N-CSRS 1 rs230_31998ncsrs.txt RS230_31998NCSRS 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: MARCH 31, 2006 ITEM 1. REPORTS TO STOCKHOLDERS. TOP HOLDINGS AND ALLOCATIONS -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES -------------------------------------------------------------------------------- Media 4.0% -------------------------------------------------------------------------------- Oil & Gas 3.4 -------------------------------------------------------------------------------- Hotels, Restaurants & Leisure 2.2 -------------------------------------------------------------------------------- Diversified Financial Services 2.1 -------------------------------------------------------------------------------- Commercial Banks 2.0 -------------------------------------------------------------------------------- Wireless Telecommunication Services 1.5 -------------------------------------------------------------------------------- Health Care Providers & Services 1.3 -------------------------------------------------------------------------------- Containers & Packaging 1.2 -------------------------------------------------------------------------------- Metals & Mining 1.1 -------------------------------------------------------------------------------- Electric Utilities 1.0 Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2006, and are based on net assets. -------------------------------------------------------------------------------- PORTFOLIO ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Corporate Bonds 27.9% Foreign Government Bonds 21.9 Other Bonds 15.5 Government Agency Bonds 13.8 U.S. Government Bonds 10.5 Cash Equivalents 6.5 Stocks 3.8 Derivatives 0.1 Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2006, and are based on the total market value of total 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. -------------------------------------------------------------------------------- 10 | OPPENHEIMER STRATEGIC INCOME FUND NOTES -------------------------------------------------------------------------------- Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized. 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 "since inception" return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge. CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period. Class N shares are subject to an annual 0.25% asset-based sales charge. 11 | OPPENHEIMER STRATEGIC INCOME FUND NOTES -------------------------------------------------------------------------------- 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. 12 | 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 March 31, 2006. 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 13 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES -------------------------------------------------------------------------------- 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 (10/1/05) (3/31/06) MARCH 31, 2006 -------------------------------------------------------------------------------- Class A Actual $1,000.00 $1,016.70 $4.64 -------------------------------------------------------------------------------- Class A Hypothetical 1,000.00 1,020.34 4.64 -------------------------------------------------------------------------------- Class B Actual 1,000.00 1,015.30 8.58 -------------------------------------------------------------------------------- Class B Hypothetical 1,000.00 1,016.45 8.58 -------------------------------------------------------------------------------- Class C Actual 1,000.00 1,012.80 8.47 -------------------------------------------------------------------------------- Class C Hypothetical 1,000.00 1,016.55 8.48 -------------------------------------------------------------------------------- Class N Actual 1,000.00 1,017.10 6.76 -------------------------------------------------------------------------------- Class N Hypothetical 1,000.00 1,018.25 6.76 -------------------------------------------------------------------------------- Class Y Actual 1,000.00 1,020.60 3.08 -------------------------------------------------------------------------------- Class Y Hypothetical 1,000.00 1,021.89 3.08 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 182/365 (to reflect the one-half year period). Those annualized expense ratios based on the 6-month period ended March 31, 2006 are as follows: CLASS EXPENSE RATIOS -------------------------------------------- Class A 0.92% -------------------------------------------- Class B 1.70 -------------------------------------------- Class C 1.68 -------------------------------------------- Class N 1.34 -------------------------------------------- Class Y 0.61 14 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS March 31, 2006 / Unaudited --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--2.8% ----------------------------------------------------------------------------------------------------------------------------- Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2002-HE7, Cl. A2B, 4.998%, 11/25/35 1 $ 2,450,000 $ 2,451,510 ----------------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 4.836%, 4/20/08 1 1,450,000 1,451,021 ----------------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2005-A, Cl. A2, 3.66%, 12/26/07 8,833,327 8,809,182 ----------------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts.: Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,818,363 Series 2005-1, Cl. A2B, 3.73%, 7/16/07 3,064,896 3,062,375 ----------------------------------------------------------------------------------------------------------------------------- Capital One Prime Auto Receivables Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 6,919,000 6,905,626 ----------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-D, Cl. AF1, 2.98%, 4/25/20 102,393 102,088 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 557,811 554,920 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 2,184,967 2,169,924 Series 2005-D, Cl. AF1, 5.04%, 10/25/35 4,935,845 4,908,846 Series 2005-D, Cl. AV2, 5.088%, 10/25/35 1 250,000 250,190 ----------------------------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 4,499,494 4,479,582 ----------------------------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 426,919 426,558 ----------------------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., CMO Home Equity, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,110,000 4,950,643 ----------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., CMO, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 8,502,819 8,420,025 ----------------------------------------------------------------------------------------------------------------------------- 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 15,791,552 ----------------------------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates: Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 2,543,610 2,528,805 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,711,081 Series 2005-17, Cl. 1AF1, 5.018%, 5/25/36 1 3,448,425 3,450,450 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,143,645 ----------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2004-C, Cl. A2, 2.62%, 6/8/07 898,282 897,825 Series 2005-A, Cl. A2, 3.17%, 9/8/07 2,830,490 2,825,304 Series 2005-B, Cl. A2, 3.75%, 12/8/07 10,198,989 10,177,608 ----------------------------------------------------------------------------------------------------------------------------- DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 3,4 15,000,000 1,500 ----------------------------------------------------------------------------------------------------------------------------- DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 4 3,083,887 541,608 ----------------------------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 3,4 2,275,079 28,438
15 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued ----------------------------------------------------------------------------------------------------------------------------- Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates: Series 2003-4, Cl. AF3, 3.531%, 11/25/33 $ 32,156 $ 32,060 Series 2004-3, Cl. AF2, 3.80%, 7/25/34 1 2,542,852 2,534,106 ----------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity Receivables, Series 2005-FF10, Cl. A3, 5.028%, 11/25/35 1 7,200,000 7,204,437 ----------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2005-A, Cl. A3, 3.48%, 11/17/08 3,640,000 3,597,840 Series 2005-B, Cl. A2, 3.78%, 9/15/07 8,221,993 8,207,359 ----------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 4 6,138,155 61,382 ----------------------------------------------------------------------------------------------------------------------------- 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 3,823,106 ----------------------------------------------------------------------------------------------------------------------------- Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 822,724 ----------------------------------------------------------------------------------------------------------------------------- GS Auto Loan Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.32%, 5/15/08 12,688,592 12,655,416 ----------------------------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2005-1, Cl. A2, 3.21%, 5/21/07 721,174 719,963 Series 2005-3, Cl. A2, 3.73%, 10/18/07 4,586,847 4,570,279 ----------------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.036%, 1/20/35 1 3,207,966 3,210,880 ----------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Home Equity Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 3.63%, 8/25/35 1 4,487,716 4,479,665 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 3,432,145 3,419,983 Series 2005-10, Cl. 2-A3B, 5.55%, 12/25/06 3,069,475 3,040,817 ----------------------------------------------------------------------------------------------------------------------------- Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 0.293%, 3/24/14 1,4 3,310,088 132,404 ----------------------------------------------------------------------------------------------------------------------------- NC Finance Trust, CMO, Home Equity Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1.079%, 1/25/29 4 4,420,411 1,016,695 ----------------------------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2005-C, Cl. A2, 3.99%, 1/15/08 8,007,000 7,975,857 ----------------------------------------------------------------------------------------------------------------------------- Onyx Acceptance Owner Trust, Automobile Receivable Obligations, Series 2005-B, Cl. A2, 4.03%, 4/15/08 2,768,468 2,761,480 ----------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1 1,620,000 1,602,427 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 1 990,000 975,856 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 1 1,670,000 1,649,884 Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,810,000 1,799,337 ----------------------------------------------------------------------------------------------------------------------------- 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 3,568,684 ----------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., CMO Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 5,159,591 5,128,861
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued ----------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Home Equity Obligations, Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 $ 953,597 $ 947,442 ----------------------------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2005-A, Cl. A2, 3.52%, 4/20/07 6,736,181 6,719,924 ----------------------------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 1 1,609,065 1,599,460 ----------------------------------------------------------------------------------------------------------------------------- WFS Financial Owner Trust, Automobile Receivable Obligations, Series 2002-2, Cl. A4, 4.50%, 2/20/10 901,558 902,476 ----------------------------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A3B, 1.99%, 5/15/07 330,634 329,773 Series 2004-1, Cl. A2A, 2.59%, 5/15/07 887,091 885,363 ------------- 189,234,609 Total Asset- Backed Securities (Cost $224,645,926) ----------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--14.6% ----------------------------------------------------------------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1995-MD4, Cl. A4, 7.384%, 8/13/29 1 4,814,000 4,946,152 Series 1995-MD4, Cl. A5, 7.384%, 8/13/29 1 20,755,000 21,362,596 Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 5,687,039 5,775,737 ----------------------------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2004-6, Cl. A3, 4.512%, 12/10/42 3,524,000 3,363,748 Series 2005-2, Cl. A4, 4.783%, 7/10/43 1 6,110,000 5,901,706 Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,895,791 ----------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 4,113,602 4,054,242 ----------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,598,044 3,635,151 Series 2005-E, Cl. 2A2, 4.978%, 6/25/35 1 856,471 855,454 ----------------------------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 2,985,000 2,904,296 ----------------------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 8.217%, 6/22/24 5 6,944,520 266,126 ----------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., CMO, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,311,000 1,311,000 ----------------------------------------------------------------------------------------------------------------------------- Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-CD1, Cl. A4, 5.226%, 7/15/44 1 5,730,000 5,620,401 ----------------------------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, CMO: Series 2004-J9, Cl. 1A1, 4.998%, 10/25/34 1 621,052 621,515 Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 8,746,285 8,855,614 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,988,440 2,004,526 ----------------------------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates, Series 2005-10, Cl. AF1, 4.978%, 2/25/36 1 7,586,015 7,592,020 ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse Mortgage Capital Certificates, Commercial Mtg. Obligations, Series 2006-C1, Cl. A4, 5.609%, 12/12/15 4,820,000 4,811,777
17 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------ DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.238%, 10/15/30 1,4 $ 36,400,000 $ 10,850,840 ------------------------------------------------------------------------------------------------------------------------------ Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 4 2,724,066 2,815,154 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 6,543,223 6,256,599 5%, 4/1/36 6 17,996,000 17,124,310 6%, 4/1/17-9/1/24 27,463,374 27,754,833 6.50%, 4/1/18-8/1/32 7,082,276 7,244,511 7%, 3/1/31-10/1/31 5,684,954 5,860,052 7.50%, 2/1/32 1,363,964 1,425,400 8.50%, 8/1/31 956,309 1,030,570 10%, 4/1/20-5/1/20 210,545 231,923 10.50%, 5/1/20 346,014 385,337 11.50%, 10/1/16 278,433 301,723 12%, 5/1/10-6/1/17 800,960 872,540 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2368, Cl. TG, 6%, 10/15/16 2,056,399 2,082,268 Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,554,246 Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,018,062 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2055, Cl. ZM, 6.50%, 5/15/28 2,235,231 2,270,276 Series 2080, Cl. Z, 6.50%, 8/15/28 1,445,392 1,464,508 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,613,738 1,643,141 Series 2387, Cl. PD, 6%, 4/15/30 1,391,342 1,394,512 Series 2456, Cl. BD, 6%, 3/15/30 297,628 297,508 Series 2500, Cl. FD, 5.249%, 3/15/32 1 960,995 966,503 Series 2526, Cl. FE, 5.149%, 6/15/29 1 1,207,015 1,209,774 Series 2551, Cl. FD, 5.149%, 1/15/33 1 943,742 953,731 Series 2583, Cl. KA, 5.50%, 3/15/22 2,647,547 2,645,053 Series 2691, Cl. MG, 4.50%, 10/15/33 12,099,800 10,653,804 Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,630,482 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2173, Cl. Z, 6.50%, 7/15/29 5,519,005 5,640,508 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. B, 11.789%, 7/1/26 5 3,808,066 850,617 Series 183, Cl. IO, 6.65%, 4/1/27 5 1,501,390 347,563 Series 192, Cl. IO, 14.94%, 2/1/28 5 665,903 143,578 Series 200, Cl. IO, 13.371%, 1/1/29 5 783,676 183,206 Series 203, Cl. IO, 4.208%, 6/1/29 5 2,839,496 678,132 Series 204, Cl. IO, (5.801)%, 5/1/29 5 232,029 48,638 Series 205, Cl. IO, 9.658%, 9/1/29 5 3,687,539 878,971 Series 206, Cl. IO, (14.444)%, 12/1/29 5 1,303,077 298,970
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued Series 207, Cl. IO, (18.133)%, 4/1/30 5 $ 1,434,842 $ 342,498 Series 208, Cl. IO, (3.908)%, 6/1/30 5 2,476,523 532,884 Series 212, Cl. IO, 6.248%, 5/1/31 5 5,687,512 1,322,988 Series 214, Cl. IO, (11.396)%, 6/1/31 5 1,344,591 320,093 Series 2003-118, Cl. S, 15.59%, 12/25/33 5 10,740,247 1,260,525 Series 2074, Cl. S, 3.755%, 7/17/28 5 863,220 80,069 Series 2079, Cl. S, 3.75%, 7/17/28 5 1,377,451 128,140 Series 2526, Cl. SE, 6.952%, 6/15/29 5 2,156,141 130,874 Series 2819, Cl. S, 4.222%, 6/15/34 5 20,100,951 1,529,300 Series 2920, Cl. S, 5.781%, 1/15/35 5 11,754,697 530,045 Series 3000, Cl. SE, 8.388%, 7/15/25 5 13,811,822 455,280 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 4.50%, 5/1/19 3,093,442 2,961,515 4.50%, 4/1/21 6 2,000,000 1,912,500 5%, 2/1/18-3/1/34 22,296,980 21,524,171 5%, 4/1/36-5/1/36 6 96,975,000 92,327,696 5.50%, 3/1/33-11/1/34 71,439,825 69,897,243 5.50%, 4/1/21-5/25/36 6 111,006,000 108,838,361 6%, 6/1/16-5/1/33 48,622,045 49,038,766 6.50%, 12/1/28-9/1/32 18,144,546 18,577,208 6.50%, 1/1/34-5/1/36 6 29,023,000 29,576,236 7%, 11/1/17-2/1/36 54,879,207 56,620,079 7%, 4/1/36 6 11,215,000 11,551,450 7.50%, 6/1/10-1/1/33 15,136,249 15,836,042 8.50%, 7/1/32 177,239 191,028 9.50%, 4/1/20-3/15/21 201,493 221,081 11%, 10/15/15-2/1/26 540,275 593,566 13%, 6/1/15 107,795 119,663 15%, 4/15/13 458,221 520,483 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust: CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T4, Cl. IO, 3.542%, 7/25/41 5 40,121,506 971,707 Commercial Mtg. Obligations, Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T3, Cl. IO, (1.768)%, 11/25/40 5 23,484,715 397,948 Commercial Mtg. Obligations, Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10, Cl. IO, (5.283)%, 12/25/31 5 213,682,156 3,614,348 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1996-35, Cl. Z, 7%, 7/25/26 256,613 263,935 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 3,322,275 3,399,899 Trust 2001-50, Cl. NE, 6%, 8/25/30 769,901 774,043 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 235,620 240,946 Trust 2001-70, Cl. LR, 6%, 9/25/30 984,841 988,510 Trust 2001-72, Cl. NH, 6%, 4/25/30 553,121 553,846 Trust 2001-74, Cl. PD, 6%, 5/25/30 224,560 224,358 Trust 2002-19, Cl. PE, 6%, 4/25/17 3,000,000 3,034,610
19 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates.: Continued Trust 2002-21, Cl. PE, 6.50%, 4/25/32 $ 6,823,504 $ 6,950,978 Trust 2002-77, Cl. WF, 5.176%, 12/18/32 1 1,380,333 1,391,911 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,809,556 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,687,562 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,356,221 Trust 2003-116, Cl. FA, 5.218%, 11/25/33 1 1,267,289 1,273,414 Trust 2004-38, Cl. FT, 5.248%, 10/25/33 1 10,878,365 10,906,314 Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,048,429 Trust 2005-30, Cl. UG, 5%, 4/25/35 2,107,000 1,922,227 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,726,231 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,205,991 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,781,735 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-28, Cl. SA, 4.203%, 4/25/32 5 1,135,308 91,129 Trust 2002-38, Cl. SO, 1.729%, 4/25/32 5 1,018,639 57,572 Trust 2002-39, Cl. SD, 1.401%, 3/18/32 5 1,669,157 143,791 Trust 2002-48, Cl. S, 4.025%, 7/25/32 5 1,806,933 160,352 Trust 2002-52, Cl. SL, 4.229%, 9/25/32 5 1,080,414 107,271 Trust 2002-53, Cl. SK, 1.772%, 4/25/32 5 1,040,803 101,076 Trust 2002-56, Cl. SN, 5.262%, 7/25/32 5 2,477,570 224,600 Trust 2002-77, Cl. IS, 5.099%, 12/18/32 5 1,735,460 163,211 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 221, Cl. 2, 12.045%, 5/1/23 5 1,389,216 322,884 Trust 240, Cl. 2, 20.505%, 9/1/23 5 2,206,709 516,014 Trust 247, Cl. 2, 13.828%, 10/1/23 5 285,102 71,821 Trust 301, Cl. 2, 7.614%, 4/1/29 5 2,218,337 500,536 Trust 303, Cl. IO, 12.837%, 11/1/29 5 1,362,729 329,497 Trust 313, Cl. 2, (9.483)%, 6/1/31 5 7,990,799 2,013,192 Trust 319, Cl. 2, 11.211%, 2/1/32 5 59,837 15,291 Trust 321, Cl. 2, 8.538%, 4/1/32 5 10,722,225 2,727,857 Trust 324, Cl. 2, 4.567%, 7/1/32 5 7,770,843 1,890,689 Trust 327, Cl. 2, 15.881%, 9/1/32 5 203,064 45,727 Trust 329, Cl. 2, 9.796%, 1/1/33 5 16,142,781 3,986,236 Trust 333, Cl. 2, 10.513%, 4/1/33 5 14,709,020 3,655,019 Trust 338, Cl. 2, 9.7%, 7/1/33 5 26,391,474 6,535,647 Trust 2001-61, Cl. SH, 15.478%, 11/18/31 5 6,564,275 587,167 Trust 2001-63, Cl. SD, 7.622%, 12/18/31 5 84,976 7,439 Trust 2001-68, Cl. SC, 7.107%, 11/25/31 5 60,103 5,353 Trust 2001-81, Cl. S, 4.897%, 1/25/32 5 1,623,818 138,132 Trust 2002-9, Cl. MS, 3.972%, 3/25/32 5 2,112,564 190,142 Trust 2002-65, Cl. SC, 2.876%, 6/25/26 5 3,380,078 207,723
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued Trust 2002-77, Cl. SH, 8.637%, 12/18/32 5 $ 1,921,003 $ 161,978 Trust 2003-4, Cl. S, 15.346%, 2/25/33 5 3,467,151 367,181 Trust 2005-40, Cl. SA, 5.152%, 5/25/35 5 18,143,195 847,610 Trust 2005-40, Cl. SB, 9.719%, 5/25/35 5 7,874,112 359,550 Trust 2005-71, Cl. SA, 12.685%, 8/25/25 5 8,808,185 447,445 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 333, Cl. 1, 4.628%, 4/1/33 7 7,547,635 5,532,348 ------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 5,962,086 5,941,252 ------------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,610,000 1,544,071 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,885,965 ------------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,432,212 1,453,686 Series 1998-C1, Cl. F, 7.07%, 5/15/30 1 2,000,000 2,055,381 Series 2004-C3, Cl. A4, 4.547%, 12/10/41 2,320,000 2,218,447 ------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn.: 4.75%, 7/20/27 1 13,640 13,753 7%, 1/15/28-1/20/30 3,189,984 3,321,967 8%, 1/15/28-9/15/28 1,562,875 1,672,866 11%, 10/20/19 35,269 38,711 12%, 11/20/13-9/20/15 51,427 57,236 12.50%, 12/15/13-11/15/15 2,014,927 2,230,086 13%, 10/15/15 2,992,447 3,331,795 13.50%, 6/15/15 3,930,195 4,407,267 ------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 9,201,619 9,834,336 Series 2000-7, Cl. Z, 8%, 1/16/30 6,686,571 7,062,202 ------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-6, Cl. SA, 3.621%, 3/16/28 5 1,685,649 128,915 Series 1998-19, Cl. SB, 2.755%, 7/16/28 5 2,737,807 231,212 ------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,148,208 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,276,256 ----------------------------------------------------------------------------------------------------------------------------- JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,301,000 11,024,636 ----------------------------------------------------------------------------------------------------------------------------- JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.741%, 2/25/32 1 8,233,442 8,258,393
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 $ 1,220,000 $ 1,182,222 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,203,145 Series 2006-CB14, Cl. A4, 5.481%, 12/12/44 5,160,000 5,122,278 Series 2006-LDP6, Cl. A4, 5.475%, 4/15/43 5,960,000 5,896,109 ------------------------------------------------------------------------------------------------------------------------------ LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,644,897 ------------------------------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,431,457 Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,456,018 ------------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 4 548,013 421,970 ------------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 5,813,271 5,779,857 Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 4,941,536 4,904,833 ------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. F, 7.059%, 2/15/28 1,2 1,027,027 1,024,971 Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 11,177,850 ------------------------------------------------------------------------------------------------------------------------------ PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 9,999,578 ------------------------------------------------------------------------------------------------------------------------------ Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates: Series 1992-2, Cl. B2, 1/15/03 3,4 624,465 -- Series 1992-2, Cl. B3, 10.475%, 4/15/09 1,4 626,057 196 ------------------------------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 409,068 ------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., CMO: Series 2000-UP1, Cl. A2, 8%, 9/25/30 703,278 709,427 Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 746,866 762,585 ------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. F, 7.878%, 1/20/28 1,4 2,318,350 927,340 ------------------------------------------------------------------------------------------------------------------------------ Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,408,492 ------------------------------------------------------------------------------------------------------------------------------ Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1992-2, Cl. IO, 1.587%, 9/15/22 5 20,342,344 546,422 Series 1995-2B, Cl. 2IO, (0.231)%, 6/15/25 5 1,463,559 35,287 Series 1995-3, Cl. 1IO, (14.339)%, 9/15/25 5 47,679,988 493,497 ------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,675,016 Series 2005-C20, Cl. A5, 5.087%, 7/15/42 1 3,570,000 3,492,208 ------------------------------------------------------------------------------------------------------------------------------ Washington Mutual Mortgage Securities Corp., CMO Pass-Through Certificates: Series 2005-AR5, Cl. A1, 4.678%, 5/25/35 1 3,740,178 3,733,632 Series 2005-AR8, Cl. 2AB1, 5.068%, 7/25/45 1 4,681,918 4,685,565
