sr. Unsec. Nts., Series B, 10/1/04 3,4 6,300,000 5,953,500 9.875% Sr. Nts., Series B, 3/1/07 3,4 1,500,000 1,447,500 10.25% Sr. Unsec. Nts., 11/1/06 3,4 300,000 288,000 10.25% Sr. Unsec. Sub. Nts., 6/15/11 3,4 2,600,000 2,613,000 10.875% Sr. Unsec. Nts., 10/1/10 3,4 100,000 97,500 -------------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 3,000,000 3,127,500 -------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc.: 8% Sr. Sub. Nts., 3/1/14 7 500,000 498,750 9.50% Sr. Unsec. Sub. Nts., 2/1/11 8,062,000 8,465,100 -------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 972,563 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 500,000 526,250 -------------------------------------------------------------------------------------------------------------------- Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,000,000 3,210,000 -------------------------------------------------------------------------------------------------------------------- Callahan Nordrhein-Westfalen GmbH, 14.125% Sr. Nts., 7/15/11 1,3,4 [EUR] 3,000,000 235,027 -------------------------------------------------------------------------------------------------------------------- CanWest Media, Inc., 7.625% Sr. Unsec. Sub. Nts., Cl. B, 4/15/13 900,000 985,500 -------------------------------------------------------------------------------------------------------------------- CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 992,250 -------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings II, 10.25% Sr. Unsec. Nts., 9/15/10 7 3,700,000 3,829,500 -------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/ Charter Communications Holdings Capital Corp.: 0%/9.92% Sr. Unsec. Disc. Nts., 4/1/11 13 21,600,000 17,982,000 8.625% Sr. Unsec. Nts., 4/1/09 16,100,000 13,363,000 10% Sr. Nts., 4/1/09 1,000,000 860,000 10% Sr. Unsec. Sub. Nts., 5/15/11 2,000,000 1,670,000 10.75% Sr. Unsec. Nts., 10/1/09 1,300,000 1,144,000 11.125% Sr. Unsec. Nts., 1/15/11 3,200,000 2,816,000 -------------------------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,900,000 2,075,750 -------------------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Disc. Nts., 3/15/14 7,13 4,600,000 2,866,375 -------------------------------------------------------------------------------------------------------------------- Comcast UK Cable Partner Ltd., 11.20% Sr. Unsec. Disc. Debs., 11/15/07 6,260,000 6,322,600 -------------------------------------------------------------------------------------------------------------------- Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,200,000 2,447,500
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MEDIA Continued CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 $ 10,100,000 $ 10,706,000 -------------------------------------------------------------------------------------------------------------------- Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 1,600,000 1,656,000 -------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 9.125% Sr. Nts., 1/15/09 2,206,000 2,503,810 10.375% Sr. Unsec. Nts., 10/1/07 11,850,000 12,946,125 -------------------------------------------------------------------------------------------------------------------- Emmis Communications Corp.: 0%/12.50% Sr. Unsec. Disc. Nts., 3/15/11 13 4,628,000 4,454,450 8.125% Sr. Unsec. Sub. Nts., Series B, 3/15/09 2,925,000 3,060,281 -------------------------------------------------------------------------------------------------------------------- Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec Sub. Nts., 3/1/14 2,000,000 2,175,000 -------------------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09 1,400,000 1,508,500 -------------------------------------------------------------------------------------------------------------------- Hollinger International Publishing, Inc., 9% Sr. Unsec. Nts., 12/15/10 3,175,000 3,508,375 -------------------------------------------------------------------------------------------------------------------- Houghton Mifflin Co., 8.25% Sr. Unsec. Nts., 2/1/11 1,700,000 1,757,375 -------------------------------------------------------------------------------------------------------------------- Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09 1,500,000 1,571,250 -------------------------------------------------------------------------------------------------------------------- Lamar Media Corp., 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,962,000 -------------------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 2,200,000 2,293,500 -------------------------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1 1,550,000 1,728,250 -------------------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,800,000 4,776,000 -------------------------------------------------------------------------------------------------------------------- PanAmSat Corp., 8.50% Sr. Unsec. Nts., 2/1/12 9,200,000 9,660,000 -------------------------------------------------------------------------------------------------------------------- PRIMEDIA, Inc., 8% Sr. Nts., 5/15/13 7 7,600,000 7,638,000 -------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I: 8.875% Sr. Nts., 12/15/10 7 2,800,000 3,164,000 10.875% Sr. Sub. Nts., 12/15/12 7 4,300,000 5,149,250 -------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,900,000 3,233,500 -------------------------------------------------------------------------------------------------------------------- Regal Cinemas, Inc., 9.375% Sr. Sub. Nts., Series B, 2/1/12 5,400,000 6,129,000 -------------------------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,580,000 10,911,731 -------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 11,400,000 12,411,750 8.75% Sr. Sub. Nts., 12/15/11 800,000 890,000 -------------------------------------------------------------------------------------------------------------------- Spanish Broadcasting System, Inc., 9.625% Sr. Unsec. Sub. Nts., 11/1/09 10,850,000 11,541,688 -------------------------------------------------------------------------------------------------------------------- Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,250,000 2,446,875 -------------------------------------------------------------------------------------------------------------------- Videotron Ltee, 6.875% Sr. Unsec. Nts., 1/15/14 1,400,000 1,470,000 -------------------------------------------------------------------------------------------------------------------- Vivendi Universal SA, 9.25% Sr. Nts., 4/15/10 3,100,000 3,720,000 -------------------------------------------------------------------------------------------------------------------- Von Hoffmann Corp., 10.25% Sr. Unsec. Nts., 3/15/09 1,400,000 1,468,250 -------------------------------------------------------------------------------------------------------------------- WRC Media, Inc./Weekly Reader Corp./CompassLearning, Inc., 12.75% Sr. Sub. Nts., 11/15/09 7,400,000 7,492,500 -------------------------------------------------------------------------------------------------------------------- 237,792,375 --------------- -------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.2% J.C. Penney Co., Inc., 8% Nts., 3/1/10 3,050,000 3,591,375
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL Continued Saks, Inc.: 8.25% Sr. Unsec. Nts., 11/15/08 $ 5,420,000 $ 6,124,600 9.875% Nts., 10/1/11 2,700,000 3,334,500 --------------- 13,050,475 -------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.5% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,900,000 6,342,500 -------------------------------------------------------------------------------------------------------------------- Atlantic Broadband Finance LLC, 9.375% Sr. Sub. Nts., 1/15/14 7 1,000,000 987,500 -------------------------------------------------------------------------------------------------------------------- AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,500,000 6,462,500 -------------------------------------------------------------------------------------------------------------------- Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 1 3,775,000 3,789,156 -------------------------------------------------------------------------------------------------------------------- Finlay Enterprises, Inc., 9% Debs., 5/1/08 3,200,000 3,296,000 -------------------------------------------------------------------------------------------------------------------- Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 3,125,000 3,226,563 -------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The), 10.55% Unsub. Nts., 12/15/08 1,200,000 1,494,000 -------------------------------------------------------------------------------------------------------------------- Hollywood Entertainment Corp., 9.625% Sr. Sub. Nts., 3/15/11 1 3,200,000 3,728,000 -------------------------------------------------------------------------------------------------------------------- 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 4,690,000 -------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Sub. Nts., Series B, 5/1/10 1,250,000 1,331,250 --------------- 35,347,469 -------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.2% Broder Bros. Co., 11.25% Sr. Nts., 10/15/10 7 2,100,000 2,110,500 -------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co.: 11.625% Sr. Unsec. Nts., 1/15/08 1,950,000 1,501,500 12.25% Sr. Nts., 12/15/12 2,200,000 1,672,000 -------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 7 1,500,000 1,620,000 -------------------------------------------------------------------------------------------------------------------- Russell Corp., 9.25% Sr. Nts., 5/1/10 2,500,000 2,668,750 --------------- 9,572,750 -------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.3% -------------------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1,300,000 1,449,500 -------------------------------------------------------------------------------------------------------------------- Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,000,000 2,220,000 --------------- 3,669,500 -------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Delhaize America, Inc., 8.125% Unsub. Debs., 4/15/11 4,605,000 5,318,775 -------------------------------------------------------------------------------------------------------------------- Fleming Cos., Inc.: 10.125% Sr. Unsec. Nts., 4/1/08 1,3,4 6,000,000 810,000 10.625% Sr. Unsec. Sub. Nts., Series D, 7/31/07 1,3,4 1,000,000 6,250 -------------------------------------------------------------------------------------------------------------------- Great Atlantic & Pacific Tea Co., Inc. (The), 9.125% Sr. Nts., 12/15/11 1,400,000 1,232,000 -------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 13% Disc. Nts., 5/31/09 1,3,4,14 8,836,185 --
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING Continued Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 $ 4,000,000 $ 4,300,000 9.50% Sr. Sec. Nts., 2/15/11 2,000,000 2,230,000 --------------- 13,897,025 -------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.7% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 1 4,700,000 5,640,000 -------------------------------------------------------------------------------------------------------------------- Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 3,4 2,400,000 2,052,000 -------------------------------------------------------------------------------------------------------------------- Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 7 4,350,000 4,611,000 -------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc., 10.56% Sr. Unsec. Nts., 3/15/09 622,000 690,420 -------------------------------------------------------------------------------------------------------------------- Del Monte Corp., 8.625% Sr. Sub. Nts., 12/15/12 3,900,000 4,407,000 -------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 1 3,200,000 3,352,000 -------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 2,500,000 2,750,000 8.875% Sr. Unsec. Nts., 3/15/11 1,700,000 1,861,500 -------------------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1,800,000 2,007,000 -------------------------------------------------------------------------------------------------------------------- New World Pasta Co., 9.25% Sr. Nts., 2/15/09 1,3,4 1,000,000 155,000 -------------------------------------------------------------------------------------------------------------------- Pinnacle Foods Holding Corp., 8.25% Sr. Sub. Nts., 12/1/13 7 1,800,000 1,921,500 -------------------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,050,000 3,309,250 8% Sr. Nts., Series B, 10/15/09 1,000,000 1,122,500 -------------------------------------------------------------------------------------------------------------------- Swift & Co., 10.125% Sr. Nts., 10/1/09 2,000,000 2,170,000 -------------------------------------------------------------------------------------------------------------------- Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 5,500,000 5,335,000 -------------------------------------------------------------------------------------------------------------------- United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 1 [GBP] 4,000,000 8,049,784 --------------- 49,433,954 -------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.3% AKI, Inc., 10.50% Sr. Unsec. Nts., 7/1/08 1 3,700,000 3,866,500 -------------------------------------------------------------------------------------------------------------------- Holmes Products Corp.: 9.875% Sr. Sub. Nts., Series C, 11/15/07 1 1,000,000 1,046,140 9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 1 4,610,000 4,822,705 -------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 7 2,900,000 3,030,500 9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,000,000 2,895,000 -------------------------------------------------------------------------------------------------------------------- Revlon Consumer Products Corp., 12% Sr. Sec. Nts., 12/1/05 3,450,000 3,760,500 -------------------------------------------------------------------------------------------------------------------- Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 1,3,4 6,340,000 -- --------------- 19,421,345 -------------------------------------------------------------------------------------------------------------------- ENERGY--2.1% -------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.6% Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,900,000 2,080,500
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES Continued Hanover Equipment Trust 2001A, 8.50% Sr. Sec. Nts., Series A, 9/1/08 $ 1,900,000 $ 2,042,500 -------------------------------------------------------------------------------------------------------------------- Hornbeck-Leevac Marine Services, Inc., 10.625% Sr. Nts., 8/1/08 12,750,000 14,088,750 -------------------------------------------------------------------------------------------------------------------- Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 14,250,000 13,466,250 -------------------------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,000,000 2,207,500 -------------------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,200,000 3,448,000 --------------- 37,333,500 -------------------------------------------------------------------------------------------------------------------- OIL & GAS--1.5% Chesapeake Energy Corp.: 6.875% Sr. Unsec. Nts., 1/15/16 4,089,000 4,313,895 9% Sr. Nts., 8/15/12 1,000,000 1,161,250 -------------------------------------------------------------------------------------------------------------------- El Paso Energy Partners LP, 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/11 1,541,000 1,756,740 -------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,500,000 3,771,250 -------------------------------------------------------------------------------------------------------------------- Frontier Oil Corp., 11.75% Sr. Nts., 11/15/09 9,735,000 10,854,525 -------------------------------------------------------------------------------------------------------------------- GulfTerra Energy Partners LP: 8.50% Sr. Unsec. Sub. Nts., Series B, 6/1/10 2,295,000 2,662,200 10.625% Sr. Sub. Nts., 12/1/12 2,613,000 3,292,380 -------------------------------------------------------------------------------------------------------------------- Leviathan Gas Pipeline Partners LP/Leviathan Finance Corp., 10.375% Sr. Unsec. Sub. Nts., Series B, 6/1/09 1 7,000,000 7,455,000 -------------------------------------------------------------------------------------------------------------------- Newfield Exploration Co., 8.375% Sr. Sub. Nts., 8/15/12 3,250,000 3,721,250 -------------------------------------------------------------------------------------------------------------------- Paramount Resources Ltd., 7.875% Sr. Nts., 11/1/10 2,600,000 2,626,000 -------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: 6.625% Nts., 4/4/10 [EUR] 8,610,000 11,531,779 8.50% Unsub. Nts., 2/15/08 3,450,000 4,039,950 -------------------------------------------------------------------------------------------------------------------- Pioneer Natural Resources Co., 7.50% Sr. Nts., 4/15/12 3,000,000 3,575,094 -------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 1 5,000,000 5,850,000 -------------------------------------------------------------------------------------------------------------------- Stone Energy Corp., 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,115,000 ---------------------------------------------------------------------------------------------------------------- Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 2,000,000 2,332,500 -------------------------------------------------------------------------------------------------------------------- Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 7,800,000 8,521,500 9.625% Sr. Sub. Nts., 4/1/12 2,250,000 2,520,000 -------------------------------------------------------------------------------------------------------------------- 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 1,971,000 -------------------------------------------------------------------------------------------------------------------- Westport Resources Corp., 8.25% Sr. Unsec. Sub. Nts., 11/1/11 8,700,000 9,722,250 -------------------------------------------------------------------------------------------------------------------- XTO Energy, Inc., 7.50% Sr. Nts., 4/15/12 5,200,000 6,192,982 --------------- 98,986,545 -------------------------------------------------------------------------------------------------------------------- FINANCIALS--1.7% -------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.1% American Color Graphics, Inc., 10% Sr. Sec. Nts., 6/15/10 1,550,000 1,371,750
