-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, GRryERmklfzl9NflW72u7xJlx8z8p0SuknV5LEeXR+GI1zQLZAlfLDu+R/qrG24l Alw72iQijorcFyBTocfdtg== 0000935069-06-003147.txt : 20061128 0000935069-06-003147.hdr.sgml : 20061128 20061128122854 ACCESSION NUMBER: 0000935069-06-003147 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 4 CONFORMED PERIOD OF REPORT: 20060930 FILED AS OF DATE: 20061128 DATE AS OF CHANGE: 20061128 EFFECTIVENESS DATE: 20061128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER STRATEGIC INCOME FUND CENTRAL INDEX KEY: 0000850134 IRS NUMBER: 841120195 STATE OF INCORPORATION: MA FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-05724 FILM NUMBER: 061241417 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER STRATEGIC FUNDS TRUST DATE OF NAME CHANGE: 19940330 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER STRATEGIC INCOME FUND DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER TOTAL INCOME FUND DATE OF NAME CHANGE: 19890906 0000850134 S000008495 OPPENHEIMER STRATEGIC INCOME FUND C000023318 A C000023319 B C000023320 C C000023321 N C000023322 Y N-CSR 1 ra230_35563ncsr.txt RA230_35563NCSR 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 Date of reporting period: 09/30/2006 ITEM 1. REPORTS TO STOCKHOLDERS. TOP HOLDINGS AND ALLOCATIONS - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES - -------------------------------------------------------------------------------- Media 3.8% - -------------------------------------------------------------------------------- Oil & Gas 3.5 - -------------------------------------------------------------------------------- Hotels, Restaurants & Leisure 2.0 - -------------------------------------------------------------------------------- Commercial Banks 1.9 - -------------------------------------------------------------------------------- Diversified Telecommunication Services 1.2 - -------------------------------------------------------------------------------- Automobiles 1.1 - -------------------------------------------------------------------------------- Containers & Packaging 1.1 - -------------------------------------------------------------------------------- Wireless Telecommunication Services 1.1 - -------------------------------------------------------------------------------- Health Care Providers & Services 1.0 - -------------------------------------------------------------------------------- Metals & Mining 0.9 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2006, and are based on net assets. - -------------------------------------------------------------------------------- PORTFOLIO ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Corporate Bonds 26.8% Foreign Government Bonds 21.9 Other Bonds 15.9 Government Agency Bonds 13.7 Cash Equivalents 11.1 U.S. Government Bonds 8.7 Stocks 1.9 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2006, and are based on the total market value of investments. The Fund may invest without limit in below investment-grade securities, which carry a greater risk that the issue may default on principal or interest payments, and in foreign securities, which entail higher expenses and risks, such as currency fluctuation. - -------------------------------------------------------------------------------- 9 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2006, FOLLOWED BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO AN APPROPRIATE BROAD-BASED MARKET INDEX. MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. Over the 12-month period ended September 30, 2006, Oppenheimer Strategic Income Fund's Class A shares (without sales charge) produced higher returns than its benchmark, the Lehman Brothers Aggregate Bond Index. The Fund benefited early in the reporting period from its emphasis on bonds and currencies from the emerging markets, which continued to gain value in a robust global economic environment. The Fund's investments in Brazil, Mexico, Turkey and Russia produced particularly attractive returns as these nations made progress toward reforming their financial systems and taming inflation. Global market conditions changed in the spring of 2006, when surging commodity prices and weakening housing markets sparked concerns that a U.S. economic slowdown might precede a downturn in international economic conditions. Global bond market volatility intensified as investors grew more risk-averse, and the Fund's overweighted position in emerging market bonds detracted modestly from its relative performance. The Fund's returns also were undermined to a mild degree by unfortunate timing in the trading of yen and euros in the currency markets. However, these setbacks were not severe enough to erase the reporting period's previous gains from emerging markets bonds and currencies. The Fund also received generally positive contributions to performance from its holdings of high-yield corporate bonds. However, bonds in the lower high-yield rating categories tended to fare better than those with higher credit ratings. Because we reduced the Fund's exposure to lower-rated securities in anticipation of slower economic growth and more moderate business conditions, the Fund did not participate fully in the high-yield sector's relative strength during the second half of the reporting period. Finally, our security selection and duration management strategies helped support returns from the U.S. government securities. We captured higher yields than those provided by U.S. Treasuries by focusing on mortgage- and asset-backed securities from U.S. government agencies. In the spring of 2006, we began to increase the Fund's average duration--a measure of sensitivity to changing interest rates--toward a range that is closer to industry averages. This change helped the Fund participate more fully in rallies as the market rebounded from heightened market volatility during the spring and summer of 2006. 10 | OPPENHEIMER STRATEGIC INCOME FUND COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the performance of a hypothetical $10,000 investment in each class of shares of the Fund held until September 30, 2006. In the case of Class A, Class B and Class C shares, performance is measured over a ten fiscal year period; Class Y shares since inception of the Class on January 26, 1998. In the case of Class N shares, performance is measured from inception of the Class on March 1, 2001. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C and Class N shares, and reinvestments of all dividends and capital gains distributions. The Fund's performance is compared to the performance of the Lehman Brothers Aggregate Bond Index and the Citigroup World Government Bond Index, formerly Salomon Brothers World Government Bond Index. The former is a broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government securities and mortgage-backed securities widely regarded as a measure of the performance of the domestic debt securities market. The latter is an unmanaged index of fixed-rate bonds having a maturity of one year or more, widely regarded as a benchmark of fixed-income performance on a worldwide basis. Index performance reflects the reinvestment of dividends but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund's performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the securities in the indices. 11 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- CLASS A SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class A) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund Aggregate Government (Class A) Bond Index Bond Index 09/30/1996 9,525 10,000 10,000 12/31/1996 9,878 10,300 10,238 03/31/1997 9,855 10,242 9,814 06/30/1997 10,254 10,619 10,112 09/30/1997 10,600 10,971 10,241 12/31/1997 10,704 11,294 10,262 03/31/1998 10,990 11,470 10,342 06/30/1998 11,062 11,738 10,548 09/30/1998 10,684 12,234 11,426 12/31/1998 10,882 12,275 11,832 03/31/1999 10,941 12,215 11,376 06/30/1999 10,977 12,107 10,984 09/30/1999 10,996 12,189 11,481 12/31/1999 11,322 12,175 11,328 03/31/2000 11,501 12,443 11,347 06/30/2000 11,564 12,660 11,331 09/30/2000 11,675 13,041 11,033 12/31/2000 11,572 13,590 11,508 03/31/2001 11,778 14,002 11,157 06/30/2001 11,680 14,081 10,983 09/30/2001 11,466 14,731 11,768 12/31/2001 11,979 14,738 11,394 03/31/2002 12,180 14,751 11,210 06/30/2002 12,175 15,296 12,516 09/30/2002 12,226 15,997 13,000 12/31/2002 12,799 16,249 13,615 03/31/2003 13,289 16,475 14,038 06/30/2003 14,158 16,887 14,583 09/30/2003 14,621 16,863 14,870 12/31/2003 15,308 16,916 15,645 03/31/2004 15,665 17,365 15,936 06/30/2004 15,377 16,941 15,406 09/30/2004 15,898 17,483 15,911 12/31/2004 16,780 17,650 17,264 03/31/2005 16,588 17,565 16,819 06/30/2005 17,155 18,093 16,578 09/30/2005 17,450 17,971 16,392 12/31/2005 17,477 18,078 16,077 03/31/2006 17,742 17,961 16,012 06/30/2006 17,455 17,948 16,519 09/30/2006 18,109 18,631 16,758 AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT 9/30/06 1-Year -1.16% 5-Year 8.51% 10-Year 6.12% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 12 | OPPENHEIMER STRATEGIC INCOME FUND CLASS B SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class B) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund Aggregate Government (Class B) Bond Index Bond Index 09/30/1996 10,000 10,000 10,000 12/31/1996 10,350 10,300 10,238 03/31/1997 10,307 10,242 9,814 06/30/1997 10,703 10,619 10,112 09/30/1997 11,043 10,971 10,241 12/31/1997 11,130 11,294 10,262 03/31/1998 11,405 11,470 10,342 06/30/1998 11,459 11,738 10,548 09/30/1998 11,071 12,234 11,426 12/31/1998 11,230 12,275 11,832 03/31/1999 11,269 12,215 11,376 06/30/1999 11,311 12,107 10,984 09/30/1999 11,284 12,189 11,481 12/31/1999 11,596 12,175 11,328 03/31/2000 11,757 12,443 11,347 06/30/2000 11,799 12,660 11,331 09/30/2000 11,889 13,041 11,033 12/31/2000 11,792 13,590 11,508 03/31/2001 11,979 14,002 11,157 06/30/2001 11,828 14,081 10,983 09/30/2001 11,589 14,731 11,768 12/31/2001 12,115 14,738 11,394 03/31/2002 12,263 14,751 11,210 06/30/2002 12,235 15,296 12,516 09/30/2002 12,269 15,997 13,000 12/31/2002 12,845 16,249 13,615 03/31/2003 13,336 16,475 14,038 06/30/2003 14,208 16,887 14,583 09/30/2003 14,673 16,863 14,870 12/31/2003 15,362 16,916 15,645 03/31/2004 15,720 17,365 15,936 06/30/2004 15,432 16,941 15,406 09/30/2004 15,954 17,483 15,911 12/31/2004 16,839 17,650 17,264 03/31/2005 16,646 17,565 16,819 06/30/2005 17,215 18,093 16,578 09/30/2005 17,512 17,971 16,392 12/31/2005 17,539 18,078 16,077 03/31/2006 17,805 17,961 16,012 06/30/2006 17,517 17,948 16,519 09/30/2006 18,173 18,631 16,758 AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT 9/30/06 1-Year -1.60% 5-Year 8.50% 10-Year 6.16% 13 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- CLASS C SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class C) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund Aggregate Government (Class C) Bond Index Bond Index 09/30/1996 10,000 10,000 10,000 12/31/1996 10,371 10,300 10,238 03/31/1997 10,328 10,242 9,814 06/30/1997 10,704 10,619 10,112 09/30/1997 11,067 10,971 10,241 12/31/1997 11,132 11,294 10,262 03/31/1998 11,409 11,470 10,342 06/30/1998 11,462 11,738 10,548 09/30/1998 11,073 12,234 11,426 12/31/1998 11,233 12,275 11,832 03/31/1999 11,297 12,215 11,376 06/30/1999 11,313 12,107 10,984 09/30/1999 11,286 12,189 11,481 12/31/1999 11,626 12,175 11,328 03/31/2000 11,761 12,443 11,347 06/30/2000 11,832 12,660 11,331 09/30/2000 11,894 13,041 11,033 12/31/2000 11,796 13,590 11,508 03/31/2001 11,984 14,002 11,157 06/30/2001 11,863 14,081 10,983 09/30/2001 11,592 14,731 11,768 12/31/2001 12,122 14,738 11,394 03/31/2002 12,270 14,751 11,210 06/30/2002 12,242 15,296 12,516 09/30/2002 12,305 15,997 13,000 12/31/2002 12,825 16,249 13,615 03/31/2003 13,327 16,475 14,038 06/30/2003 14,174 16,887 14,583 09/30/2003 14,575 16,863 14,870 12/31/2003 15,234 16,916 15,645 03/31/2004 15,561 17,365 15,936 06/30/2004 15,247 16,941 15,406 09/30/2004 15,734 17,483 15,911 12/31/2004 16,578 17,650 17,264 03/31/2005 16,357 17,565 16,819 06/30/2005 16,886 18,093 16,578 09/30/2005 17,144 17,971 16,392 12/31/2005 17,137 18,078 16,077 03/31/2006 17,364 17,961 16,012 06/30/2006 17,090 17,948 16,519 09/30/2006 17,697 18,631 16,758 AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT 9/30/06 1-Year 2.26% 5-Year 8.83% 10-Year 5.87% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 14 | OPPENHEIMER STRATEGIC INCOME FUND CLASS N SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class N) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund Aggregate Government (Class N) Bond Index Bond Index 03/01/2001 10,000 10,000 10,000 03/31/2001 9,799 10,050 9,712 06/30/2001 9,717 10,107 9,560 09/30/2001 9,539 10,573 10,244 12/31/2001 9,988 10,578 9,917 03/31/2002 10,122 10,588 9,757 06/30/2002 10,112 10,979 10,894 09/30/2002 10,177 11,482 11,316 12/31/2002 10,617 11,663 11,851 03/31/2003 11,044 11,825 12,219 06/30/2003 11,753 12,121 12,693 09/30/2003 12,092 12,103 12,944 12/31/2003 12,648 12,141 13,618 03/31/2004 12,929 12,464 13,872 06/30/2004 12,678 12,159 13,410 09/30/2004 13,094 12,548 13,850 12/31/2004 13,806 12,668 15,027 03/31/2005 13,632 12,607 14,640 06/30/2005 14,080 12,986 14,430 09/30/2005 14,307 12,899 14,268 12/31/2005 14,315 12,976 13,994 03/31/2006 14,552 12,892 13,937 06/30/2006 14,302 12,882 14,379 09/30/2006 14,822 13,372 14,587 AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT 9/30/06 1-Year 2.63% 5-Year 9.22% Since Inception (3/1/01) 7.31% 15 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION - -------------------------------------------------------------------------------- CLASS Y SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class Y) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE CHART IN THE PRINTED MATERIAL.] Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund Aggregate Government (Class Y) Bond Index Bond Index 01/26/1998 10,000 10,000 10,000 03/31/1998 10,181 10,027 9,981 06/30/1998 10,257 10,261 10,180 09/30/1998 9,936 10,695 11,028 12/31/1998 10,108 10,731 11,420 03/31/1999 10,194 10,678 10,979 06/30/1999 10,237 10,584 10,600 09/30/1999 10,241 10,656 11,081 12/31/1999 10,579 10,643 10,932 03/31/2000 10,732 10,878 10,951 06/30/2000 10,826 11,067 10,935 09/30/2000 10,912 11,401 10,648 12/31/2000 10,850 11,880 11,106 03/31/2001 11,049 12,241 10,768 06/30/2001 10,965 12,310 10,599 09/30/2001 10,740 12,877 11,358 12/31/2001 11,256 12,883 10,996 03/31/2002 11,419 12,895 10,819 06/30/2002 11,416 13,372 12,079 09/30/2002 11,498 13,984 12,546 12/31/2002 12,021 14,204 13,140 03/31/2003 12,496 14,402 13,548 06/30/2003 13,317 14,762 14,074 09/30/2003 13,721 14,741 14,351 12/31/2003 14,369 14,787 15,099 03/31/2004 14,706 15,181 15,380 06/30/2004 14,437 14,810 14,869 09/30/2004 14,927 15,283 15,356 12/31/2004 15,760 15,429 16,662 03/31/2005 15,590 15,355 16,232 06/30/2005 16,131 15,817 16,000 09/30/2005 16,379 15,710 15,820 12/31/2005 16,454 15,804 15,717 03/31/2006 16,718 15,701 15,453 06/30/2006 16,460 15,689 15,943 09/30/2006 17,093 16,287 16,173 AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES OF THE FUND AT 9/30/06 1-Year 4.35% 5-Year 9.74% Since Inception (1/26/98) 6.37% THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 16 | OPPENHEIMER STRATEGIC INCOME FUND NOTES - -------------------------------------------------------------------------------- Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. The Fund's investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. The Fund's maximum sales charge for Class A shares was lower prior to 2/1/93, so actual performance may have been higher. CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B uses Class A performance for the period after conversion. Class B shares are subject to an annual 0.75% asset-based sales charge. CLASS C shares of the Fund were first publicly offered on 5/26/95. Unless otherwise noted, Class C returns include the contingent deferred sales charge of 1% for the 1-year period. Class C shares are subject to an annual 0.75% asset-based sales charge. 17 | OPPENHEIMER STRATEGIC INCOME FUND NOTES - -------------------------------------------------------------------------------- CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N shares are offered only through retirement plans. Unless otherwise noted, Class N returns include the contingent deferred sales charge of 1% for the 1-year period. Class N shares are subject to an annual 0.25% asset-based sales charge. CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y shares are offered only to certain institutional investors under special agreement with the Distributor. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 18 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES - -------------------------------------------------------------------------------- FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees, if any; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 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 19 | 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 (4/1/06) (9/30/06) SEPTEMBER 30, 2006 - -------------------------------------------------------------------------------- Class A Actual $1,000.00 $1,020.70 $4.67 - -------------------------------------------------------------------------------- Class A Hypothetical 1,000.00 1,020.46 4.67 - -------------------------------------------------------------------------------- Class B Actual 1,000.00 1,016.70 8.68 - -------------------------------------------------------------------------------- Class B Hypothetical 1,000.00 1,016.50 8.68 - -------------------------------------------------------------------------------- Class C Actual 1,000.00 1,019.20 8.54 - -------------------------------------------------------------------------------- Class C Hypothetical 1,000.00 1,016.65 8.53 - -------------------------------------------------------------------------------- Class N Actual 1,000.00 1,018.60 6.70 - -------------------------------------------------------------------------------- Class N Hypothetical 1,000.00 1,018.45 6.70 - -------------------------------------------------------------------------------- Class Y Actual 1,000.00 1,022.40 2.84 - -------------------------------------------------------------------------------- Class Y Hypothetical 1,000.00 1,022.26 2.84 Hypothetical assumes 5% annual return before expenses. Expenses are equal to the Fund's annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios based on the 6-month period ended September 30, 2006 are as follows: CLASS EXPENSE RATIOS - --------------------------------- Class A 0.92% - --------------------------------- Class B 1.71 - --------------------------------- Class C 1.68 - --------------------------------- Class N 1.32 - --------------------------------- Class Y 0.56 - -------------------------------------------------------------------------------- 20 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS September 30, 2006 - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--2.4% - ------------------------------------------------------------------------------------------------------------------------------------ Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.51%, 11/25/35 1 $ 2,450,000 $ 2,452,626 - ------------------------------------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.39%, 4/20/08 1 1,450,000 1,451,109 - ------------------------------------------------------------------------------------------------------------------------------------ Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.81%, 5/25/34 1 9,060,000 9,100,706 - ------------------------------------------------------------------------------------------------------------------------------------ Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 5.43%, 9/25/36 1 2,090,000 2,090,000 - ------------------------------------------------------------------------------------------------------------------------------------ Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.43%, 5/26/36 1 3,665,000 3,667,294 - ------------------------------------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust 2005-A, Automobile Asset-Backed Securities, Series 2005-A, Cl. A2, 3.66%, 12/26/07 675,171 674,954 - ------------------------------------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed Securities, Series 2006-A, Cl. A2, 5.30%, 5/26/09 4,070,000 4,070,000 - ------------------------------------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,850,863 - ------------------------------------------------------------------------------------------------------------------------------------ Capital One Prime Auto Receivables Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.24%, 11/15/07 1,463,649 1,463,742 - ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2005-C, Asset-Backed Certificates, Series 2005-C, Cl. AF1, 4.196%, 6/25/35 419,897 418,623 - ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates: Series 2005-D, Cl. AF1, 5.04%, 10/25/35 2,155,677 2,146,737 Series 2005-D, Cl. AV2, 5.60%, 10/25/35 1 250,000 250,274 - ------------------------------------------------------------------------------------------------------------------------------------ Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.43%, 5/16/36 1 4,590,000 4,592,873 - ------------------------------------------------------------------------------------------------------------------------------------ Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 1,059,858 1,058,970 - ------------------------------------------------------------------------------------------------------------------------------------ CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 5,076,405 4,928,018 - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 5,742,413 5,691,594 - ------------------------------------------------------------------------------------------------------------------------------------ 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 15,675,358 - ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-7, Asset-Backed Certificates, Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 1 358,234 357,189 - ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-10, Asset-Backed Certificates, Series 2005-10, Cl. AF1, 5.484%, 2/25/36 1 3,558,808 3,561,698 - ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,717,335 - ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-17, Asset Backed Certificates, Series 2005-17, Cl. 1AF1, 5.53%, 5/25/36 1 2,562,754 2,565,859 - ------------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates, Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,147,907
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES Continued - ------------------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2005-B, Cl. A2, 3.75%, 12/8/07 $ 741,690 $ 741,917 Series 2006-C, Cl. A2, 5.33%, 5/8/09 3 7,100,000 7,099,645 - ------------------------------------------------------------------------------------------------------------------------------------ DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 4,5,15 15,000,000 1,500 - ------------------------------------------------------------------------------------------------------------------------------------ DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 5 3,083,887 510,769 - ------------------------------------------------------------------------------------------------------------------------------------ Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 4,5,15 2,275,079 22,751 - ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.54%, 11/25/35 1 7,200,000 7,207,662 - ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.38%, 5/15/36 1 2,374,859 2,376,511 - ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.434%, 7/7/36 1 1,850,000 1,851,158 - ------------------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.414%, 7/25/36 1 3,620,000 3,622,264 - ------------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,702,984 2,683,117 - ------------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 0.125%, 6/13/11 1,5 6,523,018 97,845 - ------------------------------------------------------------------------------------------------------------------------------------ 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 4,289,866 - ------------------------------------------------------------------------------------------------------------------------------------ Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 5,214,000 1,156,802 - ------------------------------------------------------------------------------------------------------------------------------------ GS Auto Loan Trust, Automobile Loan Asset-Backed Securities, Series 2005-1, Cl. A2, 4.32%, 5/15/08 5,160,193 5,152,967 - ------------------------------------------------------------------------------------------------------------------------------------ Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-3, Cl. A2, 3.73%, 10/18/07 5 1,305,431 1,304,173 - ------------------------------------------------------------------------------------------------------------------------------------ Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.59%, 1/20/35 1 2,565,543 2,569,540 - ------------------------------------------------------------------------------------------------------------------------------------ Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 3,245,583 3,236,647 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 2,557,223 2,545,710 - ------------------------------------------------------------------------------------------------------------------------------------ Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 0.307%, 3/24/14 1,5 3,433,919 137,357 - ------------------------------------------------------------------------------------------------------------------------------------ Mastr Asset Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 5.43%, 9/29/36 1 5,330,000 5,330,000 - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series 2005-WMC6, Cl. A2B, 5.59%, 7/25/35 1 2,230,000 2,235,127 - ------------------------------------------------------------------------------------------------------------------------------------ NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1.762%, 1/25/29 5 4,420,411 928,286
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES Continued - ------------------------------------------------------------------------------------------------------------------------------------ Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2005-C, Cl. A2, 3.99%, 1/15/08 $ 4,583,384 $ 4,573,876 - ------------------------------------------------------------------------------------------------------------------------------------ Onyx Acceptance Owner Trust, Automobile Receivable Obligations, Series 2005-B, Cl. A2, 4.03%, 4/15/08 359,922 359,967 - ------------------------------------------------------------------------------------------------------------------------------------ Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.43%, 7/1/36 1 6,040,000 6,043,780 - ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. AF2, 3.735%, 11/10/34 1 852,059 848,023 - ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. AF2, 3.914%, 5/25/35 1 898,899 893,063 - ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 1,670,000 1,654,767 - ------------------------------------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,810,000 1,808,909 - ------------------------------------------------------------------------------------------------------------------------------------ RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32 4.45%, 7/25/28 3,393,424 3,364,886 - ------------------------------------------------------------------------------------------------------------------------------------ RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.41%, 7/25/36 1 2,248,858 2,250,269 - ------------------------------------------------------------------------------------------------------------------------------------ RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 5.428%, 9/25/36 1 4,510,000 4,509,161 - ------------------------------------------------------------------------------------------------------------------------------------ Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.39%, 4/25/36 1 2,483,764 2,485,475 - ------------------------------------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., Mtg. Pass-Through Certificates: Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 136,436 135,787 Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 3,793,349 3,781,362 - ------------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.424%, 7/25/36 1 3,600,000 3,602,251 ---------------- Total Asset-Backed Securities (Cost $199,814,969) 165,346,919 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--14.5% - ------------------------------------------------------------------------------------------------------------------------------------ Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1997-MD7, Cl. A1B, 7.41%, 1/13/30 4,599,837 4,627,190 - ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,960,808 - ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,549,024 3,609,285 - ------------------------------------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,313,443 3,341,402 Series 2005-E, Cl. 2A2, 4.975%, 6/25/35 1 445,411 444,875 - ------------------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 8.20%, 6/22/24 6 6,736,843 257,036 - ------------------------------------------------------------------------------------------------------------------------------------ ChaseFlex Trust 2006-2, Multi-Class Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 5.43%, 8/25/08 1 3,768,385 3,772,165
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 $ 1,311,000 $ 1,309,532 - ------------------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 7,915,636 7,999,740 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,732,811 1,769,553 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, CMO, Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 7,315,671 7,309,386 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, CMO: Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 2,365,198 2,373,103 Series 2006-AB4, Cl. A1A, 6.005%, 6/25/08 7,520,000 7,525,875 - ------------------------------------------------------------------------------------------------------------------------------------ DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.543%, 10/15/30 1,5 36,400,000 10,920,000 - ------------------------------------------------------------------------------------------------------------------------------------ Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 2,453,592 2,533,242 - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 6,107,550 5,899,495 5%, 10/1/36 17,996,000 17,309,903 6%, 4/1/17-9/1/24 26,308,932 26,682,938 6.50%, 4/1/18-8/1/32 14,311,669 14,640,092 7%, 8/1/21-10/1/31 6,796,664 7,005,349 7.50%, 2/1/32-4/1/36 10,589,431 11,007,495 8.50%, 8/1/31 717,091 769,579 10%, 4/1/20-5/1/20 198,147 219,456 10.50%, 5/1/20 295,302 330,723 11.50%, 10/1/16 222,587 241,408 12%, 5/1/10-6/1/17 706,487 770,305 - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2368, Cl. TG, 6%, 10/15/16 1,811,760 1,840,326 Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,672,932 Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,129,895 Series 3138, Cl. PA, 5.50%, 2/15/27 19,202,109 19,254,942 Series 3153, Cl. FJ, 5.71%, 5/15/36 1 2,338,201 2,344,981 - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1360, Cl. PZ, 7.50%, 9/15/22 9,528,668 9,709,957 Series 2002-66, Cl. FG, 6.33%, 9/25/32 1 8,892,727 9,047,178 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,989,442 2,030,694 Series 2080, Cl. Z, 6.50%, 8/15/28 1,288,332 1,316,837 Series 2173, Cl. Z, 6.50%, 7/15/29 4,994,385 5,148,959 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,434,006 1,471,726 Series 2387, Cl. PD, 6%, 4/15/30 968,030 969,194 Series 2500, Cl. FD, 5.83%, 3/15/32 1 840,263 849,026 Series 2526, Cl. FE, 5.73%, 6/15/29 1 1,074,995 1,079,569 Series 2551, Cl. FD, 5.73%, 1/15/33 1 842,687 851,893
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued Series 2583, Cl. KA, 5.50%, 3/15/22 $ 1,459,863 $ 1,458,415 Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,773,811 - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. IO, 12.667%, 7/1/26 6 3,356,432 747,036 Series 183, Cl. IO, 8.234%, 4/1/27 6 1,349,217 293,166 Series 192, Cl. IO, 13.941%, 2/1/28 6 590,751 125,938 Series 200, Cl. IO, 13.272%, 1/1/29 6 713,211 156,137 Series 203, Cl. IO, 3.706%, 6/1/29 6 2,528,921 548,865 Series 204, Cl. IO, (6.142)%, 5/1/29 6 207,878 45,763 Series 205, Cl. IO, 10.148%, 9/1/29 6 3,216,207 715,616 Series 206, Cl. IO, (13.726)%, 12/1/29 6 1,110,456 258,545 Series 207, Cl. IO, (16.958)%, 4/1/30 6 1,256,119 281,834 Series 2074, Cl. S, 0.394%, 7/17/28 6 776,505 73,961 Series 2079, Cl. S, (0.624)%, 7/17/28 6 1,222,768 121,739 Series 208, Cl. IO, (2.557)%, 6/1/30 6 2,217,363 480,353 Series 212, Cl. IO, 5.047%, 5/1/31 6 5,061,704 1,108,318 Series 214, Cl. IO, (8.788)%, 6/1/31 6 1,207,038 268,231 Series 2003-13, Cl. I O, 9.767%, 3/25/33 6 6,057,153 1,334,273 Series 2003-26, Cl. I O, 10.614%, 4/25/33 6 4,826,175 1,061,575 Series 2003-118, Cl. S, 10.01%, 12/25/33 6 9,919,651 1,091,133 Series 2005-87, Cl. SG, 10.772%, 10/25/35 6 17,490,125 1,012,771 Series 2526, Cl. SE, 2.072%, 6/15/29 6 1,920,308 100,569 Series 2819, Cl. S, 0.785%, 6/15/34 6 17,324,305 1,242,080 Series 2920, Cl. S, (0.487)%, 1/15/35 6 10,196,523 491,200 Series 3000, Cl. SE, (4.389)%, 7/15/25 6 12,554,617 480,052 Series 3004, Cl. SB, 8.215%, 7/15/35 6 19,212,358 562,661 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 4.50%, 5/1/19 2,872,913 2,776,667 4.50%, 10/1/21 3 26,741,000 25,805,065 5%, 2/1/18-11/1/33 71,692,437 69,822,672 5%, 10/1/21-10/1/36 3 52,416,439 50,901,508 5.50%, 1/1/33-11/1/34 84,309,976 83,325,551 5.50%, 10/1/21-10/1/36 3 77,891,000 76,986,168 6%, 7/1/24-5/1/33 22,972,133 23,179,685 6%, 10/1/21-10/1/36 3 29,043,000 29,453,486 6.50%, 6/1/17-9/1/32 42,801,200 43,811,048 6.50%, 10/1/36 3 20,373,000 20,748,637 7%, 11/1/17-9/1/34 29,854,743 30,813,714 7.50%, 6/1/10-1/1/33 16,574,874 17,211,627 8.50%, 7/1/32 114,538 123,336 9.50%, 4/1/20-3/15/21 191,897 209,398 11%, 10/15/15-2/1/26 462,240 511,909
