N-CSR 1 ra230_18573ncsr.txt RA230_18573NCSR 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: September 30, 2005 ITEM 1. REPORTS TO STOCKHOLDERS. TOP HOLDINGS AND ALLOCATIONS -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES -------------------------------------------------------------------------------- Oil & Gas 3.5% -------------------------------------------------------------------------------- Media 3.2 -------------------------------------------------------------------------------- Hotels, Restaurants & Leisure 2.0 -------------------------------------------------------------------------------- Commercial Banks 1.8 -------------------------------------------------------------------------------- Health Care Providers & Services 1.5 -------------------------------------------------------------------------------- Wireless Telecommunication Services 1.5 -------------------------------------------------------------------------------- Diversified Telecommunication Services 1.3 -------------------------------------------------------------------------------- Electric Utilities 1.3 -------------------------------------------------------------------------------- Metals & Mining 1.1 -------------------------------------------------------------------------------- Containers & Packaging 1.1 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2005, and are based on net assets. -------------------------------------------------------------------------------- PORTFOLIO ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Foreign Government Bonds 28.3% Corporate Bonds 26.8 Other Bonds 15.8 Government Agency Bonds 14.6 U.S. Government Bonds 7.2 Stocks 4.8 Cash Equivalents 2.4 Derivatives 0.1 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2005, and are based on total market value of investments. The Fund may invest without limit in below investment-grade securities, which carry a greater risk that the issue may default on principal or interest payments, and in foreign securities, which entail higher expenses and risks, such as currency fluctuation. -------------------------------------------------------------------------------- 8 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2005, FOLLOWED BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO AN APPROPRIATE BROAD-BASED MARKET INDEX. MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. During its fiscal year ended September 30, 2005, Oppenheimer Strategic Income Fund produced higher returns than its primary benchmark, the Lehman Brothers Aggregate Bond Index. We attribute the Fund's strong relative performance to its unhedged positions in the emerging markets, where favorable movements in currency exchange rates relative to the U.S. dollar helped support returns. Positive absolute returns from U.S. government securities and high yield bonds contributed less robustly to the Fund's relative performance. Early in the reporting period, we shifted the Fund's emphasis in its international portfolio from bonds of developed nations to the emerging markets. We tended to focus on countries where we expected fiscal improvements to attract more investment capital. This strategy proved to be especially successful in Brazil, Mexico, Turkey and oil producing nations, such as Russia. However, due to political concerns, the Fund did not participate in strong returns from Venezuela. In the high yield corporate bond market, we maintained a modestly underweighted investment posture due to historically narrow yield differences between high yield securities and U.S. Treasuries. In addition, we tended to focus on higher quality securities from issuers with strong cash flows, such as cell tower operators and energy companies. Finally, we maintained a generally neutral posture with regard to U.S. government securities. We set the Fund's average duration in a range we considered to be in line with industry averages, and we placed a modest emphasis on mortgage-backed securities that we believed would be less sensitive to prepayment risks. As of the reporting period's end, we have maintained the Fund's emphasis on international markets, where falling interest rates and lower inflation may create further opportunities. COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the performance of a hypothetical $10,000 investment in each class of shares of the Fund held until September 30, 2005. In the case of Class A, Class B and Class C shares, performance is measured over a ten fiscal year period; Class Y shares since inception of the Class on January 26, 1998. In the case of Class N shares, performance is measured from inception of the Class on March 1, 2001. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C, Class N and Class Y shares, and reinvestments of all dividends and capital gains distributions. 9 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- The Fund's performance is compared to the performance of the Lehman Brothers Aggregate Bond Index and the Citigroup World Government Bond Index, formerly Salomon Brothers World Government Bond Index. The former is a broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government securities and mortgage-backed securities widely regarded as a measure of the performance of the domestic debt securities market. The latter is an unmanaged index of fixed-rate bonds having a maturity of one year or more, widely regarded as a benchmark of fixed-income performance on a worldwide basis. Index performance reflects the reinvestment of dividends but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund's performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the securities in the indices. 10 | OPPENHEIMER STRATEGIC INCOME FUND CLASS A SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class A) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class A) Aggregate Bond Index Government Bond Index ---------- --------------------- -------------------- ---------------------- 09/30/1995 9,525 10,000 10,000 12/31/1995 9,919 10,426 10,295 03/31/1996 10,100 10,241 10,102 06/30/1996 10,366 10,299 10,143 09/30/1996 10,769 10,490 10,420 12/31/1996 11,168 10,805 10,668 03/31/1997 11,142 10,744 10,227 06/30/1997 11,593 11,139 10,537 09/30/1997 11,984 11,509 10,671 12/31/1997 12,102 11,848 10,693 03/31/1998 12,425 12,032 10,777 06/30/1998 12,507 12,313 10,991 09/30/1998 12,080 12,834 11,906 12/31/1998 12,304 12,877 12,329 03/31/1999 12,370 12,813 11,853 06/30/1999 12,410 12,701 11,445 09/30/1999 12,432 12,787 11,963 12/31/1999 12,801 12,771 11,803 03/31/2000 13,003 13,053 11,824 06/30/2000 13,075 13,280 11,806 09/30/2000 13,200 13,681 11,497 12/31/2000 13,084 14,256 11,991 03/31/2001 13,317 14,689 11,626 06/30/2001 13,206 14,771 11,444 09/30/2001 12,964 15,453 12,263 12/31/2001 13,544 15,460 11,872 03/31/2002 13,771 15,474 11,681 06/30/2002 13,765 16,046 13,042 09/30/2002 13,823 16,781 13,546 12/31/2002 14,471 17,045 14,187 03/31/2003 15,024 17,282 14,627 06/30/2003 16,007 17,715 15,195 09/30/2003 16,530 17,689 15,495 12/31/2003 17,307 17,745 16,302 03/31/2004 17,711 18,216 16,606 06/30/2004 17,386 17,771 16,053 09/30/2004 17,974 18,339 16,580 12/31/2004 18,972 18,514 17,989 03/31/2005 18,754 18,426 17,525 06/30/2005 19,395 18,980 17,275 09/30/2005 19,729 18,852 17,081 AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT 9/30/05 1-Year 4.55% 5-Year 7.32% 10-Year 7.03% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER INFORMATION. 11 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- CLASS B SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class B) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class B) Aggregate Bond Index Government Bond Index ---------- --------------------- -------------------- ---------------------- 09/30/1995 10,000 10,000 10,000 12/31/1995 10,394 10,426 10,295 03/31/1996 10,563 10,241 10,102 06/30/1996 10,821 10,299 10,143 09/30/1996 11,219 10,490 10,420 12/31/1996 11,611 10,805 10,668 03/31/1997 11,563 10,744 10,227 06/30/1997 12,008 11,139 10,537 09/30/1997 12,389 11,509 10,671 12/31/1997 12,486 11,848 10,693 03/31/1998 12,796 12,032 10,777 06/30/1998 12,856 12,313 10,991 09/30/1998 12,421 12,834 11,906 12/31/1998 12,600 12,877 12,329 03/31/1999 12,643 12,813 11,853 06/30/1999 12,689 12,701 11,445 09/30/1999 12,659 12,787 11,963 12/31/1999 13,009 12,771 11,803 03/31/2000 13,190 13,053 11,824 06/30/2000 13,237 13,280 11,806 09/30/2000 13,339 13,681 11,497 12/31/2000 13,229 14,256 11,991 03/31/2001 13,439 14,689 11,626 06/30/2001 13,270 14,771 11,444 09/30/2001 13,040 15,453 12,263 12/31/2001 13,624 15,460 11,872 03/31/2002 13,852 15,474 11,681 06/30/2002 13,847 16,046 13,042 09/30/2002 13,905 16,781 13,546 12/31/2002 14,557 17,045 14,187 03/31/2003 15,113 17,282 14,627 06/30/2003 16,102 17,715 15,195 09/30/2003 16,628 17,689 15,495 12/31/2003 17,410 17,745 16,302 03/31/2004 17,815 18,216 16,606 06/30/2004 17,489 17,771 16,053 09/30/2004 18,080 18,339 16,580 12/31/2004 19,084 18,514 17,989 03/31/2005 18,865 18,426 17,525 06/30/2005 19,510 18,980 17,275 09/30/2005 19,846 18,852 17,081 AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT 9/30/05 1-Year 3.94% 5-Year 7.25% 10-Year 7.09% 12 | OPPENHEIMER STRATEGIC INCOME FUND CLASS C SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class C) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class C) Aggregate Bond Index Government Bond Index ---------- --------------------- -------------------- ---------------------- 09/30/1995 10,000 10,000 10,000 12/31/1995 10,394 10,426 10,295 03/31/1996 10,563 10,241 10,102 06/30/1996 10,798 10,299 10,143 09/30/1996 11,196 10,490 10,420 12/31/1996 11,612 10,805 10,668 03/31/1997 11,563 10,744 10,227 06/30/1997 11,984 11,139 10,537 09/30/1997 12,391 11,509 10,671 12/31/1997 12,463 11,848 10,693 03/31/1998 12,773 12,032 10,777 06/30/1998 12,833 12,313 10,991 09/30/1998 12,398 12,834 11,906 12/31/1998 12,577 12,877 12,329 03/31/1999 12,649 12,813 11,853 06/30/1999 12,667 12,701 11,445 09/30/1999 12,636 12,787 11,963 12/31/1999 13,017 12,771 11,803 03/31/2000 13,168 13,053 11,824 06/30/2000 13,247 13,280 11,806 09/30/2000 13,317 13,681 11,497 12/31/2000 13,208 14,256 11,991 03/31/2001 13,418 14,689 11,626 06/30/2001 13,282 14,771 11,444 09/30/2001 12,979 15,453 12,263 12/31/2001 13,572 15,460 11,872 03/31/2002 13,738 15,474 11,681 06/30/2002 13,707 16,046 13,042 09/30/2002 13,777 16,781 13,546 12/31/2002 14,360 17,045 14,187 03/31/2003 14,922 17,282 14,627 06/30/2003 15,870 17,715 15,195 09/30/2003 16,319 17,689 15,495 12/31/2003 17,056 17,745 16,302 03/31/2004 17,423 18,216 16,606 06/30/2004 17,071 17,771 16,053 09/30/2004 17,617 18,339 16,580 12/31/2004 18,562 18,514 17,989 03/31/2005 18,314 18,426 17,525 06/30/2005 18,906 18,980 17,275 09/30/2005 19,195 18,852 17,081 AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT 9/30/05 1-Year 7.96% 5-Year 7.58% 10-Year 6.74% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER INFORMATION. 13 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- CLASS N SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class N) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class N) Aggregate Bond Index Government Bond Index ---------- --------------------- -------------------- ---------------------- 03/01/2001 10,000 10,000 10,000 03/31/2001 9,799 10,050 9,712 06/30/2001 9,717 10,107 9,560 09/30/2001 9,539 10,573 10,244 12/31/2001 9,988 10,578 9,917 03/31/2002 10,122 10,588 9,757 06/30/2002 10,112 10,979 10,894 09/30/2002 10,177 11,482 11,316 12/31/2002 10,617 11,663 11,851 03/31/2003 11,044 11,825 12,219 06/30/2003 11,753 12,121 12,693 09/30/2003 12,092 12,103 12,944 12/31/2003 12,648 12,141 13,618 03/31/2004 12,929 12,464 13,872 06/30/2004 12,678 12,159 13,410 09/30/2004 13,094 12,548 13,850 12/31/2004 13,806 12,668 15,027 03/31/2005 13,632 12,607 14,640 06/30/2005 14,080 12,986 14,430 09/30/2005 14,307 12,899 14,268 AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT 9/30/05 1-Year 8.27% 5-Years N/A Since Inception (3/1/01) 8.13% 14 | OPPENHEIMER STRATEGIC INCOME FUND CLASS Y SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class Y) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class Y) Aggregate Bond Index Government Bond Index ---------- --------------------- -------------------- ---------------------- 01/26/1998 10,000 10,000 10,000 03/31/1998 10,181 10,027 9,981 06/30/1998 10,257 10,261 10,180 09/30/1998 9,936 10,695 11,028 12/31/1998 10,108 10,731 11,420 03/31/1999 10,194 10,678 10,979 06/30/1999 10,237 10,584 10,600 09/30/1999 10,241 10,656 11,081 12/31/1999 10,579 10,643 10,932 03/31/2000 10,732 10,878 10,951 06/30/2000 10,826 11,067 10,935 09/30/2000 10,912 11,401 10,648 12/31/2000 10,850 11,880 11,106 03/31/2001 11,049 12,241 10,768 06/30/2001 10,965 12,310 10,599 09/30/2001 10,740 12,877 11,358 12/31/2001 11,256 12,883 10,996 03/31/2002 11,419 12,895 10,819 06/30/2002 11,416 13,372 12,079 09/30/2002 11,498 13,984 12,546 12/31/2002 12,021 14,204 13,140 03/31/2003 12,496 14,402 13,548 06/30/2003 13,317 14,762 14,074 09/30/2003 13,721 14,741 14,351 12/31/2003 14,369 14,787 15,099 03/31/2004 14,706 15,181 15,380 06/30/2004 14,437 14,810 14,869 09/30/2004 14,927 15,283 15,356 12/31/2004 15,760 15,429 10,662 03/31/2005 15,590 15,355 16,232 06/30/2005 16,131 15,817 16,000 09/30/2005 16,379 15,710 15,820 AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES WITH SALES CHARGE OF THE FUND AT 9/30/05 1-Year 9.73% 5-Year 8.46% Since Inception 6.64% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 16 FOR FURTHER INFORMATION. 15 | OPPENHEIMER STRATEGIC INCOME FUND NOTES -------------------------------------------------------------------------------- Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. Investors should consider the Fund's investment objectives, risks, and other charges and expenses carefully before investing. The Fund's prospectus contains this and other information about the Fund, and may be obtained by asking your financial advisor, calling us at 1.800.525.7048 or visiting our website at www.oppenheimerfunds.com. Read the prospectus carefully before investing. The Fund's investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge. CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. 16 | OPPENHEIMER STRATEGIC INCOME FUND CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period Class N shares are subject to an annual 0.25% asset-based sales charge. CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y shares are offered only to certain institutional investors under special agreement with the Distributor. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 17 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES -------------------------------------------------------------------------------- FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees, if any; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 2005. ACTUAL EXPENSES. The "actual" lines of the table provide information about actual account values and actual expenses. You may use the information on this line for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the "actual" line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES. The "hypothetical" lines of the table provide information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio for each class of shares, and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads), or a $12.00 fee imposed annually on accounts valued at less than $500.00 (subject to exceptions described in 18 | OPPENHEIMER STRATEGIC INCOME FUND the Statement of Additional Information). Therefore, the "hypothetical" lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. ------------------------------------------------------------------------------ BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING VALUE VALUE 6 MONTHS ENDED (4/1/05) (9/30/05) SEPTEMBER 30, 2005 ------------------------------------------------------------------------------ Class A Actual $1,000.00 $1,052.00 $4.79 ------------------------------------------------------------------------------ Class A Hypothetical 1,000.00 1,020.41 4.72 ------------------------------------------------------------------------------ Class B Actual 1,000.00 1,047.90 8.71 ------------------------------------------------------------------------------ Class B Hypothetical 1,000.00 1,016.60 8.58 ------------------------------------------------------------------------------ Class C Actual 1,000.00 1,048.10 8.71 ------------------------------------------------------------------------------ Class C Hypothetical 1,000.00 1,016.60 8.58 ------------------------------------------------------------------------------ Class N Actual 1,000.00 1,049.60 7.17 ------------------------------------------------------------------------------ Class N Hypothetical 1,000.00 1,018.10 7.06 ------------------------------------------------------------------------------ Class Y Actual 1,000.00 1,050.70 3.81 ------------------------------------------------------------------------------ Class Y Hypothetical 1,000.00 1,021.36 3.76 Hypothetical assumes 5% annual return before expenses. Expenses are equal to the Fund's annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios based on the 6-month period ended September 30, 2005 are as follows: CLASS EXPENSE RATIOS ---------------------------- Class A 0.93% ---------------------------- Class B 1.69 ---------------------------- Class C 1.69 ---------------------------- Class N 1.39 ---------------------------- Class Y 0.74 The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund's Transfer Agent that can be terminated at any time, without advance notice. The "Financial Highlights" tables in the Fund's financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements. ------------------------------------------------------------------------------ 19 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS September 30, 2005 --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--3.0% ------------------------------------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 3.856%, 4/20/08 1 $ 1,450,000 $ 1,451,056 ------------------------------------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2005-A, Cl. A2, 3.66%, 12/26/07 6,000,000 5,986,412 ------------------------------------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.: Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,660,000 4,578,240 Series 2005-1, Cl. A2B, 3.73%, 7/16/07 2,850,000 2,846,926 ------------------------------------------------------------------------------------------------------------------------------------ Capital One Prime Auto Receivables Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 6,579,000 6,573,507 ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1,192,465 1,186,047 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 1,282,828 1,276,148 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 3,710,942 3,699,454 ------------------------------------------------------------------------------------------------------------------------------------ Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 248,627 248,043 Series 2004-1, Cl. 1A2, 2.427%, 6/25/19 1,574,907 1,570,339 ------------------------------------------------------------------------------------------------------------------------------------ Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.24%, 9/15/08 648,450 648,990 Series 2002-B, Cl. A4, 4.21%, 1/15/09 332,093 332,346 Series 2005-A, Cl. A2, 3.72%, 12/15/07 4,920,000 4,900,279 ------------------------------------------------------------------------------------------------------------------------------------ CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 3,730,375 3,715,569 ------------------------------------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2001-A6, Cl. A6, 5.65%, 6/16/08 4,575,000 4,615,448 ------------------------------------------------------------------------------------------------------------------------------------ CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,110,000 4,926,615 ------------------------------------------------------------------------------------------------------------------------------------ Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 2 15,441,000 16,160,416 ------------------------------------------------------------------------------------------------------------------------------------ Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates, Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 4,015,350 4,000,941 ------------------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2004-B, Cl. A2, 2.48%, 2/8/07 825,218 824,477 Series 2004-C, Cl. A2, 2.62%, 6/8/07 4,726,985 4,711,083 Series 2005-A, Cl. A2, 3.17%, 9/8/07 7,311,807 7,289,898 Series 2005-B, Cl. A2, 3.75%, 12/8/07 9,170,000 9,152,295 ------------------------------------------------------------------------------------------------------------------------------------ DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 2,3 15,000,000 1,500 ------------------------------------------------------------------------------------------------------------------------------------ DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 2 3,083,887 541,608 ------------------------------------------------------------------------------------------------------------------------------------ Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 2,3 2,275,079 17,063 ------------------------------------------------------------------------------------------------------------------------------------ Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 4,930,000 4,907,643
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2004-A, Cl. A2, 2.13%, 10/15/06 $ 2,163,017 $ 2,160,077 Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,640,000 3,600,138 Series 2005-B, Cl. A2, 3.77%, 9/15/07 4,583,805 4,577,813 ------------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 2 5,776,000 1,010,800 ------------------------------------------------------------------------------------------------------------------------------------ Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 4,814,000 3,882,176 ------------------------------------------------------------------------------------------------------------------------------------ Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 1,446,090 ------------------------------------------------------------------------------------------------------------------------------------ GS Auto Loan Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.32%, 5/15/08 12,749,000 12,735,296 ------------------------------------------------------------------------------------------------------------------------------------ Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 882,741 881,731 ------------------------------------------------------------------------------------------------------------------------------------ Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2002-2, Cl. A4, 4.49%, 9/17/07 934,801 935,631 Series 2005-1, Cl. A2, 3.21%, 5/21/07 2,309,329 2,302,955 Series 2005-3, Cl. A2, 3.73%, 10/18/07 4,850,000 4,828,037 ------------------------------------------------------------------------------------------------------------------------------------ Lehman XS Trust, Home Equity Obligations: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 6,196,437 6,221,889 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 4,200,000 4,218,375 ------------------------------------------------------------------------------------------------------------------------------------ Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 0.127%, 3/24/14 1,2 3,207,835 64,157 ------------------------------------------------------------------------------------------------------------------------------------ NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 2 4,420,411 1,193,511 ------------------------------------------------------------------------------------------------------------------------------------ Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A, Cl. A2, 2.55%, 1/15/07 1,952,784 1,948,702 ------------------------------------------------------------------------------------------------------------------------------------ Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2005-C, Cl. A2, 3.99%, 1/15/08 7,617,000 7,599,279 ------------------------------------------------------------------------------------------------------------------------------------ Onyx Acceptance Owner Trust, Automobile Receivable Obligations: Series 2002-B, Cl. A4, 4.71%, 3/15/09 3,544,992 3,547,620 Series 2005-B, Cl. A2, 4.03%, 4/15/08 3,740,000 3,731,066 ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1,620,000 1,598,043 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 990,000 976,023 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1,670,000 1,656,864 ------------------------------------------------------------------------------------------------------------------------------------ Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 3,590,000 3,570,708 ------------------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 7,425,236 7,439,805 ------------------------------------------------------------------------------------------------------------------------------------ USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2004-2, Cl. A2, 2.41%, 2/15/07 1,394,967 1,393,026 Series 2004-3, Cl. A2, 2.79%, 6/15/07 2,595,684 2,589,246
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------------------ Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities: Series 2004-A, Cl. A2, 2.47%, 1/22/07 $ 3,100,771 $ 3,092,151 Series 2005-A, Cl. A2, 3.52%, 4/20/07 4,040,000 4,026,503 ------------------------------------------------------------------------------------------------------------------------------------ Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,746,333 1,741,775 ------------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 4,128,794 4,095,461 ------------------------------------------------------------------------------------------------------------------------------------ WFS Financial Owner Trust, Automobile Receivable Obligations, Series 2002-2, Cl. A4, 4.50%, 2/20/10 1,418,244 1,420,531 ------------------------------------------------------------------------------------------------------------------------------------ Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A3B, 1.99%, 5/15/07 1,079,739 1,072,875 Series 2004-1, Cl. A2A, 2.59%, 5/15/07 3,022,051 3,008,693 ------------------ Total Asset-Backed Securities (Cost $234,061,465) 200,729,390 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--15.1% ------------------------------------------------------------------------------------------------------------------------------------ Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 4,814,000 5,036,234 Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 20,755,000 21,676,997 Series 1997-D4, Cl. B1, 7.525%, 4/14/29 9,507,000 10,719,204 Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,853,428 6,015,014 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2004-6, Cl. A3, 4.512%, 12/10/42 3,524,000 3,446,843 Series 2005-2, Cl. A4, 4.783%, 7/10/43 6,110,000 6,059,627 Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,988,968 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 4,802,996 4,839,013 ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 4,336,164 4,418,825 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1,089,671 1,089,664 Series 2005-E, Cl. 2A2, 4.989%, 6/25/35 1 1,326,487 1,324,083 ------------------------------------------------------------------------------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 2,985,000 2,984,465 ------------------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 8.338%, 6/22/24 5 7,172,828 281,795 ------------------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations: Series 2004-J9, Cl. 1A1, 4.01%, 10/25/34 1 2,129,787 2,131,608 Series 2005-10, Cl. AF1, 3.956%, 2/25/36 1,2 8,695,000 8,695,000 Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6 9,895,232 10,049,845 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,347,878 2,397,502 ------------------------------------------------------------------------------------------------------------------------------------ DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 4.954%, 10/15/30 1,2 36,400,000 10,920,000 ------------------------------------------------------------------------------------------------------------------------------------ Fannie Mae Whole Loan, Collateralized Mtg. Obligations Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 3,283,714 3,444,820
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 $ 6,984,485 $ 6,846,532 6%, 4/1/17-9/1/34 54,959,901 56,171,504 6%, 10/1/34 4 18,303,652 18,630,957 6.50%, 4/1/18-8/1/32 8,238,612 8,499,709 7%, 3/1/31-10/1/31 6,695,132 6,998,403 7.50%, 2/1/32 1,754,091 1,860,222 8.50%, 8/1/31 1,299,786 1,413,345 10%, 4/1/20-5/1/20 262,150 293,501 10.50%, 5/1/20 407,753 461,782 11.50%, 10/1/16 316,151 346,274 12%, 5/1/10-6/1/17 954,581 1,051,098 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 2790, Cl. DY, 5.50%, 5/15/25 10,590,000 10,633,923 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 335,941 336,110 Series 2055, Cl. ZM, 6.50%, 5/15/28 2,572,989 2,644,206 Series 2080, Cl. Z, 6.50%, 8/15/28 1,649,662 1,691,126 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,945,840 2,004,650 Series 2387, Cl. PD, 6%, 4/15/30 2,416,245 2,435,355 Series 2410, Cl. NE, 6.50%, 9/15/30 975,301 976,380 Series 2430, Cl. ND, 6.50%, 1/15/31 1,653,182 1,653,956 Series 2456, Cl. BD, 6%, 3/15/30 1,102,666 1,106,860 Series 2498, Cl. PC, 5.50%, 10/15/14 129,328 129,459 Series 2500, Cl. FD, 4.268%, 3/15/32 1 1,189,679 1,199,183 Series 2526, Cl. FE, 4.168%, 6/15/29 1 1,406,570 1,414,024 Series 2551, Cl. FD, 4.168%, 1/15/33 1 1,094,413 1,102,960 Series 2583, Cl. KA, 5.50%, 3/15/22 4,356,885 4,373,591 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. B, 2.15%, 7/1/26 5 4,417,839 878,038 Series 183, Cl. IO, (1.647)%, 4/1/27 5 1,786,986 352,519 Series 192, Cl. IO, 7.84%, 2/1/28 5 770,719 140,164 Series 200, Cl. IO, 6.65%, 1/1/29 5 918,386 173,833 Series 203, Cl. IO, (3.049)%, 6/1/29 5 3,308,948 618,367 Series 204, Cl. IO, (12.668)%, 5/1/29 5 269,570 51,014 Series 205, Cl. IO, 0.57%, 9/1/29 5 4,903,219 930,773 Series 206, Cl. IO, (21.37)%, 12/1/29 5 1,558,938 323,656 Series 207, Cl. IO, (27.55)%, 4/1/30 5 1,731,272 336,117 Series 208, Cl. IO, (12.76)%, 6/1/30 5 2,943,947 561,408 Series 212, Cl. IO, 0.68%, 5/1/31 5 6,498,773 1,264,704 Series 214, Cl. IO, (18.50)%, 6/1/31 5 1,553,969 313,905 Series 2074, Cl. S, 7.05%, 7/17/28 5 996,428 110,931 Series 2079, Cl. S, 6.45%, 7/17/28 5 1,571,796 175,777 Series 2526, Cl. SE, 8.30%, 6/15/29 5 2,512,613 170,891 Series 2819, Cl. S, 3.36%, 6/15/34 5 23,738,290 2,120,024 Series 2920, Cl. S, 10.74%, 1/15/35 5 13,786,407 773,821 Series 3000, Cl. SE, 29.40%, 7/15/25 5 15,581,646 753,217