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS Continued Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 3,200,000 $ 3,640,000 --------------- 5,011,750 -------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.5% Bank Plus Corp., 12% Sr. Nts., 7/18/07 1 4,167,000 4,500,360 -------------------------------------------------------------------------------------------------------------------- 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 10,375,000 -------------------------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 1,3,4 4,970,000 24,850 -------------------------------------------------------------------------------------------------------------------- Sovereign Bancorp, Inc., 10.50% Sr. Unsec. Nts., 11/15/06 1,000,000 1,191,293 -------------------------------------------------------------------------------------------------------------------- Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,800,000 4,351,000 --------------- 31,422,128 -------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.3% Finova Group, Inc. (The), 7.50% Nts., 11/15/09 8,848,000 5,507,880 -------------------------------------------------------------------------------------------------------------------- Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub. Nts., 3/15/12 7 1,600,000 1,672,000 -------------------------------------------------------------------------------------------------------------------- LaBranche & Co., Inc., 12% Sr. Unsec. Sub. Nts., 3/2/07 5,900,000 6,239,250 -------------------------------------------------------------------------------------------------------------------- Noteco Ltd.: 6.18% Nts., Series B, 6/30/25 2 [GBP] 410,000 572,674 6.68% Nts., Series A1, 6/30/15 2 [GBP] 485,000 870,188 -------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.375% Unsec. Unsub. Nts., 12/15/14 8,570,000 9,576,975 -------------------------------------------------------------------------------------------------------------------- SBS Agro Finance BV, 10.25% Bonds, 7/21/00 1,3,4 14,961,000 -- --------------- 24,438,967 -------------------------------------------------------------------------------------------------------------------- INSURANCE--0.1% Arbor I Ltd., 16.61% Nts., 6/15/06 1,2 6,250,000 6,374,063 -------------------------------------------------------------------------------------------------------------------- Conseco, Inc., Escrow Shares, 6/15/09 12 3,050,000 -- --------------- 6,374,063 -------------------------------------------------------------------------------------------------------------------- REAL ESTATE--0.6% Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,609,000 2,811,198 -------------------------------------------------------------------------------------------------------------------- Felcor Suites LP, 7.375% Sr. Nts., 10/1/04 2,200,000 2,255,000 -------------------------------------------------------------------------------------------------------------------- HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 6,300,000 6,575,625 -------------------------------------------------------------------------------------------------------------------- Host Marriott LP, 9.50% Sr. Nts., 1/15/07 5,000,000 5,625,000 -------------------------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp.: 9.125% Sr. Unsec. Nts., 1/15/11 4,850,000 5,128,875 10.50% Sr. Unsec. Nts., 6/15/09 2,800,000 3,024,000 -------------------------------------------------------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts., Series B, 4/1/08 15,590,000 16,174,625 --------------- 41,594,323
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.1% Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 $ 5,250,000 $ 5,302,500 -------------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.2% -------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Fisher Scientific International, Inc., 8.125% Sr. Sub. Nts., 5/1/12 2,953,000 3,292,595 -------------------------------------------------------------------------------------------------------------------- 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) 8,15 3,500,000 2,467,500 -------------------------------------------------------------------------------------------------------------------- Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 7 1,550,000 1,581,000 -------------------------------------------------------------------------------------------------------------------- Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4,150,000 4,627,250 -------------------------------------------------------------------------------------------------------------------- Universal Hospital Services, Inc., 10.125% Sr. Nts., 11/1/11 7 2,450,000 2,658,250 -------------------------------------------------------------------------------------------------------------------- Vanguard Health Systems, Inc., 9.75% Sr. Unsec. Sub. Nts., 8/1/11 550,000 595,375 --------------- 15,221,970 -------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.0% Alliance Imaging, Inc., 10.375% Sr. Unsec. Sub. Nts., 4/15/11 800,000 802,000 -------------------------------------------------------------------------------------------------------------------- AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,800,000 2,870,000 -------------------------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc., 9.50% Sr. Unsec. Sub. Nts., 7/1/10 1 1,900,000 2,132,750 -------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 1 3,290,000 3,594,325 -------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 1 [DEM] 1,700,000 1,156,278 -------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 3,000,000 3,330,000 -------------------------------------------------------------------------------------------------------------------- Genesis Healthcare Corp., 8% Sr. Sub. Nts., 10/15/13 7 1,450,000 1,551,500 -------------------------------------------------------------------------------------------------------------------- Hanger Orthopedic Group, Inc., 10.375% Sr. Nts., 2/15/09 1 2,850,000 3,220,500 -------------------------------------------------------------------------------------------------------------------- HCA, Inc., 6.30% Sr. Unsec. Nts., 10/1/12 3,900,000 4,094,505 -------------------------------------------------------------------------------------------------------------------- Healthsouth Corp., 7.625% Nts., 6/1/12 10,500,000 10,368,750 -------------------------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,300,000 3,778,500 -------------------------------------------------------------------------------------------------------------------- NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 3,700,000 4,273,500 -------------------------------------------------------------------------------------------------------------------- PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 1 2,986,000 3,523,480 -------------------------------------------------------------------------------------------------------------------- Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 7 2,450,000 2,560,250 -------------------------------------------------------------------------------------------------------------------- Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,200,000 5,616,000 -------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 5.375% Sr. Unsec. Nts., 11/15/06 900,000 850,500 6.375% Sr. Nts., 12/1/11 3,631,000 3,158,970 -------------------------------------------------------------------------------------------------------------------- Triad Hospitals, Inc., 8.75% Sr. Unsec. Nts., Series B, 5/1/09 4,000,000 4,380,000 -------------------------------------------------------------------------------------------------------------------- US Oncology, Inc., 9.625% Sr. Sub. Nts., 2/1/12 1,600,000 1,904,000 --------------- 63,165,808 -------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.0% aaiPharma, Inc., 11% Sr. Sub. Nts., 4/1/10 1,200,000 966,000
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.7% -------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.4% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 $ 2,900,000 $ 3,219,000 -------------------------------------------------------------------------------------------------------------------- American Plumbing & Mechanical, Inc., 11.625% Sr. Sub. Nts., Series B, 10/15/08 1,3,4 6,700,000 1,206,000 -------------------------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8.50% Sr. Unsec. Nts., 10/1/10 1,400,000 1,505,000 8.875% Sr. Unsec. Sub. Nts., 5/1/11 1,800,000 1,656,000 9.50% Sr. Unsec. Sub. Nts., 11/1/08 2,500,000 2,412,500 -------------------------------------------------------------------------------------------------------------------- K&F Industries, Inc., 9.625% Sr. Unsec. Sub. Nts., 12/15/10 2,100,000 2,362,500 -------------------------------------------------------------------------------------------------------------------- L-3 Communications Corp., 7.625% Sr. Sub. Nts., 6/15/12 1,700,000 1,878,500 -------------------------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,150,000 2,365,000 -------------------------------------------------------------------------------------------------------------------- TransDigm, Inc., 8.375% Sr. Sub. Nts., 7/15/11 3,100,000 3,301,500 -------------------------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 1,963,000 2,267,265 11% Sr. Sub. Nts., 2/15/13 1,623,000 1,947,600 -------------------------------------------------------------------------------------------------------------------- Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 7 1,350,000 1,404,000 --------------- 25,524,865 -------------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.0% Atlas Air, Inc.: 9.25% Sr. Nts., 4/15/08 3,4 6,200,000 2,363,750 9.375% Sr. Unsec. Nts., 11/15/06 3,4 2,700,000 1,029,375 --------------- 3,393,125 -------------------------------------------------------------------------------------------------------------------- AIRLINES--0.5% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 22,022,429 -------------------------------------------------------------------------------------------------------------------- ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 7 10,237,000 9,673,965 --------------- 31,696,394 -------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.1% Ainsworth Lumber Co. Ltd., 6.75% Sr. Nts., 3/15/14 7 1,200,000 1,212,000 -------------------------------------------------------------------------------------------------------------------- Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,400,000 2,688,000 -------------------------------------------------------------------------------------------------------------------- Green Star Products, Inc., 10.15% Bonds, 6/24/10 7 547,981 574,605 -------------------------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,178,000 2,417,580 -------------------------------------------------------------------------------------------------------------------- Nortek, Inc., 9.875% Sr. Unsec. Sub. Nts., 6/15/11 1,150,000 1,299,500 --------------- 8,191,685
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.3% Allied Waste North America, Inc.: 7.875% Sr. Nts., 4/15/13 $ 2,300,000 $ 2,524,250 7.875% Sr. Unsec. Nts., Series B, 1/1/09 46,000 48,070 8.50% Sr. Sub. Nts., 12/1/08 10,300,000 11,587,500 8.875% Sr. Nts., Series B, 4/1/08 9,800,000 11,049,500 9.25% Sr. Sec. Debs., Series B, 9/1/12 6,250,000 7,140,625 10% Sr. Unsec. Sub. Nts., Series B, 8/1/09 1,900,000 2,047,250 -------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 1,3,4 3,462,000 22,590 -------------------------------------------------------------------------------------------------------------------- Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 3,4 10,175,000 1,806,063 -------------------------------------------------------------------------------------------------------------------- Buhrmann US, Inc., 12.25% Sr. Unsec. Sub. Nts., 11/1/09 2,500,000 2,762,500 -------------------------------------------------------------------------------------------------------------------- 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 1 2,920,000 2,482,000 -------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 7.50% Sr. Nts., 5/1/11 1,500,000 1,588,125 9.875% Sr. Nts., 5/1/09 2,000,000 2,260,000 -------------------------------------------------------------------------------------------------------------------- Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 1 5,800,000 5,829,000 -------------------------------------------------------------------------------------------------------------------- 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 1 2,341,000 2,389,763 -------------------------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 5,900,000 6,519,500 -------------------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 1 5,150,000 4,686,500 -------------------------------------------------------------------------------------------------------------------- Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 1,3,4 13,150,000 1,183,500 -------------------------------------------------------------------------------------------------------------------- Synagro Technologies, Inc., 9.50% Sr. Sub. Nts., 4/1/09 2,400,000 2,610,000 -------------------------------------------------------------------------------------------------------------------- United Rentals, Inc.: 6.50% Sr. Nts., 2/15/12 7 6,100,000 6,100,000 7% Sr. Sub. Nts., 2/15/14 7 8,800,000 8,316,000 --------------- 86,483,736 -------------------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.1% Integrated Electrical Services, Inc.: 9.375% Sr. Sub. Nts., Series B, 2/1/09 136,000 143,140 9.375% Sr. Sub. Nts., Series C, 2/1/09 2,150,000 2,262,875 -------------------------------------------------------------------------------------------------------------------- URS Corp., 11.50% Sr. Unsec. Nts., 9/15/09 1 3,850,000 4,369,750 --------------- 6,775,765 -------------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.1% Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 1 2,500,000 2,075,000 -------------------------------------------------------------------------------------------------------------------- Riverside Forest Products Ltd., 7.875% Sr. Nts., 3/1/14 7 1,600,000 1,664,000 --------------- 3,739,000 -------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.2% Tyco International Group SA, 6.375% Nts., 10/15/11 9,200,000 10,077,919
