N-CSRS 1 rs230_39469ncsrs.txt RS230_39469NCSRS.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-5724 -------- OPPENHEIMER STRATEGIC INCOME FUND --------------------------------- (Exact name of registrant as specified in charter) 6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008 --------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: SEPTEMBER 30 ------------ Date of reporting period: 03/31/2007 ---------- ITEM 1. REPORTS TO STOCKHOLDERS. TOP HOLDINGS AND ALLOCATIONS -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES -------------------------------------------------------------------------------- Media 3.5% -------------------------------------------------------------------------------- Oil & Gas 2.7 -------------------------------------------------------------------------------- Hotels, Restaurants & Leisure 1.7 -------------------------------------------------------------------------------- Commercial Banks 1.6 -------------------------------------------------------------------------------- Diversified Financial Services 1.4 -------------------------------------------------------------------------------- Diversified Telecommunication Services 1.3 -------------------------------------------------------------------------------- Thrifts & Mortgage Finance 1.3 -------------------------------------------------------------------------------- Wireless Telecommunication Services 1.3 -------------------------------------------------------------------------------- Electric Utilities 1.1 -------------------------------------------------------------------------------- Containers & Packaging 1.1 Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2007, and are based on net assets. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Corporate Bonds 26.9% Foreign Government Bonds 24.1 Government Agency Bonds 20.0 Other Bonds 18.7 Stocks 1.0 U.S. Government Bonds 4.6 Cash Equivalents 4.7 Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2007, 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 NOTES -------------------------------------------------------------------------------- Total returns include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. Cumulative total returns are not annualized. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. The Fund's investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. CLASS B shares of the Fund were first publicly offered on 11/30/92. Unless otherwise noted, Class B returns include the applicable contingent deferred sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class A shares 72 months after purchase, the 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. 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. 10 | OPPENHEIMER STRATEGIC INCOME FUND 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. 11 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES -------------------------------------------------------------------------------- FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees, if any; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended March 31, 2007. 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 12 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES -------------------------------------------------------------------------------- the Statement of Additional Information). Therefore, the "hypothetical" lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING VALUE VALUE 6 MONTHS ENDED (10/1/06) (3/31/07) MARCH 31, 2007 ---------------------------------------------------------------------------- Class A Actual $ 1,000.00 $ 1,067.60 $ 4.70 ---------------------------------------------------------------------------- Class A Hypothetical 1,000.00 1,020.39 4.59 ---------------------------------------------------------------------------- Class B Actual 1,000.00 1,060.70 8.82 ---------------------------------------------------------------------------- Class B Hypothetical 1,000.00 1,016.40 8.63 ---------------------------------------------------------------------------- Class C Actual 1,000.00 1,061.10 8.62 ---------------------------------------------------------------------------- Class C Hypothetical 1,000.00 1,016.60 8.43 ---------------------------------------------------------------------------- Class N Actual 1,000.00 1,062.80 6.86 ---------------------------------------------------------------------------- Class N Hypothetical 1,000.00 1,018.30 6.71 ---------------------------------------------------------------------------- Class Y Actual 1,000.00 1,069.50 2.89 ---------------------------------------------------------------------------- Class Y Hypothetical 1,000.00 1,022.14 2.83 Hypothetical assumes 5% annual return before expenses. Expenses are equal to the Fund's annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended March 31, 2007 are as follows: CLASS EXPENSE RATIOS ----------------------------- Class A 0.91% ----------------------------- Class B 1.71 ----------------------------- Class C 1.67 ----------------------------- Class N 1.33 ----------------------------- Class Y 0.56 The expense ratios reflect voluntary waivers or reimbursements of expenses by the Fund's Manager that can be terminated at any time, without advance notice. The "Financial Highlights" tables in the Fund's financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements. -------------------------------------------------------------------------------- 13 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS March 31, 2007 / Unaudited --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--1.9% --------------------------------------------------------------------------------------------------------------------- Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.50%, 11/25/35 1 $ 2,450,000 $ 2,452,157 --------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.38%, 4/20/08 1 1,450,000 1,450,655 --------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.80%, 5/25/34 1 6,446,741 6,471,579 --------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 5.42%, 9/25/36 1,2 2,090,000 2,087,552 --------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.42%, 5/26/36 1 3,665,000 3,663,787 --------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed Securities, Series 2006-A, Cl. A2, 5.30%, 5/26/09 4,070,000 4,070,448 --------------------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 4,920,000 4,884,661 --------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates: Series 2005-D, Cl. AF1, 5.04%, 10/25/35 466,879 465,379 Series 2005-D, Cl. AV2, 5.59%, 10/25/35 1 244,000 244,193 --------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.42%, 5/16/36 1 4,590,000 4,591,058 --------------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 3,124,131 3,053,850 --------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2005-WF2, Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 3,544,607 3,521,029 --------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 5.42%, 10/31/36 1,2 2,510,000 2,508,431 --------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WFHE4, Asset-Backed Pass-Through Certificates, Series 2006-WFH4, Cl. AS, 5.42%, 11/25/36 1,2 4,777,000 4,774,014 --------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-10, Asset-Backed Certificates, Series 2005-10, Cl. AF1, 5.48%, 2/25/36 1 838,012 838,593 --------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 1,720,000 1,714,882 --------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 5.52%, 5/25/36 1 1,361,099 1,362,026 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,150,000 1,146,396 --------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 5.44%, 12/25/29 1 3,874,000 3,873,117 --------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates, Series 2006-C, Cl. A2, 5.33%, 5/8/09 7,100,000 7,095,882 --------------------------------------------------------------------------------------------------------------------- DLJ Ltd., Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/11 2,3,4 15,000,000 1,500 --------------------------------------------------------------------------------------------------------------------- DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 2 3,083,887 510,769
14 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued --------------------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 2,3,4 $ 2,275,079 $ 22,751 --------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.53%, 11/25/35 1 7,200,000 7,206,453 --------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.41%, 7/25/36 1 3,620,000 3,620,022 --------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.37%, 5/15/36 1 1,509,896 1,510,903 --------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36 1 1,850,000 1,850,430 --------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 1,343,098 1,337,213 --------------------------------------------------------------------------------------------------------------------- Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 0.125%, 6/13/11 1,2 6,932,011 -- --------------------------------------------------------------------------------------------------------------------- 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 4,306,313 --------------------------------------------------------------------------------------------------------------------- Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 4,912,846 1,006,467 --------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates: Series 2005-3, Cl. A1, 5.58%, 1/20/35 1 2,100,858 2,101,254 Series 2006-4, Cl. A2V, 5.43%, 3/20/36 1,2 1,450,000 1,449,708 --------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,259,249 2,245,957 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 2,235,851 2,227,645 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,939,694 1,932,606 --------------------------------------------------------------------------------------------------------------------- Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 0.303%, 3/24/14 1,2 3,566,342 142,654 --------------------------------------------------------------------------------------------------------------------- Mastr Asset Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 5.42%, 8/25/36 1,2 5,330,000 5,330,160 --------------------------------------------------------------------------------------------------------------------- Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series 2005-WMC6, Cl. A2B, 5.58%, 7/25/35 1 2,230,000 2,233,279 --------------------------------------------------------------------------------------------------------------------- NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 0.64%, 1/25/29 2 4,420,411 928,286 --------------------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.42%, 7/1/36 1 6,040,000 6,040,377 --------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 1,601,600 1,592,016 --------------------------------------------------------------------------------------------------------------------- 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 1,817,334 --------------------------------------------------------------------------------------------------------------------- RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 1,865,711 1,854,611
15 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued --------------------------------------------------------------------------------------------------------------------- RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.40%, 7/25/36 1 $ 1,636,123 $ 1,637,142 --------------------------------------------------------------------------------------------------------------------- RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass- Through Certificates, Series 2006-KS7, Cl. A2, 5.42%, 9/25/36 1 4,510,000 4,510,354 --------------------------------------------------------------------------------------------------------------------- Specialty Underwriting & Residential Finance Trust, Home Equity Asset- Backed Obligations, Series 2005-BC3, Cl. A2B, 5.57%, 6/25/36 1 11,830,000 11,854,809 --------------------------------------------------------------------------------------------------------------------- Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F, 22.36%, 6/7/11 1,2 3,560,000 3,560,000 --------------------------------------------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.38%, 4/25/36 1 1,330,228 1,330,739 --------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates: Series 2003-25XS, Cl. A4, 4.51%, 8/25/33 58,867 58,699 Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 3,021,164 3,016,076 --------------------------------------------------------------------------------------------------------------------- Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates, Series 2006-1A, Cl. C, 8.62%, 11/14/13 1,2 2,595,000 2,595,000 --------------------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.42%, 7/25/36 1 3,600,000 3,599,265 ---------------- Total Asset-Backed Securities (Cost $178,293,627) 143,700,481 --------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--20.7% --------------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--17.8% --------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--17.2% Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 2,127,745 2,201,507 --------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 5,703,126 5,535,159 5%, 4/1/37 5 17,996,000 17,394,250 6%, 4/1/17-9/1/24 23,727,150 24,125,862 6.50%, 4/1/18-8/1/32 15,882,410 16,317,079 7%, 8/1/21-10/1/31 5,951,485 6,190,082 7.50%, 2/1/32-4/1/36 9,322,501 9,770,522 8.50%, 8/1/31 635,687 683,047 10%, 4/1/20-5/1/20 189,755 210,711 10.50%, 5/1/20 254,773 286,154 11.50%, 10/1/16 178,686 193,941 12%, 5/1/10-6/1/17 605,930 661,205 --------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2368, Cl. TG, 6%, 10/15/16 1,620,532 1,650,191 Series 2410, Cl. PF, 6.30%, 2/15/32 1 14,018,799 14,361,215 Series 2435, Cl. EQ, 6%, 5/15/31 7,790,000 7,845,294 Series 2641, Cl. CE, 3.50%, 9/15/25 4,102,026 4,006,469 Series 2727, Cl. UA, 3.50%, 10/15/22 2,313,456 2,275,358 Series 2736, Cl. DB, 3.30%, 11/15/26 17,947,559 17,417,885
16 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Continued Series 2777, Cl. PJ, 4%, 5/15/24 $ 2,382,270 $ 2,350,863 Series 2934, Cl. NA, 5%, 4/15/24 6,223,453 6,198,447 Series 3057, Cl. LG, 5%, 10/15/35 5,000,000 4,689,597 Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,118,192 Series 3138, Cl. PA, 5.50%, 2/15/27 26,320,048 26,421,862 --------------------------------------------------------------------------------------------------------------------- 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 8,762,796 9,259,855 Series 1590, Cl. IA, 6.425%, 10/15/23 1 5,908,192 6,088,478 Series 2002-66, Cl. FG, 6.32%, 9/25/32 1 8,184,903 8,332,489 Series 2006-11, Cl. PS, 5.06%, 3/25/36 1 3,183,243 3,192,417 Series 2043, Cl. ZP, 6.50%, 4/15/28 4,260,607 4,390,746 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,816,641 1,852,368 Series 2080, Cl. Z, 6.50%, 8/15/28 2,982,058 3,056,818 Series 2173, Cl. Z, 6.50%, 7/15/29 12,243,560 12,633,739 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,279,879 1,313,653 Series 2344, Cl. FP, 6.27%, 8/15/31 1 2,822,340 2,881,762 Series 2387, Cl. PD, 6%, 4/15/30 452,635 452,929 Series 2412, Cl. GF, 6.27%, 2/15/32 1 6,695,135 6,852,396 Series 2427, Cl. ZM, 6.50%, 3/15/32 5,650,987 5,815,961 Series 2451, Cl. FD, 6.32%, 3/15/32 1 2,165,210 2,216,540 Series 2464, Cl. FI, 6.32%, 2/15/32 1 2,302,115 2,362,080 Series 2470, Cl. AF, 6.32%, 3/15/32 1 3,647,117 3,742,410 Series 2470, Cl. LF, 6.32%, 2/15/32 1 2,355,656 2,418,667 Series 2471, Cl. FD, 6.32%, 3/15/32 1 4,269,119 4,387,855 Series 2475, Cl. FB, 6.32%, 2/15/32 1 3,480,580 3,580,841 Series 2500, Cl. FD, 5.82%, 3/15/32 1 743,769 751,300 Series 2517, Cl. GF, 6.32%, 2/15/32 1 1,922,804 1,982,008 Series 2526, Cl. FE, 5.72%, 6/15/29 1 987,435 996,694 Series 2551, Cl. FD, 5.72%, 1/15/33 1 767,703 775,125 Series 2583, Cl. KA, 5.50%, 3/15/22 458,011 457,364 Series 2676, Cl. TF, 5.92%, 1/15/32 1 3,428,298 3,480,892 Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,775,424 Series 3025, Cl. SJ, 5.243%, 8/15/35 1 3,515,316 3,577,872 --------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. IO, 12.45%, 7/1/26 6 3,065,289 674,768 Series 183, Cl. IO, 7.237%, 4/1/27 6 1,208,161 276,932 Series 192, Cl. IO, 13.621%, 2/1/28 6 544,927 129,468 Series 200, Cl. IO, 12.087%, 1/1/29 6 643,053 143,470 Series 2003-118, Cl. S, 8.73%, 12/25/33 6 9,284,238 1,107,271 Series 2003-13, Cl. IO, 7.68%, 3/25/33 6 5,362,772 1,229,045 Series 2003-26, Cl. IO, 7.763%, 4/25/33 6 4,260,771 997,264 Series 2005-87, Cl. SE, 5.397%, 10/25/35 6 54,164,602 2,111,407 Series 2005-87, Cl. SG, 9.45%, 10/25/35 6 16,006,863 954,718 Series 203, Cl. IO, 3.143%, 6/1/29 6 2,322,937 510,781
17 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Continued Series 204, Cl. IO, (7.281)%, 5/1/29 6 $ 189,683 $ 41,084 Series 205, Cl. IO, 8.943%, 9/1/29 6 2,870,421 648,698 Series 206, Cl. IO, (13.497)%, 12/1/29 6 979,215 232,850 Series 207, Cl. IO, (17.772)%, 4/1/30 6 1,130,501 263,368 Series 2074, Cl. S, (0.506)%, 7/17/28 6 690,496 69,749 Series 2079, Cl. S, (1.168)%, 7/17/28 6 1,112,891 123,362 Series 208, Cl. IO, (3.826)%, 6/1/30 6 1,954,627 431,525 Series 212, Cl. IO, 3.631%, 5/1/31 6 4,540,980 982,970 Series 214, Cl. IO, (9.691)%, 6/1/31 6 1,088,454 248,852 Series 216, Cl. IO, 12.223%, 12/1/31 6 1,798,295 387,710 Series 224, Cl. IO, 7.682%, 3/1/33 6 5,392,173 1,209,588 Series 243, Cl. 6, 26.368%, 12/15/32 6 3,381,131 766,916 Series 2526, Cl. SE, 1.188%, 6/15/29 6 1,763,897 86,124 Series 2802, Cl. AS, 1.619%, 4/15/33 6 5,591,839 330,951 Series 2819, Cl. S, (1.069)%, 6/15/34 6 15,547,400 1,208,541 Series 2920, Cl. S, (4.223)%, 1/15/35 6 8,998,783 426,181 Series 3000, Cl. SE, (4.55)%, 7/15/25 6 11,537,618 447,995 Series 3004, Cl. SB, 8.439%, 7/15/35 6 17,425,752 638,844 Series 3110, Cl. SL, 4.408%, 2/15/26 6 2,930,384 103,808 --------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 4/1/18-12/1/20 114,901,988 111,462,777 5%, 12/1/17-3/1/34 156,909,963 153,447,745 5%, 12/1/17-4/1/22 5 94,889,666 93,691,284 5.50%, 1/1/33-11/1/34 69,943,207 69,391,187 5.50%, 4/1/22-4/1/37 5 81,640,000 81,011,333 6%, 7/1/24-11/1/33 71,225,889 72,127,887 6%, 4/1/21 5 76,051,000 77,310,557 6.50%, 5/1/17-9/1/32 40,941,540 42,100,688 6.50%, 4/1/37 5 32,114,000 32,766,300 7%, 11/1/17-9/1/34 42,195,744 44,010,354 7.50%, 6/1/10-1/1/33 14,832,490 15,556,909 8.50%, 7/1/32 113,803 122,699 9.50%, 4/1/20-3/15/21 116,721 127,611 11%, 10/15/15-2/1/26 435,516 483,944 13%, 6/1/15 89,046 99,922 15%, 4/15/13 330,000 377,193 --------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO Interest-Only Stripped Mtg.-Backed Security: Trust 2001-T10, Cl. IO, 4.186%, 12/25/41 6 161,555,071 2,238,636 Trust 2001-T3, Cl. IO, 25.791%, 11/25/40 6 19,028,054 392,798 Trust 2001-T4, Cl. IO, 14.083%, 7/25/41 6 31,145,487 736,479 --------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1996-35, Cl. Z, 7%, 7/25/26 213,966 220,973 Trust 1997-45, Cl. CD, 8%, 7/18/27 2,229,006 2,357,038
18 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Continued Trust 1998-58, Cl. PC, 6.50%, 10/25/28 $ 2,750,030 $ 2,839,056 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,199,000 4,334,848 Trust 2001-50, Cl. NE, 6%, 8/25/30 272,989 273,469 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 196,815 201,632 Trust 2001-65, Cl. F, 5.92%, 11/25/31 1 4,228,689 4,256,989 Trust 2001-69, Cl. PF, 6.32%, 12/25/31 1 4,700,000 4,808,356 Trust 2001-70, Cl. LR, 6%, 9/25/30 564,279 564,334 Trust 2001-72, Cl. NH, 6%, 4/25/30 65,011 64,859 Trust 2001-74, Cl. PD, 6%, 5/25/30 51,464 51,322 Trust 2001-80, Cl. ZB, 6%, 1/25/32 5,260,437 5,356,600 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,223,474 2,302,869 Trust 2002-19, Cl. PE, 6%, 4/25/17 2,353,637 2,395,970 Trust 2002-21, Cl. PE, 6.50%, 4/25/32 5,519,992 5,680,556 Trust 2002-29, Cl. F, 6.32%, 4/25/32 1 2,494,478 2,573,557 Trust 2002-60, Cl. FH, 6.32%, 8/25/32 1 4,879,258 5,026,791 Trust 2002-64, Cl. FJ, 6.32%, 4/25/32 1 766,660 785,432 Trust 2002-68, Cl. FH, 5.82%, 10/18/32 1 1,635,919 1,661,546 Trust 2002-9, Cl. PC, 6%, 3/25/17 4,675,393 4,763,354 Trust 2003-116, Cl. FA, 5.72%, 11/25/33 1 958,616 965,746 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 4,963,000 4,879,944 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,066,000 11,858,484 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,409,559 Trust 2003-3, Cl. FM, 5.82%, 4/25/33 1 3,597,922 3,623,294 Trust 2003-81, Cl. PW, 4%, 3/25/25 4,940,180 4,860,080 Trust 2003-84, Cl. AJ, 3%, 4/25/13 6,228,243 6,118,075 Trust 2003-84, Cl. PW, 3%, 6/25/22 3,630,629 3,579,574 Trust 2004-101, Cl. BG, 5%, 1/25/20 4,201,000 4,134,038 Trust 2004-52, Cl. JR, 4.50%, 7/25/24 9,459,098 9,367,660 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 2,910,000 2,817,258 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,823,208 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,276,221 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 10,900,000 10,928,733 Trust 2006-46, Cl. SW, 4.693%, 6/25/36 1 4,637,532 4,563,623 Trust 2006-50, Cl. KS, 4.693%, 6/25/36 1 4,063,014 3,965,922 Trust 2006-50, Cl. SA, 4.693%, 6/25/36 1 4,680,365 4,567,917 Trust 2006-50, Cl. SK, 4.693%, 6/25/36 1 842,900 820,407 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 13,381,950 13,411,194 --------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 8.447%, 11/18/31 6 5,495,052 553,733 Trust 2001-63, Cl. SD, 1.876%, 12/18/31 6 72,438 7,303 Trust 2001-68, Cl. SC, 1.766%, 11/25/31 6 50,256 4,860 Trust 2001-81, Cl. S, 0.036%, 1/25/32 6 1,311,143 127,748 Trust 2002-28, Cl. SA, (0.478)%, 4/25/32 6 917,163 84,621 Trust 2002-38, Cl. IO, (4.983)%, 4/25/32 6 786,583 45,610 Trust 2002-39, Cl. SD, (3.217)%, 3/18/32 6 1,288,907 110,944 Trust 2002-48, Cl. S, (0.136)%, 7/25/32 6 1,470,013 141,473 Trust 2002-52, Cl. SL, (0.155)%, 9/25/32 6 872,817 84,641
19 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued Trust 2002-53, Cl. SK, (2.794)%, 4/25/32 6 $ 803,698 $ 75,593 Trust 2002-56, Cl. SN, 0.875%, 7/25/32 6 2,015,604 203,761 Trust 2002-65, Cl. SC, (4.693)%, 6/25/26 6 2,561,439 197,234 Trust 2002-77, Cl. IS, (0.131)%, 12/18/32 6 1,340,105 122,334 Trust 2002-77, Cl. SH, 0.595%, 12/18/32 6 1,561,024 153,623 Trust 2002-89, Cl. S, 10.944%, 1/25/33 6 6,663,597 627,279 Trust 2002-9, Cl. MS, (0.14)%, 3/25/32 6 1,716,553 168,008 Trust 2003-33, Cl. SP, 9.60%, 5/25/33 6 5,606,693 709,054 Trust 2003-4, Cl. S, 7.111%, 2/25/33 6 2,885,292 336,293 Trust 2005-105, Cl. S, 8.513%, 12/25/35 6 12,586,517 745,987 Trust 2005-40, Cl. SA, (4.194)%, 5/25/35 6 13,669,894 670,679 Trust 2005-40, Cl. SB, (2.111)%, 5/25/35 6 6,282,399 340,405 Trust 2005-71, Cl. SA, 3.17%, 8/25/25 6 7,293,305 426,248 Trust 2005-83, Cl. SL, 7.325%, 10/25/35 6 13,446,224 773,085 Trust 2006-119, Cl. MS, 8.231%, 12/25/36 6 13,141,980 785,952 Trust 2006-33, Cl. SP, 12.46%, 5/25/36 6 7,942,251 684,088 Trust 2006-34, Cl. SK, 12.011%, 5/25/36 6 15,824,310 1,350,698 Trust 2006-75, Cl. SA, 8.27%, 8/25/36 6 4,967,676 263,579 Trust 2006-90, Cl. SX, 11.452%, 9/25/36 6 13,327,456 799,570 Trust 221, Cl. 2, 11.125%, 5/1/23 6 1,101,732 260,470 Trust 240, Cl. 2, 19.296%, 9/1/23 6 1,834,881 425,974 Trust 247, Cl. 2, 14.041%, 10/1/23 6 226,151 58,876 Trust 2682, Cl. TQ, 12.706%, 10/15/33 6 6,102,288 357,261 Trust 2981, Cl. BS, 12.391%, 5/15/35 6 11,608,746 597,075 Trust 301, Cl. 2, 4.031%, 4/1/29 6 1,802,640 409,477 Trust 303, Cl. IO, 11.125%, 11/1/29 6 1,068,736 261,743 Trust 313, Cl. 2, (9.523)%, 6/1/31 6 6,452,127 1,496,942 Trust 319, Cl. 2, 10.572%, 2/1/32 6 48,620 11,449 Trust 321, Cl. 2, 8.028%, 4/1/32 6 8,661,995 2,041,050 Trust 324, Cl. 2, 4.463%, 7/1/32 6 6,321,895 1,479,741 Trust 329, Cl. 2, 8.064%, 1/1/33 6 13,989,160 3,210,896 Trust 334, Cl. 12, 5.41%, 2/1/33 6 9,036,034 2,106,311 Trust 342, Cl. 2, 10.019%, 9/1/33 6 14,921,842 3,436,501 Trust 344, Cl. 2, 4.558%, 12/1/33 6 2,323,776 533,310 Trust 346, Cl. 2, 11.829%, 12/1/33 6 17,616,784 4,023,249 Trust 350, Cl. 2, 10.052%, 3/1/34 6 14,793,812 3,380,533 ---------------- 1,287,949,867 --------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.6% Government National Mortgage Assn.: 5.75%, 7/20/27 1 10,568 10,692 7%, 1/15/28-1/20/30 2,432,180 2,543,210 8%, 1/15/28-9/15/28 1,065,551 1,131,679 11%, 10/20/19 26,948 29,799 12%, 11/20/13-9/20/15 35,562 39,870 12.50%, 12/15/13-11/15/15 1,550,961 1,728,279
20 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED Continued Government National Mortgage Assn.: Continued 13%, 10/15/15 $ 2,305,343 $ 2,584,912 13.50%, 6/15/15 3,070,770 3,466,222 --------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., CMO, Series 2001-62, Cl. KZ, 6.50%, 12/16/31 10,045,871 10,449,826 --------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 9,965,349 10,773,101 Series 2000-12, Cl. ZA, 8%, 2/16/30 3,685,255 3,973,932 Series 2000-7, Cl. Z, 8%, 1/16/30 5,278,325 5,650,326 --------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, (0.914)%, 7/16/28 6 2,239,244 236,216 Series 1998-6, Cl. SA, (0.401)%, 3/16/28 6 1,355,325 138,018 Series 2006-47, Cl. SA, 14.663%, 8/16/36 6 4,903,118 300,130 ---------------- 43,056,212 --------------------------------------------------------------------------------------------------------------------- NON-AGENCY--2.9% --------------------------------------------------------------------------------------------------------------------- AGRICULTURAL--0.0% Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates: Series 1992-2, Cl. B2, 1/15/03 2,3,4 624,465 -- Series 1992-2, Cl. B3, 10.605%, 4/15/09 1,2 18,365 6 ---------------- 6 --------------------------------------------------------------------------------------------------------------------- COMMERCIAL--2.6% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,070,000 4,980,498 --------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,178,269 3,236,198 --------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2005-E, Cl. 2A2, 4.972%, 6/25/35 1 159,634 159,507 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 3,038,531 3,070,816 --------------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 8.155%, 6/22/24 6 6,204,957 244,624 --------------------------------------------------------------------------------------------------------------------- ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 5.42%, 8/25/08 1,2 2,447,448 2,449,631 --------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,311,000 1,307,392 --------------------------------------------------------------------------------------------------------------------- Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 9,103,000 9,148,515