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 4.50%, 5/1/19-6/1/19 $ 5,631,150 $ 5,519,920 4.50%, 10/1/20 6 46,186,000 45,233,414 5%, 2/1/18-6/1/18 11,458,955 11,442,278 5%, 10/1/35-11/1/35 6 83,287,000 81,522,940 5.50%, 3/1/33-11/1/34 47,742,128 47,778,281 5.50%, 10/1/20-11/1/35 6 109,888,000 110,218,763 6%, 6/1/16-11/1/32 29,619,890 30,416,876 6%, 10/1/30 2 3,076,012 3,148,586 6%, 10/1/35-11/1/35 6 36,832,000 37,451,604 6.50%, 12/1/28-1/1/34 35,843,190 36,953,643 6.50%, 1/1/29 4 1,084,541 1,120,469 6.50%, 10/1/34-11/1/35 6 79,881,812 82,205,728 7%, 11/1/17 5,873,092 6,141,468 7.50%, 6/1/10-9/1/29 1,595,631 1,692,763 8.50%, 7/1/32 235,105 255,715 9.50%, 4/1/20-3/15/21 225,939 249,979 11%, 10/15/15-2/1/26 649,443 721,255 13%, 6/1/15 122,060 136,782 15%, 4/15/13 515,183 590,768 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust, Commercial Mtg. Obligations, Interest-Only Stripped Mtg.-Backed Security: Trust 2001-T3, Cl. IO, (9.268)%, 11/25/40 5 27,884,026 494,512 Trust 2001-T4, Cl. IO, 5.90%, 7/25/41 5 47,668,738 1,016,455 Trust 2001-T10, Cl. IO, (20.089)%, 12/25/31 5 251,040,637 4,178,873 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1996-35, Cl. Z, 7%, 7/25/26 290,955 299,758 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 3,820,224 3,953,380 Trust 1998-63, Cl. PG, 6%, 3/25/27 431,387 431,148 Trust 2001-50, Cl. NE, 6%, 8/25/30 1,173,086 1,180,077 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 267,372 276,231 Trust 2001-70, Cl. LR, 6%, 9/25/30 1,368,221 1,382,629 Trust 2001-72, Cl. NH, 6%, 4/25/30 947,580 952,821 Trust 2001-74, Cl. PD, 6%, 5/25/30 380,543 382,252 Trust 2002-77, Cl. WF, 4.189%, 12/18/32 1 1,657,518 1,668,407 Trust 2002-94, Cl. MA, 4.50%, 8/25/09 363,484 362,931 Trust 2003-10, Cl. HP, 5%, 2/25/18 6,380,000 6,360,729 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 5,023,845 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 12,199,285 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,617,163 Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,199,191 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,350,517
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-28, Cl. SA, 3.78%, 4/25/32 5 $ 1,327,033 $ 116,905 Trust 2002-38, Cl. SO, 3.38%, 4/25/32 5 1,223,192 85,090 Trust 2002-39, Cl. SD, (0.75)%, 3/18/32 5 2,004,341 190,622 Trust 2002-48, Cl. S, 3.25%, 7/25/32 5 2,127,402 198,299 Trust 2002-52, Cl. SL, 3.278%, 9/25/32 5 1,262,869 119,343 Trust 2002-53, Cl. SK, (0.41)%, 4/25/32 5 1,249,806 126,656 Trust 2002-56, Cl. SN, 4.92%, 7/25/32 5 2,916,981 270,246 Trust 2002-77, Cl. IS, 3.90%, 12/18/32 5 2,083,958 206,659 ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 221, Cl. 2, 3.68%, 5/1/23 5 1,625,329 318,996 Trust 240, Cl. 2, 10.66%, 9/1/23 5 2,504,482 479,649 Trust 247, Cl. 2, 10.005%, 10/1/23 5 335,144 66,027 Trust 301, Cl. 2, 0.38%, 4/1/29 5 2,611,290 490,010 Trust 303, Cl. IO, 5.666%, 11/1/29 5 1,604,618 327,719 Trust 313, Cl. 2, (17.85)%, 6/1/31 5 9,380,791 1,945,959 Trust 319, Cl. 2, 3.55%, 2/1/32 5 70,660 14,762 Trust 321, Cl. 2, 0.37%, 3/1/32 5 13,102,293 2,763,451 Trust 324, Cl. 2, (3.50)%, 6/1/32 5 9,149,044 1,840,716 Trust 327, Cl. 2, 8.823%, 8/1/32 5 229,953 44,322 Trust 329, Cl. 2, 5.98%, 1/1/33 5 380,555 81,123 Trust 333, Cl. 2, 6.08%, 3/1/33 5 9,400,297 2,031,588 Trust 338, Cl. 2, 3.859%, 6/1/33 5 4,897,862 1,059,081 Trust 346, Cl. 2, 9.96%, 12/1/33 5 14,217,737 3,037,008 Trust 350, Cl. 2, 6.81%, 2/1/34 5 753,231 160,549 Trust 2001-61, Cl. SH, 18.434%, 11/18/31 5 7,455,217 674,034 Trust 2001-63, Cl. SD, 7.928%, 12/18/31 5 95,283 8,267 Trust 2001-68, Cl. SC, 7.122%, 11/25/31 5 68,179 6,664 Trust 2001-81, Cl. S, 4.59%, 1/25/32 5 1,906,280 177,515 Trust 2002-9, Cl. MS, 3.09%, 3/25/32 5 2,494,653 242,192 Trust 2002-65, Cl. SC, 4.748%, 6/25/26 5 3,928,616 307,246 Trust 2002-77, Cl. SH, 9.38%, 12/18/32 5 2,261,287 226,164 Trust 2003-4, Cl. S, 17.21%, 2/25/33 5 3,943,284 410,773 Trust 2005-40, Cl. SA, 11.63%, 5/25/35 5 22,232,486 1,316,123 Trust 2005-40, Cl. SB, 18.37%, 5/25/35 5 9,336,417 545,460 Trust 2005-71, Cl. SA, 22.85%, 8/25/25 5 9,989,092 568,827 ------------------------------------------------------------------------------------------------------------------------------------ First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 2,897,111 3,007,568 ------------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 6,580,000 6,579,721 ------------------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,945,850 Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,610,000 1,581,986
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 $ 2,041,965 $ 2,105,019 Series 1998-C1, Cl. F, 7.19%, 5/15/30 1 2,000,000 2,086,240 Series 2004-C3, Cl. A4, 4.547%, 12/10/41 2,320,000 2,272,964 ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn.: 3.75%, 7/20/27 1 15,909 16,164 7%, 1/15/28-1/20/30 3,739,315 3,932,715 8%, 1/15/28-9/15/28 2,001,329 2,145,021 11%, 10/20/19 39,806 43,743 12%, 11/20/13-9/20/15 57,868 65,184 12.50%, 12/15/13-11/15/15 2,305,528 2,578,129 13%, 10/15/15 3,473,017 3,907,701 13.50%, 6/15/15 4,514,138 5,114,073 ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-6, Cl. SA, 8.01%, 3/16/28 5 1,936,398 197,600 Series 1998-19, Cl. SB, 5.78%, 7/16/28 5 3,153,006 349,865 ------------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,197,733 ------------------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2004-12, Cl. 3A1, 4.494%, 12/25/34 1 1,490,740 1,486,863 ------------------------------------------------------------------------------------------------------------------------------------ J.P. Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,301,000 11,325,879 ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,205,533 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,299,484 ------------------------------------------------------------------------------------------------------------------------------------ LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,870,248 ------------------------------------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,732,335 Series 2005-C5, Cl. A2, 4.885%, 9/15/40 3,520,000 3,527,096 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 589,117 508,850 ------------------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 6,553,572 6,632,073 ------------------------------------------------------------------------------------------------------------------------------------ Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 1,116,261 1,112,678 ------------------------------------------------------------------------------------------------------------------------------------ Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 7.735%, 6/15/21 1 638,747 638,218 ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. F, 7.313%, 2/15/28 1,7 12,862,980 12,847,098 Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 10,125,831
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 $ 3,501,000 $ 3,658,095 ------------------------------------------------------------------------------------------------------------------------------------ PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,275,091 ------------------------------------------------------------------------------------------------------------------------------------ Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates: Series 1992-2, Cl. B2, 1/15/03 2,3 624,465 -- Series 1992-2, Cl. B3, 10.95%, 4/15/09 1,2 782,343 7,823 ------------------------------------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 421,381 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Collateralized Mtg. Obligations: Series 2000-UP1, Cl. A2, 8%, 9/25/30 859,215 874,998 Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 1,036,746 1,066,815 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. F, 8.301%, 1/20/28 1,2 9,632,000 7,898,240 ------------------------------------------------------------------------------------------------------------------------------------ Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,410,032 ------------------------------------------------------------------------------------------------------------------------------------ Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1992-2, Cl. IO, (3.677)%, 9/15/22 5 22,882,497 569,390 Series 1995-2B, Cl. 2IO, (2.461)%, 6/15/25 5 1,676,307 41,498 Series 1995-3, Cl. 1IO, (12.101)%, 9/15/25 5 54,839,898 503,781 ------------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,784,097 Series 2005-C20, Cl. A5, 5.087%, 7/15/42 3,570,000 3,582,674 ------------------------------------------------------------------------------------------------------------------------------------ Washington Mutual Mortgage Securities Corp., Collateralized Mtg. Pass-Through Certificates: Series 2005-AR5, Cl. A1, 4.684%, 5/25/35 1 5,251,717 5,254,447 Series 2005-AR8, Cl. 2AB1, 4.08%, 7/25/45 1 6,074,749 6,074,749 ------------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-DD, Cl. 2 A1, 4.53%, 1/25/35 1 2,945,201 2,939,784 Series 2004-N, Cl. A10, 3.803%, 8/25/34 1,329,314 1,330,486 Series 2004-W, Cl. A2, 4.594%, 11/25/34 1 620,382 618,943 ------------------ Total Mortgage-Backed Obligations (Cost $1,018,609,510) 1,000,185,043 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--7.5% ------------------------------------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8 61,690,000 56,511,063 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 150,000 147,310 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Nts., 3.75%, 7/15/09 [EUR] 11,339,000 14,142,236 ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts., 3.625%, 9/15/06 9 78,600,000 78,084,698
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 $ 335,000 $ 333,197 4.25%, 7/15/07 9 505,000 503,936 4.25%, 8/15/10 4,9 49,830,000 49,237,820 6%, 5/15/08 4 15,044,000 15,631,077 6.625%, 9/15/09 4,9 30,056,000 32,326,941 7.25%, 5/15/30 9 6,706,000 8,876,129 ------------------------------------------------------------------------------------------------------------------------------------ Resolution Funding Corp. STRIPS, 6.05%, 1/15/21 8,9 51,220,000 24,630,469 ------------------------------------------------------------------------------------------------------------------------------------ Tennessee Valley Authority Bonds: 4.65%, 6/15/35 9 3,990,000 3,814,085 Series A, 6.79%, 5/23/12 83,068,000 93,365,857 ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bills, 3.32%, 10/6/05 9 98,270,000 98,225,028 ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds: 5.50%, 8/15/28 4 152,000 170,834 7.25%, 5/15/16 9 2,734,000 3,383,005 STRIPS, 4.94%, 2/15/16 4,8 23,586,000 14,854,604 ------------------ Total U.S. Government Obligations (Cost $492,674,006) 494,238,289 ------------------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS--29.4% ------------------------------------------------------------------------------------------------------------------------------------ ARGENTINA--1.4% Argentina (Republic of) Bonds: 1.20%, 12/31/38 1 [EUR] 8,670,000 4,141,969 1.33%, 12/31/38 1 25,745,000 10,233,638 3.663%, 9/30/14 1,2 [ARP] 13,011,900 4,618,749 4.005%, 8/3/12 1 57,154,125 52,035,459 ------------------------------------------------------------------------------------------------------------------------------------ Argentina (Republic of) Unsec. Unsub. Bonds, 5.83%, 12/31/33 2 [ARP] 29,633,776 10,467,286 ------------------------------------------------------------------------------------------------------------------------------------ Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 4/1/07 2,3 [ARP] 621,476 272,180 ------------------------------------------------------------------------------------------------------------------------------------ Central Bank of Argentina Bonds, 2%, 2/4/18 2 [ARP] 18,526,319 9,579,229 ------------------ 91,348,510 ------------------------------------------------------------------------------------------------------------------------------------ AUSTRALIA--0.9% Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 74,011,000 57,399,868 ------------------------------------------------------------------------------------------------------------------------------------ AUSTRIA--0.9% Austria (Republic of) Nts., 3.80%, 10/20/13 7 [EUR] 46,245,000 58,601,733 ------------------------------------------------------------------------------------------------------------------------------------ BELGIUM--0.3% Belgium (Kingdom of) Bonds: Series 26, 6.25%, 3/28/07 [EUR] 5,030,000 6,385,117 Series 28, 5.75%, 3/28/08 [EUR] 9,003,000 11,672,359 ------------------ 18,057,476
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ BRAZIL--1.3% Brazil (Federal Republic of) Bonds: 8%, 1/15/18 $ 10,343,000 $ 10,979,095 8.75%, 2/4/25 46,755,000 49,513,545 12.50%, 1/5/16 [BRR] 54,400,000 23,441,126 Series 15 yr., 4.313%, 4/15/09 1 115,302 115,302 ------------------ 84,049,068 ------------------------------------------------------------------------------------------------------------------------------------ BULGARIA--0.3% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 7,107,000 8,803,796 8.25%, 1/15/15 7 7,107,000 8,803,796 ------------------ 17,607,592 ------------------------------------------------------------------------------------------------------------------------------------ COLOMBIA--0.8% Colombia (Republic of) Bonds, 12%, 10/22/15 [COP] 25,495,000,000 13,713,104 ------------------------------------------------------------------------------------------------------------------------------------ Colombia (Republic of) Nts.: 8.25%, 12/22/14 6,718,000 7,561,109 11.75%, 3/1/10 [COP] 23,854,260,000 12,156,302 ------------------------------------------------------------------------------------------------------------------------------------ Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 19,230,000 20,720,325 ------------------ 54,150,840 ------------------------------------------------------------------------------------------------------------------------------------ DOMINICAN REPUBLIC--0.1% Dominican Republic Unsec. Unsub. Bonds: Series REG S, 9.04%, 1/23/18 4,423,286 4,912,060 Series REG S, 9.50%, 9/27/11 3,666,250 4,051,206 ------------------ 8,963,266 ------------------------------------------------------------------------------------------------------------------------------------ EL SALVADOR--0.1% El Salvador (Republic of) Bonds, 7.625%, 9/21/34 7 4,802,000 5,354,230 ------------------------------------------------------------------------------------------------------------------------------------ FINLAND--0.0% Finland (Republic of) Sr. Unsec. Unsub. Bonds, 2.75%, 7/4/06 [EUR] 2,994,000 3,612,663 ------------------------------------------------------------------------------------------------------------------------------------ FRANCE--0.8% France (Government of) Obligations Assimilables du Tresor Bonds: 4.75%, 10/25/12 [EUR] 25,000,000 33,513,311 5.50%, 10/25/07 [EUR] 2,762,000 3,525,322 5.50%, 10/25/10 [EUR] 8,533,000 11,587,671 ------------------------------------------------------------------------------------------------------------------------------------ France (Government of) Treasury Nts.: 5 yr., 4.75%, 7/12/07 [EUR] 205,000 256,557 5 yr., 5%, 1/12/06 [EUR] 5,030,000 6,092,826 ------------------ 54,975,687
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ GERMANY--1.9% Germany (Republic of) Bonds: 5.25%, 1/4/11 [EUR] 5,720,000 $ 7,703,215 5.375%, 1/4/10 [EUR] 3,762,000 5,010,348 Series 02, 5%, 7/4/12 [EUR] 12,657,000 17,152,855 Series 03, 3.75% 7/4/13 [EUR] 31,830,000 40,236,517 Series 140, 4.50%, 8/17/07 [EUR] 4,013,000 5,009,389 Series 143, 3.50%, 10/10/08 10 [EUR] 42,751,000 52,849,803 ------------------ 127,962,127 ------------------------------------------------------------------------------------------------------------------------------------ GREECE--0.7% Greece (Republic of) Bonds: 3.50%, 4/18/08 [EUR] 14,400,000 17,718,378 4.60%, 5/20/13 [EUR] 22,200,000 29,319,582 ------------------ 47,037,960 ------------------------------------------------------------------------------------------------------------------------------------ GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 7 2,972,000 3,644,415 10.25%, 11/8/11 1,205,000 1,477,631 ------------------ 5,122,046 ------------------------------------------------------------------------------------------------------------------------------------ HUNGARY--0.1% Hungary (Government of) Bonds, Series 05/I, 8.50%, 10/12/05 [HUF] 1,536,750,000 7,400,775 ------------------------------------------------------------------------------------------------------------------------------------ INDONESIA--0.1% Indonesia (Republic of) Nts.: 6.75%, 3/10/14 7 2,670,000 2,636,625 7.25%, 4/20/15 7 4,450,000 4,461,125 ------------------ 7,097,750 ------------------------------------------------------------------------------------------------------------------------------------ ISRAEL--0.6% Israel (State of) Aid Bonds, United States Gtd., 5.50%, 12/4/23 11,535,000 12,383,434 ------------------------------------------------------------------------------------------------------------------------------------ Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 24,372,220 ------------------ 36,755,654 ------------------------------------------------------------------------------------------------------------------------------------ ITALY--1.0% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 4.25%, 2/1/19 [EUR] 52,820,000 68,515,866 ------------------------------------------------------------------------------------------------------------------------------------ JAPAN--4.0% Japan (Government of) Bonds, 10 yr., Series 239, 1.40%, 6/20/12 [JPY] 29,237,000,000 263,071,188 ------------------------------------------------------------------------------------------------------------------------------------ MALAYSIA--0.3% Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 1,2 [MYR] 57,058,000 15,971,396 ------------------------------------------------------------------------------------------------------------------------------------ Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,498,318 ------------------ 23,469,714
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MEXICO--1.8% Mexican Williams Sr. Nts., 4.24%, 11/15/08 1,2 $ 1,500,000 $ 1,550,625 ------------------------------------------------------------------------------------------------------------------------------------ United Mexican States Bonds: 7.50%, 4/8/33 10,622,000 12,348,075 8.30%, 8/15/31 6,209,000 7,776,773 11.375%, 9/15/16 45,000 66,488 Series MI10, 8%, 12/19/13 [MXN] 139,519,000 12,552,248 Series MI10, 9.50%, 12/18/14 1 [MXN] 158,044,700 15,559,447 Series M10, 10.50%, 7/14/11 1 [MXN] 199,100,000 20,405,279 Series M20, 8%, 12/7/23 1 [MXN] 204,981,200 17,657,062 Series M20, 10%, 12/5/24 1 [MXN] 100,065,000 10,321,318 ------------------------------------------------------------------------------------------------------------------------------------ United Mexican States Treasury Bills, Series BI, 10.32%, 10/13/05 8 [MXN] 61,380,000 5,648,991 ------------------------------------------------------------------------------------------------------------------------------------ United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,411,000,000 12,884,449 ------------------ 116,770,755 ------------------------------------------------------------------------------------------------------------------------------------ NEW ZEALAND--0.4% New Zealand (Government of) Bonds, 7%, 7/15/09 [NZD] 16,330,000 11,695,773 ------------------------------------------------------------------------------------------------------------------------------------ New Zealand (Government of) Treasury Bills, 6.47%, 3/22/06 8 [NZD] 23,440,000 15,721,321 ------------------ 27,417,094 ------------------------------------------------------------------------------------------------------------------------------------ NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,585,000 3,593,963 ------------------------------------------------------------------------------------------------------------------------------------ Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,901,139 2,730,552 ------------------ 6,324,515 ------------------------------------------------------------------------------------------------------------------------------------ PANAMA--0.8% Panama (Republic of) Bonds: 8.125%, 4/28/34 38,269,000 43,626,660 9.375%, 4/1/29 5,500,000 7,012,500 ------------------ 50,639,160 ------------------------------------------------------------------------------------------------------------------------------------ PERU--1.9% Peru (Republic of) Bonds: 7.35%, 7/21/25 12,005,000 12,785,325 7.84%, 8/12/20 [PEN] 113,790,000 35,093,476 8.375%, 5/3/16 3,210,000 3,771,750 9.91%, 5/5/15 [PEN] 54,017,000 19,179,832 Series 2, 9%, 1/31/12 [PEN] 9,590,000 3,228,413 Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 7,849,791 Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,052,121 ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,148,000 1,130,780 ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 50,528,968 32,495,685 ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 7,705,000 9,342,313 ------------------ 128,929,486
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ PHILIPPINES--0.8% Philippines (Republic of) Bonds: 8%, 1/15/16 $ 13,200,000 $ 13,315,500 8.375%, 2/15/11 6,506,000 6,819,101 9.50%, 2/2/30 6,871,000 7,351,970 10.625%, 3/16/25 6,873,000 8,058,593 Series 5-57, 11.50%, 1/27/10 [PHP] 289,070,000 5,256,439 Series 5-56, 12.375%, 10/28/09 [PHP] 85,030,000 1,580,610 ------------------------------------------------------------------------------------------------------------------------------------ Philippines (Republic of) Nts., 8.25%, 1/15/14 8,841,000 9,205,691 ------------------ 51,587,904 ------------------------------------------------------------------------------------------------------------------------------------ POLAND--0.4% Poland (Republic of) Bonds: Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,623,396 Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,905,388 ------------------------------------------------------------------------------------------------------------------------------------ Poland (Republic of) Nts., Series 0K0807, 4.19%, 8/12/07 8 [PLZ] 36,350,000 10,313,124 ------------------ 24,841,908 ------------------------------------------------------------------------------------------------------------------------------------ PORTUGAL--0.4% Portugal (Republic of) Obrig Do Tes Medio Prazo Nts.: 3.25%, 7/15/08 [EUR] 14,570,000 17,840,173 4.875%, 8/17/07 [EUR] 4,993,000 6,268,839 ------------------------------------------------------------------------------------------------------------------------------------ Portugal (Republic of) Obrig Do Tes Medio Prazo Unsec. Unsub. Nts., 5.85%, 5/20/10 [EUR] 235,000 320,356 ------------------ 24,429,368 ------------------------------------------------------------------------------------------------------------------------------------ RUSSIA--1.9% Aries Vermoegensverwaltungs GmbH Unsub. Nts.: Series B, 7.75%, 10/25/09 7 [EUR] 6,050,000 8,550,928 Series C, 9.60%, 10/25/14 62,720,000 82,881,846 ------------------------------------------------------------------------------------------------------------------------------------ Ministry Finance of Russia Debs., Series VII, 3%, 5/14/11 14,310,000 12,689,035 ------------------------------------------------------------------------------------------------------------------------------------ Russian Federation Unsec. Debs., Series V, 3%, 5/14/08 18,010,000 17,095,902 ------------------------------------------------------------------------------------------------------------------------------------ Russian Federation Unsec. Unsub. Bonds, 5%, 3/31/30 1,7 5,262,000 6,051,300 ------------------------------------------------------------------------------------------------------------------------------------ Russian Federation Unsub. Nts., 5%, 3/31/30 1 809,250 930,638 ------------------ 128,199,649 ------------------------------------------------------------------------------------------------------------------------------------ SOUTH AFRICA--0.6% South Africa (Republic of) Bonds: Series 153, 13%, 8/31/10 [ZAR] 13,830,000 2,621,418 Series R157, 13.50%, 9/15/15 [ZAR] 57,840,000 12,399,122 Series R186, 10.50%, 12/21/26 [ZAR] 101,878,000 20,456,060 Series R203, 8.25%, 9/15/17 [ZAR] 23,964,000 3,817,642 Series R204, 8%, 12/21/18 [ZAR] 24,668,000 3,855,846 ------------------ 43,150,088
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ SPAIN--0.5% Spain (Kingdom of) Bonds: Bonos y Obligacion del Estado, 5.35%, 10/31/11 [EUR] 1,470,000 $ 2,010,396 Bonos y Obligacion del Estado, 5.75%, 7/30/32 [EUR] 20,740,000 34,043,462 ------------------ 36,053,858 ------------------------------------------------------------------------------------------------------------------------------------ THE NETHERLANDS--0.4% Netherlands (Kingdom of the) Bonds, 5.50%, 1/15/28 [EUR] 16,954,000 26,387,152 ------------------------------------------------------------------------------------------------------------------------------------ TURKEY--0.6% Turkey (Republic of) Bonds, 8%, 2/14/34 13,400,000 14,204,000 ------------------------------------------------------------------------------------------------------------------------------------ Turkey (Republic of) Nts., 7.25%, 3/15/15 24,277,000 25,672,928 ------------------ 39,876,928 ------------------------------------------------------------------------------------------------------------------------------------ UNITED KINGDOM--2.1% United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 79,164,000 138,679,421 ------------------------------------------------------------------------------------------------------------------------------------ VENEZUELA--1.0% Venezuela (Republic of) Bonds: 7%, 12/1/18 22,000 21,643 9.25%, 9/15/27 36,675,000 43,478,213 ------------------------------------------------------------------------------------------------------------------------------------ Venezuela (Republic of) Nts.: 7%, 3/16/15 [EUR] 11,640,000 15,154,173 8.50%, 10/8/14 4,562,000 5,075,225 ------------------ 63,729,254 ------------------ Total Foreign Government Obligations (Cost $1,889,224,639) 1,947,570,553 ------------------------------------------------------------------------------------------------------------------------------------ LOAN PARTICIPATIONS--0.5% ------------------------------------------------------------------------------------------------------------------------------------ Algeria (Republic of) Loan Participation Nts., 4.809%, 3/4/10 1,2 6,186,277 6,139,880 ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG, Indonesia (Republic of) Rupiah Loan Participation Nts., 3.813%, 1/25/06 1 24,645,000 24,787,941 ------------------ Total Loan Participations (Cost $30,343,321) 30,927,821 ------------------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES--27.7% ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--7.6% ------------------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS--0.6% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,029,000 1,968,130 ------------------------------------------------------------------------------------------------------------------------------------ Dana Corp., 10.125% Nts., 3/15/10 3,370,000 3,471,100 ------------------------------------------------------------------------------------------------------------------------------------ Dura Operating Corp.: 8.625% Sr. Nts., Series B, 4/15/12 2,507,000 2,243,765 9% Sr. Unsec. Sub. Nts., Series D, 5/1/09 1,850,000 1,295,000 ------------------------------------------------------------------------------------------------------------------------------------ Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3 3,258,000 2,427,210 ------------------------------------------------------------------------------------------------------------------------------------ Goodyear Tire & Rubber Co. (The): 7.857% Nts., 8/15/11 6,531,000 6,351,398 9% Sr. Nts., 7/1/15 7 4,800,000 4,752,000
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS Continued Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 $ 1,000,000 $ 1,000,000 ------------------------------------------------------------------------------------------------------------------------------------ Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 4,022,505 ------------------------------------------------------------------------------------------------------------------------------------ Tenneco Automotive, Inc.: 8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,101,638 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,461,790 ------------------------------------------------------------------------------------------------------------------------------------ United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,700,000 ------------------------------------------------------------------------------------------------------------------------------------ Visteon Corp.: 7% Sr. Unsec. Nts., 3/10/14 2,975,000 2,595,688 8.25% Sr. Unsec. Nts., 8/1/10 1,400,000 1,337,000 ------------------ 40,727,224 ------------------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES--0.3% Ford Motor Credit Co.: 5.625% Nts., 10/1/08 5,400,000 5,106,224 5.80% Sr. Unsec. Nts., 1/12/09 800,000 747,006 7.375% Nts., 10/28/09 1,350,000 1,305,149 ------------------------------------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp.: 5.125% Nts., 5/9/08 1,100,000 1,024,587 5.85% Sr. Unsec. Unsub. Nts., 1/14/09 3,100,000 2,888,760 6.875% Nts., 9/15/11 2,600,000 2,367,784 7.25% Nts., 3/2/11 4,700,000 4,375,202 ------------------ 17,814,712 ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES--0.0% Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 150,000 158,250 ------------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE--2.0% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 5,093,000 5,016,605 ------------------------------------------------------------------------------------------------------------------------------------ Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,377,818 ------------------------------------------------------------------------------------------------------------------------------------ Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,942,695 ------------------------------------------------------------------------------------------------------------------------------------ Carrols Corp., 9% Sr. Sub. Nts., 1/15/13 7 1,015,000 1,035,300 ------------------------------------------------------------------------------------------------------------------------------------ CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 7 795,000 805,931 ------------------------------------------------------------------------------------------------------------------------------------ Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,522,505 ------------------------------------------------------------------------------------------------------------------------------------ Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,500,000 1,582,500 ------------------------------------------------------------------------------------------------------------------------------------ Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,479,233 ------------------------------------------------------------------------------------------------------------------------------------ Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,948,703 9% Sr. Sub. Nts., 3/15/12 7,132,000 7,595,580 ------------------------------------------------------------------------------------------------------------------------------------ Kerzner International Ltd., 6.75% Sr. Sub. Nts., 10/1/15 7 3,190,000 3,106,263 ------------------------------------------------------------------------------------------------------------------------------------ La Quinta Properties, Inc., 7% Sr. Sec. Nts., 8/15/12 75,000 77,438 ------------------------------------------------------------------------------------------------------------------------------------ Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,732,275 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,530,680
