N-CSR 1 ra230_42746ncsr.txt RA230_42746NCSR 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 -------- Opperheimer 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: 09/30/2007 ---------- ITEM 1. REPORTS TO STOCKHOLDERS. TOP HOLDINGS AND ALLOCATIONS -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- CORPORATE BONDS & NOTES--TOP TEN INDUSTRIES -------------------------------------------------------------------------------- Oil & Gas 2.6% -------------------------------------------------------------------------------- Commercial Banks 2.4 -------------------------------------------------------------------------------- Media 2.1 -------------------------------------------------------------------------------- Capital Markets 2.0 -------------------------------------------------------------------------------- Hotels, Restaurants & Leisure 1.3 -------------------------------------------------------------------------------- Diversified Financial Services 1.2 -------------------------------------------------------------------------------- Thrifts & Mortgage Finance 0.9 -------------------------------------------------------------------------------- Wireless Telecommunication Services 0.9 -------------------------------------------------------------------------------- Electric Utilities 0.9 -------------------------------------------------------------------------------- Diversified Telecommunication Services 0.8 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2007, and are based on net assets. -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- PORTFOLIO ALLOCATION [THE FOLLOWING TABLE WAS REPRESENTED BY A PIE CHART IN THE PRINTED MATERIAL.] Mortgage-Backed Obligations 23.3% Corporate Bonds 22.3 Foreign Government Bonds 21.5 Structured Securities 14.7 Cash Equivalents 10.6 U.S. Government Bonds 4.1 Other Bonds 1.8 Stocks 1.7 Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 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 FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- HOW HAS THE FUND PERFORMED? BELOW IS A DISCUSSION BY OPPENHEIMERFUNDS, INC., OF THE FUND'S PERFORMANCE DURING ITS FISCAL YEAR ENDED SEPTEMBER 30, 2007, FOLLOWED BY A GRAPHICAL COMPARISON OF THE FUND'S PERFORMANCE TO APPROPRIATE BROAD-BASED MARKET INDICES. MANAGEMENT'S DISCUSSION OF FUND PERFORMANCE. For the 12-month period ended September 30, 2007, Oppenheimer Strategic Income Fund's Class A shares (without sales charge) produced a total return that was greater than that of its benchmarks, the Lehman Brothers Aggregate Bond Index and the Citigroup World Government Bond Index, and significantly higher than the average return of the funds reported in its peer group, the Lipper Multi-Sector Income Funds category. In fact, the Fund's Class A shares (without sales charge) finished 2nd out of 122 funds ranked in the category. Emerging-market bonds bolstered the Fund's relative performance over the reporting period. We focused primarily on markets where the rate of inflation and long-term bond yields have been falling due to improved credit and economic fundamentals. In Latin American markets, Brazil and, to a lesser extent, Mexico produced attractive returns as they drew down debt, reduced their budget deficits and became more significant participants in world trade. In Eastern Europe, Turkey prospered through reforms designed to help it qualify for inclusion in the European Union. Among developed markets, we maintained relatively light exposure to Japan, where bond yields remained very low. Otherwise, we have attempted to diversify holdings across the developed nations of Europe, where robust economic growth has led to higher bond yields. To manage risks in this environment, we generally focused on sovereign debt securities and maintained a neutral duration. The Fund also benefited from unhedged currency exposure as the U.S. dollar continued to deteriorate relative to most foreign currencies. We maintained a slightly shorter-than-average duration posture with regard to U.S. Treasury securities over most of the reporting period, as narrow yield differences along the market's maturity range provided little incentive to incur the risks that longer-term bonds typically entail. In the wake of what we believed to be indiscriminate market declines in July and August, we allocated some assets to AAA-rated, short-term mortgage-backed securities that, in our judgment, represented attractive values. In the high yield bond portfolio, an underweighted position helped the Fund weather market volatility in June and July. While we continued to move toward a higher-quality credit profile, even a reduced position in lower-quality bonds dampened the Fund's performance during the credit crisis. The resulting weakness more than offset better results 10 | OPPENHEIMER STRATEGIC INCOME FUND from our duration management strategy, which was shorter than industry averages, and our security selection strategy, which emphasized bonds from the telecommunications and gaming sectors while de-emphasizing homebuilders. We currently expect economic growth to remain stronger in international markets than in the United States, and we have seen no evidence that the decline of the U.S. dollar is complete. However, we are aware that some emerging markets already have posted impressive rallies, and further gains may be more modest. Accordingly, to reduce risks, we recently trimmed the Fund's positions in some emerging markets. We have also maintained the Fund's relatively light exposure to high yield bonds in light