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- COMMERCIAL Continued Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 $ 4,861,021 $ 4,848,034 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 9,340,843 9,358,796 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 1,519,595 1,520,919 --------------------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.779%, 10/15/30 1,2 36,400,000 10,920,000 --------------------------------------------------------------------------------------------------------------------- First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 3,028,909 3,055,121 --------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C3, Cl. A2, 4.853%, 7/10/45 2,940,000 2,919,548 --------------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass- Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 566,133 566,138 Series 1998-C1, Cl. F, 7.084%, 5/15/30 1 2,000,000 2,113,332 --------------------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass- Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 3,260,000 3,199,164 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,310,000 3,313,113 Series 2007-GG9, Cl. A2, 5.381%, 7/10/12 2 6,850,000 6,906,223 --------------------------------------------------------------------------------------------------------------------- JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 9,533,860 10,044,287 --------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,220,000 1,201,311 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,310,000 4,266,723 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 7,910,000 7,926,057 --------------------------------------------------------------------------------------------------------------------- LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,556,693 --------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,520,000 3,503,614 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,620,000 7,678,638 Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,627,000 10,269,940 --------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 2 496,870 385,074 --------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 1,782,189 1,767,313 Series 2004-6, Cl. 10A1, 6%, 7/25/34 4,434,918 4,434,212 --------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,823,000 12,814,535 --------------------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 9,629,969 9,718,069 --------------------------------------------------------------------------------------------------------------------- PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,024,959
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- COMMERCIAL Continued 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 $ 404,581 --------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 6,402,860 6,389,785 --------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 5,922,488 5,908,910 --------------------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,956,758 6,938,891 --------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,748,121 --------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,083,000 2,091,568 ---------------- 193,390,850 --------------------------------------------------------------------------------------------------------------------- MULTIFAMILY--0.0% WAMU Mortgage Pass-Through Certificates, Series 2005-AR8 Trust, Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 1,269,978 1,270,731 --------------------------------------------------------------------------------------------------------------------- OTHER--0.1% JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.716%, 2/25/32 1 6,869,281 6,956,353 --------------------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.2% Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 6,969,146 7,064,972 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,587,829 1,621,283 --------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., CMO: Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 312,788 315,002 Series 2000-UP1, Cl. A2, 8%, 9/25/30 556,596 558,889 --------------------------------------------------------------------------------------------------------------------- Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,416,278 --------------------------------------------------------------------------------------------------------------------- Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1995-3, Cl. 1IO, 0.778%, 9/15/25 6 38,188,562 328,551 Series 1992-2, Cl. IO, 8.985%, 9/15/22 6 16,741,824 437,439 Series 1995-2B, Cl. 2IO, 12.039%, 6/15/25 6 1,196,854 27,136 --------------------------------------------------------------------------------------------------------------------- WAMU Mortgage Pass-Through Certificates, Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 1 1,211,540 1,210,557 ---------------- 13,980,107 ---------------- Total Mortgage-Backed Obligations (Cost $1,561,392,382) 1,546,604,126 --------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--4.8% --------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 3.69%, 10/5/07 7,8 23,110,000 22,504,449 --------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 8.658%, 2/4/08 7,9,10 37,540,000 35,983,892 4.125%, 7/12/10 11 3,100,000 3,038,815 4.75%, 3/5/12 8 112,400,000 112,032,677
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS Continued --------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.25%, 7/15/07 8 $ 505,000 $ 503,559 4.75%, 12/15/10 8 15,620,000 15,593,915 5%, 10/15/11-2/13/17 8 42,800,000 43,023,169 6%, 5/15/08 12 15,044,000 15,206,581 6%, 5/15/11 8 33,000,000 34,440,252 7.25%, 1/15/10 31,685,000 33,692,878 --------------------------------------------------------------------------------------------------------------------- Resolution Funding Corp. Bonds, Residual Funding STRIPS, 6.132%, 1/15/21 7,8 51,220,000 25,523,950 --------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 4.50%, 2/15/36 8,12 415,000 391,397 STRIPS, 4.941%, 2/15/16 7,12 23,586,000 15,620,937 ---------------- Total U.S. Government Obligations (Cost $354,077,844) 357,556,471 --------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--24.9% --------------------------------------------------------------------------------------------------------------------- ARGENTINA--2.3% Argentina (Republic of) Bonds: 2%, 9/30/14 [ARP] 13,011,900 4,655,730 5.475%, 8/3/12 1 48,514,501 45,999,024 Series V, 7%, 3/28/11 77,910,000 75,925,449 Series VII, 7%, 9/12/13 32,265,000 30,942,135 --------------------------------------------------------------------------------------------------------------------- Buenos Aires (Province of) Bonds, Bonos de Consolidacion de Deudas, Series PBA1, 4/1/07 2,4 [ARP] 1,640 661 --------------------------------------------------------------------------------------------------------------------- Central Bank of Argentina Bonds, 2%, 2/4/18 [ARP] 17,153,999 8,256,062 --------------------------------------------------------------------------------------------------------------------- Neuquen (Province Del) Sr. Sec. Nts., 8.656%, 10/18/14 2 6,475,000 6,734,000 ---------------- 172,513,061 --------------------------------------------------------------------------------------------------------------------- AUSTRALIA--1.1% New South Wales Treasury Corp., Sr. Unsec. Nts., Series 17RG, 5.50%, 3/1/17 [AUD] 29,765,000 22,966,691 --------------------------------------------------------------------------------------------------------------------- New South Wales Treasury Corp. Gtd. Bonds, 8%, 3/1/08 [AUD] 71,585,000 58,718,072 ---------------- 81,684,763 --------------------------------------------------------------------------------------------------------------------- BELGIUM--1.1% Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 9,145,000 13,596,498 --------------------------------------------------------------------------------------------------------------------- Belgium (Kingdom of) Treasury Bills, 3.667%, 5/10/07 7 [EUR] 52,685,000 70,110,343 ---------------- 83,706,841 --------------------------------------------------------------------------------------------------------------------- BRAZIL--2.3% Brazil (Federal Republic of) Bonds: 6%, 1/17/17 22,570,000 22,793,782
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- BRAZIL Continued Brazil (Federal Republic of) Bonds: Continued 8%, 1/15/18 $ 26,600,000 $ 30,111,200 8.75%, 2/4/25 21,930,000 28,234,875 8.875%, 10/14/19 25,985,000 32,884,018 10.25%, 1/10/28 [BRR] 31,600,000 15,287,725 10.50%, 7/14/14 24,810,000 31,942,875 --------------------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 9,070,950 ---------------- 170,325,425 --------------------------------------------------------------------------------------------------------------------- BULGARIA--0.2% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 7,080,000 8,407,500 8.25%, 1/15/15 13 6,790,000 8,063,125 ---------------- 16,470,625 --------------------------------------------------------------------------------------------------------------------- CANADA--0.8% Canada (Government of) Bonds, 5.25%, 6/1/12 [CAD] 42,590,000 38,979,534 --------------------------------------------------------------------------------------------------------------------- Canada (Government of) Treasury Bills, 4.056%, 5/3/07 7 [CAD] 22,950,000 19,808,265 ---------------- 58,787,799 --------------------------------------------------------------------------------------------------------------------- COLOMBIA--0.9% Colombia (Republic of) Bonds: 7.375%, 9/18/37 13,982,000 15,254,362 10.75%, 1/15/13 8,000,000 9,960,000 12%, 10/22/15 [COP] 43,008,000,000 22,676,267 --------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 23,854,260,000 11,533,694 --------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 4,010,000 4,691,700 ---------------- 64,116,023 --------------------------------------------------------------------------------------------------------------------- COSTA RICA--0.1% Costa Rica (Republic of) Unsec. Bonds, 9.995%, 8/1/20 5,187,000 6,831,279 --------------------------------------------------------------------------------------------------------------------- DENMARK--0.1% Denmark (Kingdom of) Bonds: 4%, 11/15/10 [DKK] 19,755,000 3,539,218 4%, 11/15/15 [DKK] 14,585,000 2,610,134 7%, 11/10/24 [DKK] 5,325,000 1,283,384 --------------------------------------------------------------------------------------------------------------------- Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 21,025,000 3,762,355 ---------------- 11,195,091 --------------------------------------------------------------------------------------------------------------------- DOMINICAN REPUBLIC--0.1% Dominican Republic Unsec. Unsub. Bonds, Series REGS, 9.04%, 1/23/18 2,328,041 2,700,527 --------------------------------------------------------------------------------------------------------------------- Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,729,106 1,860,518 ---------------- 4,561,045
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- EL SALVADOR--0.2% El Salvador (Republic of) Bonds: 7.625%, 9/21/34 13 $ 4,802,000 $ 5,558,315 7.65%, 6/15/35 13 6,815,000 7,803,175 ---------------- 13,361,490 --------------------------------------------------------------------------------------------------------------------- FRANCE--1.2% France (Government of) Bonds, 3.25%, 4/25/16 [EUR] 26,850,000 33,674,855 --------------------------------------------------------------------------------------------------------------------- France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 4/25/55 [EUR] 25,040,000 31,833,437 --------------------------------------------------------------------------------------------------------------------- France (Government of) Treasury Bills, 3.565%, 5/10/07 7 [EUR] 17,460,000 23,232,419 ---------------- 88,740,711 --------------------------------------------------------------------------------------------------------------------- GERMANY--2.2% Germany (Federal Republic of) Bonds: Series 03, 3.75% 7/4/13 [EUR] 30,820,000 40,544,939 Series 05, 4%, 1/4/37 [EUR] 35,650,000 45,675,089 --------------------------------------------------------------------------------------------------------------------- Germany (Federal Republic of) Treasury Bills, Series 0107, 3.801%, 7/18/07 7 [EUR] 61,930,000 81,818,432 ---------------- 168,038,460 --------------------------------------------------------------------------------------------------------------------- GREECE--0.4% Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 21,190,000 28,990,436 --------------------------------------------------------------------------------------------------------------------- GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 2 2,972,000 3,484,670 10.25%, 11/8/11 2 1,205,000 1,412,863 ---------------- 4,897,533 --------------------------------------------------------------------------------------------------------------------- INDONESIA--0.5% Indonesia (Republic of) Nts.: 6.75%, 3/10/14 13 16,860,000 17,618,700 7.25%, 4/20/15 13 11,655,000 12,631,106 --------------------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 13 6,210,000 7,622,775 ---------------- 37,872,581 --------------------------------------------------------------------------------------------------------------------- ISRAEL--0.4% Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 101,230,000 27,552,186 --------------------------------------------------------------------------------------------------------------------- ITALY--0.6% Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4%, 7/1/09 1 [EUR] 35,385,000 47,509,937 --------------------------------------------------------------------------------------------------------------------- JAPAN--2.0% Japan (Government of) Bonds: 2 yr., Series 252, 0.80%, 1/15/09 [JPY] 6,894,000,000 58,530,844 10 yr., Series 245, 0.90%, 12/20/12 [JPY] 3,222,000,000 26,513,691
26 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- JAPAN Continued Japan (Government of) Bonds: Continued 10 yr., Series 268, 1.50%, 3/20/15 [JPY] 3,329,000,000 $ 28,295,370 30 yr., Series 25, 2.30%, 12/20/36 [JPY] 4,515,000,000 38,045,695 ---------------- 151,385,600 --------------------------------------------------------------------------------------------------------------------- MALAYSIA--0.4% Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 2 [MYR] 57,058,000 18,565,510 --------------------------------------------------------------------------------------------------------------------- Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 26,605,000 8,212,731 ---------------- 26,778,241 --------------------------------------------------------------------------------------------------------------------- MEXICO--0.2% Mexican Williams Sr. Nts., 6.128%, 11/15/08 1,2 1,500,000 1,545,938 --------------------------------------------------------------------------------------------------------------------- United Mexican States Bonds, Series M30, 10%, 11/20/36 [MXN] 135,560,000 15,811,832 ---------------- 17,357,770 --------------------------------------------------------------------------------------------------------------------- NIGERIA--0.2% Nigeria (Federal Republic of) Bonds, Series 5Y, 13.50%, 9/11/11 [NGN] 36,380,000 318,449 --------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Nts., Series 3Y2S, 12.50%, 2/24/09 [NGN] 212,600,000 1,759,288 --------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 2,006,511 1,790,105 --------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Treasury Bonds: Series 5Y13, 12.99%, 9/29/11 [NGN] 524,300,000 4,568,929 Series 7Y16, 11.99%, 12/22/13 2 [NGN] 857,700,000 7,139,121 Series 7YR, 12.74%, 10/27/13 2 [NGN] 341,700,000 2,944,308 ---------------- 18,520,200 --------------------------------------------------------------------------------------------------------------------- PANAMA--0.5% Panama (Republic of) Bonds: 6.70%, 1/26/36 5 1,800,000 1,877,400 7.25%, 3/15/15 26,685,000 29,033,280 9.375%, 4/1/29 5,500,000 7,356,250 ---------------- 38,266,930 --------------------------------------------------------------------------------------------------------------------- PERU--1.2% Peru (Republic of) Bonds: 7.84%, 8/12/20 [PEN] 102,295,000 36,809,004 8.20%, 8/12/26 2 [PEN] 10,835,000 4,132,621 9.91%, 5/5/15 [PEN] 63,042,000 24,925,658 Series 7, 8.60%, 8/12/17 [PEN] 24,020,000 9,005,368 Series 8-1, 12.25%, 8/10/11 [PEN] 10,583,000 4,161,655 --------------------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Nts., 4.533%, 2/28/16 7 23,556,113 13,913,653 ---------------- 92,947,959
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- PHILIPPINES--0.7% Philippines (Republic of the) Bonds: 8%, 1/15/16 $ 25,470,000 $ 28,812,938 8.375%, 2/15/11 5,050,000 5,528,174 --------------------------------------------------------------------------------------------------------------------- Philippines (Republic of the) Sr. Unsec. Bonds, 6.375%, 1/15/32 6,135,000 5,989,294 --------------------------------------------------------------------------------------------------------------------- Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 10,195,000 11,545,838 ---------------- 51,876,244 --------------------------------------------------------------------------------------------------------------------- POLAND--0.5% Poland (Republic of) Bonds: Series 0K0807, 4.191%, 8/12/07 7 [PLZ] 36,350,000 12,372,210 Series DS1013, 5%, 10/24/13 [PLZ] 37,200,000 12,781,163 Series WS0922, 5.75%, 9/23/22 [PLZ] 8,540,000 3,082,905 Series 0511, 4.25%, 5/24/11 [PLZ] 33,730,000 11,346,165 ---------------- 39,582,443 --------------------------------------------------------------------------------------------------------------------- SPAIN--0.7% Spain (Government of) Bonds, 3.80%, 1/31/17 [EUR] 13,435,000 17,521,962 --------------------------------------------------------------------------------------------------------------------- Spain (Government of) Treasury Bills, 3.699%, 10/19/07 7 [EUR] 24,260,000 31,722,983 ---------------- 49,244,945 --------------------------------------------------------------------------------------------------------------------- TURKEY--1.4% Turkey (Republic of) Bonds, 7%, 9/26/16 41,790,000 42,730,275 --------------------------------------------------------------------------------------------------------------------- Turkey (Republic of) Nts.: 7.25%, 3/15/15 18,115,000 18,884,888 9.50%, 1/15/14 6,050,000 7,059,140 11%, 1/14/13 2,590,000 3,180,831 16%, 3/7/12 [TRY] 32,390,000 21,970,751 19.868%, 7/16/08 7 [TRY] 6,895,000 3,915,478 20.493%, 8/13/08 7 [TRY] 9,620,000 5,387,995 ---------------- 103,129,358 --------------------------------------------------------------------------------------------------------------------- UKRAINE--0.3% Ukraine (Government of) Bonds, 7.65%, 6/11/13 19,874,000 21,662,660 --------------------------------------------------------------------------------------------------------------------- UNITED KINGDOM--1.3% United Kingdom Treasury Bonds: 5%, 3/7/08 [GBP] 15,025,000 29,433,826 6%, 12/7/28 [GBP] 17,240,000 40,267,717 --------------------------------------------------------------------------------------------------------------------- United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 15,330,000 29,379,408 ---------------- 99,080,951
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- URUGUAY--0.9% Uruguay (Oriental Republic of) Bonds: 4.25%, 4/5/27 [UYU] 167,100,000 $ 7,015,847 7.625%, 3/21/36 21,415,000 23,717,113 --------------------------------------------------------------------------------------------------------------------- Uruguay (Oriental Republic of) Unsec. Bonds: 5%, 9/14/18 [UYU] 222,660,000 10,435,188 8%, 11/18/22 24,380,000 27,793,200 ---------------- 68,961,348 ---------------- Total Foreign Government Obligations (Cost $1,776,770,554) 1,865,949,935 --------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.6% --------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International, Export-Import Bank of Ukraine Loan Participation Nts., 8.40%, 2/9/16 12,520,000 13,020,800 --------------------------------------------------------------------------------------------------------------------- Dali Capital plc/Bank of Moscow Loan Participation Nts., Series 28, Tranche 1, 7.25%, 11/25/09 [RUR] 501,000,000 19,493,263 --------------------------------------------------------------------------------------------------------------------- Dali Capital SA (ROSBANK) Loan Participation Nts., Series 23, Tranche 1, 8%, 9/30/09 [RUR] 309,000,000 11,963,331 ---------------- Total Loan Participations (Cost $42,928,847) 44,477,394 --------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--27.8% --------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--7.0% --------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.5% Collins & Aikman Floorcoverings, Inc., 9.75% Sr. Sub. Nts., Series B, 2/15/10 2,729,000 2,790,403 --------------------------------------------------------------------------------------------------------------------- Goodyear Tire & Rubber Co. (The): 7.857% Nts., 8/15/11 6,631,000 6,970,839 9% Sr. Unsec. Nts., 7/1/15 6,000,000 6,615,000 --------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 3,777,000 4,017,784 --------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc.: 8.625% Sr. Unsec. Sub. Nts., 11/15/14 4,051,000 4,243,423 10.25% Sr. Sec. Nts., Series B, 7/15/13 3,084,000 3,376,980 --------------------------------------------------------------------------------------------------------------------- United Components, Inc., 9.375% Sr. Sub. Nts., 6/15/13 1,700,000 1,768,000 --------------------------------------------------------------------------------------------------------------------- Visteon Corp.: 7% Sr. Unsec. Nts., 3/10/14 3,975,000 3,498,000 8.25% Sr. Unsec. Nts., 8/1/10 6,600,000 6,765,000 ---------------- 40,045,429 --------------------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.1% General Motors Acceptance Corp., 8% Bonds, 11/1/31 7,690,000 8,267,757 --------------------------------------------------------------------------------------------------------------------- DISTRIBUTORS--0.0% SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 2,825,000 3,008,625
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.1% Education Management LLC/Education Management Corp., 10.25% Sr. Unsec. Sub. Nts., 6/1/16 $ 3,345,000 $ 3,646,050 --------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.7% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 1,900,000 1,985,500 --------------------------------------------------------------------------------------------------------------------- Boyd Gaming Corp., 8.75% Sr. Sub. Nts., 4/15/12 4,566,000 4,788,593 --------------------------------------------------------------------------------------------------------------------- Buffets, Inc., 12.50% Sr. Unsec. Nts., 11/1/14 725,000 757,625 --------------------------------------------------------------------------------------------------------------------- CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 13 4,895,000 4,943,950 --------------------------------------------------------------------------------------------------------------------- French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 13 4,600,000 3,887,000 --------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co.: 6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 685,125 8% Sr. Nts., 11/15/13 1,900,000 1,954,625 --------------------------------------------------------------------------------------------------------------------- Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 13 4,915,000 5,283,625 --------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 2,022,000 1,991,670 9% Sr. Sub. Nts., 3/15/12 7,132,000 7,470,770 --------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group: 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,648,025 10.25% Sr. Unsec. Sub. Nts., Series B, 8/1/07 5,121,000 5,210,618 --------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 6.75% Sr. Unsec. Nts., 4/1/13 3,200,000 3,192,000 8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,110,000 6,461,325 9.75% Sr. Unsec. Sub. Nts., 6/1/07 1,200,000 1,212,000 --------------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,670,000 1,653,300 6.375% Sr. Sub. Nts., 7/15/09 3,327,000 3,327,000 6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,330,000 2,335,825 7.125% Sr. Unsec. Sub. Nts., 8/15/14 900,000 918,000 8% Sr. Sub. Nts., 4/1/12 2,950,000 3,075,375 --------------------------------------------------------------------------------------------------------------------- NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,000,000 995,000 --------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,839,000 9,280,950 --------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,665,000 1,623,375 --------------------------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 6,950,000 7,193,250 --------------------------------------------------------------------------------------------------------------------- Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 13 2,265,000 2,508,488 --------------------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 2,3,4 10,800,000 -- --------------------------------------------------------------------------------------------------------------------- Six Flags, Inc.: 8.875% Sr. Unsec. Nts., 2/1/10 3,226,000 3,266,325 9.625% Sr. Nts., 6/1/14 1,368,000 1,292,760 9.75% Sr. Nts., 4/15/13 1,050,000 1,005,375 --------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,325,000 9,550,625 6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,580,000 1,455,575 --------------------------------------------------------------------------------------------------------------------- Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 8,600,000 8,729,000