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- MACHINERY--0.7% Actuant Corp., 13% Sr. Sub. Nts., 5/1/09 $ 1,977,000 $ 2,540,445 -------------------------------------------------------------------------------------------------------------------- AGCO Corp., 9.50% Sr. Unsec. Nts., 5/1/08 9,900,000 10,914,750 -------------------------------------------------------------------------------------------------------------------- Insilco Corp., 12% Sr. Sub. Nts., 8/15/07 1,3,4 10,550,000 -- -------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 695,500 -------------------------------------------------------------------------------------------------------------------- NMHG Holding Co., 10% Sr. Nts., 5/15/09 1 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 10,244,000 -------------------------------------------------------------------------------------------------------------------- SPX Corp., 7.50% Sr. Nts., 1/1/13 5,700,000 6,184,500 -------------------------------------------------------------------------------------------------------------------- Terex Corp.: 9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,700,000 3,037,500 10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 1 5,500,000 6,297,500 -------------------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 7 1,900,000 1,909,500 -------------------------------------------------------------------------------------------------------------------- Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 4,000,000 4,320,000 --------------- 48,795,695 -------------------------------------------------------------------------------------------------------------------- MARINE--0.2% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,350,000 7,548,563 -------------------------------------------------------------------------------------------------------------------- Millenium Seacarriers, Inc., 12% Sr. Sec. Nts., 7/15/05, 1,3,4 5,400,000 1,384,020 -------------------------------------------------------------------------------------------------------------------- Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 1,3,4 11,650,000 5,868,688 --------------- 14,801,271 -------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,000,000 2,070,000 -------------------------------------------------------------------------------------------------------------------- Stena AB, 9.625% Sr. Nts., 12/1/12 2,150,000 2,451,000 --------------- 4,521,000 -------------------------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE--0.0% Worldspan LP/Worldspan Financial Corp., 9.625% Sr. Nts., 6/15/11 1,350,000 1,400,625 -------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.8% -------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.1% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 1,3,4 11,975,000 4,430,750 -------------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.0% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,200,000 2,414,500 -------------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% Ingram Micro, Inc., 9.875% Sr. Unsec. Sub. Nts., 8/15/08 1 5,000,000 5,587,500 -------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 1,3,4 [EUR] 2,116,376 117,037 -------------------------------------------------------------------------------------------------------------------- Globix Corp., 11% Sr. Nts., 4/26/08 1 566,697 569,530 -------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 1,3 1,921,661 192 -------------------------------------------------------------------------------------------------------------------- PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 1,3,4 [EUR] 6,150,000 316,480 -------------------------------------------------------------------------------------------------------------------- Verado Holdings, Inc., 13% Sr. Disc. Nts., 4/15/08 1,3,4 5,700,000 570 --------------- 1,003,809
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- IT SERVICES--0.1% Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 $ 8,150,000 $ 8,598,250 -------------------------------------------------------------------------------------------------------------------- Titan Corp. (The), 8% Sr. Sub. Nts., 5/15/11 7 1,600,000 1,832,000 --------------- 10,430,250 -------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5% AMI Semiconductor, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/1/13 3,083,000 3,614,818 -------------------------------------------------------------------------------------------------------------------- Amkor Technology, Inc.: 7.75% Sr. Nts., 5/15/13 3,900,000 3,997,500 9.25% Sr. Unsec. Sub. Nts., 2/15/08 5,850,000 6,478,875 -------------------------------------------------------------------------------------------------------------------- ChipPAC International Co. Ltd., 12.75% Sr. Unsec. Sub. Nts., Series B, 8/1/09 4,000,000 4,380,000 -------------------------------------------------------------------------------------------------------------------- Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 14,000,000 14,000,000 --------------- 32,471,193 -------------------------------------------------------------------------------------------------------------------- MATERIALS--4.1% -------------------------------------------------------------------------------------------------------------------- CHEMICALS--1.3% Avecia Group plc, 11% Sr. Unsec. Nts., 7/1/09 4,000,000 3,420,000 -------------------------------------------------------------------------------------------------------------------- ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 1,700,000 688,500 -------------------------------------------------------------------------------------------------------------------- Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 3,800,000 4,332,000 -------------------------------------------------------------------------------------------------------------------- Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 2,850,000 2,921,250 10.625% Sr. Unsec. Nts., 5/1/11 2,650,000 2,868,625 -------------------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc: 10.125% Sr. Unsec. Sub. Nts., 7/1/09 14,350,000 14,672,875 10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 3,300,000 3,872,878 13.09% Sr. Unsec. Disc. Nts., 12/31/09 8 14,040,000 6,528,600 -------------------------------------------------------------------------------------------------------------------- Huntsman International LLC, 9.875% Sr. Nts., 3/1/09 5,500,000 6,077,500 -------------------------------------------------------------------------------------------------------------------- ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 1 4,100,000 4,571,500 -------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 9.625% Sr. Sec. Nts., Series A, 5/1/07 2,050,000 2,132,000 9.875% Sec. Nts., Series B, 5/1/07 6,850,000 7,141,125 -------------------------------------------------------------------------------------------------------------------- Noveon, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 2/28/11 1 4,500,000 5,175,000 -------------------------------------------------------------------------------------------------------------------- OM Group, Inc., 9.25% Sr. Sub. Nts., 12/15/11 4,500,000 4,657,500 -------------------------------------------------------------------------------------------------------------------- PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,557,668 2,429,785 -------------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc., 4.663% Sr. Sec. Nts., 12/31/06 1,2 809,925 781,578 -------------------------------------------------------------------------------------------------------------------- Polyone Corp., 8.875% Sr. Unsec. Nts., 5/1/12 4,900,000 4,777,500 -------------------------------------------------------------------------------------------------------------------- Rockwood Specialties, Inc., 10.625% Sr. Unsec. Sub. Nts., 5/15/11 1,200,000 1,332,000 -------------------------------------------------------------------------------------------------------------------- Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09 2,000,000 1,960,000 -------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc.: 10% Sr. Sec. Nts., 12/19/07 1 1,938,280 1,880,132 11.25% Sr. Sub. Nts., 8/15/06 1,3,4 7,915,000 -- -------------------------------------------------------------------------------------------------------------------- Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 1,500,000 1,665,000 --------------- 83,885,348
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.1% Formica Corp., 10.875% Sr. Unsec. Sub. Nts., Series B, 3/1/09 1,3,4 $ 4,300,000 $ 709,500 -------------------------------------------------------------------------------------------------------------------- Texas Industries, Inc., 10.25% Sr. Unsec. Nts., 6/15/11 3,200,000 3,664,000 --------------- 4,373,500 -------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.2% Ball Corp.: 6.875% Sr. Unsec. Nts., 12/15/12 7 2,200,000 2,389,750 7.75% Sr. Unsec. Nts., 8/1/06 2,300,000 2,512,750 -------------------------------------------------------------------------------------------------------------------- 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 3,600,000 4,059,000 10.875% Sr. Sec. Nts., 3/1/13 1,850,000 2,164,500 -------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5,700,000 6,384,000 9.50% Sr. Sub. Nts., 8/15/13 2,550,000 2,894,250 -------------------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,300,000 1,423,500 -------------------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,200,000 3,632,000 -------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 2,900,000 3,045,000 8.25% Sr. Unsec. Nts., 5/15/13 1,500,000 1,552,500 8.75% Sr. Sec. Nts., 11/15/12 12,500,000 13,656,250 8.875% Sr. Sec. Nts., 2/15/09 5,800,000 6,293,000 -------------------------------------------------------------------------------------------------------------------- Pliant Corp., 0%/11.125% Sr. Sec. Disc. Nts., 6/15/09 7,13 2,050,000 1,650,250 -------------------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 7 1,750,000 1,822,188 -------------------------------------------------------------------------------------------------------------------- Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 4,700,000 5,158,250 9.25% Sr. Unsec. Nts., 2/1/08 4,500,000 5,040,000 9.75% Sr. Unsec. Nts., 2/1/11 7,900,000 8,867,750 -------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,550,000 6,077,250 --------------- 78,636,876 -------------------------------------------------------------------------------------------------------------------- METALS & MINING--1.0% AK Steel Corp., 7.875% Sr. Unsec. Nts., 2/15/09 3,925,000 3,611,000 -------------------------------------------------------------------------------------------------------------------- Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 7 3,200,000 3,424,000 -------------------------------------------------------------------------------------------------------------------- Better Minerals & Aggregates Co., 13% Sr. Unsec. Sub. Nts., 9/15/09 1 1,050,000 787,500 -------------------------------------------------------------------------------------------------------------------- California Steel Industries, Inc., 6.125% Sr. Nts., 3/15/14 7 2,400,000 2,430,000 -------------------------------------------------------------------------------------------------------------------- Century Aluminum Co., 11.75% Sr. Sec. Nts., 4/15/08 4,750,000 5,343,750 -------------------------------------------------------------------------------------------------------------------- IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,550,000 2,741,250 -------------------------------------------------------------------------------------------------------------------- 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 1,000,000 1,142,500 -------------------------------------------------------------------------------------------------------------------- Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 7 4,500,000 4,702,500 -------------------------------------------------------------------------------------------------------------------- Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,200,000 5,876,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- METALS & MINING Continued Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 1,3,4 $ 4,500,000 $ 4,140,000 -------------------------------------------------------------------------------------------------------------------- Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 1,3,4 5,700,000 570 -------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 7 3,050,000 3,370,250 -------------------------------------------------------------------------------------------------------------------- Metallurg, Inc., 11% Sr. Nts., 12/1/07 9,595,000 5,325,225 -------------------------------------------------------------------------------------------------------------------- Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,221,000 -------------------------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,700,000 3,727,750 -------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,300,000 3,580,500 -------------------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,000,000 2,245,000 -------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,400,000 2,808,000 -------------------------------------------------------------------------------------------------------------------- United States Steel Corp.: 9.75% Sr. Nts., 5/15/10 2,200,000 2,519,000 10.75% Sr. Nts., 8/1/08 4,700,000 5,499,000 --------------- 64,510,655 -------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.5% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,700,000 1,861,046 -------------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,450,000 1,566,000 -------------------------------------------------------------------------------------------------------------------- Doman Industries Ltd., 8.75% Sr. Nts., 3/15/04 1,3,4 15,250,000 3,812,500 -------------------------------------------------------------------------------------------------------------------- Domtar, Inc., 10.85% Debs., 8/5/17 [CAD] 1,700,000 1,854,420 -------------------------------------------------------------------------------------------------------------------- Fort James Corp.: 6.625% Sr. Unsec. Nts., 9/15/04 500,000 510,000 6.875% Sr. Nts., 9/15/07 2,500,000 2,718,750 -------------------------------------------------------------------------------------------------------------------- Georgia-Pacific Corp.: 8.125% Sr. Unsec. Nts., 5/15/11 10,575,000 12,055,500 9.375% Sr. Unsec. Nts., 2/1/13 6,400,000 7,568,000 -------------------------------------------------------------------------------------------------------------------- Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3,4 5,000,000 2,875,000 -------------------------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Nts., 3/1/14 7 1,900,000 1,966,500 -------------------------------------------------------------------------------------------------------------------- PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 1,3,4 4,025,000 60,375 --------------- 36,848,091 -------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.7% -------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.2% 360networks, Inc.: 13% Sr. Unsec. Nts., 5/1/08 1,3,4 [EUR] 1,900,000 233 13% Sr. Unsec. Nts., 5/1/08 1,3,4 1,100,000 110 -------------------------------------------------------------------------------------------------------------------- Adelphia Business Solutions, Inc., 12% Sr. Sub. Nts., 11/1/07 1,3,4 2,490,000 18,675 -------------------------------------------------------------------------------------------------------------------- American Tower Corp., 9.375% Sr. Nts., 2/1/09 5,400,000 5,724,000 -------------------------------------------------------------------------------------------------------------------- COLO.com, Inc., 13.875% Sr. Nts., 3/15/10 1,3,4 5,289,071 79,336 -------------------------------------------------------------------------------------------------------------------- Concentric Network Corp., Escrow Shares, 12/15/07 1,12 4,085,000 -- -------------------------------------------------------------------------------------------------------------------- Crown Castle International Corp., 7.50% Sr. Nts., 12/1/13 850,000 839,375