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS Continued ----------------------------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities Trust, CMO, Series 2004-DD, Cl. 2A1, 5.518%, 1/25/35 1 $ 1,640,026 $ 1,631,525 --------------- Total Mortgage-Backed Obligations (Cost $1,019,671,594) 991,653,764 ----------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--11.1% ----------------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8,9,10 61,690,000 57,161,275 ----------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 150,000 146,371 ----------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 3.625%, 9/15/06 17,750,000 17,638,548 4.125%, 7/12/10 9 3,100,000 2,982,634 5.125%, 4/18/11 3,370,000 3,368,436 ----------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 335,000 331,713 4.25%, 7/15/07 9 505,000 499,714 4.75%, 12/15/10 9 12,875,000 12,668,717 6%, 5/15/08 11 15,044,000 15,329,535 6%, 5/15/11 9 21,200,000 22,002,568 6.625%, 9/15/09 9,11 30,056,000 31,466,378 7.25%, 5/15/30 9 6,706,000 8,447,099 ----------------------------------------------------------------------------------------------------------------------------- Freddie Mac, Unsec. Reference Nts., 6%, 6/15/11 9 63,370,000 65,855,308 ----------------------------------------------------------------------------------------------------------------------------- Resolution Funding Corp. STRIPS, 6.13%, 1/15/21 8,9 51,220,000 23,773,609 ----------------------------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 4.65%, 6/15/35 9 3,990,000 3,586,463 5.88%, 4/1/36 8,685,000 9,334,603 Series A, 6.79%, 5/23/12 83,068,000 89,962,312 ----------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bills: 4.375%, 5/11/06 9 229,500,000 228,389,475 4.44%, 5/18/06 9 145,635,000 144,781,860 ----------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 5.50%, 8/15/28 9,11 152,000 161,084 7.25%, 5/15/16 9,12 2,734,000 3,234,237 STRIPS, 4.94%, 2/15/16 8,11 23,586,000 14,530,839 --------------- Total U.S. Government Obligations (Cost $761,990,393) 755,652,778 ----------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--23.3% ----------------------------------------------------------------------------------------------------------------------------- ARGENTINA--1.2% Argentina (Republic of) Bonds: 1.20%, 12/31/38 1 [EUR] 8,670,000 3,979,450 2%, 9/30/14 4 [ARP] 13,011,900 4,362,814 4.889%, 8/3/12 1 57,154,125 53,160,195
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS Continued ----------------------------------------------------------------------------------------------------------------------------- Argentina (Republic of) Discount Bonds: 7.82%, 12/31/33 [EUR] 6,069,946 $ 7,091,093 8.28%, 12/31/33 6,016,869 5,926,616 ----------------------------------------------------------------------------------------------------------------------------- Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 4/1/07 3,4 [ARP] 414,832 175,806 ----------------------------------------------------------------------------------------------------------------------------- Central Bank of Argentina Bonds, 2%, 2/4/18 4 [ARP] 18,068,879 8,854,850 --------------- 83,550,824 ----------------------------------------------------------------------------------------------------------------------------- AUSTRALIA--0.9% Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 84,000,000 61,052,805 ----------------------------------------------------------------------------------------------------------------------------- AUSTRIA--1.6% Austria (Republic of) Nts., 3.80%, 10/20/13 2 [EUR] 89,765,000 109,253,354 ----------------------------------------------------------------------------------------------------------------------------- BELGIUM--0.5% Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 25,650,000 36,101,105 ----------------------------------------------------------------------------------------------------------------------------- BRAZIL--1.1% Brazil (Federal Republic of) Bonds: 7.125%, 1/20/37 5,880,000 5,777,100 8.25%, 1/20/34 5,880,000 6,494,460 8.75%, 2/4/25 28,995,000 33,271,763 8.875%, 10/14/19 8,315,000 9,624,613 Series 15 yr., 5.25%, 4/15/09 1 100,891 100,954 ----------------------------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 14,920,000 16,143,440 --------------- 71,412,330 ----------------------------------------------------------------------------------------------------------------------------- BULGARIA--0.2% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 7,080,000 8,310,150 8.25%, 1/15/15 2 6,790,000 7,969,763 --------------- 16,279,913 ----------------------------------------------------------------------------------------------------------------------------- COLOMBIA--1.2% Colombia (Republic of) Bonds: 10.375%, 1/28/33 2,950,000 4,122,625 10.75%, 1/15/13 8,000,000 9,980,000 12%, 10/22/15 [COP] 24,752,000,000 13,626,018 ----------------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Nts.: 8.25%, 12/22/14 6,718,000 7,591,340 11.75%, 3/1/10 [COP] 23,854,260,000 12,022,616 ----------------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 32,220,000 36,247,500 --------------- 83,590,099
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- DOMINICAN REPUBLIC--0.1% Dominican Republic Unsec. Unsub. Bonds: Series REG S, 9.04%, 1/23/18 $ 4,523,253 $ 4,925,822 Series REG S, 9.50%, 9/27/11 3,753,323 4,053,589 --------------- 8,979,411 ----------------------------------------------------------------------------------------------------------------------------- EL SALVADOR--0.1% El Salvador (Republic of) Bonds, 7.625%, 9/21/34 2 4,802,000 5,246,185 ----------------------------------------------------------------------------------------------------------------------------- FRANCE--0.6% France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 4/25/55 [EUR] 9,470,000 11,526,780 ----------------------------------------------------------------------------------------------------------------------------- France (Government of) Treasury Bills, 2.54%, 6/1/06 8 [EUR] 26,590,000 32,088,031 --------------- 43,614,811 ----------------------------------------------------------------------------------------------------------------------------- GERMANY--0.4% Germany (Republic of) Bonds, Series 99, 4%, 7/4/09 [EUR] 22,175,000 27,325,733 ----------------------------------------------------------------------------------------------------------------------------- GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 2 2,972,000 3,551,540 10.25%, 11/8/11 1,205,000 1,439,975 --------------- 4,991,515 ----------------------------------------------------------------------------------------------------------------------------- INDONESIA--0.3% Indonesia (Republic of) Nts.: 6.75%, 3/10/14 2 2,670,000 2,649,975 7.25%, 4/20/15 2 4,450,000 4,550,125 ----------------------------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 11,250,000 12,501,563 --------------- 19,701,663 ----------------------------------------------------------------------------------------------------------------------------- ISRAEL--0.3% Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 22,817,680 ----------------------------------------------------------------------------------------------------------------------------- ITALY--1.2% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 4.25%, 2/1/19 [EUR] 66,605,000 82,039,460 ----------------------------------------------------------------------------------------------------------------------------- JAPAN--2.4% Japan (Government of) Bonds: 2 yr., Series 237, 0.20%, 10/15/07 [JPY] 15,584,000,000 131,731,804 20 yr., Series 81, 2%, 9/20/25 [JPY] 3,427,000,000 28,953,928 --------------- 160,685,732 ----------------------------------------------------------------------------------------------------------------------------- MALAYSIA--0.4% Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 [MYR] 57,058,000 16,808,648 ----------------------------------------------------------------------------------------------------------------------------- Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,386,064 --------------- 24,194,712
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- MEXICO--2.1% Mexican Williams Sr. Nts., 5.30%, 11/15/08 1,4 $ 1,500,000 $ 1,545,938 ----------------------------------------------------------------------------------------------------------------------------- United Mexican States Bonds: 5.625%, 1/15/17 4 12,325,000 12,053,850 7.50%, 4/8/33 10,622,000 11,870,085 11.375%, 9/15/16 45,000 63,540 Series B1, 9%, 4/12/06 8 [MXN] 58,460,000 5,345,436 Series M10, 10.50%, 7/14/11 1 [MXN] 199,100,000 21,126,144 Series M20, 8%, 12/7/23 1 [MXN] 204,981,200 17,811,942 Series MI10, 8%, 12/19/13 [MXN] 139,519,000 12,582,898 Series MI10, 9.50%, 12/18/14 1 [MXN] 158,044,700 15,517,261 Series M20, 10%, 12/5/24 1 [MXN] 100,065,000 10,352,947 ----------------------------------------------------------------------------------------------------------------------------- United Mexican States Nts., 8.375%, 1/14/11 22,280,000 24,741,940 ----------------------------------------------------------------------------------------------------------------------------- United Mexican States Unsec. Unsub. Nts., Series 6 BR, 6.75%, 6/6/06 [JPY] 1,411,000,000 12,119,975 --------------- 145,131,956 ----------------------------------------------------------------------------------------------------------------------------- NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 3,585,000 3,585,000 ----------------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,610,440 2,360,749 --------------- 5,945,749 ----------------------------------------------------------------------------------------------------------------------------- PANAMA--0.5% Panama (Republic of) Bonds: 6.70%, 1/26/36 27,455,000 27,537,365 9.375%, 4/1/29 5,500,000 6,998,750 --------------- 34,536,115 ----------------------------------------------------------------------------------------------------------------------------- PERU--1.4% Peru (Republic of) Bonds: 7.35%, 7/21/25 9,640,000 9,519,500 7.84%, 8/12/20 [PEN] 113,790,000 32,464,984 8.375%, 5/3/16 3,210,000 3,498,900 9.91%, 5/5/15 [PEN] 54,017,000 17,992,572 Series 2, 9%, 1/31/12 [PEN] 9,590,000 3,049,727 Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 7,404,969 Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 3,826,436 ----------------------------------------------------------------------------------------------------------------------------- Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,106,000 1,056,230 ----------------------------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Nts., 4.53%, 2/28/16 8 24,870,549 12,842,405 ----------------------------------------------------------------------------------------------------------------------------- Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 60,000 67,200 --------------- 91,722,923 ----------------------------------------------------------------------------------------------------------------------------- PHILIPPINES--0.4% Philippines (Republic of) Bonds: 8%, 1/15/16 7,200,000 7,776,000 8.375%, 2/15/11 6,506,000 7,067,617
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- PHILIPPINES Continued Philippines (Republic of) Nts., 8.25%, 1/15/14 $ 8,841,000 $ 9,625,639 --------------- 24,469,256 ----------------------------------------------------------------------------------------------------------------------------- POLAND--0.4% Poland (Republic of) Bonds: Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,416,817 Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,843,764 ----------------------------------------------------------------------------------------------------------------------------- Poland (Republic of) Nts., Series 0K0807, 4.19%, 8/12/07 8 [PLZ] 36,350,000 10,632,202 --------------- 24,892,783 ----------------------------------------------------------------------------------------------------------------------------- RUSSIA--0.8% Aries Vermoegensverwaltungs GmbH Unsub. Nts.: Series B, 7.75%, 10/25/09 2 [EUR] 6,050,000 8,204,210 Series C, 9.60%, 10/25/14 36,000,000 45,004,140 ----------------------------------------------------------------------------------------------------------------------------- Russian Federation Unsec. Unsub. Nts., 12.75%, 6/24/28 745,000 1,331,688 ----------------------------------------------------------------------------------------------------------------------------- Russian Federation Unsub. Nts., 5%, 3/31/30 1 2,575,000 2,822,844 --------------- 57,362,882 ----------------------------------------------------------------------------------------------------------------------------- SOUTH AFRICA--0.8% South Africa (Republic of) Bonds: Series 153, 13%, 8/31/10 [ZAR] 13,830,000 2,716,561 Series R157, 13.50%, 9/15/15 [ZAR] 78,340,000 17,791,684 Series R186, 10.50%, 12/21/26 [ZAR] 101,878,000 22,245,175 Series R203, 8.25%, 9/15/17 [ZAR] 23,964,000 4,104,586 Series R204, 8%, 12/21/18 [ZAR] 24,668,000 4,165,952 --------------- 51,023,958 ----------------------------------------------------------------------------------------------------------------------------- SPAIN--0.1% Spain (Kingdom of) Bonds, Bonos y Obligacion del Estado, 6%, 1/31/29 [EUR] 2,050,000 3,208,122 ----------------------------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Treasury Bills, 6/23/06 [EUR] 3,530,000 4,252,722 --------------- 7,460,844 ----------------------------------------------------------------------------------------------------------------------------- TURKEY--0.6% Turkey (Republic of) Bonds, 6.875%, 3/17/36 4,840,000 4,694,800 ----------------------------------------------------------------------------------------------------------------------------- Turkey (Republic of) Nts., 7.25%, 3/15/15 35,035,000 36,655,369 --------------- 41,350,169 ----------------------------------------------------------------------------------------------------------------------------- UNITED KINGDOM--2.3% United Kingdom Treasury Bonds, 6%, 12/7/28 [GBP] 34,440,000 75,661,850 ----------------------------------------------------------------------------------------------------------------------------- United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 44,885,000 76,980,695 --------------- 152,642,545
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- URUGUAY--0.3% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 $ 4,835,000 $ 4,859,175 ----------------------------------------------------------------------------------------------------------------------------- Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 17,005,000 17,855,250 -------------- 22,714,425 ----------------------------------------------------------------------------------------------------------------------------- VENEZUELA--0.9% Venezuela (Republic of) Bonds, 9.25%, 9/15/27 36,685,000 46,700,005 ----------------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Nts., 7%, 3/16/15 [EUR] 11,640,000 15,431,978 -------------- 62,131,983 -------------- Total Foreign Government Obligations (Cost $1,547,169,500) 1,582,222,920 ----------------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.1% ----------------------------------------------------------------------------------------------------------------------------- Algeria (Republic of) Loan Participation Nts., 5.813%, 3/4/10 1,4 (Cost $5,114,054) 5,498,913 5,478,292 ----------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--29.7% ----------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--8.9% ----------------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.5% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,029,000 1,927,550 ----------------------------------------------------------------------------------------------------------------------------- Eagle-Picher, Inc., 9.75% Sr. Nts., 9/1/13 3 652,000 453,140 ----------------------------------------------------------------------------------------------------------------------------- Goodyear Tire & Rubber Co. (The): 7.857% Nts., 8/15/11 7,731,000 7,595,708 9% Sr. Unsec. Nts., 7/1/15 6,000,000 6,120,000 ----------------------------------------------------------------------------------------------------------------------------- Keystone Automotive Operations, Inc., 9.75% Sr. Unsec. Sub. Nts., 11/1/13 1,000,000 880,000 ----------------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 3,437,070 ----------------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc.: 8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,071,255 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,438,660 ----------------------------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,649,000 ----------------------------------------------------------------------------------------------------------------------------- Visteon Corp.: 7% Sr. Unsec. Nts., 3/10/14 2,975,000 2,305,625 8.25% Sr. Unsec. Nts., 8/1/10 5,100,000 4,233,000 -------------- 36,111,008 ----------------------------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.8% Ford Motor Co., 7.45% Bonds, 7/16/31 2,700,000 2,018,250 ----------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co.: 5.625% Nts., 10/1/08 5,400,000 4,941,043 5.80% Sr. Unsec. Nts., 1/12/09 800,000 731,058 7.25% Nts., 10/25/11 2,000,000 1,824,476 7.375% Nts., 10/28/09 14,550,000 13,689,353
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- AUTOMOBILES Continued General Motors Acceptance Corp.: 6.875% Nts., 9/15/11 $ 4,600,000 $ 4,292,292 7.25% Nts., 3/2/11 3,500,000 3,320,093 8% Bonds, 11/1/31 13,600,000 12,887,034 ----------------------------------------------------------------------------------------------------------------------------- General Motors Corp., 8.375% Sr. Unsec. Debs., 7/15/33 1,400,000 1,032,500 ----------------------------------------------------------------------------------------------------------------------------- Hertz Corp.: 8.875% Sr. Nts., 1/1/14 2 3,540,000 3,690,450 10.50% Sr. Sub. Nts., 1/1/16 2 2,455,000 2,675,950 -------------- 51,102,499 ----------------------------------------------------------------------------------------------------------------------------- DISTRIBUTORS--0.0% SGS International, Inc., 12% Sr. Sub. Nts., 12/15/13 2 3,275,000 3,381,438 ----------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.0% Alderwoods Group, Inc., 7.75% Sr. Nts., 9/15/12 150,000 154,875 ----------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--2.2% Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4 5,093,000 5,016,605 ----------------------------------------------------------------------------------------------------------------------------- Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,353,212 ----------------------------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,897,035 ----------------------------------------------------------------------------------------------------------------------------- CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 4,895,000 4,895,000 ----------------------------------------------------------------------------------------------------------------------------- Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,462,730 ----------------------------------------------------------------------------------------------------------------------------- French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2,6 3,200,000 3,200,000 ----------------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., 8% Sr. Nts., 11/15/13 1,900,000 1,990,250 ----------------------------------------------------------------------------------------------------------------------------- Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 4,915,000 5,087,025 ----------------------------------------------------------------------------------------------------------------------------- Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,445,413 ----------------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 2,006,835 9% Sr. Sub. Nts., 3/15/12 7,132,000 7,604,495 ----------------------------------------------------------------------------------------------------------------------------- Kerzner International Ltd., 6.75% Sr. Unsec. Sub. Nts., 10/1/15 2,235,000 2,363,513 ----------------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,673,300 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,415,458 ----------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 6.75% Sr. Nts., 4/1/13 2,6 3,200,000 3,200,000 8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,476,600 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,255,500 ----------------------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,655,388 6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,327,000 6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,327,088 8% Sr. Sub. Nts., 4/1/12 2,950,000 3,104,875 ----------------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,339,000 8,901,883 ----------------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,673,325
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE Continued Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 $ 6,850,000 $ 7,209,625 ----------------------------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,3 10,800,000 -- ----------------------------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 5,426,000 5,432,783 9.625% Sr. Nts., 6/1/14 1,368,000 1,385,100 9.75% Sr. Nts., 4/15/13 1,650,000 1,670,625 ----------------------------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.875% Sr. Nts., 5/1/12 8,102,000 8,851,435 ----------------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,725,000 10,657,969 6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,595,800 ----------------------------------------------------------------------------------------------------------------------------- Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,406,500 ----------------------------------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,272,735 ----------------------------------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,500,000 1,488,750 ----------------------------------------------------------------------------------------------------------------------------- Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,303,000 11,034,554 -------------- 150,338,406 ----------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.4% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,840,738 ----------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,085,096 ----------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,943,150 ----------------------------------------------------------------------------------------------------------------------------- KB Home: 8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,621,809 9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,261,500 ----------------------------------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,971,000 2,069,550 ----------------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 2,083,219 ----------------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,016,438 ----------------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,650,325 ----------------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,565,013 -------------- 30,136,838 ----------------------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 1,650,000 1,666,500 ----------------------------------------------------------------------------------------------------------------------------- Rexnord Corp., 10.125% Sr. Unsec. Sub. Nts., 12/15/12 4 2,220,000 2,447,550 ----------------------------------------------------------------------------------------------------------------------------- Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,964,775 -------------- 6,078,825 ----------------------------------------------------------------------------------------------------------------------------- MEDIA--4.0% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 3 1,400,000 819,000 8.125% Sr. Nts., Series B, 7/15/03 3 2,325,000 1,395,000 8.375% Sr. Nts., Series B, 2/1/08 3 4,236,000 2,520,420
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- MEDIA Continued Adelphia Communications Corp.: Continued 9.25% Sr. Unsec. Nts., Series B, 10/1/02 3 $ 6,065,000 $ 3,548,025 9.875% Sr. Nts., Series B, 3/1/07 3 1,800,000 1,071,000 10.25% Sr. Unsec. Sub. Nts., 6/15/11 3 800,000 508,000 10.875% Sr. Unsec. Nts., 10/1/10 3 200,000 119,000 ----------------------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,288,460 ----------------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc.: 8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,391,125 9.50% Sr. Unsec. Sub. Nts., 2/1/11 3,409,000 3,332,298 ----------------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 838,500 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 3,750,000 3,412,500 ----------------------------------------------------------------------------------------------------------------------------- Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 2 2,290,000 2,255,650 ----------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings I LLC, 0%/11.75% Sr. Unsec. Unsub. Nts., 5/15/14 14 2,932,000 1,539,300 ----------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings II LLC, 10.25% Sr. Unsec. Nts., 9/15/10 1,300,000 1,283,750 ----------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25% Sr. Nts., 9/15/10 2 6,345,000 6,249,825 ----------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 2 21,129,000 21,181,823 ----------------------------------------------------------------------------------------------------------------------------- Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 2,229,000 2,379,458 ----------------------------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 14 5,629,000 4,334,330 ----------------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 7,469,000 7,543,690 ----------------------------------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,547,400 ----------------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 2,509,000 2,665,813 9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,923,949 ----------------------------------------------------------------------------------------------------------------------------- Dex Media, Inc.: 0%/9% Unsec. Disc. Nts., 11/15/13 14 3,600,000 3,060,000 8% Unsec. Nts., 11/15/13 14,633,000 15,145,155 ----------------------------------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index Pass-Through Certificates, Series 6-T1, 8.625%, 6/29/11 2,6 35,670,000 35,536,238 ----------------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 6.625% Sr. Unsec. Nts., 10/1/14 4,388,000 4,261,845 7.125% Sr. Nts., 2/1/16 2 2,200,000 2,175,250 ----------------------------------------------------------------------------------------------------------------------------- Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 3,996,000 3,876,120 ----------------------------------------------------------------------------------------------------------------------------- Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,973,125 ----------------------------------------------------------------------------------------------------------------------------- Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 648,000 605,880 ----------------------------------------------------------------------------------------------------------------------------- Lamar Media Corp.: 6.625% Sr. Unsec. Sub. Nts., 8/15/15 5,553,000 5,553,000 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,854,000