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE Continued Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 $ 3,858,000 $ 4,103,948 --------------------------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,500,000 1,511,250 --------------------------------------------------------------------------------------------------------------------- Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 10,403,000 10,350,985 ---------------- 127,648,857 --------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.4% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,554,000 6,340,995 --------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,738,000 3,030,462 --------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,803,000 2,711,903 --------------------------------------------------------------------------------------------------------------------- KB Home: 8.625% Sr. Sub. Nts., 12/15/08 2,474,000 2,542,035 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 2,084,333 --------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,025,000 1,954,125 --------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 2,004,406 --------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,570,000 3,561,075 --------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,521,000 3,415,370 ---------------- 28,876,204 --------------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 3,450,000 3,501,750 --------------------------------------------------------------------------------------------------------------------- Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 2 1,955,000 1,935,450 ---------------- 5,437,200 --------------------------------------------------------------------------------------------------------------------- MEDIA--3.5% Adelphia Communications Corp.: 7.875% Escrow Shares, Series B, 5/1/09 3,4 1,400,000 458,500 8.125% Escrow Shares, Series B, 7/15/03 3,4 2,325,000 784,688 8.375% Escrow Shares, Series B, 2/1/08 3,4 4,236,000 1,429,650 9.25% Escrow Shares, Series B, 10/1/02 4 6,065,000 2,046,938 9.875% Escrow Shares, Series B, 3/1/08 3,4 1,800,000 607,500 10.25% Escrow Shares, Series B, 6/15/11 3,4 800,000 280,000 10.875% Escrow Shares, Series B, 10/1/10 3,4 200,000 67,500 --------------------------------------------------------------------------------------------------------------------- Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,246,000 4,373,380 --------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 1,550,000 1,584,875 --------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 975,000 889,688 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 5,000,000 4,750,000 --------------------------------------------------------------------------------------------------------------------- Block Communications, Inc., 8.25% Sr. Nts., 12/15/15 13 2,290,000 2,335,800
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / 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 $ 2,650,000 $ 2,809,000 10.25% Sr. Unsec. Nts., Series B, 9/15/10 6,730,000 7,125,388 --------------------------------------------------------------------------------------------------------------------- Charter Communications Operating LLC/Charter Communications Operating Capital Corp., 8.375% Sr. Nts., Second Lien, 4/30/14 13 13,129,000 13,736,216 --------------------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 14 7,129,000 6,558,680 --------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc.: 7.625% Sr. Unsec. Debs., 7/15/18 900,000 913,500 7.625% Sr. Unsec. Unsub. Nts., Series B, 4/1/11 6,419,000 6,611,570 --------------------------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,240,000 4,441,400 --------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 2,509,000 2,631,314 9.875% Sr. Sub. Nts., 8/15/13 4,431,000 4,857,484 --------------------------------------------------------------------------------------------------------------------- Dex Media, Inc.: 0%/9% Unsec. Disc. Nts., 11/15/13 14 3,600,000 3,370,500 8% Unsec. Nts., 11/15/13 14,633,000 15,401,233 --------------------------------------------------------------------------------------------------------------------- DirecTV Holdings LLC/DirecTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 6/15/15 2,700,000 2,578,500 --------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp.: 6.625% Sr. Unsec. Nts., 10/1/14 6,188,000 6,242,145 7% Sr. Unsec. Nts., 10/1/13 2,150,000 2,225,250 7.125% Sr. Unsec. Nts., 2/1/16 2,200,000 2,282,500 --------------------------------------------------------------------------------------------------------------------- Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,953,875 --------------------------------------------------------------------------------------------------------------------- Idearc, Inc., 8% Sr. Nts., 11/15/16 13 6,710,000 6,936,463 --------------------------------------------------------------------------------------------------------------------- Lamar Media Corp.: 6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,023,000 3,942,540 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,831,500 --------------------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,233,000 3,180,464 --------------------------------------------------------------------------------------------------------------------- Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 14 7,400,000 6,530,500 --------------------------------------------------------------------------------------------------------------------- Mediacom Broadband LLC/Mediacom Broadband Corp.: 8.50% Sr. Nts., 10/15/15 13 4,910,000 5,045,025 8.50% Sr. Unsec. Nts., 10/15/15 1,895,000 1,947,113 --------------------------------------------------------------------------------------------------------------------- Mediacom LLC/Mediacom Capital Corp., 9.50% Sr. Unsec. Nts., 1/15/13 4,855,000 5,018,856 --------------------------------------------------------------------------------------------------------------------- MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14 1,900,000 1,676,750 6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 4,369,125 --------------------------------------------------------------------------------------------------------------------- Nielsen Finance LLC/Nielsen Finance Co.: 0%/12.50% Sr. Sub. Disc. Nts., 8/1/16 13,14 5,360,000 3,778,800 10% Sr. Nts., 8/1/14 13 7,265,000 7,955,175 --------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp., 11.61% Sr. Sec. Nts., 1/15/13 1,13 4,225,000 4,425,688
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- MEDIA Continued PRIMEDIA, Inc.: 8% Sr. Nts., 5/15/13 $ 5,317,000 $ 5,529,680 8.875% Sr. Unsec. Nts., 5/15/11 1,718,000 1,773,835 --------------------------------------------------------------------------------------------------------------------- Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 13 1,600,000 1,628,000 --------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Corp.: 6.875% Sr. Disc. Nts., Series A-1, 1/15/13 10,815,000 10,571,663 6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,155,000 9,926,513 6.875% Sr. Nts., 1/15/13 6,800,000 6,647,000 8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 9,910,000 10,578,925 --------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Financial Corp. I, 10.875% Sr. Sub. Nts., 12/15/12 13 4,340,000 4,708,900 --------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 2,992,000 3,100,460 --------------------------------------------------------------------------------------------------------------------- Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 13 1,999,000 2,136,431 --------------------------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,037,000 12,543,327 --------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 11,275,000 11,726,000 --------------------------------------------------------------------------------------------------------------------- Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 1,360,000 1,371,900 --------------------------------------------------------------------------------------------------------------------- Vertis, Inc.: 9.75% Sr. Sec. Nts., 4/1/09 3,666,000 3,748,485 10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,100,000 3,146,500 --------------------------------------------------------------------------------------------------------------------- Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,202,250 --------------------------------------------------------------------------------------------------------------------- WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 14 9,185,000 7,072,450 --------------------------------------------------------------------------------------------------------------------- XM Satellite Radio Holdings, Inc., 9.75% Sr. Unsec. Nts., 5/1/14 2,150,000 2,179,563 ---------------- 260,576,955 --------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.2% Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 7,700,000 8,306,375 --------------------------------------------------------------------------------------------------------------------- Neiman Marcus Group, Inc. (The): 9% Sr. Unsec. Nts., 10/15/15 6,770,000 7,447,000 10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,060,000 2,307,200 ---------------- 18,060,575 --------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.1% Boise Cascade LLC, 7.125% Sr. Unsec. Sub. Nts., 10/15/14 3,327,000 3,310,365 --------------------------------------------------------------------------------------------------------------------- Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 2,3,4 4,300,000 580,500 --------------------------------------------------------------------------------------------------------------------- Linens 'N Things, Inc., 10.985% Sr. Sec. Nts., 1/15/14 1 4,635,000 4,333,725 --------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,650,000 1,670,625 ---------------- 9,895,215 --------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.3% Invista, Inc., 9.25% Sr. Nts., 5/1/12 13 5,830,000 6,238,100 --------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 6,838,000 7,538,895 --------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 2 1,650,000 1,716,000
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS Continued Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 $ 2,865,000 $ 2,714,588 ---------------- 18,207,583 --------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.4% --------------------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% Constellation Brands, Inc.: 7.25% Sr. Nts., 9/1/16 1,635,000 1,663,613 8.125% Sr. Sub. Nts., 1/15/12 2,025,000 2,106,000 ---------------- 3,769,613 --------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.5% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 4,617,000 4,728,634 --------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 14,744,000 17,788,946 --------------------------------------------------------------------------------------------------------------------- Jean Coutu Group (PJC), Inc. (The), 8.50% Sr. Sub. Nts., 8/1/14 6,697,000 7,299,730 --------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 11% Disc. Nts., 5/31/09 2,3,4,15 8,836,185 -- --------------------------------------------------------------------------------------------------------------------- Rite Aid Corp., 8.125% Sr. Sec. Nts., 5/1/10 3,801,000 3,924,533 --------------------------------------------------------------------------------------------------------------------- Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 2,900,000 3,037,750 ---------------- 36,779,593 --------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.4% Del Monte Corp.: 6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,325,000 1,316,719 8.625% Sr. Sub. Nts., 12/15/12 3,955,000 4,132,975 --------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 1,838,000 1,842,595 8.875% Sr. Unsec. Nts., 3/15/11 623,000 618,328 --------------------------------------------------------------------------------------------------------------------- Hines Nurseries, Inc., 10.25% Sr. Unsec. Sub. Nts., 10/1/11 3,500,000 2,852,500 --------------------------------------------------------------------------------------------------------------------- MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11 13 5,130,000 5,309,550 --------------------------------------------------------------------------------------------------------------------- Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp.: 9.25% Sr. Nts., 4/1/15 2,5 1,239,000 1,225,061 10.625% Sr. Sub. Nts., 4/1/17 2,5 7,448,000 7,364,210 -------------------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,336,000 3,386,040 8% Sr. Nts., Series B, 10/15/09 2 1,300,000 1,361,750 ---------------- 29,409,728 --------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.1% Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,000,000 1,960,000 --------------------------------------------------------------------------------------------------------------------- Nutro Products, Inc., 10.75% Sr. Sub. Nts., 4/15/14 13 1,460,000 1,584,100 --------------------------------------------------------------------------------------------------------------------- Spectrum Brands, Inc., 7.375% Sr. Unsec. Sub. Nts., 2/1/15 4,150,000 3,340,750 ---------------- 6,884,850
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.2% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 $ 3,800,000 $ 3,895,000 --------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 3,092,000 3,246,600 9.375% Sr. Unsec. Sub. Nts., 6/1/11 2 3,588,000 3,727,035 --------------------------------------------------------------------------------------------------------------------- Sally Holdings LLC: 9.25% Sr. Nts., 11/15/14 13 5,467,000 5,644,678 10.50% Sr. Sub. Nts., 11/15/16 13 3,369,000 3,478,493 ---------------- 19,991,806 --------------------------------------------------------------------------------------------------------------------- TOBACCO--0.1% Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 8,170,000 8,602,275 --------------------------------------------------------------------------------------------------------------------- ENERGY--2.9% --------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.2% Basic Energy Services, Inc., 7.125% Sr. Unsec. Nts., 4/15/16 1,600,000 1,568,000 --------------------------------------------------------------------------------------------------------------------- Hanover Compressor Co., 8.625% Sr. Unsec. Sub. Nts., 12/15/10 1,100,000 1,160,500 --------------------------------------------------------------------------------------------------------------------- Hanover Equipment Trust, 8.50% Sr. Sec. Nts., Series A, 9/1/08 807,000 815,070 --------------------------------------------------------------------------------------------------------------------- PHI, Inc., 7.125% Sr. Unsec. Nts., 4/15/13 1,920,000 1,843,200 --------------------------------------------------------------------------------------------------------------------- RathGibson, Inc., 11.25% Sr. Unsec. Nts., 2/15/14 1,590,000 1,685,400 --------------------------------------------------------------------------------------------------------------------- Universal Compression, Inc., 7.25% Sr. Unsec. Sub. Nts., 5/15/10 3,281,000 3,342,519 ---------------- 10,414,689 --------------------------------------------------------------------------------------------------------------------- OIL & GAS--2.7% Arch Western Finance LLC, 6.75% Sr. Nts., 7/1/13 3,281,000 3,244,089 --------------------------------------------------------------------------------------------------------------------- Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 1,635,000 1,692,225 --------------------------------------------------------------------------------------------------------------------- Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 870,000 870,000 --------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp.: 6.375% Sr. Unsec. Nts., 6/15/15 2,000,000 2,000,000 6.875% Sr. Unsec. Nts., 1/15/16 6,473,000 6,586,278 --------------------------------------------------------------------------------------------------------------------- Clayton Williams Energy, Inc., 7.75% Sr. Unsec. Nts., 8/1/13 640,000 604,800 --------------------------------------------------------------------------------------------------------------------- Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,345,000 6,233,963 --------------------------------------------------------------------------------------------------------------------- Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 950,000 988,000 --------------------------------------------------------------------------------------------------------------------- El Paso Production Holding Co., 7.75% Sr. Unsec. Nts., 6/1/13 9,966,000 10,464,300 --------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,570,000 3,641,400 --------------------------------------------------------------------------------------------------------------------- Foundation PA Coal Co., 7.25% Sr. Unsec. Nts., 8/1/14 900,000 915,750 --------------------------------------------------------------------------------------------------------------------- Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,775,000 2,781,938 --------------------------------------------------------------------------------------------------------------------- Gaz Capital SA, 8.625% Sr. Unsec. Nts., 4/28/34 13 13,740,000 17,690,250 --------------------------------------------------------------------------------------------------------------------- Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,535,000 1,619,425 --------------------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 15,594,000 16,895,990 --------------------------------------------------------------------------------------------------------------------- Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 1,620,000 1,545,075 --------------------------------------------------------------------------------------------------------------------- National Gas Co., 6.05% Nts., 1/15/36 13 8,195,000 7,963,336
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- OIL & GAS Continued Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 $ 3,600,000 $ 3,618,000 --------------------------------------------------------------------------------------------------------------------- Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec. Nts., 9/15/15 640,000 641,010 --------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 3,377,000 3,452,983 --------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 13 25,794,346 25,257,204 --------------------------------------------------------------------------------------------------------------------- Pogo Producing Co., 7.875% Sr. Unsec. Sub. Nts., 5/1/13 1,610,000 1,630,125 --------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,314,000 5,740,549 --------------------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,200,000 4,158,000 --------------------------------------------------------------------------------------------------------------------- Range Resources Corp.: 6.375% Sr. Sub. Nts., 3/15/15 2,465,000 2,440,350 7.50% Sr. Sub. Nts., 5/15/16 6,525,000 6,753,375 --------------------------------------------------------------------------------------------------------------------- Sabine Pass LNG LP: 7.25% Sr. Sec. Nts., 11/30/13 13 4,380,000 4,423,800 7.50% Sr. Sec. Nts., 11/30/16 13 8,760,000 8,847,600 --------------------------------------------------------------------------------------------------------------------- Stone Energy Corp.: 6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,150,000 2,961,000 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,001,250 --------------------------------------------------------------------------------------------------------------------- Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 13 3,265,000 3,346,625 --------------------------------------------------------------------------------------------------------------------- Teekay Shipping Corp., 8.875% Sr. Nts., 7/15/11 1,925,000 2,083,813 --------------------------------------------------------------------------------------------------------------------- Tengizchevroil LLP, 6.124% Nts., 11/15/14 13 17,587,000 17,587,000 --------------------------------------------------------------------------------------------------------------------- Tesoro Corp.: 6.25% Sr. Unsec. Nts., 11/1/12 2,450,000 2,495,938 6.625% Sr. Unsec. Nts., 11/1/15 3,750,000 3,815,625 --------------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp.: 7.25% Sr. Sub. Nts., 5/1/12 2,000,000 1,975,000 7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 592,500 --------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The): 7.125% Nts., 9/1/11 9,762,000 10,274,505 8.75% Unsec. Nts., 3/15/32 3,825,000 4,427,438 --------------------------------------------------------------------------------------------------------------------- Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 2 1,100,000 1,109,625 ---------------- 204,370,134 --------------------------------------------------------------------------------------------------------------------- FINANCIALS--5.3% --------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.9% Berry Plastics Holding Corp.: 8.875% Sr. Sec. Nts., 9/15/14 2,450,000 2,517,375 9.23% Sr. Sec. Nts., 9/15/14 1 2,450,000 2,523,500 --------------------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp.: 7.375% Sr. Unsec. Nts., 9/15/13 1,956,000 2,053,800 8% Sr. Nts., 6/15/11 2,710,000 2,865,825
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS Continued HBOS Treasury Services plc: 4.375% Sr. Sec. Nts., 7/13/16 [EUR] 22,785,000 $ 30,590,778 4.50% Sr. Sec. Nts., 7/13/21 [EUR] 21,320,000 28,636,423 ---------------- 69,187,701 --------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.6% African Development Bank, 9.25% Bonds, 1/18/08 [NGN] 777,800,000 6,213,282 --------------------------------------------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 [EUR] 5,900,000 7,879,513 --------------------------------------------------------------------------------------------------------------------- Banco BMG SA, 9.15% Nts., 1/15/16 13 16,590,000 17,834,250 --------------------------------------------------------------------------------------------------------------------- Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 1,2 5,190,000 5,177,025 --------------------------------------------------------------------------------------------------------------------- Bank Plus Corp., 12% Sr. Nts., 7/18/07 2 4,012,000 4,137,375 --------------------------------------------------------------------------------------------------------------------- HSBC Bank plc: 11.601% Sr. Unsec. Nts., 1/12/10 2,7 21,550,000 13,156,275 12.278% Sr. Unsec. Nts., 3/9/09 2,7 16,420,000 11,249,342 9.751% Sr. Unsec. Nts., 7/8/09 2,7 16,420,000 11,863,450 --------------------------------------------------------------------------------------------------------------------- ICICI Bank Ltd., 6.375% Bonds, 4/30/22 1,13 10,030,000 9,959,650 --------------------------------------------------------------------------------------------------------------------- Inter-American Development Bank: 6.26% Nts., 12/8/09 1 [BRR] 7,210,000 3,523,112 7.889% Nts., 1/25/12 1 [COP] 6,412,857,194 3,090,475 --------------------------------------------------------------------------------------------------------------------- Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 13 6,285,000 6,567,825 --------------------------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 2,3,4 4,970,000 -- --------------------------------------------------------------------------------------------------------------------- RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 13 5,880,000 6,225,450 --------------------------------------------------------------------------------------------------------------------- Salisbury International Investments Ltd., 9.51% Sec. Nts., Series 2006-003, Tranche E, 7/20/11 1,2 4,800,000 4,800,000 --------------------------------------------------------------------------------------------------------------------- VTB Capital SA, 6.25% Sr. Nts., 6/30/35 13 6,390,000 6,621,638 ---------------- 118,298,662 --------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.0% Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 2 615,000 636,525 --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.4% Astana-finance: 7.625% Unsec. Bonds, 2/16/09 4,245,000 4,262,426 9% Sr. Unsec. Unsub. Bonds, 11/16/11 3,300,000 3,368,987 --------------------------------------------------------------------------------------------------------------------- Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2 17,723,587 18,698,384 --------------------------------------------------------------------------------------------------------------------- Cloverie plc, 9.60% Sec. Nts., Series 2005-93, 12/20/10 1,2 6,400,000 6,451,200 --------------------------------------------------------------------------------------------------------------------- Depfa ACS Bank, 3.50% Sec. Nts., 3/16/11 [EUR] 8,055,000 10,509,247 --------------------------------------------------------------------------------------------------------------------- Halyk Savings Bank Kazakhstan Europe BV, 7.75% Nts., 5/13/13 13 3,035,000 3,198,131 --------------------------------------------------------------------------------------------------------------------- JP Morgan Hipotecaria su Casita, 6.56% Sec. Nts., 8/26/35 5,13 [MXN] 24,775,500 2,244,513 --------------------------------------------------------------------------------------------------------------------- JPMorgan, Red Square Capital Ltd., 9% CDO Nts., 11/20/08 5 [RUR] 217,000,000 8,267,812 --------------------------------------------------------------------------------------------------------------------- JSG Funding plc, 7.75% Sr. Unsec. Sub. Nts., 4/1/15 3,075,000 3,151,875 --------------------------------------------------------------------------------------------------------------------- Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 13 4,815,000 5,043,713