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE Continued MGM Mirage, Inc.: 5.875% Sr. Nts., 2/27/14 $ 200,000 $ 191,000 8.375% Sr. Unsec. Sub. Nts., 2/1/11 4,910,000 5,302,800 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,284,000 ------------------------------------------------------------------------------------------------------------------------------------ Mohegan Tribal Gaming Authority: 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,670,000 6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,343,635 6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,388,250 8% Sr. Sub. Nts., 4/1/12 2,950,000 3,127,000 ------------------------------------------------------------------------------------------------------------------------------------ Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,339,000 9,110,358 ------------------------------------------------------------------------------------------------------------------------------------ Penn National Gaming, Inc.: 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,640,025 8.875% Sr. Sub. Nts., 3/15/10 3,862,000 4,093,720 ------------------------------------------------------------------------------------------------------------------------------------ Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 5,650,000 5,678,250 ------------------------------------------------------------------------------------------------------------------------------------ Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3,7 10,800,000 -- ------------------------------------------------------------------------------------------------------------------------------------ Royal Caribbean Cruises Ltd., 8.75% Sr. Unsub. Nts., 2/2/11 3,184,000 3,589,960 ------------------------------------------------------------------------------------------------------------------------------------ Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 5,426,000 5,398,870 9.625% Sr. Nts., 6/1/14 618,000 611,820 9.75% Sr. Nts., 4/15/13 1,650,000 1,633,500 ------------------------------------------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,102,000 8,871,690 ------------------------------------------------------------------------------------------------------------------------------------ Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 8,125,000 8,165,625 6.875% Sr. Sub. Nts., 3/1/16 7 1,580,000 1,609,625 ------------------------------------------------------------------------------------------------------------------------------------ Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,378,830 ------------------------------------------------------------------------------------------------------------------------------------ Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,303,000 10,865,009 ------------------ 128,707,493 ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES--0.5% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,947,240 ------------------------------------------------------------------------------------------------------------------------------------ Blount, Inc., 8.875% Sr. Sub. Nts., 8/1/12 125,000 133,750 ------------------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc.: 9.375% Sr. Unsec. Sub. Nts., 3/15/11 2,022,000 2,153,139 9.75% Sr. Sub. Nts., 9/15/10 4 2,738,000 3,129,602 ------------------------------------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,971,180 ------------------------------------------------------------------------------------------------------------------------------------ KB Home: 8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,642,093 9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,276,114 ------------------------------------------------------------------------------------------------------------------------------------ Meritage Homes Corp., 6.25% Sr. Unsec. Nts., 3/15/15 1,665,000 1,531,800 ------------------------------------------------------------------------------------------------------------------------------------ Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 2,871,000 2,899,710 ------------------------------------------------------------------------------------------------------------------------------------ Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 2,176,875 ------------------------------------------------------------------------------------------------------------------------------------ Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,050,125 ------------------------------------------------------------------------------------------------------------------------------------ WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,694,950
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES Continued William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 $ 3,521,000 $ 3,811,483 ------------------ 35,418,061 ------------------------------------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS--0.1% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 1,650,000 1,674,750 ------------------------------------------------------------------------------------------------------------------------------------ Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 2,220,000 2,442,000 ------------------ 4,116,750 ------------------------------------------------------------------------------------------------------------------------------------ MEDIA--3.2% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 3 1,400,000 1,022,000 8.125% Sr. Nts., Series B, 7/15/03 3 2,325,000 1,743,750 8.375% Sr. Nts., Series B, 2/1/08 3 4,236,000 3,177,000 9.25% Sr. Unsec. Nts., Series B, 10/1/02 3 6,065,000 4,488,100 9.875% Sr. Nts., Series B, 3/1/07 3 1,800,000 1,350,000 10.25% Sr. Unsec. Sub. Nts., 6/15/11 3 800,000 612,000 10.875% Sr. Unsec. Nts., 10/1/10 3 200,000 150,000 ------------------------------------------------------------------------------------------------------------------------------------ Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 2,846,000 2,838,885 ------------------------------------------------------------------------------------------------------------------------------------ AMC Entertainment, Inc.: 8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,371,750 9.50% Sr. Unsec. Sub. Nts., 2/1/11 7,159,000 6,836,845 ------------------------------------------------------------------------------------------------------------------------------------ American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 867,750 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 2,050,000 2,003,875 ------------------------------------------------------------------------------------------------------------------------------------ Block Communications, Inc., 9.25% Sr. Sub. Nts., 4/15/09 3,088,000 3,288,720 ------------------------------------------------------------------------------------------------------------------------------------ CBD Media LLC/CBD Finance, Inc., 8.625% Sr. Sub. Nts., 6/1/11 900,000 933,750 ------------------------------------------------------------------------------------------------------------------------------------ Charter Communications Holdings I LLC, 0%/11.75% Sr. Unsec. Unsub. Nts., 5/15/14 7,11 8,607,000 6,197,040 ------------------------------------------------------------------------------------------------------------------------------------ Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 7 21,329,000 21,542,290 ------------------------------------------------------------------------------------------------------------------------------------ Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 1,929,000 2,001,338 ------------------------------------------------------------------------------------------------------------------------------------ Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 11 4,629,000 3,263,445 ------------------------------------------------------------------------------------------------------------------------------------ Corus Entertainment, Inc., 8.75% Sr. Sub. Nts., 3/1/12 2,318,000 2,494,748 ------------------------------------------------------------------------------------------------------------------------------------ CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 7,469,000 7,375,638 ------------------------------------------------------------------------------------------------------------------------------------ Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,632,200 ------------------------------------------------------------------------------------------------------------------------------------ Dex Media West LLC/Dex Media West Finance Co.: 5.875% Sr. Nts., 11/15/11 5,461,000 5,433,695 8.50% Sr. Nts., 8/15/10 2,509,000 2,665,813 9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,912,871 ------------------------------------------------------------------------------------------------------------------------------------ Dex Media, Inc., 8% Unsec. Nts., 11/15/13 10,333,000 10,668,823 ------------------------------------------------------------------------------------------------------------------------------------ DirecTV Holdings LLC/DirecTV Financing Co., Inc., 8.375% Sr. Unsec. Nts., 3/15/13 5,775,000 6,330,844
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MEDIA Continued EchoStar DBS Corp.: 6.625% Sr. Unsec. Nts., 10/1/14 $ 8,988,000 $ 8,943,060 9.125% Sr. Nts., 1/15/09 2,124,000 2,240,820 ------------------------------------------------------------------------------------------------------------------------------------ Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 2,696,000 2,699,370 ------------------------------------------------------------------------------------------------------------------------------------ Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,997,188 ------------------------------------------------------------------------------------------------------------------------------------ Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 1,118,000 1,028,560 ------------------------------------------------------------------------------------------------------------------------------------ Lamar Media Corp.: 6.625% Sr. Sub. Nts., 8/15/15 7 3,153,000 3,223,943 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,890,000 ------------------------------------------------------------------------------------------------------------------------------------ Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,079,433 ------------------------------------------------------------------------------------------------------------------------------------ LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 1,650,000 1,815,000 ------------------------------------------------------------------------------------------------------------------------------------ Mediacom Broadband LLC, 8.50% Sr. Nts., 10/15/15 7 1,895,000 1,838,150 ------------------------------------------------------------------------------------------------------------------------------------ Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 5,355,000 5,341,613 ------------------------------------------------------------------------------------------------------------------------------------ MediaNews Group, Inc., 6.875% Sr. Unsec. Sub. Nts., 10/1/13 2,375,000 2,369,063 ------------------------------------------------------------------------------------------------------------------------------------ News America Holdings, Inc., 8.875% Sr. Debs., 4/26/23 380,000 485,570 ------------------------------------------------------------------------------------------------------------------------------------ PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 5,317,000 5,383,463 8.875% Sr. Unsec. Nts., 5/15/11 118,000 124,195 ------------------------------------------------------------------------------------------------------------------------------------ R.H. Donnelley Corp., 6.875% Sr. Nts., 1/15/13 1,800,000 1,714,500 ------------------------------------------------------------------------------------------------------------------------------------ R.H. Donnelley Financial Corp. I: 8.875% Sr. Nts., 12/15/10 7 2,696,000 2,904,940 10.875% Sr. Sub. Nts., 12/15/12 7 4,340,000 4,893,350 ------------------------------------------------------------------------------------------------------------------------------------ Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,193,960 ------------------------------------------------------------------------------------------------------------------------------------ Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 7 2,899,000 3,105,554 ------------------------------------------------------------------------------------------------------------------------------------ Rogers Wireless, Inc.: 7.50% Sec. Nts., 3/15/15 4,931,000 5,337,808 8% Sr. Sub. Nts., 12/15/12 3,844,000 4,079,445 ------------------------------------------------------------------------------------------------------------------------------------ Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,800,416 ------------------------------------------------------------------------------------------------------------------------------------ Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 12,175,000 12,525,031 8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,160,500 ------------------------------------------------------------------------------------------------------------------------------------ Vertis, Inc., 9.75% Sr. Sec. Nts., 4/1/09 2,266,000 2,350,975 ------------------------------------------------------------------------------------------------------------------------------------ WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 11 6,485,000 4,571,925 ------------------ 209,301,002 ------------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL--0.3% Neiman Marcus Group, Inc.: 9% Sr. Nts., 10/15/15 6,7 9,720,000 9,792,900 10.375% Sr. Sub. Nts., 10/15/15 6,7 4,860,000 4,860,000
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL Continued Saks, Inc.: 8.25% Sr. Unsec. Nts., 11/15/08 $ 5,218,000 $ 5,531,080 9.875% Nts., 10/1/11 1,550,000 1,720,500 ------------------ 21,904,480 ------------------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL--0.3% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 5,938,800 ------------------------------------------------------------------------------------------------------------------------------------ Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 950,000 ------------------------------------------------------------------------------------------------------------------------------------ AutoNation, Inc., 9% Sr. Unsec. Nts., 8/1/08 5,295,000 5,745,075 ------------------------------------------------------------------------------------------------------------------------------------ Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,168,968 ------------------------------------------------------------------------------------------------------------------------------------ Finlay Fine Jewelry Corp., 8.375% Sr. Unsec. Nts., 6/1/12 800,000 681,000 ------------------------------------------------------------------------------------------------------------------------------------ Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 2,3 4,300,000 -- ------------------------------------------------------------------------------------------------------------------------------------ Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 3,851,000 4,255,355 ------------------------------------------------------------------------------------------------------------------------------------ Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,250,000 1,195,313 ------------------ 21,934,511 ------------------------------------------------------------------------------------------------------------------------------------ TEXTILES, APPAREL & LUXURY GOODS--0.3% Invista, Inc., 9.25% Sr. Nts., 5/1/12 7 5,830,000 6,369,275 ------------------------------------------------------------------------------------------------------------------------------------ Levi Strauss & Co.: 7% Unsec. Nts., 11/1/06 1,500,000 1,516,875 8.254% Sr. Unsec. Unsub. Nts., 4/1/12 1 3,270,000 3,278,175 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,988,000 4,087,700 ------------------------------------------------------------------------------------------------------------------------------------ Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 1,650,000 1,724,250 ------------------------------------------------------------------------------------------------------------------------------------ Quiksilver, Inc., 6.875% Sr. Nts., 4/15/15 7 2,215,000 2,137,475 ------------------------------------------------------------------------------------------------------------------------------------ Russell Corp., 9.25% Sr. Nts., 5/1/10 2,507,000 2,544,605 ------------------ 21,658,355 ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--1.0% ------------------------------------------------------------------------------------------------------------------------------------ BEVERAGES--0.1% Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 1,300,000 1,339,000 ------------------------------------------------------------------------------------------------------------------------------------ Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,149,031 ------------------ 3,488,031 ------------------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--0.1% Jean Coutu Group (PJC), Inc. (The): 7.625% Sr. Unsec. Nts., 8/1/12 100,000 102,250 8.50% Sr. Sub. Nts., 8/1/14 2,897,000 2,897,000 ------------------------------------------------------------------------------------------------------------------------------------ Real Time Data Co., 11% Disc. Nts., 5/31/09 2,3 8,836,185 -- ------------------------------------------------------------------------------------------------------------------------------------ Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,896,025 9.50% Sr. Sec. Nts., 2/15/11 2,025,000 2,156,625 ------------------ 9,051,900
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.7% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 $ 4,525,000 $ 4,841,750 ------------------------------------------------------------------------------------------------------------------------------------ Burns Philp Capital Property Ltd., 9.75% Sr. Unsec. Sub. Nts., 7/15/12 3,988,000 4,486,500 ------------------------------------------------------------------------------------------------------------------------------------ Del Monte Corp.: 6.75% Sr. Sub. Nts., 2/15/15 7 1,325,000 1,338,250 8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,271,400 ------------------------------------------------------------------------------------------------------------------------------------ Doane Pet Care Co., 10.75% Sr. Nts., 3/1/10 7,292,000 7,984,740 ------------------------------------------------------------------------------------------------------------------------------------ Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 1,838,000 1,929,900 8.875% Sr. Unsec. Nts., 3/15/11 623,000 649,478 ------------------------------------------------------------------------------------------------------------------------------------ Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 1,900,000 1,938,000 ------------------------------------------------------------------------------------------------------------------------------------ Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,469,440 8% Sr. Nts., Series B, 10/15/09 2 1,300,000 1,381,250 ------------------------------------------------------------------------------------------------------------------------------------ Swift & Co., 10.125% Sr. Nts., 10/1/09 1,925,000 2,081,406 ------------------------------------------------------------------------------------------------------------------------------------ United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 [GBP] 4,351,000 8,182,683 ------------------ 42,554,797 ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS--0.1% Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,960,000 ------------------------------------------------------------------------------------------------------------------------------------ Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 3,092,000 3,254,330 9.375% Sr. Unsec. Sub. Nts., 6/1/11 2,888,000 3,028,790 ------------------ 8,243,120 ------------------------------------------------------------------------------------------------------------------------------------ TOBACCO--0.0% R.J. Reynolds Tobacco Holdings, Inc., 6.50% Nts., 7/15/10 7 1,620,000 1,624,050 ------------------------------------------------------------------------------------------------------------------------------------ ENERGY--3.6% ------------------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--0.1% Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,829,000 1,938,740 ------------------------------------------------------------------------------------------------------------------------------------ Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 843,315 ------------------------------------------------------------------------------------------------------------------------------------ Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,025,000 2,161,688 ------------------------------------------------------------------------------------------------------------------------------------ Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,412,240 ------------------ 8,355,983 ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS--3.5% ANR Pipeline Co., 8.875% Sr. Nts., 3/15/10 1,733,000 1,881,880 ------------------------------------------------------------------------------------------------------------------------------------ Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,363,025 ------------------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp.: 6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 2,020,000 6.875% Sr. Unsec. Nts., 1/15/16 4,973,000 5,122,190 ------------------------------------------------------------------------------------------------------------------------------------ Clayton Williams Energy, Inc., 7.75% Sr. Nts., 8/1/13 7 1,270,000 1,247,775 ------------------------------------------------------------------------------------------------------------------------------------ Delta Petroleum Corp., 7% Sr. Unsec. Nts., 4/1/15 1,000,000 960,000
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS Continued El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 $ 6,140,000 $ 6,385,600 ------------------------------------------------------------------------------------------------------------------------------------ El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,542,060 ------------------------------------------------------------------------------------------------------------------------------------ El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,464,300 ------------------------------------------------------------------------------------------------------------------------------------ Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,810,975 ------------------------------------------------------------------------------------------------------------------------------------ Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 942,750 ------------------------------------------------------------------------------------------------------------------------------------ Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 1,675,000 1,735,719 ------------------------------------------------------------------------------------------------------------------------------------ Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 28,674,000 31,394,302 ------------------------------------------------------------------------------------------------------------------------------------ Nak Naftogaz Ukraine, 8.125% Bonds, 9/30/09 1,230,000 1,308,167 ------------------------------------------------------------------------------------------------------------------------------------ Newfield Exploration Co.: 6.625% Sr. Unsec. Sub. Nts., 9/1/14 200,000 209,000 8.375% Sr. Sub. Nts., 8/15/12 3,129,000 3,394,965 ------------------------------------------------------------------------------------------------------------------------------------ Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Nts., 9/15/15 7 640,000 644,800 ------------------------------------------------------------------------------------------------------------------------------------ Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,545,850 ------------------------------------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust: 7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,635,363 8.50% Unsub. Nts., 2/15/08 3,586,000 3,877,363 9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 9,082,185 ------------------------------------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 7 28,400,000 28,318,464 ------------------------------------------------------------------------------------------------------------------------------------ Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 6,018,105 ------------------------------------------------------------------------------------------------------------------------------------ Range Resources Corp., 6.375% Sr. Sub. Nts., 3/15/15 1,665,000 1,685,813 ------------------------------------------------------------------------------------------------------------------------------------ Southern Natural Gas Co.: 7.35% Nts., 2/15/31 5,502,000 5,644,430 8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,804,760 8.875% Sr. Nts., 3/15/10 2,599,000 2,822,277 ------------------------------------------------------------------------------------------------------------------------------------ Stone Energy Corp.: 6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 3,110,625 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,055,000 ------------------------------------------------------------------------------------------------------------------------------------ Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,204,125 ------------------------------------------------------------------------------------------------------------------------------------ Tengizchevroil LLP, 6.124% Nts., 11/15/14 7 17,587,000 18,070,643 ------------------------------------------------------------------------------------------------------------------------------------ Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 13,526,000 14,644,627 ------------------------------------------------------------------------------------------------------------------------------------ Tesoro Petroleum Corp.: 8% Sr. Sec. Nts., 4/15/08 7,609,000 7,970,428 9.625% Sr. Sub. Nts., 4/1/12 2,280,000 2,522,250 ------------------------------------------------------------------------------------------------------------------------------------ Titan Petrochemicals Group Ltd., 8.50% Sr. Unsec. Nts., 3/18/12 7 6,066,000 5,868,855 ------------------------------------------------------------------------------------------------------------------------------------ Whiting Petroleum Corp., 7.25% Sr. Sub. Nts., 5/1/12 1,000,000 1,022,500 ------------------------------------------------------------------------------------------------------------------------------------ Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 15,162,000 15,958,005 7.625% Nts., 7/15/19 1,600,000 1,740,000 8.75% Unsec. Nts., 3/15/32 2,425,000 2,873,625 ------------------------------------------------------------------------------------------------------------------------------------ Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,138,500 ------------------ 233,041,301
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ FINANCIALS--2.9% ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS--0.1% Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 3,281,000 $ 3,543,480 ------------------------------------------------------------------------------------------------------------------------------------ DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 2 800,000 480,000 ------------------------------------------------------------------------------------------------------------------------------------ E*TRADE Financial Corp.: 7.375% Sr. Nts., 9/15/13 7 956,000 970,340 8% Sr. Nts., 6/15/11 7 2,710,000 2,811,625 ------------------ 7,805,445 ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--1.8% Bank Plus Corp., 12% Sr. Nts., 7/18/07 2 4,012,000 4,353,020 ------------------------------------------------------------------------------------------------------------------------------------ BankUnited Capital Trust, 10.25% Capital Securities, 12/31/26 2 9,675,000 10,569,938 ------------------------------------------------------------------------------------------------------------------------------------ Dresdner Bank AG (Ukreximbank), 8.75% Bonds, 2/10/10 5,800,000 6,082,750 ------------------------------------------------------------------------------------------------------------------------------------ HSBC Bank plc: 9.75% Sr. Unsec. Nts., 7/8/09 8 16,420,000 11,428,320 11.60% Sr. Unsec. Nts., 1/12/10 8 21,550,000 13,005,425 12.28% Sr. Unsec. Nts., 3/9/09 8 16,420,000 10,738,680 ------------------------------------------------------------------------------------------------------------------------------------ Inter-American Development Bank: 6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,039,632 8.81% Nts., 1/25/12 1 [COP] 8,336,714,299 3,663,030 ------------------------------------------------------------------------------------------------------------------------------------ Kuznetski Capital SA, Bank of Moscow, 7.375% Nts., 11/26/10 2 12,565,000 13,287,488 ------------------------------------------------------------------------------------------------------------------------------------ Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 2,3 4,970,000 -- ------------------------------------------------------------------------------------------------------------------------------------ UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,469,419 ------------------------------------------------------------------------------------------------------------------------------------ VTB Capital SA, 6.25% Bonds, 7/2/35 7 20,590,000 21,490,813 ------------------------------------------------------------------------------------------------------------------------------------ Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,958,000 4,551,700 ------------------ 120,680,215 ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES--0.4% Affinia Group, Inc., 9% Sr. Sub. Nts., 11/30/14 7 1,675,000 1,314,875 ------------------------------------------------------------------------------------------------------------------------------------ American Commercial Lines LLC/American Commercial Lines Finance Corp., 9.50% Sr. Unsec. Nts., 2/15/15 1,005,000 1,090,425 ------------------------------------------------------------------------------------------------------------------------------------ Argentine Beverages Financial Trust, 7.375% Bonds, 3/22/12 2 3,640,000 3,776,500 ------------------------------------------------------------------------------------------------------------------------------------ Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp.: 0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 11 3,290,000 2,319,450 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,640,978 ------------------------------------------------------------------------------------------------------------------------------------ Global Cash Access LLC/Global Cash Finance Corp., 8.75% Sr. Sub. Nts., 3/15/12 1,600,000 1,728,000 ------------------------------------------------------------------------------------------------------------------------------------ JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,629,125 ------------------------------------------------------------------------------------------------------------------------------------ Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 7 8,535,000 8,385,638 ------------------------------------------------------------------------------------------------------------------------------------ Universal City Florida: 8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,042,500 8.443% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,042,500 ------------------ 27,969,991