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: Continued 13%, 6/1/15 $ 102,012 $ 114,242 15%, 4/15/13 401,873 458,351 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust: CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10, Cl. IO, (1.986)%, 12/25/41 6 182,967,069 2,695,507 CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T3, Cl. IO, 12.136%, 11/25/40 6 21,000,954 397,743 CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T4, Cl. IO, 8.085%, 7/25/41 6 35,048,276 651,386 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1996-35, Cl. Z, 7%, 7/25/26 230,489 236,117 Trust 1997-45, Cl. CD, 8%, 7/18/27 2,627,896 2,783,616 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 2,965,865 3,062,205 Trust 2001-50, Cl. NE, 6%, 8/25/30 484,352 485,455 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 214,810 219,252 Trust 2001-70, Cl. LR, 6%, 9/25/30 739,308 740,685 Trust 2001-72, Cl. NH, 6%, 4/25/30 306,162 306,024 Trust 2001-74, Cl. PD, 6%, 5/25/30 128,033 127,766 Trust 2002-9, Cl. PC, 6%, 3/25/17 5,174,162 5,252,948 Trust 2002-19, Cl. PE, 6%, 4/25/17 2,646,745 2,685,176 Trust 2002-21, Cl. PE, 6.50%, 4/25/32 6,057,949 6,236,461 Trust 2002-77, Cl. WF, 5.73%, 12/18/32 1 1,216,230 1,226,463 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,897,198 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,879,574 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,421,052 Trust 2003-84, Cl. PW, 3%, 6/25/22 4,650,000 4,551,334 Trust 2003-116, Cl. FA, 5.73%, 11/25/33 1 1,082,074 1,087,949 Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,107,038 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,801,873 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,256,821 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,815,628 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 9,270,000 9,301,734 Trust 2006-50, Cl. KS, 4.657%, 6/25/36 1 4,352,129 4,243,130 Trust 2006-50, Cl. SA, 4.657%, 6/25/36 1 5,043,548 4,880,712 Trust 2006-50, Cl. SK, 5.657%, 6/25/36 1 915,041 896,965 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 12,594,804 12,619,981 - ------------------------------------------------------------------------------------------------------------------------------------ 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, 0.899%, 4/25/32 6 1,008,490 72,327 Trust 2002-38, Cl. SO, (3.515)%, 4/25/32 6 897,537 53,146 Trust 2002-39, Cl. SD, (1.665)%, 3/18/32 6 1,470,717 110,605 Trust 2002-48, Cl. S, 1.226%, 7/25/32 6 1,617,186 124,943 Trust 2002-52, Cl. SL, 1.23%, 9/25/32 6 959,728 76,547 Trust 2002-53, Cl. SK, (1.213)%, 4/25/32 6 917,065 78,398
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Continued Trust 2002-56, Cl. SN, 2.237%, 7/25/32 6 $ 2,217,399 $ 175,501 Trust 2002-77, Cl. IS, 1.501%, 12/18/32 6 1,529,137 122,020 Trust 2006-34, Cl. SK, 13.241%, 5/25/36 6 16,897,259 1,276,444 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 221, Cl. 2, 12.052%, 5/1/23 6 1,238,495 284,508 Trust 240, Cl. 2, 20.817%, 9/1/23 6 2,004,394 446,103 Trust 247, Cl. 2, 13.627%, 10/1/23 6 251,048 59,994 Trust 301, Cl. 2, 6.416%, 4/1/29 6 1,968,421 421,809 Trust 303, Cl. IO, 11.777%, 11/1/29 6 1,189,618 278,272 Trust 313, Cl. 2, (6.97)%, 6/1/31 6 7,130,917 1,615,404 Trust 319, Cl. 2, 12.061%, 2/1/32 6 53,279 12,263 Trust 321, Cl. 2, 9.57%, 4/1/32 6 9,524,512 2,195,201 Trust 324, Cl. 2, 5.939%, 7/1/32 6 6,954,821 1,580,873 Trust 329, Cl. 2, 9.451%, 1/1/33 6 14,965,828 3,593,266 Trust 334, Cl. 12, 5.349%, 2/1/33 6 9,853,872 2,100,310 Trust 340, Cl. 2, 8.005%, 9/1/33 6 4,852,457 1,188,985 Trust 344, Cl. 2, 7.65%, 12/1/33 6 3,909,569 905,245 Trust 2001-61, Cl. SH, 8.995%, 11/18/31 6 5,943,121 559,775 Trust 2001-63, Cl. SD, 2.209%, 12/18/31 6 77,847 7,445 Trust 2001-68, Cl. SC, 2.546%, 11/25/31 6 54,929 4,809 Trust 2001-81, Cl. S, 2.648%, 1/25/32 6 1,449,081 109,190 Trust 2002-9, Cl. MS, 1.19%, 3/25/32 6 1,881,042 150,756 Trust 2002-65, Cl. SC, (3.835)%, 6/25/26 6 2,886,056 186,990 Trust 2002-77, Cl. SH, 2.876%, 12/18/32 6 1,704,584 162,673 Trust 2003-4, Cl. S, 9.966%, 2/25/33 6 3,143,628 357,303 Trust 2003-33, Cl. SP, 13.034%, 5/25/33 6 6,025,517 705,289 Trust 2005-40, Cl. SA, (2.733)%, 5/25/35 6 15,586,621 787,282 Trust 2005-40, Cl. SB, 0.265%, 5/25/35 6 6,982,455 301,101 Trust 2005-71, Cl. SA, 3.309%, 8/25/25 6 7,986,842 456,463 Trust 2006-33, Cl. SP, 13.681%, 5/25/36 6 8,478,579 661,211 Trust 2006-75, Cl. SA, 8.486%, 8/25/36 6 5,292,362 244,235 Trust 2682, Cl. TQ, 14.208%, 10/15/33 6 6,733,138 416,234 Trust 2981, Cl. BS, 14.201%, 5/15/35 6 12,913,052 596,964 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 340, Cl. 1, 5.181%, 9/1/33 7 4,852,457 3,516,105 - ------------------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-C, Cl. A2, 4.24%, 3/15/08 2,491,609 2,486,640 - ------------------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,912,854
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 $ 1,103,370 $ 1,111,664 Series 1998-C1, Cl. F, 7.185%, 5/15/30 1 2,000,000 2,115,158 - ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn.: 4.75%, 7/20/27 1 11,879 11,981 7%, 1/15/28-1/20/30 2,806,146 2,897,033 8%, 1/15/28-9/15/28 1,226,126 1,300,394 11%, 10/20/19 29,778 32,847 12%, 11/20/13-9/20/15 44,616 49,934 12.50%, 12/15/13-11/15/15 1,741,367 1,936,383 13%, 10/15/15 2,658,467 2,974,165 13.50%, 6/15/15 3,571,550 4,023,524 - ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 9,575,873 10,278,147 Series 2000-7, Cl. Z, 8%, 1/16/30 5,951,450 6,353,483 - ------------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-6, Cl. SA, (1.078)%, 3/16/28 6 1,522,286 134,227 Series 1998-19, Cl. SB, (0.434)%, 7/16/28 6 2,470,926 242,921 Series 2006-47, Cl. SA, 16.226%, 8/16/36 6 5,468,503 327,374 - ------------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,186,904 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,306,528 - ------------------------------------------------------------------------------------------------------------------------------------ JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 10,200,699 10,810,782 - ------------------------------------------------------------------------------------------------------------------------------------ JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.731%, 2/25/32 1 7,399,705 7,496,952 - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,196,804 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,251,593 - ------------------------------------------------------------------------------------------------------------------------------------ LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,642,480 - ------------------------------------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,405,758 Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,495,636 - ------------------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 5 519,449 379,198 - ------------------------------------------------------------------------------------------------------------------------------------ Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,738,935 2,720,036
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 $ 5,045,368 $ 5,019,503 Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 3,055,589 3,036,475 - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 11,996,588 - ------------------------------------------------------------------------------------------------------------------------------------ PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,052,786 - ------------------------------------------------------------------------------------------------------------------------------------ Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates: Series 1992-2, Cl. B2, 1/15/03 4,5,15 624,465 -- Series 1992-2, Cl. B3, 10.324%, 4/15/09 1,5 135,251 42 - ------------------------------------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 380,000 408,271 - ------------------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 8,890,000 8,894,167 - ------------------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS5 Trust, Mtg. Asset-BackedPass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 8,743,213 8,737,324 - ------------------------------------------------------------------------------------------------------------------------------------ Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 8,007,405 7,999,272 - ------------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., CMO: Series 2000-UP1, Cl. A2, 8%, 9/25/30 598,566 601,848 Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 455,022 464,780 - ------------------------------------------------------------------------------------------------------------------------------------ Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,418,026 - ------------------------------------------------------------------------------------------------------------------------------------ Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1992-2, Cl. IO, 4.286%, 9/15/22 6 18,392,200 449,268 Series 1995-2B, Cl. 2IO, 8.288%, 6/15/25 6 1,326,631 31,006 Series 1995-3, Cl. 1IO, (6.974)%, 9/15/25 6 42,214,929 374,940 - ------------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,736,569 - ------------------------------------------------------------------------------------------------------------------------------------ WAMU Mortgage Pass-Through Certificates Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.673%, 5/25/35 1 2,194,521 2,188,420 - ------------------------------------------------------------------------------------------------------------------------------------ WAMU Mortgage Pass-Through Certificates Series 2005-AR8 Trust, Series 2005-AR8, Cl. 2AB1, 5.58%, 7/25/45 1 2,883,587 2,892,126 - ------------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2004-DD Trust, CMO Mtg. Pass-Through Certificates, Series 2004-DD, Cl. 2A1, 4.509%, 1/25/35 1 255,388 254,588 ---------------- Total Mortgage-Backed Obligations (Cost $1,030,340,562) 1,009,936,331 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--9.5% - ------------------------------------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.69%, 10/5/07 8,9 61,690,000 58,586,253 - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 9 150,000 147,444
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts.: 4.125%, 7/12/10 9 $ 3,100,000 $ 3,019,115 5.25%, 7/18/11 80,930,000 82,152,286 - ------------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 335,000 333,260 4.25%, 7/15/07 9 505,000 501,355 4.75%, 12/15/10 9 15,620,000 15,544,290 6%, 5/15/11 9 22,400,000 23,423,814 6%, 5/15/08 9,10 15,044,000 15,281,274 6.625%, 9/15/09 10 32,926,000 34,481,227 - ------------------------------------------------------------------------------------------------------------------------------------ Resolution Funding Corp. Bonds, Residual Funding STRIPS, 6.132%, 1/15/21 8,9 51,220,000 25,224,621 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bills, 5.02%, 11/9/06 9,11,12 293,925,000 292,367,369 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds: 4.50%, 2/15/36 9 415,000 397,784 5.25%, 2/15/29 9 40,170,000 42,489,215 5.50%, 8/15/28 9,10 152,000 165,680 7.25%, 5/15/16 9,10 2,734,000 3,277,598 STRIPS, 4.941%, 2/15/16 8,10 23,586,000 15,248,302 - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Nts.: 4.625%, 8/31/11 9 29,711,000 29,752,803 5.125%, 6/30/11 9 13,327,000 13,625,298 ---------------- Total U.S. Government Obligations (Cost $652,810,286) 656,018,988 - ------------------------------------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS--23.0% - ------------------------------------------------------------------------------------------------------------------------------------ ARGENTINA--1.5% Argentina (Republic of) Bonds: 2%, 9/30/14 5 [ARP] 13,011,900 4,267,253 5.589%, 8/3/12 1 48,514,501 44,802,964 Series V, 7%, 3/28/11 52,430,000 49,587,122 - ------------------------------------------------------------------------------------------------------------------------------------ Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 4/1/07 4,5 [ARP] 208,251 90,145 - ------------------------------------------------------------------------------------------------------------------------------------ Central Bank of Argentina Bonds, 2%, 2/4/18 5 [ARP] 17,611,439 8,500,019 ---------------- 107,247,503 - ------------------------------------------------------------------------------------------------------------------------------------ AUSTRALIA--0.8% New South Wales Treasury Corp. Gtd. Bonds, 8%, 3/1/08 [AUD] 70,980,000 54,276,524 - ------------------------------------------------------------------------------------------------------------------------------------ BELGIUM--0.6% Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 9,450,000 14,120,896 - ------------------------------------------------------------------------------------------------------------------------------------ Belgium (Kingdom of) Treasury Bills, 3.192%, 12/14/06 8 [EUR] 22,950,000 28,918,176 ---------------- 43,039,072
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ BRAZIL--2.0% Brazil (Federal Republic of) Bonds: 8%, 1/15/18 $ 26,600,000 $ 29,286,600 8.75%, 2/4/25 32,645,000 38,961,808 8.875%, 10/14/19 25,985,000 30,883,173 10.50%, 7/14/14 24,810,000 31,235,790 - ------------------------------------------------------------------------------------------------------------------------------------ Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 8,733,075 ---------------- 139,100,446 - ------------------------------------------------------------------------------------------------------------------------------------ BULGARIA--0.2% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 7,080,000 8,363,250 8.25%, 1/15/15 2 6,790,000 8,020,688 ---------------- 16,383,938 - ------------------------------------------------------------------------------------------------------------------------------------ CANADA--0.8% Canada (Government of) Nts., 4%, 9/1/10 [CAD] 65,285,000 58,651,659 - ------------------------------------------------------------------------------------------------------------------------------------ COLOMBIA--1.4% Colombia (Republic of) Bonds: 7.375%, 9/18/37 27,157,000 27,564,355 10.75%, 1/15/13 8,000,000 9,808,000 12%, 10/22/15 [COP] 49,296,000,000 23,498,351 - ------------------------------------------------------------------------------------------------------------------------------------ Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 23,854,260,000 10,633,740 - ------------------------------------------------------------------------------------------------------------------------------------ Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 22,580,000 24,950,900 ---------------- 96,455,346 - ------------------------------------------------------------------------------------------------------------------------------------ DENMARK--0.2% Denmark (Kingdom of) Bonds: 4%, 11/15/10 [DKK] 21,445,000 3,700,451 4%, 11/15/15 [DKK] 15,950,000 2,775,045 7%, 11/10/24 [DKK] 5,820,000 1,385,552 - ------------------------------------------------------------------------------------------------------------------------------------ Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 23,020,000 3,940,710 ---------------- 11,801,758 - ------------------------------------------------------------------------------------------------------------------------------------ DOMINICAN REPUBLIC--0.0% Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,876,658 2,026,791 - ------------------------------------------------------------------------------------------------------------------------------------ EL SALVADOR--0.2% El Salvador (Republic of) Bonds: 7.625%, 9/21/34 2 4,802,000 5,270,195 7.65%, 6/15/35 2 4,735,000 5,101,963 ---------------- 10,372,158 - ------------------------------------------------------------------------------------------------------------------------------------ FRANCE--1.9% France (Government of) Bonds, 3.25%, 4/25/16 [EUR] 59,985,000 73,217,511
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ FRANCE Continued France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 4/25/55 [EUR] 25,690,000 $ 33,269,855 - ------------------------------------------------------------------------------------------------------------------------------------ France (Government of) Treasury Bills, 3.195%, 12/14/06 8 [EUR] 18,630,000 23,472,652 ---------------- 129,960,018 - ------------------------------------------------------------------------------------------------------------------------------------ GERMANY--1.8% Germany (Federal Republic of) Bonds, Series 05, 4%, 1/4/37 [EUR] 36,260,000 47,119,930 - ------------------------------------------------------------------------------------------------------------------------------------ Germany (Federal Republic of) Treasury Bills, Series 0906, 3.359%, 3/14/07 8 [EUR] 62,930,000 78,613,623 ---------------- 125,733,553 - ------------------------------------------------------------------------------------------------------------------------------------ GREECE--0.4% Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 21,830,000 28,889,504 - ------------------------------------------------------------------------------------------------------------------------------------ GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 2 2,972,000 3,514,390 10.25%, 11/8/11 1,205,000 1,424,913 ---------------- 4,939,303 - ------------------------------------------------------------------------------------------------------------------------------------ INDONESIA--0.2% Indonesia (Republic of) Nts.: 6.75%, 3/10/14 2 2,670,000 2,730,075 7.25%, 4/20/15 2 4,450,000 4,689,188 - ------------------------------------------------------------------------------------------------------------------------------------ Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 6,210,000 7,288,988 ---------------- 14,708,251 - ------------------------------------------------------------------------------------------------------------------------------------ ISRAEL--0.4% Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 25,226,569 - ------------------------------------------------------------------------------------------------------------------------------------ ITALY--1.5% Italy (Republic of) Nts., Certificati di Credito del Tesoro, 3.40%, 7/1/09 1 [EUR] 40,215,000 51,219,165 - ------------------------------------------------------------------------------------------------------------------------------------ Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 4.25%, 2/1/19 [EUR] 42,280,000 54,835,703 ---------------- 106,054,868 - ------------------------------------------------------------------------------------------------------------------------------------ JAPAN--1.0% Japan (Government of) Bonds: 10 yr., Series 268, 1.50%, 3/20/15 [JPY] 2,523,000,000 21,296,256 Series 7, 0.80%, 3/10/16 [JPY] 5,368,056,000 44,469,090 ---------------- 65,765,346
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MALAYSIA--0.4% Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 5 [MYR] 57,058,000 $ 17,173,097 - ------------------------------------------------------------------------------------------------------------------------------------ Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 7,246,400 ---------------- 24,419,497 - ------------------------------------------------------------------------------------------------------------------------------------ MEXICO--0.9% Mexican Williams Sr. Nts., 6.03%, 11/15/08 1,5 1,500,000 1,545,938 - ------------------------------------------------------------------------------------------------------------------------------------ United Mexican States Bonds: 7.50%, 4/8/33 35,543,000 41,087,708 8.30%, 8/15/31 2,000,000 2,499,000 11.375%, 9/15/16 45,000 64,688 - ------------------------------------------------------------------------------------------------------------------------------------ United Mexican States Nts., 7.50%, 1/14/12 18,630,000 20,493,000 ---------------- 65,690,334 - ------------------------------------------------------------------------------------------------------------------------------------ NIGERIA--0.1% Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 5 3,585,000 3,578,278 - ------------------------------------------------------------------------------------------------------------------------------------ Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,312,295 2,182,603 ---------------- 5,760,881 - ------------------------------------------------------------------------------------------------------------------------------------ PANAMA--0.7% Panama (Republic of) Bonds: 6.70%, 1/26/36 39,951,000 39,751,245 9.375%, 4/1/29 5,500,000 7,122,500 ---------------- 46,873,745 - ------------------------------------------------------------------------------------------------------------------------------------ PERU--1.6% Peru (Republic of) Bonds: 7.35%, 7/21/25 7,075,000 7,577,325 7.84%, 8/12/20 [PEN] 102,295,000 33,409,443 8.20%, 8/12/26 5 [PEN] 10,835,000 3,609,333 8.375%, 5/3/16 3,210,000 3,715,575 9.91%, 5/5/15 [PEN] 63,042,000 23,268,520 Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 8,284,554 Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,060,056 - ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Past Due Interest Bonds, Series 20 yr., 5%, 3/7/17 1 1,064,000 1,053,360 - ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Sr. Nts., 4.533%, 2/28/16 8 24,145,946 13,542,254 - ------------------------------------------------------------------------------------------------------------------------------------ Peru (Republic of) Unsec. Unsub. Bonds, 8.75%, 11/21/33 11,120,000 13,677,600 ---------------- 112,198,020
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ PHILIPPINES--1.3% Philippines (Republic of the) Bonds: 8%, 1/15/16 $ 38,400,000 $ 42,336,000 8.375%, 2/15/11 5,050,000 5,454,000 9.50%, 2/2/30 9,510,000 11,744,850 - ------------------------------------------------------------------------------------------------------------------------------------ Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 27,181,000 28,506,074 ---------------- 88,040,924 - ------------------------------------------------------------------------------------------------------------------------------------ POLAND--0.7% Poland (Republic of) Bonds: Series 0K0807, 4.191%, 8/12/07 8 [PLZ] 36,350,000 11,172,606 Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 11,744,493 Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 2,744,177 Series 0511, 4.25%, 5/24/11 [PLZ] 77,135,000 23,499,001 ---------------- 49,160,277 - ------------------------------------------------------------------------------------------------------------------------------------ RUSSIA--0.0% Russian Ministry of Finance Debs., Series VII, 3%, 5/14/11 3,560,000 3,198,019 - ------------------------------------------------------------------------------------------------------------------------------------ TURKEY--0.4% Turkey (Republic of) Bonds, 7%, 9/26/16 7,900,000 7,781,500 - ------------------------------------------------------------------------------------------------------------------------------------ Turkey (Republic of) Nts.: 7.25%, 3/15/15 9,675,000 9,771,750 9.50%, 1/15/14 6,050,000 6,912,125 11%, 1/14/13 2,590,000 3,128,979 ---------------- 27,594,354 - ------------------------------------------------------------------------------------------------------------------------------------ UNITED KINGDOM--1.3% United Kingdom Treasury Bonds: 5%, 3/7/08 [GBP] 13,585,000 25,461,224 6%, 12/7/28 [GBP] 17,815,000 41,618,033 - ------------------------------------------------------------------------------------------------------------------------------------ United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 13,870,000 25,488,712 ---------------- 92,567,969 - ------------------------------------------------------------------------------------------------------------------------------------ URUGUAY--0.6% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 4,835,000 4,847,088 - ------------------------------------------------------------------------------------------------------------------------------------ Uruguay (Oriental Republic of) Unsec. Bonds: 5%, 9/14/18 [UYU] 222,660,000 9,560,630 8%, 11/18/22 23,935,000 25,371,100 ---------------- 39,778,818 ---------------- Total Foreign Government Obligations (Cost $1,557,044,880) 1,595,915,445
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES--28.0% - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--8.9% - ------------------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS--0.6% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 $ 2,729,000 $ 2,729,000 - ------------------------------------------------------------------------------------------------------------------------------------ Goodyear Tire & Rubber Co. (The): 7.857% Nts., 8/15/11 6,631,000 6,481,803 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 5 1,000,000 945,000 - ------------------------------------------------------------------------------------------------------------------------------------ Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 3,673,133 - ------------------------------------------------------------------------------------------------------------------------------------ Tenneco Automotive, Inc.: 8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,020,618 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,361,560 - ------------------------------------------------------------------------------------------------------------------------------------ United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,691,500 - ------------------------------------------------------------------------------------------------------------------------------------ Visteon Corp.: 7% Sr. Unsec. Nts., 3/10/14 3,975,000 3,577,500 8.25% Sr. Unsec. Nts., 8/1/10 6,600,000 6,468,000 ---------------- 39,068,114 - ------------------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES--1.1% Ford Motor Co., 7.45% Bonds, 7/16/31 2,700,000 2,099,250 - ------------------------------------------------------------------------------------------------------------------------------------ Ford Motor Credit Co.: 5.625% Nts., 10/1/08 5,400,000 5,182,753 5.80% Sr. Unsec. Nts., 1/12/09 800,000 762,008 7.375% Nts., 10/28/09 18,550,000 18,039,059 7.375% Unsec. Nts., 2/1/11 1,950,000 1,873,359 9.957% Nts., 4/15/12 1 9,615,000 10,074,059 - ------------------------------------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp.: 6.875% Nts., 9/15/11 15,360,000 15,294,413 7.25% Nts., 3/2/11 3,500,000 3,523,289 8% Bonds, 11/1/31 10,590,000 11,103,318 - ------------------------------------------------------------------------------------------------------------------------------------ General Motors Corp.: 7.20% Nts., 1/15/11 4,000,000 3,705,000 8.375% Sr. Unsec. Debs., 7/15/33 1,400,000 1,218,000 - ------------------------------------------------------------------------------------------------------------------------------------ Hertz Corp.: 8.875% Sr. Nts., 1/1/14 2 940,000 989,350 10.50% Sr. Sub. Nts., 1/1/16 2 4,255,000 4,701,775 ---------------- 78,565,633 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTORS--0.0% SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 2,825,000 2,867,375 - ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES--0.1% Education Management LLC/Education Management Corp., 10.25% Sr. Sub. Nts., 6/1/16 2 3,345,000 3,436,988
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE--2.0% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 $ 1,900,000 $ 1,938,000 - ------------------------------------------------------------------------------------------------------------------------------------ Aztar Corp., 9% Sr. Unsec. Sub. Nts., 8/15/11 4,101,000 4,300,924 - ------------------------------------------------------------------------------------------------------------------------------------ Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,817,130 - ------------------------------------------------------------------------------------------------------------------------------------ CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 4,895,000 4,723,675 - ------------------------------------------------------------------------------------------------------------------------------------ Domino's, Inc., 8.25% Sr. Unsec. Sub. Nts., 7/1/11 2,391,000 2,522,505 - ------------------------------------------------------------------------------------------------------------------------------------ French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2 4,600,000 4,197,500 - ------------------------------------------------------------------------------------------------------------------------------------ Gaylord Entertainment Co.: 6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 672,875 8% Sr. Nts., 11/15/13 1,900,000 1,942,750 - ------------------------------------------------------------------------------------------------------------------------------------ Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 4,915,000 5,209,900 - ------------------------------------------------------------------------------------------------------------------------------------ Intrawest Corp., 7.50% Sr. Unsec. Nts., 10/15/13 3,382,000 3,648,333 - ------------------------------------------------------------------------------------------------------------------------------------ Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,931,010 9% Sr. Sub. Nts., 3/15/12 7,132,000 7,479,685 - ------------------------------------------------------------------------------------------------------------------------------------ Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,618,538 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,313,038 - ------------------------------------------------------------------------------------------------------------------------------------ MGM Mirage, Inc.: 6.75% Sr. Unsec. Nts., 4/1/13 3,200,000 3,160,000 8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,400,531 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,234,500 - ------------------------------------------------------------------------------------------------------------------------------------ Mohegan Tribal Gaming Authority: 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,640,775 6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,318,683 6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,283,400 7.125% Sr. Unsec. Sub. Nts., 8/15/14 900,000 900,000 8% Sr. Sub. Nts., 4/1/12 2,950,000 3,068,000 - ------------------------------------------------------------------------------------------------------------------------------------ NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,000,000 972,500 - ------------------------------------------------------------------------------------------------------------------------------------ Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,839,000 9,236,755 - ------------------------------------------------------------------------------------------------------------------------------------ Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,629,619 - ------------------------------------------------------------------------------------------------------------------------------------ Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 6,950,000 7,071,625 - ------------------------------------------------------------------------------------------------------------------------------------ Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 2 2,265,000 2,426,381 - ------------------------------------------------------------------------------------------------------------------------------------ Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 4,5,15 10,800,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 3,226,000 3,105,025 9.625% Sr. Nts., 6/1/14 1,368,000 1,224,360 9.75% Sr. Nts., 4/15/13 1,050,000 950,250 - ------------------------------------------------------------------------------------------------------------------------------------ Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,325,000 9,718,406 6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,489,150 - ------------------------------------------------------------------------------------------------------------------------------------ Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,266,750 - ------------------------------------------------------------------------------------------------------------------------------------ Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,858,000 4,176,285
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE Continued Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 $ 1,500,000 $ 1,473,750 - ------------------------------------------------------------------------------------------------------------------------------------ Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 10,403,000 10,142,925 ---------------- 136,205,533 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES--0.4% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,554,000 - ------------------------------------------------------------------------------------------------------------------------------------ D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,010,792 - ------------------------------------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,760,955 - ------------------------------------------------------------------------------------------------------------------------------------ KB Home: 8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,547,898 9.50% Sr. Unsec. Sub. Nts., 2/15/11 1,200,000 1,231,500 - ------------------------------------------------------------------------------------------------------------------------------------ Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 1,971,000 2,020,275 - ------------------------------------------------------------------------------------------------------------------------------------ Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 1,964,250 - ------------------------------------------------------------------------------------------------------------------------------------ Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 1,977,938 - ------------------------------------------------------------------------------------------------------------------------------------ WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,213,000 - ------------------------------------------------------------------------------------------------------------------------------------ William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,256,925 ---------------- 28,537,533 - ------------------------------------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS--0.1% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 3,450,000 3,415,500 - ------------------------------------------------------------------------------------------------------------------------------------ Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,925,675 ---------------- 5,341,175 - ------------------------------------------------------------------------------------------------------------------------------------ MEDIA--3.8% Adelphia Communications Corp.: 7.875% Sr. Unsec. Nts., 5/1/09 4,15 1,400,000 857,500 8.125% Sr. Nts., Series B, 7/15/03 4,15 2,325,000 1,447,313 8.375% Sr. Nts., Series B, 2/1/08 4,15 4,236,000 2,636,910 9.25% Sr. Unsec. Nts., Series B, 10/1/02 4,15 6,065,000 3,760,300 9.875% Sr. Nts., Series B, 3/1/07 4,15 1,800,000 1,120,500 10.25% Sr. Unsec. Sub. Nts., 6/15/11 4,15 800,000 522,000 10.875% Sr. Unsec. Nts., 10/1/10 4,15 200,000 124,500 - ------------------------------------------------------------------------------------------------------------------------------------ Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,299,075 - ------------------------------------------------------------------------------------------------------------------------------------ AMC Entertainment, Inc.: 8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,464,750 9.50% Sr. Unsec. Sub. Nts., 2/1/11 3,409,000 3,421,784 - ------------------------------------------------------------------------------------------------------------------------------------ American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 860,438 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 3,750,000 3,506,250 - ------------------------------------------------------------------------------------------------------------------------------------ Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 2 2,290,000 2,244,200