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES Continued Piazza Vittoria Finance SrL, 4.454% Asset-Backed Nts., 7/20/10 1 [EUR] 22,901,830 $ 30,535,161 --------------------------------------------------------------------------------------------------------------------- Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 14 14,015,000 5,901,128 --------------------------------------------------------------------------------------------------------------------- Universal City Florida: 8.375% Sr. Unsec. Nts., 5/1/10 1,000,000 1,036,250 10.11% Sr. Unsec. Nts., 5/1/10 1 1,000,000 1,036,250 ---------------- 103,705,077 --------------------------------------------------------------------------------------------------------------------- REAL ESTATE--0.1% Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,011,000 4,316,839 --------------------------------------------------------------------------------------------------------------------- Host Hotels & Resorts LP, 6.875% Sr. Unsub. Nts., 11/1/14 875,000 892,500 --------------------------------------------------------------------------------------------------------------------- Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 3,825,000 3,815,438 --------------------------------------------------------------------------------------------------------------------- Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,835,000 1,908,400 ---------------- 10,933,177 --------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--1.3% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 2 7,210,000 7,642,600 --------------------------------------------------------------------------------------------------------------------- Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 2 5,054,000 5,331,970 --------------------------------------------------------------------------------------------------------------------- WM Covered Bond Program: 3.875% Sec. Nts., Series1, 9/27/11 [EUR] 26,380,000 34,705,175 4% Sec. Mtg. Nts., Series 2, 9/27/16 [EUR] 37,290,000 48,454,235 ---------------- 96,133,980 --------------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.0% --------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.0% Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 1,605,000 1,488,638 --------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.1% Inverness Medical Innovations, Inc., 8.75% Sr. Sub. Nts., 2/15/12 2 2,000,000 2,095,000 --------------------------------------------------------------------------------------------------------------------- Universal Hospital Services, Inc., 10.125% Sr. Unsec. Nts., 11/1/11 2,359,000 2,518,233 ---------------- 4,613,233 --------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.9% AmeriPath, Inc., 10.50% Sr. Unsec. Sub. Nts., 4/1/13 2,796,000 3,005,700 --------------------------------------------------------------------------------------------------------------------- Community Health Systems, Inc., 6.50% Sr. Unsec. Sub. Nts., 12/15/12 3,231,000 3,344,085 --------------------------------------------------------------------------------------------------------------------- DaVita, Inc.: 6.625% Sr. Unsec. Nts., 3/15/13 3,330,000 3,346,650 7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,260,000 5,345,475 --------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,067,000 4,128,005 --------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,700,000 1,185,843 --------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Securities, 6/15/11 2,888,000 3,046,840 --------------------------------------------------------------------------------------------------------------------- Genesis HealthCare Corp., 8% Sr. Sub. Nts., 10/15/13 1,450,000 1,547,875
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES Continued HCA, Inc., 6.375% Nts., 1/15/15 $ 12,983,000 $ 11,116,694 --------------------------------------------------------------------------------------------------------------------- HEALTHSOUTH Corp., 10.75% Sr. Nts., 6/15/16 13 2,545,000 2,780,413 --------------------------------------------------------------------------------------------------------------------- Omnicare, Inc.: 6.75% Sr. Sub. Nts., 12/15/13 1,295,000 1,306,331 6.875% Sr. Sub. Nts., 12/15/15 1,620,000 1,642,275 --------------------------------------------------------------------------------------------------------------------- Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,605,000 1,637,100 --------------------------------------------------------------------------------------------------------------------- Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 4,858,000 4,396,490 --------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.: 6.375% Sr. Nts., 12/1/11 3,170,000 2,979,800 7.375% Nts., 2/1/13 118,000 110,183 9.875% Sr. Nts., 7/1/14 7,634,000 7,748,510 --------------------------------------------------------------------------------------------------------------------- US Oncology, Inc.: 9% Sr. Unsec. Nts., 8/15/12 100,000 107,250 10.75% Sr. Unsec. Sub. Nts., 8/15/14 100,000 112,000 --------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 14 9,391,000 7,677,143 ---------------- 66,564,662 --------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--1.8% --------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.3% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,200,000 3,216,000 --------------------------------------------------------------------------------------------------------------------- BE Aerospace, Inc., 8.875% Sr. Unsec. Sub. Nts., 5/1/11 2,047,000 2,110,989 --------------------------------------------------------------------------------------------------------------------- Bombardier, Inc., 8% Sr. Nts., 11/15/14 13 1,535,000 1,596,400 --------------------------------------------------------------------------------------------------------------------- DRS Technologies, Inc.: 6.625% Sr. Nts., 2/1/16 3,735,000 3,791,025 7.625% Sr. Sub. Nts., 2/1/18 1,110,000 1,159,950 --------------------------------------------------------------------------------------------------------------------- L-3 Communications Corp.: 5.875% Sr. Sub. Nts., 1/15/15 4,059,000 3,962,599 6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,800,000 1,777,500 6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,215,000 2,206,694 7.625% Sr. Sub. Nts., 6/15/12 600,000 621,000 ---------------- 20,442,157 --------------------------------------------------------------------------------------------------------------------- AIRLINES--0.0% ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 2,3,4 11,115,000 -- --------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.1% Associated Materials, Inc., 9.75% Sr. Sub. Nts., 4/15/12 2,411,000 2,519,495 --------------------------------------------------------------------------------------------------------------------- Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 2,407,000 2,476,201 --------------------------------------------------------------------------------------------------------------------- Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 2,860,000 2,888,600 --------------------------------------------------------------------------------------------------------------------- Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 2,850,000 2,785,875 ---------------- 10,670,171
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.3% Allied Waste North America, Inc.: 7.375% Sr. Sec. Nts., Series B, 4/15/14 12 $ 8,000,000 $ 8,160,000 9.25% Sr. Sec. Debs., Series B, 9/1/12 267,000 283,020 --------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 2,3,4 3,462,000 -- --------------------------------------------------------------------------------------------------------------------- ARAMARK Corp., 8.50% Sr. Nts., 2/1/15 13 2,441,000 2,550,845 --------------------------------------------------------------------------------------------------------------------- Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,200,000 3,152,000 --------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,335,000 3,351,675 7.50% Sr. Nts., 5/1/11 1,500,000 1,548,750 --------------------------------------------------------------------------------------------------------------------- FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,150,000 2,268,250 ---------------- 21,314,540 --------------------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.3% Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 360,000 359,100 --------------------------------------------------------------------------------------------------------------------- IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 13 16,001,489 18,881,757 ---------------- 19,240,857 --------------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.1% Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 550,000 565,125 --------------------------------------------------------------------------------------------------------------------- Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,285,000 4,704,873 --------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 1,662,000 1,753,410 ---------------- 7,023,408 --------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.0% Covalence Specialty Materials Corp., 10.25% Sr. Sub. Nts., 3/1/16 13 3,650,000 3,668,250 --------------------------------------------------------------------------------------------------------------------- MACHINERY--0.2% Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 2,550,000 2,664,750 --------------------------------------------------------------------------------------------------------------------- Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 13 2,714,000 2,537,590 --------------------------------------------------------------------------------------------------------------------- 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., 11/1/13 650,000 666,250 --------------------------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 4,055,000 3,953,625 --------------------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,050,000 2,039,750 ---------------- 14,911,765 --------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.2% Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: 7.75% Sr. Nts., 5/15/16 13 1,595,000 1,630,888 7.86% Sr. Nts., 5/15/14 1,13 640,000 656,000 --------------------------------------------------------------------------------------------------------------------- Hertz Corp.: 8.875% Sr. Unsec. Nts., 1/1/14 940,000 1,017,550 10.50% Sr. Unsec. Sub. Nts., 1/1/16 4,255,000 4,871,975
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- ROAD & RAIL Continued Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 $ 2,125,000 $ 2,183,438 --------------------------------------------------------------------------------------------------------------------- Stena AB: 7% Sr. Unsec. Nts., 12/1/16 972,000 967,140 7.50% Sr. Unsec. Nts., 11/1/13 232,000 236,640 --------------------------------------------------------------------------------------------------------------------- TDS Investor Corp., 11.875% Sr. Sub. Nts., 9/1/16 13 4,400,000 4,845,500 ---------------- 16,409,131 --------------------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--0.3% Ashtead Capital, Inc., 9% Nts., 8/15/16 13 1,650,000 1,765,500 --------------------------------------------------------------------------------------------------------------------- H&E Equipment Services, Inc., 8.375% Sr. Unsec. Nts., 7/15/16 1,815,000 1,937,513 --------------------------------------------------------------------------------------------------------------------- Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,645,000 1,706,688 --------------------------------------------------------------------------------------------------------------------- United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 15,909,000 15,948,773 ---------------- 21,358,474 --------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.8% --------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.2% NXP BV/NXP Funding LLC, 9.50% Sr. Bonds, 10/15/15 13 12,810,000 13,290,375 --------------------------------------------------------------------------------------------------------------------- Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3,4 12,679,000 127 ---------------- 13,290,502 --------------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% RBS Global & Rexnord Corp.: 9.50% Sr. Nts., 8/1/14 13 1,980,000 2,069,100 11.75% Sr. Sub. Nts., 8/1/16 13 3,215,000 3,468,181 ---------------- 5,537,281 --------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 2,3,4 [EUR] 2,116,376 -- --------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 2,3,4 2,081,799 -- --------------------------------------------------------------------------------------------------------------------- PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 2,3,4 [EUR] 6,650,000 -- ---------------- -- --------------------------------------------------------------------------------------------------------------------- IT SERVICES--0.3% DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts., Series B, 2/15/13 2 4,340,000 4,643,800 --------------------------------------------------------------------------------------------------------------------- iPayment Holdings, Inc., 9.75% Sr. Unsec. Sub. Nts., 5/15/14 1,900,000 1,957,000 --------------------------------------------------------------------------------------------------------------------- Iron Mountain, Inc., 7.75% Sr. Sub. Nts., 1/15/15 4,182,000 4,286,550 --------------------------------------------------------------------------------------------------------------------- SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 4,370,000 4,708,675 10.25% Sr. Unsec. Sub. Nts., 8/15/15 8,150,000 8,934,438 ---------------- 24,530,463
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.2% Conexant Systems, Inc., 9.11% Sr. Sec. Nts., 11/15/10 1,13 $ 1,535,000 $ 1,592,563 --------------------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc., 10.125% Sr. Sub. Nts., 12/15/16 13 13,398,000 13,498,485 ---------------- 15,091,048 --------------------------------------------------------------------------------------------------------------------- MATERIALS--2.8% --------------------------------------------------------------------------------------------------------------------- CHEMICALS--0.6% BCP Crystal US Holdings Corp., 9.625% Sr. Sub. Nts., 6/15/14 4,153,000 4,738,241 --------------------------------------------------------------------------------------------------------------------- Crystal US Holdings 3 LLC/Crystal US Sub 3 Corp., 0%/10.50% Sr. Unsec. Disc. Nts., Series B, 10/1/14 14 3,290,000 3,072,038 --------------------------------------------------------------------------------------------------------------------- Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 4,644,000 4,864,590 10.125% Sr. Unsec. Nts., 9/1/08 118,000 124,785 10.625% Sr. Unsec. Nts., 5/1/11 1,351,000 1,432,060 --------------------------------------------------------------------------------------------------------------------- Georgia Gulf Corp., 10.75% Sr. Sub. Nts., 10/15/16 4,910,000 4,738,150 --------------------------------------------------------------------------------------------------------------------- Huntsman International LLC: 7.875% Sr. Unsec. Sub. Nts., 11/13/14 13 875,000 908,906 8.375% Sr. Sub. Nts., 1/1/15 1,13 1,811,000 1,847,220 --------------------------------------------------------------------------------------------------------------------- Huntsman LLC: 11.50% Sr. Unsec. Nts., 7/15/12 1 706,000 792,485 11.625% Sr. Unsec. Nts., 10/15/10 76,000 82,745 --------------------------------------------------------------------------------------------------------------------- Ineos Group Holdings plc, 8.50% Nts., 2/15/16 13 3,650,000 3,513,125 --------------------------------------------------------------------------------------------------------------------- Innophos, Inc., 8.875% Sr. Unsec. Sub. Nts., 8/15/14 1,090,000 1,133,600 --------------------------------------------------------------------------------------------------------------------- KI Holdings, Inc., 0%/9.875% Sr. Unsec. Sub. Disc. Nts., 11/15/14 14 2,650,000 2,242,563 --------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 8% Sr. Unsec. Nts., 9/15/14 4,590,000 4,830,975 8.25% Sr. Unsec. Nts., 9/15/16 2,450,000 2,633,750 10.50% Sr. Sec. Nts., 6/1/13 3,875,000 4,262,500 --------------------------------------------------------------------------------------------------------------------- Mosaic Global Holdings, Inc.: 7.375% Sr. Nts., 12/1/14 13 1,230,000 1,288,425 7.625% Sr. Nts., 12/1/16 13 1,230,000 1,303,800 --------------------------------------------------------------------------------------------------------------------- Rockwood Specialties Group, Inc.: 7.50% Sr. Sub. Nts., 11/15/14 1,350,000 1,377,000 10.625% Sr. Unsec. Sub. Nts., 5/15/11 875,000 927,500 --------------------------------------------------------------------------------------------------------------------- Tronox Worldwide LLC/Tronox Finance Corp., 9.50% Sr. Unsec. Nts., 12/1/12 1,406,000 1,497,390 ---------------- 47,611,848 --------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.3% C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs. 13,16 16,520,000 16,322,190 --------------------------------------------------------------------------------------------------------------------- NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 14 5,990,000 4,372,700 ---------------- 20,694,890
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.1% Ball Corp., 6.625% Sr. Nts., 3/15/18 $ 4,500,000 $ 4,483,125 --------------------------------------------------------------------------------------------------------------------- Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 3,810,000 3,981,450 --------------------------------------------------------------------------------------------------------------------- Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 1,300,000 1,326,000 9.875% Sr. Unsec. Sub. Nts., 10/15/14 6,614,000 6,779,350 --------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 5,738,000 5,996,210 9.50% Sr. Sub. Nts., 8/15/13 2,555,000 2,730,656 --------------------------------------------------------------------------------------------------------------------- Jefferson Smurfit Corp., 8.25% Sr. Unsec. Nts., 10/1/12 3,950,000 3,969,750 --------------------------------------------------------------------------------------------------------------------- MDP Acquisitions plc, 9.625% Sr. Nts., 10/1/12 1,206,000 1,287,405 --------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 7.75% Sr. Sec. Nts., 5/15/11 2,792,000 2,896,700 8.25% Sr. Unsec. Nts., 5/15/13 1,618,000 1,694,855 8.75% Sr. Sec. Nts., 11/15/12 7,702,000 8,144,865 8.875% Sr. Sec. Nts., 2/15/09 2 5,700,000 5,842,500 --------------------------------------------------------------------------------------------------------------------- Pliant Corp., 11.85% Sr. Sec. Nts., 6/15/09 4,15 2,270,341 2,582,513 --------------------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 6,158,000 5,272,788 --------------------------------------------------------------------------------------------------------------------- Stone Container Corp., 8.375% Sr. Nts., 7/1/12 3,145,000 3,168,588 --------------------------------------------------------------------------------------------------------------------- Tekni-Plex, Inc., 10.875% Sr. Sec. Nts., 8/15/12 13 960,000 1,080,000 --------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 6,543,000 6,567,536 --------------------------------------------------------------------------------------------------------------------- Vitro SA de CV: 8.625% Sr. Unsec. Unsub. Nts., 2/1/12 13 4,970,000 5,044,550 9.125% Sr. Unsec. Nts., 2/1/17 13 8,445,000 8,613,900 ---------------- 81,462,741 --------------------------------------------------------------------------------------------------------------------- METALS & MINING--0.5% AK Steel Corp.: 7.75% Sr. Unsec. Nts., 6/15/12 3,768,000 3,848,070 7.875% Sr. Unsec. Nts., 2/15/09 689,000 692,445 --------------------------------------------------------------------------------------------------------------------- Alrosa Finance SA: 8.875% Nts., 11/17/14 11,640,000 13,415,100 8.875% Nts., 11/17/14 13 1,745,000 2,011,113 --------------------------------------------------------------------------------------------------------------------- Century Aluminum Co., 7.50% Sr. Unsec. Nts., 8/15/14 2,055,000 2,121,788 --------------------------------------------------------------------------------------------------------------------- Gibraltar Industries, Inc., 8% Sr. Unsec. Sub. Nts., Series B, 12/1/15 1,970,000 1,999,550 --------------------------------------------------------------------------------------------------------------------- International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 2,3,4 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 3,286,380 --------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 2 2,172,000 2,367,480 --------------------------------------------------------------------------------------------------------------------- Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/15 1 7,180,000 7,628,750 --------------------------------------------------------------------------------------------------------------------- Steel Dynamics, Inc., 9.50% Sr. Nts., 3/15/09 2,125,000 2,175,469 --------------------------------------------------------------------------------------------------------------------- United States Steel Corp., 9.75% Sr. Nts., 5/15/10 1,949,000 2,056,195 ---------------- 42,672,340
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.3% Abitibi-Consolidated Co. of Canada, 8.375% Sr. Unsec. Sub. Nts., 4/1/15 $ 3,900,000 $ 3,685,500 --------------------------------------------------------------------------------------------------------------------- Abitibi-Consolidated, Inc.: 8.55% Nts., 8/1/10 1,925,000 1,958,688 8.85% Unsec. Bonds, 8/1/30 1,200,000 1,074,000 --------------------------------------------------------------------------------------------------------------------- Buckeye Technologies, Inc., 8.50% Sr. Nts., 10/1/13 1,500,000 1,575,000 --------------------------------------------------------------------------------------------------------------------- Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 1,122,000 --------------------------------------------------------------------------------------------------------------------- Domtar, Inc., 7.125% Nts., 8/15/15 1,400,000 1,400,000 --------------------------------------------------------------------------------------------------------------------- JSG Holding plc, 11.50% Sr. Nts., 10/1/15 13,15 [EUR] 1,223,736 1,761,412 --------------------------------------------------------------------------------------------------------------------- Mercer International, Inc., 9.25% Sr. Nts., 2/15/13 1,665,000 1,677,488 --------------------------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 2,600,000 2,528,500 --------------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC/Verson Paper, Inc.: 9.11% Sr. Sec. Nts., 8/1/14 1,13 1,975,000 2,034,250 11.375% Sr. Sub. Nts., 8/1/16 13 1,975,000 2,078,688 ---------------- 20,895,526 --------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.6% --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.3% Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 13 12,700,000 12,668,250 --------------------------------------------------------------------------------------------------------------------- Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 2,4 6,401,538 -- --------------------------------------------------------------------------------------------------------------------- Intelsat Bermuda Ltd., 11.25% Sr. Nts., 6/15/16 13 1,855,000 2,114,700 --------------------------------------------------------------------------------------------------------------------- Intelsat Subsidiary Holding Co. Ltd.: 8.25% Sr. Nts., 1/15/13 1 4,000,000 4,190,000 8.625% Sr. Nts., 1/15/15 3,595,000 3,864,625 --------------------------------------------------------------------------------------------------------------------- Level 3 Financing, Inc.: 8.75% Sr. Nts., 2/15/17 13 3,095,000 3,133,688 9.25% Sr. Nts., 11/1/14 13 5,620,000 5,802,650 --------------------------------------------------------------------------------------------------------------------- Nordic Telephone Co. Holdings ApS, 8.875% Sr. Nts., 5/1/16 13 1,590,000 1,709,250 --------------------------------------------------------------------------------------------------------------------- NTL Cable plc, 9.125% Sr. Nts., 8/15/16 1,475,000 1,563,500 --------------------------------------------------------------------------------------------------------------------- PanAmSat Corp.: 9% Sr. Nts., 6/15/16 13 3,280,000 3,628,500 9% Sr. Unsec. Nts., 8/15/14 5,470,000 5,948,625 --------------------------------------------------------------------------------------------------------------------- Qwest Capital Funding, Inc.: 7.25% Unsec. Unsub. Nts., 2/15/11 2,200,000 2,263,250 7.90% Unsec. Nts., 8/15/10 5,197,000 5,443,858 --------------------------------------------------------------------------------------------------------------------- Qwest Communications International, Inc., 7.25% Sr. Unsec. Sub. Nts., 2/15/11 1 1,500,000 1,543,125 --------------------------------------------------------------------------------------------------------------------- Qwest Corp.: 7.50% Sr. Unsec. Nts., 10/1/14 3,275,000 3,471,500 8.875% Unsec. Unsub. Nts., 3/15/12 13,690,000 15,195,900 --------------------------------------------------------------------------------------------------------------------- Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 2 [PEN] 20,898,900 7,328,898 --------------------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 2,3,4 5,035,000 --