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ INSURANCE--0.1% Residential Reinsurance Ltd., 13.37% Nts., Cl. B, 6/8/07 1,2 $ 2,000,000 $ 1,912,400 ------------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE--0.4% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 1,900,000 1,968,875 ------------------------------------------------------------------------------------------------------------------------------------ Felcor Lodging LP, 9% Sr. Nts., 6/1/11 2,911,000 3,180,268 ------------------------------------------------------------------------------------------------------------------------------------ HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 707,000 719,373 ------------------------------------------------------------------------------------------------------------------------------------ Host Marriott LP: 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,729,375 9.50% Sr. Nts., 1/15/07 5,214,000 5,481,218 ------------------------------------------------------------------------------------------------------------------------------------ MeriStar Hospitality Corp.: 9.125% Sr. Unsec. Nts., 1/15/11 5,133,000 5,466,645 10.50% Sr. Unsec. Nts., 6/15/09 2,696,000 2,871,240 ------------------------------------------------------------------------------------------------------------------------------------ Trustreet Properties, Inc.: 7.50% Sr. Nts., 4/1/15 7 1,275,000 1,310,063 7.50% Sr. Unsec. Nts., 4/1/15 2,825,000 2,902,688 ------------------ 27,629,745 ------------------------------------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE--0.1% Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,054,000 5,306,700 ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE--1.7% ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 1,700,000 1,734,000 ------------------------------------------------------------------------------------------------------------------------------------ Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 3,995,000 4,294,625 ------------------------------------------------------------------------------------------------------------------------------------ Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,429,770 ------------------ 8,458,395 ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--1.5% AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 2,921,820 ------------------------------------------------------------------------------------------------------------------------------------ Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,255,233 ------------------------------------------------------------------------------------------------------------------------------------ Coventry Health Care, Inc., 6.125% Sr. Unsec. Nts., 1/15/15 1,650,000 1,699,500 ------------------------------------------------------------------------------------------------------------------------------------ DaVita, Inc.: 6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,388,275 7.25% Sr. Unsec. Sub. Nts., 3/15/15 2,660,000 2,709,875 ------------------------------------------------------------------------------------------------------------------------------------ Extendicare Health Services, Inc.: 6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,336,500 9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,064,030 ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,239,848 ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,121,739 ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 2,888,000 3,119,040 ------------------------------------------------------------------------------------------------------------------------------------ Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,569,625
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES Continued HCA, Inc.: 6.30% Sr. Unsec. Nts., 10/1/12 $ 9,407,000 $ 9,397,414 6.375% Nts., 1/15/15 10,798,000 10,737,002 ------------------------------------------------------------------------------------------------------------------------------------ HealthSouth Corp.: 7.625% Nts., 6/1/12 12,209,000 11,476,460 10.75% Sr. Unsec. Sub. Nts., 10/1/08 118,000 115,935 ------------------------------------------------------------------------------------------------------------------------------------ Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,577,000 3,791,620 ------------------------------------------------------------------------------------------------------------------------------------ NDCHealth Corp., 10.50% Sr. Unsec. Sub. Nts., 12/1/12 4,162,000 4,786,300 ------------------------------------------------------------------------------------------------------------------------------------ PacifiCare Health Systems, Inc., 10.75% Sr. Unsec. Unsub. Nts., 6/1/09 3,134,000 3,396,473 ------------------------------------------------------------------------------------------------------------------------------------ Psychiatric Solutions, Inc., 7.75% Sr. Sub. Nts., 7/15/15 7 1,605,000 1,665,188 ------------------------------------------------------------------------------------------------------------------------------------ Quintiles Transnational Corp., 10% Sr. Sub. Nts., 10/1/13 2,509,000 2,835,170 ------------------------------------------------------------------------------------------------------------------------------------ Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 5,406,000 5,811,450 ------------------------------------------------------------------------------------------------------------------------------------ Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 3,835,000 3,691,188 ------------------------------------------------------------------------------------------------------------------------------------ Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 4,070,000 3,815,625 7.375% Nts., 2/1/13 118,000 112,395 9.875% Sr. Nts., 7/1/14 3,884,000 4,078,200 ------------------------------------------------------------------------------------------------------------------------------------ Triad Hospitals, Inc.: 7% Sr. Nts., 5/15/12 100,000 103,250 7% Sr. Sub. Nts., 11/15/13 7,050,000 7,173,375 ------------------------------------------------------------------------------------------------------------------------------------ US Oncology, Inc.: 9% Sr. Unsec. Nts., 8/15/12 100,000 108,500 10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 112,500 ------------------ 100,633,530 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS--1.9% ------------------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE--0.4% Alliant Techsystems, Inc., 8.50% Sr. Unsec. Sub. Nts., 5/15/11 2,992,000 3,164,040 ------------------------------------------------------------------------------------------------------------------------------------ BE Aerospace, Inc.: 8.50% Sr. Unsec. Nts., 10/1/10 1,500,000 1,642,500 8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,159,585 ------------------------------------------------------------------------------------------------------------------------------------ L-3 Communications Corp.: 5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,947,378 6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,791,000 6.375% Sr. Sub. Nts., 10/15/15 7 2,215,000 2,242,688 ------------------------------------------------------------------------------------------------------------------------------------ TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 3,184,000 3,351,160 ------------------------------------------------------------------------------------------------------------------------------------ TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 2,024,000 2,206,160 11% Sr. Sub. Nts., 2/15/13 1,720,000 1,947,900 ------------------ 22,452,411
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ AIRLINES--0.0% AMR Corp., 9% Debs., 8/1/12 $ 1,100,000 $ 781,000 ------------------------------------------------------------------------------------------------------------------------------------ ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3 11,115,000 1,611,675 ------------------ 2,392,675 ------------------------------------------------------------------------------------------------------------------------------------ BUILDING PRODUCTS--0.1% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,344,698 ------------------------------------------------------------------------------------------------------------------------------------ Goodman Global Holding Co., Inc., 7.875% Sr. Sub. Nts., 12/15/12 7 2,060,000 1,874,600 ------------------------------------------------------------------------------------------------------------------------------------ Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,253,000 2,399,445 ------------------------------------------------------------------------------------------------------------------------------------ Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 1,550,000 1,433,750 ------------------ 8,052,493 ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--0.4% Allied Waste North America, Inc.: 7.25% Sr. Nts., 3/15/15 7 815,000 806,850 7.375% Sr. Sec. Nts., Series B, 4/15/14 4,600,000 4,347,000 8.875% Sr. Nts., Series B, 4/1/08 9,935,000 10,406,913 9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 290,363 ------------------------------------------------------------------------------------------------------------------------------------ American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 2,3 3,462,000 -- ------------------------------------------------------------------------------------------------------------------------------------ Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 2,200,000 2,134,000 ------------------------------------------------------------------------------------------------------------------------------------ Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2 3,011,000 3,018,528 ------------------------------------------------------------------------------------------------------------------------------------ Corrections Corp. of America: 6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,318,325 7.50% Sr. Nts., 5/1/11 1,500,000 1,554,375 ------------------------------------------------------------------------------------------------------------------------------------ Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 4,880,000 5,258,200 ------------------ 31,134,554 ------------------------------------------------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT--0.1% Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 577,500 ------------------------------------------------------------------------------------------------------------------------------------ Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 1,937,635 ------------------------------------------------------------------------------------------------------------------------------------ Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,285,000 3,984,245 ------------------------------------------------------------------------------------------------------------------------------------ UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,597,853 ------------------ 9,097,233 ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--0.0% Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 332,100 ------------------------------------------------------------------------------------------------------------------------------------ MACHINERY--0.4% Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 7 2,314,000 2,325,570 ------------------------------------------------------------------------------------------------------------------------------------ Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,124,550 ------------------------------------------------------------------------------------------------------------------------------------ Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 676,000 ------------------------------------------------------------------------------------------------------------------------------------ Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,994,175
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ MACHINERY Continued Navistar International Corp., 6.25% Sr. Unsec. Nts., 3/1/12 $ 1,665,000 $ 1,590,075 ------------------------------------------------------------------------------------------------------------------------------------ NMHG Holding Co., 10% Sr. Nts., 5/15/09 2,411,000 2,591,825 ------------------------------------------------------------------------------------------------------------------------------------ Terex Corp.: 9.25% Sr. Unsec. Sub. Nts., 7/15/11 2,799,000 3,022,920 10.375% Sr. Unsec. Sub. Nts., Series B, 4/1/11 5,295,000 5,692,125 ------------------------------------------------------------------------------------------------------------------------------------ Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,029,500 ------------------------------------------------------------------------------------------------------------------------------------ Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 3,851,000 3,668,078 ------------------ 28,714,818 ------------------------------------------------------------------------------------------------------------------------------------ MARINE--0.2% CP Ships Ltd., 10.375% Sr. Nts., 7/15/12 6,413,000 7,310,820 ------------------------------------------------------------------------------------------------------------------------------------ Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 3,7 4,320,000 4,627,800 ------------------------------------------------------------------------------------------------------------------------------------ WPO Shipholding Co. LLC, 12% Sr. Sec. Nts., 7/15/05 2,3 5,400,000 30,240 ------------------ 11,968,860 ------------------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL--0.1% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,236,563 ------------------------------------------------------------------------------------------------------------------------------------ Stena AB: 7% Sr. Unsec. Nts., 12/1/16 1,944,000 1,807,920 7.50% Sr. Unsec. Nts., 11/1/13 232,000 226,780 9.625% Sr. Nts., 12/1/12 2,220,000 2,419,800 ------------------ 6,691,063 ------------------------------------------------------------------------------------------------------------------------------------ TRADING COMPANIES & DISTRIBUTORS--0.2% United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 10,209,000 9,519,893 ------------------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY--0.8% ------------------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT--0.2% Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 8,599,000 7,567,120 ------------------------------------------------------------------------------------------------------------------------------------ Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3 12,679,000 7,163,635 ------------------ 14,730,755 ------------------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS--0.0% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,518,000 2,656,490 ------------------------------------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 8,006,000 8,006,000 ------------------------------------------------------------------------------------------------------------------------------------ Loews Cineplex Entertainment Corp., 9% Sr. Unsec. Sub. Nts., 8/1/14 175,000 171,063 ------------------------------------------------------------------------------------------------------------------------------------ Sanmina-SCI Corp., 6.75% Unsec. Sub. Nts., 3/1/13 2,335,000 2,229,925 ------------------ 10,406,988
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,3 [EUR] 2,116,376 $ 6,359 ------------------------------------------------------------------------------------------------------------------------------------ NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,3 2,081,799 -- ------------------------------------------------------------------------------------------------------------------------------------ PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 2,3 [EUR] 6,650,000 -- ------------------ 6,359 ------------------------------------------------------------------------------------------------------------------------------------ IT SERVICES--0.2% DynCorp International LLC, 9.50% Sr. Sub. Nts., 2/15/13 7 4,755,000 4,992,750 ------------------------------------------------------------------------------------------------------------------------------------ Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,265,640 ------------------------------------------------------------------------------------------------------------------------------------ SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 7 4,870,000 5,070,888 10.25% Sr. Sub. Nts., 8/15/15 7 950,000 966,625 ------------------ 15,295,903 ------------------------------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 5,625,000 5,793,750 ------------------------------------------------------------------------------------------------------------------------------------ Amkor Technology, Inc., 9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,365,000 4,114,013 ------------------------------------------------------------------------------------------------------------------------------------ Freescale Semiconductor, Inc., 7.125% Sr. Unsec. Nts., 7/15/14 2,303,000 2,464,210 ------------------ 12,371,973 ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS--3.7% ------------------------------------------------------------------------------------------------------------------------------------ CHEMICALS--1.0% ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 2 1,700,000 1,139,000 ------------------------------------------------------------------------------------------------------------------------------------ Compass Minerals Group, Inc., 10% Sr. Sub. Nts., 8/15/11 1,018,000 1,109,620 ------------------------------------------------------------------------------------------------------------------------------------ Crompton Corp., 9.875% Sr. Nts., 8/1/12 125,000 142,969 ------------------------------------------------------------------------------------------------------------------------------------ Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,852,980 10.125% Sr. Unsec. Nts., 9/1/08 118,000 127,440 10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,479,345 ------------------------------------------------------------------------------------------------------------------------------------ Huntsman Corp./ICI Chemical Co. plc: 10.125% Sr. Unsec. Sub. Nts., 7/1/09 8,413,000 8,696,939 10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 1,910,000 2,367,271 ------------------------------------------------------------------------------------------------------------------------------------ Huntsman International LLC: 7.375% Sr. Sub. Nts., 1/1/15 7 7,051,000 6,786,588 9.875% Sr. Nts., 3/1/09 5,895,000 6,256,069 ------------------------------------------------------------------------------------------------------------------------------------ Huntsman LLC: 11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 810,135 11.625% Sr. Unsec. Nts., 10/15/10 76,000 87,210 ------------------------------------------------------------------------------------------------------------------------------------ IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 118,000 139,830 ------------------------------------------------------------------------------------------------------------------------------------ Innophos, Inc., 8.875% Sr. Sub. Nts., 8/15/14 7 3,250,000 3,339,375 ------------------------------------------------------------------------------------------------------------------------------------ ISP Holdings, Inc., 10.625% Sr. Sec. Nts., 12/15/09 4,147,000 4,406,188 ------------------------------------------------------------------------------------------------------------------------------------ KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 11 2,650,000 1,821,875
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ CHEMICALS Continued Lyondell Chemical Co.: 9.50% Sec. Nts., 12/15/08 $ 118,000 $ 124,195 9.625% Sr. Sec. Nts., Series A, 5/1/07 2,074,000 2,188,070 10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,398,125 ------------------------------------------------------------------------------------------------------------------------------------ Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 900,000 972,000 ------------------------------------------------------------------------------------------------------------------------------------ PCI Chemicals Canada, 10% Sr. Sec. Nts., 12/31/08 2,550,102 2,690,358 ------------------------------------------------------------------------------------------------------------------------------------ PolyOne Corp., 10.625% Sr. Unsec. Nts., 5/15/10 1,618,000 1,674,630 ------------------------------------------------------------------------------------------------------------------------------------ Rhodia SA, 10.25% Sr. Unsec. Nts., 6/1/10 2,611,000 2,774,188 ------------------------------------------------------------------------------------------------------------------------------------ Rockwood Specialties Group, Inc.: 7.50% Sr. Sub. Nts., 11/15/14 7 1,350,000 1,316,250 10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 958,125 ------------------------------------------------------------------------------------------------------------------------------------ Sterling Chemicals, Inc., 10% Sr. Sec. Nts., 12/19/07 2,12 2,142,848 2,132,134 ------------------------------------------------------------------------------------------------------------------------------------ Westlake Chemical Corp., 8.75% Sr. Nts., 7/15/11 1,102,000 1,192,915 ------------------ 63,983,824 ------------------------------------------------------------------------------------------------------------------------------------ CONSTRUCTION MATERIALS--0.0% NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 11 5,340,000 3,017,100 ------------------------------------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING--1.1% Crown Euro Holdings SA: 9.50% Sr. Sec. Nts., 3/1/11 3,766,000 4,142,600 10.875% Sr. Sec. Nts., 3/1/13 1,881,000 2,191,365 ------------------------------------------------------------------------------------------------------------------------------------ Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,300,000 9.875% Sr. Unsec. Sub. Nts., 10/15/14 2,314,000 2,233,010 ------------------------------------------------------------------------------------------------------------------------------------ Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5,738,000 5,651,930 9.50% Sr. Sub. Nts., 8/15/13 2,655,000 2,508,975 ------------------------------------------------------------------------------------------------------------------------------------ Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,750,000 1,653,750 ------------------------------------------------------------------------------------------------------------------------------------ MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,313,810 ------------------------------------------------------------------------------------------------------------------------------------ Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,917,640 8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,690,810 8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,356,670 8.875% Sr. Sec. Nts., 2/15/09 6,484,000 6,840,620 ------------------------------------------------------------------------------------------------------------------------------------ Pliant Corp., 11.625% Sr. Sec. Nts., 6/15/09 7,12 1,914,712 2,039,168 ------------------------------------------------------------------------------------------------------------------------------------ Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 4,033,000 3,589,370 ------------------------------------------------------------------------------------------------------------------------------------ Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 4,725,000 4,512,375 9.25% Sr. Unsec. Nts., 2/1/08 4,582,000 4,696,550 9.75% Sr. Unsec. Nts., 2/1/11 8,006,000 8,166,120 ------------------------------------------------------------------------------------------------------------------------------------ Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 7 960,000 1,032,000 ------------------------------------------------------------------------------------------------------------------------------------ TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 5,397,975 ------------------ 72,234,738
47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ METALS & MINING--1.1% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 $ 3,768,000 $ 3,494,820 7.875% Sr. Unsec. Nts., 2/15/09 3,779,000 3,684,525 ------------------------------------------------------------------------------------------------------------------------------------ Alrosa Finance SA: 8.875% Nts., 11/17/14 5,465,000 6,489,688 8.875% Nts., 11/17/14 7 15,595,000 18,519,063 ------------------------------------------------------------------------------------------------------------------------------------ Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,126,925 ------------------------------------------------------------------------------------------------------------------------------------ IMCO Recycling, Inc., 10.375% Sr. Sec. Nts., 10/15/10 2,655,000 2,940,413 ------------------------------------------------------------------------------------------------------------------------------------ International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,3 1,586,000 -- ------------------------------------------------------------------------------------------------------------------------------------ IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 2 1,000,000 1,110,000 ------------------------------------------------------------------------------------------------------------------------------------ Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2 2,974,000 3,464,710 ------------------------------------------------------------------------------------------------------------------------------------ Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,892,540 ------------------------------------------------------------------------------------------------------------------------------------ Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3 4,832,000 4,723,280 ------------------------------------------------------------------------------------------------------------------------------------ Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 3,186,000 3,536,460 ------------------------------------------------------------------------------------------------------------------------------------ Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,179,750 ------------------------------------------------------------------------------------------------------------------------------------ Novelis, Inc., 7.25% Sr. Nts., 2/15/15 7 4,980,000 4,731,000 ------------------------------------------------------------------------------------------------------------------------------------ Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 3,762,000 4,072,365 ------------------------------------------------------------------------------------------------------------------------------------ Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,268,438 ------------------------------------------------------------------------------------------------------------------------------------ United States Steel Corp.: 9.75% Sr. Nts., 5/15/10 1,949,000 2,148,773 10.75% Sr. Nts., 8/1/08 3,197,000 3,612,610 ------------------ 73,995,360 ------------------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS--0.5% Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,925,000 1,968,313 ------------------------------------------------------------------------------------------------------------------------------------ Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,530,000 ------------------------------------------------------------------------------------------------------------------------------------ Fort James Corp., 6.875% Sr. Nts., 9/15/07 2,407,000 2,491,245 ------------------------------------------------------------------------------------------------------------------------------------ Georgia-Pacific Corp.: 8.125% Sr. Unsec. Nts., 5/15/11 3,281,000 3,641,910 9.375% Sr. Unsec. Nts., 2/1/13 6,161,000 6,900,320 ------------------------------------------------------------------------------------------------------------------------------------ Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3 6,414,000 2,982,510 ------------------------------------------------------------------------------------------------------------------------------------ JSG Holding plc, 11.50% Sr. Nts., 10/1/15 7,12 [EUR] 1,034,778 1,097,520 ------------------------------------------------------------------------------------------------------------------------------------ Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 2,330,000 1,992,150 ------------------------------------------------------------------------------------------------------------------------------------ Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 1,900,000 1,814,500 ------------------------------------------------------------------------------------------------------------------------------------ PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 2,3 4,025,000 60,375 ------------------------------------------------------------------------------------------------------------------------------------ Tekni-Plex, Inc.: 8.75% Sr. Sec. Nts., 11/15/13 7 537,000 461,820 12.75% Sr. Unsec. Sub. Nts., Series B, 6/15/10 4,580,000 2,564,800 ------------------------------------------------------------------------------------------------------------------------------------ Tembec Industries, Inc.: 7.75% Sr. Nts., 3/15/12 3,851,000 2,464,640 8.50% Sr. Unsec. Nts., 2/1/11 118,000 77,585