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MEDIA Continued Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp.: 10.25% Sr. Unsec. Nts., 9/15/10 $ 1,300,000 $ 1,332,500 10.25% Sr. Unsec. Nts., Series B, 9/15/10 3,830,000 3,906,600 - ------------------------------------------------------------------------------------------------------------------------------------ Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 2 20,029,000 20,454,616 - ------------------------------------------------------------------------------------------------------------------------------------ Cinemark USA, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/13 2,229,000 2,323,733 - ------------------------------------------------------------------------------------------------------------------------------------ Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 13 7,129,000 5,721,023 - ------------------------------------------------------------------------------------------------------------------------------------ CSC Holdings, Inc.: 7.25% Sr. Nts., 4/15/12 2 2,950,000 2,953,688 7.625% Sr. Unsec. Debs., 7/15/18 900,000 925,875 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 6,419,000 6,619,594 - ------------------------------------------------------------------------------------------------------------------------------------ Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,489,100 - ------------------------------------------------------------------------------------------------------------------------------------ Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 2,509,000 2,603,088 9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,807,635 - ------------------------------------------------------------------------------------------------------------------------------------ Dex Media, Inc.: 0%/9% Unsec. Disc. Nts., 11/15/13 13 3,600,000 3,051,000 8% Unsec. Nts., 11/15/13 14,633,000 14,596,418 - ------------------------------------------------------------------------------------------------------------------------------------ DirecTV Holdings LLC/DirecTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 6/15/15 2,700,000 2,551,500 - ------------------------------------------------------------------------------------------------------------------------------------ EchoStar DBS Corp.: 6.625% Sr. Unsec. Nts., 10/1/14 6,188,000 5,901,805 7% Sr. Nts., 10/1/13 2,3 2,150,000 2,112,375 7.125% Sr. Nts., 2/1/16 2 2,200,000 2,136,750 - ------------------------------------------------------------------------------------------------------------------------------------ Emmis Operating Co., 6.875% Sr. Unsec. Sub. Nts., 5/15/12 3,296,000 3,308,360 - ------------------------------------------------------------------------------------------------------------------------------------ Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,888,906 - ------------------------------------------------------------------------------------------------------------------------------------ Granite Broadcasting Corp., 9.75% Sr. Sec. Nts., 12/1/10 648,000 602,640 - ------------------------------------------------------------------------------------------------------------------------------------ Lamar Media Corp.: 6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,023,000 3,877,166 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,820,250 - ------------------------------------------------------------------------------------------------------------------------------------ Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,030,938 - ------------------------------------------------------------------------------------------------------------------------------------ Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 13 7,400,000 5,698,000 - ------------------------------------------------------------------------------------------------------------------------------------ Mediacom Broadband LLC, 8.50% Sr. Nts., 10/15/15 2,3 4,910,000 4,903,863 - ------------------------------------------------------------------------------------------------------------------------------------ Mediacom Broadband LLC/Mediacom Broadband Corp., 8.50% Sr. Nts., 10/15/15 1,895,000 1,892,631 - ------------------------------------------------------------------------------------------------------------------------------------ Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,855,000 4,988,513 - ------------------------------------------------------------------------------------------------------------------------------------ MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14 1,900,000 1,686,250 6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,440,750 - ------------------------------------------------------------------------------------------------------------------------------------ Nielsen Finance LLC/Nielsen Finance Co.: 0%/12.50% Sr. Sub. Disc. Nts., 8/1/16 2,13 5,360,000 3,169,100 10% Sr. Nts., 8/1/14 2 7,265,000 7,546,519
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MEDIA Continued NTL Cable plc, 9.125% Sr. Nts., 8/15/16 $ 1,475,000 $ 1,530,313 - ------------------------------------------------------------------------------------------------------------------------------------ Paxson Communications Corp., 11.757% Sr. Sec. Nts., 1/15/13 1,5 4,225,000 4,277,813 - ------------------------------------------------------------------------------------------------------------------------------------ PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 5,317,000 4,851,763 8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,687,935 - ------------------------------------------------------------------------------------------------------------------------------------ Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,600,000 1,548,000 - ------------------------------------------------------------------------------------------------------------------------------------ R.H. Donnelley Corp.: 6.875% Sr. Disc. Nts., Series A-1, 1/15/13 10,815,000 9,922,763 6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,155,000 9,317,213 6.875% Sr. Nts., 1/15/13 6,800,000 6,239,000 8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 11,110,000 11,193,325 - ------------------------------------------------------------------------------------------------------------------------------------ R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 2 4,340,000 4,795,700 - ------------------------------------------------------------------------------------------------------------------------------------ Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,070,540 - ------------------------------------------------------------------------------------------------------------------------------------ Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,999,000 2,148,925 - ------------------------------------------------------------------------------------------------------------------------------------ Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 13,429,808 - ------------------------------------------------------------------------------------------------------------------------------------ Sinclair Broadcast Group, Inc.: 8% Sr. Unsec. Sub. Nts., 3/15/12 11,275,000 11,486,406 8.75% Sr. Sub. Nts., 12/15/11 1,100,000 1,152,250 - ------------------------------------------------------------------------------------------------------------------------------------ Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 800,000 786,000 - ------------------------------------------------------------------------------------------------------------------------------------ Vertis, Inc.: 9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,716,408 10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,100,000 3,131,000 - ------------------------------------------------------------------------------------------------------------------------------------ Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,254,000 - ------------------------------------------------------------------------------------------------------------------------------------ WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 13 9,185,000 6,888,750 - ------------------------------------------------------------------------------------------------------------------------------------ XM Satellite Radio, Inc., 9.75% Sr. Nts., 5/1/14 2 800,000 772,000 ---------------- 265,806,618 - ------------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL--0.2% Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 7,700,000 7,526,750 - ------------------------------------------------------------------------------------------------------------------------------------ Neiman Marcus Group, Inc. (The): 9% Sr. Unsec. Nts., 10/15/15 6,770,000 7,226,975 10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,060,000 2,235,100 ---------------- 16,988,825 - ------------------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL--0.3% Asbury Automotive Group, Inc., 9% Sr. Sub. Nts., 6/15/12 5,880,000 6,049,050 - ------------------------------------------------------------------------------------------------------------------------------------ Atlantic Broadband Finance LLC, 9.375% Sr. Unsec. Sub. Nts., 1/15/14 1,000,000 982,500 - ------------------------------------------------------------------------------------------------------------------------------------ Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,119,063 - ------------------------------------------------------------------------------------------------------------------------------------ Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 4,5,15 4,300,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ Linens 'N Things, Inc., 11.132% Sr. Sec. Nts., 1/15/14 1,2 4,635,000 4,495,950
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL Continued Petco Animal Supplies, Inc., 10.75% Sr. Sub. Nts., 11/1/11 5 $ 3,851,000 $ 4,082,060 - ------------------------------------------------------------------------------------------------------------------------------------ Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,666,500 ---------------- 20,395,123 - ------------------------------------------------------------------------------------------------------------------------------------ TEXTILES, APPAREL & LUXURY GOODS--0.3% Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 5,830,000 6,194,375 - ------------------------------------------------------------------------------------------------------------------------------------ Levi Strauss & Co.: 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 3,888,000 4,053,240 10.258% Sr. Unsec. Unsub. Nts., 4/1/12 1 4,570,000 4,729,950 - ------------------------------------------------------------------------------------------------------------------------------------ Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 5 1,650,000 1,691,250 - ------------------------------------------------------------------------------------------------------------------------------------ Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,865,000 2,728,913 ---------------- 19,397,728 - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--1.0% - ------------------------------------------------------------------------------------------------------------------------------------ BEVERAGES--0.1% Constellation Brands, Inc.: 7.25% Sr. Nts., 9/1/16 1,635,000 1,661,569 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,103,469 ---------------- 3,765,038 - ------------------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--0.2% Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,697,000 6,479,348 - ------------------------------------------------------------------------------------------------------------------------------------ Real Time Data Co., 11% Disc. Nts., 5/31/09 4,5,15 8,836,185 -- - ------------------------------------------------------------------------------------------------------------------------------------ Rite Aid Corp.: 8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,829,508 9.50% Sr. Sec. Nts., 2/15/11 3,225,000 3,349,969 ---------------- 13,658,825 - ------------------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.3% Del Monte Corp.: 6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,285,250 8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,167,581 - ------------------------------------------------------------------------------------------------------------------------------------ Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 1,838,000 1,805,835 8.875% Sr. Unsec. Nts., 3/15/11 623,000 599,638 - ------------------------------------------------------------------------------------------------------------------------------------ Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 3,500,000 3,176,250 - ------------------------------------------------------------------------------------------------------------------------------------ Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,402,720 8% Sr. Nts., Series B, 10/15/09 1,300,000 1,365,000 - ------------------------------------------------------------------------------------------------------------------------------------ United Biscuits Finance plc, 10.75% Sr. Sub. Nts., 4/15/11 [GBP] 4,351,000 8,594,832 ---------------- 24,397,106
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS--0.1% Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 $ 2,000,000 $ 1,925,000 - ------------------------------------------------------------------------------------------------------------------------------------ Nutro Products, Inc., 10.75% Sr. Sub. Nts., 4/15/14 2 1,460,000 1,569,500 - ------------------------------------------------------------------------------------------------------------------------------------ Spectrum Brands, Inc., 7.375% Sr. Unsec. Sub. Nts., 2/1/15 2,550,000 2,052,750 ---------------- 5,547,250 - ------------------------------------------------------------------------------------------------------------------------------------ PERSONAL PRODUCTS--0.2% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 3,800,000 3,743,000 - ------------------------------------------------------------------------------------------------------------------------------------ Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 3,092,000 3,223,410 9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,588,000 3,767,400 ---------------- 10,733,810 - ------------------------------------------------------------------------------------------------------------------------------------ TOBACCO--0.1% Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 2 8,170,000 8,448,009 - ------------------------------------------------------------------------------------------------------------------------------------ ENERGY--3.7% - ------------------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--0.2% Basic Energy Services, Inc., 7.125% Sr. Nts., 4/15/16 2 1,600,000 1,552,000 - ------------------------------------------------------------------------------------------------------------------------------------ Dresser, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/11 1 1,829,000 1,922,736 - ------------------------------------------------------------------------------------------------------------------------------------ Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,149,500 - ------------------------------------------------------------------------------------------------------------------------------------ Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 821,123 - ------------------------------------------------------------------------------------------------------------------------------------ PHI, Inc., 7.125% Sr. Nts., 4/15/13 2 1,920,000 1,828,800 - ------------------------------------------------------------------------------------------------------------------------------------ RathGibson, Inc., 11.25% Sr. Nts., 2/15/14 2 1,590,000 1,645,650 - ------------------------------------------------------------------------------------------------------------------------------------ Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,322,013 ---------------- 12,241,822 - ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS--3.5% Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,166,165 - ------------------------------------------------------------------------------------------------------------------------------------ Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 1,635,000 1,671,788 - ------------------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp.: 6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 1,920,000 6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,359,723 - ------------------------------------------------------------------------------------------------------------------------------------ Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 640,000 579,200 - ------------------------------------------------------------------------------------------------------------------------------------ Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,345,000 6,154,650 - ------------------------------------------------------------------------------------------------------------------------------------ Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 950,000 966,625 - ------------------------------------------------------------------------------------------------------------------------------------ El Paso Corp., 7.875% Sr. Unsec. Nts., 6/15/12 6,140,000 6,400,950 - ------------------------------------------------------------------------------------------------------------------------------------ El Paso Energy Corp., 7.625% Nts., 7/15/11 4,453,000 4,586,590 - ------------------------------------------------------------------------------------------------------------------------------------ El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,240,065 - ------------------------------------------------------------------------------------------------------------------------------------ Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,623,550 - ------------------------------------------------------------------------------------------------------------------------------------ Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 909,000 - ------------------------------------------------------------------------------------------------------------------------------------ Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,775,000 2,788,875
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS Continued Gaz Capital SA, 8.625% Sr. Unsec. Nts., 4/28/34 2 $ 23,680,000 $ 29,540,800 - ------------------------------------------------------------------------------------------------------------------------------------ Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,535,000 1,596,400 - ------------------------------------------------------------------------------------------------------------------------------------ Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 1,620,000 1,474,200 - ------------------------------------------------------------------------------------------------------------------------------------ National Gas Co., 6.05% Nts., 1/15/36 2 8,195,000 7,893,162 - ------------------------------------------------------------------------------------------------------------------------------------ Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 3,600,000 3,541,500 - ------------------------------------------------------------------------------------------------------------------------------------ Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec. Nts., 9/15/15 640,000 633,600 - ------------------------------------------------------------------------------------------------------------------------------------ Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,343,230 - ------------------------------------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust: 7.375% Unsec. Unsub. Nts., 12/15/14 8,661,000 9,384,194 8.50% Unsub. Nts., 2/15/08 3,586,000 3,717,786 9.125% Unsec. Unsub. Nts., 10/13/10 7,746,000 8,691,012 - ------------------------------------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 27,864,373 27,468,671 - ------------------------------------------------------------------------------------------------------------------------------------ Pogo Producing Co., 7.875% Sr. Sub. Nts., 5/1/13 2 1,610,000 1,648,238 - ------------------------------------------------------------------------------------------------------------------------------------ Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,792,249 - ------------------------------------------------------------------------------------------------------------------------------------ Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,200,000 4,000,500 - ------------------------------------------------------------------------------------------------------------------------------------ Range Resources Corp.: 6.375% Sr. Sub. Nts., 3/15/15 2,465,000 2,354,075 7.50% Sr. Sub. Nts., 5/15/16 6,525,000 6,590,250 - ------------------------------------------------------------------------------------------------------------------------------------ Southern Natural Gas Co.: 7.35% Nts., 2/15/31 5,502,000 5,728,814 8% Sr. Unsub. Nts., 3/1/32 4,332,000 4,811,245 8.875% Sr. Nts., 3/15/10 2,599,000 2,738,475 - ------------------------------------------------------------------------------------------------------------------------------------ Stone Energy Corp.: 6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 3,165,750 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,017,500 - ------------------------------------------------------------------------------------------------------------------------------------ Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,265,000 3,273,163 - ------------------------------------------------------------------------------------------------------------------------------------ Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,040,500 - ------------------------------------------------------------------------------------------------------------------------------------ Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 17,587,000 17,499,065 - ------------------------------------------------------------------------------------------------------------------------------------ Tennessee Gas Pipeline Co., 7.50% Bonds, 4/1/17 12,126,000 12,831,685 - ------------------------------------------------------------------------------------------------------------------------------------ Tesoro Corp.: 6.25% Sr. Nts., 11/1/12 2 2,450,000 2,373,438 6.625% Sr. Nts., 11/1/15 2 3,750,000 3,628,125 - ------------------------------------------------------------------------------------------------------------------------------------ Transcontinental Gas Pipe Line Corp., 6.40% Sr. Nts., 4/15/16 2 2,240,000 2,226,000 - ------------------------------------------------------------------------------------------------------------------------------------ Whiting Petroleum Corp.: 7.25% Sr. Sub. Nts., 5/1/12 2,000,000 1,970,000 7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 591,000 - ------------------------------------------------------------------------------------------------------------------------------------ Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 9,762,000 10,054,860 7.625% Nts., 7/15/19 600,000 627,000 8.75% Unsec. Nts., 3/15/32 3,825,000 4,207,500
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ OIL & GAS Continued Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 5 $ 1,100,000 $ 1,094,500 ---------------- 246,915,668 - ------------------------------------------------------------------------------------------------------------------------------------ FINANCIALS--3.4% - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS--0.2% Berry Plastics Holding Corp.: 8.875% Sr. Sec. Nts., 9/15/14 2 2,450,000 2,474,500 9.265% Sr. Sec. Nts., 9/15/14 1,2 2,450,000 2,474,500 - ------------------------------------------------------------------------------------------------------------------------------------ DeCrane Aircraft Holdings, Inc., 12% Sr. Unsec. Sub. Nts., Series B, 9/30/08 5 800,000 604,000 - ------------------------------------------------------------------------------------------------------------------------------------ E*TRADE Financial Corp.: 7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,009,790 8% Sr. Nts., 6/15/11 2,710,000 2,818,400 ---------------- 10,381,190 - ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--1.9% Banco BMG SA, 9.15% Nts., 1/15/16 2 16,590,000 16,672,950 - ------------------------------------------------------------------------------------------------------------------------------------ Bank Plus Corp., 12% Sr. Nts., 7/18/07 5 4,012,000 4,312,900 - ------------------------------------------------------------------------------------------------------------------------------------ HSBC Bank plc: 9.751% Sr. Unsec. Nts., 7/8/09 8 16,420,000 9,852,000 11.601% Sr. Unsec. Nts., 1/12/10 8 21,550,000 10,947,400 12.278% Sr. Unsec. Nts., 3/9/09 8 16,420,000 9,342,980 - ------------------------------------------------------------------------------------------------------------------------------------ Inter-American Development Bank: 6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,140,527 7.889% Nts., 1/25/12 1 [COP] 7,054,142,895 3,140,448 - ------------------------------------------------------------------------------------------------------------------------------------ Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 5 12,565,000 12,879,125 - ------------------------------------------------------------------------------------------------------------------------------------ Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 4,5,15 4,970,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 2 14,210,000 14,813,925 - ------------------------------------------------------------------------------------------------------------------------------------ Salisbury International Investments Ltd., 9.657% Sec. Nts., Series 2006-003, Tranche E, 7/20/11 1,5 4,800,000 4,800,000 - ------------------------------------------------------------------------------------------------------------------------------------ UBS Luxembourg SA, 6.23% Sub. Nts., 2/11/15 1 18,020,000 18,185,063 - ------------------------------------------------------------------------------------------------------------------------------------ VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 20,590,000 20,744,425 ---------------- 128,831,743 - ------------------------------------------------------------------------------------------------------------------------------------ CONSUMER FINANCE--0.0% Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 2,3 615,000 625,763 - ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES--0.9% Affinia Group, Inc., 9% Sr. Unsec. Sub. Nts., 11/30/14 503,000 471,563 - ------------------------------------------------------------------------------------------------------------------------------------ Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 5 10,758,721 10,489,753 - ------------------------------------------------------------------------------------------------------------------------------------ BCP Crystal US Holdings Corp., 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,526,770 - ------------------------------------------------------------------------------------------------------------------------------------ Cloverie plc, 9.64% Sec. Nts., Series 2005-93, 12/20/10 1,5 6,400,000 6,408,960
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES Continued Credit Suisse First Boston International, Export-Import Bank of Ukraine Loan Participation Nts., 8.40%, 2/9/16 $ 12,520,000 $ 12,213,260 - ------------------------------------------------------------------------------------------------------------------------------------ Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp., 0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 13 3,290,000 2,685,463 - ------------------------------------------------------------------------------------------------------------------------------------ Halyk Savings Bank Kazakhstan Europe BV, 7.75% Nts., 5/13/13 2 3,035,000 3,103,288 - ------------------------------------------------------------------------------------------------------------------------------------ Itabo Finance SA, 10.875% Nts., 10/5/13 2,3 2,602,000 2,649,096 - ------------------------------------------------------------------------------------------------------------------------------------ JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 2,921,250 - ------------------------------------------------------------------------------------------------------------------------------------ Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 4,815,000 4,802,963 - ------------------------------------------------------------------------------------------------------------------------------------ Reachcom Public Ltd., Renaissance Consumer Finance Bank of Russia Loan Participation Nts., 10.50%, 7/27/07 5 [RUR] 83,000,000 3,102,159 - ------------------------------------------------------------------------------------------------------------------------------------ Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 5,13 14,015,000 4,905,250 - ------------------------------------------------------------------------------------------------------------------------------------ Universal City Florida: 8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,008,750 10.239% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,032,500 ---------------- 60,321,025 - ------------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE--0.1% Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,011,000 4,266,701 - ------------------------------------------------------------------------------------------------------------------------------------ Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,729,375 - ------------------------------------------------------------------------------------------------------------------------------------ Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,835,000 1,855,644 ---------------- 9,851,720 - ------------------------------------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE--0.3% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 5 7,210,000 7,372,225 - ------------------------------------------------------------------------------------------------------------------------------------ Bankunited Capital Trust, 10.25% Capital Securities, 12/31/26 5 9,675,000 10,207,125 - ------------------------------------------------------------------------------------------------------------------------------------ Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5 5,054,000 5,344,605 ---------------- 22,923,955 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE--1.1% - ------------------------------------------------------------------------------------------------------------------------------------ BIOTECHNOLOGY--0.0% Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 2 1,605,000 1,532,775 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES--0.1% Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2,000,000 1,980,000 - ------------------------------------------------------------------------------------------------------------------------------------ Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,488,745 ---------------- 4,468,745 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES--1.0% AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 2,977,740 - ------------------------------------------------------------------------------------------------------------------------------------ Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,105,799 - ------------------------------------------------------------------------------------------------------------------------------------ DaVita, Inc.: 6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,267,563 7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,194,250
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES Continued Extendicare Health Services, Inc.: 6.875% Sr. Sub. Nts., 5/1/14 $ 1,350,000 $ 1,451,250 9.50% Sr. Unsec. Sub. Nts., 7/1/10 1,929,000 2,032,684 - ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,148,340 - ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 5 [DEM] 1,700,000 1,140,764 - ------------------------------------------------------------------------------------------------------------------------------------ Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Securities, 6/15/11 5 2,888,000 2,978,250 - ------------------------------------------------------------------------------------------------------------------------------------ Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 5 1,450,000 1,511,625 - ------------------------------------------------------------------------------------------------------------------------------------ HCA, Inc.: 6.30% Sr. Unsec. Nts., 10/1/12 4,007,000 3,400,941 6.375% Nts., 1/15/15 6,048,000 4,898,880 - ------------------------------------------------------------------------------------------------------------------------------------ HEALTHSOUTH Corp., 10.75% Sr. Nts., 6/15/16 2 2,545,000 2,611,806 - ------------------------------------------------------------------------------------------------------------------------------------ Omnicare, Inc.: 6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,265,863 6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,581,525 - ------------------------------------------------------------------------------------------------------------------------------------ Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,572,900 - ------------------------------------------------------------------------------------------------------------------------------------ Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 8,285,000 7,021,538 - ------------------------------------------------------------------------------------------------------------------------------------ Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 3,170,000 2,801,488 7.375% Nts., 2/1/13 118,000 106,938 9.875% Sr. Nts., 7/1/14 10,584,000 10,597,230 - ------------------------------------------------------------------------------------------------------------------------------------ Triad Hospitals, Inc., 7% Sr. Sub. Nts., 11/15/13 1,585,000 1,547,356 - ------------------------------------------------------------------------------------------------------------------------------------ US Oncology, Inc.: 9% Sr. Unsec. Nts., 8/15/12 100,000 104,000 10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 110,000 - ------------------------------------------------------------------------------------------------------------------------------------ Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 13 5,600,000 4,060,000 ---------------- 69,488,730 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS--1.8% - ------------------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE--0.3% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,160,000 - ------------------------------------------------------------------------------------------------------------------------------------ BE Aerospace, Inc., 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 3,688,313 7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,132,200 - ------------------------------------------------------------------------------------------------------------------------------------ L-3 Communications Corp.: 5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,876,345 6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,755,000 6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,165,163 7.625% Sr. Sub. Nts., 6/15/12 600,000 621,000