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES Continued Time Warner Telecom Holdings, Inc., 9.25% Sr. Unsec. Unsub. Nts., 2/15/14 $ 7,670,000 $ 8,245,250 --------------------------------------------------------------------------------------------------------------------- Valor Telecommunications Enterprises LLC, 7.75% Sr. Unsec. Sub. Nts., 2/15/15 1,665,000 1,802,363 --------------------------------------------------------------------------------------------------------------------- West Corp.: 9.50% Sr. Nts., 10/15/14 13 3,480,000 3,619,200 11% Sr. Sub. Nts., 10/15/16 13 1,450,000 1,537,000 --------------------------------------------------------------------------------------------------------------------- Windstream Corp.: 8.125% Sr. Unsec. Unsub. Nts., 8/1/13 2,445,000 2,658,938 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 2,445,000 2,686,444 ---------------- 100,419,514 --------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.3% Alamosa Delaware, Inc.: 8.50% Sr. Nts., 1/31/12 200,000 211,821 11% Sr. Unsec. Nts., 7/31/10 118,000 126,126 --------------------------------------------------------------------------------------------------------------------- America Movil SAB de CV, 8.46% Bonds, 12/18/362 [MXN] 31,700,000 2,907,443 --------------------------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,123,000 1,194,591 --------------------------------------------------------------------------------------------------------------------- American Tower Corp.: 7.125% Sr. Unsec. Nts., 10/15/12 750,000 776,250 7.50% Sr. Nts., 5/1/12 3,247,000 3,384,998 --------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 2,3,4 21,702,000 -- --------------------------------------------------------------------------------------------------------------------- Centennial Cellular Operating Co. LLC/Centennial Communications Corp., 10.125% Sr. Nts., 6/15/13 6,810,000 7,388,850 --------------------------------------------------------------------------------------------------------------------- Cricket Communications, Inc., 9.375% Sr. Nts., 11/1/14 13 2,905,000 3,093,825 --------------------------------------------------------------------------------------------------------------------- Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,010,000 1,076,913 --------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 3,294,000 3,409,290 9.61% Sr. Unsec. Nts., 10/15/12 1 955,000 987,231 --------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 12 18,460,000 19,110,715 --------------------------------------------------------------------------------------------------------------------- Nextel Partners, Inc., 8.125% Sr. Nts., 7/1/11 200,000 208,918 --------------------------------------------------------------------------------------------------------------------- Rogers Wireless, Inc.: 7.50% Sec. Nts., 3/15/15 4,931,000 5,368,626 8% Sr. Sub. Nts., 12/15/12 3,844,000 4,093,860 --------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp.: 9.75% Sr. Sub. Nts., 1/15/10 10,663,000 11,036,205 9.875% Sr. Nts., 2/1/10 5,468,000 5,796,080 --------------------------------------------------------------------------------------------------------------------- Sprint Capital Corp., 8.75% Nts., 3/15/32 19,957,000 23,605,259 ---------------- 93,777,001
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- UTILITIES--2.2% --------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.1% Edison Mission Energy: 7.50% Sr. Unsec. Nts., 6/15/13 $ 1,610,000 $ 1,670,375 7.75% Sr. Unsec. Nts., 6/15/16 2,255,000 2,362,113 --------------------------------------------------------------------------------------------------------------------- ESI Tractebel Acquisition Corp., 7.99% Sec. Bonds, Series B, 12/30/11 388,000 398,409 --------------------------------------------------------------------------------------------------------------------- ISA Capital do Brasil SA: 7.875% Sr. Nts., 1/30/12 13 4,010,000 4,117,268 8.80% Sr. Nts., 1/30/17 13 5,005,000 5,329,074 --------------------------------------------------------------------------------------------------------------------- Majapahit Holding BV: 7.25% Nts., 10/17/11 13 7,110,000 7,323,300 7.75% Nts., 10/17/16 13 6,565,000 6,909,663 --------------------------------------------------------------------------------------------------------------------- Midwest Generation LLC, 8.75% Sr. Sec. Nts., 5/1/34 10,991,000 11,980,190 --------------------------------------------------------------------------------------------------------------------- National Power Corp.: 5.875% Unsec. Unsub. Bonds, 12/19/16 [PHP] 402,300,000 8,337,824 6.875% Nts., 11/2/16 13 5,203,000 5,326,571 9.625% Unsec. Bonds, 5/15/28 11,790,000 14,929,088 --------------------------------------------------------------------------------------------------------------------- Reliant Energy, Inc.: 6.75% Sr. Sec. Nts., 12/15/14 900,000 955,125 9.25% Sr. Sec. Nts., 7/15/10 1,970,000 2,085,738 9.50% Sr. Sec. Nts., 7/15/13 4,460,000 4,878,125 --------------------------------------------------------------------------------------------------------------------- Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 6,894,000 7,071,872 ---------------- 83,674,735 --------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS--1.0% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 13 8,898,000 9,520,860 --------------------------------------------------------------------------------------------------------------------- AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 2 3,330,000 3,446,550 --------------------------------------------------------------------------------------------------------------------- AES Panama SA, 6.35% Sr. Nts., 12/21/16 13 4,040,000 4,036,619 --------------------------------------------------------------------------------------------------------------------- AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2 2,598,896 2,839,294 --------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,130,000 3,153,475 8.75% Sr. Nts., 2/15/12 3,496,000 3,731,980 --------------------------------------------------------------------------------------------------------------------- Mirant Americas Generation LLC: 8.30% Sr. Unsec. Nts., 5/1/11 13,900,000 14,317,000 9.125% Sr. Unsec. Nts., 5/1/31 2,700,000 2,889,000 --------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,374,590 3,574,956 --------------------------------------------------------------------------------------------------------------------- NRG Energy, Inc.: 7.375% Sr. Nts., 1/15/17 7,650,000 7,869,938 7.375% Sr. Nts., 2/1/16 14,525,000 14,960,750 ---------------- 70,340,422
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.0% SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 $ 1,300,000 $ 1,316,587 --------------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.1% CMS Energy Corp.: 7.50% Sr. Nts., 1/15/09 1,318,000 1,359,188 7.75% Sr. Nts., 8/1/10 1,650,000 1,757,250 8.50% Sr. Nts., 4/15/11 2,407,000 2,629,648 --------------------------------------------------------------------------------------------------------------------- NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 670,000 661,922 ---------------- 6,408,008 ---------------- Total Corporate Bonds and Notes (Cost $2,079,973,920) 2,078,216,452 SHARES --------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.3% --------------------------------------------------------------------------------------------------------------------- AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 2,3,15 338,141 -- --------------------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 2,3 43,000 -- --------------------------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 2,3,15 5,773 -- --------------------------------------------------------------------------------------------------------------------- ION Media Networks, Inc.: 14.25% Cum., Non-Vtg. 2,3,15 1,873 14,612,366 9.75% Cv., Series AI 2,3,15 -- 2,964 --------------------------------------------------------------------------------------------------------------------- Loral Skynet Corp., 12% Cum., Series A, Non-Vtg. 2,15 8,850 1,830,844 --------------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 2 61,550 9,592,568 ---------------- Total Preferred Stocks (Cost $39,339,595) 26,038,742 --------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.7% --------------------------------------------------------------------------------------------------------------------- Adelphia Contingent Value Vehicle 2,3 16,390,588 1,639,059 --------------------------------------------------------------------------------------------------------------------- Arco Capital Corp. Ltd. 2,3 2,383,674 35,755,110 --------------------------------------------------------------------------------------------------------------------- ATA Holdings Corp. 2,3 32,791 491,865 --------------------------------------------------------------------------------------------------------------------- Cebridge Connections Holding LLC 2,3 56,470 -- --------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 7,553 1,560,676 --------------------------------------------------------------------------------------------------------------------- Okumura Corp. 267,000 1,454,336 --------------------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 2,3 799,833 -- --------------------------------------------------------------------------------------------------------------------- Societe des Autoroutes Paris-Rhin-Rhone 13,252 1,207,262 --------------------------------------------------------------------------------------------------------------------- Time Warner Cable, Inc., Cl. A 3 248,277 9,302,939 --------------------------------------------------------------------------------------------------------------------- WRC Media Corp. 2,3 16,235 162 ---------------- Total Common Stocks (Cost $51,987,698) 51,411,409 UNITS --------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% --------------------------------------------------------------------------------------------------------------------- ATA Holdings Corp. Wts., Exp. 2/28/11 3 4,020 28,846 --------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 2,3 800 -- --------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 2,3 4,560 --
47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
VALUE UNITS SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES Continued --------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 2,3 9,035 $ 329,778 ---------------- Total Rights, Warrants and Certificates (Cost $30,592) 358,624 PRINCIPAL AMOUNT --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--16.8% --------------------------------------------------------------------------------------------------------------------- Aiolos Ltd. Catastrophe Linked Nts., 8.484%, 4/8/09 1,13 [EUR] 4,850,000 6,464,755 --------------------------------------------------------------------------------------------------------------------- Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.86%, 6/1/09 1,13 6,250,000 6,465,313 --------------------------------------------------------------------------------------------------------------------- Cascadia Ltd. Catastrophe Linked Nts.: 8.465%, 6/13/08 1,13 2,750,000 2,744,473 9.36%, 8/31/09 1 3,950,000 3,988,315 --------------------------------------------------------------------------------------------------------------------- Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.71%, 5/19/09 1,13 7,200,000 7,215,480 --------------------------------------------------------------------------------------------------------------------- Champlain Ltd. Catastrophe Linked Nts., Series A, 18.11%, 1/7/09 1 5,250,000 5,272,444 --------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Argentina (Republic of) Credit Linked Nts., 11.083%, 5/22/08 2,17 [ARP] 10,355,000 9,263,109 Argentina (Republic of) Credit Linked Nts., 4%, 5/18/09 2 [ARP] 4,756,000 4,253,426 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 21,585,000 10,323,671 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 33,875,000 16,201,730 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 14.809%, 1/5/10 7 [BRR] 18,237,724 6,528,508 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.427%, 1/2/09 7 [BRR] 17,433,522 6,968,586 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.728%, 1/3/08 7 [BRR] 15,201,753 6,778,847 Colombia (Republic of) Credit Linked Bonds, 11%, 7/24/20 [COP] 7,230,000,000 3,557,148 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,311,848,685 2,341,649 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,085,000,000 5,476,892 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,162,000,000 4,432,563 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 6,891,000,000 3,742,317 Dominican Republic Credit Linked Nts., 10.105%, 7/2/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 58,700,000 1,774,663 Dominican Republic Credit Linked Nts., 14.608%, 5/14/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 142,700,000 4,382,191 Dominican Republic Credit Linked Nts., 22%, 10/3/11 [DOP] 100,200,000 3,922,389 Dominican Republic Credit Linked Nts., Series II, 15.603%, 4/23/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 56,010,000 1,722,840 Dominican Republic Unsec. Credit Linked Nts., 11.648%, 9/24/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 272,500,000 8,059,345 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 (linked to Dominican Republic Treasury Bills) [DOP] 167,200,000 5,225,685 Dominican Republic Unsec. Credit Linked Nts., 15.638%, 4/30/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 50,870,000 1,564,736 Dominican Republic Unsec. Credit Linked Nts., 9.696%, 3/10/08 (linked to Dominican Republic Treasury Bills) 7 [DOP] 117,920,000 3,302,088 Dominican Republic Unsec. Credit Linked Nts., Series II, 15.736%, 4/30/07 (linked to Dominican Republic Treasury Bills) 7 [DOP] 111,530,000 3,424,988
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued --------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Continued Egypt (The Arab Republic of) Credit Linked Nts., 8.226%, 6/28/07 (linked to Egyptian Treasury Bills) 2,7 [EGP] 21,630,000 $ 3,720,569 Egypt (The Arab Republic of) Credit Linked Nts., 8.70%, 7/12/07 (linked to Egyptian Treasury Bills) 2,7 [EGP] 32,570,000 5,584,629 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.376%, 2/28/08 (linked to Egyptian Treasury Bills) 2,7 [EGP] 31,710,000 5,162,892 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08 [EGP] 23,760,000 4,188,684 Nigeria (Federal Republic of) Credit Linked Nts., 12.474%, 7/22/07 7 [NGN] 907,570,000 6,911,576 Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 [NGN] 1,761,000,000 15,723,893 Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%, 4/4/11 [NGN] 1,281,000,000 11,469,430 Rusfinans Bank Unsec. Credit Linked Nts., 7.50%, 7/2/07 1,2 [RUR] 186,900,000 7,246,862 Russian Federation Credit Linked Nts., 7.65%, 12/4/08 1,2 [RUR] 74,850,000 2,916,638 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,470,000 1,391,965 Zambia (Republic of) Credit Linked Nts., 8.833%, 2/21/08 (linked to Zambian Treasury Bills) 7 [ZMK] 22,485,000,000 4,800,149 --------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International: Boryspil Airport Total Return Linked Nts., 10%, 4/19/10 1,5 [UAH] 16,740,000 3,439,798 EES Total Return Linked Nts., 7.10%, 12/12/08 1 [RUR] 130,700,000 5,047,643 Gazprom Total Return Linked Nts., 6.79%, 10/29/09 [RUR] 259,410,000 10,288,286 Gazprom Total Return Linked Nts., Series 002, 6.95%, 8/6/09 [RUR] 254,480,000 9,960,447 Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 [IDR] 68,000,000,000 8,266,490 Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/17/09 1,2 [RUR] 232,499,000 9,039,525 Moitk Total Return Linked Nts., 8.966%, 3/26/11 1 [RUR] 208,910,000 8,043,999 Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 2 [RUR] 211,690,000 9,153,118 Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 [RUR] 221,305,000 9,452,938 NAK Naftogaz of Ukraine, Credit Linked Nts., 5%, 1/20/09 14,060,000 14,534,947 Orenburgskaya IZHK Total Return Linked Nts., 9.24%, 2/21/12 1 [RUR] 399,160,000 15,361,820 Rurail Total Return Linked Nts., 6.67%, 1/22/09 1 [RUR] 180,700,000 6,957,783 Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%, 12/20/07 [RUR] 553,980,000 22,036,695 South African Rand Interest Bearing Linked Nts., Series Fbi 43, 5.245%, 5/23/22 1 14,280,000 14,007,252 Turkey (Republic of) Credit Linked Nts., Series EMG 59, 21.41%, 7/16/08 7 [TRY] 20,770,000 11,793,570 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 15,823,000 3,477,574 Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 2 [VND] 50,978,000,000 3,354,270 --------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch): Turkey (Republic of) Credit Linked Nts., Series 2, 20.853%, 7/16/08 7 [TRY] 25,240,000 14,331,714 Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,771,000 1,048,569 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 [UAH] 30,720,000 6,751,632
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued --------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Argentina (Republic of) Credit Linked Nts., 11.077%, 12/21/11 [ARP] 19,110,000 $ 16,897,588 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 2 [MXN] 68,645,052 6,203,288 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 2 [MXN] 44,983,969 4,080,375 Borhis Total Return Linked Nts., 6.45%, 3/15/34 [MXN] 15,380,000 5,152,560 Brazil Real Credit Linked Nts., 13.882%, 3/3/10 7 [BRR] 33,618,120 14,899,144 Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 10,875,000 8,240,879 Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 2 [COP] 8,506,000,000 4,575,627 Egypt (The Arab Republic of) Credit Linked Nts., 9.381%, 2/5/08 (linked to Egyptian Treasury Bills) 2,7 [EGP] 21,850,000 3,563,895 Egypt (The Arab Republic of) Total Return Linked Nts., 10.029%, 9/12/07 (linked to Egyptian Treasury Bills) 2,7 [EGP] 43,250,000 7,268,885 European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/10 7 5,580,000 4,894,776 Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 2 10,039,572 10,090,081 Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/20/09 [KZT] 1,345,160,000 10,836,467 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,080,000 6,207,680 Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,200,533 7,845,535 Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 352,600,000 2,904,300 Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 474,000,000 4,100,961 OAO Gazprom I Credit Nts., 9.22%, 10/20/07 7,455,000 7,919,465 OAO Gazprom II Credit Nts., 8.97%, 4/20/07 7,455,000 7,774,541 Peru (Republic of) Credit Linked Nts., 6.665%, 2/20/11 1 7,790,000 7,961,857 RosSelkhoz Bank Total Return Linked Nts., 6.926%, 2/22/08 7 [RUR] 211,690,000 7,653,913 Russian Federation Credit Linked Nts., 0%, 12/2/09 7 [RUR] 155,437,000 6,400,914 Russian Federation Credit Linked Nts., 6.942%, 2/22/08 7 [RUR] 289,400,000 10,465,842 Russian Federation Credit Linked Nts., 7.176%, 2/21/08 7 [RUR] 140,200,000 5,069,104 Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 191,850,000 8,234,062 Russian Railways Total Return Linked Bonds, 6.67%, 1/26/09 1 [RUR] 260,450,000 10,033,538 Russian Unified Energy Systems Total Return Linked Nts., Series FSK3, 7.10%, 12/16/08 1 [RUR] 185,560,000 7,309,310 Sberbank Total Return Linked Nts., 6.588%, 2/27/08 7 [RUR] 282,230,000 10,199,161 Sberbank Total Return Linked Nts., 6.593%, 2/20/08 7 [RUR] 211,690,000 7,660,594 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,430,000 5,562,981 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,480,000 5,609,986 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,480,000 5,608,999 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,480,000 5,606,533 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,480,000 5,592,504 Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 2 [UAH] 20,075,400 4,429,624 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,139,000 480,741 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,579,000 1,703,383 Ukraine (Republic of) Credit Linked Nts., 5.592%, 5/18/07 [UAH] 15,868,000 3,210,495 Ukraine (Republic of) Credit Linked Nts., Series A, 5.592%, 5/16/07 [UAH] 15,871,000 3,211,102 United Mexican States BORHIS Total Return Linked Nts., 6.10%, 9/27/35 [MXN] 15,260,418 5,540,016 United Mexican States Credit Linked Nts., 9.52%, 1/5/11 2 [MXN] 45,019,161 4,078,469
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued --------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Continued Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 2 $ 15,470,000 $ 15,557,715 --------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%, 4/20/17 5 [VND] 128,300,000,000 8,008,739 --------------------------------------------------------------------------------------------------------------------- Dow Jones CDX High Yield Index, Pass-Through Certificates, 8.25%, Series 4-T1, 6/29/10 2 12,823,100 13,384,111 --------------------------------------------------------------------------------------------------------------------- Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.041%, 12/8/11 1 [RUR] 128,870,000 4,964,569 --------------------------------------------------------------------------------------------------------------------- Eurus Ltd. Catastrophe Linked Nts., 11.61%, 4/8/09 1,2 5,770,000 5,868,090 --------------------------------------------------------------------------------------------------------------------- Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.26%, 8/10/11 1,13 6,700,000 6,864,485 --------------------------------------------------------------------------------------------------------------------- Foundation Re II Ltd. Catastrophe Linked Nts., 15.16%, 1/8/09 1,2 3,544,000 3,366,800 --------------------------------------------------------------------------------------------------------------------- Foundation Re Ltd. Catastrophe Linked Nts., 9.46%, 11/24/08 1,13 5,000,000 4,810,950 --------------------------------------------------------------------------------------------------------------------- Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/17 7 [TRY] 77,520,000 12,580,293 --------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 7 [COP] 226,587,600,000 4,516,013 --------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Russag Total Return Linked Nts., 7.25%, 12/23/09 [RUR] 185,570,000 7,131,846 --------------------------------------------------------------------------------------------------------------------- Goldman Sachs International, Russian Federation Total Return Linked Nts., 8%, 5/13/09 1 [RUR] 358,300,000 14,096,484 --------------------------------------------------------------------------------------------------------------------- ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09 2 [UAH] 36,698,000 8,227,534 --------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Argentina (Republic of) Credit Linked Nts., 11.032%, 12/19/11 2 [ARP] 18,250,000 15,919,242 Brazil (Federal Republic of) Credit Linked Nts., 12.08%, 1/2/15 7 [BRR] 26,663,580 5,465,568 Brazil (Federal Republic of) Credit Linked Nts., 12.683%, 6/1/13 7 [BRR] 42,180,340 10,236,446 Brazil (Federal Republic of) Credit Linked Nts., 14.35%, 2/20/12 [BRR] 20,330,000 9,994,786 Brazil (Federal Republic of) Credit Linked Nts., 15.326%, 1/2/15 7 [BRR] 81,357,010 16,676,765 Brazil (Federal Republic of) Credit Linked Nts., 2.731%, 11/30/12 7 [ARP] 27,660,000 8,549,495 Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 2 [BRR] 30,560,000 21,491,825 Brazil (Federal Republic of) Credit Linked Nts., Series II, 13.553%, 1/2/15 7 [BRR] 56,242,917 11,528,815 Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16 7 [COP] 115,400,000,000 21,522,403 Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16 2,7 [COP] 50,103,000,000 8,557,305 Colombia (Republic of) Credit Linked Bonds, 11.198%, 8/3/20 7 [COP] 82,000,000,000 10,907,770 Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/16 2,7 [COP] 49,890,000,000 8,520,926 Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/15 7 [PEN] 24,240,000 4,322,451 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 8,765,000 8,764,124 --------------------------------------------------------------------------------------------------------------------- JSC Astana Finance Nts., 9.16%, 3/14/12 2 24,800,000 24,615,207 --------------------------------------------------------------------------------------------------------------------- Lakeside Re Ltd. Catastrophe Linked Nts., 11.865%, 12/31/09 1,13 7,250,000 7,424,000 --------------------------------------------------------------------------------------------------------------------- Lehman Brothers International, Romania (Republic of) Total Return Linked Nts., 7.90%, 2/9/10 (linked to Romanian Treasury Bills) [RON] 6,092,000 2,493,284 --------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: CMS 10 yr. Curve Credit Linked Nts., 6%, 2/5/17 46,830,000 48,604,857
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued --------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Continued Romania (Republic of) Total Return Linked Nts., 6.50%, 3/9/10 (linked to Romanian Treasury Bills) [RON] 16,085,800 $ 6,312,339 Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08 (linked to Romanian Treasury Bills) [RON] 18,680,000 7,464,428 Romania (Republic of) Total Return Linked Nts., 7.25%, 4/19/10 (linked to Romanian Treasury Bills) [RON] 1,487,000 631,539 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 (linked to Romanian Treasury Bills) [RON] 1,478,000 637,862 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 (linked to Romanian Treasury Bills) [RON] 3,568,000 1,539,845 Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08 (linked to Romanian Treasury Bills) [RON] 13,855,800 5,624,653 --------------------------------------------------------------------------------------------------------------------- Merrill Lynch: Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 2 [COP] 7,341,000,000 3,432,788 Renaissance Capital International Services Ltd. Total Return Linked Nts., 10.50%, 10/4/08 5 [RUR] 277,000,000 10,660,447 --------------------------------------------------------------------------------------------------------------------- Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc: Total Return Linked Nts., Series A, 8.375%, 6/30/12 2 [RUR] 165,774,432 6,603,186 Total Return Linked Nts., Series B, 11%, 6/30/12 2 [RUR] 143,796,285 5,731,065 --------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,043,000,000 16,626,923 Brazil (Federal Republic of) Linked Nts., 12.551%, 1/5/22 7 [BRR] 104,427,000 9,503,501 Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 [BRR] 36,298,924 22,005,221 Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 2 16,900,000 19,627,141 Philippines (Republic of the) Credit Linked Nts., 8.22%, 6/20/16 1,2 3,950,000 4,234,972 Sukhoi Co. Total Return Linked Nts., 7.85%, 3/31/17 [RUR] 372,600,000 14,346,819 Venezuela (Republic of) 10 yr. Credit Linked Nts., 7.85%, 11/20/15 12,480,000 13,901,353 WTI Trading Ltd. Total Return Linked Nts., Series A, 0%, 2/6/09 2,7 13,170,000 13,565,100 WTI Trading Ltd. Total Return Linked Nts., Series B, 0%, 2/6/09 2,7 17,610,000 18,138,300 --------------------------------------------------------------------------------------------------------------------- Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts., Series D, 10.36%, 1/15/10 1,2 2,980,000 2,996,390 --------------------------------------------------------------------------------------------------------------------- Residential Reinsurance Ltd. Catastrophe Linked Nts.: Series B, 13.81%, 6/6/08 1 4,300,000 3,990,293 Series B, 14.86%, 6/8/07 1,13 2,000,000 1,998,150 --------------------------------------------------------------------------------------------------------------------- Successor Cal Quake Parametric Ltd. Catastrophe Linked Nts., Cl. A-I, 10.596%, 6/6/08 1,2 4,560,000 4,608,108 --------------------------------------------------------------------------------------------------------------------- Successor Euro Wind Ltd. Catastrophe Linked Nts., Series A-I, 22.846%, 6/6/08 1,2 6,000,000 6,201,600 --------------------------------------------------------------------------------------------------------------------- Successor Japan Quake Ltd. Catastrophe Linked Nts., Series A-I, 9.596%, 6/6/08 1,13 10,660,000 10,805,509 --------------------------------------------------------------------------------------------------------------------- UBS AG: Congo (Republic of) Credit Linked Nts., 9%, 3/22/12 [XAF] 1,200,000,000 2,303,270 Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 2 [GHC] 44,442,450,000 4,974,017 Israel (State of) Credit Linked Nts., 7.50%, 4/5/14 [ILS] 37,034,500 10,671,975