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS Continued Western Forest Products, Inc., 15% Sec. Nts., 7/28/09 2,12 $ 3,336,034 $ 3,269,313 ------------------ 33,317,001 ------------------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES--2.8% ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--1.3% American Tower Corp., 7.125% Sr. Unsec. Nts., 10/15/12 750,000 791,250 ------------------------------------------------------------------------------------------------------------------------------------ Cincinnati Bell, Inc., 7% Sr. Nts., 2/15/15 3,335,000 3,234,950 ------------------------------------------------------------------------------------------------------------------------------------ Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 7 2,351,000 2,268,715 ------------------------------------------------------------------------------------------------------------------------------------ Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 2,3 6,486,356 -- ------------------------------------------------------------------------------------------------------------------------------------ Intelsat Bermuda Ltd., 8.625% Sr. Nts., 1/15/15 7 6,010,000 6,160,250 ------------------------------------------------------------------------------------------------------------------------------------ KPNQwest BV, 8.875% Sr. Nts., 2/1/08 2,3 [EUR] 5,000,000 240,370 ------------------------------------------------------------------------------------------------------------------------------------ Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 2 4,425,000 3,628,500 ------------------------------------------------------------------------------------------------------------------------------------ MCI, Inc.: 6.908% Sr. Unsec. Nts., 5/1/07 1 5,033,000 5,083,330 7.688% Sr. Unsec. Nts., 5/1/09 1 7,750,000 8,060,000 ------------------------------------------------------------------------------------------------------------------------------------ PanAmSat Corp., 9% Sr. Unsec. Nts., 8/15/14 4,170,000 4,420,200 ------------------------------------------------------------------------------------------------------------------------------------ PanAmSat Holding Corp., 0%/10.375% Sr. Unsec. Disc. Nts., 11/1/14 11 1,325,000 920,875 ------------------------------------------------------------------------------------------------------------------------------------ Qwest Capital Funding, Inc., 7.90% Unsec. Nts., 8/15/10 4,797,000 4,785,008 ------------------------------------------------------------------------------------------------------------------------------------ Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,468,125 ------------------------------------------------------------------------------------------------------------------------------------ Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 1 10,690,000 11,732,275 ------------------------------------------------------------------------------------------------------------------------------------ Qwest Services Corp.: 13.50% Sr. Sec. Sub. Nts., 12/15/10 14,211,000 16,342,650 14% Sr. Sec. Sub. Nts., 12/15/14 7,827,000 9,529,373 ------------------------------------------------------------------------------------------------------------------------------------ Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,3 5,035,000 -- ------------------------------------------------------------------------------------------------------------------------------------ Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 4,335,000 4,410,863 ------------------------------------------------------------------------------------------------------------------------------------ Time Warner Telecom LLC/Time Warner Telecom, Inc., 9.75% Sr. Nts., 7/15/08 2,142,000 2,179,485 ------------------------------------------------------------------------------------------------------------------------------------ Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 825,000 853,875 ------------------------------------------------------------------------------------------------------------------------------------ Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,623,375 ------------------ 87,733,469 ------------------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES--1.5% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 200,000 214,500 11% Sr. Unsec. Nts., 7/31/10 118,000 133,635 12.50% Sr. Unsec. Nts., 2/1/11 5,591,000 6,345,785 ------------------------------------------------------------------------------------------------------------------------------------ American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,520,000 1,664,400 ------------------------------------------------------------------------------------------------------------------------------------ American Tower Corp., 7.50% Sr. Nts., 5/1/12 4,047,000 4,310,055 ------------------------------------------------------------------------------------------------------------------------------------ American Tower Escrow Corp., 12.25% Sr. Sub. Disc. Nts., 8/1/08 8 6,176,000 4,786,400
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES Continued AT&T Corp.: 9.05% Sr. Unsec. Nts., 11/15/11 1 $ 6,229,000 $ 7,046,556 9.75% Sr. Nts., 11/15/31 1 1,500,000 1,906,875 ------------------------------------------------------------------------------------------------------------------------------------ CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,3 21,702,000 -- ------------------------------------------------------------------------------------------------------------------------------------ Centennial Cellular Operating Co. LLC/Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 5,210,000 5,887,300 ------------------------------------------------------------------------------------------------------------------------------------ Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,068,075 ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp.: 8.10% Sr. Nts., 10/15/12 1,7 955,000 946,644 8.875% Sr. Nts., 10/1/13 2,294,000 2,305,470 ------------------------------------------------------------------------------------------------------------------------------------ IWO Holdings, Inc., 7.349% Sr. Sec. Nts., 1/15/12 1 850,000 888,250 ------------------------------------------------------------------------------------------------------------------------------------ Loral Skynet Corp., 14% Sr. Sec. Nts., 7/29/15 2,12 2,188,000 2,603,720 ------------------------------------------------------------------------------------------------------------------------------------ Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 19,460,000 20,850,553 ------------------------------------------------------------------------------------------------------------------------------------ Nextel Partners, Inc.: 8.125% Sr. Nts., 7/1/11 200,000 217,000 12.50% Sr. Nts., 11/15/09 6,392,000 6,855,420 ------------------------------------------------------------------------------------------------------------------------------------ Rural Cellular Corp.: 8.25% Sr. Sec. Nts., 3/15/12 1,600,000 1,688,000 9.625% Sr. Sub. Nts., Series B, 5/15/08 2,268,000 2,290,680 9.75% Sr. Sub. Nts., 1/15/10 4,413,000 4,479,195 9.875% Sr. Nts., 2/1/10 3,568,000 3,764,240 ------------------------------------------------------------------------------------------------------------------------------------ SBA Communications Corp., 8.50% Sr. Unsec. Nts., Cl. A, 12/1/12 4,651,000 5,081,218 ------------------------------------------------------------------------------------------------------------------------------------ SBA Telecommunications, Inc./SBA Communications Corp., 0%/9.75% Sr. Disc. Nts., 12/15/11 11 4,943,000 4,510,488 ------------------------------------------------------------------------------------------------------------------------------------ Triton PCS, Inc., 8.50% Sr. Unsec. Nts., 6/1/13 4,243,000 4,062,673 ------------------------------------------------------------------------------------------------------------------------------------ UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,790,845 ------------------ 96,697,977 ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES--1.7% ------------------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES--1.3% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 7 7,798,000 8,577,800 ------------------------------------------------------------------------------------------------------------------------------------ Calpine Corp., 9.349% Sr. Sec. Nts., 7/15/07 1,7 6,352,360 4,891,317 ------------------------------------------------------------------------------------------------------------------------------------ CITGO Trustees Cayman Ltd., 8.50% Nts., 12/21/14 2 4,687,000 4,780,740 ------------------------------------------------------------------------------------------------------------------------------------ CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 1,318,000 1,387,195 7.75% Sr. Nts., 8/1/10 1,650,000 1,782,000 8.50% Sr. Nts., 4/15/11 2,407,000 2,689,823 ------------------------------------------------------------------------------------------------------------------------------------ Edison Mission Energy, 9.875% Sr. Unsec. Nts., 4/15/11 1,829,000 2,176,510 ------------------------------------------------------------------------------------------------------------------------------------ ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 428,000 451,028 ------------------------------------------------------------------------------------------------------------------------------------ FPL Energy National Wind Power LLC: 5.608% Nts., 3/10/24 7 1,954,860 1,948,374 6.125% Nts., 3/25/19 7 1,134,594 1,122,369
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES Continued Funding Corp./Beaver Valley Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 $ 956,000 $ 1,137,728 ------------------------------------------------------------------------------------------------------------------------------------ Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 12,296,181 ------------------------------------------------------------------------------------------------------------------------------------ Mirant Americas Generation LLC: 7.625% Sr. Unsec. Nts., 5/1/06 3 2,214,000 2,695,545 8.30% Sr. Unsec. Nts., 5/1/11 3 1,300,000 1,628,250 ------------------------------------------------------------------------------------------------------------------------------------ MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,777,875 ------------------------------------------------------------------------------------------------------------------------------------ NRG Energy, Inc., 8% Sr. Sec. Nts., 12/15/13 5,079,000 5,434,530 ------------------------------------------------------------------------------------------------------------------------------------ Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 4,170,000 4,545,300 9.50% Sr. Sec. Nts., 7/15/13 6,110,000 6,782,100 ------------------------------------------------------------------------------------------------------------------------------------ Sierra Pacific Resources, 6.75% Sr. Nts., 8/15/17 2 2,694,000 2,714,205 ------------------------------------------------------------------------------------------------------------------------------------ Teco Energy, Inc., 7.20% Unsec. Unsub. Nts., 5/1/11 3,670,000 3,908,550 ------------------------------------------------------------------------------------------------------------------------------------ Texas Genco LLC, 6.875% Sr. Nts., 12/15/14 7 9,099,000 9,303,728 ------------------------------------------------------------------------------------------------------------------------------------ TXU Corp., 5.55% Sr. Unsec. Nts., Series P, 11/15/14 5,100,000 4,867,068 ------------------ 86,898,216 ------------------------------------------------------------------------------------------------------------------------------------ GAS UTILITIES--0.0% SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,300,000 1,330,924 ------------------------------------------------------------------------------------------------------------------------------------ MULTI-UTILITIES & UNREGULATED POWER--0.4% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 3,562,467 4,007,776 ------------------------------------------------------------------------------------------------------------------------------------ Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 7,575,000 4,563,938 ------------------------------------------------------------------------------------------------------------------------------------ Consumers Energy Co., 6.375% Sr. Sec. Nts., 2/1/08 1,200,000 1,240,858 ------------------------------------------------------------------------------------------------------------------------------------ Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 1,830,000 1,797,975 8.75% Sr. Nts., 2/15/12 1,335,000 1,455,150 10.125% Sr. Sec. Nts., 7/15/13 7 8,313,000 9,310,560 ------------------------------------------------------------------------------------------------------------------------------------ Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,078,516 3,203,580 ------------------------------------------------------------------------------------------------------------------------------------ NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 680,209 ------------------ 26,260,046 ------------------ Total Corporate Bonds and Notes (Cost $1,856,342,375) 1,839,789,664
SHARES ------------------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS--0.8% ------------------------------------------------------------------------------------------------------------------------------------ AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,13 338,141 -- ------------------------------------------------------------------------------------------------------------------------------------ Doane Pet Care Co., 14.25% Jr. Sub. Exchange Debs., Non-Vtg. 13 245,000 23,091,250 ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 7 8,195 1,429,003
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS Continued ------------------------------------------------------------------------------------------------------------------------------------ e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 2,13 11,972 $ 1,197 ------------------------------------------------------------------------------------------------------------------------------------ Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,13 43,000 53,750 ------------------------------------------------------------------------------------------------------------------------------------ ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,13 5,773 -- ------------------------------------------------------------------------------------------------------------------------------------ McLeodUSA, Inc., 2.50% Cv., Series A 13 6,516 782 ------------------------------------------------------------------------------------------------------------------------------------ Pacific & Atlantic Holdings, Inc., 7.50% Cum. Cv., Series A 2,13 10,093 19,456 ------------------------------------------------------------------------------------------------------------------------------------ Paxson Communications Corp., 14.25% Cum. Jr. Exchangeable, Non-Vtg. 2,12 1,632 11,101,680 ------------------------------------------------------------------------------------------------------------------------------------ Pennsylvania Real Estate Investment Trust, 11% 51,500 2,974,125 ------------------------------------------------------------------------------------------------------------------------------------ PTV, Inc., 10% Cum., Series A, Non-Vtg. 300 510 ------------------------------------------------------------------------------------------------------------------------------------ Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 13 2,511 3,132,473 ------------------------------------------------------------------------------------------------------------------------------------ Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 61,550 9,063,238 ------------------ Total Preferred Stocks (Cost $60,878,606) 50,867,464 ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS--4.3% ------------------------------------------------------------------------------------------------------------------------------------ Allegheny Energy, Inc. 13 42,700 1,311,744 ------------------------------------------------------------------------------------------------------------------------------------ Altria Group, Inc. 18,700 1,378,377 ------------------------------------------------------------------------------------------------------------------------------------ Amada Co., Ltd. 170,000 1,360,992 ------------------------------------------------------------------------------------------------------------------------------------ Amerada Hess Corp. 9,900 1,361,250 ------------------------------------------------------------------------------------------------------------------------------------ American Electric Power Co., Inc. 34,900 1,385,530 ------------------------------------------------------------------------------------------------------------------------------------ American Stock Exchange Basic Industries SPDR 199,200 5,472,024 ------------------------------------------------------------------------------------------------------------------------------------ Anadarko Petroleum Corp. 14,300 1,369,225 ------------------------------------------------------------------------------------------------------------------------------------ Apache Corp. 18,700 1,406,614 ------------------------------------------------------------------------------------------------------------------------------------ Arcelor 59,740 1,397,200 ------------------------------------------------------------------------------------------------------------------------------------ Ashland, Inc. 22,100 1,220,804 ------------------------------------------------------------------------------------------------------------------------------------ Autodesk, Inc. 30,500 1,416,420 ------------------------------------------------------------------------------------------------------------------------------------ BAE Systems plc 223,020 1,351,195 ------------------------------------------------------------------------------------------------------------------------------------ Beverly Hills Bancorp, Inc. 539,100 5,531,166 ------------------------------------------------------------------------------------------------------------------------------------ BNP Paribas SA 18,040 1,371,348 ------------------------------------------------------------------------------------------------------------------------------------ BPB plc 99,660 1,293,738 ------------------------------------------------------------------------------------------------------------------------------------ Broadwing Corp. 15,714 78,413 ------------------------------------------------------------------------------------------------------------------------------------ Burlington Resources, Inc. 17,700 1,439,364 ------------------------------------------------------------------------------------------------------------------------------------ Cavco Industries, Inc. 13 1,540 55,871 ------------------------------------------------------------------------------------------------------------------------------------ Cebridge Connections Holding LLC 2,13 8,001 -- ------------------------------------------------------------------------------------------------------------------------------------ Centex Corp. 19,430 1,254,789 ------------------------------------------------------------------------------------------------------------------------------------ Charles River Laboratories International, Inc. 13 43,520 1,898,342 ------------------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp. 881,648 33,723,036 ------------------------------------------------------------------------------------------------------------------------------------ Chiquita Brands International, Inc. 88,293 2,467,789 ------------------------------------------------------------------------------------------------------------------------------------ Chubb Corp. 15,100 1,352,205 ------------------------------------------------------------------------------------------------------------------------------------ CIGNA Corp. 11,400 1,343,604
52 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued ------------------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc. 1,106 $ 50,345 ------------------------------------------------------------------------------------------------------------------------------------ CMS Energy Corp. 13 81,800 1,345,610 ------------------------------------------------------------------------------------------------------------------------------------ COLT Telecom Group plc, ADR 13 7,020 29,063 ------------------------------------------------------------------------------------------------------------------------------------ ConocoPhillips 19,820 1,385,616 ------------------------------------------------------------------------------------------------------------------------------------ Conseco, Inc. 13 136,899 2,889,938 ------------------------------------------------------------------------------------------------------------------------------------ Covad Communications Group, Inc. 13 174,581 185,056 ------------------------------------------------------------------------------------------------------------------------------------ Criimi MAE, Inc. 13 415,692 7,154,059 ------------------------------------------------------------------------------------------------------------------------------------ Cummins, Inc. 15,100 1,328,649 ------------------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc. 34,600 1,253,212 ------------------------------------------------------------------------------------------------------------------------------------ Daido Steel Co. Ltd. 262,000 1,702,384 ------------------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler AG 25,634 1,360,184 ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Telekom AG 69,568 1,265,861 ------------------------------------------------------------------------------------------------------------------------------------ Devon Energy Corp. 21,458 1,472,877 ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp., Cl. A 13 442,193 3,396,042 ------------------------------------------------------------------------------------------------------------------------------------ Douglas Holding AG 33,795 1,285,514 ------------------------------------------------------------------------------------------------------------------------------------ Duke Energy Corp. 45,400 1,324,318 ------------------------------------------------------------------------------------------------------------------------------------ E.ON AG 13,782 1,268,795 ------------------------------------------------------------------------------------------------------------------------------------ Eagle Materials, Inc. 519 62,991 ------------------------------------------------------------------------------------------------------------------------------------ Eagle Materials, Inc., Cl. B 1,745 201,897 ------------------------------------------------------------------------------------------------------------------------------------ Edison International, Inc. 28,900 1,366,392 ------------------------------------------------------------------------------------------------------------------------------------ Energy Select Sector SPDR Fund 107,500 5,772,750 ------------------------------------------------------------------------------------------------------------------------------------ EOG Resources, Inc. 20,000 1,498,000 ------------------------------------------------------------------------------------------------------------------------------------ Equinix, Inc. 13 79,287 3,302,304 ------------------------------------------------------------------------------------------------------------------------------------ Exel plc 62,160 1,345,250 ------------------------------------------------------------------------------------------------------------------------------------ Express Scripts, Inc. 13 22,400 1,393,280 ------------------------------------------------------------------------------------------------------------------------------------ Federated Department Stores, Inc. 19,700 1,317,339 ------------------------------------------------------------------------------------------------------------------------------------ Financial Select Sector SPDR Fund 184,800 5,455,296 ------------------------------------------------------------------------------------------------------------------------------------ First Choice Holidays plc 357,640 1,335,725 ------------------------------------------------------------------------------------------------------------------------------------ Gecina SA 11,020 1,297,951 ------------------------------------------------------------------------------------------------------------------------------------ Geotek Communications, Inc., Series B, Escrow Shares 2,13,14 625 -- ------------------------------------------------------------------------------------------------------------------------------------ GKN plc 250,130 1,300,371 ------------------------------------------------------------------------------------------------------------------------------------ Globix Corp. 13 107,797 212,360 ------------------------------------------------------------------------------------------------------------------------------------ Goodyear Tire & Rubber Co. (The) 13 81,000 1,262,790 ------------------------------------------------------------------------------------------------------------------------------------ Halliburton Co. 20,400 1,397,808 ------------------------------------------------------------------------------------------------------------------------------------ Hanson plc 125,980 1,307,662 ------------------------------------------------------------------------------------------------------------------------------------ Hochtief AG 32,315 1,437,387 ------------------------------------------------------------------------------------------------------------------------------------ Horizon Natural Resources Co. 2,13 133,333 -- ------------------------------------------------------------------------------------------------------------------------------------ Humana, Inc. 13 27,600 1,321,488
53 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued ------------------------------------------------------------------------------------------------------------------------------------ Huntsman Corp. 13 68,495 $ 1,272,123 ------------------------------------------------------------------------------------------------------------------------------------ ICO Global Communication Holdings Ltd. 13 300,766 1,503,830 ------------------------------------------------------------------------------------------------------------------------------------ iPCS, Inc. 13 81,469 3,389,110 ------------------------------------------------------------------------------------------------------------------------------------ IVG Immobilien AG 62,279 1,286,673 ------------------------------------------------------------------------------------------------------------------------------------ KB Home 17,812 1,303,838 ------------------------------------------------------------------------------------------------------------------------------------ Keisei Electric Railway Co. Ltd. 254,000 1,393,957 ------------------------------------------------------------------------------------------------------------------------------------ Kelda Group plc 107,710 1,334,596 ------------------------------------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc. 13,500 1,298,160 ------------------------------------------------------------------------------------------------------------------------------------ Klepierre 13,312 1,335,920 ------------------------------------------------------------------------------------------------------------------------------------ Kubota Corp. 212,000 1,476,487 ------------------------------------------------------------------------------------------------------------------------------------ Ladish Co., Inc. 13 30,000 523,200 ------------------------------------------------------------------------------------------------------------------------------------ Leap Wireless International, Inc. 13 28,354 998,061 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Holdings, Inc. 12,100 1,409,408 ------------------------------------------------------------------------------------------------------------------------------------ Liberty Global, Inc., Series A 129,394 3,503,990 ------------------------------------------------------------------------------------------------------------------------------------ Liberty Global, Inc., Series C 13 129,394 3,331,896 ------------------------------------------------------------------------------------------------------------------------------------ Lloyds TSB Group plc 160,584 1,322,716 ------------------------------------------------------------------------------------------------------------------------------------ Loews Corp. 14,900 1,376,909 ------------------------------------------------------------------------------------------------------------------------------------ MAN AG 26,186 1,342,267 ------------------------------------------------------------------------------------------------------------------------------------ Manitowoc Co., Inc. (The) 8,092 406,623 ------------------------------------------------------------------------------------------------------------------------------------ Marathon Oil Corp. 20,102 1,385,631 ------------------------------------------------------------------------------------------------------------------------------------ Matsui Securities Co. Ltd. 124,300 1,527,310 ------------------------------------------------------------------------------------------------------------------------------------ MCI, Inc. 57,436 1,457,151 ------------------------------------------------------------------------------------------------------------------------------------ Motorola, Inc. 59,100 1,305,519 ------------------------------------------------------------------------------------------------------------------------------------ National City Corp. 36,000 1,203,840 ------------------------------------------------------------------------------------------------------------------------------------ National Oilwell Varco, Inc. 13 20,700 1,362,060 ------------------------------------------------------------------------------------------------------------------------------------ Nikon Corp. 111,000 1,400,211 ------------------------------------------------------------------------------------------------------------------------------------ Nippon Mining Holdings, Inc. 193,500 1,534,091 ------------------------------------------------------------------------------------------------------------------------------------ Nippon Steel Corp. 450,000 1,688,689 ------------------------------------------------------------------------------------------------------------------------------------ Novell, Inc. 13 192,200 1,431,890 ------------------------------------------------------------------------------------------------------------------------------------ NTL, Inc. 13 253,326 16,922,177 ------------------------------------------------------------------------------------------------------------------------------------ Nucor Corp. 23,000 1,356,770 ------------------------------------------------------------------------------------------------------------------------------------ Occidental Petroleum Corp. 15,787 1,348,683 ------------------------------------------------------------------------------------------------------------------------------------ Office Depot, Inc. 13 43,600 1,294,920 ------------------------------------------------------------------------------------------------------------------------------------ OKI Electric Industry Co. 408,000 1,397,879 ------------------------------------------------------------------------------------------------------------------------------------ Orbital Sciences Corp. 13 59,993 749,913 ------------------------------------------------------------------------------------------------------------------------------------ PagesJaunes Groupe SA 50,850 1,387,290 ------------------------------------------------------------------------------------------------------------------------------------ Phelps Dodge Corp. 12,100 1,572,153 ------------------------------------------------------------------------------------------------------------------------------------ Pilkington plc 552,650 1,354,917