of the U.S. economic slowdown. COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the performance of a hypothetical $10,000 investment in each class of shares of the Fund held until September 30, 2007. In the case of Class A, Class B and Class C shares, performance is measured over a ten fiscal year period; Class Y shares since inception of the Class on January 26, 1998. In the case of Class N shares, performance is measured from inception of the Class on March 1, 2001. The Fund's performance reflects the deduction of the maximum initial sales charge on Class A shares, the applicable contingent deferred sales charge on Class B, Class C and Class N shares, and reinvestments of all dividends and capital gains distributions. The Fund's performance is compared to the performance of the Lehman Brothers Aggregate Bond Index and the Citigroup World Government Bond Index, formerly the Salomon Brothers World Government Bond Index. The former is a broad-based, unmanaged index of U.S. corporate bond issues, U.S. Government securities and mortgage-backed securities widely regarded as a measure of the performance of the domestic debt securities market. The latter is an unmanaged index of fixed-rate bonds having a maturity of one year or more, widely regarded as a benchmark of fixed-income performance on a worldwide basis. Index performance reflects the reinvestment of dividends but does not consider the effect of capital gains or transaction costs, and none of the data in the graphs that follow shows the effect of taxes. The Fund's performance reflects the effects of Fund business and operating expenses. While index comparisons may be useful to provide a benchmark for the Fund's performance, it must be noted that the Fund's investments are not limited to the securities in the indices. 11 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- CLASS A SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class A) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] -------------------------------------------------------------------------------- Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class A) Aggregate Bond Index Government Bond Index 09/30/1997 $ 9,525 $ 10,000 $ 10,000 12/31/1997 $ 9,618 $ 10,294 $ 10,021 03/31/1998 $ 9,875 $ 10,455 $ 10,099 06/30/1998 $ 9,940 $ 10,699 $ 10,300 09/30/1998 $ 9,601 $ 11,151 $ 11,158 12/31/1998 $ 9,779 $ 11,189 $ 11,554 03/31/1999 $ 9,831 $ 11,133 $ 11,108 06/30/1999 $ 9,864 $ 11,035 $ 10,725 09/30/1999 $ 9,881 $ 11,110 $ 11,211 12/31/1999 $ 10,174 $ 11,097 $ 11,061 03/31/2000 $ 10,335 $ 11,342 $ 11,081 06/30/2000 $ 10,392 $ 11,539 $ 11,064 09/30/2000 $ 10,491 $ 11,887 $ 10,774 12/31/2000 $ 10,399 $ 12,387 $ 11,237 03/31/2001 $ 10,584 $ 12,763 $ 10,985 06/30/2001 $ 10,496 $ 12,835 $ 10,724 09/30/2001 $ 10,303 $ 13,427 $ 11,492 12/31/2001 $ 10,765 $ 13,433 $ 11,126 03/31/2002 $ 10,945 $ 13,445 $ 10,946 06/30/2002 $ 10,940 $ 13,942 $ 12,222 09/30/2002 $ 10,986 $ 14,581 $ 12,694 12/31/2002 $ 11,502 $ 14,810 $ 13,295 03/31/2003 $ 11,941 $ 15,016 $ 13,708 06/30/2003 $ 12,722 $ 15,392 $ 14,240 09/30/2003 $ 13,138 $ 15,370 $ 14,521 12/31/2003 $ 13,756 $ 15,418 $ 15,277 03/31/2004 $ 14,076 $ 15,828 $ 15,562 06/30/2004 $ 13,818 $ 15,441 $ 15,044 09/30/2004 $ 14,285 $ 15,935 $ 15,537 12/31/2004 $ 15,078 $ 16,087 $ 16,858 03/31/2005 $ 14,906 $ 16,010 $ 16,423 06/30/2005 $ 15,415 $ 16,492 $ 16,189 09/30/2005 $ 15,681 $ 16,380 $ 16,007 12/31/2005 $ 15,705 $ 16,478 $ 15,699 03/31/2006 $ 15,943 $ 16,371 $ 15,635 06/30/2006 $ 15,685 $ 16,359 $ 16,131 09/30/2006 $ 16,272 $ 16,982 $ 16,364 12/31/2006 $ 16,911 $ 17,192 $ 16,659 03/31/2007 $ 17,372 $ 17,450 $ 16,851 06/30/2007 $ 17,638 $ 17,360 $ 16,592 09/30/2007 $ 18,085 $ 17,854 $ 17,787 AVERAGE ANNUAL TOTAL RETURNS OF CLASS A SHARES WITH SALES CHARGE OF THE FUND AT 9/30/07 1-Year 5.86% 5-Year 9.41% 10-Year 6.10% -------------------------------------------------------------------------------- 12 | OPPENHEIMER STRATEGIC INCOME FUND CLASS B SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class B) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] -------------------------------------------------------------------------------- Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class B) Aggregate Bond Index Government Bond Index 09/30/1997 $ 10,000 $ 10,000 $ 10,000 12/31/1997 $ 10,079 $ 10,294 $ 10,021 03/31/1998 $ 10,328 $ 10,455 $ 10,099 06/30/1998 $ 10,376 $ 10,699 $ 10,300 09/30/1998 $ 10,026 $ 11,151 $ 11,158 12/31/1998 $ 10,170 $ 11,189 $ 11,554 03/31/1999 $ 10,205 $ 11,133 $ 11,108 06/30/1999 $ 10,242 $ 11,035 $ 10,725 09/30/1999 $ 10,218 $ 11,110 $ 11,211 12/31/1999 $ 10,500 $ 11,097 $ 11,061 03/31/2000 $ 10,646 $ 11,342 $ 11,081 06/30/2000 $ 10,684 $ 11,539 $ 11,064 09/30/2000 $ 10,766 $ 11,887 $ 10,774 12/31/2000 $ 10,678 $ 12,387 $ 11,237 03/31/2001 $ 10,847 $ 12,763 $ 10,985 06/30/2001 $ 10,711 $ 12,835 $ 10,724 09/30/2001 $ 10,495 $ 13,427 $ 11,492 12/31/2001 $ 10,971 $ 13,433 $ 11,126 03/31/2002 $ 11,105 $ 13,445 $ 10,946 06/30/2002 $ 11,079 $ 13,942 $ 12,222 09/30/2002 $ 11,135 $ 14,581 $ 12,694 12/31/2002 $ 11,603 $ 14,810 $ 13,295 03/31/2003 $ 12,055 $ 15,016 $ 13,708 06/30/2003 $ 12,817 $ 15,392 $ 14,240 09/30/2003 $ 13,186 $ 15,370 $ 14,521 12/31/2003 $ 13,806 $ 15,418 $ 15,277 03/31/2004 $ 14,128 $ 15,828 $ 15,562 06/30/2004 $ 13,869 $ 15,441 $ 15,044 09/30/2004 $ 14,338 $ 15,935 $ 15,537 12/31/2004 $ 15,133 $ 16,087 $ 16,858 03/31/2005 $ 14,960 $ 16,010 $ 16,423 06/30/2005 $ 15,471 $ 16,492 $ 16,189 09/30/2005 $ 15,738 $ 16,380 $ 16,007 12/31/2005 $ 15,762 $ 16,478 $ 