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 --------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES Continued --------------------------------------------------------------------------------------------------------------------- VASCO Re 2006 Ltd. Catastrophe Linked Nts., 13.848%, 6/5/09 1,13 $ 6,710,000 $ 6,865,001 ---------------- Total Structured Notes (Cost $1,163,988,357) 1,256,917,376 STRIKE DATE PRICE CONTRACTS --------------------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.0% --------------------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Put 3 (Cost $796,110) 7/25/07 $95 93,660,000 456,593 SHARES --------------------------------------------------------------------------------------------------------------------- INVESTMENTS IN AFFILIATED COMPANIES--4.2% --------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% 18,19 (Cost $312,073,601) 312,073,601 312,073,601 --------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $7,561,653,127) 7,683,761,204 PRINCIPAL AMOUNT --------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.6% 20 --------------------------------------------------------------------------------------------------------------------- ASSET-BACKED FLOATING NOTE--0.0% GSAA Home Equity Trust, Series 2005-15, Cl. 2A1, 5.41%, 4/25/07 $ 1,109,499 1,109,499 --------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--0.5% Undivided interest of 0.65% in joint repurchase agreement (Principal Amount/Value $3,500,000,000, with a maturity value of $3,501,591,771) with Bank of America NA, 5.4575%, dated 3/30/07, to be repurchased at $22,606,133 on 4/2/07, collateralized by U.S. Agency Mortgages, 5%-5.50%, 9/1/33-6/1/35, with a value of $3,570,000,000 22,595,857 22,595,857 --------------------------------------------------------------------------------------------------------------------- Undivided interest of 2% in joint repurchase agreement (Principal Amount/Value $750,000,000 with a maturity value of $750,342,344) with Barclays Capital, 5.4775%, dated 3/30/07, to be repurchased at $15,006,847 on 4/2/07, collateralized by AAA Asset-Backed Securities, 0.00%, 9/15/10-11/25/46, with a value of $772,500,000 15,000,000 15,000,000 ---------------- 37,595,857 --------------------------------------------------------------------------------------------------------------------- MEDIUM-TERM FLOATING NOTE--0.1% Bear Stearns, 5.37%, 4/2/07 3,000,000 3,000,000 --------------------------------------------------------------------------------------------------------------------- HSBC Finance Corp., 5.33%, 4/10/07 3,000,000 3,000,000 ---------------- 6,000,000 --------------------------------------------------------------------------------------------------------------------- YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0% Natexis Banques Populaires NY, 5.37%, 4/2/07 2,000,000 2,000,000 ---------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $46,705,356) 46,705,356 --------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $7,608,358,483) 103.3% 7,730,466,560 --------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (3.3) (246,075,006) ---------------------------------- NET ASSETS 100.0% $ 7,484,391,554 ==================================
53 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Unaudited / Continued -------------------------------------------------------------------------------- FOOTNOTES TO STATEMENT OF INVESTMENTS Principal amount is reported in U.S. Dollars (USD), 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 GHC Ghanaian Cedi 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 PHP Philippines Peso PLZ Polish Zloty RON New Romanian Leu RUR Russian Ruble TRY New Turkish Lira UAH Ukraine Hryvnia UYU Uruguay Peso VND Vietnam Dong XAF CFA Franc BEAC ZMK Zambian Kwacha 1. Represents the current interest rate for a variable or increasing rate security. 2. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of March 31, 2007 was $618,732,486, which represents 8.27% of the Fund's net assets. In addition, the Fund has restricted currency of $3,450,908, which represents 0.05% of the Fund's net assets. See Note 12 of accompanying Notes. 3. Non-income producing security. 4. Issue is in default. See Note 1 of accompanying Notes. 5. When-issued security or forward commitment to be delivered and settled after March 31, 2007. See Note 1 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 $56,549,528 or 0.76% of the Fund's net assets as of March 31, 2007. 7. Zero coupon bond reflects effective yield on the date of purchase. 8. Partial or fully-loaned security. See Note 13 of accompanying Notes. 9. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of accompanying Notes. 10. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE SUBJECT TO CALL DATES PRICE RECEIVED SEE NOTE 1 ----------------------------------------------------------------------------------- Japanese Yen (JPY) 667,000,000 4/4/07 $ 117.00 $ 33,920 $ 40,887 Japanese Yen (JPY) 581,000,000 4/5/07 117.35 28,072 36,487 Japanese Yen (JPY) 607,000,000 4/9/07 118.00 31,121 31,121 --------------------- $ 93,113 $ 108,495 =====================
11. A sufficient amount of liquid assets has been designated to cover outstanding written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM VALUE SUBJECT TO PUT DATES PRICE RECEIVED SEE NOTE 1 ----------------------------------------------------------------------------------- Japanese Yen (JPY) 667,000,000 4/4/07 $ 117.00 $ 32,211 $ 16,208 Japanese Yen (JPY) 581,000,000 4/5/07 117.35 29,310 22,020 Japanese Yen (JPY) 607,000,000 4/9/07 118.00 31,121 31,121 --------------------- $ 92,642 $ 69,349 =====================
54 | OPPENHEIMER STRATEGIC INCOME FUND 12. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $10,484,398. See Note 6 of accompanying Notes. 13. 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 $557,840,623 or 7.45% of the Fund's net assets as of March 31, 2007. 14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 15. Interest or dividend is paid-in-kind, when applicable. 16. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 17. Denotes an inflation-indexed security: coupon and principal are indexed to the consumer price index. 18. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2007 by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment advisor. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES SEPTEMBER 30, 2006 ADDITIONS REDUCTIONS MARCH 31, 2007 --------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% -- 2,215,116,701 1,903,043,100 312,073,601 Prandium, Inc. 1,034,256 -- 1,034,256 --
VALUE DIVIDEND REALIZED SEE NOTE 1 INCOME LOSS --------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.23% $ 312,073,601 $ 11,147,594 $ -- Prandium, Inc. -- -- 12,155,862 ------------------------------------------------ $ 312,073,601 $ 11,147,594 $ 12,155,862 ================================================
19. Rate shown is the 7-day yield as of March 31, 2007. 20. 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 13 of accompanying Notes. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 55 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES Unaudited --------------------------------------------------------------------------------
March 31, 2007 -------------------------------------------------------------------------------------------------------------- ASSETS -------------------------------------------------------------------------------------------------------------- Investments, at value--see accompanying statement of investments: Unaffiliated companies (cost $7,296,284,882) $ 7,418,392,959 Affiliated companies (cost $312,073,601) 312,073,601 ------------------ 7,730,466,560 -------------------------------------------------------------------------------------------------------------- Cash 26,808,577 -------------------------------------------------------------------------------------------------------------- Cash--foreign currencies (cost $6,776,667) 6,789,085 -------------------------------------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 36,504,623 -------------------------------------------------------------------------------------------------------------- Swaps, at value (premiums paid $1,793,354) 43,208,698 -------------------------------------------------------------------------------------------------------------- Receivables and other assets: Investments sold (including $55,173,912 sold on a when-issued basis or forward commitment) 131,037,669 Interest, dividends and principal paydowns 82,078,210 Shares of beneficial interest sold 14,768,493 Closed foreign currency contracts 3,076,479 Other 99,924 ------------------ Total assets 8,074,838,318 -------------------------------------------------------------------------------------------------------------- LIABILITIES -------------------------------------------------------------------------------------------------------------- Options written, at value (premiums received $185,755)--see accompanying statement of investments 177,844 -------------------------------------------------------------------------------------------------------------- Return of collateral for securities loaned 46,705,356 -------------------------------------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 11,531,817 -------------------------------------------------------------------------------------------------------------- Swaps, at value 11,581,889 -------------------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $391,787,611 purchased on a when-issued basis or forward commitment) 495,773,471 Shares of beneficial interest redeemed 10,963,033 Dividends 6,653,457 Distribution and service plan fees 4,310,883 Futures margins 1,137,641 Transfer and shareholder servicing agent fees 767,512 Shareholder communications 542,871 Trustees' compensation 82,450 Closed foreign currency contracts 55,059 Other 163,481 ------------------ Total liabilities 590,446,764 -------------------------------------------------------------------------------------------------------------- NET ASSETS $ 7,484,391,554 ==================
56 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS -------------------------------------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 1,721,533 -------------------------------------------------------------------------------------------------------------- Additional paid-in capital 8,227,705,936 -------------------------------------------------------------------------------------------------------------- Accumulated net investment income 28,588,678 -------------------------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (945,600,409) -------------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 171,975,816 ------------------ NET ASSETS $ 7,484,391,554 ================== -------------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE -------------------------------------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $5,507,202,058 and 1,266,675,139 shares of beneficial interest outstanding) $ 4.35 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.57 -------------------------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $641,960,657 and 147,161,823 shares of beneficial interest outstanding) $ 4.36 -------------------------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $949,552,007 and 218,842,057 shares of beneficial interest outstanding) $ 4.34 -------------------------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $128,800,551 and 29,606,447 shares of beneficial interest outstanding) $ 4.35 -------------------------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $256,876,281 and 59,247,189 shares of beneficial interest outstanding) $ 4.34
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 57 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited -------------------------------------------------------------------------------- For the Six Months Ended March 31, 2007 -------------------------------------------------------------------------------- INVESTMENT INCOME -------------------------------------------------------------------------------- Interest (net of foreign withholding taxes of $638,177) $ 204,989,413 -------------------------------------------------------------------------------- Dividends: Unaffiliated companies (net of foreign withholding taxes of $2,962) 892,907 Affiliated companies 11,147,594 -------------------------------------------------------------------------------- Fee income 220,041 -------------------------------------------------------------------------------- Portfolio lending fees 177,390 ------------------ Total investment income 217,427,345 -------------------------------------------------------------------------------- EXPENSES -------------------------------------------------------------------------------- Management fees 18,668,434 -------------------------------------------------------------------------------- Distribution and service plan fees: Class A 6,471,845 Class B 3,375,540 Class C 4,506,432 Class N 293,559 -------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 3,267,482 Class B 536,669 Class C 591,131 Class N 171,286 Class Y 36,158 -------------------------------------------------------------------------------- Shareholder communications: Class A 350,171 Class B 73,621 Class C 54,516 Class N 4,621 Class Y 20 -------------------------------------------------------------------------------- Custodian fees and expenses 254,577 -------------------------------------------------------------------------------- Trustees' compensation 69,933 -------------------------------------------------------------------------------- Administration service fees 750 -------------------------------------------------------------------------------- Other 121,166 ------------------ Total expenses 38,847,911 Less reduction to custodian expenses (29,713) Less waivers and reimbursements of expenses (212,309) ------------------ Net expenses 38,605,889 -------------------------------------------------------------------------------- NET INVESTMENT INCOME 178,821,456 58 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) -------------------------------------------------------------------------------- Net realized gain (loss) on: Investments: Unaffiliated companies (Including premiums on options exercised) $ 82,637,667 Affiliated companies (12,155,862) Closing and expiration of option contracts written 1,496,622 Closing and expiration of futures contracts (4,433,891) Foreign currency transactions 21,904,062 Swap contracts 16,539,371 ------------------ Net realized gain 105,987,969 -------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments 28,076,324 Translation of assets and liabilities denominated in foreign currencies 138,359,554 Futures contracts (15,729,606) Option contracts written (244,882) Swap contracts 19,695,278 ------------------ Net change in unrealized appreciation 170,156,668 -------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 454,966,093 ================== SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 59 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPTEMBER 30, (UNAUDITED) 2006 -------------------------------------------------------------------------------------------------------- OPERATIONS -------------------------------------------------------------------------------------------------------- Net investment income $ 178,821,456 $ 325,322,096 -------------------------------------------------------------------------------------------------------- Net realized gain 105,987,969 59,177,730 -------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation 170,156,668 (134,262,183) -------------------------------------- Net increase in net assets resulting from operations 454,966,093 250,237,643 -------------------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS -------------------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (135,713,769) (361,826,587) Class B (14,654,798) (55,250,172) Class C (19,754,161) (53,959,503) Class N (2,788,165) (6,482,780) Class Y (5,942,328) (8,310,116) -------------------------------------- (178,853,221) (485,829,158) -------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS -------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 227,339,440 481,164,858 Class B (103,221,811) (168,323,661) Class C 57,112,731 97,789,142 Class N 15,985,812 28,045,769 Class Y 69,444,602 118,978,171 -------------------------------------- 266,660,774 557,654,279 -------------------------------------------------------------------------------------------------------- NET ASSETS -------------------------------------------------------------------------------------------------------- Total increase 542,773,646 322,062,764 -------------------------------------------------------------------------------------------------------- Beginning of period 6,941,617,908 6,619,555,144 -------------------------------------- End of period (including accumulated net investment income of $28,588,678 and $28,620,443, respectively) $ 7,484,391,554 $ 6,941,617,908 ======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 60 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPT. 30, CLASS A (UNAUDITED) 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64 $ 3.72 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .11 1 .21 1 .21 1 .20 .26 .32 Net realized and unrealized gain (loss) .17 (.05) .19 .15 .43 (.08) ----------------------------------------------------------------------------------- Total from investment operations .28 .16 .40 .35 .69 .24 ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.11) (.32) (.29) (.20) (.25) (.30) Tax return of capital distribution -- -- -- -- -- (.02) ----------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.11) (.32) (.29) (.20) (.25) (.32) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 4.35 $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64 =================================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 2 6.76% 3.77% 9.77% 8.73% 19.59% 6.63% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $ 5,507,202 $5,077,400 $4,766,576 $4,117,666 $3,873,018 $3,202,825 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $ 5,294,018 $4,888,392 $4,392,321 $4,025,554 $3,521,307 $3,263,490 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 3 Net investment income 5.14% 5.03% 4.82% 4.69% 6.60% 7.91% Total expenses 0.91% 4 0.93% 0.94% 0.95% 0.95% 1.01% Expenses after payments and waivers and reduction to custodian expenses 0.91% 0.92% 0.94% 0.95% 0.95% 1.01% ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 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. Expenses including indirect expenses from affiliated fund were as follows: Six Months Ended March 31, 2007 0.91% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS -------------------------------------------------------------------------------- Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226 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. 61 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPT. 30, CLASS B (UNAUDITED) 2006 2005 2004 2003 2002 ----------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66 $ 3.73 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .09 1 .18 1 .17 1 .16 .22 .28 Net realized and unrealized gain (loss) .16 (.05) .20 .15 .44 (.05) ---------------------------------------------------------------------------------- Total from investment operations .25 .13 .37 .31 .66 .23 ----------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.09) (.28) (.26) (.17) (.22) (.28) Tax return of capital distribution -- -- -- -- -- (.02) ---------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.09) (.28) (.26) (.17) (.22) (.30) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.36 $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66 ================================================================================== ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 6.07% 3.23% 8.94% 7.66% 18.62% 6.11% ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 641,961 $718,742 $ 918,651 $1,163,555 $1,686,295 $1,847,182 ----------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 677,343 $802,936 $1,021,022 $1,424,322 $1,757,152 $2,056,449 ----------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.34% 4.25% 4.05% 4.16% 5.92% 7.22% Total expenses 1.71% 4 1.71% 1.70% 1.69% 1.68% 1.75% Expenses after payments and waivers and reduction to custodian expenses 1.71% 1.71% 1.69% 1.69% 1.68% 1.75% ----------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 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. Expenses including indirect expenses from affiliated fund were as follows: Six Months Ended March 31, 2007 1.71% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS -------------------------------------------------------------------------------- Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226 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. 62 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPT. 30, CLASS C (UNAUDITED) 2006 2005 2004 2003 2002 --------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA --------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64 $ 3.71 --------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .09 1 .18 1 .17 1 .17 .23 .29 Net realized and unrealized gain (loss) .16 (.05) .20 .15 .42 (.06) ------------------------------------------------------------------------------------ Total from investment operations .25 .13 .37 .32 .65 .23 --------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.09) (.28) (.26) (.17) (.22) (.28) Tax return of capital distribution -- -- -- -- -- (.02) ------------------------------------------------------------------------------------ Total dividends and/or distributions to shareholders (.09) (.28) (.26) (.17) (.22) (.30) --------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.34 $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64 ==================================================================================== --------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 6.11% 3.22% 8.96% 7.95% 18.45% 6.15% --------------------------------------------------------------------------------------------------------------------------------- --------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 949,552 $857,843 $788,217 $710,085 $698,196 $ 568,487 --------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 904,838 $814,425 $748,199 $716,206 $623,598 $ 571,292 --------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.38% 4.27% 4.07% 4.06% 5.85% 7.15% Total expenses 1.67% 4,5,6 1.68% 4 1.69% 4 1.69% 4,7 1.69% 4 1.75% 4 --------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 36% 8 96% 8 103% 8 90% 8 104% 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. Expenses including indirect expenses from affiliated fund were as follows: Six Months Ended March 31, 2007 1.67% 6. Voluntary waiver or reimbursement of indirect management fees less than 0.01%. 7. Voluntary waiver of transfer agent fees less than 0.01%. 8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS -------------------------------------------------------------------------------- Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226 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. 63 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPT. 30, CLASS N (UNAUDITED) 2006 2005 2004 2003 2002 ----------------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65 $ 3.72 ----------------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .10 1 .19 1 .19 1 .17 .25 .30 Net realized and unrealized gain (loss) .16 (.04) .19 .16 .42 (.05) ----------------------------------------------------------------------------- Total from investment operations .26 .15 .38 .33 .67 .25 ----------------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.10) (.30) (.27) (.18) (.24) (.30) Tax return of capital distribution -- -- -- -- -- (.02) ----------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.10) (.30) (.27) (.18) (.24) (.32) ----------------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.35 $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65 ============================================================================= ----------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 6.28% 3.60% 9.27% 8.28% 18.82% 6.70% ----------------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 128,801 $108,324 $83,287 $52,969 $30,110 $ 15,508 ----------------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 118,248 $ 94,281 $69,480 $40,043 $22,627 $ 8,954 ----------------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.73% 4.62% 4.37% 4.19% 6.08% 7.07% Total expenses 1.33% 4 1.33% 1.40% 1.38% 1.34% 1.22% Expenses after payments and waivers and reduction to custodian expenses 1.33% 1.33% 1.40% 1.38% 1.34% 1.22% ----------------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 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. Expenses including indirect expenses from affiliated fund were as follows: Six Months Ended March 31, 2007 1.33% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS -------------------------------------------------------------------------------- Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226 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. 64 | OPPENHEIMER STRATEGIC INCOME FUND