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- MEDIA Continued Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 $ 3,233,000 $ 3,055,185 ----------------------------------------------------------------------------------------------------------------------------- LodgeNet Entertainment Corp., 9.50% Sr. Sub. Debs., 6/15/13 4 1,350,000 1,464,750 ----------------------------------------------------------------------------------------------------------------------------- Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 14 5,500,000 3,602,500 ----------------------------------------------------------------------------------------------------------------------------- Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50% Sr. Nts., 10/15/15 1,895,000 1,828,675 ----------------------------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 5,355,000 5,328,225 ----------------------------------------------------------------------------------------------------------------------------- MediaNews Group, Inc., 6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,464,625 ----------------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp., 10.777% Sr. Sec. Nts., 1/15/13 1,2 4,225,000 4,203,875 ----------------------------------------------------------------------------------------------------------------------------- PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 5,317,000 4,891,640 8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,683,640 ----------------------------------------------------------------------------------------------------------------------------- Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,600,000 1,568,458 ----------------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Corp.: 6.875% Sr. Disc. Nts., 1/15/13 2 5,615,000 5,278,100 6.875% Sr. Disc. Nts., Series A-2, 1/15/13 2 10,155,000 9,545,700 6.875% Sr. Nts., 1/15/13 6,800,000 6,392,000 8.875% Sr. Nts., Series A-3, 1/15/16 2 10,310,000 10,773,950 ----------------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 2 4,340,000 4,833,675 ----------------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,156,560 ----------------------------------------------------------------------------------------------------------------------------- Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,999,000 2,138,930 ----------------------------------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,570,859 ----------------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 12,475,000 12,786,875 8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,161,875 ----------------------------------------------------------------------------------------------------------------------------- Vertis, Inc.: 9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,775,980 10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,600,000 3,555,000 ----------------------------------------------------------------------------------------------------------------------------- WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 14 8,085,000 5,993,006 -------------- 270,243,012 ----------------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.3% Bon-Ton Stores, Inc. (The), 10.25% Sr. Nts., 3/15/14 2 8,500,000 8,219,500 ----------------------------------------------------------------------------------------------------------------------------- Neiman Marcus Group, Inc.: 9% Sr. Nts., 10/15/15 2 6,770,000 7,193,125 10.375% Sr. Sub. Nts., 10/15/15 2 2,060,000 2,199,050 -------------- 17,611,675 ----------------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.3% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 6,034,350 ----------------------------------------------------------------------------------------------------------------------------- Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 952,500 ----------------------------------------------------------------------------------------------------------------------------- Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,218,873
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL Continued Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 3,4 $ 4,300,000 $ -- ----------------------------------------------------------------------------------------------------------------------------- Linens `N Things, Inc., 10.366% Sr. Sec. Nts., 1/15/14 1,2 3,335,000 3,360,013 ----------------------------------------------------------------------------------------------------------------------------- Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 4 3,851,000 4,149,453 ----------------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,658,250 --------------- 19,373,439 ----------------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.3% Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 5,830,000 6,267,250 ----------------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co.: 9.28% Sr. Unsec. Unsub. Nts., 4/1/12 1 4,570,000 4,752,800 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,888,000 4,111,560 ----------------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 4 1,650,000 1,707,750 ----------------------------------------------------------------------------------------------------------------------------- Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,865,000 2,800,538 ----------------------------------------------------------------------------------------------------------------------------- Russell Corp., 9.25% Sr. Nts., 5/1/10 2,507,000 2,613,548 --------------- 22,253,446 ----------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.0% ----------------------------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% Canandaigua Brands, Inc., 8.625% Sr. Unsec. Nts., 8/1/06 4 1,300,000 1,319,500 ----------------------------------------------------------------------------------------------------------------------------- Constellation Brands, Inc., 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,133,844 --------------- 3,453,344 ----------------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,997,000 6,454,733 ----------------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 11% Disc. Nts., 5/31/09 3,4 8,836,185 -- ----------------------------------------------------------------------------------------------------------------------------- Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,900,776 9.50% Sr. Sec. Nts., 2/15/11 3,225,000 3,418,500 --------------- 13,774,009 ----------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.5% American Seafoods Group LLC, 10.125% Sr. Sub. Nts., 4/15/10 4,525,000 4,754,101 ----------------------------------------------------------------------------------------------------------------------------- Del Monte Corp.: 6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,298,500 8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,197,244 ----------------------------------------------------------------------------------------------------------------------------- Doane Pet Care Co.: 10.625% Sr. Unsec. Sub. Nts., 11/15/15 2,880,000 3,067,200 10.75% Sr. Nts., 3/1/10 7,892,000 8,582,550 ----------------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 1,838,000 1,856,380 8.875% Sr. Unsec. Nts., 3/15/11 623,000 619,885 ----------------------------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 2,300,000 2,259,750
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS Continued Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 $ 3,336,000 $ 3,419,400 8% Sr. Nts., Series B, 10/15/09 1,300,000 1,361,750 ----------------------------------------------------------------------------------------------------------------------------- United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 4 [GBP] 4,351,000 7,979,958 --------------- 39,396,718 ----------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.1% Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,977,500 ----------------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 3,092,000 3,285,250 9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,588,000 3,767,400 --------------- 9,030,150 ----------------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.1% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 3,800,000 3,914,000 ----------------------------------------------------------------------------------------------------------------------------- ENERGY--3.5% ----------------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.1% Dresser, Inc., 9.375% Sr. Sub. Nts., 4/15/11 1,829,000 1,920,450 ----------------------------------------------------------------------------------------------------------------------------- Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,159,125 ----------------------------------------------------------------------------------------------------------------------------- Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 829,193 ----------------------------------------------------------------------------------------------------------------------------- Petroleum Helicopters, Inc., 9.375% Sr. Nts., 5/1/09 2,025,000 2,133,844 ----------------------------------------------------------------------------------------------------------------------------- RathGibson, Inc., 11.25% Sr. Nts., 2/15/14 2 1,590,000 1,669,500 ----------------------------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,346,620 --------------- 11,058,732 ----------------------------------------------------------------------------------------------------------------------------- OIL & GAS--3.4% Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,272,798 ----------------------------------------------------------------------------------------------------------------------------- Atlas Pipeline Partners LP, 8.125% Sr. Nts., 12/15/15 2 1,635,000 1,712,663 ----------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp.: 6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 1,977,500 6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,553,913 ----------------------------------------------------------------------------------------------------------------------------- Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 1,270,000 1,200,150 ----------------------------------------------------------------------------------------------------------------------------- Compton Petroleum Finance Corp.: 7.625% Sr. Nts., 12/1/13 3,790,000 3,808,950 7.625% Sr. Nts., 12/1/13 2,6 2,555,000 2,567,775 ----------------------------------------------------------------------------------------------------------------------------- Copano Energy LLC, 8.125% Sr. Nts., 3/1/16 2 950,000 988,000 ----------------------------------------------------------------------------------------------------------------------------- El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 6,140,000 6,423,975 ----------------------------------------------------------------------------------------------------------------------------- El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,608,855 ----------------------------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,377,098 ----------------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,703,875 ----------------------------------------------------------------------------------------------------------------------------- Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 918,000
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- OIL & GAS Continued Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 $ 2,775,000 $ 2,781,938 ----------------------------------------------------------------------------------------------------------------------------- Gazprom International SA, 7.201% Sr. Unsec. Bonds, 2/1/20 9,131,000 9,556,550 ----------------------------------------------------------------------------------------------------------------------------- Inergy LP/Inergy Finance Corp., 8.25% Sr. Nts., 3/1/16 2 1,535,000 1,581,050 ----------------------------------------------------------------------------------------------------------------------------- Massey Energy Co., 6.875% Sr. Nts., 12/15/13 2 1,620,000 1,595,700 ----------------------------------------------------------------------------------------------------------------------------- National Gas Co., 6.05% Nts., 1/15/36 2 8,195,000 7,891,408 ----------------------------------------------------------------------------------------------------------------------------- Newfield Exploration Co.: 6.625% Sr. Unsec. Sub. Nts., 9/1/14 200,000 201,500 8.375% Sr. Sub. Nts., 8/15/12 3,129,000 3,363,675 ----------------------------------------------------------------------------------------------------------------------------- Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec. Nts., 9/15/15 640,000 627,200 ----------------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,444,540 ----------------------------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: 7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,267,270 8.50% Unsub. Nts., 2/15/08 3,586,000 3,762,611 9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 8,733,615 ----------------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 27,918,427 27,309,080 ----------------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,892,137 ----------------------------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 3,200,000 3,176,000 ----------------------------------------------------------------------------------------------------------------------------- Range Resources Corp., 6.375% Sr. Sub. Nts., 3/15/15 1,665,000 1,648,350 ----------------------------------------------------------------------------------------------------------------------------- Southern Natural Gas Co.: 7.35% Nts., 2/15/31 5,502,000 5,687,043 8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,772,725 8.875% Sr. Nts., 3/15/10 2,599,000 2,777,681 ----------------------------------------------------------------------------------------------------------------------------- Stone Energy Corp.: 6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 2,961,000 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,010,000 ----------------------------------------------------------------------------------------------------------------------------- Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,265,000 3,411,925 ----------------------------------------------------------------------------------------------------------------------------- Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,127,125 ----------------------------------------------------------------------------------------------------------------------------- Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 17,587,000 17,587,000 ----------------------------------------------------------------------------------------------------------------------------- Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 13,526,000 14,477,676 ----------------------------------------------------------------------------------------------------------------------------- Tesoro Corp.: 6.25% Sr. Nts., 11/1/12 2 2,450,000 2,419,375 6.625% Sr. Nts., 11/1/15 2 3,750,000 3,731,250 ----------------------------------------------------------------------------------------------------------------------------- Titan Petrochemicals Group Ltd., 8.50% Sr. Unsec. Nts., 3/18/12 2 6,066,000 5,732,370 ----------------------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp., 7.25% Sr. Sub. Nts., 5/1/12 2,000,000 2,002,500 ----------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 13,462,000 13,916,343 7.625% Nts., 7/15/19 1,600,000 1,712,000 8.75% Unsec. Nts., 3/15/32 3,825,000 4,494,375 ----------------------------------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 1,100,000 1,111,000 --------------- 228,877,564
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- FINANCIALS--4.7% ----------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.2% Berry Plastics Corp., 10.75% Sr. Sub. Nts., 7/15/12 $ 4,981,000 $ 5,504,005 ----------------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 4 800,000 576,000 ----------------------------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp.: 7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,004,900 8% Sr. Nts., 6/15/11 2,710,000 2,828,563 --------------- 10,913,468 ----------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--2.0% Banco BMG SA, 9.15% Nts., 1/15/16 4 16,590,000 16,984,013 ----------------------------------------------------------------------------------------------------------------------------- Bank Plus Corp., 12% Sr. Nts., 7/18/07 4 4,012,000 4,312,900 ----------------------------------------------------------------------------------------------------------------------------- Bankunited Capital Trust, 10.25% Capital Securities, 12/31/26 4 9,675,000 10,473,188 ----------------------------------------------------------------------------------------------------------------------------- HSBC Bank plc: 9.75% Sr. Unsec. Nts., 7/8/09 8 16,420,000 12,530,923 11.60% Sr. Unsec. Nts., 1/12/10 8 21,550,000 14,260,066 12.28% Sr. Unsec. Nts., 3/9/09 8 16,420,000 11,683,158 ----------------------------------------------------------------------------------------------------------------------------- Inter-American Development Bank: 6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,092,070 8.81% Nts., 1/25/12 1 [COP] 7,695,428,597 3,640,441 ----------------------------------------------------------------------------------------------------------------------------- Kuznetski Capital SA, Bank of Moscow, 7.375% Nts., 11/26/10 4 12,565,000 12,941,950 ----------------------------------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 3,4 4,970,000 -- ----------------------------------------------------------------------------------------------------------------------------- UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,036,308 ----------------------------------------------------------------------------------------------------------------------------- VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 20,590,000 20,512,788 ----------------------------------------------------------------------------------------------------------------------------- Western Financial Bank, 9.625% Unsec. Sub. Debs., 5/15/12 3,958,000 4,462,645 --------------- 132,930,450 ----------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.1% Affinia Group, Inc., 9% Sr. Unsec. Sub. Nts., 11/30/14 1,675,000 1,448,875 ----------------------------------------------------------------------------------------------------------------------------- Argentine Beverages Financial Trust, 7.375% Bonds, 3/22/12 2 3,640,000 3,621,800 ----------------------------------------------------------------------------------------------------------------------------- Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 4 7,490,000 7,490,000 ----------------------------------------------------------------------------------------------------------------------------- Cloverie plc, 9.18% Sec. Nts., Series 2005-93, 12/20/10 1,4 6,400,000 6,408,000 ----------------------------------------------------------------------------------------------------------------------------- Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp.: 0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 1 4 3,290,000 2,566,200 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,620,213 ----------------------------------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index Pass-Through Certificates, Series 4-T1, 8.25%, 6/29/10 2 88,261,270 89,695,516 ----------------------------------------------------------------------------------------------------------------------------- European Investment Bank, 1.90% Sr. Unsec. Nts., 1/26/26 [JPY] 1,292,000,000 10,667,507 ----------------------------------------------------------------------------------------------------------------------------- JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,905,875 ----------------------------------------------------------------------------------------------------------------------------- Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 8,535,000 8,513,663 ----------------------------------------------------------------------------------------------------------------------------- Redwood Capital VII Ltd., 9.90% Nts., 1/9/08 1 500,000 494,830
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES Continued Tiers-BSP (Bangko Sentral ng Pilipinas), 0%/8.60% Collateralized Trust, 6/15/97 4,14 $ 14,015,000 $ 4,730,063 ----------------------------------------------------------------------------------------------------------------------------- Universal City Florida: 8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,012,500 9.43% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,020,000 --------------- 145,195,042 ----------------------------------------------------------------------------------------------------------------------------- REAL ESTATE--0.3% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 1,900,000 1,957,000 ----------------------------------------------------------------------------------------------------------------------------- Felcor Lodging LP, 9% Sr. Nts., 6/1/11 4,011,000 4,412,100 ----------------------------------------------------------------------------------------------------------------------------- HMH Properties, Inc., 7.875% Sr. Nts., Series B, 8/1/08 707,000 715,838 ----------------------------------------------------------------------------------------------------------------------------- Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,781,969 ----------------------------------------------------------------------------------------------------------------------------- MeriStar Hospitality Corp., 9.125% Sr. Unsec. Nts., 1/15/11 5,133,000 5,967,113 ----------------------------------------------------------------------------------------------------------------------------- Trustreet Properties, Inc., 7.50% Sr. Unsec. Nts., 4/1/15 4,100,000 4,130,750 --------------- 20,964,770 ----------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.1% Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,054,000 5,331,970 ----------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.4% ----------------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.0% Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 2 1,605,000 1,629,075 ----------------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.1% Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2,000,000 1,980,000 ----------------------------------------------------------------------------------------------------------------------------- Sybron Dental Specialties, Inc., 8.125% Sr. Sub. Nts., 6/15/12 4 3,995,000 4,234,700 ----------------------------------------------------------------------------------------------------------------------------- Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,459,258 --------------- 8,673,958 ----------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.3% AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 4 2,796,000 2,963,760 ----------------------------------------------------------------------------------------------------------------------------- Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,146,186 ----------------------------------------------------------------------------------------------------------------------------- DaVita, Inc.: 6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,338,325 7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,312,600 ----------------------------------------------------------------------------------------------------------------------------- Extendicare Health Services, Inc.: 6.875% Sr. Sub. Nts., 5/1/14 1,350,000 1,397,250 9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,047,151 ----------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,178,843 ----------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,108,642 ----------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Nts., 6/15/11 2,888,000 3,075,720