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / 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 $ 4,859,000 -------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 7 2,450,000 2,713,375 9.875% Sr. Sub. Nts., 8/15/13 7 4,400,000 4,906,000 -------------------------------------------------------------------------------------------------------------------- Dex Media, Inc., 8% Nts., 11/15/13 7 5,050,000 5,037,375 -------------------------------------------------------------------------------------------------------------------- Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 1,3,4 6,628,368 -- -------------------------------------------------------------------------------------------------------------------- Focal Communications Corp.: Escrow Shares, 2/15/08 12 2,150,000 -- Escrow Shares, 1/15/10 12 1,090,000 -- -------------------------------------------------------------------------------------------------------------------- Intermedia Communications, Inc., 12.25% Sr. Disc. Nts., Series B, 3/1/09 3,4 6,950,000 2,502,000 -------------------------------------------------------------------------------------------------------------------- IPC Acquisition Corp., 11.50% Sr. Sub. Nts., 12/15/09 1,050,000 1,107,750 -------------------------------------------------------------------------------------------------------------------- KPNQwest BV, 8.875% Sr. Nts., 2/1/08 1,3,4 [EUR] 5,000,000 30,722 -------------------------------------------------------------------------------------------------------------------- Level 3 Communications, Inc., 10.50% Sr. Disc. Nts., 12/1/08 3,300,000 2,722,500 -------------------------------------------------------------------------------------------------------------------- MCI Communications Corp., 7.75% Sr. Unsec. Debs., 3/23/25 3,4 2,150,000 1,720,000 -------------------------------------------------------------------------------------------------------------------- Nextlink Communications, Inc.: Escrow Shares, 10/1/07 1,12 9,283,000 -- Escrow Shares, 3/15/08 1,12 7,300,000 -- Escrow Shares, 4/15/08 1,12 2,750,000 -- Escrow Shares, 11/15/08 1,12 5,200,000 -- Escrow Shares, 6/1/09 1,12 1,400,000 -- -------------------------------------------------------------------------------------------------------------------- Qwest Corp.: 7.20% Unsec. Nts., 11/1/04 2,000,000 2,060,000 8.875% Nts., 3/15/12 7 7,200,000 8,208,000 -------------------------------------------------------------------------------------------------------------------- Qwest Services Corp., 13.50% Nts., 12/15/10 7 9,900,000 11,558,250 -------------------------------------------------------------------------------------------------------------------- Telewest Communications plc: 0%/9.25% Sr. Disc. Nts., 4/15/09 3,13 11,300,000 5,876,000 0%/9.875% Sr. Disc. Nts., 4/15/09 3,4,13 [GBP] 9,500,000 7,682,214 -------------------------------------------------------------------------------------------------------------------- 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 7,926,250 -------------------------------------------------------------------------------------------------------------------- Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 1,200,000 1,113,000 -------------------------------------------------------------------------------------------------------------------- Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 1,3,4 9,480,000 -- --------------- 76,684,165 -------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.5% Alamosa Delaware, Inc., 12.50% Sr. Unsec. Nts., 2/1/11 5,600,000 6,048,000 -------------------------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,475,000 1,423,375 -------------------------------------------------------------------------------------------------------------------- American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 8 6,000,000 4,245,000 -------------------------------------------------------------------------------------------------------------------- Arch Wireless Holdings, Inc., 12% Sub. Nts., 5/15/09 132,182 155,314 -------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 1,3,4 21,148,000 --
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES Continued Centennial Cellular Operating Co./Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 $ 5,100,000 $ 5,278,500 -------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 4,100,000 3,239,000 10.875% Sr. Unsec. Nts., 7/1/10 6,800,000 6,052,000 -------------------------------------------------------------------------------------------------------------------- Horizon PCS, Inc., 13.75% Sr. Nts., 6/15/11 3,4 1,000,000 255,000 -------------------------------------------------------------------------------------------------------------------- IPCS, Inc., 0%/14% Sr. Unsec. Disc. Nts., 7/15/10 3,4,13 2,200,000 605,000 -------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc.: 0%/14.50% Sr. Unsec. Disc. Nts., 4/15/10 1,3,4 5,400,000 810,000 12.50% Sr. Nts., 4/15/10 1,3,4 5,775,000 1,039,500 -------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc.: 7.375% Sr. Nts., 8/1/15 2,170,000 2,359,875 9.375% Sr. Unsec. Nts., 11/15/09 16,250,000 17,753,125 9.50% Sr. Unsec. Nts., 2/1/11 3,300,000 3,778,500 -------------------------------------------------------------------------------------------------------------------- Nextel Partners, Inc.: 11% Sr. Unsec. Nts., 3/15/10 1,400,000 1,561,000 12.50% Sr. Nts., 11/15/09 6,639,000 7,834,020 -------------------------------------------------------------------------------------------------------------------- Orbcomm Global LP, Escrow Shares, 8/15/04 1,12 15,930,000 -- -------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 8.25% Sr. Sec. Nts., 3/15/12 7 1,600,000 1,644,000 9.625% Sr. Sub. Nts., Series B, 5/15/08 4,300,000 3,945,250 9.75% Sr. Sub. Nts., 1/15/10 5,400,000 4,860,000 9.875% Sr. Nts., 2/1/10 4,550,000 4,584,125 -------------------------------------------------------------------------------------------------------------------- SBA Communications Corp., 10.25% Sr. Unsec. Nts., 2/1/09 1,100,000 1,089,000 -------------------------------------------------------------------------------------------------------------------- SpectraSite, Inc., 8.25% Sr. Nts., 5/15/10 1 2,050,000 2,203,750 -------------------------------------------------------------------------------------------------------------------- Triton PCS, Inc.: 8.50% Sr. Unsec. Nts., 6/1/13 3,200,000 3,424,000 8.75% Sr. Unsec. Sub. Nts., 11/15/11 1,200,000 1,140,000 9.375% Sr. Unsec. Sub. Nts., 2/1/11 2,300,000 2,231,000 -------------------------------------------------------------------------------------------------------------------- UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 7 2,600,000 2,548,000 -------------------------------------------------------------------------------------------------------------------- US Unwired, Inc., 0%/13.375% Sr. Unsec. Sub. Disc. Nts., Series B, 11/1/09 13 8,800,000 8,272,000 -------------------------------------------------------------------------------------------------------------------- USA Mobile Communications, Inc., II, Escrow Shares, 11/1/04 1,12 5,885,000 -- -------------------------------------------------------------------------------------------------------------------- Western Wireless Corp., 9.25% Sr. Unsec. Nts., 7/15/13 3,200,000 3,304,000 --------------- 101,682,334 -------------------------------------------------------------------------------------------------------------------- UTILITIES--3.2% -------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.3% AES Corp. (The): 5.22% Nts., 1/1/15 [GBP] 557,000 1,123,492 6.22% Nts., 1/1/20 [GBP] 105,000 211,789 8.75% Sr. Sec. Nts., 5/15/13 7 8,100,000 8,950,500 -------------------------------------------------------------------------------------------------------------------- Caithness Coso Funding Corp., 9.05% Sr. Sec. Nts., Series B, 12/15/09 2,511,000 2,837,430
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES Continued Calpine Corp.: 7.625% Sr. Nts., 4/15/06 $ 8,050,000 $ 7,124,250 8.75% Sr. Nts., 7/15/07 5,700,000 4,531,500 8.75% Sr. Sec. Nts., 7/15/13 7 3,900,000 3,588,000 9.875% Sr. Sec. Nts., 12/1/11 7 5,800,000 5,611,500 -------------------------------------------------------------------------------------------------------------------- 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 1,200,000 1,239,000 7.75% Sr. Nts., 8/1/10 7 1,550,000 1,615,875 8.50% Sr. Nts., 4/15/11 2,500,000 2,681,250 9.875% Sr. Unsec. Nts., 10/15/07 3,110,000 3,444,325 -------------------------------------------------------------------------------------------------------------------- CMS Energy X-TRAS Pass-Through Trust I, 7% Sr. Unsec Pass-Through Certificates, 1/15/05 5,200,000 5,304,000 -------------------------------------------------------------------------------------------------------------------- Edison Mission Energy: 9.875% Sr. Unsec. Nts., 4/15/11 1,900,000 2,009,250 10% Sr. Unsec. Nts., 8/15/08 5,200,000 5,499,000 -------------------------------------------------------------------------------------------------------------------- El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 4,000,000 4,686,592 -------------------------------------------------------------------------------------------------------------------- Funding Corp./Beaver Valley Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 956,000 1,132,917 -------------------------------------------------------------------------------------------------------------------- Messer Griesheim Holding AG, 10.375% Sr. Nts., 6/1/11 [EUR] 3,000,000 4,410,214 -------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC: 7.625% Sr. Unsec. Nts., 5/1/06 3,4 2,300,000 1,713,500 8.30% Sr. Unsec. Nts., 5/1/11 3,4 700,000 519,750 -------------------------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 1,550,000 1,705,000 -------------------------------------------------------------------------------------------------------------------- PG&E Corp., 6.875% Sr. Sec. Nts., 7/15/08 7 3,100,000 3,398,375 -------------------------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 3,850,000 4,196,500 9.50% Sr. Sec. Nts., 7/15/13 3,000,000 3,322,500 -------------------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 9.75% Sr. Unsec. Nts., 5/15/07 1,200,000 1,393,500 --------------- 82,792,259 -------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--1.0% AmeriGas Partners LP/AmeriGas Eagle Finance Corp., 8.875% Sr. Unsec. Nts., Series B, 5/20/11 9 6,400,000 7,120,000 -------------------------------------------------------------------------------------------------------------------- ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,800,000 2,007,000 -------------------------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 4,835,000 4,351,500 -------------------------------------------------------------------------------------------------------------------- El Paso Energy Corp., 7.625% Nts., 7/15/11 4,625,000 4,035,313 -------------------------------------------------------------------------------------------------------------------- SEMCO Energy, Inc.: 7.125% Sr. Nts., 5/15/08 1,200,000 1,266,000 7.75% Sr. Nts., 5/15/13 1,200,000 1,284,000
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------- GAS UTILITIES Continued Southern Natural Gas Co.: 7.35% Nts., 2/15/31 $ 3,100,000 $ 2,991,500 8% Sr. Unsub. Nts., 3/1/32 4,500,000 4,646,250 8.875% Sr. Nts., 3/15/10 2,700,000 3,010,500 -------------------------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 14,050,000 14,576,875 -------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), 7.125% Nts., 9/1/11 18,450,000 19,464,750 --------------- 64,753,688 -------------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.9% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 3,838,750 4,150,648 -------------------------------------------------------------------------------------------------------------------- Aquila, Inc., 7% Sr. Unsec. Nts., 7/15/04 1,000,000 1,007,500 -------------------------------------------------------------------------------------------------------------------- Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 5,950,000 4,432,750 -------------------------------------------------------------------------------------------------------------------- Consumers Energy Co.: 6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,326,832 7.375% Nts., 9/15/23 1,900,000 1,974,431 -------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 18,850,000 16,493,750 8.75% Sr. Nts., 2/15/12 6,950,000 6,602,500 10.125% Sr. Sec. Nts., 7/15/13 7 7,700,000 8,489,250 -------------------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 8,300,000 7,739,750 -------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 1 3,133,370 3,221,496 -------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), 8.625% Sr. Nts., 6/1/10 5,400,000 5,967,000 -------------------------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,148,125 --------------- 62,554,032 -------------------------------------------------------------------------------------------------------------------- WATER UTILITIES--0.0% National Waterworks, Inc., 10.50% Sr. Unsec. Sub. Nts., Series B, 12/1/12 1 1,900,000 2,156,500 --------------- Total Corporate Bonds and Notes (Cost $2,018,025,203) 1,956,415,903 SHARES -------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.9% -------------------------------------------------------------------------------------------------------------------- AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 1,4,14 338,141 3,381 -------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 11.125% Cum., Series M, Non-Vtg. 14 85,396 8,936,691 -------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co., 14.25% Jr. Sub. Debs., Non-Vtg. 1,4 255,000 12,303,750 -------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg 6,800 851,511 -------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 1,4,14 11,723 1,172 -------------------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 1,4 39,000 3,402,750 -------------------------------------------------------------------------------------------------------------------- Focal Communications Corp., Cv., Series A 4 16,834 170,023 -------------------------------------------------------------------------------------------------------------------- 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 38
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------
MARKET VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS Continued ----------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc., 2.50% Cv., Series A 4 6,516 $ 47,697 ----------------------------------------------------------------------------------------------------------------- Metrocall Holdings, Inc., 15% Cum., Series A 1 2,352 32,952 ----------------------------------------------------------------------------------------------------------------- Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable, Non-Vtg. 1,4,14 96,993 -- ----------------------------------------------------------------------------------------------------------------- Paxson Communications Corp.: 14.25% Cum. 4,14 -- 3,059 14.25% Cum. Jr. Exchangeable, Non-Vtg. 14 1,550 13,988,750 ----------------------------------------------------------------------------------------------------------------- Pennsylvania Real Estate Investment Trust, 11% 49,500 3,019,500 ----------------------------------------------------------------------------------------------------------------- PTV, Inc., 10% Cum., Series A, Non-Vtg 305 1,639 ----------------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 4,14 10,825 9,661,313 ----------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 1 57,800 8,973,450 ----------------------------------------------------------------------------------------------------------------- XO Communications, Inc., 14% Cum. Sr. Exchangeable Redeemable, Non-Vtg. 1,4,14 3 -- ----------------------------------------------------------------------------------------------------------------- Ziff Davis Holdings, Inc., 10%, Series E-1 1,4 240 6,000 ---------------- Total Preferred Stocks (Cost $84,192,552) 61,403,676 ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS--2.9% ----------------------------------------------------------------------------------------------------------------- AboveNet, Inc.4 9,411 357,618 ----------------------------------------------------------------------------------------------------------------- ACE Ltd. 29,100 1,241,406 ----------------------------------------------------------------------------------------------------------------- Adelphia Business Solutions, Inc. 4 6,272 188 ----------------------------------------------------------------------------------------------------------------- AES Drax Group Ltd. 105,000 -- ----------------------------------------------------------------------------------------------------------------- AES Corp. (The) 4 144,600 1,233,438 ----------------------------------------------------------------------------------------------------------------- Aetna, Inc. 16,187 1,452,298 ----------------------------------------------------------------------------------------------------------------- Allstate Corp. 28,800 1,309,248 ----------------------------------------------------------------------------------------------------------------- Amerada Hess Corp. 19,600 1,279,488 ----------------------------------------------------------------------------------------------------------------- American Electric Power Co., Inc. 37,200 1,224,624 ----------------------------------------------------------------------------------------------------------------- American Greetings Corp., Cl. A 4 56,500 1,286,505 ----------------------------------------------------------------------------------------------------------------- Andrew Corp. 4 69,000 1,207,500 ----------------------------------------------------------------------------------------------------------------- Arch Wireless, Inc., Cl. A 4 53,116 1,714,053 ----------------------------------------------------------------------------------------------------------------- Ashland, Inc. 26,500 1,231,985 ----------------------------------------------------------------------------------------------------------------- AT&T Corp. 63,800 1,248,566 ----------------------------------------------------------------------------------------------------------------- Autodesk, Inc. 44,900 1,419,738 ----------------------------------------------------------------------------------------------------------------- Avaya, Inc.4 73,900 1,173,532 ----------------------------------------------------------------------------------------------------------------- Banco Bradesco SA, Sponsored ADR 62,895 3,028,394 ----------------------------------------------------------------------------------------------------------------- Banco Itau Holding Financeira SA, ADR 63,470 2,968,492 ----------------------------------------------------------------------------------------------------------------- Bank Pekao SA, GDR 4 124,192 4,172,851 ----------------------------------------------------------------------------------------------------------------- Bear Stearns Cos., Inc. (The) 14,641 1,283,723 ----------------------------------------------------------------------------------------------------------------- Brasil Telecom Participacoes SA, ADR 113,395 3,872,439 ----------------------------------------------------------------------------------------------------------------- Burlington Resources, Inc. 21,900 1,393,497 ----------------------------------------------------------------------------------------------------------------- Calpine Corp. 4 243,000 1,134,810