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE Continued TRW Automotive, Inc.: 9.375% Sr. Nts., 2/15/13 $ 2,024,000 $ 2,165,680 11% Sr. Sub. Nts., 2/15/13 1,720,000 1,883,400 ---------------- 22,586,216 - ------------------------------------------------------------------------------------------------------------------------------------ AIRLINES--0.0% ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 4,5,15 11,115,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ BUILDING PRODUCTS--0.2% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,417,028 - ------------------------------------------------------------------------------------------------------------------------------------ Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,060,000 1,972,450 - ------------------------------------------------------------------------------------------------------------------------------------ Jacuzzi Brands, Inc., 9.625% Sr. Sec. Nts., 7/1/10 3,253,000 3,464,445 - ------------------------------------------------------------------------------------------------------------------------------------ Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,707,500 ---------------- 10,561,423 - ------------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--0.3% Allied Waste North America, Inc.: 7.25% Sr. Nts., 3/15/15 815,000 812,963 7.375% Sr. Sec. Nts., Series B, 4/15/14 8,000,000 7,920,000 9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 286,024 - ------------------------------------------------------------------------------------------------------------------------------------ American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 4,5,15 3,462,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,048,000 - ------------------------------------------------------------------------------------------------------------------------------------ Corrections Corp. of America: 6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,284,975 7.50% Sr. Nts., 5/1/11 1,500,000 1,541,250 - ------------------------------------------------------------------------------------------------------------------------------------ FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,3 2,150,000 2,182,250 - ------------------------------------------------------------------------------------------------------------------------------------ Mobile Services Group, Inc., 9.75% Sr. Nts., 8/1/14 2 490,000 504,700 ---------------- 19,580,162 - ------------------------------------------------------------------------------------------------------------------------------------ CONSTRUCTION & ENGINEERING--0.1% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 5 9,750,000 10,115,625 - ------------------------------------------------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT--0.2% Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 567,875 - ------------------------------------------------------------------------------------------------------------------------------------ Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,274,615 - ------------------------------------------------------------------------------------------------------------------------------------ Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 5 [BRR] 8,285,000 4,239,094 - ------------------------------------------------------------------------------------------------------------------------------------ General Cable Corp., 9.50% Sr. Nts., 11/15/10 1,000,000 1,075,000 - ------------------------------------------------------------------------------------------------------------------------------------ UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 2,411,000 2,543,605 ---------------- 10,700,189 - ------------------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--0.0% Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 2 1,950,000 1,901,250 - ------------------------------------------------------------------------------------------------------------------------------------ Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 336,600 ---------------- 2,237,850
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MACHINERY--0.2% Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 $ 2,550,000 $ 2,572,313 - ------------------------------------------------------------------------------------------------------------------------------------ Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,714,000 2,578,300 - ------------------------------------------------------------------------------------------------------------------------------------ Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 2,990,000 3,049,800 - ------------------------------------------------------------------------------------------------------------------------------------ Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 5 650,000 643,500 - ------------------------------------------------------------------------------------------------------------------------------------ Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 5 4,055,000 3,872,525 - ------------------------------------------------------------------------------------------------------------------------------------ Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,014,125 - ------------------------------------------------------------------------------------------------------------------------------------ Wolverine Tube, Inc.: 7.375% Sr. Nts., 8/1/08 2 600,000 513,000 10.50% Sr. Nts., 4/1/09 5 2,351,000 2,080,635 ---------------- 17,324,198 - ------------------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL--0.2% Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: 7.75% Sr. Nts., 5/15/16 2 1,595,000 1,547,150 7.905% Sr. Nts., 5/15/14 1,2 640,000 630,400 - ------------------------------------------------------------------------------------------------------------------------------------ Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,125,000 2,135,625 - ------------------------------------------------------------------------------------------------------------------------------------ Stena AB: 7% Sr. Unsec. Nts., 12/1/16 972,000 920,970 7.50% Sr. Unsec. Nts., 11/1/13 232,000 229,100 9.625% Sr. Nts., 12/1/12 5 3,820,000 4,125,600 - ------------------------------------------------------------------------------------------------------------------------------------ TDS Investor Corp., 11.875% Sr. Sub. Nts., 9/1/16 2 3,800,000 3,667,000 ---------------- 13,255,845 - ------------------------------------------------------------------------------------------------------------------------------------ TRADING COMPANIES & DISTRIBUTORS--0.3% Ashtead Capital, Inc., 9% Nts., 8/15/16 2 1,650,000 1,724,250 - ------------------------------------------------------------------------------------------------------------------------------------ H&E Equipment Services, Inc., 8.375% Sr. Nts., 7/15/16 2 1,815,000 1,869,450 - ------------------------------------------------------------------------------------------------------------------------------------ Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,645,000 1,673,788 - ------------------------------------------------------------------------------------------------------------------------------------ United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 15,909,000 15,034,005 ---------------- 20,301,493 - ------------------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY--1.2% - ------------------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT--0.3% Loral Skynet Corp., 14% Sr. Sec. Nts., 11/21/15 5,14 2,188,000 2,559,960 - ------------------------------------------------------------------------------------------------------------------------------------ Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 13,199,000 11,813,105 - ------------------------------------------------------------------------------------------------------------------------------------ Nortel Networks Ltd.: 9.731% Sr. Nts., 7/15/11 1,2 1,630,000 1,691,125 10.75% Sr. Nts., 7/15/16 2 1,300,000 1,397,500 - ------------------------------------------------------------------------------------------------------------------------------------ Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 4,15 12,679,000 127 ---------------- 17,461,817
47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS--0.1% Seagate Technology HDD Holdings: 6.375% Sr. Nts., 10/1/11 $ 3,060,000 $ 3,060,000 6.80% Sr. Nts., 10/1/16 920,000 920,000 8% Sr. Nts., 5/15/09 2,518,000 2,618,745 ---------------- 6,598,745 - ------------------------------------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3% Flextronics International Ltd., 6.25% Sr. Sub. Nts., 11/15/14 7,006,000 6,830,850 - ------------------------------------------------------------------------------------------------------------------------------------ RBS Global & Rexnord Corp.: 9.50% Sr. Nts., 8/1/14 5 3,280,000 3,345,600 11.75% Sr. Sub. Nts., 8/1/16 5 4,915,000 5,087,025 - ------------------------------------------------------------------------------------------------------------------------------------ Sanmina-SCI Corp.: 6.75% Unsec. Sub. Nts., 3/1/13 1,700,000 1,610,750 8.125% Sr. Sub. Nts., 3/1/16 3,970,000 3,910,450 - ------------------------------------------------------------------------------------------------------------------------------------ Solectron Global Finance Ltd., 8% Sr. Unsec. Sub. Nts., 3/15/16 2,225,000 2,213,875 ---------------- 22,998,550 - ------------------------------------------------------------------------------------------------------------------------------------ INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 4,5,15 [EUR] 2,116,376 -- - ------------------------------------------------------------------------------------------------------------------------------------ NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 4,5,15 2,081,799 -- - ------------------------------------------------------------------------------------------------------------------------------------ PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 4,5,15 [EUR] 6,650,000 -- ---------------- -- - ------------------------------------------------------------------------------------------------------------------------------------ IT SERVICES--0.3% DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts., Series B, 2/15/13 4,340,000 4,513,600 - ------------------------------------------------------------------------------------------------------------------------------------ iPayment Holdings, Inc., 9.75% Sr. Sub. Nts., 5/15/14 5 1,900,000 1,947,500 - ------------------------------------------------------------------------------------------------------------------------------------ Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,202,910 - ------------------------------------------------------------------------------------------------------------------------------------ SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 4,370,000 4,544,800 10.25% Sr. Unsec. Sub. Nts., 8/15/15 8,150,000 8,435,250 ---------------- 23,644,060 - ------------------------------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 11/1/12 6,701,000 6,818,268 - ------------------------------------------------------------------------------------------------------------------------------------ Amkor Technology, Inc., 7.75% Sr. Nts., 5/15/13 6,800,000 6,264,500 ---------------- 13,082,768
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ MATERIALS--3.0% - ------------------------------------------------------------------------------------------------------------------------------------ CHEMICALS--0.6% 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., 9/1/08 118,000 125,523 10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,455,703 - ------------------------------------------------------------------------------------------------------------------------------------ Georgia Gulf Corp., 10.75% Sr. Sub. Nts., 10/15/16 4,910,000 4,836,350 - ------------------------------------------------------------------------------------------------------------------------------------ Huntsman International LLC: 8.375% Sr. Sub. Nts., 1/1/15 1,2 1,811,000 1,838,165 10.125% Sr. Unsec. Sub. Nts., 7/1/09 4,243,000 4,327,860 - ------------------------------------------------------------------------------------------------------------------------------------ Huntsman LLC: 11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 806,605 11.625% Sr. Unsec. Nts., 10/15/10 76,000 84,360 - ------------------------------------------------------------------------------------------------------------------------------------ IMC Global, Inc., 10.875% Sr. Unsec. Nts., 8/1/13 5 118,000 132,160 - ------------------------------------------------------------------------------------------------------------------------------------ Ineos Group Holdings plc, 8.50% Nts., 2/15/16 2 3,650,000 3,494,875 - ------------------------------------------------------------------------------------------------------------------------------------ Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 1,090,000 1,087,275 - ------------------------------------------------------------------------------------------------------------------------------------ KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 13 2,650,000 1,961,000 - ------------------------------------------------------------------------------------------------------------------------------------ Lyondell Chemical Co.: 8% Sr. Unsec. Nts., 9/15/14 4,590,000 4,670,325 8.25% Sr. Unsec. Nts., 9/15/16 2,450,000 2,499,000 9.50% Sec. Nts., 12/15/08 70,000 72,363 10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,281,875 - ------------------------------------------------------------------------------------------------------------------------------------ Rockwood Specialties Group, Inc.: 7.50% Sr. Sub. Nts., 11/15/14 1,350,000 1,336,500 10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 940,625 - ------------------------------------------------------------------------------------------------------------------------------------ Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Unsec. Nts., 12/1/12 2 2,810,000 2,897,813 ---------------- 41,678,137 - ------------------------------------------------------------------------------------------------------------------------------------ CONSTRUCTION MATERIALS--0.1% NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 13 5,990,000 4,163,050 - ------------------------------------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING--1.1% Ball Corp., 6.625% Sr. Nts., 3/15/18 4,500,000 4,432,500 - ------------------------------------------------------------------------------------------------------------------------------------ Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 3,810,000 3,876,675 - ------------------------------------------------------------------------------------------------------------------------------------ Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,293,500 9.875% Sr. Unsec. Sub. Nts., 10/15/14 5,614,000 5,543,825 - ------------------------------------------------------------------------------------------------------------------------------------ Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5,738,000 5,895,795 9.50% Sr. Sub. Nts., 8/15/13 2,555,000 2,625,263 - ------------------------------------------------------------------------------------------------------------------------------------ Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 3,950,000 3,801,875 - ------------------------------------------------------------------------------------------------------------------------------------ MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 3,281,000 3,477,860
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING Continued Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 $ 2,792,000 $ 2,882,740 8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,666,540 8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,164,120 8.875% Sr. Sec. Nts., 2/15/09 5,700,000 5,885,250 - ------------------------------------------------------------------------------------------------------------------------------------ Pliant Corp., 11.85% Sr. Sec. Nts., 6/15/09 4 2,143,765 2,401,017 - ------------------------------------------------------------------------------------------------------------------------------------ Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 6,158,000 5,349,763 - ------------------------------------------------------------------------------------------------------------------------------------ Stone Container Corp.: 8.375% Sr. Nts., 7/1/12 3,145,000 3,034,925 9.75% Sr. Unsec. Nts., 2/1/11 6,879,000 7,119,765 - ------------------------------------------------------------------------------------------------------------------------------------ Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 2 960,000 1,080,000 - ------------------------------------------------------------------------------------------------------------------------------------ TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,084,990 ---------------- 74,616,403 - ------------------------------------------------------------------------------------------------------------------------------------ METALS & MINING--0.9% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,687,930 7.875% Sr. Unsec. Nts., 2/15/09 1,379,000 1,380,724 - ------------------------------------------------------------------------------------------------------------------------------------ Alrosa Finance SA: 8.875% Nts., 11/17/14 17,015,000 19,397,100 8.875% Nts., 11/17/14 2 8,645,000 9,855,300 - ------------------------------------------------------------------------------------------------------------------------------------ Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,065,275 - ------------------------------------------------------------------------------------------------------------------------------------ Gibraltar Industries, Inc., 8% Sr. Unsec. Sub. Nts., Series B, 12/1/15 5 1,970,000 1,960,150 - ------------------------------------------------------------------------------------------------------------------------------------ International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 4,5,15 1,586,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ IPSCO, Inc., 8.75% Sr. Nts., 6/1/13 1,000,000 1,070,000 - ------------------------------------------------------------------------------------------------------------------------------------ Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 2,974,000 3,354,003 - ------------------------------------------------------------------------------------------------------------------------------------ Jorgensen (Earle M.) Co., 9.75% Sr. Sec. Nts., 6/1/12 5,406,000 5,791,178 - ------------------------------------------------------------------------------------------------------------------------------------ Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2,172,000 2,362,050 - ------------------------------------------------------------------------------------------------------------------------------------ Northwest Pipeline Corp., 8.125% Sr. Nts., 3/1/10 1,100,000 1,149,500 - ------------------------------------------------------------------------------------------------------------------------------------ Novelis, Inc., 8.25% Sr. Nts., 2/15/15 1,2 7,180,000 6,856,900 - ------------------------------------------------------------------------------------------------------------------------------------ Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,202,031 - ------------------------------------------------------------------------------------------------------------------------------------ United States Steel Corp.: 9.75% Sr. Nts., 5/15/10 1,949,000 2,090,303 10.75% Sr. Nts., 8/1/08 3,197,000 3,472,741 ---------------- 66,695,185 - ------------------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS--0.3% Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 3,900,000 3,568,500 - ------------------------------------------------------------------------------------------------------------------------------------ Abitibi-Consolidated, Inc.: 8.55% Nts., 8/1/10 1,925,000 1,920,188 8.85% Unsec. Bonds, 8/1/30 1,200,000 1,014,000 - ------------------------------------------------------------------------------------------------------------------------------------ Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,511,250
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS Continued Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 $ 1,100,000 $ 1,086,250 - ------------------------------------------------------------------------------------------------------------------------------------ Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,309,000 - ------------------------------------------------------------------------------------------------------------------------------------ Inland Fiber Group LLC, 9.625% Sr. Unsec. Nts., 11/15/07 4,5,15 6,414,000 4,008,750 - ------------------------------------------------------------------------------------------------------------------------------------ JSG Holding plc, 11.50% Sr. Nts., 10/1/15 2,14 [EUR] 1,157,197 1,500,404 - ------------------------------------------------------------------------------------------------------------------------------------ Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 1,665,000 1,525,556 - ------------------------------------------------------------------------------------------------------------------------------------ Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,405,000 - ------------------------------------------------------------------------------------------------------------------------------------ Verso Paper Holdings LLC/Verson Paper, Inc.: 9.235%, Sr. Sec. Nts., 8/1/14 1,2 1,975,000 2,004,625 11.375% Sr. Sub. Nts., 8/1/16 2 1,975,000 1,970,063 ---------------- 23,823,586 - ------------------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES--2.3% - ------------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--1.2% Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 2 12,700,000 12,414,250 - ------------------------------------------------------------------------------------------------------------------------------------ Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 4,5,15 6,401,538 -- - ------------------------------------------------------------------------------------------------------------------------------------ Intelsat Bermuda Ltd., 11.25% Sr. Nts., 6/15/16 2 3,355,000 3,581,463 - ------------------------------------------------------------------------------------------------------------------------------------ Intelsat Subsidiary Holding Co. Ltd.: 8.25% Sr. Nts., 1/15/13 1 4,000,000 4,070,000 8.625% Sr. Nts., 1/15/15 1 3,595,000 3,693,863 - ------------------------------------------------------------------------------------------------------------------------------------ Level 3 Financing, Inc., 10.75% Sr. Unsec. Unsub. Nts., 10/15/11 800,000 841,000 - ------------------------------------------------------------------------------------------------------------------------------------ Nordic Telephone Co. Holdings ApS, 8.875% Sr. Nts., 5/1/16 2 1,590,000 1,679,438 - ------------------------------------------------------------------------------------------------------------------------------------ PanAmSat Corp.: 9% Sr. Nts., 6/15/16 2 3,280,000 3,394,800 9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,675,125 - ------------------------------------------------------------------------------------------------------------------------------------ Qwest Capital Funding, Inc.: 7.25% Unsec. Unsub. Nts., 2/15/11 2,200,000 2,211,000 7.90% Unsec. Nts., 8/15/10 5,197,000 5,365,903 - ------------------------------------------------------------------------------------------------------------------------------------ Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,507,500 - ------------------------------------------------------------------------------------------------------------------------------------ Qwest Corp.: 7.50% Sr. Nts., 10/1/14 2 3,275,000 3,397,813 8.875% Unsec. Unsub. Nts., 3/15/12 1 13,690,000 15,007,663 - ------------------------------------------------------------------------------------------------------------------------------------ Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 5 [PEN] 20,898,900 6,806,657 - ------------------------------------------------------------------------------------------------------------------------------------ Teligent, Inc., 11.50% Sr. Nts., 12/1/07 4,5,15 5,035,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 7,670,000 8,111,025 - ------------------------------------------------------------------------------------------------------------------------------------ Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,781,550 - ------------------------------------------------------------------------------------------------------------------------------------ Windstream Corp.: 8.125% Sr. Nts., 8/1/13 2 2,445,000 2,606,981 8.625% Sr. Nts., 8/1/16 2 2,445,000 2,628,375 ---------------- 84,774,406
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES--1.1% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 $ 200,000 $ 214,000 11% Sr. Unsec. Nts., 7/31/10 118,000 129,505 - ------------------------------------------------------------------------------------------------------------------------------------ American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 6,820,000 7,178,050 - ------------------------------------------------------------------------------------------------------------------------------------ American Tower Corp.: 7.125% Sr. Unsec. Nts., 10/15/12 750,000 772,500 7.50% Sr. Nts., 5/1/12 5 3,247,000 3,352,528 - ------------------------------------------------------------------------------------------------------------------------------------ CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 4,5,15 21,702,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ Centennial Cellular Operating Co. LLC/Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 6,810,000 7,269,675 - ------------------------------------------------------------------------------------------------------------------------------------ Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,054,188 - ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 3,294,000 3,281,648 9.757% Sr. Unsec. Nts., 10/15/12 1 955,000 978,875 - ------------------------------------------------------------------------------------------------------------------------------------ IWO Holdings, Inc., 9.257% Sr. Sec. Nts., 1/15/12 1 850,000 877,625 - ------------------------------------------------------------------------------------------------------------------------------------ Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 10 18,460,000 19,065,100 - ------------------------------------------------------------------------------------------------------------------------------------ Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 211,000 - ------------------------------------------------------------------------------------------------------------------------------------ Rogers Wireless, Inc.: 7.50% Sec. Nts., 3/15/15 4,931,000 5,288,498 8% Sr. Sub. Nts., 12/15/12 3,844,000 4,103,470 - ------------------------------------------------------------------------------------------------------------------------------------ Rural Cellular Corp.: 9.75% Sr. Sub. Nts., 1/15/10 10,663,000 10,782,959 9.875% Sr. Nts., 2/1/10 5,468,000 5,727,730 - ------------------------------------------------------------------------------------------------------------------------------------ UbiquiTel Operating Co., 9.875% Sr. Nts., 3/1/11 2,503,000 2,728,270 ---------------- 73,015,621 - ------------------------------------------------------------------------------------------------------------------------------------ UTILITIES--1.6% - ------------------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES--0.7% Edison Mission Energy: 7.50% Sr. Nts., 6/15/13 2 1,610,000 1,634,150 7.75% Sr. Nts., 6/15/16 2 2,255,000 2,294,463 - ------------------------------------------------------------------------------------------------------------------------------------ ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 403,000 417,681 - ------------------------------------------------------------------------------------------------------------------------------------ Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,787,848 - ------------------------------------------------------------------------------------------------------------------------------------ Mirant Americas Generation LLC, Escrow Shares, 5/1/07 5 2,214,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ MSW Energy Holdings LLC/MSW Energy Finance Co., Inc., 8.50% Sr. Sec. Nts., 9/1/10 1,650,000 1,707,750 - ------------------------------------------------------------------------------------------------------------------------------------ National Power Corp., 9.625% Unsec. Bonds, 5/15/28 11,790,000 13,640,865 - ------------------------------------------------------------------------------------------------------------------------------------ Reliant Energy, Inc., 6.75% Sr. Sec. Nts., 12/15/14 900,000 860,625 - ------------------------------------------------------------------------------------------------------------------------------------ Reliant Resources, Inc.: 9.25% Sr. Sec. Nts., 7/15/10 1,970,000 2,053,725 9.50% Sr. Sec. Nts., 7/15/13 4,460,000 4,649,550 - ------------------------------------------------------------------------------------------------------------------------------------ Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 6,894,000 6,931,379 ---------------- 45,978,036
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS--0.8% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 $ 8,898,000 $ 9,587,595 - ------------------------------------------------------------------------------------------------------------------------------------ Aes Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 5 3,330,000 3,446,550 - ------------------------------------------------------------------------------------------------------------------------------------ AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,647,706 2,833,045 - ------------------------------------------------------------------------------------------------------------------------------------ Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,130,000 3,063,488 8.375% Sr. Unsec. Nts., 5/1/16 3,195,000 3,266,888 8.75% Sr. Nts., 2/15/12 1,335,000 1,390,069 - ------------------------------------------------------------------------------------------------------------------------------------ Mirant Americas Generation LLC: 8.30% Sr. Unsec. Nts., 5/1/11 13,900,000 13,986,875 8.50% Sr. Unsec. Nts., 10/1/21 1,300,000 1,267,500 9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,760,750 - ------------------------------------------------------------------------------------------------------------------------------------ Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,384,693 3,589,890 - ------------------------------------------------------------------------------------------------------------------------------------ NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 14,525,000 14,470,531 ---------------- 59,663,181 - ------------------------------------------------------------------------------------------------------------------------------------ GAS UTILITIES--0.0% SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,300,000 1,298,951 - ------------------------------------------------------------------------------------------------------------------------------------ MULTI-UTILITIES & UNREGULATED POWER--0.1% CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 1,318,000 1,364,130 7.75% Sr. Nts., 8/1/10 1,650,000 1,740,750 8.50% Sr. Nts., 4/15/11 2,407,000 2,611,595 - ------------------------------------------------------------------------------------------------------------------------------------ NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 662,432 ---------------- 6,378,907 ---------------- Total Corporate Bonds and Notes (Cost $1,989,423,006) 1,943,278,223
SHARES - ------------------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS--0.5% - ------------------------------------------------------------------------------------------------------------------------------------ AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 5,14,15 338,141 -- - ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp., 6% Cv., Series F (converts into Dobson Communications Corp., Cl. A common stock), Non-Vtg. 2 8,195 1,372,663 - ------------------------------------------------------------------------------------------------------------------------------------ Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 5,15 43,000 -- - ------------------------------------------------------------------------------------------------------------------------------------ ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 5,14,15 5,773 -- - ------------------------------------------------------------------------------------------------------------------------------------ ION Media Networks, Inc.: 14.25% Cum., Non-Vtg. 5,14 1,873 15,642,725 9.75% Cv., Series AI 5,14,15 -- 3,173 - ------------------------------------------------------------------------------------------------------------------------------------ Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 5,14 19,310 3,871,655 - ------------------------------------------------------------------------------------------------------------------------------------ Pennsylvania Real Estate Investment Trust, 11% 51,500 2,842,800 - ------------------------------------------------------------------------------------------------------------------------------------ PTV, Inc., 10% Cum., Series A, Non-Vtg. 300 885