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES Continued Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 $ 1,450,000 $ 1,540,625 ----------------------------------------------------------------------------------------------------------------------------- HCA, Inc.: 6.30% Sr. Unsec. Nts., 10/1/12 10,407,000 10,209,715 6.375% Nts., 1/15/15 10,798,000 10,563,413 ----------------------------------------------------------------------------------------------------------------------------- Medquest, Inc., 11.875% Sr. Unsec. Sub. Nts., Series B, 8/15/12 3,577,000 2,718,520 ----------------------------------------------------------------------------------------------------------------------------- Omnicare, Inc.: 6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,295,000 6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,624,050 ----------------------------------------------------------------------------------------------------------------------------- Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,641,113 ----------------------------------------------------------------------------------------------------------------------------- Rotech Healthcare, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/12 4 5,406,000 5,649,270 ----------------------------------------------------------------------------------------------------------------------------- Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 4,835,000 4,387,763 ----------------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 4,070,000 3,693,525 7.375% Nts., 2/1/13 118,000 108,265 9.875% Sr. Nts., 7/1/14 9,484,000 9,649,970 ----------------------------------------------------------------------------------------------------------------------------- Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 2,485,000 2,460,150 ----------------------------------------------------------------------------------------------------------------------------- US Oncology, Inc.: 9% Sr. Unsec. Nts., 8/15/12 100,000 104,000 10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 109,750 ----------------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 14 5,600,000 4,116,000 --------------- 86,439,606 ----------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--1.9% ----------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.4% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,248,000 ----------------------------------------------------------------------------------------------------------------------------- BE Aerospace, Inc.: 8.50% Sr. Unsec. Nts., 10/1/10 1,500,000 1,601,250 8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,139,115 ----------------------------------------------------------------------------------------------------------------------------- DRS Technologies, Inc.: 6.625% Sr. Nts., 2/1/16 3,735,000 3,735,000 7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,148,850 ----------------------------------------------------------------------------------------------------------------------------- L-3 Communications Corp.: 5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,886,493 6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,759,500 6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,192,850 7.625% Sr. Sub. Nts., 6/15/12 600,000 622,500 ----------------------------------------------------------------------------------------------------------------------------- TD Funding Corp., 8.375% Sr. Sub. Nts., 7/15/11 3,184,000 3,343,200 ----------------------------------------------------------------------------------------------------------------------------- TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 2,024,000 2,198,570 11% Sr. Sub. Nts., 2/15/13 1,720,000 1,930,700 --------------- 27,806,028
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- AIRLINES--0.0% ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4 $ 11,115,000 $ 500,175 ----------------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.2% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,513,468 ----------------------------------------------------------------------------------------------------------------------------- Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,060,000 2,044,550 ----------------------------------------------------------------------------------------------------------------------------- Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 2,253,000 2,427,608 ----------------------------------------------------------------------------------------------------------------------------- Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,914,125 --------------- 9,899,751 ----------------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.5% Allied Waste North America, Inc.: 7.25% Sr. Nts., 3/15/15 815,000 835,375 7.375% Sr. Sec. Nts., Series B, 4/15/14 4,800,000 4,776,000 8.875% Sr. Nts., Series B, 4/1/08 9,935,000 10,481,425 9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 289,361 ----------------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 3,4 3,462,000 -- ----------------------------------------------------------------------------------------------------------------------------- Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,144,000 ----------------------------------------------------------------------------------------------------------------------------- Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 3,011,000 3,029,819 ----------------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,297,481 7.50% Sr. Nts., 5/1/11 1,500,000 1,552,500 ----------------------------------------------------------------------------------------------------------------------------- Mail-Well I Corp., 9.625% Sr. Nts., 3/15/12 4,880,000 5,276,500 --------------- 32,682,461 ----------------------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.2% Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 569,250 ----------------------------------------------------------------------------------------------------------------------------- Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,021,880 ----------------------------------------------------------------------------------------------------------------------------- Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 4 [BRR] 8,285,000 4,278,414 ----------------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,585,798 --------------- 9,455,342 ----------------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.0% Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 2 950,000 1,002,250 ----------------------------------------------------------------------------------------------------------------------------- Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 338,400 --------------- 1,340,650 ----------------------------------------------------------------------------------------------------------------------------- MACHINERY--0.3% Case New Holland, Inc., 7.125% Sr. Nts., 3/1/14 2 2,550,000 2,530,875 ----------------------------------------------------------------------------------------------------------------------------- Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,314,000 2,256,150 ----------------------------------------------------------------------------------------------------------------------------- Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,146,975 ----------------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 666,250 ----------------------------------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,730,600
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- MACHINERY Continued NMHG Holding Co., 10% Sr. Nts., 5/15/09 $ 2,411,000 $ 2,531,552 ----------------------------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,060,250 ----------------------------------------------------------------------------------------------------------------------------- Wolverine Tube, Inc., 10.50% Sr. Nts., 4/1/09 3,851,000 3,196,330 --------------- 20,118,982 ----------------------------------------------------------------------------------------------------------------------------- MARINE--0.0% Navigator Gas Transport plc, 10.50% First Priority Ship Mtg. Nts., 6/30/07 2,3 2,287,000 2,621,474 ----------------------------------------------------------------------------------------------------------------------------- WPO Shipholding Co. LLC, 12% Sr. Sec. Nts., 7/15/05 3,4 5,400,000 -- --------------- 2,621,474 ----------------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,167,500 ----------------------------------------------------------------------------------------------------------------------------- Stena AB: 7% Sr. Unsec. Nts., 12/1/16 972,000 918,540 7.50% Sr. Unsec. Nts., 11/1/13 232,000 230,260 9.625% Sr. Nts., 12/1/12 3,820,000 4,182,900 --------------- 7,499,200 ----------------------------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--0.2% United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 13,909,000 13,456,958 ----------------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--1.0% ----------------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.2% Loral Skynet Corp., 14% Sr. Sec. Nts., 11/21/15 15 2,188,000 2,647,480 ----------------------------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 14,199,000 12,885,593 ----------------------------------------------------------------------------------------------------------------------------- Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3 12,679,000 190,185 --------------- 15,723,258 ----------------------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.1% Seagate Technology Hdd Holdings, 8% Sr. Nts., 5/15/09 2,518,000 2,628,163 ----------------------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 8,006,000 7,885,910 ----------------------------------------------------------------------------------------------------------------------------- Sanmina-SCI Corp.: 6.75% Unsec. Sub. Nts., 3/1/13 1,700,000 1,627,750 8.125% Sr. Sub. Nts., 3/1/16 3,970,000 4,029,550 ----------------------------------------------------------------------------------------------------------------------------- Solectron Corp., 8% Sr. Sub. Nts., 3/15/16 2 2,225,000 2,241,688 --------------- 15,784,898 ----------------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 3,4 [EUR] 2,116,376 -- ----------------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4 2,081,799 --
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES Continued PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 3,4 [EUR] 6,650,000 $ -- -------------- -- ---------------------------------------------------------------------------------------------------------------------- IT SERVICES--0.3% DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts., Series B, 2/15/13 4 4,755,000 4,968,975 ---------------------------------------------------------------------------------------------------------------------- Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,234,275 ---------------------------------------------------------------------------------------------------------------------- SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 2 7,470,000 7,936,875 10.25% Sr. Sub. Nts., 8/15/15 2 4,850,000 5,128,875 -------------- 22,269,000 ---------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 5,151,000 5,414,989 ---------------------------------------------------------------------------------------------------------------------- Amkor Technology, Inc.: 7.75% Sr. Nts., 5/15/13 3,200,000 2,960,000 9.25% Sr. Unsec. Sub. Nts., 2/15/08 4,365,000 4,474,125 -------------- 12,849,114 ---------------------------------------------------------------------------------------------------------------------- MATERIALS--3.4% ---------------------------------------------------------------------------------------------------------------------- CHEMICALS--0.7% Crompton Corp., 9.875% Sr. Nts., 8/1/12 125,000 141,250 ---------------------------------------------------------------------------------------------------------------------- Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,829,760 10.125% Sr. Unsec. Nts., 9/1/08 118,000 125,965 10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,469,213 ---------------------------------------------------------------------------------------------------------------------- Huntsman Corp./ICI Chemical Co. plc, 10.125% Sr. Unsec. Sub. Nts., 7/1/09 8,413,000 8,665,390 ---------------------------------------------------------------------------------------------------------------------- Huntsman International LLC, 7.875% Sr. Sub. Nts., 1/1/15 1,2 3,451,000 3,502,765 ---------------------------------------------------------------------------------------------------------------------- Huntsman LLC: 11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 815,430 11.625% Sr. Unsec. Nts., 10/15/10 76,000 86,450 ---------------------------------------------------------------------------------------------------------------------- IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 118,000 135,700 ---------------------------------------------------------------------------------------------------------------------- Ineos Group Holdings plc, 8.50% Nts., 2/15/16 2 6,950,000 6,637,250 ---------------------------------------------------------------------------------------------------------------------- Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 3,250,000 3,396,250 ---------------------------------------------------------------------------------------------------------------------- KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 14 2,650,000 1,934,500 ---------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 9.50% Sec. Nts., 12/15/08 70,000 73,150 9.625% Sr. Sec. Nts., Series A, 5/1/07 2,074,000 2,151,775 10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,310,938 ---------------------------------------------------------------------------------------------------------------------- Millennium America, Inc., 9.25% Sr. Unsec. Sub. Nts., 6/15/08 900,000 919,125
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- CHEMICALS Continued Rockwood Specialties Group, Inc.: 7.50% Sr. Sub. Nts., 11/15/14 $ 1,350,000 $ 1,363,500 10.625% Sr. Unsec. Sub. Nts., 5/15/11 4 875,000 964,688 ---------------------------------------------------------------------------------------------------------------------- Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Nts., 12/1/12 2 3,280,000 3,460,400 -------------- 44,983,499 ---------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.1% NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 14 5,340,000 3,924,900 ---------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.2% Ball Corp., 6.625% Sr. Nts., 3/15/18 4,500,000 4,488,750 ---------------------------------------------------------------------------------------------------------------------- Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 2 3,810,000 3,971,925 ---------------------------------------------------------------------------------------------------------------------- Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,319,500 9.875% Sr. Unsec. Sub. Nts., 10/15/14 4,814,000 4,898,245 ---------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5,738,000 5,709,310 9.50% Sr. Sub. Nts., 8/15/13 2,655,000 2,495,700 ---------------------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 1,750,000 1,725,938 ---------------------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,486,063 ---------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,924,620 8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,698,900 8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,279,650 8.875% Sr. Sec. Nts., 2/15/09 6,484,000 6,783,885 ---------------------------------------------------------------------------------------------------------------------- Pliant Corp., 11.625% Sr. Sec. Nts., 6/15/09 3 2,026,004 2,279,255 ---------------------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 7,108,000 6,717,060 ---------------------------------------------------------------------------------------------------------------------- Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 4,325,000 4,281,750 9.25% Sr. Unsec. Nts., 2/1/08 4,582,000 4,793,918 9.75% Sr. Unsec. Nts., 2/1/11 8,006,000 8,266,195 ---------------------------------------------------------------------------------------------------------------------- Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 2 960,000 1,068,000 ---------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,019,560 -------------- 81,208,224 ---------------------------------------------------------------------------------------------------------------------- METALS & MINING--1.1% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,829,230 7.875% Sr. Unsec. Nts., 2/15/09 1,379,000 1,392,790 ---------------------------------------------------------------------------------------------------------------------- Alrosa Finance SA: 8.875% Nts., 11/17/14 17,015,000 19,439,638 8.875% Nts., 11/17/14 2 8,645,000 9,876,913 ---------------------------------------------------------------------------------------------------------------------- Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,147,475 ---------------------------------------------------------------------------------------------------------------------- Gibraltar Industries, Inc., 8% Sr. Sub. Nts., 12/1/15 4 1,970,000 1,994,625
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- METALS & MINING Continued 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 3,4 1,586,000 -- ---------------------------------------------------------------------------------------------------------------------- IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,095,000 ---------------------------------------------------------------------------------------------------------------------- Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,974,000 3,369,108 ---------------------------------------------------------------------------------------------------------------------- Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,865,510 ---------------------------------------------------------------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 10.875% Sr. Nts., Series B, 10/15/06 3 4,832,000 2,536,800 ---------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2,172,000 2,389,200 ---------------------------------------------------------------------------------------------------------------------- Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,166,000 ---------------------------------------------------------------------------------------------------------------------- Novelis, Inc., 7.75% Sr. Nts., 2/15/15 1,2 7,180,000 6,928,700 ---------------------------------------------------------------------------------------------------------------------- Oregon Steel Mills, Inc., 10% Sr. Nts., 7/15/09 4 3,762,000 4,006,530 ---------------------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,228,594 ---------------------------------------------------------------------------------------------------------------------- United States Steel Corp.: 9.75% Sr. Nts., 5/15/10 1,949,000 2,114,665 10.75% Sr. Nts., 8/1/08 3,197,000 3,532,685 -------------- 76,853,876 ---------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 3,100,000 3,038,000 ---------------------------------------------------------------------------------------------------------------------- Abitibi-Consolidated, Inc., 8.55% Nts., 8/1/10 1,925,000 1,944,250 ---------------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,518,750 ---------------------------------------------------------------------------------------------------------------------- Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 1,111,000 ---------------------------------------------------------------------------------------------------------------------- Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,246,000 ---------------------------------------------------------------------------------------------------------------------- Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 3 6,414,000 4,169,100 ---------------------------------------------------------------------------------------------------------------------- JSG Holding plc, 11.50% Sr. Nts., 10/1/15 2,15 [EUR] 1,094,277 1,352,629 ---------------------------------------------------------------------------------------------------------------------- Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 2,330,000 2,085,350 ---------------------------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,470,000 ---------------------------------------------------------------------------------------------------------------------- PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/04 3,4 4,025,000 60,375 ---------------------------------------------------------------------------------------------------------------------- Tembec Industries, Inc., 7.75% Sr. Nts., 3/15/12 2,696,000 1,536,720 -------------- 20,532,174 ---------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.3% ---------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.8% American Tower Corp., 7.125% Sr. Unsec. Nts., 10/15/12 750,000 783,750 ---------------------------------------------------------------------------------------------------------------------- Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 3,4 6,401,538 -- ---------------------------------------------------------------------------------------------------------------------- Intelsat Subsidiary Holding Co. Ltd., 8.625% Sr. Nts., 1/15/15 5,010,000 5,197,875 ---------------------------------------------------------------------------------------------------------------------- PanAmSat Corp., 9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,784,525 ---------------------------------------------------------------------------------------------------------------------- PanAmSat Holding Corp., 0%/10.375% Sr. Unsec. Disc. Nts., 11/1/14 14 1,325,000 960,625
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES Continued Qwest Capital Funding, Inc.: 7.25% Unsec. Unsub. Nts., 2/15/11 $ 2,200,000 $ 2,241,250 7.90% Unsec. Nts., 8/15/10 6,397,000 6,684,865 ---------------------------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,545,000 ---------------------------------------------------------------------------------------------------------------------- Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 1 13,690,000 15,367,025 ---------------------------------------------------------------------------------------------------------------------- Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 4 [PEN] 20,898,900 6,089,296 ---------------------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 3,4 5,035,000 -- ---------------------------------------------------------------------------------------------------------------------- Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 7,670,000 8,264,425 ---------------------------------------------------------------------------------------------------------------------- Time Warner Telecom, Inc., 10.125% Sr. Unsec. Sub. Nts., 2/1/11 825,000 871,406 ---------------------------------------------------------------------------------------------------------------------- Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,752,413 -------------- 55,542,455 ---------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.5% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 200,000 216,500 11% Sr. Unsec. Nts., 7/31/10 118,000 131,865 12.50% Sr. Unsec. Nts., 2/1/11 4 5,591,000 6,066,235 ---------------------------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 5,420,000 5,907,800 ---------------------------------------------------------------------------------------------------------------------- American Tower Corp., 7.50% Sr. Nts., 5/1/12 4,047,000 4,259,468 ---------------------------------------------------------------------------------------------------------------------- AT&T Corp.: 9.05% Sr. Unsec. Nts., 11/15/11 1 6,229,000 6,741,379 9.75% Sr. Nts., 11/15/31 1 3,300,000 3,952,229 ---------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 3,4 21,702,000 -- ---------------------------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co. LLC/Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 6,810,000 7,473,975 ---------------------------------------------------------------------------------------------------------------------- Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,073,125 ---------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.85% Sr. Unsec. Nts., 10/15/12 1 955,000 952,613 8.875% Sr. Nts., 10/1/13 3,294,000 3,326,940 ---------------------------------------------------------------------------------------------------------------------- IWO Holdings, Inc., 8.35% Sr. Sec. Nts., 1/15/12 1 850,000 889,313 ---------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 19,460,000 20,423,367 ---------------------------------------------------------------------------------------------------------------------- Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 212,500 ---------------------------------------------------------------------------------------------------------------------- Rogers Wireless, Inc.: 7.50% Sec. Nts., 3/15/15 4,931,000 5,313,153 8% Sr. Sub. Nts., 12/15/12 3,844,000 4,098,665 ---------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 9.75% Sr. Sub. Nts., 1/15/10 10,663,000 10,876,260 9.875% Sr. Nts., 2/1/10 6,268,000 6,722,430 ---------------------------------------------------------------------------------------------------------------------- SBA Communications Corp., 8.50% Sr. Unsec. Nts., Cl. A, 12/1/12 3,102,000 3,458,730