40 | OPPENHEIMER STRATEGIC INCOME FUND
MARKET VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------- Capital One Financial Corp. 18,237 $ 1,375,617 ----------------------------------------------------------------------------------------------------------------- Cavco Industries, Inc. 770 28,375 ----------------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc. 122,000 1,394,460 ----------------------------------------------------------------------------------------------------------------- Centex Corp. 23,630 1,277,438 ----------------------------------------------------------------------------------------------------------------- Cesky Telecom AS, GDR 241,631 3,077,243 ----------------------------------------------------------------------------------------------------------------- Charles River Laboratories International, Inc. 4 45,220 1,937,677 ----------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. 875,000 11,725,000 ----------------------------------------------------------------------------------------------------------------- ChevronTexaco Corp. 14,400 1,264,032 ----------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc 4 88,293 1,840,909 ----------------------------------------------------------------------------------------------------------------- Classic Cable, Inc. 4 7,208 -- ----------------------------------------------------------------------------------------------------------------- Companhia de Bebidas das Americas, ADR 207,395 4,147,900 ----------------------------------------------------------------------------------------------------------------- ConocoPhillips 18,460 1,288,693 ----------------------------------------------------------------------------------------------------------------- Conseco, Inc. 4 142,199 3,293,329 ----------------------------------------------------------------------------------------------------------------- Countrywide Financial Corp. 13,930 1,335,887 ----------------------------------------------------------------------------------------------------------------- Covad Communications Group, Inc 4 168,383 424,325 ----------------------------------------------------------------------------------------------------------------- Crane Co. 40,600 1,339,800 ----------------------------------------------------------------------------------------------------------------- Criimi MAE, Inc. 4 431,792 4,814,481 ----------------------------------------------------------------------------------------------------------------- Dana Corp. 58,700 1,165,782 ----------------------------------------------------------------------------------------------------------------- Devon Energy Corp. 22,529 1,310,061 ----------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. 4 437,675 1,011,905 ----------------------------------------------------------------------------------------------------------------- Dynegy, Inc. 4 302,300 1,197,108 ----------------------------------------------------------------------------------------------------------------- Eagle Materials, Inc. 519 30,543 ----------------------------------------------------------------------------------------------------------------- Eagle Materials, Inc. 4 1,745 101,908 ----------------------------------------------------------------------------------------------------------------- Edison International 55,017 1,336,363 ----------------------------------------------------------------------------------------------------------------- Equinix, Inc. 4 133,114 4,820,191 ----------------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc. 24,300 1,313,415 ----------------------------------------------------------------------------------------------------------------- FleetBoston Financial Corp. 28,900 1,297,610 ----------------------------------------------------------------------------------------------------------------- Freddie Mac 20,772 1,226,794 ----------------------------------------------------------------------------------------------------------------- Gedeon Richter Rt, Sponsored GDR 4 16,364 1,867,787 ----------------------------------------------------------------------------------------------------------------- General Motors Corp. 26,749 1,259,878 ----------------------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Liquidating Trust 1,4,12 6,475 -- ----------------------------------------------------------------------------------------------------------------- Geotek Communications, Inc., Series B, Escrow Shares 1,4,12 625 -- ----------------------------------------------------------------------------------------------------------------- Globix Corp. 4 100,917 332,017 ----------------------------------------------------------------------------------------------------------------- Horizon Natural Resources Co. 1,4 133,333 -- ----------------------------------------------------------------------------------------------------------------- Humana, Inc. 4 60,500 1,150,710 ----------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 1,4 276,705 179,858 ----------------------------------------------------------------------------------------------------------------- J.P. Morgan Chase & Co. 31,300 1,313,035 ----------------------------------------------------------------------------------------------------------------- Janus Capital Group, Inc. 4 74,800 1,225,224 -----------------------------------------------------------------------------------------------------------------
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------
MARKET VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------- John Hancock Financial Services, Inc. 30,620 $ 1,337,788 ----------------------------------------------------------------------------------------------------------------- KB Home 16,956 1,370,045 ----------------------------------------------------------------------------------------------------------------- KGHM Polska Miedz SA, GDR 4 97,571 1,614,800 ----------------------------------------------------------------------------------------------------------------- Komercni Banka AS, GD 4 148,473 5,932,981 ----------------------------------------------------------------------------------------------------------------- Ladish Co., Inc. 4 30,000 263,400 ----------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc. 14,900 1,234,763 ----------------------------------------------------------------------------------------------------------------- Lincoln National Corp. 27,500 1,301,300 ----------------------------------------------------------------------------------------------------------------- Louisiana-Pacific Corp. 51,600 1,331,280 ----------------------------------------------------------------------------------------------------------------- Magyar Tavkozlesi Rt, Sponsored ADR 4 113,583 2,597,643 ----------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The) 7,919 234,244 ----------------------------------------------------------------------------------------------------------------- Marathon Oil Corp. 36,028 1,213,063 ----------------------------------------------------------------------------------------------------------------- MBIA, Inc. 19,600 1,228,920 ----------------------------------------------------------------------------------------------------------------- MetLife, Inc. 36,900 1,316,592 ----------------------------------------------------------------------------------------------------------------- Metrocall Holdings, Inc. 4 34,005 2,369,128 ----------------------------------------------------------------------------------------------------------------- Metromedia, Escrow Shares 4,12 10,100,000 -- ----------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc. 4 45,738 877,870 ----------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. A 4 381 7,305 ----------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc., Cl. B 4 45,465 864,847 ----------------------------------------------------------------------------------------------------------------- MOL Magyar Olaj-es Gazipari Rt, Sponsored GDR 4 69,283 2,424,905 ----------------------------------------------------------------------------------------------------------------- Nordstrom, Inc. 32,935 1,314,107 ----------------------------------------------------------------------------------------------------------------- NTL, Inc. 4 259,147 15,406,289 ----------------------------------------------------------------------------------------------------------------- Occidental Petroleum Corp. 27,987 1,288,801 ----------------------------------------------------------------------------------------------------------------- Orbital Sciences Corp 4 59,342 743,555 ----------------------------------------------------------------------------------------------------------------- OTP Bank Rt, GDR 4 136,908 5,132,681 ----------------------------------------------------------------------------------------------------------------- Phelps Dodge Corp. 4 14,500 1,184,070 ----------------------------------------------------------------------------------------------------------------- Pioneer Cos., Inc. 4 165,394 875,761 ----------------------------------------------------------------------------------------------------------------- Polski Koncern Naftowy Orlen SA, GDR 4 278,793 4,070,378 ----------------------------------------------------------------------------------------------------------------- Polymer Group, Inc., Cl. A 4 6,989 94,352 ----------------------------------------------------------------------------------------------------------------- Prandium, Inc 4,16 1,019,757 71,383 ----------------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 1,4,16 799,833 -- ----------------------------------------------------------------------------------------------------------------- Pulte Homes, Inc. 23,526 1,308,046 ----------------------------------------------------------------------------------------------------------------- Sears Roebuck & Co. 27,026 1,161,037 ----------------------------------------------------------------------------------------------------------------- Southern Pacific Funding Corp., Liquidating Trust 1,4,12 7,946,502 -- ----------------------------------------------------------------------------------------------------------------- St. Paul Cos., Inc. 30,600 1,224,306 ----------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 4 10,078 262,028 ----------------------------------------------------------------------------------------------------------------- Telekomunikacja Polska SA, GDR 4 952,980 3,840,509 ----------------------------------------------------------------------------------------------------------------- Toys 'R' Us, Inc. 4 82,900 1,392,720 ----------------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., Cl. B 71,600 1,236,532
42 | OPPENHEIMER STRATEGIC INCOME FUND
MARKET VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 1,4 56,750 $ 419,950 ----------------------------------------------------------------------------------------------------------------- TXU Corp. 46,000 1,318,360 ----------------------------------------------------------------------------------------------------------------- UnitedGlobalCom, Inc., Cl. A 4 2,261,452 19,199,727 ----------------------------------------------------------------------------------------------------------------- Viatel Holding Ltd. (Bermuda) 1,4 37,131 57,553 ----------------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 60,000 716,400 ----------------------------------------------------------------------------------------------------------------- Wilshire Financial Services Group, Inc. 4 560,000 5,527,200 ----------------------------------------------------------------------------------------------------------------- WRC Media Corp. 1,4 15,559 311 ----------------------------------------------------------------------------------------------------------------- XO Communications, Inc. 4 28,777 143,309 --------------- Total Common Stocks (Cost $183,115,002) 193,449,987 UNITS ----------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--1.4% ----------------------------------------------------------------------------------------------------------------- AboveNet, Inc. Wts.: Exp. 9/8/08 1,4 3,961 114,869 Exp. 9/8/10 1,4 4,660 91,468 ----------------------------------------------------------------------------------------------------------------- American Tower Corp. Wts., Exp. 8/1/08 1,4 6,000 855,000 ----------------------------------------------------------------------------------------------------------------- ASAT Finance LLC Wts., Exp. 11/1/06 1,4 2,200 2,475 ----------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. Wts.: Exp. 9/1/04 4 36,061 2,571 Exp. 5/1/05 1,4 27,926 279 ----------------------------------------------------------------------------------------------------------------- Citigroup, Inc. Litigation Wts., Exp. 12/31/50 4 48,080 47,118 ----------------------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 1,4 6,350 64 ----------------------------------------------------------------------------------------------------------------- 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 ----------------------------------------------------------------------------------------------------------------- Focal Communications Corp. Wts.: Exp. 6/19/06 4 6,601 23,764 Exp. 6/19/08 4 33,008 -- ----------------------------------------------------------------------------------------------------------------- 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
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------
MARKET VALUE UNITS SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES Continued ----------------------------------------------------------------------------------------------------------------- McLeodUSA, Inc. Wts., Exp. 4/16/07 4 14,440 $ 7,220 ----------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc.: Cl. A Wts., Exp. 5/1/05 4 16,888 76,971 Cl. B Wts., Exp. 5/1/08 4 28,147 149,917 ----------------------------------------------------------------------------------------------------------------- Microcell Telecommunications, Inc. Rts., Exp. 4/28/04 4 91,584 41,811 ----------------------------------------------------------------------------------------------------------------- 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 22,314,462 ----------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I, Inc. Basket of Countries Wts., Exp. 3/4/05 4 2,187,446 32,150,863 ----------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital III, Inc. All Country Asia Free (except for Japan) Wts., Exp. 3/4/05 4 2,733,566 35,335,988 ----------------------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 1,4 8,000 80 ----------------------------------------------------------------------------------------------------------------- PLD Telekom, Inc. Wts., Exp. 6/1/06 (cv. into Metromedia International Group, Inc.) 1,4 16,650 167 ----------------------------------------------------------------------------------------------------------------- Protection One, Inc. Wts., 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 5 ----------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 1,4 16,357 8,179 ----------------------------------------------------------------------------------------------------------------- Telergy, Inc. Wts., Exp. 9/25/10 1,4 18,175 -- ----------------------------------------------------------------------------------------------------------------- Telus Corp. Wts., Exp. 9/15/05 4 12,147 78,230 ----------------------------------------------------------------------------------------------------------------- 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 3,126 ----------------------------------------------------------------------------------------------------------------- XO Communications, Inc.: Cl. A Wts., Exp. 1/16/10 4 57,557 120,870 Cl. B Wts., Exp. 1/16/10 4 43,168 71,227 Cl. C Wts., Exp. 1/16/10 4 43,168 49,643 ----------------------------------------------------------------------------------------------------------------- Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 1,4 44,000 22,000 ---------------- Total Rights, Warrants and Certificates (Cost $64,979,842) 91,574,252 PRINCIPAL AMOUNT ----------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--10.8% ----------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Argentine Peso Unsec. Linked Nts., 7/6/04 $ 3,325,000 3,580,693 Brazilian Real Linked Nts., 23.18%, 5/20/04 8 [BRR] 7,236,940 2,435,237 Peruvian Sol Unsec. Linked Nts., 0.77%, 7/14/04 [PEN] 33,968,057 9,729,001 ----------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc., Brazilian Real Unsec. Linked Nts.: 0.79%, 9/15/04 73,229,529 73,463,863 0.93%, 1/14/05 16,249,967 15,772,218