SIX MONTHS YEAR ENDED ENDED MARCH 31, 2007 SEPT. 30, CLASS Y (UNAUDITED) 2006 2005 2004 2003 2002 ------------------------------------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, beginning of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64 $ 3.71 ------------------------------------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .12 1 .22 1 .21 1 .21 .26 .32 Net realized and unrealized gain (loss) .17 (.04) .19 .14 .42 (.06) ---------------------------------------------------------------------------------- Total from investment operations .29 .18 .40 .35 .68 .26 ------------------------------------------------------------------------------------------------------------------------------------ Dividends and/or distributions to shareholders: Dividends from net investment income (.12) (.33) (.30) (.20) (.25) (.31) Tax return of capital distribution -- -- -- -- -- (.02) ---------------------------------------------------------------------------------- Total dividends and/or distributions to shareholders (.12) (.33) (.30) (.20) (.25) (.33) ------------------------------------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 4.34 $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64 ================================================================================== ------------------------------------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE 2 6.95% 4.35% 9.73% 8.80% 19.33% 7.06% ------------------------------------------------------------------------------------------------------------------------------------ ------------------------------------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------------------------------------------------------------ Net assets, end of period (in thousands) $ 256,876 $179,309 $62,824 $150,699 $ 240,296 $ 152,767 ------------------------------------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $ 216,746 $118,239 $68,656 $213,632 $ 194,308 $ 127,992 ------------------------------------------------------------------------------------------------------------------------------------ Ratios to average net assets: 3 Net investment income 5.50% 5.38% 4.84% 4.80% 6.57% 7.86% Total expenses 0.56% 4 0.58% 1.16% 1.29% 1.41% 1.74% Expenses after payments and waivers and reduction to custodian expenses 0.56% 0.58% 0.80% 0.90% 0.91% 0.90% ------------------------------------------------------------------------------------------------------------------------------------ Portfolio turnover rate 36% 5 96% 5 103% 5 90% 5 104% 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. Expenses including indirect expenses from affiliated fund were as follows: Six Months Ended March 31, 2007 0.56% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS -------------------------------------------------------------------------------- Six Months Ended March 31, 2007 $1,817,839,808 $1,758,139,226 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. 65 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek high current income by investing mainly in debt securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC, however, the institutional investor may impose charges on those accounts. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. -------------------------------------------------------------------------------- SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ(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 66 | OPPENHEIMER STRATEGIC INCOME FUND trading session ending at, or most recently prior to, the time when the Fund's assets are valued. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. 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. Investments in open-end registered investment companies (including affiliated funds) are valued at that fund's net asset value. 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. -------------------------------------------------------------------------------- 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 take place generally at least ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2007, the Fund had purchased $391,787,611 of securities issued on a when-issued basis or forward commitment and sold $55,173,912 of securities issued on a when-issued basis or forward commitment. 67 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. -------------------------------------------------------------------------------- SECURITY CREDIT RISK. The Fund invests in high-yield securities, which may be subject to a greater degree of credit risk, market fluctuations and loss of income and principal, and may be more sensitive to economic conditions than lower-yielding, higher-rated fixed-income securities. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of March 31, 2007, securities with an aggregate market value of $8,862,828, representing 0.12% 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. 68 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") which seeks current income and stability of principal. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment advisor of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. -------------------------------------------------------------------------------- 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 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, options 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. 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. 69 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued As of March 31, 2007, the Fund had available for federal income tax purposes an estimated capital loss carryforward of $924,428,522 expiring by 2015. This estimated capital loss carryforward represents carryforward as of the end of the last fiscal year, increased for losses deferred under tax accounting rules to the current fiscal year and is increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. As of March 31, 2007, it is estimated that the Fund will utilize $105,987,969 of capital loss carryforward to offset realized capital gains. 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. As of September 30, 2006, the Fund had available for federal income tax purposes post-October foreign currency losses of $65,168,890, straddle losses of $1,268,559 and unused capital loss carryforwards 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 ============= -------------------------------------------------------------------------------- TRUSTEES' COMPENSATION. The Board of Trustees has adopted a compensation deferral 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 compensation deferral 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. 70 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 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 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. 71 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
SIX MONTHS ENDED MARCH 31, 2007 YEAR ENDED SEPTEMBER 30, 2006 SHARES AMOUNT SHARES AMOUNT ------------------------------------------------------------------------------------------------- CLASS A Sold 148,019,537 $ 633,775,510 285,205,829 $ 1,197,018,631 Dividends and/or distributions reinvested 23,825,715 102,095,143 63,712,315 267,183,114 Redeemed (118,813,955) (508,531,213) (234,651,361) (983,036,887) ------------------------------------------------------------------- Net increase 53,031,297 $ 227,339,440 114,266,783 $ 481,164,858 =================================================================== ------------------------------------------------------------------------------------------------- CLASS B Sold 11,299,704 $ 48,502,351 27,099,194 $ 114,141,319 Dividends and/or distributions reinvested 2,450,341 10,535,461 9,067,246 38,196,513 Redeemed (37,815,247) (162,259,623) (76,102,306) (320,661,493) ------------------------------------------------------------------- Net decrease (24,065,202) $ (103,221,811) (39,935,866) $ (168,323,661) =================================================================== ------------------------------------------------------------------------------------------------- CLASS C Sold 29,298,783 $ 125,107,418 52,485,697 $ 219,804,771 Dividends and/or distributions reinvested 3,451,495 14,761,792 9,627,908 40,332,270 Redeemed (19,374,852) (82,756,479) (38,820,281) (162,347,899) ------------------------------------------------------------------- Net increase 13,375,426 $ 57,112,731 23,293,324 $ 97,789,142 =================================================================== ------------------------------------------------------------------------------------------------- CLASS N Sold 6,644,169 $ 28,498,762 11,223,391 $ 47,099,735 Dividends and/or distributions reinvested 544,367 2,335,754 1,377,036 5,780,559 Redeemed (3,458,892) (14,848,704) (5,922,489) (24,834,525) ------------------------------------------------------------------- Net increase 3,729,644 $ 15,985,812 6,677,938 $ 28,045,769 =================================================================== ------------------------------------------------------------------------------------------------- CLASS Y Sold 16,585,945 $ 70,808,971 27,986,060 $ 117,026,957 Dividends and/or distributions reinvested 1,355,462 5,798,856 1,974,505 8,229,559 Redeemed (1,673,748) (7,163,225) (1,510,690) (6,278,345) ------------------------------------------------------------------- Net increase 16,267,659 $ 69,444,602 28,449,875 $ 118,978,171 ===================================================================
-------------------------------------------------------------------------------- 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in affiliated companies, for the six months ended March 31, 2007, were as follows:
PURCHASES SALES ------------------------------------------------------------------------------------- Investment securities $ 2,359,709,286 $ 1,739,799,055 U.S. government and government agency obligations 277,534,927 320,722,831 To Be Announced (TBA) mortgage-related securities 1,817,839,808 1,758,139,226
72 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the investment advisory agreement with the Fund which provides for a fee at an annual rate of average net assets as shown in the following table: FEE SCHEDULE --------------------------------- Up to $200 million 0.75% Next $200 million 0.72 Next $200 million 0.69 Next $200 million 0.66 Next $200 million 0.60 Next $4 billion 0.50 Over $5 billion 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 or the Transfer Agent), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the six months ended March 31, 2007, the Fund paid $4,657,866 to OFS for services to the Fund. Additionally, Class Y shares are subject to minimum fees of $10,000 per annum for assets of $10 million or more. The Class Y shares are subject to the minimum fees in the event that the per account fee does not equal or exceed the applicable minimum fees. OFS may voluntarily waive the minimum fees. -------------------------------------------------------------------------------- DISTRIBUTION AND SERVICE PLAN (12b-1) FEES. Under its General Distributor's Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Fund's principal underwriter in the continuous public offering of the Fund's classes of shares. -------------------------------------------------------------------------------- SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan for Class A shares. It reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made 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 73 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued 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 determines its uncompensated expenses under the plan at calendar quarter ends. The Distributor's aggregate uncompensated expenses under the plan at March 31, 2007 for Class B, Class C and Class N shares were $101,552,305, $28,955,138 and $1,849,375, respectively. Fees incurred by the Fund under the plans are detailed in the Statement of Operations. -------------------------------------------------------------------------------- SALES CHARGES. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SIX MONTHS RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR -------------------------------------------------------------------------------------------------------------------- March 31, 2007 $ 1,019,944 $ 18,098 $ 567,411 $ 49,353 $ 1,860 --------------------------------------------------------------------------------------------------------------------
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. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. During the six months ended March 31, 2007, the Manager waived $212,309 for IMMF management fees. -------------------------------------------------------------------------------- 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 74 | OPPENHEIMER STRATEGIC INCOME FUND Liabilities as a receivable or payable and in the Statement of Operations with the change in unrealized appreciation or depreciation. The Fund may realize a gain or loss upon the closing or settlement of the foreign transaction. Contracts closed or settled with the same broker are recorded as net realized gains or losses. Such realized gains and losses are reported with all other foreign currency gains and losses in the Statement of Operations. As of March 31, 2007, the Fund had outstanding foreign currency contracts as follows:
VALUATION CONTRACT AS OF EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) 2007 APPRECIATION DEPRECIATION ---------------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE Australian Dollar [AUD] 4/23/07 2,340 AUD $ 1,892,040 $ 17,700 $ -- Brazilian Real [BRR] 5/3/07-1/5/10 420,036 BRR 194,521,436 29,912,552 -- British Pound Sterling [GBP] 4/10/07-6/27/07 27,625 GBP 54,357,550 546,983 -- Canadian Dollar [CAD] 4/23/07 8,615 CAD 7,467,213 34,081 -- Chilean Peso [CLP] 5/16/07-6/28/07 15,171,000 CLP 28,117,789 11,311 62,129 Euro [EUR] 4/2/07-9/24/07 130,996 EUR 175,227,863 849,167 27,728 Hungarian Forint [HUF] 4/26/07 5,511,000 HUF 29,650,618 -- 310,238 Indian Rupee [INR] 4/26/07 1,303,000 INR 29,820,700 98,985 -- Japanese Yen [JPY] 4/2/07-5/31/07 22,947,000 JPY 195,269,611 1,123,797 517,974 Malaysian Ringgit [MYR] 5/16/07 56,590 MYR 16,405,777 151,292 -- Mexican Nuevo Peso [MXN] 4/2/07-5/25/07 970,812 MXN 87,702,932 -- 318,233 New Zealand Dollar [NZD] 9/24/07 8,950 NZD 6,312,068 83,942 -- Norwegian Krone [NOK] 9/24/07-1/29/08 82,830 NOK 13,676,069 370,696 -- Polish Zloty [PLZ] 5/7/07 123,670 PLZ 42,780,281 1,248,226 -- Russian Ruble [RUR] 6/6/07-2/21/08 2,006,300 RUR 77,193,529 422,221 -- Singapore Dollar [SGD] 2/5/08 32,740 SGD 21,980,056 238,904 -- South African Rand [ZAR] 4/26/07-8/1/07 449,490 ZAR 61,445,733 163,023 296,556 South Korean Won [KRW] 4/12/07-7/2/07 35,003,000 KRW 37,249,292 -- 51,153 Swedish Krone [SEK] 4/10/07 99,350 SEK 14,235,729 30,293 29,703 Swiss Franc [CHF] 4/10/07-4/23/07 14,520 CHF 11,961,523 110,147 2,709 Turkish Lira [TRY] 4/24/07 43,000 TRY 30,622,132 213,023 -- Ukraine Hryvnia [UAH] 4/5/07 17,331 UAH 3,439,921 -- 2,268 Uruguay Peso [UYU] 4/3/07 167,100 UYU 6,920,688 35,644 -- Vietnam Dong [VND] 4/13/07 129,262,250 VND 8,068,805 -- 20,197 ------------------------------- 35,661,987 1,638,888 -------------------------------
75 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS Continued
VALUATION CONTRACT AS OF EXPIRATION AMOUNT MARCH 31, UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) 2007 APPRECIATION DEPRECIATION -------------------------------------------------------------------------------------------------------------------- CONTRACTS TO SELL Australian Dollar [AUD] 4/10/07-4/11/07 69,720 AUD $ 6,393,123 $ -- $ 2,046,020 British Pound Sterling [GBP] 8/6/07 11,310 GBP 22,235,812 -- 29,432 Canadian Dollar [CAD] 8/21/07-9/28/07 33,810 CAD 29,417,609 -- 248,633 Chinese Renminbi (Yuan) [CNY] 4/26/07 230,300 CNY 29,913,051 48,570 -- Czech Koruna [CZK] 4/26/07-1/25/08 1,695,960 CZK 81,912,209 62,078 852,156 Euro [EUR] 4/2/07-1/29/08 177,422 EUR 237,308,157 -- 4,491,057 Hong Kong Dollar [HKD] 12/19/07-1/25/08 786,555 HKD 101,431,278 423,270 2,355 Indian Rupee [INR] 4/5/07 23,763 INR 546,170 -- 2,388 Japanese Yen [JPY] 4/2/07-2/5/08 9,691,000 JPY 83,646,488 19,204 809,095 New Turkish Lira [TRY] 5/7/07-5/8/07 17,800 TRY 12,610,500 -- 322,129 New Zealand Dollar [NZD] 1/16/08 29,110 NZD 20,343,809 -- 587,023 Russian Ruble [RUR] 4/4/07 266,974 RUR 10,274,697 -- 6,481 Swedish Krone [SEK] 4/26/07-9/24/07 233,450 SEK 33,507,904 112,212 -- Swiss Franc [CHF] 4/26/07-1/25/08 102,615 CHF 85,618,006 177,302 496,160 ------------------------------- 842,636 9,892,929 ------------------------------- Total unrealized appreciation and depreciation $ 36,504,623 $ 11,531,817 ===============================
-------------------------------------------------------------------------------- 6. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable 76 | OPPENHEIMER STRATEGIC INCOME FUND 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 March 31, 2007, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2007 (DEPRECIATION) ------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE 30 Day Interbank Cash Rate 4/20/07 38 $ 7,443,754 $ 386,683 Canada (Government of) Bonds, 10 yr. 6/20/07 89 8,738,112 (17,848) DAX Index 6/15/07 89 20,713,642 462,352 Euro-Bundesobligation, 10 yr. 6/7/07 97 14,890,982 (155,407) Euro-Schatz 6/7/07 1,780 245,639,001 (665,978) Japan (Government of) Bonds, 10 yr. 6/8/07 101 11,501,349 8,038 Japan (Government of) Bonds, 10 yr. 6/11/07 74 84,242,193 33,705 Nikkei 225 Index 6/7/07 19 2,790,988 (14,776) Standard & Poor's/MIB Index, 10 yr. 6/15/07 26 7,124,741 326,856 Standard & Poor's/Toronto Stock Exchange 60 Index 6/14/07 21 2,751,009 32,243 United Kingdom Long Gilt 6/27/07 19 4,030,915 (10,765) U.S. Treasury Nts., 2 yr. 6/29/07 2,066 423,304,031 1,042,620 U.S. Treasury Nts., 10 yr. 6/20/07 2,764 298,857,500 460,575 U.S. Treasury Nts., 30 yr. 6/20/07 5,095 566,818,750 (2,325,374) --------------- (437,076) --------------- CONTRACTS TO SELL Australia (Commonwealth of) Bonds, 10 yr. 6/15/07 247 20,171,647 312,274 CAC-40 10 Index 4/20/07 168 12,670,861 (220,321) DAX Index 6/15/07 80 18,619,004 (790,620) Euro-Bundesobligation, 5 yr. 6/7/07 82 11,849,958 83,852 Euro-Bundesobligation, 10 yr. 6/7/07 115 17,654,257 75,969 FTSE 100 Index 6/15/07 287 35,727,453 (1,029,615) NASDAQ 100 Index 6/15/07 691 24,748,165 53,531 Nikkei 225 Index 6/7/07 200 29,378,819 (765,424) Standard & Poor's 500 E-Mini 6/15/07 1,851 132,457,560 (1,289,499) Standard & Poor's/Toronto Stock Exchange 60 Index 6/14/07 60 7,860,026 (234,671) United Kingdom Long Gilt 6/27/07 17 3,606,608 38,689 U.S. Treasury Nts., 2 yr. 6/29/07 589 120,680,578 125,590 U.S. Treasury Nts., 5 yr. 6/29/07 2,423 256,345,828 (1,208,517) U.S. Treasury Nts., 10 yr. 6/20/07 3,963 428,499,375 (863,655) U.S. Treasury Nts., 30 yr. 6/20/07 373 41,496,250 709,607 --------------- (5,002,810) --------------- $ (5,439,886) ===============
77 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 7. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Fund generally purchases put options or writes covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Fund will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call 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 increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the six months ended March 31, 2007 was as follows:
CALL OPTIONS PUT OPTIONS --------------------------- ------------------------------ NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS ----------------------------------------------------------------------------------------------- Options outstanding as of September 30, 2006 -- $ -- 30,620,000 $ 519,227 Options written 10,983,300,000 666,891 11,054,260,000 1,191,394 Options closed or expired (7,270,300,000) (482,363) (2,584,880,000) (1,275,332) Options exercised (1,858,000,000) (91,415) (6,645,000,000) (342,647) ------------------------------------------------------------ Options outstanding as of March 31, 2007 1,855,000,000 $ 93,113 1,855,000,000 $ 92,642 ============================================================
-------------------------------------------------------------------------------- 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 78 | OPPENHEIMER STRATEGIC INCOME FUND 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 counterparty, and is referred to as notional. Total return swaps are marked to market daily using primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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. 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 March 31, 2007, the Fund had entered into the following total return swap agreements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE --------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Six-Month $ 12,650,000 BBA LIBOR 5.46% 5/13/15 $ 2,659,186 6,930,000 Six-Month LIBOR 5.25 6/23/15 1,218,630 --------------------------------------------------------------------------------------------------------- If positive, the If negative, the absolute value of absolute value of Lehman Brothers Lehman Brothers U.S. CMBS Index: U.S. CMBS Index: Aggregate AAA Goldman Sachs Aggregate plus 15 Capital Markets 18,580,000 AAA. basis points. 9/1/07 8,299 --------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Six-Month 7,180,000 BBA LIBOR 5.10 1/14/15 1,495,316 Six-Month 7,180,000 BBA LIBOR 5.08 1/20/15 1,533,105 --------------------------------------------------------------------------------------------------------- Goldman Sachs International: If negative, the absolute value of If positive, the Total Return the Total Return of the of the BMU/BOVESPA BMU/BOVESPA 15,277,818BRR 4/07 Index. 4/07 Index. 4/19/07 89,562
79 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS Continued
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE --------------------------------------------------------------------------------------------------------- Goldman Sachs International: Continued If positive, the absolute value of If negative, the the Total Return Total Return of of the Swiss the Swiss Market Market Index Index 6/07 8,935,436CHF 6/07. Future. 6/20/07 $ (118,646) If negative, the If positive, the absolute value of Total Return of the Total Return the INDF/NSE INDF/NSE NIFTY NIFTY Index 3/07 Index 3/07 --INR Future. Future. 4/5/07 546,722 If negative, the If positive, the absolute value of Total Return of the Total Return the INDF/NSE INDF/NSENIFTY NIFTY Index 4/07 Index 4/07 288,183,150INR Future. Future. 5/3/07 (66,302) One Month BBA LIBOR USD plus spread and if negative, the absolute value of If positive, the the Total Return Total Return of a of a custom custom equity 71,415,815 equity basket. basket. 1/8/08 3,537,538 One-Month BBA LIBOR USD and if negative the absolute value of the Total Return If positive the of the MSCI Total Return of Daily Total the MSCI Daily Return Net Total Return Net Belgium USD Belgium USD 6,930,351 Market Index. Market Index. 10/8/07 405,686
80 | OPPENHEIMER STRATEGIC INCOME FUND
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------ Goldman Sachs International: Continued One-Month USD BBA LIBOR minus spread plus, if negative, the absolute value of the Total If positive, the Return of a Total Return of a custom equity custom equity $ 18,274,748 basket. basket. 1/8/08 $ 780,900 ------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc. 936,780,000RUR BBA LIBOR USD 7.75% 12/26/13 11,262 ------------------------------------------------------------------------------------------------------------ Morgan Stanley International: One-Month BBA If positive, the LIBOR EUR and if Total Return of a negative, the custom basket of absolute value of securities plus the Total Return of the dividends a custom basket of from the basket 21,542,500EUR securities. of securities. 12/20/07 1,335,486 One-Month BBA If positive, the LIBOR GBP and if Total Return of a negative, the custom basket of absolute value of securities plus the Total Return the dividends of a custom basket from the basket 11,270,200GBP of securities. of securities. 10/9/07 1,352,963 One-Month BBA If positive, the LIBOR JPY and if Total Return of a negative, the custom basket of absolute value of securities plus the Total Return of the dividends a custom basket of from the basket 2,445,038,900JPY securities. of securities. 10/9/07 629,477 ------------ $ 15,419,184 ============
81 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. TOTAL RETURN SWAP CONTRACTS Continued Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: BRR Brazilian Real CHF Swiss Franc EUR Euro GBP British Pound Sterling INR Indian Rupee JPY Japanese Yen RUR Russian Ruble Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate BMU/BOVESPA Bovespa Index that trades on the Sao Paulo Stock Exchange CMBS Commercial Mortgage Backed Securities INDF/NSE NIFTY Indian National Stock Exchange Nifty LIBOR London-Interbank Offered Rate MSCI Morgan Stanley Capital International -------------------------------------------------------------------------------- 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 primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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. 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 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. 82 | OPPENHEIMER STRATEGIC INCOME FUND As of March 31, 2007, the Fund had entered into the following interest rate swap agreements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------ Barclays Bank plc: 17,450,000 EUR 4.2200% EURIBOR 1/29/10 $ -- 16,850,000 EUR EURIBOR 4.1120% 6/15/09 (55,308) 11,520,000 GBP 5.5525 BBA LIBOR GBP 6/13/09 81,723 85,300,000 MXN MXN TIIE 9.2700 7/17/26 961,084 143,260,000 NOK NIBOR 5.3850 1/29/10 15,990 ------------------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc.: Six-Month 11,250,000 PLZ WIBO 5.5200 3/24/10 61,215 Six-Month 18,000,000 PLZ WIBO 5.5500 3/25/10 103,109 313,800,000 TWD 2.3200 TWD-Telerate 6/27/11 (128,922) ------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston 28-Day International 68,120,000 MXN MXN TIIE 10.0000 7/9/15 817,495 ------------------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Six-Month Inc. (Nassau Branch) 29,695,000 PLZ WIBO 4.4800 7/1/10 84,317 ------------------------------------------------------------------------------------------------------------------ Credit Suisse International 80,490,000 MXN MXN TIIE 8.3000 12/17/26 190,860 ------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Six-Month 1,531,000,000 HUF 8.4400 BUBOR 7/4/11 (3,807) INR MIBOR-OIS 314,300,000 INR 7.1750 Compound 6/27/11 234,141 ------------------------------------------------------------------------------------------------------------------ Goldman Sachs Capital Markets LP: 70,300,000 BRR BZDI 12.3900 1/2/12 690,156 96,670,000 BRR BZDI 12.6100 1/4/10 870,556 32,290,000 BRR BZDI 12.6700 1/4/10 309,062 32,270,000 BRR BZDI 12.7100 1/4/10 321,453 21,030,000 BRR BZDI 12.7300 1/2/14 333,004 9,730,000 BRR BZDI 12.8400 1/2/14 168,993 16,210,000 BRR BZDI 12.8700 1/2/14 288,341 32,550,000 BRR BZDI 12.9200 1/2/14 601,479 47,435,713 BRR BZDI 17.1800 1/2/08 1,555,090 CNY- 63,300,000 CNY 4.0000 CFXSREPOFIX01 2/16/17 154,811 34,200,000 MXN MXN TIIE 10.0000 6/24/15 406,038 67,560,000 MXN MXN TIIE 10.2200 1/30/15 862,775 59,620,000 MXN MXN TIIE 10.2900 6/4/15 798,870 59,375,000 MXN MXN TIIE 10.3000 6/1/15 799,258 59,375,000 MXN MXN TIIE 10.4300 5/29/15 843,704 MXN-TIIE Floating 38,800,000 MXN Index Rate 9.3300 9/16/26 449,392