54 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued ------------------------------------------------------------------------------------------------------------------------------------ Pioneer Cos., Inc. 13 164,849 $ 3,966,267 ------------------------------------------------------------------------------------------------------------------------------------ Polymer Group, Inc., Cl. A 13 16,137 411,494 ------------------------------------------------------------------------------------------------------------------------------------ Prandium, Inc. 2,13,15 1,034,256 20,685 ------------------------------------------------------------------------------------------------------------------------------------ Premier Holdings Ltd. 2,13 799,833 -- ------------------------------------------------------------------------------------------------------------------------------------ Pulte Homes, Inc. 30,052 1,289,832 ------------------------------------------------------------------------------------------------------------------------------------ Reebok International Ltd. 23,500 1,329,395 ------------------------------------------------------------------------------------------------------------------------------------ Resolution plc 116,790 1,270,979 ------------------------------------------------------------------------------------------------------------------------------------ Royal Dutch Shell plc, B Shares 38,930 1,344,450 ------------------------------------------------------------------------------------------------------------------------------------ RWE AG 19,669 1,300,156 ------------------------------------------------------------------------------------------------------------------------------------ Scottish & Newcastle plc 158,330 1,295,074 ------------------------------------------------------------------------------------------------------------------------------------ Scottish & Southern Energy plc 74,270 1,347,958 ------------------------------------------------------------------------------------------------------------------------------------ ScottishPower plc 145,400 1,465,643 ------------------------------------------------------------------------------------------------------------------------------------ Sears Holdings Corp. 13 10,000 1,244,200 ------------------------------------------------------------------------------------------------------------------------------------ Sempra Energy 29,300 1,378,858 ------------------------------------------------------------------------------------------------------------------------------------ Shionogi & Co. Ltd. 101,000 1,378,997 ------------------------------------------------------------------------------------------------------------------------------------ Societe Generale, Cl. A 12,151 1,386,620 ------------------------------------------------------------------------------------------------------------------------------------ St. Paul Travelers Cos., Inc. (The) 30,600 1,373,022 ------------------------------------------------------------------------------------------------------------------------------------ Star Gas Partners LP 13 220 541 ------------------------------------------------------------------------------------------------------------------------------------ Sterling Chemicals, Inc. 2,13 10,788 258,912 ------------------------------------------------------------------------------------------------------------------------------------ Suez SA 45,263 1,308,305 ------------------------------------------------------------------------------------------------------------------------------------ Sumitomo Metal Industries 571,000 2,026,044 ------------------------------------------------------------------------------------------------------------------------------------ Sunoco, Inc. 17,100 1,337,220 ------------------------------------------------------------------------------------------------------------------------------------ Telewest Global, Inc. 13 934,974 21,457,653 ------------------------------------------------------------------------------------------------------------------------------------ Telus Corp. 12,686 516,828 ------------------------------------------------------------------------------------------------------------------------------------ ThyssenKrupp AG 68,940 1,441,687 ------------------------------------------------------------------------------------------------------------------------------------ Tokyo Electron Ltd. 23,200 1,238,303 ------------------------------------------------------------------------------------------------------------------------------------ Tokyo Steel Manufacturing Co. Ltd. 91,000 1,425,600 ------------------------------------------------------------------------------------------------------------------------------------ TonenGeneral Sekiyu K.K. 120,000 1,395,349 ------------------------------------------------------------------------------------------------------------------------------------ Tosoh Corp. 326,000 1,394,404 ------------------------------------------------------------------------------------------------------------------------------------ TUI AG 55,640 1,184,954 ------------------------------------------------------------------------------------------------------------------------------------ TVMAX Holdings, Inc. 2,13 59,250 65,175 ------------------------------------------------------------------------------------------------------------------------------------ TXU Corp. 12,800 1,444,864 ------------------------------------------------------------------------------------------------------------------------------------ Unibail 9,220 1,338,593 ------------------------------------------------------------------------------------------------------------------------------------ United States Steel Corp. 30,200 1,278,970 ------------------------------------------------------------------------------------------------------------------------------------ United Utilities plc 114,500 1,322,801 ------------------------------------------------------------------------------------------------------------------------------------ UnumProvident Corp. 67,800 1,389,900 ------------------------------------------------------------------------------------------------------------------------------------ USA Mobility, Inc. 13 87,595 2,363,313 ------------------------------------------------------------------------------------------------------------------------------------ Valero Energy Corp. 12,100 1,368,026
55 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued ------------------------------------------------------------------------------------------------------------------------------------ Veolia Environnement SA 32,262 $ 1,361,359 ------------------------------------------------------------------------------------------------------------------------------------ Viatel Holding (Bermuda) Ltd. 2,13 43,569 131 ------------------------------------------------------------------------------------------------------------------------------------ Vinci SA 14,860 1,279,633 ------------------------------------------------------------------------------------------------------------------------------------ Vornado Realty Trust 15,100 1,307,962 ------------------------------------------------------------------------------------------------------------------------------------ Walter Industries, Inc. 57,800 2,827,576 ------------------------------------------------------------------------------------------------------------------------------------ Western Forest Products, Inc. 13 680,382 1,463,187 ------------------------------------------------------------------------------------------------------------------------------------ Whirlpool Corp. 17,000 1,288,090 ------------------------------------------------------------------------------------------------------------------------------------ WRC Media Corp. 2,13 16,235 325 ------------------------------------------------------------------------------------------------------------------------------------ XO Communications, Inc. 13 29,868 76,462 ------------------ Total Common Stocks (Cost $218,951,862) 281,984,259
UNITS ------------------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% ------------------------------------------------------------------------------------------------------------------------------------ American Tower Corp. Wts., Exp. 8/1/08 7,13 6,400 2,253,937 ------------------------------------------------------------------------------------------------------------------------------------ ASAT Finance LLC Wts., Exp. 11/1/06 2,13 2,200 2 ------------------------------------------------------------------------------------------------------------------------------------ COLO.com, Inc. Wts., Exp. 3/15/10 2,13 6,650 -- ------------------------------------------------------------------------------------------------------------------------------------ Concentric Network Corp. Wts., Exp. 12/15/07 2,13 5,250 -- ------------------------------------------------------------------------------------------------------------------------------------ DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 2,13 800 -- ------------------------------------------------------------------------------------------------------------------------------------ e.spire Communications, Inc. Wts., Exp. 11/1/05 2,13 5,925 59 ------------------------------------------------------------------------------------------------------------------------------------ HF Holdings, Inc. Wts., Exp. 9/27/09 2,13 34,425 -- ------------------------------------------------------------------------------------------------------------------------------------ ICO Global Communication Holdings Ltd. Wts.: Exp. 5/16/06 2,13 75,434 3,395 Exp. 5/16/06 2,13 112 -- ------------------------------------------------------------------------------------------------------------------------------------ Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 2,13 86,946 -- ------------------------------------------------------------------------------------------------------------------------------------ iPCS, Inc. Wts., Exp. 6/15/10 2,13 6,600 -- ------------------------------------------------------------------------------------------------------------------------------------ Long Distance International, Inc. Wts., Exp. 4/13/08 7,13 4,560 -- ------------------------------------------------------------------------------------------------------------------------------------ Loral Space & Communications Ltd. Wts., Exp. 1/15/07 2,13 7,225 -- ------------------------------------------------------------------------------------------------------------------------------------ McLeodUSA, Inc. Wts., Exp. 4/16/07 13 14,440 116 ------------------------------------------------------------------------------------------------------------------------------------ Ntelos, Inc. Wts., Exp. 8/15/10 2,13 8,500 -- ------------------------------------------------------------------------------------------------------------------------------------ Pathmark Stores, Inc. Wts., Exp. 9/19/10 13 6,738 2,695 ------------------------------------------------------------------------------------------------------------------------------------ PLD Telekom, Inc. Wts., Exp. 6/1/06 2,13 16,650 167 ------------------------------------------------------------------------------------------------------------------------------------ Sterling Chemicals, Inc. Wts., Exp. 12/19/08 13 17,513 8,831 ------------------------------------------------------------------------------------------------------------------------------------ Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 2,13 9,035 271,050 ------------------------------------------------------------------------------------------------------------------------------------ Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 13 7,500 5,095 ------------------------------------------------------------------------------------------------------------------------------------ XO Communications, Inc., Cl. A Wts., Exp. 1/16/10 2,13 59,745 20,911 ------------------------------------------------------------------------------------------------------------------------------------ XO Communications, Inc., Cl. B Wts., Exp. 1/16/10 2,13 44,809 10,754 ------------------------------------------------------------------------------------------------------------------------------------ XO Communications, Inc., Cl. C Wts., Exp. 1/16/10 2,13 44,809 9,858
56 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE UNITS SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES Continued ------------------------------------------------------------------------------------------------------------------------------------ Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 2,13 44,000 $ 4,400 ------------------ Total Rights, Warrants and Certificates (Cost $1,109,834) 2,591,270
PRINCIPAL AMOUNT ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES--13.0% ------------------------------------------------------------------------------------------------------------------------------------ Aon Capital Markets/Helix 04 Ltd. Catastrophe Linked Nts., 9.42%, 6/30/09 1 $ 2,750,000 2,706,440 ------------------------------------------------------------------------------------------------------------------------------------ Arbor I Ltd. Catastrophe Linked Nts., 19.37%, 6/15/06 1,7 3,250,000 3,283,150 ------------------------------------------------------------------------------------------------------------------------------------ Cascadia Ltd., 6.915% Nts., 6/13/08 1,2 2,750,000 2,755,500 ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Brazil (Federal Republic of) Credit Linked Nts., 17.37%, 7/3/07 [BRR] 34,610,000 11,733,445 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 8,218,308 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 12,897,623 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.41%, 10/4/05 [BRR] 16,520,000 7,407,407 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.80%, 1/3/08 [BRR] 15,201,753 4,792,553 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 19.85%, 1/2/09 [BRR] 17,433,522 4,762,989 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 20.40%, 1/5/10 [BRR] 18,237,724 4,368,320 Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,872,152 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,653,464 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 [COP] 33,115,250,000 17,364,242 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 18,440,000,000 11,347,773 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 6,206,198 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 5,022,805 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 4,240,646 Dominican Republic Credit Linked Nts., 14.11%, 7/10/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 168,420,000 4,908,101 Dominican Republic Credit Linked Nts., 15.64%, 5/2/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 143,415,164 4,301,531 Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,709,462 Dominican Republic Credit Linked Nts., 19.69%, 3/31/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 124,607,127 3,777,783 Dominican Republic Credit Linked Nts., 22.41%, 3/10/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 162,788,690 4,981,544 Dominican Republic Unsec. Credit Linked Nts., 14.67%, 5/15/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 125,263,530 3,736,403 Dominican Republic Unsec. Credit Linked Nts., 16.18%, 4/24/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 48,437,421 1,456,773 Dominican Republic Unsec. Credit Linked Nts., 23.07%, 3/3/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 333,310,777 10,230,333 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.21%, 9/19/06 (linked to Egyptian Treasury Bills) 8 [EGP] 3,700,000 590,792 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.407%, 2/9/06 (linked to Egyptian Treasury Bills) [EGP] 42,720,000 7,190,013 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 1/12/06 (linked to Egyptian Treasury Bills) [EGP] 33,670,000 5,704,435 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 10/28/05 (linked to Egyptian Treasury Bills) 8 [EGP] 29,510,000 5,091,192
57 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Continued Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.90%, 12/29/05 (linked to Egyptian Treasury Bills) [EGP] 10,240,000 $ 1,740,640 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 9.65%,11/29/05 (linked to Egyptian Treasury Bills) 8 [EGP] 38,500,000 6,632,561 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,511,802 ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston Corp. (Cayman), Turkey (Republic of) Credit Linked Nts., Series EMG 7, 15%, 2/10/10 [TRY] 23,490,000 18,736,175 ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston International: Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,537,295 Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 8,988,634 Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 [RUR] 211,690,000 8,715,526 OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,401,392 Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%, 12/20/07 [RUR] 553,980,000 20,881,913 South African Rand Interest Bearing Linked Nts., Series Fbi 43, 3.52%, 5/23/22 14,280,000 14,157,192 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,694,530 ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. (Nassau Branch): Turkey (Republic of) Credit Linked Nts., 20%, 10/18/07 2,783,000 3,242,529 Turkey (Republic of) Credit Linked Nts., Series EM 872, 22.88%, 10/20/05 1 3,293,815 3,446,801 Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 12,527,811 Turkey (Republic of) Credit Linked Nts., Series EMG 4, 18.70%, 7/6/06 [TRY] 14,159,292 9,440,194 Turkey (Republic of) Credit Linked Nts., Series EMG 19, 16.90%, 7/5/06 8 [TRY] 10,138,656 6,759,581 Turkey (Republic of) Credit Linked Nts., Series NAS 316, 22.66%, 2/23/06 8 4,814,206 6,248,165 Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 1,113,986 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 7,172,846 ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Argentina (Republic of) Credit Linked Nts., 4%, 12/21/11 6 [ARP] 19,110,000 15,659,196 Brazil Real Credit Linked Nts., 13.88%, 3/3/10 8 [BRR] 33,618,120 9,484,585 Campania Total Return Linked Nts., 2.88%, 7/30/10 1 [EUR] 36,800,000 44,435,983 Egypt (The Arab Republic of) Total Return Linked Nts., 8.52%, 1/17/06 (linked to Egyptian Treasury Bills) 8 [EGP] 30,710,000 5,200,973 Egypt (The Arab Republic of) Total Return Linked Nts., 9.63%, 3/9/06 (linked to Egyptian Treasury Bills) 8 [EGP] 16,700,000 2,790,582 European Investment Bank, Russian Federation Credit Linked Nts., 5.65%, 1/19/10 5,580,000 4,431,078 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 4,604,384 Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 6,232,156 Moscow (City of) Credit Linked Nts., 10%, 3/30/10 [RUR] 202,100,000 7,985,811 OAO Gazprom I Credit Nts., 6.201%, 10/20/07 7,455,000 8,160,779 OAO Gazprom II Credit Nts., 5.951%, 4/20/07 7,455,000 8,022,670 Philippines (Republic of) Credit Linked Nts., 12%, 1/20/09 [PHP] 173,490,000 3,259,812 Philippines (Republic of) Credit Linked Nts., 12.375%, 11/1/09 [PHP] 340,450,000 6,380,326
58 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Continued Philippines (Republic of) Credit Linked Nts., 12.375%, 3/1/15 [PHP] 59,230,000 $ 1,085,827 Romania (The State of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,330,828 Russian Federation Credit Linked Nts., 12/2/09 8 [RUR] 155,437,000 5,742,503 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 2,6 2,660,000 2,665,054 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 2,6 2,660,000 2,665,054 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 2,6 2,660,000 2,665,054 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 2,6 2,660,000 2,665,054 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 2,6 2,660,000 2,665,054 Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 2 [UAH] 33,459,000 5,863,607 Ukraine (Republic of) Credit Linked Nts., 11.70%, 5/31/06 [UAH] 13,707,000 2,831,771 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 499,543 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,770,004 Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,159,130 Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,159,728 Videocon International Ltd. Credit Linked Nts., 5.73%, 12/29/09 15,470,000 15,496,299 ------------------------------------------------------------------------------------------------------------------------------------ Dow Jones CDX High Yield Index Pass-Through Certificates, Series 4-T1, 8.25%, 6/29/10 7,16 163,410,390 162,593,338 ------------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The)/Residential Reinsurance Ltd. Catastrophe Linked Nts.,, Series B, 12.32%, 6/6/08 1,2 4,300,000 3,956,000 ------------------------------------------------------------------------------------------------------------------------------------ ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09 2 [UAH] 36,698,000 8,534,245 ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Bank: Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 8 [BRR] 26,663,580 3,616,130 Brazil (Federal Republic of) Credit Linked Nts., 12.68%, 6/1/13 8 [BRR] 42,180,340 6,788,128 Brazil (Federal Republic of) Credit Linked Nts., 15.33%, 1/2/15 8 [BRR] 81,357,010 11,033,684 Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.55%, 1/2/15 8 [BRR] 56,242,917 7,627,697 Colombia (Republic of) Credit Linked Bonds, 13.50%, 8/3/20 [COP] 82,000,000,000 9,970,635 Peru (Republic of) Credit Linked Nts., 8.12%, 9/2/15 8 [PEN] 24,240,000 3,112,117 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,783,669 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers International: Romania (The State of) Total Return Linked Nts., 7.90%, 2/8/10 (linked to Romanian Treasury Bills) [RON] 6,092,000 2,209,957 Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07 (linked to Turkey Treasury Bills) 10,268,922 13,096,983 ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Special Financing, Inc.: Romania (The State of) Total Return Linked Nts., 6.50%, 3/8/10 (linked to Romanian Treasury Bills) [RON] 16,085,800 5,481,544 Romania (The State of) Total Return Linked Nts., 6.75%, 3/10/08 (linked to Romanian Treasury Bills) [RON] 18,680,000 6,404,549 Romania (The State of) Total Return Linked Nts., 7.25%, 4/18/10 (linked to Romanian Treasury Bills) [RON] 1,487,000 518,505 Romania (The State of) Total Return Linked Nts., 7.50%, 3/5/07 (linked to Romanian Treasury Bills) [RON] 2,467,000 862,873 Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 1,478,000 516,452
59 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Special Financing, Inc.: Continued Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 3,568,000 $ 1,246,752 Romania (The State of) Total Return Linked Nts., 7.90%, 2/11/08 (linked to Romanian Treasury Bills) [RON] 13,855,800 4,923,385 ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: Brazil (Federal Republic of) Sr. Sub. Linked Nts., 15.45%, 1/2/14 [BRR] 26,050,000 11,317,301 Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,166,400 ------------------------------------------------------------------------------------------------------------------------------------ Parametric RE Ltd. Catastrophe Linked Nts., 7.78%, 11/19/07 1,7 2,100,000 2,173,878 ------------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital Markets Corp./Foundation RE Ltd. Catastrophe Linked Nts., 7.897%, 11/24/08 1,7 3,750,000 3,732,469 ------------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked Nts., 8.62%, 6/15/07 1,7 250,000 252,913 ------------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital Markets Corp./Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.: Series 2002, Cl. A-A, 9.87%, 6/15/06 1,7 250,000 249,908 Series 2002-1, Cl. E-A, 8.12%, 6/15/06 1 1,750,000 1,759,888 Series 2003-I, Cl. C-A, 9.87%, 6/15/06 1 250,000 252,788 Series 2003-II, Cl. A-A, 9.87%, 6/15/06 1,7 6,000,000 5,994,600 Series 2003-II, Cl. B-A, 8.87%, 6/15/06 1,7 6,250,000 6,271,875 Series 2003-II, Cl. C-A, 9.62%, 6/15/06 1,7 6,250,000 6,309,375 ------------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital Markets Corp./Redwood Capital V Catastrophe Linked Nts., 7.70%, 1/9/07 1,2 6,250,000 6,259,688 ------------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital Markets Corp./Sequoia Capital Ltd. Catastrophe Linked Nts., 9.62%, 6/15/07 1,2 250,000 255,713 ------------------------------------------------------------------------------------------------------------------------------------ UBS AG: Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,174,651 OAO Gazprom III Credit Nts., 5.88%, 7/5/06 18,640,000 19,310,332 ------------------ 857,932,217 Total Structured Notes (Cost $817,950,818)
STRIKE NOTIONAL DATE PRICE AMOUNT ------------------------------------------------------------------------------------------------------------------------------------ SWAPTIONS PURCHASED--0.0% ------------------------------------------------------------------------------------------------------------------------------------ Australian Dollar Call 13 2/9/06 5.67AUD $ 92,180,000 165,063 ------------------------------------------------------------------------------------------------------------------------------------ Brazilian Real Call 13 10/3/05 16.50BRR 34,390,000 162 ------------------------------------------------------------------------------------------------------------------------------------ Mexican Neuvo Peso Call 13 10/11/05 9.40MXN 339,100,000 359,028 ------------------------------------------------------------------------------------------------------------------------------------ Mexican Neuvo Peso Call 13 11/10/05 9.02MXN 398,600,000 280,364 ------------------------------------------------------------------------------------------------------------------------------------ Mexican Neuvo Peso Call 13 12/2/05 9.42MXN 681,000,000 1,229,216 ------------------------------------------------------------------------------------------------------------------------------------ Mexican Neuvo Peso Call 13 12/8/05 9.23MXN 396,800,000 460,923 ------------------------------------------------------------------------------------------------------------------------------------ Mexican Neuvo Peso Call 13 12/27/05 9.32MXN 392,625,000 564,418 ---------- Total Swaptions Purchased (Cost $2,946,326) 3,059,174
60 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--2.0% ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 14.12% in joint repurchase agreement (Principal Amount/ Value $951,774,000, with a maturity value of $952,055,566) with UBS Warburg LLC, 3.55%, dated 9/30/05, to be repurchased at $134,395,747 on 10/3/05, collateralized by Federal National Mortgage Assn., 5%, 10/1/35, with a value of $972,647,107 (Cost $134,356,000) $ 134,356,000 $ 134,356,000 ------------------------------------------------------------------------------------------------------------------------------------ Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $6,757,448,762) 6,844,231,144 ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.5% ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED FLOATING NOTE--0.1% Whitehawk CDO Funding Corp., 3.94%, 12/15/05 17 4,000,000 4,000,000 ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--0.3% Undivided interest of 0.69% in joint repurchase agreement (Principal Amount/Value $3,300,000,000, with a maturity value of $3,301,064,250) with Nomura Securities, 3.87%, dated 9/30/05, to be repurchased at $22,732,189 on 10/3/05, collateralized by U.S. Agency Mortgages, 5%--5.50%, 9/1/20--8/1/35, with a value of $3,366,000,000 17 22,724,860 22,724,860 ------------------------------------------------------------------------------------------------------------------------------------ MEDIUM TERM FLOATING NOTE--0.1% American Express Credit Corp., 3.80%, 10/17/05 17 3,078,420 3,078,420 ------------------ Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $29,803,280) 29,803,280 ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $6,787,252,042) 103.8% 6,874,034,424 ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (3.8) (254,479,280) ------------------------------------- NET ASSETS 100.0% $ 6,619,555,144 =====================================