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Unsec. Credit Linked Nts.: 15%, 3/15/07 [COP] 31,638,685,000 $ 13,096,508 15%, 4/27/12 [COP] 18,124,500,000 7,730,903 15%, 4/27/12 [COP] 35,395,000,000 15,097,537 ----------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Cayman), Russia (Government of) Linked Bonds: Series 24, 15%, 9/2/05 [RUR] 82,770,000 3,294,083 Series 26, 15%, 3/11/05 [RUR] 83,913,000 3,221,289 ----------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Nassau Branch), U.S. Dollar/ Philippine Peso Linked Nts., 12.50%, 3/5/12 2 [PHP] 804,270,000 14,070,967 ----------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International, U.S. Dollar/ South African Rand Linked Nts., Series FBi 43, 1.10%, 5/23/22 2 13,740,000 13,282,458 ----------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Basket of Emerging Market Currencies Linked Nts., 0.75%, 4/26/04 37,544,932 38,367,166 Turkey (Republic of) Treasury Bills Linked Nts., 23.72%, 4/27/05 11,084,191 8,973,414 ----------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Indonesia (Republic of) Recapitalization Linked Nts.: 13.15%, 3/22/10 7,546,272 7,998,584 13.15%, 9/15/10 14,093,095 14,846,119 14.275%, 12/22/13 5,687,574 6,470,884 14.275%, 12/23/13 8,273,242 9,648,043 15.425%, 9/22/10 7,296,142 8,392,162 ----------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Moscow (City of) Linked Nts.: 10%, 5/27/05 2 [RUR] 110,137,000 4,080,078 15%, 9/2/05 [RUR] 353,400,000 14,049,134 ----------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Venezuela (Republic of) Credit Linked Nts.: 7.32%, 12/20/06 2 28,930,000 29,332,127 8.15%, 9/20/06 2 16,900,000 17,547,270 11.63%, 6/15/04 2 10,685,000 10,857,029 ----------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: EMBI Plus Turkey (Republic of) Linked Certificate of Deposit, 1.50%, 4/22/04 14,367,448 11,673,269 Polish Zloty/Euro Linked Certificate of Deposit, 0.91%, 4/7/04 6,425,000 6,275,021 TRAC-X NA High Yield T1 Credit Linked Bonds, 7.375%, 3/25/09 7 70,000,000 71,137,500 TRAC-X NA High Yield T3 Credit Linked Bonds, 8%, 3/25/09 7 187,000,000 188,636,250 Venezuela (Republic of) Credit Linked Default Nts., 7.86%, 9/20/05 2 15,225,000 15,680,228 ----------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, Venezuela (Republic of) Credit Linked Certificate of Deposit: 7.81%, 9/20/05 2 15,385,000 15,803,472 7.96%, 9/20/05 2 15,225,000 15,652,823 ----------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., High Yield Targeted Return Index Securities, Series 2004-1, 9.051%, 6/1/14 1,17 5,720,000 5,694,260 ----------------------------------------------------------------------------------------------------------------- Lehman Brothers International, Turkey (Republic of) Treasury Bills Linked Nts., 20.91%, 8/25/05 11,496,363 8,763,665 ----------------------------------------------------------------------------------------------------------------- Oak Capital Ltd. Catastrophe Linked Nts., 5.92%, 6/15/07 1,2 250,000 256,750
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL MARKET VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------- Parametric RE Ltd. Catastrophe Linked Nts., 5.52%, 11/19/07 2,7 $ 2,400,000 $ 2,480,040 ----------------------------------------------------------------------------------------------------------------- Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.: Series 2002, Cl. A-A, 7.17%, 6/15/06 2,7 250,000 256,388 Series 2002-1, Cl. E-A, 5.36%, 6/15/06 2 1,500,000 1,513,200 Series 2003-II, Cl. A, 7.11%, 6/15/06 1,2 6,250,000 6,439,375 Series 2003-II, Cl. B, 6.11%, 6/15/06 1,2 6,250,000 6,403,125 Series 2003-II, Cl. C, 6.86%, 6/15/06 1,2 6,250,000 6,365,313 ----------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Fujiyama Ltd. Catastrophe Linked Nts., 5.12%, 5/16/05 2,7 2,500,000 2,520,800 --------------- Total Structured Notes (Cost $704,062,317) 710,888,246 DATE STRIKE CONTRACTS ----------------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.1% ----------------------------------------------------------------------------------------------------------------- Euro Call 1,4 6/28/04 1.24EUR 152,000,000 3,348,256 ----------------------------------------------------------------------------------------------------------------- Japanese Yen Call 1,4 4/22/04 102.92JPY 44,106,000,000 1,411,392 ----------------------------------------------------------------------------------------------------------------- Japanese Yen Call 1,4 5/13/04 102.50JPY 5,005,000,000 495,495 ---------------- Total Options Purchased (Cost $8,194,583) 5,255,143 PRINCIPAL AMOUNT ----------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--6.2% ----------------------------------------------------------------------------------------------------------------- Undivided interest of 26.70% in joint repurchase agreement (Principal Amount/ Market Value $1,535,928,000, with a maturity value of $1,535,971,945) with PaineWebber, Inc., 1.03%, dated 3/31/04, to be repurchased at $410,102,733 on 4/1/04, collateralized by Federal National Mortgage Assn., 4.50%, 10/1/33--3/1/34, with a value of $1,568,601,295 (Cost $410,091,000) $ 410,091,000 410,091,000 ----------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $7,250,899,847) 110.0% 7,266,904,419 ----------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (10.0) (686,080,389) --------------------------------- NET ASSETS 100.0% $ 6,580,824,030 =================================
46 | OPPENHEIMER STRATEGIC INCOME FUND FOOTNOTES TO STATEMENT OF INVESTMENTS Principal amount, strike, contracts and notional amount are reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso IDR Indonesia Rupiah AUD Australian Dollar INR Indian Rupee BRR Brazilian Real JPY Japanese Yen CAD Canadian Dollar KRW South Korean Won CHF Swiss Franc NZD New Zealand Dollar COP Colombian Peso PEN Peruvian New Sol DEM German Mark PHP Philippines Peso DKK Danish Krone PLZ Polish Zloty EUR Euro RUR Russian Ruble FRF French Franc SEK Swedish Krona GBP British Pound Sterling TWD New Taiwan Dollar HUF Hungary Forints UYU Uruguay Peso 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. Issue is in default. See Note 1 of Notes to Financial Statements. 4. Non-income producing security. 5. When-issued security to be delivered and settled after March 31, 2004. See Note 1 of Notes to Financial Statements. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $33,262,268 or 0.51% of the Fund's net assets as of March 31, 2004. 7. 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 $497,983,687 or 7.57% of the Fund's net assets as of March 31, 2004. 8. Zero coupon bond reflects effective yield on the date of purchase. 9. Securities with an aggregate market value of $25,447,746 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 10. A sufficient amount of liquid assets has been designated to cover outstanding written options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM MARKET VALUE CALLS SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1 -------------------------------------------------------------------------------------------------------------------- Japanese Yen [JPY] 84,560,000JPY 4/28/04 141.00JPY/EUR 18 $1,178,419 $ 7,272 ------------------------- CONTRACTS PUTS SUBJECT TO PUT -------------------------------------------------------------------------------------------------------------------- Japanese Yen [JPY] 9,703,000,000JPY 6/1/04 120.00JPY 1,811,228 19,406 Japanese Yen [JPY] 7,130,000,000JPY 6/10/04 111.00JPY 995,630 128,340 ------------------------- 2,806,858 147,746 ------------------------- $3,985,277 $155,018 =========================
11. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of Notes to Financial Statements. 12. Received as the result of issuer reorganization. Currently has minimal market value. 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. 47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------- 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 March 31, 2004. The aggregate fair value of securities of affiliated companies held by the Fund as of March 31, 2004 amounts to $71,383. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES SEPTEMBER 30, GROSS GROSS MARCH 31, UNREALIZED 2003 ADDITIONS REDUCTIONS 2004 DEPRECIATION ------------------------------------------------------------------------------------------------- STOCKS AND/OR WARRANTS Prandium, Inc. 1,019,757 -- -- 1,019,757 $11,914,617 Premier Holdings Ltd. 799,833 -- -- 799,833 -- ----------- $11,914,617 ===========
17. Interest rate represents a weighted average rate comprised of the underlying securities. 18. Represents cross currency strike price. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 48 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited --------------------------------------------------------------------------------
March 31, 2004 ------------------------------------------------------------------------------------------------------ ASSETS ------------------------------------------------------------------------------------------------------ Investments, at value (including securities loaned of approximately $308,299,000) --see accompanying statement of investments: Unaffiliated companies (cost $7,238,913,847) $ 7,266,833,036 Affiliated companies (cost $11,986,000) 71,383 ---------------- 7,266,904,419 ------------------------------------------------------------------------------------------------------ Cash--foreign currencies (cost $275,695) 279,559 ------------------------------------------------------------------------------------------------------ Collateral for securities loaned 314,320,934 ------------------------------------------------------------------------------------------------------ Unrealized appreciation on foreign currency contracts 18,210,416 ------------------------------------------------------------------------------------------------------ Receivables and other assets: Interest, dividends and principal paydowns 84,710,877 Investments sold (including $2,772,722 sold on a when-issued basis) 58,385,134 Shares of beneficial interest sold 7,692,613 Futures margins 1,063,528 Other 74,933 ---------------- Total assets 7,751,642,413 ------------------------------------------------------------------------------------------------------ LIABILITIES ------------------------------------------------------------------------------------------------------ Bank overdraft 66,991,980 ------------------------------------------------------------------------------------------------------ Return of collateral for securities loaned 314,320,934 ------------------------------------------------------------------------------------------------------ Unrealized depreciation on foreign currency contracts 4,748,912 ------------------------------------------------------------------------------------------------------ Options written, at value (premiums received $3,985,277) --see accompanying statement of investments 155,018 ------------------------------------------------------------------------------------------------------ Swaptions written, at value (premiums received $395,561) 61,165 ------------------------------------------------------------------------------------------------------ Payables and other liabilities: Investments purchased (including $668,872,342 purchased on a when-issued basis) 720,446,302 Swap contracts 27,835,618 Closed foreign currency contracts 14,227,782 Shares of beneficial interest redeemed 11,879,538 Dividends 4,563,760 Distribution and service plan fees 3,951,652 Transfer and shareholder servicing agent fees 880,261 Shareholder communications 490,063 Trustees' compensation 98,160 Other 167,238 ---------------- Total liabilities 1,170,818,383 ------------------------------------------------------------------------------------------------------ NET ASSETS $ 6,580,824,030 ================
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------ COMPOSITION OF NET ASSETS ------------------------------------------------------------------------------------------------------ Par value of shares of beneficial interest $ 1,540,672 ------------------------------------------------------------------------------------------------------ Additional paid-in capital 7,562,563,922 ------------------------------------------------------------------------------------------------------ Accumulated net investment loss (26,018,552) ------------------------------------------------------------------------------------------------------ Accumulated net realized loss on investments and foreign currency transactions (965,123,578) ------------------------------------------------------------------------------------------------------ Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 7,861,566 ---------------- NET ASSETS $ 6,580,824,030 ================ ------------------------------------------------------------------------------------------------------ NET ASSET VALUE PER SHARE ------------------------------------------------------------------------------------------------------ Class A Shares: Net asset value and redemption price per share (based on net assets of $4,099,786,715 and 960,324,483 shares of beneficial interest outstanding) $4.27 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $4.48 ------------------------------------------------------------------------------------------------------ Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,478,907,843 and 345,157,263 shares of beneficial interest outstanding) $4.28 ------------------------------------------------------------------------------------------------------ Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $744,562,306 and 174,746,747 shares of beneficial interest outstanding) $4.26 ------------------------------------------------------------------------------------------------------ Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $41,270,331 and 9,660,759 shares of beneficial interest outstanding) $4.27 ------------------------------------------------------------------------------------------------------ Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $216,296,835 and 50,783,055 shares of beneficial interest outstanding) $4.26
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 50 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2004 --------------------------------------------------------------------------------------- INVESTMENT INCOME --------------------------------------------------------------------------------------- Interest $ 176,383,066 --------------------------------------------------------------------------------------- Fee income 6,749,235 --------------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $127,019) 3,352,331 --------------------------------------------------------------------------------------- Portfolio lending fees 452,831 -------------- Total investment income 186,937,463 --------------------------------------------------------------------------------------- EXPENSES --------------------------------------------------------------------------------------- Management fees 17,406,966 --------------------------------------------------------------------------------------- Distribution and service plan fees: Class A 4,954,229 Class B 7,942,243 Class C 3,628,086 Class N 86,802 --------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 2,963,656 Class B 974,189 Class C 455,427 Class N 54,130 Class Y 914,124 --------------------------------------------------------------------------------------- Shareholder communications: Class A 200,683 Class B 80,884 Class C 31,010 Class N 1,776 --------------------------------------------------------------------------------------- Custodian fees and expenses 273,373 --------------------------------------------------------------------------------------- Trustees' compensation 90,702 --------------------------------------------------------------------------------------- Other 421,840 -------------- Total expenses 40,480,120 Less reduction to custodian expenses (24,550) Less voluntary waiver of transfer and shareholder servicing agent fees: Class A (62,464) Class B (11,493) Class C (4,537) Class N (347) Class Y (508,361) -------------- Net expenses 39,868,368 --------------------------------------------------------------------------------------- NET INVESTMENT INCOME 147,069,095