15,699 03/31/2006 $ 16,001 $ 16,371 $ 15,635 06/30/2006 $ 15,742 $ 16,359 $ 16,131 09/30/2006 $ 16,332 $ 16,982 $ 16,364 12/31/2006 $ 16,973 $ 17,192 $ 16,659 03/31/2007 $ 17,435 $ 17,450 $ 16,851 06/30/2007 $ 17,703 $ 17,360 $ 16,592 09/30/2007 $ 18,151 $ 17,854 $ 17,787 AVERAGE ANNUAL TOTAL RETURNS OF CLASS B SHARES WITH SALES CHARGE OF THE FUND AT 9/30/07 1-Year 4.99% 5-Year 9.30% 10-Year 6.14% -------------------------------------------------------------------------------- THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 13 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- CLASS C SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class C) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] -------------------------------------------------------------------------------- Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class C) Aggregate Bond Index Government Bond Index 09/30/1997 $ 10,000 $ 10,000 $ 10,000 12/31/1997 $ 10,058 $ 10,294 $ 10,021 03/31/1998 $ 10,309 $ 10,455 $ 10,099 06/30/1998 $ 10,357 $ 10,699 $ 10,300 09/30/1998 $ 10,005 $ 11,151 $ 11,158 12/31/1998 $ 10,150 $ 11,189 $ 11,554 03/31/1999 $ 10,208 $ 11,133 $ 11,108 06/30/1999 $ 10,223 $ 11,035 $ 10,725 09/30/1999 $ 10,198 $ 11,110 $ 11,211 12/31/1999 $ 10,505 $ 11,097 $ 11,061 03/31/2000 $ 10,627 $ 11,342 $ 11,081 06/30/2000 $ 10,691 $ 11,539 $ 11,064 09/30/2000 $ 10,748 $ 11,887 $ 10,774 12/31/2000 $ 10,659 $ 12,387 $ 11,237 03/31/2001 $ 10,829 $ 12,763 $ 10,985 06/30/2001 $ 10,719 $ 12,835 $ 10,724 09/30/2001 $ 10,475 $ 13,427 $ 11,492 12/31/2001 $ 10,953 $ 13,433 $ 11,126 03/31/2002 $ 11,087 $ 13,445 $ 10,946 06/30/2002 $ 11,062 $ 13,942 $ 12,222 09/30/2002 $ 11,119 $ 14,581 $ 12,694 12/31/2002 $ 11,589 $ 14,810 $ 13,295 03/31/2003 $ 12,043 $ 15,016 $ 13,708 06/30/2003 $ 12,808 $ 15,392 $ 14,240 09/30/2003 $ 13,170 $ 15,370 $ 14,521 12/31/2003 $ 13,765 $ 15,418 $ 15,277 03/31/2004 $ 14,061 $ 15,828 $ 15,562 06/30/2004 $ 13,777 $ 15,441 $ 15,044 09/30/2004 $ 14,217 $ 15,935 $ 15,537 12/31/2004 $ 14,980 $ 16,087 $ 16,858 03/31/2005 $ 14,780 $ 16,010 $ 16,423 06/30/2005 $ 15,258 $ 16,492 $ 16,189 09/30/2005 $ 15,491 $ 16,380 $ 16,007 12/31/2005 $ 15,485 $ 16,478 $ 15,699 03/31/2006 $ 15,690 $ 16,371 $ 15,635 06/30/2006 $ 15,442 $ 16,359 $ 16,131 09/30/2006 $ 15,990 $ 16,982 $ 16,364 12/31/2006 $ 16,548 $ 17,192 $ 16,659 03/31/2007 $ 16,968 $ 17,450 $ 16,851 06/30/2007 $ 17,195 $ 17,360 $ 16,592 09/30/2007 $ 17,599 $ 17,854 $ 17,787 AVERAGE ANNUAL TOTAL RETURNS OF CLASS C SHARES WITH SALES CHARGE OF THE FUND AT 9/30/07 1-Year 9.06% 5-Year 9.62% 10-Year 5.82% -------------------------------------------------------------------------------- 14 | OPPENHEIMER STRATEGIC INCOME FUND CLASS N SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class N) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] -------------------------------------------------------------------------------- Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class N) Aggregate Bond Index Government Bond Index 03/01/2001 $ 10,000 $ 10,000 $ 10,000 03/31/2001 $ 9,799 $ 10,050 $ 9,712 06/30/2001 $ 9,717 $ 10,107 $ 9,560 09/30/2001 $ 9,539 $ 10,573 $ 10,244 12/31/2001 $ 9,988 $ 10,578 $ 9,917 03/31/2002 $ 10,122 $ 10,588 $ 9,757 06/30/2002 $ 10,112 $ 10,979 $ 10,894 09/30/2002 $ 10,177 $ 11,482 $ 11,316 12/31/2002 $ 10,617 $ 11,663 $ 11,851 03/31/2003 $ 11,044 $ 11,825 $ 12,219 06/30/2003 $ 11,753 $ 12,121 $ 12,693 09/30/2003 $ 12,092 $ 12,103 $ 12,944 12/31/2003 $ 12,648 $ 12,141 $ 13,618 03/31/2004 $ 12,929 $ 12,464 $ 13,872 06/30/2004 $ 12,678 $ 12,159 $ 13,410 09/30/2004 $ 13,094 $ 12,548 $ 13,850 12/31/2004 $ 13,806 $ 12,668 $ 15,027 03/31/2005 $ 13,632 $ 12,607 $ 14,640 06/30/2005 $ 14,080 $ 12,986 $ 14,430 09/30/2005 $ 14,307 $ 12,899 $ 14,268 12/31/2005 $ 14,315 $ 12,976 $ 13,994 03/31/2006 $ 14,552 $ 12,892 $ 13,937 06/30/2006 $ 14,302 $ 12,882 $ 14,379 09/30/2006 $ 14,822 $ 13,372 $ 14,587 12/31/2006 $ 15,387 $ 13,538 $ 14,850 03/31/2007 $ 15,754 $ 13,741 $ 15,021 06/30/2007 $ 16,015 $ 13,670 $ 14,789 09/30/2007 $ 16,367 $ 14,059 $ 15,855 AVERAGE ANNUAL TOTAL RETURNS OF CLASS N SHARES WITH SALES CHARGE OF THE FUND AT 9/30/07 1-Year 9.42% 5-Year 9.97% Since Inception (3/1/01) 7.77% -------------------------------------------------------------------------------- THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 15 | OPPENHEIMER STRATEGIC INCOME FUND FUND PERFORMANCE DISCUSSION -------------------------------------------------------------------------------- CLASS Y SHARES COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN: Oppenheimer Strategic Income Fund (Class Y) Lehman Brothers Aggregate Bond Index Citigroup World Government Bond Index [THE FOLLOWING TABLE WAS REPRESENTED BY A LINE GRAPH IN THE PRINTED MATERIAL.] -------------------------------------------------------------------------------- Oppenheimer Strategic Lehman Brothers Citigroup World Income Fund (Class Y) Aggregate Bond Index Government Bond Index 01/26/1998 $ 10,000 $ 10,000 $ 10,000 03/31/1998 $ 10,181 $ 10,027 $ 9,981 06/30/1998 $ 10,257 $ 10,261 $ 10,180 09/30/1998 $ 9,936 $ 10,695 $ 11,028 12/31/1998 $ 10,108 $ 10,731 $ 11,420 03/31/1999 $ 10,194 $ 10,678 $ 10,979 06/30/1999 $ 10,237 $ 10,584 $ 10,600 09/30/1999 $ 10,241 $ 10,656 $ 11,081 12/31/1999 $ 10,579 $ 10,643 $ 10,932 03/31/2000 $ 10,732 $ 10,878 $ 10,951 06/30/2000 $ 10,826 $ 11,067 $ 10,935 09/30/2000 $ 10,912 $ 11,401 $ 10,648 12/31/2000 $ 10,850 $ 11,880 $ 11,106 03/31/2001 $ 11,049 $ 12,241 $ 10,768 06/30/2001 $ 10,965 $ 12,310 $ 10,599 09/30/2001 $ 10,740 $ 12,877 $ 11,358 12/31/2001 $ 11,256 $ 12,883 $ 10,996 03/31/2002 $ 11,419 $ 12,895 $ 10,819 06/30/2002 $ 11,416 $ 13,372 $ 12,079 09/30/2002 $ 11,498 $ 13,984 $ 12,546 12/31/2002 $ 12,021 $ 14,204 $ 13,140 03/31/2003 $ 12,496 $ 14,402 $ 13,548 06/30/2003 $ 13,317 $ 14,762 $ 14,074 09/30/2003 $ 13,721 $ 14,741 $ 14,351 12/31/2003 $ 14,369 $ 14,787 $ 15,099 03/31/2004 $ 14,706 $ 15,181 $ 15,380 06/30/2004 $ 14,437 $ 14,810 $ 14,869 09/30/2004 $ 14,927 $ 15,283 $ 15,356 12/31/2004 $ 15,760 $ 15,429 $ 16,662 03/31/2005 $ 15,590 $ 15,355 $ 16,232 06/30/2005 $ 16,131 $ 15,817 $ 16,000 09/30/2005 $ 16,379 $ 15,710 $ 15,820 12/31/2005 $ 16,454 $ 15,804 $ 15,516 03/31/2006 $ 16,718 $ 15,701 $ 15,453 06/30/2006 $ 16,460 $ 15,689 $ 15,943 09/30/2006 $ 17,093 $ 16,287 $ 16,173 12/31/2006 $ 17,780 $ 16,489 $ 16,465 03/31/2007 $ 18,280 $ 16,736 $ 16,655 06/30/2007 $ 18,576 $ 16,650 $ 16,398 09/30/2007 $ 19,021 $ 17,123 $ 17,580 AVERAGE ANNUAL TOTAL RETURNS OF CLASS Y SHARES OF THE FUND AT 9/30/07 1-Year 11.28% 5-Year 10.59% Since Inception (1/26/98) 6.87% -------------------------------------------------------------------------------- THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH DOES NOT GUARANTEE FUTURE RESULTS. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END, VISIT US AT WWW.OPPENHEIMERFUNDS.COM, OR CALL US AT 1.800.525.7048. FUND RETURNS INCLUDE CHANGES IN SHARE PRICE, REINVESTED DISTRIBUTIONS, AND THE APPLICABLE SALES CHARGE: FOR CLASS A SHARES, THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.75%; FOR CLASS B SHARES, THE CONTINGENT DEFERRED SALES CHARGE OF 5% (1-YEAR) AND 2% (5-YEAR); AND FOR CLASS C AND N SHARES, THE CONTINGENT 1% DEFERRED SALES CHARGE FOR THE 1-YEAR PERIOD. THERE IS NO SALES CHARGE FOR CLASS Y SHARES. BECAUSE CLASS B SHARES CONVERT TO CLASS A SHARES 72 MONTHS AFTER PURCHASE, THE 10-YEAR RETURN FOR CLASS B SHARES USES CLASS A PERFORMANCE FOR THE PERIOD AFTER CONVERSION. SEE PAGE 17 FOR FURTHER INFORMATION. 16 | OPPENHEIMER STRATEGIC INCOME FUND NOTES -------------------------------------------------------------------------------- Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund's total returns shown do not reflect the deduction of income taxes on an individual's investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES, RISKS, AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT 1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. The Fund's investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. CLASS A shares of the Fund were first publicly offered on 10/16/89. Unless otherwise noted, Class A returns include the current maximum initial sales charge of 4.75%. 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 one-year period. Class N shares are subject to an annual 0.25% asset-based sales charge. 17 | OPPENHEIMER STRATEGIC INCOME FUND NOTES -------------------------------------------------------------------------------- CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y shares are offered only to certain institutional investors under special agreement with the Distributor. An explanation of the calculation of performance is in the Fund's Statement of Additional Information. 18 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES -------------------------------------------------------------------------------- FUND EXPENSES. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and redemption fees, if any; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended September 30, 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 19 | OPPENHEIMER STRATEGIC INCOME FUND FUND EXPENSES Continued -------------------------------------------------------------------------------- the Statement of Additional Information). Therefore, the "hypothetical" lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. -------------------------------------------------------------------------------- BEGINNING ENDING EXPENSES ACCOUNT ACCOUNT PAID DURING VALUE VALUE 6 MONTHS ENDED (4/1/07) (9/30/07) SEPTEMBER 30, 2007 ---------------------------------------------------------------------------- Class A Actual $ 1,000.00 $ 1,041.10 $ 4.56 ---------------------------------------------------------------------------- Class A Hypothetical 1,000.00 1,020.61 4.52 ---------------------------------------------------------------------------- Class B Actual 1,000.00 1,036.90 8.67 ---------------------------------------------------------------------------- Class B Hypothetical 1,000.00 1,016.60 8.58 ---------------------------------------------------------------------------- Class C Actual 1,000.00 1,037.20 8.46 ---------------------------------------------------------------------------- Class C Hypothetical 1,000.00 1,016.80 8.38 ---------------------------------------------------------------------------- Class N Actual 1,000.00 1,039.00 6.67 ---------------------------------------------------------------------------- Class N Hypothetical 1,000.00 1,018.55 6.60 ---------------------------------------------------------------------------- Class Y Actual 1,000.00 1,040.50 2.82 ---------------------------------------------------------------------------- Class Y Hypothetical 1,000.00 1,022.31 2.79 Hypothetical assumes 5% annual return before expenses. Expenses are equal to the Fund's annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated fund, based on the 6-month period ended September 30, 2007 are as follows: CLASS EXPENSE RATIOS ----------------------------- Class A 0.89% ----------------------------- Class B 1.69 ----------------------------- Class C 1.65 ----------------------------- Class N 1.30 ----------------------------- Class Y 0.55 The expense ratios reflect reduction to custodian expenses and voluntary waivers or reimbursements 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 and reduction to custodian expenses, if applicable. -------------------------------------------------------------------------------- 20 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS September 30, 2007 --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--1.5% ------------------------------------------------------------------------------------------------------------------------- Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.311%, 11/25/35 1 $ 2,570,000 $ 2,554,645 ------------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.556%, 4/20/08 1,2 1,520,000 1,519,097 ------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.611%, 5/25/34 1 4,482,726 4,426,931 ------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 5.231%, 9/25/36 1 2,190,000 2,154,768 ------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.231%, 5/26/36 1 3,845,000 3,809,315 ------------------------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust 2006-A, Automobile Asset-Backed Securities, Series 2006-A, Cl. A2, 5.30%, 5/26/09 2,500,289 2,498,285 ------------------------------------------------------------------------------------------------------------------------- Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 5.773%, 4/15/11 1 22,280,000 22,166,457 ------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates, Series 2005-D, Cl. AV2, 5.401%, 10/25/35 1 92,028 91,780 ------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.231%, 5/16/36 1 4,810,000 4,775,947 ------------------------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 2,392,866 2,318,722 ------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2005-WF2, Asset-Backed Pass-Through Certificates, Series 2005-WF2, Cl. AF2, 4.922%, 8/25/35 1 877,889 875,977 ------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 5.231%, 10/31/36 1,3 2,620,000 2,574,299 ------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WFH4, Asset-Backed Pass-Through Certificates, Series 2006-WFH4, Cl. AS, 5.231%, 11/25/36 1,3 4,777,000 4,638,133 ------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 1 2,010,000 1,987,822 ------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 5.331%, 5/25/36 1 717,302 716,150 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 1 1,210,000 1,198,142 ------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 5.251%, 12/25/29 1 4,054,000 3,968,219 ------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates, Series 2006-C, Cl. A2, 5.33%, 5/8/09 3,604,225 3,603,912 ------------------------------------------------------------------------------------------------------------------------- DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/11 3,4,5 15,000,000 37,500 ------------------------------------------------------------------------------------------------------------------------- DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/09 3 3,083,887 185,033 ------------------------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 3,4,5 2,730,094 27,301
21 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.341%, 11/25/35 1 $ 7,550,000 $ 7,443,037 ------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.221%, 7/25/36 1 3,790,000 3,719,727 ------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.181%, 5/15/36 1 1,033,353 1,028,801 ------------------------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.241%, 7/7/36 1 1,940,000 1,897,568 ------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 149,108 149,013 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 12.54%, 6/13/11 1,3 5,776,000 -- ------------------------------------------------------------------------------------------------------------------------- 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 4,330,003 ------------------------------------------------------------------------------------------------------------------------- Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/20/31 4,577,934 1,072,409 ------------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates: Series 2005-3, Cl. A1, 5.798%, 1/20/35 1 1,883,164 1,838,376 Series 2006-4, Cl. A2V, 5.606%, 3/20/36 1,3 1,520,000 1,499,255 ------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 2,020,702 2,019,420 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 1 1,609,173 1,609,287 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,342,372 1,331,500 ------------------------------------------------------------------------------------------------------------------------- Madison Avenue CDO Ltd., Commercial Debt Obligations, Series 2A, Cl. C1, 0.303%, 3/24/14 1,3 3,704,214 148,169 ------------------------------------------------------------------------------------------------------------------------- Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 5.231%, 8/25/36 1 5,580,000 5,474,767 ------------------------------------------------------------------------------------------------------------------------- NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 0.274%, 1/25/29 3 4,475,119 939,775 ------------------------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.231%, 7/1/36 1 6,330,000 6,242,401 ------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. AF2, 4.415%, 4/25/35 1 239,146 238,293 ------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36 1 1,900,000 1,887,386 ------------------------------------------------------------------------------------------------------------------------- RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 492,866 490,690 ------------------------------------------------------------------------------------------------------------------------- RAMP Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.211%, 7/25/36 1 1,160,739 1,156,615 ------------------------------------------------------------------------------------------------------------------------- RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 5.231%, 9/25/36 1 4,720,000 4,639,570