53 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ PREFERRED STOCKS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Rural Cellular Corp., 11.375% Cum., Series B, Non-Vtg. 5,14 2,511 $ 3,057,143 - ------------------------------------------------------------------------------------------------------------------------------------ Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 5 61,550 8,693,938 ---------------- Total Preferred Stocks (Cost $45,340,232) 35,484,982 - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS--2.1% - ------------------------------------------------------------------------------------------------------------------------------------ 3i Group plc 75,701 1,325,962 - ------------------------------------------------------------------------------------------------------------------------------------ American Tower Corp. 15 90,209 3,292,629 - ------------------------------------------------------------------------------------------------------------------------------------ Anglo American plc 30,900 1,300,919 - ------------------------------------------------------------------------------------------------------------------------------------ ATA Holdings Corp. 5,15 30,231 453,465 - ------------------------------------------------------------------------------------------------------------------------------------ BASF AG 16,527 1,327,005 - ------------------------------------------------------------------------------------------------------------------------------------ Bayer AG 27,682 1,407,601 - ------------------------------------------------------------------------------------------------------------------------------------ Beverly Hills Bancorp, Inc. 539,100 4,399,056 - ------------------------------------------------------------------------------------------------------------------------------------ BNP Paribas SA 12,860 1,383,664 - ------------------------------------------------------------------------------------------------------------------------------------ British Airways plc 15 175,350 1,401,907 - ------------------------------------------------------------------------------------------------------------------------------------ British Land Co. plc 52,770 1,347,681 - ------------------------------------------------------------------------------------------------------------------------------------ Brixton plc 136,800 1,354,963 - ------------------------------------------------------------------------------------------------------------------------------------ Cebridge Connections Holding LLC 5,15 56,470 -- - ------------------------------------------------------------------------------------------------------------------------------------ Charles River Laboratories International, Inc. 15 43,520 1,889,203 - ------------------------------------------------------------------------------------------------------------------------------------ Charter plc 15 93,910 1,499,845 - ------------------------------------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp. 431,648 12,509,159 - ------------------------------------------------------------------------------------------------------------------------------------ Chiquita Brands International, Inc. 88,293 1,181,360 - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc. 1,106 54,935 - ------------------------------------------------------------------------------------------------------------------------------------ Commerzbank AG 39,240 1,329,545 - ------------------------------------------------------------------------------------------------------------------------------------ Corus Group plc 183,620 1,333,943 - ------------------------------------------------------------------------------------------------------------------------------------ Covad Communications Group, Inc. 15 174,581 260,126 - ------------------------------------------------------------------------------------------------------------------------------------ Credit Agricole SA 33,760 1,482,921 - ------------------------------------------------------------------------------------------------------------------------------------ Daiwa Securities Group, Inc. 116,000 1,359,847 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Boerse AG 9,001 1,352,530 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Lufthansa AG 69,285 1,467,214 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Telekom AG 93,817 1,490,632 - ------------------------------------------------------------------------------------------------------------------------------------ Dobson Communications Corp., Cl. A 15 442,193 3,104,195 - ------------------------------------------------------------------------------------------------------------------------------------ Eagle Materials, Inc. 6,792 228,755 - ------------------------------------------------------------------------------------------------------------------------------------ El Paso Corp. 146,000 1,991,440 - ------------------------------------------------------------------------------------------------------------------------------------ Etablissements Economiques du Casino Guichard-Perrachon SA 15,990 1,288,551 - ------------------------------------------------------------------------------------------------------------------------------------ Euronext NV 15,250 1,482,244 - ------------------------------------------------------------------------------------------------------------------------------------ France Telecom SA 64,600 1,482,685 - ------------------------------------------------------------------------------------------------------------------------------------ Fujikura Ltd. 9 116,000 1,274,948 - ------------------------------------------------------------------------------------------------------------------------------------ Furukawa Electric Co., Ltd. (The) 199,762 1,325,710
54 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE SHARES SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Globix Corp. 15 107,797 $ 501,256 - ------------------------------------------------------------------------------------------------------------------------------------ Great Portland Estates plc 15 127,480 1,444,053 - ------------------------------------------------------------------------------------------------------------------------------------ Hammerson plc 56,620 1,390,879 - ------------------------------------------------------------------------------------------------------------------------------------ ICO Global Communication Holdings Ltd. 15 300,766 1,759,481 - ------------------------------------------------------------------------------------------------------------------------------------ Investec plc 107,120 1,051,966 - ------------------------------------------------------------------------------------------------------------------------------------ iPCS, Inc. 15 81,469 4,362,665 - ------------------------------------------------------------------------------------------------------------------------------------ Ishikawajima-Harima Heavy Industries Co. Ltd. 474,000 1,456,082 - ------------------------------------------------------------------------------------------------------------------------------------ JFE Holdings, Inc. 9 33,800 1,324,817 - ------------------------------------------------------------------------------------------------------------------------------------ Kaiser Aluminum Corp. 15 28,135 1,247,506 - ------------------------------------------------------------------------------------------------------------------------------------ Ladish Co., Inc. 15 30,000 866,400 - ------------------------------------------------------------------------------------------------------------------------------------ Leap Wireless International, Inc. 15 28,354 1,374,885 - ------------------------------------------------------------------------------------------------------------------------------------ Legal & General Group plc 5,320 14,194 - ------------------------------------------------------------------------------------------------------------------------------------ Liberty Global, Inc., Series A 15 117,510 3,024,707 - ------------------------------------------------------------------------------------------------------------------------------------ Liberty Global, Inc., Series C 15 119,172 2,986,450 - ------------------------------------------------------------------------------------------------------------------------------------ London Stock Exchange Group plc 62,470 1,445,691 - ------------------------------------------------------------------------------------------------------------------------------------ Loral Space & Communications Ltd. 15 136,709 3,598,181 - ------------------------------------------------------------------------------------------------------------------------------------ Manitowoc Co., Inc. (The) 16,184 724,881 - ------------------------------------------------------------------------------------------------------------------------------------ Mirant Corp. 15 12,550 342,741 - ------------------------------------------------------------------------------------------------------------------------------------ Mitchells & Butlers plc 1,260 13,907 - ------------------------------------------------------------------------------------------------------------------------------------ Mitsubishi Heavy Industries Ltd. 328,815 1,365,539 - ------------------------------------------------------------------------------------------------------------------------------------ Mitsubishi Materials Corp. 9 317,000 1,312,427 - ------------------------------------------------------------------------------------------------------------------------------------ Mittal Steel Co. NV 56,749 1,981,800 - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley 20,600 1,501,946 - ------------------------------------------------------------------------------------------------------------------------------------ Muenchener Rueckversicherungs-Gesellschaft AG 9,050 1,431,617 - ------------------------------------------------------------------------------------------------------------------------------------ Nippon Kayaku Co. Ltd. 159,000 1,347,378 - ------------------------------------------------------------------------------------------------------------------------------------ Nippon Mining Holdings, Inc. 9 187,000 1,326,901 - ------------------------------------------------------------------------------------------------------------------------------------ Nomura Securities Co. Ltd. 71,300 1,255,484 - ------------------------------------------------------------------------------------------------------------------------------------ NTL, Inc. 602,120 15,311,912 - ------------------------------------------------------------------------------------------------------------------------------------ Odakyu Electric Railway Co. Ltd. 216,000 1,373,257 - ------------------------------------------------------------------------------------------------------------------------------------ Orbital Sciences Corp. 15 59,993 1,126,069 - ------------------------------------------------------------------------------------------------------------------------------------ PagesJaunes Groupe SA 47,810 1,358,015 - ------------------------------------------------------------------------------------------------------------------------------------ Pioneer Corp. 72,071 1,273,007 - ------------------------------------------------------------------------------------------------------------------------------------ Polymer Group, Inc., Cl. A 15 16,137 415,528 - ------------------------------------------------------------------------------------------------------------------------------------ Prandium, Inc. 5,15,16 1,034,256 8,274 - ------------------------------------------------------------------------------------------------------------------------------------ Premier Holdings Ltd. 5,15 799,833 -- - ------------------------------------------------------------------------------------------------------------------------------------ ProSieben Sat.1 Media AG 50,901 1,413,540 - ------------------------------------------------------------------------------------------------------------------------------------ Resolution plc 121,050 1,399,546
55 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS Continued - ------------------------------------------------------------------------------------------------------------------------------------ Royal & Sun Alliance Insurance Group plc 520,050 $ 1,450,831 - ------------------------------------------------------------------------------------------------------------------------------------ Salzgitter AG 15,303 1,439,853 - ------------------------------------------------------------------------------------------------------------------------------------ Shinko Securities Co. Ltd. 342,000 1,359,165 - ------------------------------------------------------------------------------------------------------------------------------------ Showa Shell Sekiyu K.K. 122,000 1,359,170 - ------------------------------------------------------------------------------------------------------------------------------------ Societe Generale, Cl. A 8,500 1,352,697 - ------------------------------------------------------------------------------------------------------------------------------------ Star Gas Partners LP 15 220 548 - ------------------------------------------------------------------------------------------------------------------------------------ Sterling Chemicals, Inc. 5,15 10,861 142,279 - ------------------------------------------------------------------------------------------------------------------------------------ Sumitomo Metal Industries 9 334,960 1,289,041 - ------------------------------------------------------------------------------------------------------------------------------------ TVMAX Holdings, Inc. 5,15 59,250 59,250 - ------------------------------------------------------------------------------------------------------------------------------------ Vallourec SA 6,120 1,422,681 - ------------------------------------------------------------------------------------------------------------------------------------ Verizon Communications, Inc. 32,985 1,224,733 - ------------------------------------------------------------------------------------------------------------------------------------ Viatel Holding (Bermuda) Ltd. 5,15 43,569 1,743 - ------------------------------------------------------------------------------------------------------------------------------------ Vivendi SA 39,660 1,429,774 - ------------------------------------------------------------------------------------------------------------------------------------ Volkswagen AG, Preference 24,268 1,431,816 - ------------------------------------------------------------------------------------------------------------------------------------ Walter Industries, Inc. 57,800 2,466,904 - ------------------------------------------------------------------------------------------------------------------------------------ Western Forest Products, Inc. 9,15 680,382 998,279 - ------------------------------------------------------------------------------------------------------------------------------------ WRC Media Corp. 5,15 16,235 162 - ------------------------------------------------------------------------------------------------------------------------------------ XO Holdings, Inc. 15 40,006 195,229 - ------------------------------------------------------------------------------------------------------------------------------------ Xstrata plc 30,550 1,262,406 ---------------- Total Common Stocks (Cost $138,859,194) 141,404,183
UNITS - ------------------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% - ------------------------------------------------------------------------------------------------------------------------------------ ASAT Finance LLC Wts., Exp. 11/1/06 5,15 2,200 -- - ------------------------------------------------------------------------------------------------------------------------------------ ATA Holdings Corp. Wts., Exp. 2/28/11 15 2,497 18,543 - ------------------------------------------------------------------------------------------------------------------------------------ COLO.com, Inc. Wts., Exp. 3/15/10 5,15 6,650 -- - ------------------------------------------------------------------------------------------------------------------------------------ Concentric Network Corp. Wts., Exp. 12/15/07 5,15 5,250 -- - ------------------------------------------------------------------------------------------------------------------------------------ DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 5,15 800 -- - ------------------------------------------------------------------------------------------------------------------------------------ HF Holdings, Inc. Wts., Exp. 9/27/09 5,15 34,425 -- - ------------------------------------------------------------------------------------------------------------------------------------ iPCS, Inc. Wts., Exp. 6/15/10 5,15 6,600 -- - ------------------------------------------------------------------------------------------------------------------------------------ Long Distance International, Inc. Wts., Exp. 4/13/08 5,15 4,560 -- - ------------------------------------------------------------------------------------------------------------------------------------ Ntelos, Inc. Wts., Exp. 8/15/10 5,15 8,500 -- - ------------------------------------------------------------------------------------------------------------------------------------ Pathmark Stores, Inc. Wts., Exp. 9/19/10 15 6,738 2,224 - ------------------------------------------------------------------------------------------------------------------------------------ Sterling Chemicals, Inc. Wts., Exp. 12/19/08 15 17,634 13 - ------------------------------------------------------------------------------------------------------------------------------------ Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 5,15 9,035 329,778 - ------------------------------------------------------------------------------------------------------------------------------------ Verado Holdings, Inc., Cl. B Wts., Exp. 4/15/08 15 7,500 5,197
56 | OPPENHEIMER STRATEGIC INCOME FUND
VALUE UNITS SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES Continued - ------------------------------------------------------------------------------------------------------------------------------------ XO Communications, Inc.: Series A Wts., Exp. 1/16/10 15 80,025 $ 72,023 Series B Wts., Exp. 1/16/10 15 60,020 36,012 Series C Wts., Exp. 1/16/10 15 60,020 22,808 - ------------------------------------------------------------------------------------------------------------------------------------ Ziff Davis Holdings, Inc. Wts., Exp. 8/12/12 5,15 44,000 440 ---------------- Total Rights, Warrants and Certificates (Cost $885,987) 487,038
PRINCIPAL AMOUNT - ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES--14.5% - ------------------------------------------------------------------------------------------------------------------------------------ Aiolos Ltd. Catastrophe Linked Nts., 7.812%, 4/8/09 1,2 [EUR] 4,850,000 6,071,494 - ------------------------------------------------------------------------------------------------------------------------------------ Atlantic & Western Re Ltd. Catastrophe Linked Nts., Series B, 15.44%, 11/15/10 1 6,500,000 6,120,238 - ------------------------------------------------------------------------------------------------------------------------------------ Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.90%, 5/26/09 1,5 6,250,000 6,304,375 - ------------------------------------------------------------------------------------------------------------------------------------ Cascadia Ltd. Catastrophe Nts.: 8.515%, 6/13/08 1,2 2,750,000 2,715,103 9.40%, 8/31/09 1 3,950,000 3,942,298 - ------------------------------------------------------------------------------------------------------------------------------------ Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.754%, 5/18/09 1,5 5,000,000 5,007,750 - ------------------------------------------------------------------------------------------------------------------------------------ Champlain Ltd. Catastrophe Linked Nts., Series A, 18.239%, 1/7/09 1 5,250,000 5,206,950 - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Argentina (Republic of) Credit Linked Nts., 4%, 5/22/08 17 [ARP] 10,355,000 8,873,522 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 9,159,652 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 14,374,947 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.809%, 1/5/10 8 [BRR] 18,237,724 5,454,374 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.427%, 1/2/09 8 [BRR] 17,433,522 5,977,494 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.728%, 1/3/08 8 [BRR] 15,201,753 5,961,565 Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,335,636 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,198,245 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 5,141,484 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 4,161,110 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 3,513,135 Dominican Republic Unsec. Credit Linked Nts., 11.648%, 9/24/07 (linked to Dominican Republic Treasury Bills) 3,8 [DOP] 272,500,000 7,148,314 Dominican Republic Credit Linked Nts., 11.242%, 1/2/7 (linked to Dominican Republic Treasury Bills) 8 [DOP] 58,700,000 1,690,560 Dominican Republic Credit Linked Nts., 14.608%, 5/14/07 (linked to Dominican Republic Treasury Bills) 8 [DOP] 142,700,000 3,926,664 Dominican Republic Credit Linked Nts., 16.50%, 3/12/07 (linked to Dominican Republic Treasury Bills) [DOP] 132,800,000 3,736,882 Dominican Republic Credit Linked Nts., 17%, 3/12/07 [DOP] 145,400,000 4,396,257 Dominican Republic Credit Linked Nts., Series II, 15.603%, 4/23/07 (linked to Dominican Republic Treasury Bills) 8 [DOP] 56,010,000 1,553,189
57 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Continued Dominican Republic Unsec. Credit Linked Nts., 15.638%, 4/30/07 (linked to Dominican Republic Treasury Bills) 8 [DOP] 50,870,000 $ 1,407,046 Dominican Republic Unsec. Credit Linked Nts., Series II, 15.736%, 4/30/07 (linked to Dominican Republic Treasury Bills) 8 [DOP] 111,530,000 3,084,880 Egypt (The Arab Republic of) Credit Linked Nts., 8.70%, 7/12/07 (linked to Egyptian Treasury Bills) 5,8 [EGP] 32,570,000 5,283,982 Egypt (The Arab Republic of) Credit Linked Nts., 9.079%, 3/22/07 (linked to Egyptian Treasury Bills) 5,8 [EGP] 3,900,000 651,102 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08 (linked to Egyptian Treasury Bills) [EGP] 23,760,000 4,095,538 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.775%, 2/22/07 (linked to Egyptian Treasury Bills) 5,8 [EGP] 31,030,000 5,215,899 Nigeria (Federal Republic of) Credit Linked Nts., 12.474%, 7/22/07 8 [NGN] 907,570,000 6,540,727 Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 14,159,620 Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%, 4/4/11 [NGN] 1,281,000,000 10,309,181 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,402,177 Zambia (Republic of) Credit Linked Nts., 11%, 2/21/07 (linked to Zambian Treasury Bills) [ZMK] 16,410,000,000 3,737,549 Zambia (Republic of) Credit Linked Nts., Series II, 11%, 2/21/07 (linked to Zambian Treasury Bills) [ZMK] 6,700,000,000 1,525,995 - ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston International: Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 [IDR] 68,000,000,000 7,750,157 Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 [RUR] 232,499,000 8,817,760 Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 5 [RUR] 211,690,000 8,958,638 Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,280,370 OAO Gazprom Credit Linked Nts., 8.11%, 1/21/07 [RUR] 230,095,000 8,798,134 Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%, 12/20/07 [RUR] 553,980,000 21,808,478 South African Rand Interest Bearing Linked Nts., Series FBi 43, 5.175%, 5/23/22 1 14,280,000 14,387,100 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,511,699 - ------------------------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. (Nassau Branch): Turkey (Republic of) Credit Linked Nts., Series 2, 20.853%, 7/16/08 3,8 [TRY] 25,240,000 11,663,963 Turkey (Republic of) Credit Linked Nts., Series EM 880, 20%, 10/18/07 9,712,912 9,355,802 Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 1,058,858 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 6,817,886 - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Argentina (Republic of) Credit Linked Nts., 4%, 12/21/11 [ARP] 19,110,000 15,331,099 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 5 [MXN] 75,701,012 6,885,666 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 5 [MXN] 49,570,093 4,525,740 Brazil Real Credit Linked Nts., 13.882%, 3/3/10 8 [BRR] 33,618,120 11,741,526
58 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued - ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Continued Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 $ 7,175,646 Campania Total Return Linked Nts., 3.804%, 7/30/10 1,5 [EUR] 36,800,000 46,417,063 Campania Total Return Linked Nts., 3.846%, 7/30/10 1,5 [EUR] 31,000,000 39,156,364 Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 [COP] 8,506,000,000 4,281,863 Egypt (The Arab Republic of) Total Return Linked Nts., 8.328%, 12/12/06 (linked to Egyptian Treasury Bills) 8 [EGP] 46,890,000 8,007,732 Egypt (The Arab Republic of) Total Return Linked Nts., 9.170%, 1/30/07 (linked to Egyptian Treasury Bills) 5,8 [EGP] 18,000,000 3,060,814 European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/10 8 5,580,000 4,752,207 Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 5 10,485,000 10,499,522 Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/24/09 [KZT] 1,345,160,000 10,861,648 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 5,818,560 Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,492,104 Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 352,600,000 2,785,361 Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 474,000,000 3,975,543 OAO Gazprom I Credit Nts., 8.36%, 10/20/07 7,455,000 8,039,276 OAO Gazprom II Credit Nts., 8.11%, 4/20/07 7,455,000 7,894,570 Peru (Republic of) Credit Linked Nts., 6.73%, 2/20/11 1 7,790,000 7,807,273 Romania (Republic of) Credit Linked Nts., 11.49%, 12/7/06 [RON] 6,161,250 2,434,508 Russian Federation Credit Linked Nts., 0.00%, 12/2/09 8 [RUR] 155,437,000 6,206,166 Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 191,850,000 7,907,824 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,453,512 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,487,014 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,477,205 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,458,080 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,439,503 Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 [UAH] 20,075,400 4,101,753 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 463,723 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,643,083 Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/16/07 [UAH] 15,868,000 3,137,071 Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,137,664 United Mexican States BORHIS Total Return Linked Nts., 6.10%, 9/27/35 [MXN] 17,060,000 5,928,637 United Mexican States Credit Linked Nts., 9.52%, 1/5/11 5 [MXN] 49,642,956 4,521,103 Videocon International Ltd. Credit Linked Nts., 7.75%, 12/29/09 5 15,470,000 15,468,453 Volga Investments Ltd. Credit Linked Nts., Series III, 6.01%, 4/2/08 10,000,000 10,206,600 - ------------------------------------------------------------------------------------------------------------------------------------ Dow Jones CDX High Yield Index: 8.25% Pass-Through Certificates, Series 4-T1, 6/29/10 5 55,671,360 56,715,198 8.375% Pass-Through Certificates, Series 7-T1, 12/29/11 3,5 780,000 780,468 - ------------------------------------------------------------------------------------------------------------------------------------ Drewcat Capital Ltd. Catastrophe Linked Nts., Cl. A, 25.864%, 12/28/06 1,2 6,730,000 6,778,288 - ------------------------------------------------------------------------------------------------------------------------------------ Eurus Ltd. Catastrophe Linked Nts., 11.74%, 4/8/09 1,5 5,770,000 5,741,150 - ------------------------------------------------------------------------------------------------------------------------------------ Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.385%, 8/3/11 1,5 6,700,000 6,745,225 - ------------------------------------------------------------------------------------------------------------------------------------ Foundation RE Ltd. Catastrophe Linked Nts., 9.526%, 11/24/08 1,2 5,000,000 4,747,400 - ------------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs International, Russian Federation Total Return Linked Nts., 8%, 5/13/09 [RUR] 358,300,000 14,629,932
59 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued - ------------------------------------------------------------------------------------------------------------------------------------ ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09 5 [UAH] 36,698,000 $ 7,986,675 - ------------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Bank: Argentina (Republic of) Credit Linked Nts., 4%, 12/19/11 5 [ARP] 18,250,000 14,804,035 Brazil (Federal Republic of) Credit Linked Nts., 12.683%, 6/1/13 8 [BRR] 42,180,340 7,997,736 Brazil (Federal Republic of) Credit Linked Nts., 15.326%, 1/2/15 8 [BRR] 81,357,010 12,620,832 Brazil (Federal Republic of) Credit Linked Nts., 2.731%, 11/30/12 8 [ARP] 27,660,000 6,707,021 Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 5 [BRR] 30,560,000 17,639,851 Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.553%, 1/2/15 8 [BRR] 56,242,917 8,724,908 Brazil (Federal Republic of) Credit Linked Nts., 12.080%, 1/2/15 8 [BRR] 26,663,580 4,136,295 Colombia (Republic of) Credit Linked Bonds, 10.190%, 1/5/16 8 [COP] 115,400,000,000 17,645,944 Colombia (Republic of) Credit Linked Bonds, 11.198%, 8/3/20 8 [COP] 82,000,000,000 8,465,768 Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/15 8 [PEN] 24,240,000 3,639,169 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 9,084,923 - ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers International: Romania (Republic of) Total Return Linked Nts., 7.90%, 2/9/10 (linked to Romanian Treasury Bills) [RON] 6,092,000 2,474,751 Turkey (Republic of) Total Return Linked Nts., 20%, 10/17/07 (linked to Turkish Treasury Bills) 3,349,124 3,558,444 - ------------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Special Financing, Inc.: Romania (Republic of) Total Return Linked Nts., 6.50%, 3/10/10 (linked to Romanian Treasury Bills) [RON] 16,085,800 6,138,499 Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08 (linked to Romanian Treasury Bills) [RON] 18,680,000 7,280,137 Romania (Republic of) Total Return Linked Nts., 7.25%, 4/18/10 (linked to Romanian Treasury Bills) [RON] 1,487,000 580,678 Romania (Republic of) Total Return Linked Nts., 7.50%, 3/6/07 (linked to Romanian Treasury Bills) [RON] 2,467,000 984,031 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 1,478,000 587,062 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/18/08 (linked to Romanian Treasury Bills) [RON] 3,568,000 1,417,211 Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08 (linked to Romanian Treasury Bills) [RON] 13,855,800 5,593,428 - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc: Total Return Linked Nts., Series A, 8.375%, 6/30/12 5 [RUR] 186,617,822 7,210,028 Total Return Linked Nts., Series B, 11%, 6/30/12 5 [RUR] 148,100,000 5,671,076 - ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,043,000,000 16,206,830 Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 [BRR] 36,298,924 17,466,656 Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 2 16,900,000 18,429,450 Philippines (Republic of the) Credit Linked Nts., 8.38%, 6/20/16 1,5 3,950,000 3,954,740 Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,261,248 Venezuela (Republic of) Credit Linked Nts., 6.49%, 5/20/10 8,275,000 8,480,220 Venezuela (Republic of) Credit Linked Nts., 7.382%, 5/20/10 17,600,000 19,289,600
60 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ STRUCTURED NOTES Continued - ------------------------------------------------------------------------------------------------------------------------------------ Redwood Capital V Catastrophe Linked Nts., 9.657%, 1/9/07 1,2 $ 4,250,000 $ 4,224,075 - ------------------------------------------------------------------------------------------------------------------------------------ Residential Reinsurance Ltd. Catastrophe Linked Nts.: Series B, 13.85%, 6/6/08 1 4,300,000 3,905,045 Series B, 14.90%, 6/8/07 1,2 2,000,000 1,960,450 - ------------------------------------------------------------------------------------------------------------------------------------ Successor Cal Quake Parametric Ltd. Catastrophe Linked Nts., Cl. A-I, 10.64%, 6/6/08 1,2 4,560,000 4,516,452 - ------------------------------------------------------------------------------------------------------------------------------------ Successor Euro Wind Ltd. Catastrophe Linked Nts., Series A-I, 22.89%, 6/6/08 1,2 6,000,000 6,039,600 - ------------------------------------------------------------------------------------------------------------------------------------ Successor II Ltd. Catastrophe Linked Nts., Series A-I, 9.64%, 6/6/08 1,2 10,660,000 10,727,691 - ------------------------------------------------------------------------------------------------------------------------------------ UBS AG, Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 9,595,193 - ------------------------------------------------------------------------------------------------------------------------------------ VASCO Re 2006 Ltd. Catastrophe Linked Nts., 13.898%, 6/5/09 1,5 6,710,000 6,818,702 ---------------- Total Structured Notes (Cost $970,920,182) 1,006,537,370