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited / Continued --------------------------------------------------------------------------------
--------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) --------------------------------------------------------------------------------------- Net realized gain (loss) on: Investments (including premiums on options exercised) $ 69,700,960 Closing of futures contracts (13,781,424) Closing and expiration of option contracts written (459,305) Foreign currency transactions 158,521,673 -------------- Net realized gain 213,981,904 --------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments 114,127,845 Translation of assets and liabilities denominated in foreign currencies (13,492,233) Futures contracts (17,742,512) -------------- Net change in unrealized appreciation (depreciation) 82,893,100 --------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 443,944,099 =============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 52 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPTEMBER 30, (UNAUDITED) 2003 ------------------------------------------------------------------------------------------------- OPERATIONS ------------------------------------------------------------------------------------------------- Net investment income $ 147,069,095 $ 387,022,687 ------------------------------------------------------------------------------------------------- Net realized gain (loss) 213,981,904 (178,426,068) ------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) 82,893,100 863,388,406 ----------------------------------- Net increase in net assets resulting from operations 443,944,099 1,071,985,025 ------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS ------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (94,647,949) (228,607,620) Class B (31,526,304) (101,542,711) Class C (14,431,808) (35,917,109) Class N (742,440) (1,359,641) Class Y (5,322,969) (12,603,902) ------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS ------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 45,813,237 271,084,579 Class B (279,504,640) (358,847,116) Class C 13,808,045 59,394,216 Class N 9,645,676 12,050,473 Class Y (34,126,124) 65,509,777 ------------------------------------------------------------------------------------------------- NET ASSETS ------------------------------------------------------------------------------------------------- Total increase 52,908,823 741,145,971 ------------------------------------------------------------------------------------------------- Beginning of period 6,527,915,207 5,786,769,236 ----------------------------------- End of period (including accumulated net investment loss of $26,018,552 and $26,416,177, respectively) $ 6,580,824,030 $ 6,527,915,207 ===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 53 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPT. 30, CLASS A (UNAUDITED) 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $4.08 $3.64 $3.72 $4.18 $4.33 $4.59 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .10 .26 .32 .36 .43 .42 Net realized and unrealized gain (loss) .19 .43 (.08) (.43) (.17) (.29) ------------------------------------------------------------------------------- Total from investment operations .29 .69 .24 (.07) .26 .13 ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.10) (.25) (.30) (.26) (.41) (.39) Tax return of capital distribution -- -- (.02) (.13) -- -- ------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.10) (.25) (.32) (.39) (.41) (.39) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $4.27 $4.08 $3.64 $3.72 $4.18 $4.33 =============================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 1 7.14% 19.59% 6.63% (1.79)% 6.18% 2.91% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $4,099,787 $3,873,018 $3,202,825 $3,186,441 $3,431,763 $3,578,105 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $4,016,837 $3,521,307 $3,263,490 $3,349,859 $3,517,517 $3,798,380 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 2 Net investment income 4.69% 6.60% 7.91% 8.90% 9.98% 9.34% Total expenses 0.96% 3,4 0.95% 3 1.01% 3 0.93% 3 0.95% 3 0.94% 3 ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 42% 104% 117% 209% 136% 172%
1. Assumes an investment on the business day before the first day of the fiscal period, with all dividend 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%. 4. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 54 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPT. 30, CLASS B (UNAUDITED) 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $4.10 $3.66 $3.73 $4.19 $4.34 $4.61 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .08 .22 .28 .33 .39 .39 Net realized and unrealized gain (loss) .18 .44 (.05) (.43) (.17) (.30) ------------------------------------------------------------------------------- Total from investment operations .26 .66 .23 (.10) .22 .09 ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.08) (.22) (.28) (.24) (.37) (.36) Tax return of capital distribution -- -- (.02) (.12) -- -- ------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.08) (.22) (.30) (.36) (.37) (.36) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $4.28 $4.10 $3.66 $3.73 $4.19 $4.34 =============================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 1 6.48% 18.62% 6.11% (2.53)% 5.37% 1.92% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $1,478,908 $1,686,295 $1,847,182 $2,186,638 $2,581,391 $3,380,689 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $1,585,515 $1,757,152 $2,056,449 $2,394,886 $2,907,627 $3,838,145 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 2 Net investment income 4.03% 5.92% 7.22% 8.14% 9.01% 8.55% Total expenses 1.68% 3,4 1.68% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3 ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 42% 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%. 4. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 55 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPT. 30, CLASS C (UNAUDITED) 2003 2002 2001 2000 1999 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $4.07 $3.64 $3.71 $4.17 $4.32 $4.59 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .08 .23 .29 .33 .39 .39 Net realized and unrealized gain (loss) .19 .42 (.06) (.43) (.17) (.30) ------------------------------------------------------------------------------- Total from investment operations .27 .65 .23 (.10) .22 .09 ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.08) (.22) (.28) (.24) (.37) (.36) Tax return of capital distribution -- -- (.02) (.12) -- -- ------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.08) (.22) (.30) (.36) (.37) (.36) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $4.26 $4.07 $3.64 $3.71 $4.17 $4.32 =============================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 1 6.77% 18.45% 6.15% (2.54)% 5.39% 1.92% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $744,562 $698,196 $568,487 $553,399 $548,332 $610,686 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $725,052 $623,598 $571,292 $554,279 $568,742 $650,197 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 2 Net investment income 3.95% 5.85% 7.15% 8.15% 9.21% 8.58% Total expenses 1.69% 3,4 1.69% 3 1.75% 3 1.68% 3 1.71% 3 1.69% 3 ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 42% 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%. 4. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 56 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPT. 30, CLASS N (UNAUDITED) 2003 2002 2001 1 ------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $4.08 $3.65 $3.72 $4.13 ------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .08 .25 .30 .22 Net realized and unrealized gain (loss) .20 .42 (.05) (.41) --------------------------------------------------------- Total from investment operations .28 .67 .25 (.19) ------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.09) (.24) (.30) (.15) Tax return of capital distribution -- -- (.02) (.07) ----------------------------------------------------------- Total dividends and/or distributions to shareholders (.09) (.24) (.32) (.22) ------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $4.27 $4.08 $3.65 $3.72 =========================================================== ------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 6.92% 18.82% 6.70% (4.61)% ------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $41,270 $30,110 $15,508 $3,215 ------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $34,750 $22,627 $ 8,954 $1,348 ------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.15% 6.08% 7.07% 9.74% Total expenses 1.37% 4,5 1.34% 4 1.22% 4 0.98% 4 ------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 42% 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, with all dividends and distribu- tions 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%. 5. Voluntary waiver of transfer agent fees less than 0.01%. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 57 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2004 SEPT. 30, CLASS Y (UNAUDITED) 2003 2002 2001 2000 1999 -------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $4.07 $3.64 $3.71 $4.17 $4.32 $4.59 -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .10 .26 .32 .36 .46 .44 Net realized and unrealized gain (loss) .19 .42 (.06) (.42) (.19) (.30) ------------------------------------------------------------------------ Total from investment operations .29 .68 .26 (.06) .27 .14 -------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.10) (.25) (.31) (.26) (.42) (.41) Tax return of capital distribution -- -- (.02) (.14) -- -- ------------------------------------------------------------------------ Total dividends and/or distributions to shareholders (.10) (.25) (.33) (.40) (.42) (.41) -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $4.26 $4.07 $3.64 $3.71 $4.17 $4.32 ======================================================================== -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 1 7.18% 19.33% 7.06% (1.58)% 6.55% 3.07% -------------------------------------------------------------------------------------------------------------------------- -------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $216,297 $240,296 $152,767 $103,858 $75,748 $48,566 -------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $223,398 $194,308 $127,992 $ 94,400 $57,127 $32,310 -------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 2 Net investment income 4.81% 6.57% 7.86% 9.09% 11.39% 10.16% Total expenses 1.37% 1.41% 1.74% 1.35% 0.83% 0.57% Expenses after expense reimbursement or fee waiver and reduction to custodian expenses 0.91% 0.91% 0.90% 0.78% N/A 3 N/A 3 -------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 42% 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. 58 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. 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 with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. 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 may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective foreign exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). -------------------------------------------------------------------------------- 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, 59 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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 matures. As of March 31, 2004, the market value of these securities comprised 10.8% of the Fund's net assets and resulted in unrealized gains of $6,825,929. The Fund also hedges a portion of the foreign currency exposure generated by these securities, as discussed in Note 5. -------------------------------------------------------------------------------- SECURITIES ON A WHEN ISSUED BASIS. Delivery and payment for securities that have been purchased by the Fund on a when issued 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 when issued 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 March 31, 2004, the Fund had entered into net when issued commitments of $666,099,620. In connection with its ability to purchase securities on a when issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as fee 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 March 31, 2004, securities with an aggregate market value of $99,045,029, representing 1.51% of the Fund's net assets, were in default. 60 | 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. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes primarily due to the recognition of paydown gains and losses as capital gain or loss for tax purposes and the recognition of certain foreign currency gains (losses) as ordinary income (loss) for 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. As of March 31, 2004, the Fund had available for federal income tax purposes an estimated unused capital loss carryforward of $916,565,301 expiring by 2011. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, 61 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended March 31, 2004 and the year ended September 30, 2003, the Fund used $213,981,904 and $0, respectively, of carryforward to offset capital gains realized. As of September 30, 2003, the Fund had available for federal income tax purposes post-October losses of 108,416,056 and unused capital loss carryforwards 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 ============== -------------------------------------------------------------------------------- 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 Oppenheimer funds selected by the Trustee. 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, if applicable, 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 62 | OPPENHEIMER STRATEGIC INCOME FUND estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The 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:
SIX MONTHS ENDED MARCH 31, 2004 YEAR ENDED SEPTEMBER 30, 2003 SHARES AMOUNT SHARES AMOUNT --------------------------------------------------------------------------------------------- CLASS A Sold 124,543,295 $ 521,443,738 239,075,415 $ 920,837,843 Dividends and/or distributions reinvested 15,451,763 64,833,972 39,925,641 153,907,293 Redeemed (128,818,599) (540,464,473) (208,815,336) (803,660,557) ------------------------------------------------------------------ Net increase 11,176,459 $ 45,813,237 70,185,720 $ 271,084,579 ================================================================== --------------------------------------------------------------------------------------------- CLASS B Sold 20,117,349 $ 84,395,650 63,952,473 $ 246,602,223 Dividends and/or distributions reinvested 4,634,601 19,494,602 15,896,757 61,263,462 Redeemed (91,370,524) (383,394,892) (173,280,500) (666,712,801) ------------------------------------------------------------------ Net decrease (66,618,574) $(279,504,640) (93,431,270) $(358,847,116) ================================================================== --------------------------------------------------------------------------------------------- CLASS C Sold 20,794,627 $ 86,945,226 44,468,531 $ 171,414,411 Dividends and/or distributions reinvested 2,413,113 10,100,968 6,320,901 24,316,496 Redeemed (19,890,711) (83,238,149) (35,649,094) (136,336,691) ------------------------------------------------------------------ Net increase 3,317,029 $ 13,808,045 15,140,338 $ 59,394,216 ================================================================== --------------------------------------------------------------------------------------------- CLASS N Sold 3,339,610 $ 14,053,420 4,309,056 $ 16,669,277 Dividends and/or distributions reinvested 166,082 697,680 334,213 1,294,796 Redeemed (1,218,546) (5,105,424) (1,522,702) (5,913,600) ------------------------------------------------------------------ Net increase 2,287,146 $ 9,645,676 3,120,567 $ 12,050,473 ================================================================== --------------------------------------------------------------------------------------------- CLASS Y Sold 12,300,469 $ 51,416,552 41,339,112 $ 159,458,161 Dividends and/or distributions reinvested 918,051 3,837,796 2,467,304 9,527,352 Redeemed (21,451,044) (89,380,472) (26,811,939) (103,475,736) ------------------------------------------------------------------ Net increase (decrease) (8,232,524) $ (34,126,124) 16,994,477 $ 65,509,777 =================================================================