83 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued --------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------ 9. INTEREST RATE SWAP CONTRACTS Continued SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The): 17,960,000 BRR BZDI 14.0500% 1/2/12 $ 545,224 89,360,000 BRR BZDI 14.8900 1/4/10 2,774,195 90,610,000 MXN MXN TIIE 9.1500 8/27/26 905,200 68,200,000 MXN MXN TIIE 9.2900 7/17/26 764,157 39,690,000 MXN MXN TIIE 9.4100 8/31/20 426,501 78,820,000 MXN MXN TIIE 9.5000 8/28/25 1,026,483 119,100,000 MXN MXN TIIE 9.5100 8/26/25 1,545,869 179,660,000 MXN MXN TIIE 9.8400 12/13/09 891,243 70,140,000 MXN MXN TIIE 10.7000 5/8/15 1,094,022 30,800,000 MXN MXN TIIE 10.8500 3/5/15 501,392 ------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Bank: 70,300,000 BRR BZDI 12.3800 1/2/12 601,768 35,760,000 BRR BZDI 13.9100 1/2/12 983,969 65,300,000 MXN MXN TIIE 9.7600 8/17/15 700,738 Three-Month 169,320,000 ZAR 8.290 JIBA 6/23/08 239,517 ------------------------------------------------------------------------------------------------------------------ Lehman Brothers Special Financing, Inc.: 28-Day 67,450,000 MXN MXN TIIE 9.9900 7/9/15 791,803 Six-Month 34,350,000 PLZ WIBO 4.5300 7/5/10 76,601 The greater of 0% and 8* (-0.0031375- (10 yr. CMS Index + 2 yr. CMS Index)) 46,830,000 quarterly. 1,404,900 2/5/17 (1,222,491) ------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc. 95,900,000 SEK STIBOR SEK 4.1825 11/12/12 (94,503) ------------------------------------------------------------------------------------------------------------------ Santander Central Hispano 17,960,000 BRR BZDI 14.0000 1/3/12 519,203 ------------- $ 24,885,770 =============
84 | OPPENHEIMER STRATEGIC INCOME FUND Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: BRR Brazilian Real GBP British Pound Sterling CNY Chinese Renminbi (Yuan) EUR Euro HUF Hungarian Forint INR Indian Rupee MXN Mexican Nuevo Peso TWD New Taiwan Dollar NOK Norwegian Krone PLZ Polish Zloty ZAR South African Rand SEK Swedish Krona Index abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate BUBOR Budapest Interbank Offered Rate BZDI Brazil Interbank Deposit Rate CFXSREPOFIX01 Chinese Renminbi 7 Days Repurchase Fixing Rates EURIBOR Euro Interbank Offered Rate JIBA South Africa Johannesburg Interbank Agreed Rate MXN TIIE Mexican Peso-Interbank Equilibrium Interest Rate MIBOR-OIS Mid Market Interest Rate for French Franc/Austrian Schilling and India Swap Composites-Overnight Indexed Swap NIBOR Norwegian Interbank Offered Rate STIBOR Stockholm Interbank Offered Rate WIBO Poland Warsaw Interbank Offer Bid Rate -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS A credit default swap is a bilateral contract that enables an investor to buy or sell protection against a defined-issuer credit event. The Fund may enter into credit default swaps to hedge an existing position or to obtain exposure to a security or market by purchasing or selling credit protection. The Fund may enter into credit default swaps on a single security, or a basket of securities. In a credit default swap contract, the purchaser of the contract will pay a periodic interest fee, similar to an insurance premium, on the notional amount of the swap contract to the counterparty (the seller of the contract). If there is a credit event (for example, bankruptcy or a failure to timely pay interest or principal), the purchaser will exercise the contract and will receive a payment from the seller of the contract equal to the notional value of the credit default swap contract less the value of the underlying security. The periodic interest fees are accrued daily as a component of unrealized appreciation (depreciation) and are recorded as realized loss (gain) upon payment. In the event that the credit default swap is exercised due to a credit event, the difference between the value of the underlying security and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations. 85 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS Continued Credit default swaps are marked to market daily using primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. 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, adverse pricing when purchasing bonds to satisfy its delivery obligation, and the need to fund the delivery obligation (either cash or defaulted securities depending on whether the Fund is the purchaser or seller of the credit default swap contract, respectively). Information regarding such credit default swaps as of March 31, 2007 is as follows:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE ---------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: Dow Jones CDX North America Crossover Index Sell $ 3,075 1.650% 12/20/11 $ 51,614 $ 28,641 Residential Capital LLC Sell 4,775 1.750 3/20/08 -- 25,291 Residential Capital LLC Sell 6,146 1.220 3/20/08 -- 354 Residential Capital LLC Sell 3,074 1.200 3/20/08 -- (453) Smithfield Foods, Inc. Sell 3,060 1.500 3/20/12 -- (24,110) ---------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Allied Waste North America, Inc. Buy 4,850 1.880 3/20/12 -- (80,217) Ford Motor Credit Co. Buy 7,350 2.320 3/20/12 -- (257,701) Hungary (Republic of) Sell 13,190 0.400 12/20/15 -- (66,710) Univision Communications, Inc. Buy 1,552 1.100 6/20/08 -- (49) Williams Cos., Inc. Buy 1,900 1.110 3/20/12 -- 8,953 ---------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc.: Dow Jones CDX North America Crossover Index Sell 4,555 1.650 12/20/11 77,672 38,718 Dow Jones CDX North America Crossover Index Sell 12,200 1.650 12/20/11 191,894 103,335 Dow Jones CDX North America High Yield Index Sell 4,570 3.250 12/20/11 169,471 126,673 Ford Motor Credit Co. Sell 3,300 2.550 3/20/12 -- (83,243) Ford Motor Credit Co. Sell 10,080 2.385 3/20/12 -- (330,124) GMAC LLC Sell 5,900 1.390 3/20/17 -- (295,960) HCA, Inc. Buy 3,095 0.750 6/20/08 -- 1,271
86 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE ---------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc.: Continued HCA, Inc. Sell $ 3,095 3.250% 6/20/12 $ -- $ 22,258 Inco Ltd. Buy 1,545 0.580 3/20/17 -- (70) NJSC Naftogaz Sell 10,175 3.250 4/20/11 -- -- Residential Capital LLC Sell 3,095 1.300 3/20/08 -- 2,865 Smithfield Foods, Inc. Sell 3,113 1.490 3/20/12 -- (21,286) Vale Overseas Ltd. Sell 1,545 1.030 3/20/17 -- 3,222 ---------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Coriolanus Ltd. Sell 14,360 3.200 4/20/12 -- -- Dow Jones CDX North America Crossover Index Sell 24,410 1.650 12/20/11 389,069 239,883 Dow Jones CDX North America Crossover Index Sell 4,345 1.650 12/20/11 75,010 42,699 Dow Jones CDX North America Crossover Index Sell 12,215 1.650 12/20/11 192,530 120,040 Dow Jones CDX North America High Yield Index Sell 12,815 3.250 12/20/11 475,223 380,572 El Paso Corp. Sell 2,800 1.030 3/20/12 -- 12,793 Ford Motor Co. Buy 7,555 3.050 12/20/08 -- 29,956 Ford Motor Co. Buy 9,450 3.300 12/20/08 -- (1,150) Ford Motor Co. Buy 6,220 3.650 12/20/08 -- (36,344) Ford Motor Co. Sell 9,450 5.800 12/20/16 -- (577,036) Ford Motor Co. Sell 11,810 5.850 12/20/16 -- (692,519) Ford Motor Co. Sell 7,775 6.000 12/20/16 -- (399,382) Ford Motor Credit Co. Sell 11,595 2.390 3/20/12 -- (369,958) Ford Motor Credit Co. Sell 4,525 2.340 3/20/12 -- (152,763) General Motors Corp. Buy 7,555 2.030 12/20/08 -- 50,374 General Motors Corp. Buy 6,220 2.550 12/20/08 -- (11,734) General Motors Corp. Sell 7,555 4.680 12/20/16 -- (257,600) General Motors Corp. Sell 6,220 4.750 12/20/16 -- (189,001) GMAC LLC Sell 6,180 1.370 3/20/17 -- (322,468) Inco Ltd. Buy 3,120 0.630 3/20/17 -- (19,491) Inco Ltd. Buy 3,045 0.420 3/20/17 -- 16,189 Peru (Republic of) Buy 7,110 1.710 12/20/16 -- (279,588) Peru (Republic of) Sell 5,080 1.320 4/20/17 -- 23,451 Vale Oversees Ltd. Sell 3,120 1.050 3/20/17 -- 46,323 Vale Oversees Ltd. Sell 3,045 1.000 3/20/17 -- 33,250 Williams Cos., Inc. Sell 3,250 1.020 3/20/12 -- 10,683 ---------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: General Motors Corp. Buy 6,220 2.700 12/20/08 -- (68,122) General Motors Corp. Sell 6,220 4.950 12/20/16 -- (107,012) GMAC LLC Sell 3,650 1.390 3/20/17 -- (197,036) GMAC LLC Sell 3,060 1.390 3/20/17 -- (165,186) GMAC LLC Sell 6,160 1.390 3/20/17 -- (332,532) GMAC LLC Sell 5,300 1.370 3/20/17 -- (292,544) K. Hovnanian Enterprises, Inc. Sell 7,975 2.000 6/20/08 -- (22,421) K. Hovnanian Enterprises, Inc. Sell 6,205 2.000 6/20/08 -- (17,445)
87 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE ---------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: Continued K. Hovnanian Enterprises, Inc. Sell $ 6,205 1.800% 6/20/08 $ -- $ -- Residential Capital LLC Sell 2,970 1.360 3/20/08 -- 1,715 Residential Capital LLC Sell 3,063 1.180 3/20/08 -- (3,521) Standard-Pacific Corp. Sell 16,550 2.200 6/20/08 -- -- ---------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Ford Motor Co. Buy 6,220 3.600 12/20/08 -- (59,978) Ford Motor Co. Sell 7,775 6.000 12/20/16 -- (384,405) General Motors Corp. Buy 9,450 2.350 12/20/08 -- (13,846) General Motors Corp. Sell 9,450 4.750 12/20/16 -- (275,632) Inco Ltd. Buy 1,520 0.520 3/20/17 -- 2,313 Russian Federation Buy 8,390 2.400 10/9/13 -- (941,730) Ukraine (Republic of) Sell 1,409 1.920 8/20/11 -- 36,104 ---------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Allied Waste North America, Inc. Sell 1,103 1.880 3/20/12 -- (14,965) Allied Waste North America, Inc. Sell 3,500 1.880 3/20/12 -- (47,483) Dow Jones CDX North American High Yield Index Sell 3,080 3.250 12/20/11 59,632 83,353 Dow Jones CDX North American High Yield Index Sell 3,080 3.250 12/20/11 59,632 83,353 GMAC LLC Sell 3,060 1.400 3/20/17 -- (164,092) GMAC LLC Sell 3,250 1.400 3/20/17 -- (174,280) HCA, Inc. Buy 3,095 0.725 3/20/08 -- (1,241) HCA, Inc. Sell 3,095 3.225 3/20/12 -- 54,031 Smithfield Foods, Inc. Sell 3,900 1.580 3/20/12 -- (12,604) Univision Communications, Inc. Sell 1,552 1.100 6/20/08 -- (912) Univision Communications, Inc. Sell 3,108 1.150 6/20/08 -- -- Univision Communications, Inc. Sell 6,874 1.200 6/20/08 -- -- ---------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Colombia (Republic of) Buy 5,880 3.700 8/20/15 -- (913,246) Dow Jones CDX North America Crossover Index Sell 3,075 1.650 12/20/11 51,607 28,620 Ford Motor Co. Buy 475 2.450 12/20/08 -- 5,746 Ford Motor Co. Buy 6,220 3.700 12/20/08 -- (51,840) Ford Motor Co. Sell 605 5.900 12/20/16 -- (32,726) Ford Motor Co. Sell 7,775 6.150 12/20/16 -- (326,209) General Motors Corp. Buy 475 1.650 12/20/08 -- 6,037 General Motors Corp. Buy 6,220 2.700 12/20/08 -- (28,640)
88 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE CREDIT AMOUNT FIXED TERMINATION PREMIUM COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES PAID VALUE ---------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Continued General Motors Corp. Sell $ 475 4.620% 12/20/16 $ -- $ (17,720) General Motors Corp. Sell 6,220 4.900 12/20/16 -- (137,075) Gisad Dis Ticaret AS Sell 35,885 2.000 3/30/08 -- (563) Inco Ltd. Buy 3,050 0.520 3/20/17 -- 8,805 Inco Ltd. Buy 3,080 0.520 3/20/17 -- 8,892 Inco Ltd. Buy 3,160 0.600 3/20/17 -- (11,342) Istanbul Bond Co. SA for Finansbank Sell 23,940 1.300 3/24/13 -- (397,079) Smithfield Foods, Inc. Sell 3,000 1.510 3/20/12 -- (13,891) Turkey (Republic of) Sell 7,965 2.750 11/20/16 -- 172,350 Vale Overseas Ltd. Sell 1,520 1.060 3/20/17 -- 9,005 Vale Overseas Ltd. Sell 3,050 0.920 3/20/17 -- (14,163) Vale Overseas Ltd. Sell 3,080 0.970 3/20/17 -- (2,678) Vale Overseas Ltd. Sell 3,160 1.040 3/20/17 -- 15,552 Venezuela (Republic of) Buy 12,480 3.480 11/20/15 -- (1,125,876) ---------------------------------------------------------------------------------------------------------------------------- UBS AG Indonesia (Republic of) Sell 6,125 2.300 9/20/11 -- 305,401 -------------------------- $ 1,793,354 $(8,649,921) ==========================
-------------------------------------------------------------------------------- 11. CURRENCY SWAPS A currency swap is an arrangement under which counterparties agree to exchange different currencies equivalent to the notional value at contract inception and reverse the exchange of the same notional values of those currencies at contract termination. The contract may also include periodic exchanges of cash flows based on a specified index or interest rate. Currency swaps are marked to market daily using primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities. 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. The net change in this amount during the period 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. Currency swap agreements entail exchange rate risk, interest rate risk and credit risk. Due to the exchange of currency at contract termination, changes in currency exchange rates may result in the Fund paying an amount greater than the amount received. There is a risk, based on movements of interest rates or indexes that the periodic payments made by the Fund will be greater than the payments received. Credit risk arises from the possibility that the counterparty will default on its payments to the Fund. If the counterparty defaults, the Fund's maximum loss will consist of the notional contract value to be received at contract termination as well as any outstanding interest payments due to the Fund. The Manager monitors the creditworthiness of counterparties on an ongoing basis. 89 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Unaudited / Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 11. CURRENCY SWAPS Continued As of March 31, 2007, the Fund entered into the following currency swap arrangements:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE -------------------------------------------------------------------------------------------- Three-Month Merrill Lynch 6,840,000 TRY/USD BBA LIBOR 17.10% 2/6/12 $ 38,412 -------------------------------------------------------------------------------------------- Credit Suisse: Three-Month 4,370,000 TRY/USD BBA LIBOR 17.25 2/7/12 51,972 Three-Month 6,590,000 TRY/USD BBA LIBOR 17.30 2/9/12 43,491 Three-Month 10,860,000 TRY/USD BBA LIBOR 16.75 2/26/12 (162,099) ----------- $ (28,224) ===========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency: TRY Turkish Lira Abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate -------------------------------------------------------------------------------- 12. ILLIQUID OR RESTRICTED SECURITIES AND CURRENCY As of March 31, 2007, 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 currency is as follows:
ACQUISITION VALUATION AS OF UNREALIZED CURRENCY DATES COST MARCH 31, 2007 APPRECIATION ---------------------------------------------------------------------------------------- Argentine Peso (ARP) 1/31/07-3/19/07 $3,442,238 $3,450,908 $8,670
-------------------------------------------------------------------------------- 13. 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 90 | OPPENHEIMER STRATEGIC INCOME FUND 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 counterparty 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. 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 March 31, 2007, the Fund had on loan securities valued at $114,475,900, which are included in the Statement of Assets and Liabilities as "Investments, at value" and, when applicable, as "Receivable for Investments sold." Collateral of $46,705,355 was received for the loans, all of which was received in cash and subsequently invested in approved investments. In addition, collateral of $70,152,052 was also received in the form of securities. -------------------------------------------------------------------------------- 14. 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 March 31, 2007, the Manager has evaluated the implications of FIN 48 and does not currently anticipate a material impact to the Fund's financial statements. The Manager will continue to monitor the Fund's tax positions prospectively for potential future impacts. In September 2006, the FASB 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 March 31, 2007, 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. 91 | 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. 92 | OPPENHEIMER STRATEGIC INCOME FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- Each year, the Board of Trustees (the "Board"), including a majority of the independent Trustees, is required to determine whether to renew the Fund's investment advisory agreement (the "Agreement"). The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Manager provide, such information as may be reasonably necessary to evaluate the terms of the Agreement. The Board employs an independent consultant to prepare a report that provides information, including comparative information, that the Board requests for that purpose. In addition, the Board receives information throughout the year regarding Fund services, fees, expenses and performance. The Manager and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Manager's services, (ii) the investment performance of the Fund and the Manager, (iii) the fees and expenses of the Fund, including comparative expense information, (iv) the profitability of the Manager and its affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Manager from its relationship with the Fund. Outlined below is a summary of the principal information considered by the Board as well as the Board's conclusions. The Board was aware that there are alternatives to retaining the Manager. NATURE, QUALITY AND EXTENT OF SERVICES. The Board considered information about the nature and extent of the services provided to the Fund and information regarding the Manager's key personnel who provide such services. The Manager's duties include providing the Fund with the services of the portfolio manager and the Manager's investment team, who provide research, analysis and other advisory services in regard to the Fund's investments; securities trading services; oversight of third party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund's investment restrictions. The Manager is responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund's operations; preparing and filing reports required by the Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by Federal and state securities laws for the sale of the Fund's shares. The Manager also provides the Fund with office space, facilities and equipment. 93 | OPPENHEIMER STRATEGIC INCOME FUND BOARD APPROVAL OF THE FUND'S INVESTMENT ADVISORY AGREEMENT Unaudited / Continued -------------------------------------------------------------------------------- The Board also considered the quality of the services provided and the quality of the Manager's resources that are available to the Fund. The Board took account of the fact that the Manager has had over forty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Manager's administrative, accounting, legal and compliance services, and information the Board has received regarding the experience and professional qualifications of the Manager's key personnel and the size and functions of its staff providing investment management services to the Fund. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Arthur P. Steinmetz and the Manager's international and quantitative fixed income investment team and analysts. The Board members also considered the totality of their experiences with the Manager as directors or trustees of the Fund and other funds advised by the Manager. In light of the foregoing, the Board concluded that the Fund benefits from the services provided under the Agreement as a result of the Manager's experience, reputation, personnel, operations, and resources. INVESTMENT PERFORMANCE OF THE MANAGER AND THE FUND. During the year, the Manager provided information on the investment performance of the Fund and the Manager at each Board meeting, including comparative performance information. The Board also reviewed information, prepared by the Manager and by the independent consultant, comparing the Fund's historical performance to relevant market indices and to the performance of other retail front-end load and no-load multi-sector income funds. The Board noted that the Fund's one-year performance was below its peer group median. However its three-year, five-year and ten-year performance were better than its peer group median. COSTS OF SERVICES AND PROFITS REALIZED BY THE MANAGER. The Board considered information regarding the Manager's costs in serving as the Fund's investment adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Manager's profitability from its relationship with the Fund. The Board reviewed the fees paid to the Manager and the other expenses borne by the Fund. The Board also evaluated the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Manager. The independent consultant provided comparative data in regard to the fees and expenses of the Fund, other multi-sector income funds and other funds with comparable asset levels and distribution features. The Board noted that the Fund's contractual and actual management fees are lower than its peer group median. 94 | OPPENHEIMER STRATEGIC INCOME FUND ECONOMIES OF SCALE. The Board reviewed whether the Manager may realize economies of scale in managing and supporting the Fund and whether those economies of scale benefit the Fund's shareholders. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with shareholders any economies of scale that may exist as the Fund grows. OTHER BENEFITS TO THE MANAGER. In addition to considering the profits realized by the Manager, the Board considered information that was provided regarding the direct and indirect benefits the Manager receives as a result of its relationship with the Fund, including compensation paid to the Manager's affiliates. The Board also considered that the Manager must be able to pay and retain experienced professional personnel at competitive rates to provide services to the Fund and that maintaining the financial viability of the Manager is important in order for the Manager to continue to provide quality services to the Fund and its shareholders. CONCLUSIONS. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees' counsel are both independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules. Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreement for another year. In arriving at this decision, the Board did not single out any factor or factors as being more important than others, but considered all of the factors together. The Board considered the Agreement, including the management fee, in light of all of the surrounding circumstances. 95 | OPPENHEIMER STRATEGIC INCOME FUND ITEM 2. CODE OF ETHICS. Not applicable to semiannual reports. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to semiannual reports. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to semiannual reports. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS 1. The Fund's Governance Committee (the "Committee") will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds' investment manager and its affiliates in making the selection. 2. The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual's background, skills, and experience; whether the individual is an "interested person" as defined in the Investment Company Act of 1940; and whether the individual would be deemed an "audit committee financial expert" within the meaning of applicable SEC rules. The Committee also considers whether the individual's background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. 3. The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: o the name, address, and business, educational, and/or other pertinent background of the person being recommended; o a statement concerning whether the person is an "interested person" as defined in the Investment Company Act of 1940; o any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and o the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. 4. Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds' investment adviser) would be deemed an "interested person" under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds' outside legal counsel may cause a person to be deemed an "interested person." 5. Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. ITEM 11. CONTROLS AND PROCEDURES. Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 03/31/2007, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. There have been no changes in the registrant's internal controls over financial reporting that occurred during the registrant's second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a) (1) Not applicable to semiannual reports. (2) Exhibits attached hereto. (3) Not applicable. (b) Exhibit attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Strategic Income Fund By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: 05/14/2007 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: 05/14/2007 By: /s/ Brian W. Wixted ------------------- Brian W. Wixted Principal Financial Officer Date: 05/14/2007