EXPIRATION STRIKE DATE PRICE CONTRACTS - ------------------------------------------------------------------------------------------------------------------------------------ OPTIONS PURCHASED--0.0% - ------------------------------------------------------------------------------------------------------------------------------------ Mexican Nuevo Peso (MXN) Call 15 10/12/06 $11.40 85,614,000 863 - ------------------------------------------------------------------------------------------------------------------------------------ Mexican Nuevo Peso (MXN) Put 15 10/12/06 11.40 85,614,000 282,405 - ------------------------------------------------------------------------------------------------------------------------------------ New Turkish Lira (TRY)/Japanese Yen (JPY) Put 15 1/30/07 77.00TRY 30,620,000 350,862 ---------------- Total Options Purchased (Cost $936,771) 634,130
PRINCIPAL AMOUNT - ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--8.0% - ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 69.30% in joint repurchase agreement (Principal Amount/Value $800,621,000, with a maturity value of $800,954,592) with Cantor Fitzgerald & Co./Cantor Fitzgerald Securities, 5%, dated 9/29/06, to be repurchased at $555,070,183 on 10/2/06, collateralized by U.S. Treasury Bonds, 5.25%-8.75%, 5/15/16-2/15/29, with a value of $802,318,218 and U.S. Treasury Bills, 12/28/06, with a value of $14,820,750 (Cost $554,839,000) $ 554,839,000 554,839,000 - ------------------------------------------------------------------------------------------------------------------------------------ Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $7,141,215,069) 7,109,882,609 - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--5.0% 18 - ------------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED FLOATING NOTE--0.0% GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 5.42%, 10/25/06 1,461,119 1,461,119 - ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS--4.6% Undivided interest of 1.05% in joint repurchase agreement (Principal Amount/Value $3,950,000,000, with a maturity value of $3,951,787,375) with Nomura Securities, 5.43%, dated 9/29/06, to be repurchased at $41,535,784 on 10/2/06, collateralized by U.S. Agency Mortgages, 0.00%-22.12%, 3/15/14-6/25/43, with a value of $4,029,000,000 41,516,998 41,516,998
61 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 - ------------------------------------------------------------------------------------------------------------------------------------ JOINT REPURCHASE AGREEMENTS Continued Undivided interest of 10% in joint repurchase agreement (Principal Amount/Value $2,500,000,000 with a maturity value of $2,501,131,250) with ING Financial Markets LLC, 5.43%, dated 9/29/06, to be repurchased at $250,113,125 on 10/2/06, collateralized by U.S. Agency Mortgages, 0.00%-7%, 9/1/18-8/1/36, with a value of $2,550,003,623 $ 250,000,000 $ 250,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Undivided interest of 10% in joint repurchase agreement (Principal Amount/Value $250,000,000, with a maturity value of $250,112,500) with Cantor Fitzgerald & Co., 5.40%, dated 9/29/06, to be repurchased at $25,011,250 on 10/2/06, collateralized by U.S. Agency Mortgages, 0.00%-6.50%, 8/1/12-9/1/36, with a value of $255,002,127 25,000,000 25,000,000 ---------------- 316,516,998 - ------------------------------------------------------------------------------------------------------------------------------------ MEDIUM-TERM FLOATING NOTE--0.4% American Express Credit Corp., 5.34%, 10/16/06 2,000,000 2,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Bear Stearns, 5.37%, 10/2/06 3,000,000 3,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ CC USA, Inc., 5.37%, 10/2/06 3,000,000 3,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Funding, Inc., 5.36%, 10/2/06 7,000,000 7,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ HSBC Finance Corp., 5.32%, 10/6/06 3,000,000 3,000,000 - ------------------------------------------------------------------------------------------------------------------------------------ Links Finance LLC, 5.38%, 10/2/06 8,001,004 8,001,004 - ------------------------------------------------------------------------------------------------------------------------------------ Tango Finance Corp., 5.38%, 10/2/06 3,498,951 3,498,951 ---------------- 29,499,955 - ------------------------------------------------------------------------------------------------------------------------------------ YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0% Natexis Banques Populaires NY, 5.37%, 10/2/06 2,000,000 2,000,000 ---------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $349,478,072) 349,478,072 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $7,490,693,141) 107.5% 7,459,360,681 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (7.5) (517,742,773) ------------------------------------ NET ASSETS 100.0% $ 6,941,617,908 ====================================
62 | 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 DKK Danish Krone DOP Dominican Republic Peso EGP Egyptian Pounds EUR Euro GBP British Pound Sterling IDR Indonesia Rupiah 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 UYU Uruguay Peso 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 $490,985,276 or 7.07% of the Fund's net assets as of September 30, 2006. 3. When-issued security or forward commitment to be delivered and settled after September 30, 2006. See Note 1 of accompanying Notes. 4. Issue is in default. See Note 1 of accompanying Notes. 5. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2006 was $527,224,851, which represents 7.60% of the Fund's net assets, of which $8,274 is considered restricted. In addition, the Fund has restricted currency of $2,490,558, which represents 0.04% of the Fund's net assets. See Note 12 of accompanying Notes. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $40,643,108 or 0.59% of the Fund's net assets as of September 30, 2006. 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 $3,516,105 or 0.05% of the Fund's net assets as of September 30, 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. 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 $30,985,814. See Note 6 of accompanying Notes. 11. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of accompanying Notes. 63 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued - -------------------------------------------------------------------------------- FOOTNOTES TO STATEMENT OF INVESTMENTS Continued 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 - ------------------------------------------------------------------------------------------------------------ New Turkish Lira (TRY)/Japanese Yen (JPY) 30,620,000 1/30/07 65TRY $519,227 $266,434
13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 14. Interest or dividend is paid-in-kind, when applicable. 15. Non-income producing security. 16. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2006. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES SEPTEMBER 30, 2005 ADDITIONS REDUCTIONS SEPTEMBER 30, 2006 - ------------------------------------------------------------------------------------------------------------ Prandium, Inc. 1,034,256 -- -- 1,034,256
VALUE DIVIDEND SEE NOTE 1 INCOME - ------------------------------------------------------------------------------------------------------------ Prandium, Inc. $8,274 $--
17. Denotes an inflation-indexed security: coupon and principal are indexed to the consumer price index. 18. The security/securities have 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. 64 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES September 30, 2006 - -------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------- ASSETS - ---------------------------------------------------------------------------------------------------------- Investments, at value--see accompanying statement of investments: Unaffiliated companies (cost $7,478,536,141) $7,459,352,407 Affiliated companies (cost $12,157,000) 8,274 --------------- 7,459,360,681 - ---------------------------------------------------------------------------------------------------------- Cash 25,197,062 - ---------------------------------------------------------------------------------------------------------- Cash--foreign currencies (cost $2,041,365) 2,036,566 - ---------------------------------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 22,509,047 - ---------------------------------------------------------------------------------------------------------- Unrealized appreciation on swap contracts 17,853,697 - ---------------------------------------------------------------------------------------------------------- Receivables and other assets: Interest, dividends and principal paydowns 79,264,951 Investments sold (including $4,086,747 sold on a when-issued basis or forward commitment) 29,562,551 Shares of beneficial interest sold 9,990,112 Closed foreign currency contracts 350,451 Other 138,355 --------------- Total assets 7,646,263,473 - ---------------------------------------------------------------------------------------------------------- LIABILITIES - ---------------------------------------------------------------------------------------------------------- Options written, at value (premiums received $519,227)--see accompanying statement of investments 266,434 - ---------------------------------------------------------------------------------------------------------- Return of collateral for securities loaned 349,478,072 - ---------------------------------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 11,829,544 - ---------------------------------------------------------------------------------------------------------- Unrealized depreciation on swap contracts 5,922,166 - ---------------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $255,740,010 purchased on a when-issued basis or forward commitment) 298,396,014 Closed foreign currency contracts 17,712,181 Shares of beneficial interest redeemed 10,583,520 Dividends 4,590,954 Distribution and service plan fees 4,131,245 Transfer and shareholder servicing agent fees 822,652 Shareholder communications 411,908 Futures margins 206,572 Trustees' compensation 129,039 Other 165,264 --------------- Total liabilities 704,645,565 - ---------------------------------------------------------------------------------------------------------- NET ASSETS $6,941,617,908 ===============
65 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Continued - -------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS - ---------------------------------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 1,659,194 - ---------------------------------------------------------------------------------------------------------- Additional paid-in capital 7,961,107,501 - ---------------------------------------------------------------------------------------------------------- Accumulated net investment income 28,620,443 - ---------------------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (1,051,588,378) - ---------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 1,819,148 ---------------- NET ASSETS $ 6,941,617,908 ================ - ---------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE - ---------------------------------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $5,077,400,158 and 1,213,643,842 shares of beneficial interest outstanding) $ 4.18 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.39 - ---------------------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $718,742,377 and 171,227,025 shares of beneficial interest outstanding) $ 4.20 - ---------------------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $857,843,200 and 205,466,631 shares of beneficial interest outstanding) $ 4.18 - ---------------------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $108,323,749 and 25,876,803 shares of beneficial interest outstanding) $ 4.19 - ---------------------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $179,308,424 and 42,979,530 shares of beneficial interest outstanding) $ 4.17
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 66 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS For the Year Ended September 30, 2006 - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- INVESTMENT INCOME - -------------------------------------------------------------------------------- Interest $ 388,106,267 - -------------------------------------------------------------------------------- Dividends (net of foreign withholding taxes of $125,763) 8,400,957 - -------------------------------------------------------------------------------- Fee income 2,485,741 - -------------------------------------------------------------------------------- Portfolio lending fees 770,870 - -------------------------------------------------------------------------------- Other income 82,767 -------------- Total investment income 399,846,602 - -------------------------------------------------------------------------------- EXPENSES - -------------------------------------------------------------------------------- Management fees 35,160,731 - -------------------------------------------------------------------------------- Distribution and service plan fees: Class A 11,944,439 Class B 8,026,795 Class C 8,138,266 Class N 468,706 - -------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 6,360,780 Class B 1,222,558 Class C 1,100,817 Class N 289,768 Class Y 64,650 - -------------------------------------------------------------------------------- Shareholder communications: Class A 810,517 Class B 171,987 Class C 129,801 - -------------------------------------------------------------------------------- Custodian fees and expenses 335,747 - -------------------------------------------------------------------------------- Trustees' compensation 99,300 - -------------------------------------------------------------------------------- Administration service fees 1,500 - -------------------------------------------------------------------------------- Other 293,391 -------------- Total expenses 74,619,753 Less reduction to custodian expenses (95,247) -------------- Net expenses 74,524,506 - -------------------------------------------------------------------------------- NET INVESTMENT INCOME 325,322,096 67 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Continued - -------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) - ---------------------------------------------------------------------------------------- Net realized gain (loss) on: Investments $ 114,494,313 Closing and expiration of option contracts written 722,737 Closing and expiration of swaption contracts 371,561 Closing and expiration of futures contracts (5,337,609) Foreign currency transactions (54,688,851) Swap contracts 3,615,579 -------------- Net realized gain 59,177,730 - ---------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments (96,370,255) Translation of assets and liabilities denominated in foreign currencies (49,146,059) Futures contracts 15,087,223 Option contracts 252,793 Swaption contracts 92,667 Swap contracts (4,178,552) -------------- Net change in unrealized appreciation (134,262,183) - ---------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 250,237,643 ==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 68 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2006 2005 - --------------------------------------------------------------------------------------------------- OPERATIONS - --------------------------------------------------------------------------------------------------- Net investment income $ 325,322,096 $ 289,867,824 - --------------------------------------------------------------------------------------------------- Net realized gain 59,177,730 183,064,148 - --------------------------------------------------------------------------------------------------- Net change in unrealized appreciation (134,262,183) 97,582,611 ----------------------------------- Net increase in net assets resulting from operations 250,237,643 570,514,583 - --------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS - --------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (361,826,587) (294,738,505) Class B (55,250,172) (62,870,416) Class C (53,959,503) (44,696,942) Class N (6,482,780) (4,206,758) Class Y (8,310,116) (6,335,724) - --------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS - --------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 481,164,858 541,271,143 Class B (168,323,661) (271,334,101) Class C 97,789,142 60,028,844 Class N 28,045,769 28,754,049 Class Y 118,978,171 (91,805,446) - --------------------------------------------------------------------------------------------------- NET ASSETS - --------------------------------------------------------------------------------------------------- Total increase 322,062,764 424,580,727 - --------------------------------------------------------------------------------------------------- Beginning of period 6,619,555,144 6,194,974,417 ----------------------------------- End of period (including accumulated net investment income of $28,620,443 and $123,075,890, respectively) $ 6,941,617,908 $ 6,619,555,144 ===================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 69 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS - --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002 - ---------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 - ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .21 1 .21 1 .20 .26 .32 Net realized and unrealized gain (loss) (.05) .19 .15 .43 (.08) -------------------------------------------------------------------------- Total from investment operations .16 .40 .35 .69 .24 - ---------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.32) (.29) (.20) (.25) (.30) Tax return of capital distribution -- -- -- -- (.02) -------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.32) (.29) (.20) (.25) (.32) - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64 ========================================================================== - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.77% 9.77% 8.73% 19.59% 6.63% - ---------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $5,077,400 $4,766,576 $4,117,666 $3,873,018 $3,202,825 - ---------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $4,888,392 $4,392,321 $4,025,554 $3,521,307 $3,263,490 - ---------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 5.03% 4.82% 4.69% 6.60% 7.91% Total expenses 0.93% 0.94% 0.95% 0.95% 1.01% Expenses after payments and waivers and reduction to custodian expenses 0.92% 0.94% 0.95% 0.95% 1.01% - ---------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3. Annualized for periods of less than one full year. 4. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS - -------------------------------------------------------------------------------- Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059 Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355 Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 70 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS B YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002 - -------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 - -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .18 1 .17 1 .16 .22 .28 Net realized and unrealized gain (loss) (.05) .20 .15 .44 (.05) ------------------------------------------------------------------------ Total from investment operations .13 .37 .31 .66 .23 - -------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.28) (.26) (.17) (.22) (.28) Tax return of capital distribution -- -- -- -- (.02) ------------------------------------------------------------------------ Total dividends and/or distributions to shareholders (.28) (.26) (.17) (.22) (.30) - -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66 ======================================================================== - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.23% 8.94% 7.66% 18.62% 6.11% - -------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $718,742 $ 918,651 $1,163,555 $1,686,295 $1,847,182 - -------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $802,936 $1,021,022 $1,424,322 $1,757,152 $2,056,449 - -------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.25% 4.05% 4.16% 5.92% 7.22% Total expenses 1.71% 1.70% 1.69% 1.68% 1.75% Expenses after payments and waivers and reduction to custodian expenses 1.71% 1.69% 1.69% 1.68% 1.75% - -------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3. Annualized for periods of less than one full year. 4. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS - -------------------------------------------------------------------------------- Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059 Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355 Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 71 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
CLASS C YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002 - -------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - -------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 - -------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .18 1 .17 1 .17 .23 .29 Net realized and unrealized gain (loss) (.05) .20 .15 .42 (.06) ------------------------------------------------------------------------ Total from investment operations .13 .37 .32 .65 .23 - -------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.28) (.26) (.17) (.22) (.28) Tax return of capital distribution -- -- -- -- (.02) ------------------------------------------------------------------------ Total dividends and/or distributions to shareholders (.28) (.26) (.17) (.22) (.30) - -------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64 ======================================================================== - -------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.22% 8.96% 7.95% 18.45% 6.15% - -------------------------------------------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - -------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $857,843 $788,217 $710,085 $698,196 $568,487 - -------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $814,425 $748,199 $716,206 $623,598 $571,292 - -------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.27% 4.07% 4.06% 5.85% 7.15% Total expenses 1.68% 4 1.69% 4 1.69% 4,5 1.69% 4 1.75% 4 - -------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 96% 6 103% 6 90% 6 104% 117%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. 5. Voluntary waiver of transfer agent fees less than 0.01%. 6. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS - -------------------------------------------------------------------------------- Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059 Year Ended September 30, 2005 $4,436,804,790 $4,469,108,355 Year Ended September 30, 2004 $5,593,936,243 $5,563,251,032 SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 72 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS N YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002 - ---------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 - ---------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .19 1 .19 1 .17 .25 .30 Net realized and unrealized gain (loss) (.04) .19 .16 .42 (.05) -------------------------------------------------------------------------- Total from investment operations .15 .38 .33 .67 .25 - ---------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.30) (.27) (.18) (.24) (.30) Tax return of capital distribution -- -- -- -- (.02) -------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.30) (.27) (.18) (.24) (.32) - ---------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65 ========================================================================== - ---------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 3.60% 9.27% 8.28% 18.82% 6.70% - ---------------------------------------------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ---------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 108,324 $ 83,287 $ 52,969 $ 30,110 $ 15,508 - ---------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 94,281 $ 69,480 $ 40,043 $ 22,627 $ 8,954 - ---------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.62% 4.37% 4.19% 6.08% 7.07% Total expenses 1.33% 4 1.40% 4 1.38% 4,5 1.34% 4 1.22% 4 - ---------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 96% 6 103% 6 90% 6 104% 117%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3. Annualized for periods of less than one full year. 4. Reduction to custodian expenses less than 0.01%. 5. Voluntary waiver of transfer agent fees less than 0.01%. 6. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS - -------------------------------------------------------------------------------- Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059 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. 73 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued - --------------------------------------------------------------------------------
CLASS Y YEAR ENDED SEPTEMBER 30, 2006 2005 2004 2003 2002 - ----------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA - ----------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 - ----------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .22 1 .21 1 .21 .26 .32 Net realized and unrealized gain (loss) (.04) .19 .14 .42 (.06) --------------------------------------------------------------------- Total from investment operations .18 .40 .35 .68 .26 - ----------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.33) (.30) (.20) (.25) (.31) Tax return of capital distribution -- -- -- -- (.02) --------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.33) (.30) (.20) (.25) (.33) - ----------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64 ===================================================================== - ----------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 4.35% 9.73% 8.80% 19.33% 7.06% - ----------------------------------------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA - ----------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 179,309 $ 62,824 $ 150,699 $ 240,296 $ 152,767 - ----------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 118,239 $ 68,656 $ 213,632 $ 194,308 $ 127,992 - ----------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 5.38% 4.84% 4.80% 6.57% 7.86% Total expenses 0.58% 1.16% 1.29% 1.41% 1.74% Expenses after payments and waivers and reduction to custodian expenses 0.58% 0.80% 0.90% 0.91% 0.90% - ----------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 96% 4 103% 4 90% 4 104% 117%
1. Per share amounts calculated based on the average shares outstanding during the period. 2. Assumes an investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods of less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3. Annualized for periods of less than one full year. 4. The portfolio turnover rate excludes purchase and sales of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS - -------------------------------------------------------------------------------- Year Ended September 30, 2006 $4,097,005,267 $4,231,030,059 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. 74 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek high current income by investing mainly in debt securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC, however, the institutional investor may impose charges on those accounts. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. - -------------------------------------------------------------------------------- SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ(R) 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 75 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS 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 September 30, 2006, the market value of these securities comprised 14.5% of the Fund's net assets and resulted in unrealized cumulative gains of $35,617,188. - -------------------------------------------------------------------------------- SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of September 30, 2006, the Fund had purchased $255,740,010 of securities issued on a when-issued basis or forward commitment and sold $4,086,747 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 76 | OPPENHEIMER STRATEGIC INCOME FUND type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. - -------------------------------------------------------------------------------- SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of September 30, 2006, securities with an aggregate market value of $16,993,313, representing 0.24% 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 77 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. - -------------------------------------------------------------------------------- INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities. - -------------------------------------------------------------------------------- ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class. - -------------------------------------------------------------------------------- FEDERAL TAXES. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders, therefore, no federal income or excise tax provision is required. The tax components of capital shown in the table below represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes. NET UNREALIZED DEPRECIATION BASED ON COST OF SECURITIES AND UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME INCOME GAIN CARRYFORWARD 1,2,3,4,5 TAX PURPOSES --------------------------------------------------------------------------- $78,265,796 $-- $1,030,416,491 $43,110,745 1. As of September 30, 2006, the Fund had $963,979,042 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2006, details of the capital loss carryforwards were as follows: EXPIRING ------------------------------ 2008 $ 308,649,467 2009 52,578,252 2010 185,647,798 2011 294,188,800 2012 122,914,725 ------------- Total $ 963,979,042 ============= 78 | OPPENHEIMER STRATEGIC INCOME FUND 2. The Fund had $65,168,890 of post-October foreign currency losses which were deferred. 3. The Fund had $1,268,559 of straddle losses which were deferred. 4. During the fiscal year ended September 30, 2006, the Fund utilized $69,360,120 of capital loss carryforward to offset capital gains realized in that fiscal year. a a. Includes $11,836,618 of capital loss carryforwards acquired in the July 21, 2005 merger of Oppenheimer Multi-Sector Income Trust. 5. During the fiscal year ended September 30, 2005, the Fund utilized $11,195,215 of capital loss carryforward to offset capital gains realized in that fiscal year. b b. Includes $2,302,465 of capital loss carryforwards acquired in the July 21, 2005 merger of Oppenheimer Multi-Sector Income Trust. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. Accordingly, the following amounts have been reclassified for September 30, 2006. Net assets of the Fund were unaffected by the reclassifications. REDUCTION TO INCREASE TO ACCUMULATED ACCUMULATED NET INCREASE TO NET INVESTMENT REALIZED LOSS PAID-IN CAPITAL LOSS ON INVESTMENTS ------------------------------------------------------------------ $12,201,244 $66,051,615 $78,252,859 The tax character of distributions paid during the years ended September 30, 2006 and September 30, 2005 was as follows: YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------------------------------------------------------ Distributions paid from: Ordinary income $485,829,158 $412,848,345 The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2006 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities $ 7,499,301,687 Federal tax cost of other investments 1,730,694,472 ---------------- Total federal tax cost $ 9,229,996,159 ================ Gross unrealized appreciation $ 209,037,043 Gross unrealized depreciation (252,147,788) ---------------- Net unrealized depreciation $ (43,110,745) ================ 79 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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. Such interest expense and other custodian fees may be paid with these earnings. - -------------------------------------------------------------------------------- SECURITY TRANSACTIONS. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost. - -------------------------------------------------------------------------------- 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 80 | OPPENHEIMER STRATEGIC INCOME FUND maximum exposure under these arrangements is unknown as this would be dependent 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:
YEAR ENDED SEPTEMBER 30, 2006 YEAR ENDED SEPTEMBER 30, 2005 SHARES AMOUNT SHARES AMOUNT - ---------------------------------------------------------------------------------------------------- CLASS A Sold 285,205,829 $ 1,197,018,631 253,721,621 $ 1,091,121,076 Dividends and/or distributions reinvested 63,712,315 267,183,114 48,950,677 211,128,508 Acquisition-Note 14 -- -- 62,844,742 270,860,838 Redeemed (234,651,361) (983,036,887) (239,685,952) (1,031,839,279) ---------------------------------------------------------------------- Net increase 114,266,783 $ 481,164,858 125,831,088 $ 541,271,143 ====================================================================== - ---------------------------------------------------------------------------------------------------- CLASS B Sold 27,099,194 $ 114,141,319 27,868,668 $ 120,195,274 Dividends and/or distributions reinvested 9,067,246 38,196,513 9,542,125 41,299,086 Redeemed (76,102,306) (320,661,493) (100,359,143) (432,828,461) ---------------------------------------------------------------------- Net decrease (39,935,866) $ (168,323,661) (62,948,350) $ (271,334,101) ====================================================================== - ---------------------------------------------------------------------------------------------------- CLASS C Sold 52,485,697 $ 219,804,771 40,612,822 $ 174,277,627 Dividends and/or distributions reinvested 9,627,908 40,332,270 7,606,352 32,743,949 Redeemed (38,820,281) (162,347,899) (34,262,628) (146,992,732) ---------------------------------------------------------------------- Net increase 23,293,324 $ 97,789,142 13,956,546 $ 60,028,844 ====================================================================== - ---------------------------------------------------------------------------------------------------- CLASS N Sold 11,223,391 $ 47,099,735 10,118,176 $ 43,521,928 Dividends and/or distributions reinvested 1,377,036 5,780,559 896,137 3,865,917 Redeemed (5,922,489) (24,834,525) (4,331,470) (18,633,796) ---------------------------------------------------------------------- Net increase 6,677,938 $ 28,045,769 6,682,843 $ 28,754,049 ======================================================================
81 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST Continued