FOOTNOTES TO STATEMENT OF INVESTMENTS Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar COP Colombian Peso DEM German Mark DOP Dominican Republic Peso EGP Egyptian Pounds EUR Euro GBP British Pound Sterling HUF Hungarian Forint ILS Israeli Shekel JPY Japanese Yen MXN Mexican Nuevo Peso MYR Malaysian Ringgitt NZD New Zealand Dollar PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RON Romanian Leu RUR Russian Ruble TRY New Turkish Lira UAH Ukraine Hryvnia ZAR South African Rand 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2005 was $232,572,878, which represents 3.51% of the Fund's net assets, of which $20,685 is considered restricted. In addition, the Fund held restricted currency with a value of $1,403,180, which represents 0.02% of the Fund's net assets. See Note 13 of Notes to Financial Statements. 61 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued -------------------------------------------------------------------------------- 3. Issue is in default. Non-income producing. See Note 1 of Notes to Financial Statements. 4. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts. The aggregate market value of such securities is $29,565,003. See Note 6 of Notes to Financial Statements. 5. 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 $38,140,973 or 0.58% of the Fund's net assets as of September 30, 2005. 6. When-issued security or forward commitment to be delivered and settled after September 30, 2005. See Note 1 of Notes to Financial Statements. 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 $585,491,423 or 8.84% of the Fund's net assets as of September 30, 2005. 8. Zero coupon bond reflects effective yield on the date of purchase. 9. Partial or fully-loaned security. See Note 15 of Notes to Financial Statements. 10. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of Notes to Financial Statements. 11. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 12. Interest or dividend is paid-in-kind. 13. Non-income producing security. 14. Received as the result of issuer reorganization. 15. Affiliated company. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2005. The aggregate fair value of securities of affiliated companies held by the Fund as of September 30, 2005 amounts to $20,685. Transactions during the period in which the issuer was an affiliate are as follows: SHARES GROSS GROSS SHARES SEPTEMBER 30, 2004 ADDITIONS REDUCTIONS SEPTEMBER 30, 2005 -------------------------------------------------------------------------------- Prandium, Inc. 1,019,757 14,499* -- 1,034,256 VALUE DIVIDEND SEE NOTE 1 INCOME -------------------------------------------------------------------------------- Prandium, Inc. $ 20,685 $ -- * Received as the result of a merger with Oppenheimer Multi-Sector Income Trust. 16. Interest rate represents a weighted average rate comprised of the interest rates of the underlying securities. 17. The security has been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See Note 15 of Notes to Financial Statements. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 62 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES September 30, 2005 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- ASSETS -------------------------------------------------------------------------------- Investments, at value (including securities loaned of approximately $195,321,346)--see accompanying statement of investments: Unaffiliated companies (cost $6,775,095,042) $ 6,874,013,739 Affiliated companies (cost $12,157,000) 20,685 ----------------- 6,874,034,424 -------------------------------------------------------------------------------- Cash 18,419,452 -------------------------------------------------------------------------------- Cash--foreign currencies (cost $1,411,728) 1,391,314 -------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 46,749,028 -------------------------------------------------------------------------------- Unrealized appreciation on swap contracts 28,448,773 -------------------------------------------------------------------------------- Receivables and other assets: Investments sold (including $118,272,857 sold on a when-issued basis or forward commitment) 123,127,362 Interest, dividends and principal paydowns 84,143,265 Shares of beneficial interest sold 11,512,560 Closed foreign currency contracts 8,413,995 Other 124,317 ----------------- Total assets 7,196,364,490 -------------------------------------------------------------------------------- LIABILITIES -------------------------------------------------------------------------------- Swaptions written, at value (premiums received $283,433) 376,100 -------------------------------------------------------------------------------- Return of collateral for securities loaned 29,803,280 -------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 8,014,177 -------------------------------------------------------------------------------- Unrealized depreciation on swap contracts 12,338,690 -------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $490,464,722 purchased on a when-issued basis or forward commitment) 504,959,124 Shares of beneficial interest redeemed 9,260,681 Dividends 5,029,222 Distribution and service plan fees 4,014,567 Futures margins 1,438,436 Transfer and shareholder servicing agent fees 782,597 Shareholder communications 321,342 Trustees' compensation 153,740 Other 317,390 ----------------- Total liabilities 576,809,346 -------------------------------------------------------------------------------- NET ASSETS $ 6,619,555,144 ================= 63 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS -------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 1,526,442 -------------------------------------------------------------------------------- Additional paid-in capital 7,391,384,730 -------------------------------------------------------------------------------- Accumulated net investment income 123,075,890 -------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (1,032,513,249) -------------------------------------------------------------------------------- Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 136,081,331 ----------------- NET ASSETS $ 6,619,555,144 ================= -------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE -------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $4,766,576,168 and 1,099,377,059 shares of beneficial interest outstanding) $ 4.34 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.56 -------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $918,650,756 and 211,162,891 shares of beneficial interest outstanding) $ 4.35 -------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $788,217,338 and 182,173,307 shares of beneficial interest outstanding) $ 4.33 -------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $83,287,198 and 19,198,865 shares of beneficial interest outstanding) $ 4.34 -------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $62,823,684 and 14,529,655 shares of beneficial interest outstanding) $ 4.32 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 64 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS For the Year Ended September 30, 2005 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- INVESTMENT INCOME -------------------------------------------------------------------------------- Interest (net of foreign withholding taxes of $44,870) $ 350,176,695 -------------------------------------------------------------------------------- Fee income 9,023,057 -------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $203,200) 3,021,489 -------------------------------------------------------------------------------- Portfolio lending fees 205,690 -------------------------------------------------------------------------------- Other income 82,123 --------------- Total investment income 362,509,054 -------------------------------------------------------------------------------- EXPENSES -------------------------------------------------------------------------------- Management fees 33,309,652 -------------------------------------------------------------------------------- Distribution and service plan fees: Class A 10,768,143 Class B 10,198,995 Class C 7,471,089 Class N 345,046 -------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 5,848,219 Class B 1,386,425 Class C 965,701 Class N 221,892 Class Y 414,218 -------------------------------------------------------------------------------- Shareholder communications: Class A 562,917 Class B 140,351 Class C 83,088 Class N 23,648 Class Y 1,693 -------------------------------------------------------------------------------- Custodian fees and expenses 983,650 -------------------------------------------------------------------------------- Trustees' compensation 128,139 -------------------------------------------------------------------------------- Other 258,626 --------------- Total expenses 73,111,492 Less reduction to custodian expenses (226,303) Less waivers and reimbursements of expenses (243,959) --------------- Net expenses 72,641,230 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 289,867,824 65 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) -------------------------------------------------------------------------------- Net realized gain (loss) on: Investments $ 126,250,196 Closing and expiration of option contracts written 1,598,129 Closing and expiration of swaption contracts (4,139,471) Closing of futures contracts 1,170,289 Foreign currency transactions 90,930,190 Swap contracts (32,745,185) ----------------- Net realized gain 183,064,148 -------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments 117,916,967 Translation of assets and liabilities denominated in foreign currencies (20,316,994) Futures contracts (11,815,647) Option contracts (1,567,809) Swaption contracts (291,287) Swap contracts 13,657,381 ----------------- Net change in unrealized appreciation 97,582,611 -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 570,514,583 ================= SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 66 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2005 2004 ----------------------------------------------------------------------------------------------- OPERATIONS ----------------------------------------------------------------------------------------------- Net investment income $ 289,867,824 $ 288,935,524 ----------------------------------------------------------------------------------------------- Net realized gain 183,064,148 125,469,004 ----------------------------------------------------------------------------------------------- Net change in unrealized appreciation 97,582,611 106,949,202 -------------------------------------- Net increase in net assets resulting from operations 570,514,583 521,353,730 ----------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS ----------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (294,738,505) (192,285,670) Class B (62,870,416) (57,497,267) Class C (44,696,942) (28,954,074) Class N (4,206,758) (1,737,495) Class Y (6,335,724) (10,331,686) ----------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS ----------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 541,271,143 102,366,894 Class B (271,334,101) (576,954,365) Class C 60,028,844 (13,106,700) Class N 28,754,049 21,566,186 Class Y (91,805,446) (97,360,343) ----------------------------------------------------------------------------------------------- NET ASSETS ----------------------------------------------------------------------------------------------- Total increase (decrease) 424,580,727 (332,940,790) ----------------------------------------------------------------------------------------------- Beginning of period 6,194,974,417 6,527,915,207 -------------------------------------- End of period (including accumulated net investment income of $123,075,890 and $119,924,802, respectively) $ 6,619,555,144 $ 6,194,974,417 ======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 67 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .21 1 .20 .26 .32 .36 Net realized and unrealized gain (loss) .19 .15 .43 (.08) (.43) --------------------------------------------------------------------------- Total from investment operations .40 .35 .69 .24 (.07) ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.29) (.20) (.25) (.30) (.26) Tax return of capital distribution -- -- -- (.02) (.13) --------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.29) (.20) (.25) (.32) (.39) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 9.77% 8.73% 19.59% 6.63% (1.79)% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $4,766,576 $4,117,666 $3,873,018 $3,202,825 $3,186,441 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $4,392,321 $4,025,554 $3,521,307 $3,263,490 $3,349,859 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.82% 4.69% 6.60% 7.91% 8.90% Total expenses 0.94% 4 0.95% 4,5 0.95% 4 1.01% 4 0.93% 4 ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 103% 6 90% 6 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. 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. 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%. 6. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355 Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 68 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001 --------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19 --------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .17 1 .16 .22 .28 .33 Net realized and unrealized gain (loss) .20 .15 .44 (.05) (.43) ------------------------------------------------------------------------- Total from investment operations .37 .31 .66 .23 (.10) --------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.26) (.17) (.22) (.28) (.24) Tax return of capital distribution -- -- -- (.02) (.12) ------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.26) (.17) (.22) (.30) (.36) --------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 ========================================================================= --------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 8.94% 7.66% 18.62% 6.11% (2.53)% --------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 918,651 $1,163,555 $1,686,295 $1,847,182 $2,186,638 --------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $1,021,022 $1,424,322 $1,757,152 $2,056,449 $2,394,886 --------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.05% 4.16% 5.92% 7.22% 8.14% Total expenses 1.70% 1.69% 1.68% 1.75% 1.68% Expenses after payments and waivers and reduction to custodian expenses 1.69% 1.69% 1.68% 1.75% 1.68% --------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 103% 4 90% 4 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. 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. 3. Annualized for periods of less than one full year. 4. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355 Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 69 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
CLASS C YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .17 1 .17 .23 .29 .33 Net realized and unrealized gain (loss) .20 .15 .42 (.06) (.43) --------------------------------------------------------------------------- Total from investment operations .37 .32 .65 .23 (.10) ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.26) (.17) (.22) (.28) (.24) Tax return of capital distribution -- -- -- (.02) (.12) --------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.26) (.17) (.22) (.30) (.36) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 8.96% 7.95% 18.45% 6.15% (2.54)% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 788,217 $ 710,085 $ 698,196 $ 568,487 $ 553,399 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 748,199 $ 716,206 $ 623,598 $ 571,292 $ 554,279 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.07% 4.06% 5.85% 7.15% 8.15% Total expenses 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 1.68% 4 ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 103% 6 90% 6 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. 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. 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%. 6. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355 Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 70 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001 1 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.23 $ 4.08 $ 3.65 $ 3.72 $ 4.13 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .19 2 .17 .25 .30 .22 Net realized and unrealized gain (loss) .19 .16 .42 (.05) (.41) --------------------------------------------------------------------------- Total from investment operations .38 .33 .67 .25 (.19) ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.27) (.18) (.24) (.30) (.15) Tax return of capital distribution -- -- -- (.02) (.07) --------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.27) (.18) (.24) (.32) (.22) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 3 9.27% 8.28% 18.82% 6.70% (4.61)% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 83,287 $ 52,969 $ 30,110 $ 15,508 $ 3,215 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 69,480 $ 40,043 $ 22,627 $ 8,954 $ 1,348 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 4 Net investment income 4.37% 4.19% 6.08% 7.07% 9.74% Total expenses 1.40% 5 1.38% 5,6 1.34% 5 1.22% 5 0.98% 5 ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 103% 7 90% 7 104% 117% 209%
1. For the period from March 1, 2001 (inception of offering) to September 30, 2001. 2. Per share amounts calculated based on the average shares outstanding during the period. 3. 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. 4. Annualized for periods of less than one full year. 5. Reduction to custodian expenses less than 0.01%. 6. Voluntary waiver of transfer agent fees less than 0.01%. 7. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355 Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 71 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
CLASS Y YEAR ENDED SEPTEMBER 30, 2005 2004 2003 2002 2001 --------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA --------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 --------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .21 1 .21 .26 .32 .36 Net realized and unrealized gain (loss) .19 .14 .42 (.06) (.42) ------------------------------------------------------------------------- Total from investment operations .40 .35 .68 .26 (.06) --------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.30) (.20) (.25) (.31) (.26) Tax return of capital distribution -- -- -- (.02) (.14) ------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.30) (.20) (.25) (.33) (.40) --------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 ========================================================================= --------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 9.73% 8.80% 19.33% 7.06% (1.58)% --------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 62,824 $ 150,699 $ 240,296 $ 152,767 $ 103,858 --------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 68,656 $ 213,632 $ 194,308 $ 127,992 $ 94,400 --------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.84% 4.80% 6.57% 7.86% 9.09% Total expenses 1.16% 1.29% 1.41% 1.74% 1.35% Expenses after payments and waivers and reduction to custodian expenses 0.80% 0.90% 0.91% 0.90% 0.78% --------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 103% 4 90% 4 104% 117% 209%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. 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. 3. Annualized for periods of less than one full year. 4. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2005 $ 4,436,804,790 $ 4,469,108,355 Year Ended September 30, 2004 $ 5,593,936,243 $ 5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 72 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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, however, the institutional investor may impose charges on those accounts. 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 due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class 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. The Fund calculates the net asset value of its shares as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing "bid" and "asked" prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, in the country that is identified by the portfolio pricing service, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by 73 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign and domestic securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. 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 structured notes whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured notes are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations. The Fund records a realized gain or loss when a structured note is sold or matures. As of September 30, 2005, the market value of these securities comprised 13.0% of the Fund's net assets and resulted in unrealized cumulative gains of $39,981,399. -------------------------------------------------------------------------------- SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of September 30, 2005, the Fund had purchased $490,464,722 of securities issued on a when-issued basis or forward commitment and sold $118,272,857 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same 74 | OPPENHEIMER STRATEGIC INCOME FUND 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 realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. -------------------------------------------------------------------------------- SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of September 30, 2005, securities with an aggregate market value of $41,030,842, representing 0.62% of the Fund's net assets, were in default. -------------------------------------------------------------------------------- FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Foreign exchange rates may be valued primarily using dealer supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations. -------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the 75 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. -------------------------------------------------------------------------------- ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. -------------------------------------------------------------------------------- FEDERAL TAXES. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders, therefore, no federal income or excise tax provision is required. The tax components of capital shown in the table below represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes. NET UNREALIZED APPRECIATION BASED ON COST OF SECURITIES AND UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME INCOME GAIN CARRYFORWARD 1,2,3,4 TAX PURPOSES ------------------------------------------------------------------------ $ 200,704,558 $-- $1,020,974,644 $72,891,477 1. As of September 30, 2005, the Fund had $1,020,314,633 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2005, details of the capital loss carryforwards were as follows: EXPIRING ------------------------------ 2007 $ 6,301,259 2008 358,683,799 2009 52,578,252 2010 185,647,798 2011 294,188,800 2012 122,914,725 -------------- Total $1,020,314,633 ============== 2. The Fund had $660,011 of straddle losses which were deferred. 3. During the fiscal year ended September 30, 2005, the Fund utilized $12,383,126 of capital capital loss carryforward to offset capital gains realized in that fiscal year. a a. Includes $2,302,465 of capital loss carryforwards acquired in the July 21, 2005 merger of Oppenheimer Multi-Sector Income Trust. 4. During the fiscal year ended September 30, 2004, the Fund did not utilize any capital loss carryforward. 76 | OPPENHEIMER STRATEGIC INCOME FUND Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. Accordingly, the following amounts have been reclassified for September 30, 2005. Net assets of the Fund were unaffected by the reclassifications. REDUCTION TO INCREASE TO ACCUMULATED ACCUMULATED NET INCREASE TO NET INVESTMENT REALIZED LOSS PAID-IN CAPITAL LOSS ON INVESTMENTS ----------------------------------------------------------- $2,248,243 $126,131,609 $128,379,852 The tax character of distributions paid during the years ended September 30, 2005 and September 30, 2004 was as follows: YEAR ENDED YEAR ENDED SEPT. 30, 2005 SEPT. 30, 2004 ----------------------------------------------------------- Distributions paid from: Ordinary income $412,848,345 $290,806,192 The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2005 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities $ 6,797,347,794 Federal tax cost of other investments (487,804,716) --------------- Total federal tax cost $ 6,309,543,078 =============== Gross unrealized appreciation $ 370,426,317 Gross unrealized depreciation (297,534,840) --------------- Net unrealized appreciation $ 72,891,477 =============== -------------------------------------------------------------------------------- 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. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of "Other" within the asset section of the Statement of Assets and Liabilities. Deferral of trustees' fees under the plan will not affect the net 77 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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. -------------------------------------------------------------------------------- CUSTODIAN FEES. Custodian Fees and Expenses in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts at a rate equal to the Federal Funds Rate plus 0.50%. The Reduction to Custodian Expenses line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings. -------------------------------------------------------------------------------- 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 U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. 78 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
YEAR ENDED SEPTEMBER 30, 2005 YEAR ENDED SEPTEMBER 30, 2004 SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------- CLASS A Sold 253,721,621 $ 1,091,121,076 239,096,359 $ 999,651,057 Dividends and/or distributions reinvested 48,950,677 211,128,508 32,121,259 134,314,145 Acquisition-Note 14 62,844,742 270,860,838 -- -- Redeemed (239,685,952) (1,031,839,279) (246,819,671) (1,031,598,308) --------------------------------------------------------------------- Net increase 125,831,088 $ 541,271,143 24,397,947 $ 102,366,894 ===================================================================== ---------------------------------------------------------------------------------------------------- CLASS B Sold 27,868,668 $ 120,195,274 31,907,359 $ 133,737,139 Dividends and/or distributions reinvested 9,542,125 41,299,086 8,657,421 36,309,677 Redeemed (100,359,143) (432,828,461) (178,229,376) (747,001,181) --------------------------------------------------------------------- Net decrease (62,948,350) $ (271,334,101) (137,664,596) $ (576,954,365) ===================================================================== ---------------------------------------------------------------------------------------------------- CLASS C Sold 40,612,822 $ 174,277,627 34,946,299 $ 145,838,345 Dividends and/or distributions reinvested 7,606,352 32,743,949 4,955,123 20,669,780 Redeemed (34,262,628) (146,992,732) (43,114,379) (179,614,825) --------------------------------------------------------------------- Net increase (decrease) 13,956,546 $ 60,028,844 (3,212,957) $ (13,106,700) ===================================================================== ---------------------------------------------------------------------------------------------------- CLASS N Sold 10,118,176 $ 43,521,928 7,364,068 $ 30,835,235 Dividends and/or distributions reinvested 896,137 3,865,917 393,458 1,645,805 Redeemed (4,331,470) (18,633,796) (2,615,117) (10,914,854) --------------------------------------------------------------------- Net increase 6,682,843 $ 28,754,049 5,142,409 $ 21,566,186 ===================================================================== ---------------------------------------------------------------------------------------------------- CLASS Y Sold 16,530,646 $ 72,458,398 19,171,754 $ 79,967,710 Dividends and/or distributions reinvested 1,472,034 4,751,793 1,795,794 7,487,037 Redeemed (39,181,919) (169,015,637) (44,274,233) (184,815,090) --------------------------------------------------------------------- Net decrease (21,179,239) $ (91,805,446) (23,306,685) $ (97,360,343) =====================================================================
79 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS 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 year ended September 30, 2005, were as follows: PURCHASES SALES ---------------------------------------------------------------- Investment securities $5,229,020,458 $4,950,068,411 U.S. government and government agency obligations 761,799,063 882,828,558 To Be Announced (TBA) mortgage-related securities 4,436,804,790 4,469,108,355 -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- ADMINISTRATION SERVICES. The Fund pays the Manager a fee of $1,500 per year for preparing and filing the Fund's tax returns. -------------------------------------------------------------------------------- TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the year ended September 30, 2005, the Fund paid $8,605,038 to OFS for services to the Fund. Additionally, Class Y shares are subject to minimum fees of $10,000 per annum 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. -------------------------------------------------------------------------------- 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 all of those fees to pay dealers, brokers, banks and other financial institutions quarterly for providing personal services and maintenance of accounts of their customers that 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. 80 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 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 those shares and servicing accounts. Under the plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares and 0.25% on Class N shares. The Distributor also receives a service fee of 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 September 30, 2005 for Class B, Class C and Class N shares were $95,359,492, $22,928,061 and $1,074,287, 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 RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR --------------------------------------------------------------------------------------------- September 30, 2005 $2,269,622 $9,298 $2,114,614 $121,168 $44,508
-------------------------------------------------------------------------------- WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit transfer and shareholder servicing agent fees for all classes to 0.35% of average annual net assets per class. During the year ended September 30, 2005, OFS waived $243,959 for Class Y shares. This undertaking may be amended or withdrawn at any time. -------------------------------------------------------------------------------- 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 81 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS Continued 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. As of September 30, 2005, the Fund had outstanding foreign currency contracts as follows:
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000s) SEPT. 30, 2005 APPRECIATION DEPRECIATION ----------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Argentine Peso [ARP] 10/6/05-2/2/06 82,393ARP $ 27,915,787 $ 349,071 $ 184,609 Brazilian Real [BRR] 10/26/05-12/10/09 398,587BRR 190,206,033 34,372,002 -- British Pound Sterling [GBP] 3/9/06 3,000GBP $ 5,285,650 -- 6,950 Canadian Dollar [CAD] 10/21/05 33,980CAD 29,247,195 110,979 -- Chilean Peso [CLP] 10/6/05-12/22/05 7,025,000CLP 13,253,051 173,917 -- Indian Rupee [INR] 10/26/05-12/20/05 1,509,250INR 34,303,312 195,923 -- Indonesia Rupiah [IDR] 1/4/06 62,080,000IDR 6,027,184 153,958 -- Japanese Yen [JPY] 3/9/06 3,620,000JPY 32,489,924 -- 411,690 Mexican Nuevo Peso [MXN] 10/25/05-10/26/05 465,160MXN 43,059,576 72,337 65,440 Norwegian Krone [NOK] 10/24/05 161,280NOK 24,645,312 -- 613,138 Philippines Peso [PHP] 10/26/05 1,475,900PHP 26,250,059 151,032 -- Russian Ruble [RUR] 10/27/05 230,505RUR 8,099,566 202,855 -- Slovakia Koruna [SKK] 11/14/05-12/21/05 960,940SKK 29,770,104 -- 746,711 Swiss Franc [CHF] 10/21/05 139,450CHF 107,922,907 -- 1,562,992 Turkish Lira [TRY] 10/26/05-2/1/08 79,191TRY 68,744,907 1,750,488 188,070 ---------------------------- 37,532,562 3,779,600 ---------------------------- CONTRACTS TO SELL Argentine Peso [ARP] 10/6/05 60,073ARP 20,651,447 243,507 -- Australian Dollar [AUD] 12/5/05 49,680AUD 37,775,914 -- 913,354 British Pound Sterling [GBP] 10/17/05-3/8/06 30,610GBP 53,957,497 1,302,662 -- Canadian Dollar [CAD] 2/17/06 14,600CAD 12,609,464 -- 361,142 Chinese Renminbi (Yuan) [CNY] 10/26/05 213,100CNY 26,355,825 42,441 -- Czech Koruna [CZK] 10/26/05 683,400CZK 27,766,689 578,396 -- Euro [EUR] 10/17/05-3/9/06 225,890EUR 272,347,190 4,187,970 -- Japanese Yen [JPY] 10/26/05-3/8/06 16,474,000JPY 146,648,685 2,118,566 -- South African Rand [ZAR] 10/11/05-11/15/05 136,780ZAR 21,452,337 -- 1,701,996 Swedish Krone [SEK] 10/26/05 212,900SEK 27,502,170 306,267 -- Swiss Franc [CHF] 10/26/05 35,370CHF 27,385,694 436,657 -- Turkish Lira [TRY] 11/1/05-2/8/06 49,848TRY 36,122,059 -- 1,258,085 ---------------------------- 9,216,466 4,234,577 ---------------------------- Total unrealized appreciation and depreciation $ 46,749,028 $ 8,014,177 ============================
82 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 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 stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying 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 in the Statement of Operations as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of September 30, 2005, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS 2005 (DEPRECIATION) ----------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Amsterdam Exchange Index 10/21/05 116 $ 11,252,160 $ 189,918 CAC-40 10 Index 10/21/05 264 14,598,450 264,518 DAX Index 12/16/05 74 11,264,978 284,567 FTSE 100 Index 12/16/05 23 2,224,910 (6,072) Japan (Government of) Mini Bonds, 10 yr. 12/8/05 104 12,612,474 (7,638) Standard & Poor's ASX 200 Index 12/15/05 133 11,757,817 288,684 Standard & Poor's/MIB Index, 10 yr. 12/16/05 54 11,294,538 142,679 U.S. Long Bonds 12/20/05 1,443 165,088,219 (3,958,588) U.S. Treasury Nts., 10 yr. 12/20/05 1,452 159,606,563 (570,364) --------------- (3,372,296) ---------------
83 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS Continued
VALUATION AS OF UNREALIZED EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS 2005 (DEPRECIATION) ----------------------------------------------------------------------------------------- CONTRACTS TO SELL CAC-40 10 Index 10/21/05 357 $ 19,741,085 $ (478,938) DAX Index 12/16/05 163 24,813,398 (737,936) Euro-Bundesobligation, 10 yr. 12/8/05 115 16,935,220 42,328 FTSE 100 Index 12/16/05 188 18,186,221 (397,345) NASDAQ 100 E-Mini Index 12/16/05 699 22,563,720 (168,792) Nikkei 225 Index 12/8/05 284 33,923,890 (2,194,159) Standard & Poor's 500 Index 12/15/05 389 120,035,675 382,679 United Kingdom Long Gilt 12/28/05 14 2,783,653 4,820 U.S. Long Bonds 12/20/05 960 109,830,000 132,067 U.S. Treasury Nts., 2 yr. 12/30/05 1,707 351,455,297 1,074,333 U.S. Treasury Nts., 5 yr. 12/20/05 852 91,044,188 523,434 U.S. Treasury Nts., 10 yr. 12/20/05 303 33,306,328 392,302 -------------- (1,425,207) -------------- $(4,797,503) ==============