22 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2005-BC3, Cl. A2B, 5.381%, 6/25/36 1 $ 5,121,810 $ 5,105,133 ------------------------------------------------------------------------------------------------------------------------- Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F, 22.36%, 6/7/11 1,3 3,720,000 3,720,000 ------------------------------------------------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.191%, 4/25/36 1 767,109 764,836 ------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,133,579 1,135,378 ------------------------------------------------------------------------------------------------------------------------- Taganka Car Loan Finance plc, Automobile Asset-Backed Certificates, Series 2006-1A, Cl. C, 8.62%, 11/14/13 1,3 2,715,000 2,715,000 ------------------------------------------------------------------------------------------------------------------------- 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 3,770,000 3,725,989 --------------- Total Asset-Backed Securities (Cost $167,845,124) 132,450,833 ------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--23.7% ------------------------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--19.5% ------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--19.0% Fannie Mae Whole Loan, CMO Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,987,558 2,069,466 ------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19-7/15/19 5,587,469 5,391,194 5%, 8/15/33-12/15/34 6,622,101 6,339,761 6%, 4/15/17-3/15/33 26,485,981 26,774,214 6.50%, 4/15/18-8/15/28 11,055,941 11,359,888 6.50%, 7/15/28 6 1,247,277 1,281,157 6.50%, 8/15/32 7 2,193,420 2,248,099 7%, 8/15/21-3/15/31 3,451,607 3,586,744 7%, 10/15/31 8 2,225,800 2,311,517 7.50%, 2/15/32-4/25/36 8,643,633 9,061,918 8.50%, 8/15/31 499,561 535,431 10%, 5/15/20 181,071 204,187 10.50%, 6/14/20 209,861 239,442 11.50%, 11/14/16 122,735 132,580 12%, 6/14/10-6/15/17 529,076 575,867 ------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Series 2368, Cl. TG, 6%, 10/15/16 1,427,185 1,466,427 Series 2410, Cl. PF, 6.733%, 2/15/32 1,8 12,661,767 12,940,206 Series 2435, Cl. EQ, 6%, 5/15/31 7,090,439 7,161,226 Series 2453, Cl. BD, 6%, 5/15/17 175,935 180,903 Series 2641, Cl. CE, 3.50%, 9/15/25 3,454,090 3,400,215 Series 2727, Cl. UA, 3.50%, 10/15/22 1,767,794 1,750,268 Series 2736, Cl. DB, 3.30%, 11/15/26 22 15,857,747 15,515,668 Series 2777, Cl. PJ, 4%, 5/15/24 1,887,542 1,873,631 Series 2934, Cl. NA, 5%, 4/15/24 5,304,689 5,306,099
23 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates: Continued Series 3057, Cl. LG, 5%, 10/15/35 $ 5,000,000 $ 4,574,711 Series 3094, Cl. HS, 3.291%, 6/15/34 1 1,835,001 1,870,486 Series 3105, Cl. BD, 5.50%, 1/15/26 8,122,000 8,010,784 Series 3138, Cl. PA, 5.50%, 2/15/27 23,756,720 23,906,530 ------------------------------------------------------------------------------------------------------------------------- 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 8,217,158 8,599,184 Series 151, Cl. F, 9%, 5/15/21 15,738 15,717 Series 1590, Cl. IA, 6.80%, 10/15/23 1 5,445,965 5,559,863 Series 1674, Cl. Z, 6.75%, 2/15/24 356,181 372,031 Series 2002-66, Cl. FG, 6.131%, 9/25/32 1 8,065,593 8,151,104 Series 2002-84, Cl. FB, 6.131%, 12/25/32 1 471,019 481,342 Series 2003-11, Cl. FA, 6.131%, 9/25/32 1 471,066 481,877 Series 2006-11, Cl. PS, 5.752%, 3/25/36 1 3,145,943 3,271,004 Series 2034, Cl. Z, 6.50%, 2/15/28 47,680 49,123 Series 2043, Cl. ZP, 6.50%, 4/15/28 4,086,603 4,205,845 Series 2053, Cl. Z, 6.50%, 4/15/28 48,387 49,976 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,713,960 1,758,382 Series 2080, Cl. Z, 6.50%, 8/15/28 2,856,409 2,948,582 Series 2173, Cl. Z, 6.50%, 7/15/29 11,216,849 11,637,846 Series 2326, Cl. ZP, 6.50%, 6/15/31 1,200,896 1,242,058 Series 2344, Cl. FP, 6.703%, 8/15/31 1 2,702,768 2,745,643 Series 2387, Cl. PD, 6%, 4/15/30 49,178 49,080 Series 2412, Cl. GF, 6.703%, 2/15/32 1 6,091,726 6,220,206 Series 2427, Cl. ZM, 6.50%, 3/15/32 5,299,558 5,480,953 Series 2451, Cl. FD, 6.753%, 3/15/32 1 2,023,956 2,068,303 Series 2461, Cl. PZ, 6.50%, 6/15/32 278,271 286,655 Series 2464, Cl. FI, 6.753%, 2/15/32 1 2,215,405 2,267,702 Series 2470, Cl. AF, 6.753%, 3/15/32 1 3,406,768 3,485,110 Series 2470, Cl. LF, 6.753%, 2/15/32 1 2,267,752 2,330,585 Series 2471, Cl. FD, 6.753%, 3/15/32 1 4,103,446 4,217,191 Series 2475, Cl. FB, 6.753%, 2/15/32 1 3,203,040 3,292,204 Series 2500, Cl. FD, 6.253%, 3/15/32 1 684,495 689,563 Series 2517, Cl. GF, 6.753%, 2/15/32 1 1,852,921 1,898,133 Series 2526, Cl. FE, 6.153%, 6/15/29 1 933,799 938,240 Series 2551, Cl. FD, 6.153%, 1/15/33 1 717,564 720,220 Series 2676, Cl. KY, 5%, 9/15/23 2,516,000 2,368,869 Series 2676, Cl. TF, 6.353%, 1/15/32 1 3,589,776 3,621,379 Series 2939, Cl. PE, 5%, 2/15/35 11,489,000 10,585,606 Series 3025, Cl. SJ, 3.658%, 8/15/35 1 3,461,097 3,591,093 Series 3035, Cl. DM, 5.50%, 11/15/25 11,680,931 11,734,474 ------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. IO, 6.85%, 7/1/26 9 2,873,598 734,569 Series 183, Cl. IO, 2.76%, 4/1/27 9 1,101,322 272,974 Series 192, Cl. IO, 10.45%, 2/1/28 9 513,029 131,579 Series 200, Cl. IO, 9.64%, 1/1/29 9 618,104 161,167