YEAR ENDED SEPTEMBER 30, 2006 YEAR ENDED SEPTEMBER 30, 2005 SHARES AMOUNT SHARES AMOUNT - ----------------------------------------------------------------------------------------------- CLASS Y Sold 27,986,060 $ 117,026,957 16,530,646 $ 72,458,398 Dividends and/or distributions reinvested 1,974,505 8,229,559 1,472,034 4,751,793 Redeemed (1,510,690) (6,278,345) (39,181,919) (169,015,637) ----------------------------------------------------------------- Net increase (decrease) 28,449,875 $ 118,978,171 (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 year ended September 30, 2006, were as follows:
PURCHASES SALES - ----------------------------------------------------------------------------------- Investment securities $4,939,332,169 $5,338,131,286 U.S. government and government agency obligations 320,320,066 346,184,902 To Be Announced (TBA) mortgage-related securities 4,097,005,267 4,231,030,059
- -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee at an average annual rate as shown in the following table:
FEE SCHEDULE SEPT. 30, 2005 TO DEC. 31, 2005 FEE SCHEDULE EFFECTIVE JANUARY 1, 2006 - ---------------------------------------------- -------------------------------------------- Up to $200 million of net assets 0.75% Up to $200 million of net assets 0.75% Next $200 million of net assets 0.72 Next $200 million of net assets 0.72 Next $200 million of net assets 0.69 Next $200 million of net assets 0.69 Next $200 million of net assets 0.66 Next $200 million of net assets 0.66 Next $200 million of net assets 0.60 Next $200 million of net assets 0.60 Over $1 billion of net assets 0.50 Next $4 billion of net assets 0.50 Over $5 billion of net assets 0.48
- -------------------------------------------------------------------------------- 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 year ended September 30, 2006, the Fund paid $8,998,518 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. 82 | OPPENHEIMER STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Fund's principal underwriter in the continuous public offering of the Fund's classes of shares. - -------------------------------------------------------------------------------- SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A shares. It reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made 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 September 30, 2006 for Class B, Class C and Class N shares were $98,945,222, $27,009,902 and $1,650,101, 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 RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR - -------------------------------------------------------------------------------------------------------- September 30, 2006 $2,199,785 $43,415 $1,701,540 $113,735 $28,600
83 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued 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. - -------------------------------------------------------------------------------- 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 September 30, 2006, the Fund had outstanding foreign currency contracts as follows:
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2006 APPRECIATION DEPRECIATION - -------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Argentine Peso (ARP) 10/25/06 83,000ARP $ 26,652,455 $ -- $ 106,202 Australian Dollar (AUD) 10/13/06 2,290AUD 1,706,243 -- 15,768 Brazilian Real (BRR) 10/31/06-10/2/07 483,260BRR 211,758,523 3,778,704 196,117 British Pound Sterling (GBP) 10/13/06-1/10/07 12,755GBP 23,899,318 6,659 90,728 Canadian Dollar (CAD) 10/13/06 7,725CAD 6,913,887 13,609 -- Chilean Peso (CLP) 11/21/06-12/28/06 15,171,000CLP 28,335,188 194,803 34,005 Dominican Republic Peso (DOP) 10/10/06 244,558DOP 7,256,910 -- 153,934 Euro (EUR) 10/13/06-3/6/07 110,575EUR 140,930,923 13,411 898,289 Indian Rupee (INR) 10/3/06-10/11/06 1,212,608INR 26,392,075 70,285 -- Japanese Yen (JPY) 10/13/06-1/10/07 40,531,000JPY 347,900,985 -- 1,254,134 Malaysian Ringgit (MYR) 11/16/06-11/17/06 56,590MYR 15,380,147 -- 661,466 Mexican Nuevo Peso (MXN) 10/24/06-11/29/06 946,040MXN 85,828,716 -- 925,784 New Zealand Dollar (NZD) 3/5/07 73,125NZD 47,288,028 74,205 156,017
84 | OPPENHEIMER STRATEGIC INCOME FUND
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2006 APPRECIATION DEPRECIATION - -------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Norwegian Krone (NOK) 1/10/07 109,100NOK $ 16,810,865 $ -- $ 77,680 South African Rand (ZAR) 10/5/06-11/27/06 454,950ZAR 58,237,154 -- 5,161,425 South Korean Won (KRW) 10/10/06-11/2/06 35,003,000KRW 37,013,091 423,611 -- Swiss Franc (CHF) 10/13/06-03/6/07 102,471CHF 82,953,330 32,382 791,518 Thailand Baht (THB) 10/17/06 855,000THB 22,700,742 126,484 -- Turkish Lira (TRY) 10/10/06-10/26/06 60,779TRY 39,793,365 11,508 781,510 ----------------------------- 4,745,661 11,304,577 ----------------------------- CONTRACTS TO SELL Australian Dollar (AUD) 1/10/07-3/5/07 96,965AUD 72,059,448 1,291,220 -- Brazilian Real (BRR) 12/10/09-1/5/10 90,846BRR 30,988,310 11,361,461 -- British Pound Sterling (GBP) 2/7/07 11,000GBP 20,618,343 185,407 -- Canadian Dollar (CAD) 1/10/07-2/20/07 74,780CAD 67,127,163 37,353 -- Chinese Renminbi (Yuan) (CNY) 10/23/06 210,000CNY 26,635,973 -- 112,449 Czech Koruna (CZK) 10/23/06 590,000CZK 26,482,595 -- 76,115 Euro (EUR) 11/20/06-2/7/07 61,450EUR 78,287,471 476,847 38,874 Iceland Krona (ISK) 10/23/06 829,900ISK 11,774,186 -- 297,529 Japanese Yen (JPY) 10/23/06-3/5/07 14,911,000JPY 127,849,011 3,637,666 -- Swedish Krone (SEK) 10/5/06-3/5/07 478,290SEK 65,660,051 762,417 -- Swiss Franc (CHF) 10/23/06 33,000CHF 26,452,498 11,015 -- ----------------------------- 17,763,386 524,967 ----------------------------- Total unrealized appreciation and depreciation $ 22,509,047 $ 11,829,544 =============================
- -------------------------------------------------------------------------------- 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. 85 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS Continued Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations at the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. As of September 30, 2006, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS 2006 (DEPRECIATION) - -------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE DAX Index 12/15/06 62 $ 11,881,348 $ 233,010 Euro-Bundesobligation, 5 yr. 12/7/06 466 64,970,898 214,118 Euro-Bundesobligation, 10 yr. 12/7/06 223 33,395,848 140,021 Euro-Schatz 12/7/06 744 98,126,374 51,720 FTSE 100 Index 12/15/06 20 2,241,757 22,233 IBEX 35 Index (The) 10/20/06 45 7,389,014 420,764 Japan (Government of) Bonds, 10 yr. 12/11/06 142 162,045,291 790,143 Japan (Government of) Bonds, 10 yr. 12/8/06 92 10,506,497 61,398 MSCI Taiwan Stock Index 10/30/06 258 7,402,020 (93,405) NASDAQ 100 Index 12/15/06 745 24,901,625 1,024,636 Nikkei 225 Index 12/7/06 17 2,317,037 75,641 Standard & Poor's 500 E-Mini 12/15/06 163 10,965,010 273,979 Standard & Poor's ASX 200 Index 12/21/06 132 12,740,173 195,788 Standard & Poor's/MIB Index 12/15/06 29 7,075,050 94,243 United Kingdom Long Gilt 12/27/06 111 22,869,629 143,047 U.S. Long Bonds 12/19/06 4,130 464,237,813 8,785,089 U.S. Treasury Nts., 2 yr. 12/29/06 1,423 291,003,500 907,695 U.S. Treasury Nts., 10 yr. 12/19/06 3,066 331,319,625 3,293,662 --------------- 16,633,782 --------------- CONTRACTS TO SELL Australia (Commonwealth of) Bonds, 10 yr. 12/15/06 132 10,208,863 11,136 CAC-40 10 Index 10/20/06 190 12,678,954 (304,557) Canadian Bonds, 10 yr. 12/18/06 304 31,315,196 (446,661) DAX Index 12/15/06 72 13,797,695 (283,463) FTSE 100 Index 12/15/06 255 28,582,402 (288,582) Nikkei 225 Index 12/7/06 273 37,208,889 (183,929) Standard & Poor's 500 E-Mini 12/15/06 1,947 130,974,690 (3,279,040) Standard & Poor's/Toronto Stock Exchange 60 Index 12/14/06 105 12,711,787 (234,510)
86 | OPPENHEIMER STRATEGIC INCOME FUND
VALUATION AS OF UNREALIZED EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS 2006 (DEPRECIATION) - ---------------------------------------------------------------------------------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/29/06 172 $ 35,174,000 $ (913) U.S. Treasury Nts., 5 yr. 12/29/06 1,009 106,465,266 (724,070) U.S. Treasury Nts., 10 yr. 12/19/06 1,562 168,793,625 (609,473) --------------- (6,344,062) --------------- $ 10,289,720 ===============
- -------------------------------------------------------------------------------- 7. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Fund generally purchases put options or writes covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Contracts subject to call or put, 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 [or commodity] 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 [or commodity] 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. 87 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 7. OPTION ACTIVITY Continued Written option activity for the year ended September 30, 2006 was as follows: PUT OPTIONS ------------------------------ NUMBER OF AMOUNT OF CONTRACTS PREMIUMS - -------------------------------------------------------------------------------- Options outstanding as of September 30, 2005 -- $ -- Options written 34,499,620,000 1,241,964 Options closed or expired (34,469,000,000) (722,737) ------------------------------ Options outstanding as of September 30, 2006 30,620,000 $ 519,227 ============================== - -------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS A total return swap is an agreement under which a set of future cash flows is exchanged between two counterparties. One cash flow stream will typically be based on a reference interest rate or index and the other on the total return of a reference asset such as a security, a basket of securities, or an index. The total return includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Payments under the swap are based on an agreed upon principal amount but since this principal amount is not exchanged, it represents neither an asset nor a liability to either counter-party, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities. The net change in this amount is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the agreement or unfavorable changes occur in the reference asset). As of September 30, 2006, the Fund had entered into the following total return swap agreements: 88 | OPPENHEIMER STRATEGIC INCOME FUND
UNREALIZED SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION COUNTERPARTY AMOUNT/UNITS THE FUND THE FUND DATES (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Lehman Brothers CMBS Index If negative, Spread plus the absolute value Total Return of the Total Return Amount value Amount for a for a given $ 12,000,000 given Index Period. Index Period. 12/1/06 $ 8,844 Six-Month 12,650,000 BBA LIBOR 5.46% 5/13/15 1,709,604 - --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Six-Month 7,180,000 BBA LIBOR 5.10 1/14/15 922,126 Six-Month 7,180,000 BBA LIBOR 5.08 1/20/15 959,073 - --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: One-Month USD BBA LIBOR -spread plus total return, Total Return if negative, of custom of custom equity basket, 173,000 equity basket. if positive. 10/9/07 (101,652) Price Depreciation Price Appreciation of Sao Paulo of Sao Paulo Stock Exchange Stock Exchange 4,984,181BRR Index Futures. Index Futures. 10/18/06 (64,527) Price Depreciation Price Appreciation of Sao Paulo of Sao Paulo Stock Exchange Stock Exchange 10,400,077BRR Index Futures. Index Futures. 10/18/06 (141,959) Price Depreciation Price Appreciation of Standard & of Standard & Poor's CNX Nifty Poor's CNX Nifty 329,442,300INR Index Futures. Index Futures. 10/26/06 (115,698) Price Depreciation Price Appreciation of Swiss Market of Swiss Market 8,958,033CHF Index Futures. Index Futures. 12/15/06 (178,083)
89 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS Continued
UNREALIZED SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION COUNTERPARTY AMOUNT/UNITS THE FUND THE FUND DATES (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------------- If positive, If negative, receive the Spread the absolute value on the Lehman of the Lehman Brothers CMBS Brothers CMBS AAA 8.5+ AAA 8.5+ Index Spread Lehman Brothers Index Spread Return Amount, Special Financing, Inc. $ 12,600,000 Return Amount. and Carry Amount. 12/1/06 $ 9,115 - --------------------------------------------------------------------------------------------------------------------------- Total Return Total Return of custom of custom Morgan Stanley & Co. equity basket, equity basket, International Ltd. 1,382,000 if negative. if positive. 10/6/07 (41,064) ------------ $ 2,965,779 ============
Notional amount is reported in U.S. Dollars, except for denoted in the following currencies: BRR Brazilian Real CHF Swiss Franc INR Indian Rupee Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate CMBS Commercial Mortgage Backed Securities - -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS An interest rate swap is an agreement under which a set of future cash flows is exchanged between two counterparties. Interest rate swaps involve the exchange of rights to receive or commitments to pay interest. One cash flow stream will typically be a floating rate payment based upon a specified index while the other is typically a fixed rate. Payments under the swap are based on an agreed upon principal amount but since this principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Interest rate swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities. The net change in this amount is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations. Swap agreements entail both interest rate risk and credit risk. There is a risk, based on movements of interest rates in the future, the payments made by the Fund under a swap agreement will be greater than the payments it received. Credit risk arises from the 90 | OPPENHEIMER STRATEGIC INCOME FUND possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual interest payments that the Fund has not yet received. The Manager will monitor the creditworthiness of counterparties to the Fund's interest rate swap transactions on an ongoing basis. As of September 30, 2006, the Fund had entered into the following interest rate swap agreements:
UNREALIZED SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------ Barclays Bank plc 85,300,000MXN MXN TIIE 9.2700% 7/17/26 $ 63,301 - ------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Six-Month 11,250,000PLZ WIBO 5.5200 3/24/10 125,264 Six-Month 18,000,000PLZ WIBO 5.5500 3/25/10 204,163 313,800,000TWD 2.3200% TWD-Telerate 6/27/11 (132,245) - ------------------------------------------------------------------------------------------------------------ Credit Suisse First 28-Day Boston International 68,120,000MXN MXN TIIE 10.0000 7/9/15 495,333 - ------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. Six-Month (Nassau Branch) 29,965,000PLZ WIBO 4.4800 7/1/10 (268,905) - ------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: 1,531,000,000HUF 8.4400 Six-Month BUBOR 7/4/11 (533) Six-Month 6,930,000 LIBOR 5.2500 6/23/15 692,665 - ------------------------------------------------------------------------------------------------------------ Deutsche Bank INR MIBOR- AG, 5 yr. 314,300,000INR 7.1750 OIS-Compound 6/27/11 (54,038) - ------------------------------------------------------------------------------------------------------------ Goldman Sachs Capital Markets LP: 12,475,040BRR BZDI 17.7200% 1/2/07 71,657 118,589,283BRR BZDI 17.1800 1/2/08 2,584,334 19,476,430BRR BZDI 18.1600 1/2/08 663,188 59,620,000MXN MXN TIIE 10.2900 6/14/15 532,292 67,560,000MXN MXN TIIE 10.2200 1/30/15 563,267 59,375,000MXN MXN TIIE 10.4300 5/29/15 567,379 59,375,000MXN MXN TIIE 10.3000 6/1/15 522,185 34,200,000MXN MXN TIIE 10.0000 6/24/15 243,765 - ------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The): 9,638,700BRR BZDI 17.1700 1/2/08 185,831 11,780,630BRR BZDI 17.1700 1/2/08 227,127 23,464,063BRR BZDI 18.0000 1/2/07 202,200 89,360,000BRR BZDI 14.8900 1/4/10 684,840 17,960,000BRR BZDI 14.0500 1/2/12 (13,535) 90,610,000MXN MXN TIIE 9.1500 8/27/26 (7,237)
91 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS Continued
UNREALIZED SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION APPRECIATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The): Continued 39,690,000MXN MXN TIIE 9.4100% 8/31/20 $ 120,121 70,140,000MXN MXN TIIE 10.7000 5/8/15 788,960 30,800,000MXN MXN TIIE 10.8500 3/5/15 364,732 119,100,000MXN MXN TIIE 9.5100 8/26/25 384,709 78,820,000MXN MXN TIIE 9.5000 8/28/25 246,733 - ------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The): Continued 68,200,000MXN MXN TIIE 9.2900 7/17/26 7,731 179,660,000MXN MXN TIIE 9.8400 12/31/09 880,313 - ------------------------------------------------------------------------------------------------------------ JPMorgan Chase Bank: 35,760,000BRR BZDI 13.9100 1/2/12 (101,346) 65,300,000MXN MXN TIIE 9.7600 8/17/15 372,855 169,320,000ZAR 8.2900% Three-Month JIBA 6/23/08 254,399 - ------------------------------------------------------------------------------------------------------------ Lehman Brothers Special Financing, Inc.: 52,480,000GBP 5.2500 Six-Month LIBOR 5/21/09 (249,509) 28-Day 67,450,000MXN MXN TIIE 9.9900 7/9/15 474,558 Six-Month 34,350,000PLZ WIBO 4.5300 7/5/10 (307,688) - ------------------------------------------------------------------------------------------------------------ Merrill Lynch Three-Month & Co., Inc. 251,235,000SEK STIBOR-SIDE 4.0325 6/19/12 163,548 - ------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: 12,776,603BRR BZDI 16.8800 1/2/08 191,075 25,645,000BRR BZDI 17.5900 1/2/07 190,454 - ------------------------------------------------------------------------------------------------------------ Santander Central Hispano 369,480,000BRR BZDI 14.0000 1/2/12 (23,048) - ------------------------------------------------------------------------------------------------------------ UBS AG 369,480,000NOK 4.2200 Six-Month NIBOR 2/6/12 630,481 - ------------------------------------------------------------------------------------------------------------ WestPac Banking Corp. 34,665,000NZD 6.7500 Six-Month BBR 6/29/16 (208,826) ------------ $12,332,550 ============
Notional amount is reported in U.S. Dollars, except for those denoted in the following currencies: BRR Brazilian Real GBP British Pound Sterling HUF Hungarian Forint INR Indian Rupee MXN Mexican Nuevo Peso 92 | OPPENHEIMER STRATEGIC INCOME FUND NOK Norwegian Krone NZD New Zealand Dollar PLZ Polish Zloty SEK Swedish Krona TWD New Taiwan Dollar ZAR South African Rand Index abbreviations are as follows: BBR Bank Bill Rate BUBOR Budapest Interbank Offered Rate BZDI Brazil Cetip Interbank Deposit Rate FRAS French Franc/Austrian Schilling IRS India Swap Composites JIBA South Africa Johannesburg Interbank Agreed Rate LIBOR London-Interbank Offered Rate MIBOR-OIS Mid Market Interest Rate for FRAS and IRS-Overnight Indexed Swap MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate NIBOR Norwegian Interbank Offered Rate STIBOR Stockholm Interbank Offered Rate WIBO Poland Warsaw Interbank Offer Bid Rate - -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS Credit default swaps are designed to transfer the credit exposure of fixed income products between counterparties. The Fund may enter into credit default swaps, both directly ("unfunded swaps") and indirectly in the form of a swap embedded within a structured note ("funded swaps"), to protect against the risk that a security will default. Unfunded and funded credit default swaps may be on a single security, or a basket of securities. The Fund may take a short position (purchaser of credit protection) or a long position (seller of credit protection) in the credit default swap. Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, pricing transparency when assessing the cost of a credit default swap, counterparty risk, and the need to fund the delivery obligation (either cash or defaulted bonds depending on whether the Fund is long or short the swap, respectively). The Fund would take a short position in a credit default swap (the "unfunded swap") against a long portfolio position to decrease exposure to specific high yield issuers. As a purchaser of credit protection under a 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 counter-party 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 and is included on the Statement of Operations. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the 93 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS Continued swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities. The net change in this amount is included on the Statement of Operations. Information regarding such credit default swaps as of September 30, 2006 is as follows:
NOTIONAL ANNUAL AMOUNT INTEREST REFERENCED RECEIVED BY THE RATE PAID UNREALIZED DEBT FUND UPON BY THE EXPIRATION APPRECIATION COUNTERPARTY OBLIGATION CREDIT EVENT FUND DATES (DEPRECIATION) - -------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Hungary (Republic of) $13,190,000 0.4000% 12/20/15 $ 187,707 Mexico (Government of) 12,930,000 0.6475 1/20/11 (98,118) - -------------------------------------------------------------------------------------------------------------- Deutsche Bank AG Ukraine (Republic of) 12,895,000 1.8800 3/20/11 (14,207) - -------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank Russian Federation 8,390,000 2.4000 10/9/13 (929,516) - -------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Philippines Inc. (Republic of the) 23,950,000 1.7250 12/20/11 (23,029) - -------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Colombia (Republic of) 5,880,000 3.7000 8/20/15 (632,082) Indonesia (Republic of) 7,600,000 1.6800 6/20/11 (94,638) Venezuela (Republic of) 8,275,000 2.2000 5/20/10 (319,928) Venezuela (Republic of) 12,480,000 3.4800 11/20/15 (1,001,285) ------------ $(2,925,096) ============
The Fund would take a long position in the credit default swap note (the "funded swap") to increase the exposure to specific high yield corporate issuers. As a seller of credit protection under a 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 and is included on the Statement of Operations. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities. The net change in this amount is included on the Statement of Operations. 94 | OPPENHEIMER STRATEGIC INCOME FUND Information regarding such credit default swaps as of September 30, 2006 is as follows:
NOTIONAL ANNUAL AMOUNT INTEREST REFERENCED PAID BY THE RATE RECEIVED UNREALIZED DEBT FUND UPON BY THE EXPIRATION APPRECIATION COUNTERPARTY OBLIGATION CREDIT EVENT FUND DATES (DEPRECIATION) - ---------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc. Russian Federation $12,930,000 0.6475% 1/20/11 $ 79,040 - ---------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank Ukraine (Republic of) 1,409,000 1.9200 8/20/11 5,321 - ---------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Indonesia (Republic of) 7,600,000 1.6700 6/20/11 69,891 Istanbul Bond Co. SA for Finansbank 23,940,000 1.3000 3/24/13 (799,470) - ---------------------------------------------------------------------------------------------------------------- UBS AG Indonesia (Republic of) 6,125,000 2.3000 9/20/11 203,516 ---------- $(441,702) ==========
- -------------------------------------------------------------------------------- 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. The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund purchases a swaption it risks losing only the amount of the premium they have paid should the Manager decide to let the option expire unexercised. When the Fund writes a swaption it will become obligated, upon exercise of the option, according to the terms of the underlying agreement. Swaptions written are reported as a liability in the Statement of Assets and Liabilities. Written swaption activity for the year ended September 30, 2006 was as follows: CALL SWAPTIONS -------------------------------- NOTIONAL AMOUNT OF AMOUNT PREMIUMS - -------------------------------------------------------------------------------- Swaptions outstanding as of September 30, 2005 $ 69,130,000 $ 283,433 Swaptions written 79,500,000 88,401 Swaptions closed or expired (148,630,000) (371,834) -------------------------------- Swaptions outstanding as of September 30, 2006 $ -- $ -- ================================ 95 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY As of September 30, 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 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:
VALUATION AS OF ACQUISITION SEPT. 30, UNREALIZED SECURITY DATES COST 2006 DEPRECIATION - -------------------------------------------------------------------------------------- Prandium, Inc. 3/18/99-7/18/02 $12,157,000 $ 8,274 $12,148,726 ============================================= CURRENCY Argentine Peso (ARP) 6/21/06-9/22/06 $ 2,495,208 $2,490,558 $ 4,650 =============================================
- -------------------------------------------------------------------------------- 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 securities, letters of credit 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 each day. If the Fund is undercollateralized at the close of business due to an increase in market value of securities on loan, additional collateral is requested from the borrowing coun-terparty and is delivered to the Fund on the next business day. Cash collateral may be invested in approved investments and the Fund bears the risk of any loss in value of these investments. The Fund retains a portion of the interest earned from the collateral. 96 | OPPENHEIMER STRATEGIC INCOME FUND 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. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower. As of September 30, 2006, the Fund had on loan securities valued at $431,697,370, which are included in the Statement of Assets and Liabilities as "Investments, at value" and, when applicable, as "Receivable for Investments sold." Collateral of $436,526,198 was received for the loans, of which $349,478,072 was received in cash and subsequently invested in approved investments or held as cash. - -------------------------------------------------------------------------------- 15. RECENT ACCOUNTING PRONOUNCEMENTS In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48 ("FIN 48"), ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES. FIN 48 clarifies the accounting for uncertainty in income taxes recognized in an enterprise's financial statements in accordance with FASB Statement No. 109, ACCOUNTING FOR INCOME TAXES. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether it is "more-likely-than-not" that tax positions taken in the Fund's tax return will be ultimately sustained. A tax liability and expense must be recorded in respect of any tax position that, in Management's judgment, will not be fully realized. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of September 30, 2006, the Manager is evaluating the implications of FIN 48. Its impact in the Fund's financial statements has not yet been determined. In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. As of September 30, 2006, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. - -------------------------------------------------------------------------------- 16. LITIGATION A consolidated amended complaint was filed as a putative class action against the Manager and the Transfer Agent and other defendants (including 51 of the Oppenheimer funds including the Fund) 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 97 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 16. LITIGATION Continued 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 the allegations contained in the complaint are without merit and that there are substantial grounds to sustain the district court's rulings. The Manager also believes that it is premature to render any opinion as to the likelihood of an outcome unfavorable to it, 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. 98 | OPPENHEIMER STRATEGIC INCOME FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND: We have audited the accompanying statement of assets and liabilities of Oppenheimer Strategic Income Fund, including the statement of investments, as of September 30, 2006, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2006, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Strategic Income Fund as of September 30, 2006, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Denver, Colorado November 15, 2006 99 | OPPENHEIMER STRATEGIC INCOME FUND FEDERAL INCOME TAX INFORMATION Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- In early 2007, if applicable, shareholders of record will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 2006. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends, if any, paid by the Fund during the fiscal year ended September 30, 2006 which are not designated as capital gain distributions should be multiplied by 1.48% to arrive at the amount eligible for the corporate dividend-received deduction. A portion, if any, of the dividends paid by the Fund during the fiscal year ended September 30, 2006 which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. $6,699,836 of the Fund's fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2007, shareholders of record will receive information regarding the percentage of distributions that are eligible for lower individual income tax rates. Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal year ended September 30, 2006, $176,623,671 or 36.36% of the ordinary distributions paid by the Fund qualifies as an interest related dividend. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 100 | OPPENHEIMER STRATEGIC INCOME FUND PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities ("portfolio proxies") held by the Fund. A description of the Fund's Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, (ii) on the Fund's website at www.oppenheimerfunds.com, and (iii) on the SEC's website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund's voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.525.7048, and (ii) in the Form N-PX filing on the SEC's website at www.sec.gov. The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund's Form N-Q filings are available on the SEC's website at http://www.sec.gov. Those forms may be reviewed and copied at the SEC's Public Reference Room in Washington D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. 101 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------- NAME, POSITION(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER TRUSTEESHIPS/DIRECTORSHIPS FUND, LENGTH OF SERVICE, AGE HELD; NUMBER OF PORTFOLIOS IN THE FUND COMPLEX CURRENTLY OVERSEEN INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, CENTENNIAL, CO TRUSTEES 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. WILLIAM L. ARMSTRONG, President, Colorado Christian University (since 2006); Chairman of the following Chairman of the Board private mortgage banking companies: Cherry Creek Mortgage Company (since 1991), of Trustees (since 2003) Centennial State Mortgage Company (since 1994), and The El Paso Mortgage Company and Trustee (since 1999) (since 1993); Chairman of the following private companies: Ambassador Media Age: 69 Corporation (since 1984) and Broadway Ventures (since 1984); Director of the following: Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (since 1991) and The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (since 2002); former Chairman of the following: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (insurance agency) (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 37 portfolios in the OppenheimerFunds complex. ROBERT G. AVIS, Director and President of A.G. Edwards Capital, Inc. (General Partner of private Trustee (since 1993) equity funds) (until February 2001); Chairman, President and Chief Executive Officer Age: 75 of A.G. Edwards Capital, Inc. (until March 2000); Director of A.G. Edwards & Sons, Inc. (brokerage company) (until 2000) and A.G. Edwards Trust Company (investment adviser) (until 2000); Vice Chairman and Director of A.G. Edwards, Inc. (until March 1999); Vice Chairman of A.G. Edwards & Sons, Inc. (until March 1999); Chairman of A.G. Edwards Trust Company (until March 1999) and A.G.E. Asset Management (investment adviser) (until March 1999). Oversees 37 portfolios in the OppenheimerFunds complex. GEORGE C. BOWEN, Assistant Secretary and Director of Centennial Asset Management Corporation Trustee (since 2000) (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Age: 70 Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 37 portfolios in the OppenheimerFunds complex. EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical site) (since Trustee (since 2000) June 2000); Director of Genetic ID, Inc. (biotech company) (March 2001-May 2002); Age: 68 Partner at PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 37 portfolios in the OppenheimerFunds complex. JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director of Trustee (since 1990) Northwestern Energy Corp. (public utility corporation) (since November 2004); Age: 64 Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and since February 2005); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager;
102 | OPPENHEIMER STRATEGIC INCOME FUND JON S. FOSSEL, President, Chief Executive Officer and Director of the following: Oppenheimer Continued Acquisition Corp. ("OAC") (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 37 portfolios in the OppenheimerFunds complex. SAM FREEDMAN, Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Trustee (since 1996) Freedman held several positions with the Manager and with subsidiary or affiliated Age: 66 companies of the Manager (until October 1994). Oversees 37 portfolios in the OppenheimerFunds complex. BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational organization) Trustee (since 2002) (since February 2000); Board Member of Middlebury College (educational organization) Age: 60 (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (since 2006) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds' Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (since 2001) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston's Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 37 portfolios in the OppenheimerFunds complex. ROBERT J. MALONE, Director of Jones International University (educational organization) (since August Trustee (since 2002) 2005); Chairman, Chief Executive Officer and Director of Steele Street State Bank Age: 62 (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 37 portfolios in the OppenheimerFunds complex. F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) Trustee (since 2000) (investment company) (since 1996) and MML Series Investment Fund (investment Age: 64 company) (since 1996); Trustee (since 1987) and Chairman (1994-2005) of the Investment Committee of the Worcester Polytech Institute (private university); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); and Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999). Oversees 39 portfolios in the OppenheimerFunds complex.