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES Continued SBA Telecommunications, Inc./SBA Communications Corp., 0%/9.75% Sr. Disc. Nts., 12/15/11 14 $ 4,117,000 $ 3,952,320 ---------------------------------------------------------------------------------------------------------------------- Triton PCS, Inc., 8.50% Sr. Unsec. Nts., 6/1/13 2,113,000 2,017,915 ---------------------------------------------------------------------------------------------------------------------- UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,747,043 -------------- 100,813,825 ---------------------------------------------------------------------------------------------------------------------- UTILITIES--1.6% ---------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.0% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 8,898,000 9,654,330 ---------------------------------------------------------------------------------------------------------------------- CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 1,318,000 1,362,483 7.75% Sr. Nts., 8/1/10 1,650,000 1,736,625 8.50% Sr. Nts., 4/15/11 2,407,000 2,611,595 ---------------------------------------------------------------------------------------------------------------------- Edison Mission Energy, 9.875% Sr. Unsec. Nts., 4/15/11 1,829,000 2,075,915 ---------------------------------------------------------------------------------------------------------------------- ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 418,000 434,899 ---------------------------------------------------------------------------------------------------------------------- FPL Energy National Wind Power LLC: 5.608% Nts., 3/10/24 2 1,900,760 1,830,700 6.125% Nts., 3/25/19 2 1,097,314 1,068,991 ---------------------------------------------------------------------------------------------------------------------- Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,952,713 ---------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC: Escrow Shares, 5/1/06 4 2,214,000 -- 8.30% Sr. Unsec. Nts., 5/1/11 9,000,000 9,360,000 ---------------------------------------------------------------------------------------------------------------------- MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,757,250 ---------------------------------------------------------------------------------------------------------------------- National Power Corp., 9.625% Unsec. Bonds, 5/15/28 11,790,000 13,123,590 ---------------------------------------------------------------------------------------------------------------------- Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 1,970,000 1,982,313 9.50% Sr. Sec. Nts., 7/15/13 1,560,000 1,569,750 ---------------------------------------------------------------------------------------------------------------------- Sierra Pacific Resources, 6.75% Sr. Nts., 8/15/17 2 6,894,000 6,954,323 -------------- 67,475,477 ---------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS--0.3% Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 2,6 3,195,000 3,195,000 ---------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC: 8.50% Sr. Unsec. Nts., 10/1/21 1,300,000 1,329,250 9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,889,000 ---------------------------------------------------------------------------------------------------------------------- NRG Energy, Inc.: 7.25% Sr. Nts., 2/1/14 950,000 967,813 7.375% Sr. Nts., 2/1/16 8,925,000 9,136,969 -------------- 17,518,032
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ---------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.0% SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 $ 1,300,000 $ 1,313,762 ---------------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.3% AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,694,487 2,950,463 ---------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 1,830,000 1,775,100 8.75% Sr. Nts., 2/15/12 1,335,000 1,401,750 10.125% Sr. Sec. Nts., 7/15/13 2 8,313,000 9,534,595 ---------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,722,076 3,967,476 ---------------------------------------------------------------------------------------------------------------------- NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 663,277 -------------- 20,292,661 -------------- Total Corporate Bonds and Notes (Cost $2,039,347,700) 2,013,462,656 -------------- SHARES ---------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.5% ---------------------------------------------------------------------------------------------------------------------- AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 4,16 338,141 -- ---------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 2 8,195 1,498,661 ---------------------------------------------------------------------------------------------------------------------- e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg. 4,16 11,972 1,197 ---------------------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 4,16 43,000 -- ---------------------------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 4,16 5,773 -- ---------------------------------------------------------------------------------------------------------------------- Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 2,16 18,020 3,613,010 ---------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp., 14.25% Cum. Jr. Exchangeable, Non-Vtg. 4,15 1,749 15,262,434 ---------------------------------------------------------------------------------------------------------------------- Pennsylvania Real Estate Investment Trust, 11% 51,500 2,907,175 ---------------------------------------------------------------------------------------------------------------------- PTV, Inc., 10% Cum., Series A, Non-Vtg. 4,16 300 573 ---------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 4,16 2,511 3,063,420 ---------------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 4 61,550 9,001,688 -------------- Total Preferred Stocks (Cost $55,326,259) 35,348,158 ---------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--3.6% ---------------------------------------------------------------------------------------------------------------------- Advanced Micro Devices, Inc. 16 33,000 1,094,280 ---------------------------------------------------------------------------------------------------------------------- Aggreko plc 260,830 1,433,144 ---------------------------------------------------------------------------------------------------------------------- Allegheny Technologies, Inc. 24,900 1,523,382 ---------------------------------------------------------------------------------------------------------------------- Alstom 16 15,890 1,326,326 ---------------------------------------------------------------------------------------------------------------------- Amada Co. Ltd. 144,000 1,570,909 ---------------------------------------------------------------------------------------------------------------------- American Tower Corp. 16 90,209 2,735,137 ---------------------------------------------------------------------------------------------------------------------- Anadarko Petroleum Corp. 13,900 1,404,039
46 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------------------- Anglo American plc 36,450 $ 1,412,942 ----------------------------------------------------------------------------------------------------------------------------- Aon Corp. 33,900 1,407,189 ----------------------------------------------------------------------------------------------------------------------------- Arcelor 37,210 1,466,882 ----------------------------------------------------------------------------------------------------------------------------- Archer-Daniels-Midland Co. 42,400 1,426,760 ----------------------------------------------------------------------------------------------------------------------------- Ashland, Inc. 20,900 1,485,572 ----------------------------------------------------------------------------------------------------------------------------- ATA Holdings Corp. 4,16 26,036 260,360 ----------------------------------------------------------------------------------------------------------------------------- Avaya, Inc. 16 121,500 1,372,950 ----------------------------------------------------------------------------------------------------------------------------- BAA plc 96,920 1,395,950 ----------------------------------------------------------------------------------------------------------------------------- Barratt Developments plc 75,050 1,380,856 ----------------------------------------------------------------------------------------------------------------------------- Bear Stearns Cos., Inc. (The) 10,100 1,400,870 ----------------------------------------------------------------------------------------------------------------------------- Beverly Hills Bancorp, Inc. 539,100 5,714,460 ----------------------------------------------------------------------------------------------------------------------------- BNP Paribas SA 14,690 1,364,537 ----------------------------------------------------------------------------------------------------------------------------- British American Tobacco plc 56,100 1,358,712 ----------------------------------------------------------------------------------------------------------------------------- Broadcom Corp., Cl. A 16 27,900 1,204,164 ----------------------------------------------------------------------------------------------------------------------------- Burlington Northern Santa Fe Corp. 17,300 1,441,609 ----------------------------------------------------------------------------------------------------------------------------- Burlington Resources, Inc. 14,900 1,369,459 ----------------------------------------------------------------------------------------------------------------------------- CA, Inc. 50,600 1,376,826 ----------------------------------------------------------------------------------------------------------------------------- Caterpillar, Inc. 18,300 1,314,123 ----------------------------------------------------------------------------------------------------------------------------- Cebridge Connections Holding LLC 4,16 8,001 -- ----------------------------------------------------------------------------------------------------------------------------- Centex Corp. 20,030 1,241,660 ----------------------------------------------------------------------------------------------------------------------------- Charles River Laboratories International, Inc. 16 43,520 2,133,350 ----------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp. 431,648 13,558,064 ----------------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc. 88,293 1,480,674 ----------------------------------------------------------------------------------------------------------------------------- Chubb Corp. 14,300 1,364,792 ----------------------------------------------------------------------------------------------------------------------------- CIT Group, Inc. 25,200 1,348,704 ----------------------------------------------------------------------------------------------------------------------------- Citigroup, Inc. 1,106 52,236 ----------------------------------------------------------------------------------------------------------------------------- CNP Assurances SA 14,190 1,430,728 ----------------------------------------------------------------------------------------------------------------------------- ConocoPhillips 21,720 1,371,618 ----------------------------------------------------------------------------------------------------------------------------- Countrywide Financial Corp. 39,000 1,431,300 ----------------------------------------------------------------------------------------------------------------------------- Covad Communications Group, Inc. 16 174,581 336,941 ----------------------------------------------------------------------------------------------------------------------------- Cummins, Inc. 12,600 1,324,260 ----------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc. 42,200 1,401,884 ----------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler AG 24,482 1,406,592 ----------------------------------------------------------------------------------------------------------------------------- De La Rue plc 139,070 1,348,247 ----------------------------------------------------------------------------------------------------------------------------- Deutsche Telekom AG 86,037 1,451,362 ----------------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp., Cl. A 16 442,193 3,546,388 ----------------------------------------------------------------------------------------------------------------------------- Duke Energy Corp. 49,100 1,431,265
47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp. 16 53,100 $ 1,432,638 ----------------------------------------------------------------------------------------------------------------------------- E.ON AG 12,267 1,350,562 ----------------------------------------------------------------------------------------------------------------------------- Eagle Materials, Inc. 1,557 99,274 ----------------------------------------------------------------------------------------------------------------------------- Eagle Materials, Inc., Cl. B 5,235 333,941 ----------------------------------------------------------------------------------------------------------------------------- Eastman Chemical Co. 27,000 1,381,860 ----------------------------------------------------------------------------------------------------------------------------- El Paso Corp. 146,000 1,759,300 ----------------------------------------------------------------------------------------------------------------------------- Energy Select Sector SPDR Fund 105,000 5,704,650 ----------------------------------------------------------------------------------------------------------------------------- Etablissements Economiques du Casino Guichard-Perrachon SA 21,960 1,535,534 ----------------------------------------------------------------------------------------------------------------------------- Express Scripts, Inc. 16 15,500 1,362,450 ----------------------------------------------------------------------------------------------------------------------------- Financial Select Sector SPDR Fund 174,300 5,673,465 ----------------------------------------------------------------------------------------------------------------------------- Ford Motor Co. 177,400 1,412,104 ----------------------------------------------------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc., Cl. B 25,400 1,518,158 ----------------------------------------------------------------------------------------------------------------------------- Gecina SA 10,880 1,443,758 ----------------------------------------------------------------------------------------------------------------------------- GKN plc 227,200 1,312,508 ----------------------------------------------------------------------------------------------------------------------------- Globix Corp. 16 107,797 297,520 ----------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 9,500 1,491,120 ----------------------------------------------------------------------------------------------------------------------------- Hammerson plc 66,550 1,433,744 ----------------------------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The) 16,700 1,345,185 ----------------------------------------------------------------------------------------------------------------------------- Hochtief AG 25,352 1,437,222 ----------------------------------------------------------------------------------------------------------------------------- Horizon Natural Resources Co. 4,16 133,333 -- ----------------------------------------------------------------------------------------------------------------------------- Huntsman Corp. 4,16 68,495 1,255,856 ----------------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. 16 300,766 1,699,328 ----------------------------------------------------------------------------------------------------------------------------- iPCS, Inc. 16 81,469 3,829,043 ----------------------------------------------------------------------------------------------------------------------------- Jefferson-Pilot Corp. 23,000 1,286,620 ----------------------------------------------------------------------------------------------------------------------------- JFE Holdings, Inc. 36,600 1,477,060 ----------------------------------------------------------------------------------------------------------------------------- Kawasaki Kisen Kaisha Ltd. 218,000 1,287,256 ----------------------------------------------------------------------------------------------------------------------------- KB Home 20,412 1,326,372 ----------------------------------------------------------------------------------------------------------------------------- Kobe Steel Ltd. 352,000 1,336,822 ----------------------------------------------------------------------------------------------------------------------------- Komatsu Ltd. 78,000 1,487,766 ----------------------------------------------------------------------------------------------------------------------------- Kubota Corp. 139,040 1,500,262 ----------------------------------------------------------------------------------------------------------------------------- Ladish Co., Inc. 16 30,000 869,100 ----------------------------------------------------------------------------------------------------------------------------- Land Securities Group plc 41,460 1,388,795 ----------------------------------------------------------------------------------------------------------------------------- Leap Wireless International, Inc. 16 28,354 1,235,951 ----------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc. 9,400 1,358,582 ----------------------------------------------------------------------------------------------------------------------------- Lennar Corp., Cl. A 23,000 1,388,740 ----------------------------------------------------------------------------------------------------------------------------- Liberty Global, Inc., Series A 129,394 2,648,695 ----------------------------------------------------------------------------------------------------------------------------- Liberty Global, Inc., Series C 16 129,394 2,555,532 -----------------------------------------------------------------------------------------------------------------------------
48 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------------------- Lincoln National Corp. 24,400 $ 1,331,996 ----------------------------------------------------------------------------------------------------------------------------- Lloyds TSB Group plc 140,014 1,339,154 ----------------------------------------------------------------------------------------------------------------------------- Loral Space & Communications Ltd. 16 136,580 3,913,017 ----------------------------------------------------------------------------------------------------------------------------- Louisiana-Pacific Corp. 48,400 1,316,480 ----------------------------------------------------------------------------------------------------------------------------- MAN AG 21,546 1,498,752 ----------------------------------------------------------------------------------------------------------------------------- Man Group plc 33,810 1,447,985 ----------------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The) 8,092 737,586 ----------------------------------------------------------------------------------------------------------------------------- Marathon Oil Corp. 18,802 1,432,148 ----------------------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc. 17,600 1,386,176 ----------------------------------------------------------------------------------------------------------------------------- Mirant Corp. 16 12,550 313,750 ----------------------------------------------------------------------------------------------------------------------------- Nippon Building Fund, Inc. 143 1,324,299 ----------------------------------------------------------------------------------------------------------------------------- Nippon Kayaku Co. Ltd. 163,000 1,443,042 ----------------------------------------------------------------------------------------------------------------------------- Nippon Steel Corp. 340,889 1,320,691 ----------------------------------------------------------------------------------------------------------------------------- Norfolk Southern Corp. 26,400 1,427,448 ----------------------------------------------------------------------------------------------------------------------------- Novell, Inc. 16 143,100 1,099,008 ----------------------------------------------------------------------------------------------------------------------------- NTL, Inc. 16 902,120 26,260,713 ----------------------------------------------------------------------------------------------------------------------------- Nucor Corp. 15,300 1,603,287 ----------------------------------------------------------------------------------------------------------------------------- NVIDIA Corp. 16 27,800 1,591,828 ----------------------------------------------------------------------------------------------------------------------------- Occidental Petroleum Corp. 14,487 1,342,221 ----------------------------------------------------------------------------------------------------------------------------- Oracle Corp., Japan 29,400 1,471,249 ----------------------------------------------------------------------------------------------------------------------------- Orbital Sciences Corp. 16 59,993 949,089 ----------------------------------------------------------------------------------------------------------------------------- PagesJaunes Groupe SA 50,820 1,427,577 ----------------------------------------------------------------------------------------------------------------------------- Persimmon plc 55,540 1,281,462 ----------------------------------------------------------------------------------------------------------------------------- Phelps Dodge Corp. 19,000 1,530,070 ----------------------------------------------------------------------------------------------------------------------------- PNC Financial Services Group, Inc. 19,300 1,299,083 ----------------------------------------------------------------------------------------------------------------------------- Polymer Group, Inc., Cl. A 16 16,137 434,085 ----------------------------------------------------------------------------------------------------------------------------- Prandium, Inc. 4,13,16 1,034,256 10,343 ----------------------------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 4,16 799,833 -- ----------------------------------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 18,000 1,364,580 ----------------------------------------------------------------------------------------------------------------------------- Reynolds American, Inc. 12,900 1,360,950 ----------------------------------------------------------------------------------------------------------------------------- RWE AG, Non-Vtg., Preference 17,286 1,353,251 ----------------------------------------------------------------------------------------------------------------------------- Schroders plc 67,390 1,392,128 ----------------------------------------------------------------------------------------------------------------------------- Showa Shell Sekiyu K.K. 119,600 1,357,567 ----------------------------------------------------------------------------------------------------------------------------- Societe Generale, Cl. A 9,591 1,442,404 ----------------------------------------------------------------------------------------------------------------------------- Star Gas Partners LP 16 220 614 ----------------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. 16 10,861 111,325 ----------------------------------------------------------------------------------------------------------------------------- Suedzucker AG 51,506 1,335,119
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ----------------------------------------------------------------------------------------------------------------------------- Suez SA 37,073 $ 1,461,031 ----------------------------------------------------------------------------------------------------------------------------- Sumitomo Metal Industries 306,690 1,315,875 ----------------------------------------------------------------------------------------------------------------------------- Takefuji Corp. 20,910 1,316,424 ----------------------------------------------------------------------------------------------------------------------------- Taylor Woodrow plc 16 186,710 1,310,542 ----------------------------------------------------------------------------------------------------------------------------- Tellabs, Inc. 16 91,900 1,461,210 ----------------------------------------------------------------------------------------------------------------------------- ThyssenKrupp AG 53,763 1,551,294 ----------------------------------------------------------------------------------------------------------------------------- TonenGeneral Sekiyu K.K. 136,000 1,384,265 ----------------------------------------------------------------------------------------------------------------------------- TUI AG 68,850 1,350,834 ----------------------------------------------------------------------------------------------------------------------------- TVMAX Holdings, Inc. 16 59,250 59,250 ----------------------------------------------------------------------------------------------------------------------------- TXU Corp. 25,800 1,154,808 ----------------------------------------------------------------------------------------------------------------------------- Ube Industries Ltd. 461,000 1,359,108 ----------------------------------------------------------------------------------------------------------------------------- Unibail 8,300 1,498,703 ----------------------------------------------------------------------------------------------------------------------------- United States Steel Corp. 23,700 1,438,116 ----------------------------------------------------------------------------------------------------------------------------- United Utilities plc 113,520 1,359,905 ----------------------------------------------------------------------------------------------------------------------------- Utilities Select Sector SPDR Fund 175,000 5,402,250 ----------------------------------------------------------------------------------------------------------------------------- Valero Energy Corp. 24,000 1,434,720 ----------------------------------------------------------------------------------------------------------------------------- Verizon Communications, Inc. 32,985 1,123,469 ----------------------------------------------------------------------------------------------------------------------------- Viatel Holding (Bermuda) Ltd. 16 43,569 218 ----------------------------------------------------------------------------------------------------------------------------- Volkswagen AG, Preference 26,421 1,442,752 ----------------------------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 57,800 3,850,636 ----------------------------------------------------------------------------------------------------------------------------- Washington Mutual, Inc. 32,500 1,385,150 ----------------------------------------------------------------------------------------------------------------------------- Western Forest Products, Inc. 16 680,382 1,281,706 ----------------------------------------------------------------------------------------------------------------------------- WRC Media Corp. 4,16 16,235 162 ----------------------------------------------------------------------------------------------------------------------------- XO Holdings, Inc. 16 39,522 156,112 ------------ Total Common Stocks (Cost $212,156,933) 241,507,293 UNITS ----------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% ----------------------------------------------------------------------------------------------------------------------------- ASAT Finance LLC Wts., Exp. 11/1/06 16 2,200 -- ----------------------------------------------------------------------------------------------------------------------------- COLO.com, Inc. Wts., Exp. 3/15/10 4,16 6,650 -- ----------------------------------------------------------------------------------------------------------------------------- Concentric Network Corp. Wts., Exp. 12/15/07 4,16 5,250 -- ----------------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 4,16 800 -- ----------------------------------------------------------------------------------------------------------------------------- HF Holdings, Inc. Wts., Exp. 9/27/09 4,16 34,425 -- ----------------------------------------------------------------------------------------------------------------------------- ICO Global Communication Holdings Ltd. Wts.: Exp. 5/16/06 4,16 75,434 377 Exp. 5/16/06 4,16 112 -- ----------------------------------------------------------------------------------------------------------------------------- Imperial Credit Industries, Inc. Wts., Exp. 1/31/08 4,16 86,946 -- ----------------------------------------------------------------------------------------------------------------------------- iPCS, Inc. Wts., Exp. 6/15/10 4,16 6,600 --