24 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued Series 2003-118, Cl. S, 7.79%, 12/25/33 9 $ 9,085,833 $ 1,204,580 Series 2003-13, Cl. IO, 9.08%, 3/25/33 9 5,004,828 1,262,752 Series 2003-26, Cl. DI, 5.13%, 4/25/33 9 3,749,278 865,235 Series 2003-26, Cl. IK, 0.93%, 4/25/33 9 100,444 23,171 Series 2005-87, Cl. SE, 0.12%, 10/25/35 9 51,849,329 2,290,289 Series 2005-87, Cl. SG, 6.58%, 10/25/35 9 15,322,943 981,620 Series 203, Cl. IO, 1.44%, 6/1/29 9 2,130,252 549,965 Series 204, Cl. IO, (7.80)%, 5/1/29 9 175,093 44,342 Series 205, Cl. IO, 3.27%, 9/1/29 9 2,748,867 730,189 Series 206, Cl. IO, (13.95)%, 12/1/29 9 888,056 246,702 Series 207, Cl. IO, (22.41)%, 4/1/30 9 1,008,102 270,004 Series 2074, Cl. S, (3.77)%, 7/17/28 9 647,950 43,971 Series 2079, Cl. S, (5.83)%, 7/17/28 9 1,040,124 72,863 Series 208, Cl. IO, (10.36)%, 6/1/30 9 1,843,194 492,180 Series 212, Cl. IO, 2.79%, 5/1/31 9 4,119,915 1,006,715 Series 214, Cl. IO, (11.73)%, 6/1/31 9 986,359 257,040 Series 216, Cl. IO, 4.69%, 12/1/31 9 4,074 1,018 Series 224, Cl. IO, 7.29%, 3/1/33 9 5,237,012 1,320,132 Series 243, Cl. 6, 9.30%, 12/15/32 9 3,255,269 824,069 Series 2526, Cl. SE, (2.75)%, 6/15/29 9 1,687,376 93,896 Series 2802, Cl. AS, (3.83)%, 4/15/33 9 5,024,859 295,175 Series 2819, Cl. S, (9.42)%, 6/15/34 9 14,514,634 1,135,487 Series 2920, Cl. S, (10.69)%, 1/15/35 9 8,492,264 441,381 Series 3000, Cl. SE, (12.04)%, 7/15/25 9 11,007,814 459,305 Series 3004, Cl. SB, (0.99)%, 7/15/35 9 16,636,519 684,816 Series 3110, Cl. SL, 8.65%, 2/15/26 9 2,820,802 113,524 ------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 192, Cl. PO, 6.73%, 2/1/28 10 513,029 394,528 ------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 4/25/18-8/25/20 22 66,920,825 64,579,849 4.50%, 9/25/18 8 26,474,814 25,567,592 5%, 12/25/17-9/25/35 261,673,728 253,515,959 5%, 10/1/21 11 10,417,000 10,210,285 5%, 3/25/18-9/25/33 8 13,694,971 13,239,975 5.50%, 1/25/22-11/25/34 421,694,148 414,554,410 5.50%, 10/1/21 11 3,620,000 3,611,515 5.50%, 4/25/34 8 16,127,095 15,843,921 6%, 5/25/21-11/25/33 90,024,117 90,697,437 6%, 10/1/21-10/1/36 11 99,224,652 100,016,660 6.50%, 5/25/17-9/25/32 31,179,239 32,042,307 6.50%, 6/25/17 8 7,650,127 7,852,478 7%, 11/25/17-9/25/34 39,416,685 41,053,169 7.50%, 6/25/10-1/25/33 13,838,152 14,518,590 8.50%, 7/25/32 82,116 88,293 9.50%, 4/25/20-4/8/21 102,599 112,047 11%, 11/8/15-2/25/26 405,279 456,323 13%, 6/25/15 84,927 96,412 15%, 5/9/13 286,506 331,410
25 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal National Mortgage Assn. Grantor Trust: CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10, Cl. IO, 18.95%, 12/25/41 9 $ 146,223,145 $ 1,870,033 CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T3, Cl. IO, 25.39%, 11/25/40 9 17,244,241 333,861 CMO Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T4, Cl. IO, 20.22%, 7/25/41 9 28,052,208 598,920 ------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1996-35, Cl. Z, 7%, 7/25/26 384,963 399,868 Trust 1997-45, Cl. CD, 8%, 7/18/27 2,028,655 2,157,786 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 2,551,669 2,647,979 Trust 1999-14, Cl. MB, 6.50%, 4/25/29 113,393 117,797 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 4,013,315 4,164,599 Trust 2001-44, Cl. QC, 6%, 9/25/16 389,102 399,667 Trust 2001-50, Cl. NE, 6%, 8/25/30 100,591 100,074 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 376,328 385,304 Trust 2001-65, Cl. F, 5.731%, 11/25/31 1 4,614,516 4,633,133 Trust 2001-69, Cl. PF, 6.131%, 12/25/31 1 4,920,000 4,990,069 Trust 2001-70, Cl. LR, 6%, 9/25/30 410,614 411,760 Trust 2001-80, Cl. ZB, 6%, 1/25/32 5,376,818 5,467,830 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 2,096,669 2,152,806 Trust 2002-12, Cl. PG, 6%, 3/25/17 3,649,948 3,749,880 Trust 2002-19, Cl. PE, 6%, 4/25/17 2,070,930 2,127,151 Trust 2002-21, Cl. PE, 6.50%, 4/25/32 4,994,394 5,167,109 Trust 2002-29, Cl. F, 6.131%, 4/25/32 1 2,417,089 2,478,820 Trust 2002-60, Cl. FH, 6.131%, 8/25/32 1 4,715,585 4,833,472 Trust 2002-64, Cl. FJ, 6.131%, 4/25/32 1 742,353 755,672 Trust 2002-68, Cl. FH, 6.114%, 10/18/32 1 1,555,529 1,568,110 Trust 2002-81, Cl. FM, 5.631%, 12/25/32 1 2,835,757 2,858,324 Trust 2002-9, Cl. PC, 6%, 3/25/17 4,171,242 4,285,403 Trust 2003-116, Cl. FA, 5.531%, 11/25/33 1 896,456 899,078 Trust 2003-130, Cl. CS, 3.838%, 12/25/33 1 3,633,541 3,355,180 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 5,484,000 5,333,197 Trust 2003-23, Cl. EQ, 5.50%, 4/25/23 12,312,000 11,956,340 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 5,467,000 5,344,147 Trust 2003-3, Cl. FM, 5.631%, 4/25/33 1 3,362,683 3,392,879 Trust 2003-81, Cl. NB, 4.50%, 11/25/14 10,264,000 10,155,562 Trust 2003-81, Cl. PW, 4%, 3/25/25 4,099,894 4,059,193 Trust 2003-84, Cl. AJ, 3%, 4/25/13 6,336,971 6,271,735 Trust 2003-84, Cl. GC, 4.50%, 5/25/15 12,320,000 12,189,964 Trust 2003-84, Cl. PW, 3%, 6/25/22 2,102,011 2,083,989 Trust 2004-101, Cl. BG, 5%, 1/25/20 4,413,000 4,322,046 Trust 2004-52, Cl. JR, 4.50%, 7/25/24 7,512,214 7,470,042 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 3,800,000 3,701,933 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 2,865,000 2,777,242 Trust 2005-59, Cl. NQ, 4.047%, 5/25/35 1 3,337,958 3,116,960 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 3,510,000 3,211,377 Trust 2006-24, Cl. DB, 5.50%, 4/25/26 540,000 533,754