-------------------------------------------------------------------------------- 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 84 | OPPENHEIMER STRATEGIC INCOME FUND whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the year ended September 30, 2005 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, 2004 21,980,010,785 $ 1,608,916 -- $ -- Options written 35,835 52,734 17,775,000 41,124 Options closed or expired (21,980,046,620) (1,661,650) (17,775,000) (41,124) ---------------------------------------------------------------- Options outstanding as of September 30, 2005 -- $ -- -- $ -- ================================================================
-------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS The Fund may enter into a total return 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 notional. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of September 30, 2005, the Fund had entered into the following total return swap agreements:
RECEIVED PAID BY THE RATES BY THE RATES FUND AT AS OF FUND AT AS OF UNREALIZED SWAP NOTIONAL SEPT. 30, SEPT.30, SEPT. 30, SEPT. 30, TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2005 2005 2005 2005 DATES (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------- Deutsche Six-Month Bank AG $12,650,000 BBA LIBOR 4.23063% UDIS 3.586687% 5/13/15 $ 1,362,854 -------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Six-Month 7,180,000 BBA LIBOR 4.23063 UDIS 3.586687 1/14/15 716,483 Six-Month 7,180,000 BBA LIBOR 4.23063 UDIS 3.586687 1/20/15 730,069 -------------------------------------------------------------------------------------------------------------------- One-Month LIBOR Change of Minus 0.25% Total Return (+ or -) of Lehman Rate Brothers UBS AG 3,230,000 Received 5.04893 CMBS Index (1.36)* 12/1/05 (43,810) --------------- $ 2,765,596 ===============
* Represents an additional amount paid by the Fund at September 30, 2005. 85 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS Continued Index abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate CMBS Commercial Mortgage Backed Securities LIBOR London-Interbank Offered Rate UDIS Mexican Indice Nacional de Precios al Consumidor -------------------------------------------------------------------------------- 9. 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 unrealized gain (loss), 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 September 30, 2005, the Fund had entered into the following interest rate swap agreements:
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Three-Month 10,321,000,000KRW 3.93% 4.34% KWCDC 2/17/10 $ (67,002) 3,360,000,000KRW 3.49 4.575 KWCDC 8/26/10 344 Six-Month 11,250,000PLZ 4.35 5.52 WIBO 3/24/10 225,970 Six-Month 18,000,000PLZ 4.35 5.55 WIBO 3/24/10 368,228 ------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Three-Month Holdings, Inc. 125,000,000 3.76 4.96 BBA LIBOR 5/6/14 3,619,788
86 | OPPENHEIMER STRATEGIC INCOME FUND
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston 28-Day International 68,120,000MXN 10.03% 10% MXN TIIE 7/9/15 $ 336,559 ------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. Six-Month (Nassau Branch) 29,695,000PLZ 4.91 4.48 WIBO 7/1/10 (63,818) ------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Three-Month 29,210,000EUR 2.134 3.83 EURIBOR 3/8/15 2,472,438 Six-Month 6,930,000 3.66 5.25 LIBOR 6/23/15 493,827 Three-Month 39,995,000 4.816 3.834 BBA LIBOR 3/8/15 (322,668) 90-Day 481,500,000TWD 2.585 1.36 CPTW 8/19/09 (381,804) 637,815,000INR 4.88 5.012 IRS 1/15/09 489,920 Three-Month 94,000,000 3.79 5.32 BBA LIBOR 5/12/14 5,546,505 ------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: 118,589,283BRR 19.73 17.18 BZDI 1/2/08 82,499 12,475,040BRR 18.25 17.72 BZDI 1/2/07 (51,964) 19,476,430BRR 19.20 18.16 BZDI 1/2/08 194,701 34,200,000MXN 9.49 10 MXN TIIE 6/24/15 160,040 67,560,000MXN 9.61 10.22 MXN TIIE 1/30/15 405,628 59,375,000MXN 9.48 10.43 MXN TIIE 5/29/15 433,865 59,375,000MXN 9.48 10.30 MXN TIIE 6/1/15 386,404 59,620,000MXN 9.735 10.29 MXN TIIE 6/14/15 386,446
87 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued --------------------------------------------------------------------------------
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL SEPT. 30, SEPT.30, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2005 2005 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): 23,464,063BRR 18.63% 18% BZDI 1/2/07 $ (38,592) 9,638,700BRR 18.25 17.17 BZDI 1/2/08 (23,603) 11,780,630BRR 18.25 17.17 BZDI 1/2/08 (28,848) 70,140,000MXN 9.72 10.70 MXN TIIE 5/8/15 630,750 39,690,000MXN 9.625 9.41 MXN TIIE 8/31/20 (3,682) 78,820,000MXN 9.675 9.50 MXN TIIE 8/28/25 (4,928) 119,100,000MXN 9.625 9.51 MXN TIIE 8/26/25 2,810 89,830,000MXN 9.675 9.74 MXN TIIE 1/5/10 254,448 179,660,000MXN 9.625 9.84 MXN TIIE 12/31/09 570,026 30,800,000MXN 9.495 10.85 MXN TIIE 3/5/15 301,900 ------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Six-Month 3,175,600,000HUF 6.63 7 LIBOR flat 7/14/08 307,273 28-Day 117,080,000MXN 9.65 10.88 MXN TIIE 11/16/14 1,171,134 65,300,000MXN 9.51 9.76 MXN TIIE 8/17/15 225,016 Three-Month 300,000,000 4.59 3.961 BBA LIBOR 3/24/10 (226,371) Three-Month 8,500,000 3.97 4.38 LIBOR 9/27/14 (202,881) Three-Month 17,455,000 3.68 4.94 BBA LIBOR 4/30/14 556,024 ------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Six-Month 7,700,000GBP 4.598 4.515 BBA LIBOR 2/17/16 (22,421) Six-Month 32,250,000GBP 4.515 4.52 BBA LIBOR 2/17/08 74,764 28-Day 67,450,000MXN 9.625 9.99 MXN TIIE 7/19/15 317,189 Six-Month 34,350,000PLZ 4.74 4.53 WIBO 7/5/10 (52,122) ------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: 12,776,603BRR 18.68 16.88 BZDI 1/2/08 (72,911) 25,645,000BRR 19.72 17.59 BZDI 1/2/07 (55,110) Three-Month 264,000,000 2.32 3.76 LIBOR flat 11/10/05 1,667,061 Three-Month 38,140,000ZAR 7 8.14 JIBA 5/18/10 59,380 --------------- $ 20,122,212 ===============
88 | OPPENHEIMER STRATEGIC INCOME FUND Notional amount is reported in U.S. Dollars, except for those denoted in the following currencies: BRR Brazilian Real EUR Euro GBP British Pound Sterling HUF Hungary Forints INR Indian Rupee KRW South Korean Won MXN Mexican Nuevo Peso PLZ Polish Zloty TWD New Taiwan Dollar ZAR South African Rand Index abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate BZDI Brazil Cetip Interbank Deposit Rate CPTW Bloomberg Taiwan Secondary Commercial Papers EURIBOR Euro Interbank Offered Rate IRS India Swap Composites JIBA South Africa Johannesburg Interbank Agreed Rate KWCDC South Korean Won LIBOR London-Interbank Offered Rate MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate WIBO Poland Warsaw Interbank Offer Bid Rate -------------------------------------------------------------------------------- 10. CREDIT SWAP CONTRACTS The Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or for other non-speculative purposes. Credit default swap contracts are subject to credit risks (for example if the counterparty fails to meet its obligations). As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as realized gain. Information regarding such credit swaps as of September 30, 2005 is as follows: 89 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. CREDIT SWAP CONTRACTS Continued
NOTIONAL AMOUNT ANNUAL RECEIVED BY THE INTEREST FUND UPON RATE PAID UNREALIZED COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND DEPRECIATION --------------------------------------------------------------------------------------------------- Citigroup Global Markets Limited Russian Federation London, UK 5% Step-up Bond $ 57,270,000 1.09% $ 1,586,797 --------------------------------------------------------------------------------------------------- JPMorgan Chase New York, NY: Kingdom of Jordan 6% Step-up Bond 4,525,000 2.00 44,311 Russian Federation 2.50% Step-up Bond 8,390,000 2.40 1,012,899 --------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Brazil 12.25% Global Bond 30,680,000 6.15 4,594,501 General Motors 7.125% Bond 4,300,000 5.45 228,199 General Motors 7.125% Bond 8,700,000 4.40 164,533 Republic of Turkey 11.875% Bond 5,070,000 3.15 321,604 --------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Republic of Columbia 10.375% Bond 5,880,000 3.70 372,883 Turkey Government 11.875% International Bond 14,860,000 3.22 496,393 Ukrainian Government Bond 4,504,000 1.65 6,980 --------------------------------------------------------------------------------------------------- UBS AG, Federal Republic of Brazil London Branch 12.25% Bond 11,315,000 4.50 1,218,142 ------------ $ 10,047,242 ============
As a seller of a credit default swap contract, the Fund receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as realized loss. Information regarding such credit swaps as of September 30, 2005 is as follows: 90 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL ANNUAL AMOUNT INTEREST PAID BY THE RATE UNREALIZED FUND UPON RECEIVED BY APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT THE FUND (DEPRECIATION) --------------------------------------------------------------------------------------------------- Citigroup Global Markets Limited Russian Federation London, UK 5% Step-up Bond $ 100,220,000 0.70% $ 827,915 --------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: General Motors 7.125% Bond 4,300,000 9.80 639,331 General Motors 7.125% Bond 8,700,000 5.55 (536,435) Republic of Turkey 11.875% Bond 11,170,000 1.87 247,374 --------------------------------------------------------------------------------------------------- UBS AG, Federal Republic of Brazil London Branch 12.25% Bond 27,605,000 3.80 2,183,810 -------------- $ 3,361,995 ==============
-------------------------------------------------------------------------------- 11. FOREIGN EXCHANGE VOLATILITY SWAP CONTRACTS The Fund may enter into a foreign exchange volatility swap transaction to hedge the direction of volatility in a particular currency, or for other non-speculative purposes. In foreign exchange volatility swaps, counterparties agree to buy or sell volatility at a specific volatility level over a fixed period. Payment is normally made on the basis of a currency amount per percentage point above or below the volatility strike level at maturity. 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 a daily increase or decrease to unrealized gain (loss) based on changes in the amount due to or owed by the Fund at the expiration date of the swap. Foreign exchange volatility swaps are subject to credit risks (if the counterparty fails to meet its obligations). As of September 30, 2005, the Fund had entered into the following foreign exchange volatility swap agreements:
NOTIONAL PRINCIPAL EXPIRATION UNREALIZED SWAP COUNTERPARTY CURRENCY AMOUNT DATE PRICE DEPRECIATION --------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) Mexican Nuevo Peso $ 15,020,000 10/12/05 11.449MXN $ 92,478
91 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 12. 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. Written swaption activity for the year ended September 30, 2005 was as follows:
CALL SWAPTIONS PUT SWAPTIONS -------------------------------- -------------------------------- NOTIONAL AMOUNT OF NOTIONAL AMOUNT OF AMOUNT PREMIUMS AMOUNT PREMIUMS -------------------------------------------------------------------------------------------------- Swaptions outstanding as of September 30, 2004 $ 74,945,000 $ 741,585 $ 94,160,000 $ 439,416 Swaptions written 517,915,000 3,575,460 94,160,000 325,223 Swaptions closed or expired (523,730,000) (4,033,612) (188,320,000) (764,639) ------------------------------------------------------------------- Swaptions outstanding as of September 30, 2005 $ 69,130,000 $ 283,433 $ -- $ -- ===================================================================
As of September 30, 2005, the Fund had entered into the following swaption contracts:
NOTIONAL EXPIRATION STRIKE PREMIUM VALUE SWAPTIONS AMOUNT DATE PRICE RECEIVED SEE NOTE 1 ------------------------------------------------------------------------------------------- U.S. Dollar $ 69,130,000 2/9/06 $ 4.74 $ 283,433 $ 376,100
-------------------------------------------------------------------------------- 13. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY As of September 30, 2005, 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 will not invest 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. Securities that are illiquid or restricted are marked with the applicable footnote on the Statement of Investments. Information concerning restricted securities and currency is as follows: 92 | OPPENHEIMER STRATEGIC INCOME FUND
VALUATION AS OF ACQUISITION SEPTEMBER 30, UNREALIZED SECURITY DATES COST 2005 DEPRECIATION -------------------------------------------------------------------------------------------------- Geotek Communications, Inc. Series B, Escrow Shares 1/4/01 $ 2,500 $ -- $ 2,500 Prandium, Inc. 3/18/99-7/18/02 12,157,000 20,685 12,136,315 CURRENCY Argentine Peso (ARP) 7/22/05 1,423,594 1,403,180 20,414 ---------------------------------------------- $ 13,583,094 $ 1,423,865 $ 12,159,229 ==============================================
-------------------------------------------------------------------------------- 14. ACQUISITION OF OPPENHEIMER MULTI-SECTOR INCOME TRUST On July 22, 2005, the Fund acquired all of the net assets of Oppenheimer Multi-Sector Income Trust, pursuant to an Agreement and Plan of Reorganization approved by the Oppenheimer Multi-Sector Income Trust shareholders on July 12, 2005. The Fund issued (at an exchange ratio of 2.150014 for Class A of the Fund to one share of Oppenheimer Multi-Sector Income Trust) 62,844,742 shares of beneficial interest for Class A, valued at $270,860,838 in exchange for the net assets, resulting in combined Class A net assets of $4,466,747,248 on July 22, 2005. The net assets acquired included net unrealized appreciation of $6,581,052 and an unused capital loss carryforward of $32,689,355, potential utilization subject to tax limitations. The exchange qualified as a tax-free reorganization for federal income tax purposes. -------------------------------------------------------------------------------- 15. 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. The Fund retains a portion of the interest earned from the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower. As of September 30, 2005, the Fund had on loan securities valued at $195,321,346. Collateral of $199,640,509 was received for the loans, of which $29,803,280 was received in cash and subsequently invested in approved instruments. 93 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 16. LITIGATION A consolidated amended complaint has been filed as putative derivative and class actions against the Manager, OFS and the Distributor, as well as 51 of the Oppenheimer funds (as "Nominal Defendants") including the Fund, 30 present and former Directors or Trustees and 8 present and former officers of the funds. This complaint, initially filed in the U.S. District Court for the Southern District of New York on January 10, 2005 and amended on March 4, 2005, consolidates into a single action and amends six individual previously-filed putative derivative and class action complaints. Like those prior complaints, the complaint alleges that the Manager charged excessive fees for distribution and other costs, improperly used assets of the funds in the form of directed brokerage commissions and 12b-1 fees to pay brokers to promote sales of the funds, and failed to properly disclose the use of assets of the funds to make those payments in violation of the Investment Company Act of 1940 and the Investment Advisers Act of 1940. Also, like those prior complaints, the complaint further alleges that by permitting and/or participating in those actions, the Directors/Trustees and the Officers breached their fiduciary duties to shareholders of the funds under the Investment Company Act of 1940 and at common law. The complaint seeks unspecified compensatory and punitive damages, rescission of the funds' investment advisory agreements, an accounting of all fees paid, and an award of attorneys' fees and litigation expenses. The defendants believe that the allegations contained in the Complaints are without merit and that they have meritorious defenses against the claims asserted. The defendants intend to defend these lawsuits vigorously and to contest any claimed liability. The defendants believe that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them and that no estimate can yet be made with any degree of certainty as to the amount or range of any potential loss. 94 | OPPENHEIMER STRATEGIC INCOME FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND: We have audited the accompanying statement of assets and liabilities of Oppenheimer Strategic Income Fund, including the statement of investments, as of September 30, 2005, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2005, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Strategic Income Fund as of September 30, 2005, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the periods presented, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Denver, Colorado November 18, 2005 95 | OPPENHEIMER STRATEGIC INCOME FUND FEDERAL INCOME TAX INFORMATION Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- In early 2006, if applicable, shareholders of record will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 2005. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends, if any, paid by the Fund during the fiscal year ended September 30, 2005 which are not designated as capital gain distributions should be multiplied by 0.69% to arrive at the amount eligible for the corporate dividend-received deduction. A portion, if any, of the dividends paid by the Fund during the fiscal year ended September 30, 2005 which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. $4,905,931 of the Fund's fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2006, shareholders of record will receive information regarding the percentage of distributions that are eligible for lower individual income tax rates. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 96 | OPPENHEIMER STRATEGIC INCOME FUND PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS 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 1.800.525.7048, (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 is required to file 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 Fund's voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at www.sec.gov. The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund's Form N-Q filings are available on the SEC's website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. 97 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------ NAME, POSITION(S) HELD WITH PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER THE FUND, LENGTH OF SERVICE, TRUSTEESHIPS/DIRECTORSHIPS HELD; NUMBER OF PORTFOLIOS IN THE Fund Complex AGE Currently Overseen INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, TRUSTEES CENTENNIAL, CO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. WILLIAM L. ARMSTRONG, Chairman of the following private mortgage banking companies: Cherry Creek Chairman of the Board of Mortgage Company (since 1991), Centennial State Mortgage Company (since Trustees (since 2003) and 1994), and The El Paso Mortgage Company (since 1993); Chairman of the Trustee (since 1999) following private companies: Ambassador Media Corporation (since 1984) and Age: 68 Broadway Ventures (since 1984); Director of the following: Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (since 1991) and The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (since 2002); former Chairman of the following: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (insurance agency) (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 38 portfolios in the OppenheimerFunds complex. ROBERT G. AVIS, Director and President of A.G. Edwards Capital, Inc. (General Partner of Trustee (since 1993) private equity funds) (until February 2001); Chairman, President and Chief Age: 74 Executive Officer of A.G. Edwards Capital, Inc. (until March 2000); Director of A.G. Edwards & Sons, Inc. (brokerage company) (until 2000) and A.G. Edwards Trust Company (investment adviser) (until 2000); Vice Chairman and Director of A.G. Edwards, Inc. (until March 1999); Vice Chairman of A.G. Edwards & Sons, Inc. (until March 1999); Chairman of A.G. Edwards Trust Company (until March 1999) and A.G.E. Asset Management (investment adviser) (until March 1999). Oversees 38 portfolios in the OppenheimerFunds complex. GEORGE C. BOWEN, Assistant Secretary and Director of Centennial Asset Management Trustee (since 2000) Corporation (December 1991-April 1999); President, Treasurer and Director Age: 69 of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 38 portfolios in the OppenheimerFunds complex. EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical Trustee (since 2000) site) (since June 2000); Director of Genetic ID, Inc. (biotech company) Age: 67 (March 2001-May 2002); Partner at PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (July 1994-June 1998). Oversees 38 portfolios in the OppenheimerFunds complex. JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director Trustee (since 1990) of Northwestern Energy Corp. (public utility corporation) (since November Age: 63 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp.
98 | OPPENHEIMER STRATEGIC INCOME FUND JON S. FOSSEL, ("OAC") (parent holding company of the Manager), Shareholders Services, Continued Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 38 portfolios in the OppenheimerFunds complex. SAM FREEDMAN, Director of Colorado Uplift (charitable organization) (since September Trustee (since 1996) 1984). Mr. Freedman held several positions with the Manager and with Age: 65 subsidiary or affiliated companies of the Manager (until October 1994). Oversees 38 portfolios in the OppenheimerFunds complex. BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational Trustee (since 2002) organization) (since February 2000); Director of The California Endowment Age: 59 (philanthropic organization) (since April 2002); Director of Community Hospital of Monterey Peninsula (since February 2002); Director of American Funds' Emerging Markets Growth Fund, Inc. (mutual fund) (since October 1991); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation and The University of Michigan; Advisor at Credit Suisse First Boston's Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex. ROBERT J. MALONE, Director of Jones International University (educational organization) Trustee (since 2002) (since August 2005); Chairman, Chief Executive Officer and Director of Age: 61 Steele Street State Bank (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997- February 2004). Oversees 38 portfolios in the OppenheimerFunds complex. F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional Trustee (since 2000) Funds) (investment company) (since 1996) and MML Series Investment Fund Age: 63 (investment company) (since 1996), the Springfield Library and Museum Association (museums) (since 1995) and the Community Music School of Springfield (music school) (since 1996); Chairman and Trustee (since 2003) and Chairman of the Investment Committee (since 1994) of the Worcester Polytech Institute (private university); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Member of the Investment Committee of the Community Foundation of Western Massachusetts (1998-2003); and Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999). Oversees 40 portfolios in the OppenheimerFunds complex.
99 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued -------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------ INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY AND OFFICER STREET, 11TH FLOOR, NEW YORK, NY 10281-1008. MR. MURPHY SERVES AS A TRUSTEE FOR AN INDEFINITE TERM AND AS AN OFFICER FOR AN ANNUAL TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL. MR. MURPHY IS AN INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH OPPENHEIMERFUNDS, INC. AND ITS AFFILIATES. JOHN V. MURPHY, Chairman, Chief Executive Officer and Director (since June 2001) and President and Principle President (since September 2000) of the Manager; President and Director or Executive Officer Trustee of other Oppenheimer funds; President and Director of OAC and of (since 2001) and Trustee Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the (since 2001) Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. Age: 56 (subsidiary of the Manager) (since November 2001); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC's parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Member of the Investment Company Institute's Board of Governors (since October 3, 2003); Chief Operating Officer of the Manager (September 2000-June 2001); President and Trustee of MML Series Investment Fund and MassMutual Select Funds (open-end investment companies) (November 1999-November 2001); Director of C.M. Life Insurance Company (September 1999-August 2000); President, Chief Executive Officer and Director of MML Bay State Life Insurance Company (September 1999-August 2000); Director of Emerald Isle Bancorp and Hibernia Savings Bank (wholly-owned subsidiary of Emerald Isle Bancorp) (June 1989-June 1998). Oversees 77 portfolios as a Trustee or Director and 10 additional portfolios as an officer in the OppenheimerFunds complex. ------------------------------------------------------------------------------------------------------------ OTHER OFFICERS THE ADDRESS OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS. OF THE FUND STEINMETZ AND ZACK, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH FLOOR, NEW YORK, NY 10281-1008, FOR MESSRS. VANDEHEY AND WIXTED 6803 S. TUCSON WAY, CENTENNIAL, CO 80112-3924. EACH OFFICER SERVES FOR AN ANNUAL TERM OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView Vice President (since 1989) Asset Management Corporation (since March 2000); an officer of 4 Age: 46 portfolios in the OppenheimerFunds complex. MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager Vice President and (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Chief Compliance Officer (since June 1983); Vice President and Director of Internal Audit of the (since 2004) Centennial Asset Management Corporation and Shareholder Services, Inc. Age: 55 Manager (1997-February 2004). An officer of 87 portfolios in the Oppenheimer Funds complex.
100 | OPPENHEIMER STRATEGIC INCOME FUND BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer and Principal Treasurer of the following: HarbourView Asset Management Corporation, Financial and Accounting Shareholder Financial Services, Inc., Shareholder Services, Inc., Officer Oppenheimer Real Asset Management Corporation, and Oppenheimer Partnership (since 1999) Holdings, Inc. (since March 1999), OFI Private Investments, Inc. (since Age: 46 March 2000), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief Operating Officer of Bankers Trust Company-Mutual Fund Services Division (March 1995-March 1999). An officer of 87 portfolios in the OppenheimerFunds complex. ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since Vice President and March 2002) of the Manager; General Counsel and Director of the Secretary Distributor (since December 2001); General Counsel of Centennial Asset (since 2001) Management Corporation (since December 2001); Senior Vice President and Age: 57 General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds (Asia) Limited (since December 2003); Senior Vice President (May 1985-December 2003), Acting General Counsel (November 2001-February 2002) and Associate General Counsel (May 1981-October 2001) of the Manager; Assistant Secretary of the following: Shareholder Services, Inc. (May 1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November 2001), and OppenheimerFunds International Ltd. (September 1997-November 2001). An officer of 87 portfolios in the OppenheimerFunds complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY CALLING 1.800.525.7048. 101 | 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. (a) Audit Fees The principal accountant for the audit of the registrant's annual financial statements billed $66,000 in fiscal 2005 and $64,500 in fiscal 2004. (b) Audit-Related Fees The principal accountant for the audit of the registrant's annual financial statements billed to the registrant $2,500 in fiscal 2005 and no such fees in fiscal 2004. The principal accountant for the audit of the registrant's annual financial statements billed $15,000 in fiscal 2005 and no such fees in fiscal 2004 to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such services: review of Form N-14 and seed money audits. (c) Tax Fees The principal accountant for the audit of the registrant's annual financial statements billed to the registrant $6,667 in fiscal 2005 and no such fees in fiscal 2004. The principal accountant for the audit of the registrant's annual financial statements billed no such fees during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such services: audit of the tax provision for certain structured instruments. (d) All Other Fees The principal accountant for the audit of the registrant's annual financial statements billed to the registrant no such fees during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. (e) (1) During its regularly scheduled periodic meetings, the registrant's audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. (2) 100% (f) Not applicable as less than 50%. (g) The principal accountant for the audit of the registrant's annual financial statements billed $24,167 in fiscal 2005 and no such fees in fiscal 2004 to the registrant and the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. (h) The registrant's audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS 1. The Fund's Governance Committee (the "Committee") will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds' investment manager and its affiliates in making the selection. 2. The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual's background, skills, and experience; whether the individual is an "interested person" as defined in the Investment Company Act of 1940; and whether the individual would be deemed an "audit committee financial expert" within the meaning of applicable SEC rules. The Committee also considers whether the individual's background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. 3. The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: o the name, address, and business, educational, and/or other pertinent background of the person being recommended; o a statement concerning whether the person is an "interested person" as defined in the Investment Company Act of 1940; o any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and o the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. 4. Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds' investment adviser) would be deemed an "interested person" under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds' outside legal counsel may cause a person to be deemed an "interested person." 5. Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. ITEM 11. CONTROLS AND PROCEDURES. Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of September 30, 2005, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to 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. There have been no changes in the registrant's internal controls over financial reporting that occurred during the registrant's second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) (1) Exhibit attached hereto. (2) Exhibits attached hereto. (3) Not applicable. (b) Exhibit attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Strategic Income Fund By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: November 16, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: November 16, 2005 By: /s/ Brian W. Wixted ------------------- Brian W. Wixted Principal Financial Officer Date: November 16, 2005