103 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued - -------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH AND OFFICER FLOOR, NEW YORK, NEW YORK 10281-1008. MR. MURPHY SERVES AS A TRUSTEE FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL AND AS AN OFFICER FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL. MR. MURPHY IS AN INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH OPPENHEIMERFUNDS, INC. AND ITS AFFILIATES. JOHN V. MURPHY, Chairman, Chief Executive Officer and Director (since June 2001) and President Trustee, President and (since September 2000) of the Manager; President and director or trustee of other Principle Executive Officer Oppenheimer funds; President and Director of OAC and of Oppenheimer Partnership (since 2001) Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Age: 57 Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (since November 2001); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC's parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Member of the Investment Company Institute's Board of Governors (since October 3, 2003); Chief Operating Officer of the Manager (September 2000-June 2001); President and Trustee of MML Series Investment Fund and MassMutual Select Funds (open-end investment companies) (November 1999-November 2001); Director of C.M. Life Insurance Company (September 1999-August 2000); President, Chief Executive Officer and Director of MML Bay State Life Insurance Company (September 1999-August 2000); Director of Emerald Isle Bancorp and Hibernia Savings Bank (wholly-owned subsidiary of Emerald Isle Bancorp) (June 1989-June 1998). Oversees 92 portfolios in the OppenheimerFunds complex. - ----------------------------------------------------------------------------------------------------------------------- OTHER OFFICERS THE ADDRESSES OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS. OF THE FUND STEINMETZ, ZACK, GILLESPIE AND MS. BLOOMBERG, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, NEW YORK, NEW YORK 10281-1008, FOR MESSRS. VANDEHEY, WIXTED, PETERSEN, SZILAGYI AND MS. IVES, 6803 S. TUCSON WAY, CENTENNIAL, COLORADO 80112- 3924. EACH OFFICER SERVES FOR AN INDEFINITE TERM OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView Asset Vice President and Portfolio Management Corporation (since March 2000). An officer of 3 portfolios in the Manager (since 1993) OppenheimerFunds complex. Age: 47 MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager (since March Vice President and 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Chief Compliance Officer Management Corporation and Shareholder Services, Inc. (since June 1983); Vice (since 2004) President and Director of Internal Audit of the Manager (1997-February 2004). An Age: 56 officer of 92 portfolios in the OppenheimerFunds complex.
104 | OPPENHEIMER STRATEGIC INCOME FUND BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer of Treasurer and the following: HarbourView Asset Management Corporation, Shareholder Financial Principal Financial and Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management Accounting Officer Corporation, and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI (since 1999) Private Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. Age: 47 and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief Operating Officer of Bankers Trust Company-Mutual Fund Services Division (March 1995-March 1999). An officer of 92 portfolios in the OppenheimerFunds complex. BRIAN S. PETERSEN, Assistant Vice President of the Manager (since August 2002); Manager/Financial Assistant Treasurer Product Accounting of the Manager (November 1998-July 2002). An officer of 92 (since 2004) portfolios in the OppenheimerFunds complex. Age: 36 BRIAN C. SZILAGYI, Assistant Vice President of the Manager (since July 2004); Director of Financial Assistant Treasurer Reporting and Compliance of First Data Corporation (April 2003-July 2004); Manager (since 2005) of Compliance of Berger Financial Group LLC (May 2001-March 2003); Director of Age: 36 Mutual Fund Operations at American Data Services, Inc. (September 2000-May 2001). An officer of 92 portfolios in the OppenheimerFunds complex. ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since March 2002) Vice President and Secretary of the Manager; General Counsel and Director of the Distributor (since December (since 2001) 2001); General Counsel of Centennial Asset Management Corporation (since December Age: 58 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds (Asia) Limited (since December 2003); Senior Vice President (May 1985-December 2003), Acting General Counsel (November 2001-February 2002) and Associate General Counsel (May 1981-October 2001) of the Manager; Assistant Secretary of the following: Shareholder Services, Inc. (May 1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November 2001), and OppenheimerFunds International Ltd. (September 1997-November 2001). An officer of 92 portfolios in the OppenheimerFunds complex.
105 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued - -------------------------------------------------------------------------------- LISA I. BLOOMBERG, Vice President and Associate Counsel of the Manager (since May 2004); First Vice Assistant Secretary President (April 2001-April 2004), Associate General Counsel (December 2000-April (since 2004) 2004), Corporate Vice President (May 1999-April 2001) and Assistant General Counsel Age: 38 (May 1999-December 2000) of UBS Financial Services Inc. (formerly, PaineWebber Incorporated). An officer of 92 portfolios in the OppenheimerFunds complex. KATHLEEN T. IVES, Vice President (since June 1998) and Senior Counsel and Assistant Secretary (since Assistant Secretary October 2003) of the Manager; Vice President (since 1999) and Assistant Secretary (since 2001) (since October 2003) of the Distributor; Assistant Secretary of Centennial Asset Age: 41 Management Corporation (since October 2003); Vice President and Assistant Secretary of Shareholder Services, Inc. (since 1999); Assistant Secretary of OppenheimerFunds Legacy Program and Shareholder Financial Services, Inc. (since December 2001); Assistant Counsel of the Manager (August 1994-October 2003). An officer of 92 portfolios in the OppenheimerFunds complex. PHILLIP S. GILLESPIE, Senior Vice President and Deputy General Counsel of the Manager (since September Assistant Secretary 2004); First Vice President (2000-September 2004), Director (2000-September 2004) (since 2004) and Vice President (1998-2000) of Merrill Lynch Investment Management. An officer of Age: 42 92 portfolios in the OppenheimerFunds complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY CALLING 1.800.525.7048. 106 | OPPENHEIMER STRATEGIC INCOME FUND ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees of the registrant has determined that Edward L. Cameron, the Chairman of the Board's Audit Committee, and George C. Bowen, a member of the Board's Audit Committee, are audit committee financial experts and that Messrs. Cameron and Bowen are "independent" for purposes of this Item 3. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees The principal accountant for the audit of the registrant's annual financial statements billed $77,000 in fiscal 2006 and $66,000 in fiscal 2005. (b) Audit-Related Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees during for fiscal 2006 and $2,500 for fiscal 2005. The principal accountant for the audit of the registrant's annual financial statements billed $40,000 for fiscal 2006 and no such fees for fiscal 2005 to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such services include: IRS private letter ruling (c) Tax Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees in fiscal 2006 and $6,667 in fiscal 2005to the registrant. The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such services include: Audit of the tax provision for certain structured instruments. (d) All Other Fees The principal accountant for the audit of the registrant's annual financial statements billed $22,777 in fiscal 2006 and no such fees in fiscal 2005. The principal accountant for the audit of the registrant's annual financial statements billed no such fees during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such fees include compliance review. (e) (1) During its regularly scheduled periodic meetings, the registrant's audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. (2) 100% (f) Not applicable as less than 50%. (g) The principal accountant for the audit of the registrant's annual financial statements billed $62,777 in fiscal 2006 and $9,167 in fiscal 2005 to the registrant and the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. (h) No such services were rendered. 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 08/31/2006, 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) Exhibit attached hereto. (2) Exhibits attached hereto. (3) Not applicable. (b) Exhibit attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Strategic Income Fund By: /S/ JOHN V. MURPHY ---------------------------- John V. Murphy Principal Executive Officer Date: 11/15/2006 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:11/15/2006 By: /S/ BRIAN W. WIXTED ---------------------------- Brian W. Wixted Principal Financial Officer Date:11/15/2006 EX-99.CERT 2 ra230_35563ex302.txt RA230_35563EX302 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-CSR of Oppenheimer Strategic Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 11/15/2006 /S/ JOHN V. MURPHY - ----------------------------- John V. Murphy Principal Executive Officer Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-CSR of Oppenheimer Strategic Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: 11/15/2006 /S/ BRIAN W. WIXTED - ----------------------------- Brian W. Wixted Principal Financial Officer EX-99.906CERT 3 ra230_35563ex906.txt RA230_35563EX906 EX-99.906CERT Section 906 Certifications CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350, AS ADOPTED PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 John V. Murphy, Principal Executive Officer, and Brian W. Wixted, Principal Financial Officer, of Oppenheimer Strategic Income Fund (the "Registrant"), each certify to the best of his knowledge that: 1. The Registrant's periodic report on Form N-CSR for the period ended 08/31/2006 (the "Form N-CSR") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. ss. 1350 and is not being filed as part of the Form N-CSR filed with the Commission. Principal Executive Officer Principal Financial Officer Oppenheimer Strategic Income Fund Oppenheimer Strategic Income Fund /S/ JOHN V. MURPHY /S/ BRIAN W. WIXTED - ------------------------------------- ----------------------------------- John V. Murphy Brian W. Wixted Date: 11/15/2006 Date: 11/15/2006 EX-99.CODE ETH 4 ra230_35563ex99codeeth.txt RA230_35563EX99CODEETH EX-99.CODE ETH CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND SENIOR FINANCIAL OFFICERS OF THE OPPENHEIMER FUNDS AND OF OPPENHEIMERFUNDS, INC. This Code of Ethics for Principal Executive and Senior Financial Officers (referred to in this document as the "Code") has been adopted by each of the investment companies for which OppenheimerFunds, Inc. or one of its subsidiaries or affiliates (referred to collectively in this document as "OFI") acts as investment adviser (individually, a "Fund" and collectively, the "Funds"), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406. This Code applies to OFI's and each Fund's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions ("Covered Officers"). A listing of positions currently within the ambit of Covered Officers is attached as EXHIBIT A. 1 1. PURPOSE OF THE CODE This Code sets forth standards and procedures that are reasonably designed to deter wrongdoing and promote: o honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; o full, fair, accurate, timely, and understandable disclosure in reports and documents that a Fund files with, or submits to, the U.S. Securities and Exchange Commission ("SEC") and in other public communications made by the Fund; o compliance with applicable governmental laws, rules and regulations; o the prompt internal reporting of violations of this Code to the Code Administrator identified below; and o accountability for adherence to this Code. In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the - ---------- 1 The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code. following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Fund's financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Funds' business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest. It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFI's fiduciary duties to each Fund, the Covered Officers will, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds. 1. PROHIBITIONS The specific provisions and reporting requirements of this Code are concerned primarily with promoting honest and ethical conduct and avoiding conflicts of interest in personal and professional relationships. No Covered Officer may use information concerning the business and affairs of a Fund, including the investment intentions of a Fund, or use his or her ability to influence such investment intentions, for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the interests of a Fund or its shareholders. No Covered Officer may use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund and its shareholders. No Covered Officer shall intentionally for any reason take any action or fail to take any action in connection with his or her official acts on behalf of a Fund that causes the Fund to violate applicable laws, rules and regulations. No Covered Officer shall, in connection with carrying out his or her official duties and responsibilities on behalf of a Fund: (i) employ any device, scheme or artifice to defraud a Fund or its shareholders; (ii) intentionally cause a Fund to make any untrue statement of a material fact or omit to state a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading in its official documents, regulatory filings, financial statements or communications to the public; (iii) engage in any act, practice, or course of business which operates or would operate as a fraud or deceit upon any Fund or its shareholders; (iv) engage in any manipulative practice with respect to any Fund; (v) use his or her personal influence or personal relationships to influence any business decision, investment decisions, or financial reporting by a Fund whereby the Covered Officer would benefit personally to the detriment of the Fund or its shareholders; (vi) intentionally cause a Fund to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that a Fund files with, or submits to, the SEC and in other public communications made by the Fund; (vii) intentionally mislead or omit to provide material information to the Fund's independent auditors or to the Board of Trustees/Directors or the officers of the Fund or its investment adviser in connection with financial reporting matters; (viii) fail to notify the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser promptly if he or she becomes aware of any existing or potential violations of this Code or applicable laws; (ix) retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code; or (x) fails to acknowledge or certify compliance with this Code if requested to do so. 3. REPORTS OF CONFLICTS OF INTERESTS If a Covered Officer becomes aware of a conflict of interest under this Code or, to the Covered Officer's reasonable belief, the appearance of one, he or she must immediately report the matter to the Code's Administrator. If the Code Administrator is involved or believed to be involved in the conflict of interest or appearance of conflict of interest, the Covered Officer shall report the matter directly to the OFI's Chief Executive Officer. Upon receipt of a report of a conflict, the Code Administrator will take prompt steps to determine whether a conflict of interest exists. If the Code Administrator determines that an actual conflict of interest exists, the Code Administrator will take steps to resolve the conflict. If the Code Administrator determines that the appearance of a conflict exists, the Code Administrator will take appropriate steps to remedy such appearance. If the Code Administrator determines that no conflict or appearance of a conflict exists, the Code Administrator shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the Code Administrator may in his or her discretion refer the matter to the Fund's Board of Trustees/Directors. 4. WAIVERS Any Covered Officer requesting a waiver of any of the provisions of this Code must submit a written request for such waiver to the Code Administrator, setting forth the basis of such request and all necessary facts upon which such request can be evaluated. The Code Administrator shall review such request and make a written determination thereon, which shall be binding. The Code Administrator may in reviewing such request, consult at his discretion with legal counsel to OFI or to the Fund. In determining whether to waive any of the provisions of this Code, the Code Administrator shall consider whether the proposed waiver: (i) is prohibited by this Code; (ii) is consistent with honest and ethical conduct; and (iii) will result in a conflict of interest between the Covered Officer's personal and professional obligations to a Fund. In lieu of determining whether to grant a waiver, the Code Administrator in his or her discretion may refer the matter to the appropriate Fund's Board of Trustees/Directors. 5. REPORTING REQUIREMENTS (a) Each Covered Officer shall, upon becoming subject to this Code, be provided with a copy of this Code and shall affirm in writing that he or she has received, read, understands and shall adhere to this Code. (b) At least annually, all Covered Officers shall be provided with a copy of this Code and shall certify that they have read and understand this Code and recognize that they are subject thereto. (c) At least annually, all Covered Officers shall certify that they have complied with the requirements of this Code and that they have disclosed or reported any violations of this Code to the Code Administrator or the Chief Executive Officer of the Fund or its investment adviser. (d) The Code Administrator shall submit a quarterly report to the Board of Trustees/Directors of each Fund containing (i) a description of any report of a conflict of interest or apparent conflict and the disposition thereof; (ii) a description of any request for a waiver from this Code and the disposition thereof; (iii) any violation of the Code that has been reported or found and the sanction imposed; (iv) interpretations issued under the Code by the Code Administrator; and (v) any other significant information arising under the Code including any proposed amendments. (e) Each Covered Officer shall notify the Code Administrator promptly if he or she knows of or has a reasonable belief that any violation of this Code has occurred or is likely to occur. Failure to do so is itself a violation of this Code. (f) Any changes to or waivers of this Code, including "implicit" waivers as defined in applicable SEC rules, will, to the extent required, be disclosed by the Code Administrator or his or her designee as provided by applicable SEC rules.(2) 6. ANNUAL RENEWAL At least annually, the Board of Trustees/Directors of each Fund shall review the Code and determine whether any amendments (including any amendments that may be recommended by OFI or the Fund's legal counsel) are necessary or desirable, and shall consider whether to renew and/or amend the Code. 7. SANCTIONS Any violation of this Code of Ethics shall be subject to the imposition of such sanctions by OFI as may be deemed appropriate under the circumstances to achieve the purposes of this Code and may include, without limitation, a letter of censure, suspension from employment or termination of employment, in the sole discretion of OFI. 8. ADMINISTRATION AND CONSTRUCTION (a) The administration of this Code of Ethics shall be the responsibility of OFI's General Counsel or his designee as the "Code Administrator" of this Code, acting under the terms of this Code and the oversight of the Trustees/Directors of the Funds. (b) The duties of such Code Administrator will include: (i) Continuous maintenance of a current list of the names of all Covered Officers; (ii) Furnishing all Covered Officers a copy of this Code and initially and periodically informing them of their duties and obligations thereunder; (iii) Maintaining or supervising the maintenance of all records required by this Code, including records of waivers granted hereunder; (iv) Issuing interpretations of this Code which appear to the Code Administrator to be consistent with the objectives of this Code and any applicable laws or regulations; (v) Conducting such inspections or investigations as shall reasonably be required to detect and report any violations of this Code, with his or her recommendations, - ---------- 2 An "implicit waiver" is the failure to take action within a reasonable period of time regarding a material departure from a provision of this Code that has been made known to the General Counsel, the Code Administrator, an executive officer of the Fund or OFI. to the Chief Executive Officer of OFI and to the Trustees/Directors of the affected Fund(s) or any committee appointed by them to deal with such information; and (vi) Periodically conducting educational training programs as needed to explain and reinforce the terms of this Code. (c) In carrying out the duties and responsibilities described under this Code, the Code Administrator may consult with legal counsel, who may include legal counsel to the applicable Funds, and such other persons as the Administrator shall deem necessary or desirable. The Code Administrator shall be protected from any liability hereunder or under any applicable law, rule or regulation, for decisions made in good faith based upon his or her reasonable judgment. 9. REQUIRED RECORDS The Administrator shall maintain and cause to be maintained in an easily accessible place, the following records for the period required by applicable SEC rules (currently six years following the end of the fiscal year of OFI in which the applicable event or report occurred): (a) A copy of any Code which has been in effect during the period; (b) A record of any violation of any such Code and of any action taken as a result of such violation, during the period; (c) A copy of each annual report pursuant to the Code made by a Covered Officer during the period; (d) A copy of each report made by the Code Administrator pursuant to this Code during the period; (e) A list of all Covered Officers who are or have been required to make reports pursuant to this Code during the period, plus those person(s) who are or were responsible for reviewing these reports; (f) A record of any request to waive any requirement of this Code, the decision thereon and the reasons supporting the decision; and (g) A record of any report of any conflict of interest or appearance of a conflict of interest received by the Code Administrator or discovered by the Code Administrator during the period, the decision thereon and the reasons supporting the decision. 10. AMENDMENTS AND MODIFICATIONS Other than non-substantive or administrative changes, this Code may not be amended or modified unless approved or ratified by the Board of Trustees/Directors of each Fund. 11. CONFIDENTIALITY. This Code is identified for the internal use of the Funds and OFI. Reports and records prepared or maintained under this Code are considered confidential and shall be maintained and protected accordingly to the extent permitted by applicable laws, rules and regulations. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Trustees/Directors of the affected Fund(s) and their counsel, the independent auditors of the affected Funds and/or OFI, and to OFI, except as such disclosure may be required pursuant to applicable judicial or regulatory process. Dated as of: June 25, 2003, as revised July 31, 2006 Adopted by Board I of the Oppenheimer Funds June 13, 2003, revisions approved August 10, 2006 /S/ ROBERT G. ZACK - ------------------ Robert G. Zack, Secretary Adopted by Board II of the Oppenheimer/Centennial Funds June 24, 2003, revisions approved August 30, 2006 /S/ ROBERT G. ZACK - ------------------ Robert G. Zack, Secretary Adopted by Board III of the Oppenheimer Funds June 9, 2003, revisions approved July 31, 2006 /S/ ROBERT G. ZACK - ------------------ Robert G. Zack, Secretary Robert G. Zack, Secretary Adopted by the Boards of Directors of OppenheimerFunds, Inc. and its subsidiaries and affiliates that act as investment adviser to the Oppenheimer or Centennial funds June 1, 2003 /S/ ROBERT G. ZACK - ------------------ Robert G. Zack, Senior Vice President and General Counsel Exhibit A Positions Covered by this Code of Ethics for Senior Officers EACH OPPENHEIMER OR CENTENNIAL FUND Principal Executive Officer Principal Financial Officer Treasurer Assistant Treasurer PERSONNEL OF OFI WHO BY VIRTUE OF THEIR JOBS PERFORM CRITICAL FINANCIAL AND ACCOUNTING FUNCTIONS FOR OFI ON BEHALF OF A FUND, INCLUDING: Chief Financial Officer Treasurer Senior Vice President/Fund Accounting Vice President/Fund Accounting -----END PRIVACY-ENHANCED MESSAGE-----