63 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the six months ended March 31, 2004, were $2,352,808,416 and $2,940,540,977, respectively. -------------------------------------------------------------------------------- 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 six months ended March 31, 2004, the Fund paid $4,794,165 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 Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Fund's principal underwriter in the continuous public offering of the Fund's classes of shares. -------------------------------------------------------------------------------- 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. The Distributor currently uses the fees it receives from the Fund to pay brokers, dealers and other financial institutions for personal services and account maintenance services they provide for their customers who hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent years. Fees incurred by the Fund under the plan are detailed in the Statement of Operations. -------------------------------------------------------------------------------- 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 to compensate the Distributor for its services in connection with the distribution of these shares and servicing accounts. Under the plans, the Fund pays the Distributor an annual 64 | OPPENHEIMER STRATEGIC INCOME FUND asset-based sales charge of 0.75% per year on Class B shares and on Class C shares and 0.25% per year on Class N shares. The Distributor also receives a service fee of up to 0.25% per year under each plan. If either the Class B, Class C or Class N plan is terminated by the Fund or by the shareholders of a class, the Board of Trustees and its independent trustees must determine whether the Distributor shall be entitled to payment from the Fund of all or a portion of the service fee and/or asset-based sales charge in respect to shares sold prior to the effective date of such termination. The Distributor's aggregate uncompensated expenses under the plan at March 31, 2004 for Class B, Class C and Class N shares were $98,319,670, $20,040,615 and $681,110, respectively. Fees incurred by the Fund under the plans are detailed in the Statement of Operations. -------------------------------------------------------------------------------- SALES CHARGES. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the table below for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR -------------------------------------------------------------------------------------------------------- March 31, 2004 $941,872 $11,991 $2,052,375 $60,303 $6,604
-------------------------------------------------------------------------------- 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 gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. 65 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS Continued As of March 31, 2004, the Fund had outstanding foreign currency contracts as follows:
VALUATION CONTRACT AS OF EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) 2004 APPRECIATION DEPRECIATION --------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Argentine Peso [ARP] 5/28/04-8/2/04 70,821ARP $ 24,648,567 $1,672,303 $ -- Australian Dollar [AUD] 4/14/04 28,000AUD 21,339,754 464,914 -- Brazilian Real [BRR] 1/24/05-1/26/05 108,650BRR 33,651,877 -- 548,846 British Pound Sterling [GBP] 4/14/04 11,000GBP 20,191,036 253,536 -- Euro [EUR] 7/15/04 25,180EUR 30,865,006 -- 1,000,546 Indonesia Rupiah [IDR] 9/24/04 33,160,000IDR 3,872,259 103,221 -- Japanese Yen [JPY] 5/12/04-4/01/05 80,860,960JPY 494,961,806 14,452,180 -- New Taiwan Dollar [TWD] 9/24/04 451,260TWD 13,842,762 109,956 -- New Zealand Dollar [NZD] 4/14/04 31,415NZD 20,879,062 442,034 -- Peruvian New Sol [PEN] 4/16/04 14,682PEN 4,241,338 11,901 -- Polish Zloty [PLZ] 6/11/04 65,076PLZ 16,699,265 40,564 -- South Korean Won [KRW] 9/24/04 11,988,000KRW 10,312,185 89,185 -- ------------------------ 17,639,794 1,549,392 ------------------------ CONTRACTS TO SELL Argentine Peso [ARP] 4/7/04 11,229ARP 3,934,647 -- 39,920 British Pound Sterling [GBP] 6/15/04-9/9/04 14,980GBP 27,201,030 103,754 -- Canadian Dollar [CAD] 8/23/04 20,695CAD 15,686,457 -- 295,835 Colombian Peso [COP] 4/26/04 22,592,400COP 8,406,112 8,189 -- Euro [EUR] 4/13/04-6/23/04 339,620EUR 416,549,591 458,679 1,573,254 Indonesia Rupiah [IDR] 6/18/04 87,327,737IDR 10,197,697 -- 294,347 Japanese Yen [JPY] 4/14/04-3/22/05 3,595,000JPY 34,726,669 -- 710,557 Swiss Franc [CHF] 4/14/04 28,000CHF 22,109,968 -- 285,607 ------------------------ 570,622 3,199,520 ------------------------ Total unrealized appreciation and depreciation $18,210,416 $4,748,912 ========================
-------------------------------------------------------------------------------- 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. 66 | OPPENHEIMER STRATEGIC INCOME FUND 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. 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 March 31, 2004, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2004 (DEPRECIATION) -------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Euro-Bundesobligation 6/8/04 132 $ 18,828,269 $ 121,641 NASDAQ 100 Index 6/17/04 132 19,027,800 165,788 Nikkei 225 Index 6/10/04 27 1,587,600 73,797 U.S. Long Bonds 6/21/04 1,621 184,895,313 2,901,823 U.S. Treasury Nts., 10 yr 6/21/04 1,740 200,806,875 939,934 ------------ 4,202,983 ------------ CONTRACTS TO SELL DAX Index 6/18/04 186 22,157,524 76,287 FTSE 100 Index 6/18/04 13 1,050,534 13,645 Japan (Government of) Bonds, 10 yr. 6/10/04 84 111,060,701 686,028 MIB 30 Index 6/18/04 136 22,390,456 (132,889) Standard & Poor's 500 E-Mini 6/18/04 226 12,712,500 (235,322) Standard & Poor's 500 Index 6/17/04 369 103,772,025 (872,827) U.S. Treasury Nts., 2 yr 6/30/04 752 161,809,250 (606,288) U.S. Treasury Nts., 5 yr 6/21/04 1,944 220,765,500 (1,132,944) United Kingdom Long Gilt 6/28/04 25 4,998,952 (10,929) ------------ (2,215,239) ------------ $ 1,987,744 ============
67 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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. 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. Contracts subject to call, expiration date, exercise price, premium received and market value are detailed in a note to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities. 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 six months ended March 31, 2004 was as follows:
CALL OPTIONS PUT OPTIONS -------------------------------- ---------------------------------- PRINCIPAL/ PRINCIPAL/ NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS -------------------------------------------------------------------------------------------------------- Options outstanding as of September 30, 2003 31,328,426,104 $5,007,567 9,711,600,000 $1,846,057 Options written -- -- 7,130,000,000 995,631 Options closed or expired (27,586,104) (502,503) (8,600,000) (34,830) Options exercised (31,216,280,000) (3,326,645) -- -- -------------------------------------------------------------------------- Options outstanding as of March 31, 2004 84,560,000 $1,178,419 16,833,000,000 $2,806,858 ==========================================================================
68 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 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. As of March 31, 2004, the Fund had entered into the following interest rate swap agreements:
FLOATING RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION UNREALIZED COUNTERPARTY AMOUNT 2004 2004 RATE INDEX DATES DEPRECIATION ----------------------------------------------------------------------------------------------------------------- Deutsche Three-Month Bank AG $ 43,910,000 3.1025% 1.12% LIBOR Flat 3/4/08 $ 401,180 JPMorgan Three-Month Chase Bank 22,120,000 3.052 1.11 LIBOR Flat 3/10/08 155,482 JPMorgan Six-Month Chase Bank 11,025,000EUR 3.135 2.081 LIBOR flat 7/14/08 38,978 JPMorgan Six-Month Chase Bank 3,075,000,000HUF 9.13 7.00 LIBOR flat 7/14/08 998,759 JPMorgan Three-Month Chase Bank 253,000,000 2.32 1.17 LIBOR Flat 11/10/05 3,216,100 JPMorgan Three-Month Chase Bank 430,800,000 3.82 1.17 LIBOR Flat 11/10/08 14,359,999 ----------- $19,170,498 =========== Index abbreviation: LIBOR London-Interbank Offered Rate
-------------------------------------------------------------------------------- 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 69 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 9. CREDIT SWAP CONTRACTS Continued counterparty fails to meet its obligations). The Fund pays an annual interest fee on the notional amount in exchange for the counterparty paying in a potential credit event. During the six months ended March 31, 2004, the Fund entered into transactions to hedge credit risk. Information regarding the credit swaps is as follows:
UNREALIZED EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES AMOUNT MARCH 31, 2004 (DEPRECIATION) --------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Indonesia (Republic of) Credit Bonds 1/15/09 609,375,000INR $ (63,916) $ (63,916) Deutsche Bank AG, Peru (Republic of) Credit Bonds 10/20/08 8,300,000 30,114 30,114 Deutsche Bank AG, Philippines (Republic of) 5 yr. Credit Nts. 7/25/08 15,770,000 (317,041) (317,041) Deutsche Bank AG, Philippines (Republic of) 10 yr. Credit Bonds 7/25/13 15,770,000 518,455 518,455 Deutsche Bank AG, Russia Federation Credit Bonds 9/20/13 18,125,000 (657,636) (657,636) Deutsche Bank AG, Russia Federation Credit Bonds 9/10/13 14,745,000 (481,527) (481,527) Deutsche Bank AG, Russia Federation Credit Bonds 10/30/13 29,885,000 (987,891) (987,891) Deutsche Bank AG, Turkey (Republic of ) Credit Bonds 9/20/10 8,405,000 (1,129,023) (1,129,023) Deutsche Bank AG, Turkey (Republic of ) Credit Bonds 10/10/13 7,450,000 (737,104) (737,104) Deutsche Bank AG, United Mexican States Credit Bonds 9/20/13 14,505,000 (484,973) (484,973) JPMorgan Chase Bank, Hungary (Republic of) Credit Bonds 12/2/13 21,410,000 342,560 342,560 JPMorgan Chase Bank, Jordan (Kingdom of) Credit Nts. 6/6/06 4,350,000 7,104 7,104 JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 17,610,000 (881,455) (881,455) JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 10,000,000 (600,425) (600,425) JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 9/20/08 8,805,000 (458,317) (458,317) JPMorgan Chase Bank, Peru (Republic of) Credit Bonds 12/20/13 17,460,000 536,895 536,895 JPMorgan Chase Bank, Russian Federation Credit Bonds 10/9/13 8,060,000 51,282 51,282 JPMorgan Chase Bank, Russian Federation Credit Bonds 11/19/13 25,735,000 (1,080,870) (1,080,870) JPMorgan Chase Bank, TRAC-X Emerging Markets Credit Nts. 1 12/20/08 10,025,000 (436,258) (436,258) JPMorgan Chase Bank, Turkey (Republic of) Credit Bonds 2/16/06 15,475,000 (278,550) (278,550)
70 | OPPENHEIMER STRATEGIC INCOME FUND
UNREALIZED EXPIRATION NOTIONAL VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES AMOUNT MARCH 31, 2004 (DEPRECIATION) -------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank, Venezuela (Republic of) Credit Bonds 2/20/14 $12,850,000 $(887,744) $ (887,744) JPMorgan Chase Bank, Venezuela (Republic of) Credit Bonds 12/20/06 22,000,000 (668,800) (668,800) ------------ $(8,665,120) ============
1. Comprised of emerging markets credit default swaps of which the underlying is comprised of a pool of emerging market entities and associated benchmark obligations. The Fund received a premium and is obligated to pay a rate that resets every six months primarily based upon default by an emerging market entity within the pool. -------------------------------------------------------------------------------- 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 March 31, 2004, 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 Bank AG 44,445,000 5/17/04 2.825% $395,561 $61,165
-------------------------------------------------------------------------------- 11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY As of March 31, 2004, 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 March 31, 2004 was $471,076,166, which represents 7.16% of the Fund's net assets, of which $279,559 is considered restricted. Information concerning restricted securities and currency is as follows: 71 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 11. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY Continued
UNREALIZED ACQUISITION VALUATION AS OF APPRECIATION SECURITY DATES COST MARCH 31, 2004 (DEPRECIATION) ------------------------------------------------------------------------------------------------------- STOCKS AND/OR WARRANTS Geotek Communications, Inc. Liquidating Trust 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) CURRENCY Argentine Peso 3/17/04 275,695 279,559 3,864
-------------------------------------------------------------------------------- 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 March 31, 2004, the Fund had on loan securities valued at approximately $308,299,000. Cash of $314,320,934 was received as collateral for the loans, and has been invested in approved instruments. -------------------------------------------------------------------------------- 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 (the SEC) 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. The SEC's order requires the Fund's Board of Trustees to adopt operating policies and procedures to administer interfund borrowing and lending. 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 72 | OPPENHEIMER STRATEGIC INCOME 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 six months ended or at March 31, 2004. -------------------------------------------------------------------------------- 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 ITEM 2. CODE OF ETHICS The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT The Board of Trustees of the registrant 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 applicable to semiannual reports. ITEM 5. NOT APPLICABLE ITEM 6. SCHEDULE OF INVESTMENTS Not applicable ITEM 7. NOT APPLICABLE ITEM 8. NOT APPLICABLE ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS The Board is responsible for approving nominees for election as trustees. To assist in this task, the Board has designated the Audit Committee as the nominating committee for the Board. It reviews and recommends nominees to the Board. The Committee is comprised entirely of disinterested trustees as defined in Section 2(a)(19) of the Investment Company Act of 1940. The Audit Committee charter describes the responsibilities of the Committee in nominating candidates for election as independent Trustees of the Registrant. The Registrant's Board has adopted a written charter for the Committee. A current copy of the Audit Committee charter is available to shareholders on the OppenheimerFunds website at www.oppenheimerfunds.com. Under the current policy, if the Board determines that a vacancy exists or is likely to exist on the Board, the Audit Committee of the Board will consider candidates for Board membership including recommended by Registrant shareholders. The Audit Committee will consider nominees recommended by independent Board members or recommended by any other Board members including Board members affiliated with the Registrant's investment advisors. The Committee may, upon Board approval, retain an executive search firm to assist in screening potential candidates. Upon Board approval, the Audit Committee may also use the services of legal, financial, or other external counsel that it deems necessary or desirable in the screening process. Shareholders wishing to submit a nominee for election to the Board may do so by mailing their submission to the offices of OppenheimerFunds, Inc., 6803 South Tucson Way, Centennial, CO 80112, to the attention of the Board of Trustees of the named Registrant, c/o the Secretary of the Registrant. The Committee's process for identifying and evaluating nominees for trustees includes a number of factors. In screening candidates for board membership, whether the candidate is suggested by Board members, shareholders or others, the Committee considers the candidate's professional experience, soundness of judgment, integrity, ability to make independent, analytical inquiries, collegiality, willingness and ability to devote the time required to perform Board activities adequately, ability to represent the interests of all shareholders of the Registrant, and diversity relative to the board's composition. Candidates are expected to provide a mix of attributes, experience, perspective and skills necessary to effectively advance the interests of shareholders. ITEM 10. 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 March 31, 2004, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to provide reasonable assurances 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 over financial reporting that occurred during the registrant's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 11. EXHIBITS. (A) EXHIBIT ATTACHED HERETO. (ATTACH CODE OF ETHICS AS EXHIBIT) (B) EXHIBITS ATTACHED HERETO. (ATTACH CERTIFICATIONS AS EXHIBITS)