50 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE UNITS SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES Continued ----------------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 2,16 4,560 $ -- ----------------------------------------------------------------------------------------------------------------------------- Ntelos, Inc. Wts., Exp. 8/15/10 4,16 8,500 -- ----------------------------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 16 6,738 2,089 ----------------------------------------------------------------------------------------------------------------------------- PLD Telekom, Inc. Wts., Exp. 6/1/06 4,16 16,650 167 ----------------------------------------------------------------------------------------------------------------------------- Sterling Chemicals, Inc. Wts., Exp. 12/19/08 4,16 17,634 6 ----------------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 4,16 9,035 307,190 ----------------------------------------------------------------------------------------------------------------------------- Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 16 7,500 5,210 ----------------------------------------------------------------------------------------------------------------------------- XO Communications, Inc.: Series A Wts., Exp. 1/16/10 16 79,057 35,576 Series B Wts., Exp. 1/16/10 16 59,293 18,381 Series C Wts., Exp. 1/16/10 16 59,293 14,823 ----------------------------------------------------------------------------------------------------------------------------- Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 16 44,000 440 ------------- Total Rights, Warrants and Certificates (Cost $866,452) 384,259 PRINCIPAL AMOUNT ----------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--13.6% ----------------------------------------------------------------------------------------------------------------------------- Aiolos Ltd. Catastrophe Linked Nts., 7.188%, 4/8/09 1,4 [EUR] 4,850,000 5,865,751 ----------------------------------------------------------------------------------------------------------------------------- Aon Capital Markets/Helix 04 Ltd. Catastrophe Linked Nts., 10.379%, 6/30/09 1 2,750,000 2,730,420 ----------------------------------------------------------------------------------------------------------------------------- Arbor I Ltd. Catastrophe Linked Nts., 20.41%, 6/15/06 1,4 3,250,000 3,260,238 ----------------------------------------------------------------------------------------------------------------------------- Atlantic & Western Re Ltd. Catastrophe Linked Nts., Series B, 14.72%, 11/15/10 1 6,500,000 6,328,725 ----------------------------------------------------------------------------------------------------------------------------- Cascadia Ltd., 7.985% Nts., 6/13/08 1,2 2,750,000 2,762,430 ----------------------------------------------------------------------------------------------------------------------------- Champlain Ltd. Catastrophe Linked Nts., Series A, 17.296%, 1/7/09 1 5,250,000 5,239,238 ----------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Argentina (Republic of) Credit Linked Nts., 4%, 5/22/08 [ARP] 10,355,000 8,968,900 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 8,936,529 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 14,024,782 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.81%, 1/5/10 8 [BRR] 18,237,724 5,008,547 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.43%, 1/2/09 8 [BRR] 17,433,522 5,518,950 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.73%, 1/3/08 8 [BRR] 15,201,753 5,531,008 Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 4,053,925 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,819,787 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 3/15/07 (linked to Colombian Treasury Bills) [COP] 33,115,250,000 17,885,574 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 18,440,000,000 12,059,069 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 6,595,212 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 5,337,642 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 4,506,456 Dominican Republic Credit Linked Nts., 14.11%, 7/10/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 168,420,000 5,007,792
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Continued Dominican Republic Credit Linked Nts., 15.64%, 5/2/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 143,415,164 $ 4,382,883 Dominican Republic Credit Linked Nts., 16.50%, 3/12/07 (linked to Dominican Republic Treasury Bills) [DOP] 132,800,000 3,535,636 Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,556,271 Dominican Republic Credit Linked Nts., 17.08%, 11/6/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 247,080,000 6,987,865 Dominican Republic Unsec. Credit Linked Nts., 14.67%, 5/15/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 125,263,530 3,807,625 Dominican Republic Unsec. Credit Linked Nts., 16.18%, 4/24/06 (linked to Dominican Republic Treasury Bills) 8 [DOP] 48,437,421 1,484,443 Egypt (The Arab Republic of) Credit Linked Nts., 7.91%, 8/1/06 (linked to Egyptian Treasury Bills) 8 [EGP] 31,970,000 5,403,111 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.21%, 9/19/06 (linked to Egyptian Treasury Bills) 8 [EGP] 3,700,000 618,124 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08 (linked to Egyptian Treasury Bills) [EGP] 23,760,000 4,175,662 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 8/17/06 (linked to Egyptian Treasury Bills) [EGP] 32,040,000 5,397,325 Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 13,969,821 Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%, 4/4/116 [NGN] 1,281,000,000 10,136,194 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,437,820 Zambia (Republic of) Credit Linked Nts., 11%, 2/21/07 (linked to Zambian Treasury Bills) [ZMK] 16,410,000,000 4,498,149 Zambia (Republic of) Credit Linked Nts., Series II, 11%, 2/21/07 (linked to Zambian Treasury Bills) [ZMK] 6,700,000,000 1,836,539 ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston Corp. (Cayman), Turkey (Republic of) Credit Linked Nts., Series EMG 7, 15%, 2/10/10 [TRY] 23,490,000 18,973,700 ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International: Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,521,780 Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,045,965 Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 [RUR] 211,690,000 8,687,406 OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,553,174 Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%, 12/20/07 [RUR] 553,980,000 21,101,820 South African Rand Interest Bearing Linked Nts., Series FBi 43, 4.465%, 5/23/22 1 14,280,000 14,041,524 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,538,118 ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch): Turkey (Republic of) Credit Linked Nts., 20%, 10/18/07 2,783,000 3,264,236 Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 12,552,093 Turkey (Republic of) Credit Linked Nts., Series EMG 4, 17.20%, 7/6/06 8 [TRY] 14,159,292 10,195,638 Turkey (Republic of) Credit Linked Nts., Series EMG 19, 16.90%, 7/5/06 8 [TRY] 10,138,656 7,300,511
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch): Continued Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 $ 1,066,824 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 6,869,177 ----------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Argentina (Republic of) Credit Linked Nts., 10.10%, 12/21/11 [ARP] 19,110,000 15,101,939 Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 7,070,846 Brazil Real Credit Linked Nts., 13.88%, 3/3/10 8 [BRR] 33,618,120 10,848,213 Campania Total Return Linked Nts., 3.207%, 7/30/10 1 [EUR] 36,800,000 44,904,045 Campania Total Return Linked Nts., 3.207%, 7/30/10 1 [EUR] 31,000,000 37,436,075 Egypt (The Arab Republic of) Credit Linked Nts., 10.132%, 5/23/06 (linked to Egyptian Treasury Bills) [EGP] 20,340,000 3,488,677 Egypt (The Arab Republic of) Total Return Linked Nts., 8.33%, 12/12/06 (linked to Egyptian Treasury Bills) 8 [EGP] 46,890,000 7,688,410 European Investment Bank, Russian Federation Credit Linked Nts., 5.50%, 1/19/10 8 5,580,000 4,674,645 Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/24/09 [KZT] 1,345,160,000 10,527,672 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 5,343,104 Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,111,392 Moscow (City of) Credit Linked Nts., 10%, 4/2/10 [RUR] 151,575,000 6,125,084 Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/27/09 [NGN] 352,600,000 2,889,036 Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/30/09 [NGN] 474,000,000 4,150,043 OAO Gazprom I Credit Nts., 8.36%, 10/20/07 7,455,000 8,121,348 OAO Gazprom II Credit Nts., 8.11%, 4/20/07 7,455,000 7,980,235 Peru (Republic of) Credit Linked Nts., 6.211%, 2/20/11 1 7,790,000 7,563,557 Romania (The State of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,250,037 Russian Federation Credit Linked Nts., 12/2/09 8 [RUR] 155,437,000 5,991,880 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,459,865 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,510,140 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,510,140 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,510,140 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,510,140 Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,085,575 Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 [UAH] 26,767,200 5,883,654 Ukraine (Republic of) Credit Linked Nts., 11.70%, 5/31/06 [UAH] 13,707,000 2,751,787 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 475,599 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,685,163 Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,086,158 Videocon International Ltd. Credit Linked Nts., 7.21%, 12/29/09 15,470,000 15,425,137 Volga Investments Ltd. Credit Linked Nts., Series III, 6.01%, 4/2/08 10,000,000 10,040,000 ----------------------------------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index Pass-Through Certificates, Series 5-T1, 8.75%, 12/29/10 2 356,700 368,739 ----------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The)/Residential Reinsurance Ltd. Catastrophe Linked Nts., Series B, 13.27%, 6/6/08 1,4 4,300,000 4,042,000 ----------------------------------------------------------------------------------------------------------------------------- ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09 4 [UAH] 36,698,000 8,084,253
53 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Argentina (Republic of) Credit Linked Nts., 10.06%, 12/19/11 4 [ARP] 18,250,000 $ 14,853,501 Brazil (Federal Republic of) Credit Linked Nts., 2.73%, 11/30/12 8 [ARP] 27,660,000 6,289,200 Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 4 [BRR] 30,560,000 17,805,218 Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 8 [BRR] 26,663,580 3,931,855 Brazil (Federal Republic of) Credit Linked Nts., 12.68%, 6/1/13 8 [BRR] 42,180,340 7,512,389 Brazil (Federal Republic of) Credit Linked Nts., 15.33%, 1/2/15 8 [BRR] 81,357,010 11,997,039 Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.55%, 1/2/15 8 [BRR] 56,242,917 8,293,673 Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 8 [COP] 115,400,000,000 20,870,079 Colombia (Republic of) Credit Linked Bonds, 13.50%, 8/3/20 [COP] 82,000,000,000 10,921,104 Peru (Republic of) Credit Linked Nts., 8.12%, 9/2/15 8 [PEN] 24,240,000 2,942,979 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,364,440 ----------------------------------------------------------------------------------------------------------------------------- Lehman Brothers International: Romania (The State of) Total Return Linked Nts., 7.90%, 2/9/10 (linked to Romanian Treasury Bills) [RON] 6,092,000 2,330,129 Turkey (Republic of) Total Return Linked Nts., 15%, 2/11/10 (linked to Turkish Treasury Bills) [TRY] 9,390,000 7,625,839 Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07 (linked to Turkish Treasury Bills) 3,349,124 4,307,308 ----------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Romania (The State of) Total Return Linked Nts., 6.50%, 3/10/10 (linked to Romanian Treasury Bills) [RON] 16,085,800 5,782,069 Romania (The State of) Total Return Linked Nts., 6.75%, 3/11/08 (linked to Romanian Treasury Bills) [RON] 18,680,000 6,771,580 Romania (The State of) Total Return Linked Nts., 7.25%, 4/18/10 (linked to Romanian Treasury Bills) [RON] 1,487,000 547,086 Romania (The State of) Total Return Linked Nts., 7.50%, 3/6/07 (linked to Romanian Treasury Bills) [RON] 2,467,000 913,105 Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 1,478,000 546,185 Romania (The State of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 3,568,000 1,318,529 Romania (The State of) Total Return Linked Nts., 7.90%, 2/12/08 (linked to Romanian Treasury Bills) [RON] 13,855,800 5,203,232 ----------------------------------------------------------------------------------------------------------------------------- Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc, Total Return Linked Nts.: Series A, 8.375%, 6/30/12 [RUR] 197,470,000 7,216,481 Series B, 11%, 6/30/12 [RUR] 148,100,000 5,484,433 ----------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Brazil (Federal Republic of) Sr. Sub. Linked Nts., 15.45%, 1/2/14 4 [BRR] 26,050,000 13,131,656 Philippines (Republic of) Credit Linked Nts., 7.97%, 6/20/16 1,2,6 3,950,000 3,964,220 Philippines (Republic of) Credit Linked Nts., 8.619%, 9/20/15 16,900,000 18,164,120 Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,719,264 Venezuela (Republic of) Credit Linked Nts., 6.49%, 5/20/10 8,275,000 8,537,318 Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,539,520 ----------------------------------------------------------------------------------------------------------------------------- Parametric RE Ltd. Catastrophe Linked Nts., 8.88%, 11/19/07 1,2 2,100,000 2,136,624
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued ----------------------------------------------------------------------------------------------------------------------------- Residential Reinsurance Ltd., 14.32% Nts., Cl. B, 6/8/07 1,4 $ 2,000,000 $ 1,900,000 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Foundation RE Ltd. Catastrophe Linked Nts., 8.85%, 11/24/08 1,2 3,750,000 3,711,113 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Oak Capital Ltd. Catastrophe Linked Nts., 9.66%, 6/15/07 1,4 250,000 250,163 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Pioneer 2002 Ltd. Sec. Catastrophe Linked Nts.: Series 2002, Cl. A-A, 10.91%, 6/15/06 1,2 250,000 252,065 Series 2002-1, Cl. E-A, 9.16%, 6/15/06 1 2,000,000 2,002,300 Series 2003-II, Cl. A-A, 10.91%, 6/15/06 1,4 6,000,000 6,042,600 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Redwood Capital V Catastrophe Linked Nts., 8.70%, 1/9/07 1,2 8,250,000 8,094,158 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Redwood Capital VI Catastrophe Linked Nts., 8.60%, 1/9/07 1,2 1,750,000 1,707,790 ----------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Sequoia Capital Ltd. Catastrophe Linked Nts., 10.66%, 6/15/07 1,4 250,000 245,700 ----------------------------------------------------------------------------------------------------------------------------- UBS AG: Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,042,489 OAO Gazprom III Credit Nts., 7.81%, 7/5/06 18,640,000 19,105,559 Ukraine (Republic of) Credit Linked Nts., 8.40%, 2/10/16 12,520,000 12,732,759 ---------------- Total Structured Notes (Cost $877,070,394) 926,182,008 STRIKE DATE PRICE CONTRACTS ----------------------------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.1% ----------------------------------------------------------------------------------------------------------------------------- Brazilian Real Put 4,16,18 6/7/06 2.35BRR 65,200,000 282,935 ----------------------------------------------------------------------------------------------------------------------------- Brazilian Real Put 16 6/8/06 2.36BRR 65,560,000 208,008 ----------------------------------------------------------------------------------------------------------------------------- Japanese Yen Put 4,16 9/21/06 119JPY 34,469,000,000 2,983,292 ----------------------------------------------------------------------------------------------------------------------------- Mexican Nuevo Peso Call 16 10/12/06 11.40MXN 85,614,000 108,598 ----------------------------------------------------------------------------------------------------------------------------- Mexican Nuevo Peso Put 16 10/12/06 11.40MXN 85,614,000 337,427 ---------------- Total Options Purchased (Cost $4,165,746) 3,920,260 PRINCIPAL AMOUNT ----------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--3.5% ----------------------------------------------------------------------------------------------------------------------------- Undivided interest of 11.43% in joint repurchase agreement (Principal Amount/Value $2,051,676,000, with a maturity value of $2,052,457,347) with UBS Warburg LLC, 4.57%, dated 3/31/06, to be repurchased at $234,601,310 on 4/3/06, collateralized by Federal National Mortgage Assn., 5%--6%, 3/1/34--3/1/36, with a value of $2,098,378,320 (Cost $234,512,000) $ 234,512,000 234,512,000 ----------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $6,982,036,951) 6,979,558,997
55 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ----------------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--3.4% ----------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED FLOATING NOTE--0.0% GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 4.90%, 4/25/06 17 $ 1,873,726 $ 1,873,726 ----------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--3.0% Undivided interest of 16.62% in joint repurchase agreement (Principal Amount/ Value $1,000,000,000, with a maturity value of $1,000,407,917) with Bank of America NA, 4.895%, dated 3/31/06, to be repurchased at $166,262,399 on 4/3/06, collateralized by U.S. Agency Mortgages, 5.50%, 12/1/34, with a value of $1,020,000,001 17 166,194,605 166,194,605 ----------------------------------------------------------------------------------------------------------------------------- Undivided interest of 3.45% in joint repurchase agreement (Principal Amount/Value $1,000,000,000, with a maturity value of $1,000,404,167) with UBS Securities LLC, 4.85%, dated 3/31/06, to be repurchased at $34,489,642 on 4/3/06, collateralized by U.S. Agency Mortgages, 0%--7%, 1/15/10--3/25/36, with a value of $1,020,004,378 17 34,475,708 34,475,708 ---------------- 200,670,313 ----------------------------------------------------------------------------------------------------------------------------- MEDIUM-TERM FLOATING NOTE--0.4% American Express Credit Corp., 4.76%, 4/17/06 17 2,000,000 2,000,000 ----------------------------------------------------------------------------------------------------------------------------- Bear Stearns, 4.87%, 4/3/06 17 3,000,000 3,000,000 ----------------------------------------------------------------------------------------------------------------------------- CC USA, Inc., 4.87%, 4/3/06 17 3,000,000 3,000,000 ----------------------------------------------------------------------------------------------------------------------------- Citigroup Funding, Inc., 4.86%, 4/3/06 17 7,000,000 7,000,000 ----------------------------------------------------------------------------------------------------------------------------- HSBC Finance Corp., 4.65%, 4/6/06 17 3,000,000 3,000,000 ----------------------------------------------------------------------------------------------------------------------------- Links Finance LLC, 4.88%, 4/3/06 17 8,000,000 8,000,000 ----------------------------------------------------------------------------------------------------------------------------- Tango Finance Corp., 4.88%, 4/3/06 17 3,498,600 3,498,600 ---------------- 29,498,600 ----------------------------------------------------------------------------------------------------------------------------- YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0% Natexis Banques Populaires NY, 4.87%, 4/3/06 17 2,000,000 2,000,000 ---------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $234,042,639) 234,042,639 ----------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $7,216,079,590) 106.3% 7,213,601,636 ----------------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (6.3) (426,113,149) ------------------------------------- NET ASSETS 100.0% $ 6,787,488,487 =====================================
56 | OPPENHEIMER STRATEGIC INCOME FUND 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 Pound EUR Euro GBP British Pound Sterling ILS Israeli Shekel JPY Japanese Yen KZT Kazakhstan Tenge MXN Mexican Nuevo Peso MYR Malaysian Ringgit NGN Nigeria Naira PEN Peruvian New Sol PLZ Polish Zloty RON New Romanian Leu RUR Russian Ruble TRY New Turkish Lira UAH Ukraine Hryvnia ZAR South African Rand ZMK Zambian Kwacha 1. Represents the current interest rate for a variable or increasing rate security. 2. 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 $654,851,744 or 9.65% of the Fund's net assets as of March 31, 2006. 3. Issue is in default. Non-income producing. See Note 1 of accompanying Notes. 4. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of March 31, 2006 was $286,958,880, which represents 4.23% of the Fund's net assets, of which $1,266,199 is considered restricted. In addition, the Fund has restricted currency of $1,903,718, which represents 0.03% of the Fund's net assets. See Note 12 of accompanying Notes. 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 $43,726,965 or 0.64% of the Fund's net assets as of March 31, 2006. 6. When-issued security or forward commitment to be delivered and settled after March 31, 2006. See Note 1 of accompanying Notes. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $5,532,348 or 0.08% of the Fund's net assets as of March 31, 2006. 8. Zero coupon bond reflects effective yield on the date of purchase. 9. Partial or fully-loaned security. See Note 14 of accompanying Notes. 10. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of accompanying Notes. 11. 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 $28,836,303. See Note 6 of accompanying Notes. 12. A sufficient amount of securities has been designated to cover outstanding written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE SUBJECT TO PUT DATE PRICE RECEIVED SEE NOTE 7 ------------------------------------------------------------------------------------ Japanese Yen [JPY] 34,469,000,000 9/21/06 124 JPY $722,737 $78,310
57 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------- 13. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2006. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES VALUE DIVIDEND SEPTEMBER 30, 2005 ADDITIONS REDUCTIONS MARCH 31, 2006 SEE NOTE 1 INCOME ---------------------------------------------------------------------------------------------------------- Prandium, Inc. 1,034,256 -- -- 1,034,256 $ 10,343 $ --
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 15. Interest or dividend is paid-in-kind. 16. Non-income producing security. 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 14 of accompanying Notes. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 58 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited --------------------------------------------------------------------------------
March 31, 2006 ------------------------------------------------------------------------------------------------------------- ASSETS ------------------------------------------------------------------------------------------------------------- Investments, at value (including securities loaned of approximately $336,977,428)-- see accompanying statement of investments: Unaffiliated companies (cost $7,203,922,590) $ 7,213,591,293 Affiliated companies (cost $12,157,000) 10,343 ----------------- 7,213,601,636 ------------------------------------------------------------------------------------------------------------- Cash 11,562,473 ------------------------------------------------------------------------------------------------------------- Cash--foreign currencies (cost $1,872,269) 1,863,413 ------------------------------------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 29,304,233 ------------------------------------------------------------------------------------------------------------- Unrealized appreciation on swap contracts 24,263,829 ------------------------------------------------------------------------------------------------------------- Receivables and other assets: Investments sold (including $160,117,441 sold on a when-issued basis or forward commitment) 180,680,769 Interest, dividends and principal paydowns 69,964,710 Shares of beneficial interest sold 8,294,545 Other 152,157 ----------------- Total assets 7,539,687,765 ------------------------------------------------------------------------------------------------------------- LIABILITIES ------------------------------------------------------------------------------------------------------------- Options written, at value (premiums received $722,737)-- see accompanying statement of investments 778,310 ------------------------------------------------------------------------------------------------------------- Return of collateral for securities loaned 234,042,639 ------------------------------------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 7,310,282 ------------------------------------------------------------------------------------------------------------- Unrealized depreciation on swap contracts 8,486,937 ------------------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $450,969,728 purchased on a when-issued basis or forward commitment) 467,827,322 Closed foreign currency contracts 12,500,345 Shares of beneficial interest redeemed 11,266,057 Dividends 4,275,340 Distribution and service plan fees 4,026,348 Transfer and shareholder servicing agent fees 740,710 Shareholder communications 334,504 Futures margins 244,682 Trustees' compensation 135,575 Other 230,227 ----------------- Total liabilities 752,199,278 ------------------------------------------------------------------------------------------------------------- NET ASSETS $ 6,787,488,487 =================
59 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS ------------------------------------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 1,614,774 ------------------------------------------------------------------------------------------------------------- Additional paid-in capital 7,764,306,094 ------------------------------------------------------------------------------------------------------------- Accumulated net investment loss (37,408,371) ------------------------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (969,935,493) ------------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 28,911,483 ----------------- NET ASSETS $ 6,787,488,487 ================= ------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE ------------------------------------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $4,934,688,605 and 1,174,118,375 shares of beneficial interest outstanding) $ 4.20 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.41 ------------------------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $814,730,473 and 193,200,160 shares of beneficial interest outstanding) $ 4.22 ------------------------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $825,064,293 and 196,709,964 shares of beneficial interest outstanding) $ 4.19 ------------------------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $94,711,676 and 22,521,279 shares of beneficial interest outstanding) $ 4.21 ------------------------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $118,293,440 and 28,223,783 shares of beneficial interest $ 4.19 outstanding)
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 60 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited --------------------------------------------------------------------------------
For the Six Months Ended March 31, 2006 ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME ------------------------------------------------------------------------------------------------------------- Interest $ 189,987,365 ------------------------------------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $16,986) 4,221,389 ------------------------------------------------------------------------------------------------------------- Fee income 1,782,276 ------------------------------------------------------------------------------------------------------------- Portfolio lending fees 218,250 ----------------- Total investment income 196,209,280 ------------------------------------------------------------------------------------------------------------- EXPENSES ------------------------------------------------------------------------------------------------------------- Management fees 17,361,647 ------------------------------------------------------------------------------------------------------------- Distribution and service plan fees: Class A 5,852,269 Class B 4,263,602 Class C 3,967,069 Class N 219,913 ------------------------------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 3,122,813 Class B 640,374 Class C 530,462 Class N 135,812 Class Y 31,502 ------------------------------------------------------------------------------------------------------------- Shareholder communications: Class A 348,478 Class B 81,879 Class C 49,677 ------------------------------------------------------------------------------------------------------------- Custodian fees and expenses 124,150 ------------------------------------------------------------------------------------------------------------- Trustees' compensation 30,778 ------------------------------------------------------------------------------------------------------------- Administration service fees 750 ------------------------------------------------------------------------------------------------------------- Other 138,202 ----------------- Total expenses 36,899,377 ------------------------------------------------------------------------------------------------------------- NET INVESTMENT INCOME 159,309,903
61 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited / Continued --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ------------------------------------------------------------------------------------------------------------- Net realized gain (loss) on: Investments $ 118,568,047 Closing and expiration of swaption contracts 283,433 Closing and expiration of futures contracts (32,893,733) Foreign currency transactions (25,419,377) Swap contracts 2,039,386 ----------------- Net realized gain 62,577,756 ------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments (111,531,473) Translation of assets and liabilities denominated in foreign currencies 6,221,141 Futures contracts (1,563,419) Option contracts (55,573) Swaption contracts 92,667 Swap contracts (333,191) ----------------- Net change in unrealized appreciation (107,169,848) ------------------------------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 114,717,811 =================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 62 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPTEMBER 30, (UNAUDITED) 2005 ------------------------------------------------------------------------------------------------------------------- OPERATIONS ------------------------------------------------------------------------------------------------------------------- Net investment income $ 159,309,903 $ 289,867,824 ------------------------------------------------------------------------------------------------------------------- Net realized gain 62,577,756 183,064,148 ------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (107,169,848) 97,582,611 ------------------------------------- Net increase in net assets resulting from operations 114,717,811 570,514,583 ------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS ------------------------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (236,063,205) (294,738,505) Class B (39,211,048) (62,870,416) Class C (36,100,859) (44,696,942) Class N (4,160,990) (4,206,758) Class Y (4,258,062) (6,335,724) ------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 316,417,918 541,271,143 Class B (76,733,685) (271,334,101) Class C 61,373,777 60,028,844 Class N 14,100,655 28,754,049 Class Y 57,851,031 (91,805,446) ------------------------------------------------------------------------------------------------------------------- NET ASSETS ------------------------------------------------------------------------------------------------------------------- Total increase 167,933,343 424,580,727 ------------------------------------------------------------------------------------------------------------------- Beginning of period 6,619,555,144 6,194,974,417 ------------------------------------- End of period (including accumulated net investment income (loss) of $(37,408,371) and $123,075,890, respectively) $ 6,787,488,487 $ 6,619,555,144 =====================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 63 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPT. 30, CLASS A (UNAUDITED) 2005 2004 2003 2002 2001 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 $ 4.18 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .11 1 .21 1 .20 .26 .32 .36 Net realized and unrealized gain (loss) (.04) .19 .15 .43 (.08) (.43) ---------------------------------------------------------------------------------------------- Total from investment operations .07 .40 .35 .69 .24 (.07) ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.21) (.29) (.20) (.25) (.30) (.26) Tax return of capital distribution -- -- -- -- (.02) (.13) ---------------------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.21) (.29) (.20) (.25) (.32) (.39) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 4.20 $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 ============================================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 2 1.67% 9.77% 8.73% 19.59% 6.63% (1.79)% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $ 4,934,689 $ 4,766,576 $ 4,117,666 $ 3,873,018 $ 3,202,825 $ 3,186,441 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $ 4,803,842 $ 4,392,321 $ 4,025,554 $ 3,521,307 $ 3,263,490 $ 3,349,859 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 3 Net investment income 5.01% 4.82% 4.69% 6.60% 7.91% 8.90% Total expenses 0.92% 0.94% 4 0.95% 4,5 0.95% 4 1.01% 4 0.93% 4 ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 46% 6 103% 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 ---------------------------------------------------------------------------- Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263 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. 64 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPT. 30, CLASS B (UNAUDITED) 2005 2004 2003 2002 2001 ----------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 $ 4.19 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .09 1 .17 1 .16 .22 .28 .33 Net realized and unrealized gain (loss) (.03) .20 .15 .44 (.05) (.43) -------------------------------------------------------------------------------------------- Total from investment operations .06 .37 .31 .66 .23 (.10) ----------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.19) (.26) (.17) (.22) (.28) (.24) Tax return of capital distribution -- -- -- -- (.02) (.12) -------------------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.19) (.26) (.17) (.22) (.30) (.36) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.22 $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 ============================================================================================ ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 1.53% 8.94% 7.66% 18.62% 6.11% (2.53)% ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 814,730 $ 918,651 $ 1,163,555 $ 1,686,295 $ 1,847,182 $ 2,186,638 ----------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 855,350 $ 1,021,022 $ 1,424,322 $ 1,757,152 $ 2,056,449 $ 2,394,886 ----------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.24% 4.05% 4.16% 5.92% 7.22% 8.14% Total expenses 1.70% 1.70% 1.69% 1.68% 1.75% 1.68% Expenses after payments and waivers and reduction to custodian expenses 1.70% 1.69% 1.69% 1.68% 1.75% 1.68% ----------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 46% 4 103% 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 ---------------------------------------------------------------------------- Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263 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. 65 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPT. 30, CLASS C (UNAUDITED) 2005 2004 2003 2002 2001 ---------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 ---------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .09 1 .17 1 .17 .23 .29 .33 Net realized and unrealized gain (loss) (.04) .20 .15 .42 (.06) (.43) ------------------------------------------------------------------------------------------- Total from investment operations .05 .37 .32 .65 .23 (.10) ---------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.19) (.26) (.17) (.22) (.28) (.24) Tax return of capital distribution -- -- -- -- (.02) (.12) ------------------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.19) (.26) (.17) (.22) (.30) (.36) ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.19 $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 =========================================================================================== ---------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 1.28% 8.96% 7.95% 18.45% 6.15% (2.54)% ---------------------------------------------------------------------------------------------------------------------------------- ---------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ---------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 825,064 $ 788,217 $ 710,085 $ 698,196 $ 568,487 $ 553,399 ---------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 796,193 $ 748,199 $ 716,206 $ 623,598 $ 571,292 $ 554,279 ---------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.25% 4.07% 4.06% 5.85% 7.15% 8.15% Total expenses 1.68% 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 1.68% 4 ---------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 46% 6 103% 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 ---------------------------------------------------------------------------- Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263 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. 66 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPT. 30, CLASS N (UNAUDITED) 2005 2004 2003 2002 2001 1 ----------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------------- Net asset value. beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 $ 4.13 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .10 2 .19 2 .17 .25 .30 .22 Net realized and unrealized gain (loss) (.03) 19 .16 .42 (.05) (.41) ------------------------------------------------------------------------------------- Total from investment operations .07 .38 .33 .67 .25 (.19) ----------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.20) (.27) (.18) (.24) (.30) (.15) Tax return of capital distribution -- -- -- -- (.02) (.07) ------------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.20) (.27) (.18) (.24) (.32) (.22) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.21 $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 ===================================================================================== ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 3 1.71% 9.27% 8.28% 18.82% 6.70% (4.61)% ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 94,712 $ 83,287 $ 52,969 $ 30,110 $ 15,508 $ 3,215 ----------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 88,712 $ 69,480 $ 40,043 $ 22,627 $ 8,954 $ 1,348 ----------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 4 Net investment income 4.60% 4.37% 4.19% 6.08% 7.07% 9.74% Total expenses 1.34% 1.40% 5 1.38% 5,6 1.34% 5 1.22% 5 0.98% 5 ----------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 46% 7 103% 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 ------------------------------------------------------------------------------- Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263 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. 67 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2006 SEPT. 30, CLASS Y (UNAUDITED) 2005 2004 2003 2002 2001 --------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 $ 4.17 --------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .11 1 .21 1 .21 .26 .32 .36 Net realized and unrealized gain (loss) (.02) .19 .14 .42 (.06) (.42) ----------------------------------------------------------------------------------- Total from investment operations .09 .40 .35 .68 .26 (.06) --------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.22) (.30) (.20) (.25) (.31) (.26) Tax return of capital distribution -- -- -- -- (.02) (.14) ----------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.22) (.30) (.20) (.25) (.33) (.40) --------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.19 $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 =================================================================================== --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 2.06% 9.73% 8.80% 19.33% 7.06% (1.58)% --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 118,293 $ 62,824 $ 150,699 $ 240,296 $ 152,767 $ 103,858 --------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 86,795 $ 68,656 $ 213,632 $ 194,308 $ 127,992 $ 94,400 --------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 5.33% 4.84% 4.80% 6.57% 7.86% 9.09% Total expenses 0.61% 1.16% 1.29% 1.41% 1.74% 1.35% Expenses after payments and waivers and reduction to custodian expenses 0.61% 0.80% 0.90% 0.91% 0.90% 0.78% --------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 46% 4 103% 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 ------------------------------------------------------------------------------- Six Months Ended March 31, 2006 $ 2,510,070,100 $ 2,602,373,263 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 NOTES TO FINANCIAL STATEMENTS Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek high current income by investing mainly in debt securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC, 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, as 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 such principal exchange at its 69 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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 March 31, 2006, the market value of these securities comprised 13.6% of the Fund's net assets and resulted in unrealized cumulative gains of $49,111,614. -------------------------------------------------------------------------------- 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 March 31, 2006, the Fund had purchased $450,969,728 of securities issued on a when-issued basis or forward commitment and sold $160,117,441 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 type, coupon and maturity) but not identical securities on a specified future date. The 70 | OPPENHEIMER STRATEGIC INCOME FUND 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 March 31, 2006, securities with an aggregate market value of $22,996,693, representing 0.34% 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 71 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / 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. 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. As of March 31, 2006, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $957,736,877 expiring by 2014. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. As of March 31, 2006, it is estimated that the Fund will utilize $62,577,756 of capital loss carryforward to offset realized capital gains. During the year ended September 30, 2005, the Fund utilized $12,383,126 of capital loss carryforward to offset capital gains realized in that fiscal year. As of September 30, 2005, the Fund had available for federal income tax purposes unused capital loss carryforwards 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 =============== 72 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 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 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, to the extent they are not offset by positive cash balances maintained by the Fund, 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. At March 31, 2006, the Fund had $4,120 of such earnings on cash balances available to offset future custodian fees or interest expenses incurred during the next fiscal year. -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- INDEMNIFICATIONS. The Fund's organizational documents provide current and former trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent 73 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote. -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED MARCH 31, 2006 YEAR ENDED SEPTEMBER 30, 2005 SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------- CLASS A Sold 145,337,887 $ 616,271,386 253,721,621 $ 1,091,121,076 Dividends and/or distributions reinvested 41,093,066 173,685,118 48,950,677 211,128,508 Acquisition--Note 13 -- -- 62,844,742 270,860,838 Redeemed (111,689,637) (473,538,586) (239,685,952) (1,031,839,279) ---------------------------------------------------------------- Net increase 74,741,316 $ 316,417,918 125,831,088 $ 541,271,143 ================================================================ ---------------------------------------------------------------------------------------------- CLASS B Sold 14,202,742 $ 60,420,210 27,868,668 $ 120,195,274 Dividends and/or distributions reinvested 6,364,278 26,983,725 9,542,125 41,299,086 Redeemed (38,529,751) (164,137,620) (100,359,143) (432,828,461) ---------------------------------------------------------------- Net decrease (17,962,731) $ (76,733,685) (62,948,350) $ (271,334,101) ================================================================ ---------------------------------------------------------------------------------------------- CLASS C Sold 27,013,757 $ 114,214,246 40,612,822 $ 174,277,627 Dividends and/or distributions reinvested 6,400,935 27,009,878 7,606,352 32,743,949 Redeemed (18,878,035) (79,850,347) (34,262,628) (146,992,732) ---------------------------------------------------------------- Net increase 14,536,657 $ 61,373,777 13,956,546 $ 60,028,844 ================================================================ ---------------------------------------------------------------------------------------------- CLASS N Sold 5,271,680 $ 22,363,666 10,118,176 $ 43,521,928 Dividends and/or distributions reinvested 891,583 3,771,419 896,137 3,865,917 Redeemed (2,840,849) (12,034,430) (4,331,470) (18,633,796) ---------------------------------------------------------------- Net increase 3,322,414 $ 14,100,655 6,682,843 $ 28,754,049 ================================================================
74 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS ENDED MARCH 31, 2006 YEAR ENDED SEPTEMBER 30, 2005 SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------- CLASS Y Sold 13,125,956 $ 55,462,069 16,530,646 $ 72,458,398 Dividends and/or distributions reinvested 1,003,882 4,227,003 1,472,034 4,751,793 Redeemed (435,710) (1,838,041) (39,181,919) (169,015,637) -------------------------------------------------------------- Net increase (decrease) 13,694,128 $ 57,851,031 (21,179,239) $ (91,805,446) ==============================================================
-------------------------------------------------------------------------------- 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the six months ended March 31, 2006, were as follows:
PURCHASES SALES --------------------------------------------------------------------------------------------- Investment securities $2,425,927,055 $2,698,143,590 U.S. government and government agency obligations 134,533,857 78,736,206 To Be Announced (TBA) mortgage-related securities 2,510,070,100 2,602,373,263
-------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Effective January 1, 2006, 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 the next $4.0 billion, and 0.48% of average annual net assets in excess of $5 billion. Prior to January 1, 2006, the Fund provided 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 SERVICE FEES. 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 six months ended March 31, 2006, the Fund paid $4,502,850 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. 75 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued 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 periodically 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 periodically 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 periods. Fees incurred by the Fund under the plan are detailed in the Statement of Operations. -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund has adopted Distribution and Service Plans for Class B, Class C and Class N shares to compensate the Distributor for its services in connection with the distribution of 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 March 31, 2006 for Class B, Class C and Class N shares were $1,457,492, $96,985,771, and $25,279,705, 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 following table for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR ------------------------------------------------------------------------------------------------------ March 31, 2006 $1,010,137 $10,701 $880,344 $52,075 $14,239
-------------------------------------------------------------------------------- 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. This undertaking may be amended or withdrawn at any time. 76 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS A foreign currency contract is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Fund may enter into foreign currency contracts to settle specific purchases or sales of securities denominated in a foreign currency and for protection from adverse exchange rate fluctuation. Risks to the Fund include the potential inability of the counterparty to meet the terms of the contract. The net U.S. dollar value of foreign currency underlying all contractual commitments held by the Fund and the resulting unrealized appreciation or depreciation are determined using prevailing foreign currency exchange rates. Unrealized appreciation and depreciation on foreign currency contracts are reported in the Statement of Assets and Liabilities as a receivable or payable and in the Statement of Operations with the change in unrealized appreciation or depreciation. The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. As of March 31, 2006, the Fund had outstanding foreign currency contracts as follows:
VALUATION CONTRACT AS OF EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000s) 2006 APPRECIATION DEPRECIATION ---------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Argentine Peso [ARP] 5/3/06 84,000ARP $ 27,242,895 $ -- $ 3,294 Brazilian Real [BRR] 4/28/06-1/5/10 258,286BRR 104,263,690 16,691,054 -- British Pound Sterling [GBP] 9/5/06 3,750GBP 6,530,973 -- 1,115 Canadian Dollar [CAD] 4/28/06 65,840CAD 56,421,746 -- 1,162,916 Chilean Peso [CLP] 4/6/06-4/28/06 8,750,000CLP 16,595,072 46,114 171,343 Indian Rupee [INR] 4/7/06 1,200,000INR 26,953,240 -- 58,578 Japanese Yen [JPY] 4/5/06-6/15/06 24,185,000JPY 206,638,993 -- 2,844,901 Mexican Nuevo Peso [MXN] 4/17/06-4/25/06 474,930MXN 43,575,889 393,711 540,317 New Turkish Lira [TRY] 4/17/06-2/1/08 107,368TRY 74,706,354 7,875,909 153,277 Norwegian Krone [NOK] 6/14/06 383,810NOK 58,847,933 1,262,901 -- South Korean Won [KRW] 5/2/06-6/5/06 35,003,000KRW 36,067,540 5,098 35,275 Swedish Krona [SEK] 5/15/06 455,090SEK 58,635,998 1,417 618,726 Swiss Franc [CHF] 6/9/06 15,070CHF 11,647,162 55,692 -- Thailand Baht [THB] 4/17/06 991,000THB 25,490,104 370,335 -- ----------------------------- 26,702,231 5,589,742 ----------------------------- CONTRACTS TO SELL Brazilian Real [BRR] 4/3/06 28,985BRR 13,383,630 -- 339,121 British Pound Sterling [GBP] 6/15/06-8/7/06 52,610GBP 91,512,913 177,425 459,959 Canadian Dollar [CAD] 8/17/06 14,600CAD 12,551,668 104,365 -- Chinese Renminbi [CNY] 4/17/06 220,000CNY 27,481,840 -- 19,600 Czech Koruna [CZK] 5/3/06 650,000CZK 27,743,713 -- 220,117 Euro [EUR] 5/3/06-9/6/06 140,835EUR 171,713,700 431,967 631,680 Japanese Yen [JPY] 4/17/06-9/5/06 14,989,000JPY 128,950,061 1,421,972 28,567
77 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS Continued
VALUATION CONTRACT AS OF EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) 2006 APPRECIATION DEPRECIATION ---------------------------------------------------------------------------------------------------------------- CONTRACTS TO SELL Continued New Taiwan Dollar [TWD] 4/17/06 870,000TWD $ 26,853,928 $ 91,902 $ -- Peruvian New Sol [PEN] 5/4/06 42,410PEN 12,565,121 -- 21,496 South African Rand [ZAR] 4/11/06-4/12/06 147,030ZAR 23,829,870 171,989 -- Swiss Franc [CHF] 4/18/06 36,000CHF 27,665,385 202,382 -- ----------------------------- 2,602,002 1,720,540 ----------------------------- Total unrealized appreciation and depreciation $ 29,304,233 $ 7,310,282 =============================
-------------------------------------------------------------------------------- 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. 78 | OPPENHEIMER STRATEGIC INCOME FUND As of March 31, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2006 (DEPRECIATION) ----------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE DAX Index 6/16/06 66 $ 12,000,382 $ 126,495 Euro-Bundesobligation, 10 yr. 6/8/06 46 6,531,690 (69,453) FTSE 100 Index 6/16/06 93 9,646,264 (26,682) Hang Seng Stock Index 4/27/06 67 6,826,373 (23,347) Japan (Government of) Bonds, 10 yr. 6/9/06 173 196,164,656 (1,970,685) Japan (Government of) Mini Bonds, 10 yr. 6/8/06 116 13,133,526 (141,913) MSCI Taiwan Index 4/27/06 244 6,817,360 83,418 NASDAQ 100 E-Mini Index 6/16/06 678 23,323,200 162,892 Nikkei 225 Index 6/8/06 14 2,024,469 157,093 Standard & Poor's ASX 200 Index 6/15/06 76 6,990,135 267,563 Standard & Poor's/MIB Index, 10 yr. 6/16/06 30 6,784,883 (128,680) U.S. Long Bonds 6/21/06 1,227 133,934,719 (4,130,128) U.S. Treasury Nts., 10 yr. 6/21/06 795 84,580,547 (842,569) United Kingdom Long Gilt 6/28/06 20 3,879,632 (19,903) --------------- (6,555,899) --------------- CONTRACTS TO SELL CAC-40 10 Index 4/21/06 344 21,752,733 (323,740) DAX Index 6/16/06 119 21,637,052 (230,977) Euro-Bundesobligation, 10 yr. 6/8/06 128 18,175,138 210,426 FTSE 100 Index 6/16/06 233 24,167,521 47,256 Nikkei 225 Index 6/8/06 179 25,884,282 (2,069,291) Standard & Poor's 500 E-Mini Index 6/16/06 2,029 132,219,785 (1,387,462) Standard & Poor's/Toronto Stock Exchange 60 Index 6/15/06 59 6,926,318 (102,274) U.S. Long Bonds 6/21/06 1,080 117,888,750 2,547,450 U.S. Treasury Nts., 2 yr. 6/30/06 1,464 298,450,125 412,654 U.S. Treasury Nts., 5 yr. 6/30/06 882 92,113,875 606,622 U.S. Treasury Nts., 10 yr. 6/21/06 1,911 203,312,484 484,313 --------------- 194,977 --------------- $ (6,360,922) ===============
-------------------------------------------------------------------------------- 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. 79 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 7. OPTION ACTIVITY Continued When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call options are noted in the Statement of Investments where applicable. Contracts subject to call, expiration date, exercise price, premium received and market value are detailed in a note to the Statement of Investments. Options written are reported as a liability in the Statement of Assets and Liabilities. Realized gains and losses are reported in the Statement of Operations. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the six months ended March 31, 2006 was as follows: PUT OPTIONS ------------------------------ NUMBER OF AMOUNT OF CONTRACTS PREMIUMS ------------------------------------------------------------ Options outstanding as of September 30, 2005 -- $ -- Options written 34,469,000,000 722,737 ------------------------------ Options outstanding as of March 31, 2006 34,469,000,000 $ 722,737 ============================== -------------------------------------------------------------------------------- 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 unrealized gain (loss) related to the daily change in the valuation of the notional amount of the swap, as well as the amount due to (owed by) the Fund at termination or settlement is combined and separately disclosed as an asset (liability). The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss). Total return swaps are subject to risks (if the counterparty fails to meet its obligations). 80 | OPPENHEIMER STRATEGIC INCOME FUND As of March 31, 2006, the Fund had entered into the following total return swap agreements:
SWAP NOTIONAL TERMINATION UNREALIZED COUNTERPARTY SWAP DESCRIPTION AMOUNT DATES APPRECIATION ------------------------------------------------------------------------------------------- Deutsche Bank AG Six-Month BBA LIBOR $12,650,000 5/13/15 $ 1,714,142 ------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Received or paid monthly. If the sum of the Lehman Brothers CMBS Index Payer Payment Amount and the Floating Rate Payer Payment Amount is positive, the Counterparty will pay such amount to the Fund. If the sums are negative, then the Fund shall pay the absolute value of such amount to the Counterparty. 10,385,000 6/1/06 24,096 Six-Month BBA LIBOR 7,180,000 1/14/15 991,419 Six-Month BBA LIBOR 7,180,000 1/20/15 1,011,652 ------------ $ 3,741,309 ============
Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate CMBS Commercial Mortgage Backed Securities -------------------------------------------------------------------------------- 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) on the notional amount of the swap in an amount equal to the daily change in such valuation. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss). Interest rate swaps are subject to credit risk (if the counterparty fails to meet its obligations) and interest rate risk. The Fund could be obligated to pay more under its swap agreements than it receives under them, as a result of interest rate changes. As of March 31, 2006, 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 MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: 7,200,000,000KRW 4.2600% 4.9000% KWCDC 2/13/11 $ (17,466) 10,800,000,000KRW 4.1600 4.9900 KWCDC 2/1/11 24,401
81 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS Continued
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Continued Six-Month 11,250,000PLZ 4.1400% 5.5200% WIBO 3/24/10 $ 107,793 Six-Month 18,000,000PLZ 4.1300 5.5500 WIBO 3/24/10 178,190 ------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc., Three-Month 10 yr. 125,000,000 4.7100 4.9600 BBA LIBOR 5/6/14 (1,656,224) ------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston 28-Day International 68,120,000MXN 7.5700 10.0000 MXN TIIE 7/9/15 263,089 ------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. Six-Month (Nassau Branch) 29,695,000PLZ 4.6000 4.4800 WIBO 7/1/10 120,703 ------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: 8,720,000,000KRW 4.2600 4.8600 KWCDC 3/2/11 (42,187) Six-Month 6,930,000 (3.6600) 5.3800 LIBOR 6/23/15 695,042 ------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, 5 yr.: 90-Day 481,500,000TWD 2.5850 1.5304 CPTW 8/19/09 (321,915) 637,815,000INR 4.8800 6.0600 IRS 1/15/09 672,201 ------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, 10 yr. Three-Month 94,000,000 4.7400 5.3200 BBA LIBOR 5/12/14 1,053,240 ------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: 118,589,283BRR 14.1400 17.1800 BZDI 1/2/08 1,819,440 12,475,040BRR 21.8800 17.7200 BZDI 1/2/07 52,398 19,476,430BRR 18.1900 18.1600 BZDI 1/2/08 517,334 34,200,000MXN 7.6950 10.0000 MXN TIIE 6/24/15 144,169 67,560,000MXN 8.0650 10.2200 MXN TIIE 1/30/15 374,433 59,375,000MXN 7.6500 10.4300 MXN TIIE 5/29/15 400,332 59,375,000MXN 7.6350 10.3000 MXN TIIE 6/1/15 353,823 59,620,000MXN 7.6250 10.2900 MXN TIIE 6/14/15 350,473
82 | OPPENHEIMER STRATEGIC INCOME FUND
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): 23,464,063BRR 16.2100% 18.0000% BZDI 1/2/07 $ 161,965 9,638,700BRR 22.0400 17.1700 BZDI 1/2/08 122,246 11,780,630BRR 22.0400 17.1700 BZDI 1/2/08 149,412 70,140,000MXN 7.8500 10.7000 MXN TIIE 5/8/15 579,812 39,690,000MXN 8.0650 9.4100 MXN TIIE 8/31/20 (21,849) 78,820,000MXN 8.0750 9.5000 MXN TIIE 8/28/25 (17,206) 119,100,000MXN 7.7425 9.5100 MXN TIIE 8/26/25 (29,326) 89,830,000MXN 7.7425 9.7400 MXN TIIE 1/5/10 305,708 179,660,000MXN 7.5700 9.8400 MXN TIIE 12/31/09 670,180 30,800,000MXN 7.6700 10.8500 MXN TIIE 3/5/15 282,133 ------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Six-Month 3,175,600,000HUF 6.2800 7.0000 LIBOR flat 7/14/08 485,409 28-Day 117,080,000MXN 7.7425 10.8800 MXN TIIE 11/16/14 1,041,915 65,300,000MXN 7.7350 9.7600 MXN TIIE 8/17/15 159,137 Three-Month 300,000,000 4.5900 4.9503 BBA LIBOR 3/24/10 7,490,650 Three-Month 8,500,000 4.9600 4.3800 LIBOR 9/27/14 (572,401) Three-Month 17,455,000 4.6600 4.9400 BBA LIBOR 4/30/14 (254,605) ------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: 28-Day 67,450,000MXN 7.5700 9.9900 MXN TIIE 7/19/15 275,852 Six-Month 34,350,000PLZ 4.6000 4.5300 WIBO 7/5/10 (87,207) ------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: 12,776,603BRR 18.6800 16.8800 BZDI 1/2/08 110,804 25,645,000BRR 13.2600 17.5900 BZDI 1/2/07 148,314 Six-Month 1,174,000,000JPY 1.5220 0.0788 BBA LIBOR 10/5/13 283,172 Six-Month 3,981,000,000JPY 0.0788 0.6700 BBA LIBOR 10/5/08 (350,528) Three-Month 38,140,000ZAR 7.1000 8.1400 JIBA 5/18/10 146,868
83 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS Continued
RATE RATE PAID BY RECEIVED BY THE FUND AT THE FUND AT UNREALIZED SWAP NOTIONAL MARCH 31, MARCH 31, FLOATING TERMINATION APPRECIATION COUNTERPARTY AMOUNT 2006 2006 RATE INDEX DATES (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------- UBS AG Six-Month 369,480,000NOK 4.2200% 3.3453% LIBOR 2/6/12 $ 562,711 -------------- $ 16,732,435 ==============
Notional amount is reported in U.S. Dollars, except for those denoted in the following currencies: BRR Brazilian Real HUF Hungarian Forint INR Indian Rupee JPY Japanese Yen KRW South Korean Won MXN Mexican Nuevo Peso NOK Norwegian Krone 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 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 DEFAULT 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 default swaps as of March 31, 2006 is as follows: 84 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL AMOUNT RECEIVED BY THE ANNUAL INTEREST UNREALIZED FUND UPON RATE PAID APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Limited London, UK: Mexican Government Bond $ 12,930,000 0.648% $ (6,486) Republic of Hungary 4.50% Bond 13,190,000 0.400 199,636 ----------------------------------------------------------------------------------------------------------------------- Deutsche Bank Colombian Government Bond 24,950,000 1.320 41,252 ----------------------------------------------------------------------------------------------------------------------- JPMorgan Chase New York, NY: Kingdom of Jordan 6% Step-up Bond 4,525,000 2.000 (32,976) Russian Federation 2.50% Step-up Bond 8,390,000 2.400 (951,932) ----------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: ----------------------------------------------------------------------------------------------------------------------- General Motors 7.125% Bond 4,300,000 5.450 22,360 General Motors 7.125% Bond 8,700,000 4.400 78,300 ----------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Indonesian Government Bond 7,600,000 1.680 (8,467) Mexican Government Bond 22,280,000 0.648 19,171 Republic of Colombia 10.375% Bond 5,880,000 3.700 (704,618) Ukrainian Government Bond 7,725,000 1.770 (35,441) Ukrainian Government Bond 4,504,000 1.650 (26,599) ----------------------------------------------------------------------------------------------------------------------- UBS AG, London Branch: Federal Republic of Brazil 12.25% Bond 11,315,000 4.500 (1,470,534) Ukrainian Government Bond 12,895,000 1.840 (16,972) --------------- $ (2,893,306) ===============
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 default swaps as of March 31, 2006 is as follows:
NOTIONAL AMOUNT PAID BY THE ANNUAL INTEREST UNREALIZED FUND UPON RATE RECEIVED APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Limited London, UK Russian Government Bond $ 12,930,000 0.648% $ 58,451
85 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS Continued
NOTIONAL AMOUNT PAID BY THE ANNUAL INTEREST UNREALIZED FUND UPON RATE RECEIVED APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------- Deutsche Bank: Peruvian Government Bond $ 24,950,000 1.820% $ (333,967) Ukrainian Government Bond 12,895,000 1.880 (68,201) ----------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: General Motors 7.125% Bond 4,300,000 9.800 (148,995) General Motors 7.125% Bond 8,700,000 5.550 (1,294,125) ----------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc. Indonesian Government Bond 7,600,000 1.670 (16,709) --------------- $ (1,803,546) ===============
-------------------------------------------------------------------------------- 11. 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 six months ended March 31, 2006 was as follows: CALL SWAPTIONS ------------------------------ NOTIONAL AMOUNT OF AMOUNT PREMIUMS ------------------------------------------------------------ Swaptions outstanding as of September 30, 2005 $ 69,130,000 $ 283,433 Swaptions closed or expired (69,130,000) (283,433) ------------------------------ Swaptions outstanding as of March 31, 2006 $ -- $ -- ============================== -------------------------------------------------------------------------------- 12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY As of March 31, 2006, 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 86 | OPPENHEIMER STRATEGIC INCOME FUND 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:
UNREALIZED ACQUISITION VALUATION AS OF APPRECIATION SECURITY DATES COST MARCH 31, 2006 (DEPRECIATION) ------------------------------------------------------------------------------------------- Huntsman Corp. 4/7/05 $ 462,874 $ 1,255,856 $ 792,982 Prandium, Inc. 3/18/99 12,157,000 10,343 (12,146,657) -------------------------------------------------- 12,619,874 1,266,199 (11,353,675) -------------------------------------------------- CURRENCY Argentine Peso [ARP] 2/21/06-3/28/06 1,912,574 1,903,718 (8,856) -------------------------------------------------- $ 14,532,448 $ 3,169,917 $ 11,362,531 ==================================================
-------------------------------------------------------------------------------- 13. 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. -------------------------------------------------------------------------------- 14. 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 U.S. 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 March 31, 2006, the Fund had on loan securities valued at 87 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 14. SECURITIES LENDING Continued $336,977,428. Collateral of $342,845,495 was received for the loans, of which $234,042,639 was received in cash and subsequently invested in approved instruments. -------------------------------------------------------------------------------- 15. LITIGATION A complaint was filed as a putative class action against the Manager and the Transfer Agent (and other defendants) in the U.S. District Court for the Southern District of New York on January 10, 2005 and was amended on March 4, 2005. The complaint alleged, among other things, that the Manager charged excessive fees for distribution and other costs, and that by permitting and/or participating in those actions, the Directors/Trustees and the Officers of the funds breached their fiduciary duties to fund shareholders under the Investment Company Act of 1940 and at common law. The plaintiffs sought unspecified damages, an accounting of all fees paid, and an award of attorneys' fees and litigation expenses. In response to the defendants' motions to dismiss the suit, seven of the eight counts in the complaint, including the claims against certain of the Oppenheimer funds, as nominal defendants, and against certain present and former Directors, Trustees and Officers of the funds, and the Distributor, as defendants, were dismissed with prejudice, by court order dated March 10, 2006, and the remaining count against the Manager and the Transfer Agent was dismissed with prejudice by court order dated April 5, 2006. The plaintiffs filed an appeal of those dismissals on May 11, 2006. The Manager believes that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them, the Funds, the Directors/Trustees or the Officers on the appeal of the decisions of the district court, and that no estimate can yet be made with any degree of certainty as to the amount or range of any potential loss. However, the Manager believes that the allegations contained in the complaints are without merit and that there are substantial grounds to sustain the district court's rulings. 88 | 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-033. 89 | OPPENHEIMER STRATEGIC INCOME FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Each year, the Board of Trustees (the "Board"), including a majority of the independent Trustees, is required to determine whether to renew the Fund's investment advisory agreement (the "Agreement"). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Manager provide, such information as may be reasonably necessary to evaluate the terms of the Agreement. The Board employs an independent consultant to prepare a report that provides information, including comparative information, that the Board requests for that purpose. In addition, the Board receives information throughout the year regarding Fund services, fees, expenses and performance. The Manager and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Manager's services, (ii) the investment performance of the Fund and the Manager, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Manager, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Manager from its relationship with the Fund. Outlined below is a summary of the principal information considered by the Board as well as the Board's conclusions. NATURE, QUALITY, AND EXTENT OF SERVICES. The Board considered information on the nature and extent of the services provided to the Fund and information regarding the Manager's key personnel that provide such services. The Manager's duties include providing the Fund with the services of the portfolio manager and the Manager's investment team, who provide research, analysis and other advisory services in regard to the Fund's investments; securities trading services; oversight of third party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund's investment restrictions. The Manager is responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel that are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund's operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of the Fund's shares. The Manager also provides the Fund with office space, facilities and equipment. The Board also considered the quality of the services provided and the quality of the Manager's resources that are available to the Fund. The Board took account of the fact 90 | OPPENHEIMER STRATEGIC INCOME FUND that the Manager has had over forty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Manager's administrative, accounting, legal and compliance services, and information the Board has received regarding the experience and professional qualifications of the Manager's key personnel and the size and functions of its staff providing investment management services to the Fund. The Board also considered compliance reports from the Fund's Chief Compliance Officer. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Arthur P. Steinmetz and the Manager's international and quantitative fixed income investment team and analysts. Mr. Steinmetz has had over 23 years of experience managing fixed income investments. The Board members also considered the totality of their experiences with the Manager, as directors or trustees of the Fund and other funds advised by the Manager. In light of the foregoing, the Board concluded that the Fund benefits from the services provided under the Agreement as a result of the Manager's experience, reputation, personnel, operations, and resources. INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. During the year, the Manager provided information on the performance of the Fund and the Manager at each Board meeting, including comparative performance information. The Board also reviewed information, prepared by the Manager and by the independent consultant, comparing the Fund's historical performance to relevant market indices and to the performance of other multi-sector income funds (including both funds advised by the Manager and funds] advised by other investment advisers). The Board noted that the Fund's one-year, three-year, five-year and ten-year performance were all better than its peer group median. COSTS OF SERVICES AND PROFITS REALIZED BY THE MANAGER. The Board considered information regarding the Manager's costs in serving as the Fund's investment adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Manager's profitability from its relationship with the Fund. The Board reviewed the fees paid to the Manager and the other expenses borne by the Fund. The Board also evaluated the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Manager. The independent consultant provided comparative data in regard to the fees and expenses of the Fund, other multi-sector income funds and other funds with comparable asset levels and distribution features. The Board noted that the Fund's contractual management fees lower than its peer group average and equal to its peer group median and that the Fund's actual management fees and total expenses are both lower 91 | OPPENHEIMER STRATEGIC INCOME FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited / Continued -------------------------------------------------------------------------------- than its peer group median and average. In light of this, the Board concluded that the management fee was reasonable. ECONOMIES OF SCALE. The Board reviewed whether the Fund's advisory fee shares with shareholders economies of scale that the Manager may realize in managing and supporting the Fund. The Board noted the Fund's breakpoints, which are intended to share with shareholders economies of scale that may exist as the Fund grows. Based on the Board's evaluation, the Manager agreed to a revised breakpoint schedule that, effective January 1, 2006, reduced the management fee on average annual net assets over $5.0 billion to 0.48%. OTHER BENEFITS TO THE MANAGER. In addition to considering the profits realized by the Manager, the Board considered information that was provided regarding the direct and indirect benefits the Manager receives as a result of its relationship with the Fund, including compensation paid to the Manager's affiliates. The Board also considered that the Manager must be able to pay and retain experienced professional personnel at competitive rates to provide services to the Fund and that maintaining the financial viability of the Manager is important in order for the Manager to continue to provide significant services to the Fund and its shareholders. CONCLUSIONS. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees' counsel are both independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules. Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the advisory agreement for another year. In arriving at this decision, the Board did not single out any factor or factors as being more important than others, but considered all of the factors together. The Board judged the terms and conditions of the advisory agreement, including the management fee, in light of all of the surrounding circumstances. 92 | OPPENHEIMER STRATEGIC INCOME FUND ITEM 2. CODE OF ETHICS. Not applicable to semiannual reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to semiannual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to semiannual reports. 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 March 31, 2006, 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) Not applicable to semiannual reports. (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: May 15, 2006 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: May 15, 2006 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: May 15, 2006