26 | 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 2006-29, Cl. PA, 5.50%, 8/25/26 $ 20,955,346 $ 21,020,136 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 10,305,799 10,353,222 Trust 2006-46, Cl. SW, 5.385%, 6/25/36 1 4,589,301 4,719,001 Trust 2006-50, Cl. KS, 5.385%, 6/25/36 1 3,878,952 3,786,268 Trust 2006-50, Cl. SA, 5.385%, 6/25/36 1 4,431,071 4,341,985 Trust 2006-50, Cl. SK, 5.385%, 6/25/36 1 1,039,459 1,043,483 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 12,229,114 12,281,276 Trust 2006-64, Cl. MD, 5.50%, 7/25/36 311,000 301,185 ------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 6.02%, 11/18/31 9 5,237,819 567,772 Trust 2001-63, Cl. SD, (5.39)%, 12/18/31 9 133,990 13,509 Trust 2001-68, Cl. SC, (5.48)%, 11/25/31 9 92,117 9,281 Trust 2001-81, Cl. S, 0.02%, 1/25/32 9 1,225,812 130,643 Trust 2002-28, Cl. SA, (0.46)%, 4/25/32 9 870,560 78,834 Trust 2002-38, Cl. IO, (6.63)%, 4/25/32 9 745,269 47,959 Trust 2002-39, Cl. SD, (3.75)%, 3/18/32 9 1,189,301 114,952 Trust 2002-48, Cl. S, 0.03%, 7/25/32 9 1,398,725 129,847 Trust 2002-52, Cl. SL, (0.07)%, 9/25/32 9 829,925 82,272 Trust 2002-53, Cl. SK, (3.32)%, 4/25/32 9 741,356 75,033 Trust 2002-56, Cl. SN, 0.96%, 7/25/32 9 1,918,286 182,497 Trust 2002-65, Cl. SC, (5.40)%, 6/25/26 9 2,326,425 179,433 Trust 2002-77, Cl. IS, (1.07)%, 12/18/32 9 1,269,718 126,014 Trust 2002-77, Cl. SH, 0.89%, 12/18/32 9 1,483,003 148,795 Trust 2002-89, Cl. S, 10.32%, 1/25/33 9 6,150,730 596,336 Trust 2002-9, Cl. MS, 0.09%, 3/25/32 9 1,633,504 158,356 Trust 2003-33, Cl. SP, 9.20%, 5/25/33 9 5,438,597 692,920 Trust 2003-4, Cl. S, 6.99%, 2/25/33 9 2,775,402 327,328 Trust 2003-46, Cl. IH, 1.74%, 6/25/33 9 1,136,284 227,868 Trust 2005-105, Cl. S, 6.28%, 12/25/35 9 12,101,113 744,039 Trust 2005-40, Cl. SA, (5.81)%, 5/25/35 9 12,867,418 682,427 Trust 2005-40, Cl. SB, (3.15)%, 5/25/35 9 6,073,012 341,209 Trust 2005-71, Cl. SA, (2.60)%, 8/25/25 9 6,950,778 454,643 Trust 2005-83, Cl. SL, 4.83%, 10/25/35 9 12,321,442 812,736 Trust 2006-119, Cl. MS, 13.04%, 12/25/36 9 12,349,810 766,769 Trust 2006-33, Cl. SP, 10.14%, 5/25/36 9 8,870,775 739,382 Trust 2006-34, Cl. SK, 9.05%, 5/25/36 9 14,785,402 1,392,877 Trust 2006-75, Cl. SA, 12.40%, 8/25/36 9 5,513,056 371,373 Trust 2006-90, Cl. SX, 17.53%, 9/25/36 9 12,431,115 821,887 Trust 221, Cl. 2, 12.49%, 5/1/23 9 1,045,403 244,402 Trust 240, Cl. 2, 21.35%, 9/1/23 9 1,761,032 473,074 Trust 247, Cl. 2, 0.04%, 10/1/23 9 442,255 115,131 Trust 2682, Cl. TQ, 4.63%, 10/15/33 9 5,490,974 332,534 Trust 2981, Cl. BS, 3.01%, 5/15/35 9 10,181,688 503,801 Trust 301, Cl. 2, 5.75%, 4/1/29 9 1,720,787 438,731 Trust 303, Cl. IO, 12%, 11/1/29 9 955,733 257,707 Trust 313, Cl. 2, (5.39)%, 6/1/31 9 6,617,763 1,745,503
27 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED Continued Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued Trust 319, Cl. 2, 5.24%, 2/1/32 9 $ 86,250 $ 21,551 Trust 321, Cl. 2, 9.85%, 4/1/32 9 8,067,813 2,039,433 Trust 322, Cl. 2, 4.89%, 4/1/32 9 361,047 91,748 Trust 324, Cl. 2, 6.09%, 7/1/32 9 6,019,149 1,489,292 Trust 329, Cl. 2, (1.40)%, 1/1/33 9 287,762 73,630 Trust 331, Cl. 5, 9.43%, 2/1/33 9 6,968,308 1,619,474 Trust 334, Cl. 12, 5.30%, 2/1/33 9 8,698,730 2,170,849 Trust 334, Cl. 5, 11.34%, 5/1/33 9 4,024,229 1,056,161 Trust 339, Cl. 7, 8.88%, 7/1/33 9 20,172,120 4,661,242 Trust 342, Cl. 2, 7.37%, 9/1/33 9 22,742,797 5,816,162 Trust 344, Cl. 2, 9.06%, 12/1/33 9 10,592,420 2,711,955 Trust 345, Cl. 9, 8.72%, 1/1/34 9 6,850,571 1,596,541 Trust 362, Cl. 12, 2.98%, 8/1/35 9 183,438 42,000 Trust 362, Cl. 13, 3.01%, 8/1/35 9 101,864 23,421 ------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 324, Cl. 1, 5.82%, 7/1/32 10 1,503,027 1,128,540 --------------- 1,629,624,106 ------------------------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.5% Government National Mortgage Assn.: 5.75%, 8/8/27 1 9,229 9,320 7%, 1/29/28-2/8/30 2,363,268 2,475,920 8%, 1/29/28-9/29/28 824,552 876,952 11%, 11/8/19 22,831 25,622 12%, 12/9/13-10/9/15 33,895 38,603 12.50%, 12/29/13-11/29/15 1,340,030 1,512,417 13%, 10/30/15 2,008,929 2,283,350 13.50%, 6/30/15 2,616,079 2,990,129 ------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., CMO, Series 2001-62, Cl. KZ, 6.50%, 12/16/31 10,850,072 11,254,834 ------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 9,650,236 10,250,451 Series 2000-12, Cl. ZA, 8%, 2/16/30 4,226,294 4,503,562 Series 2000-7, Cl. Z, 8%, 1/16/30 4,963,758 5,271,412 ------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, (0.26)%, 7/16/28 9 2,113,448 157,533 Series 1998-6, Cl. SA, (0.69)%, 3/16/28 9 1,297,319 107,215 Series 2006-47, Cl. SA, 14.94%, 8/16/36 9 4,415,994 269,948 --------------- 42,027,268
28 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- NON-AGENCY--4.2% ------------------------------------------------------------------------------------------------------------------------- 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 3,4,5 $ 624,465 $ -- ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL--3.1% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2005-3, Cl. A2, 4.501%, 7/10/43 5,310,000 5,238,526 Series 2006-5, Cl. A2, 5.348%, 10/10/11 315,000 315,878 ------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 3,065,155 3,110,624 ------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,860,138 2,886,684 ------------------------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, (5.01)%, 6/22/24 9 4,310,789 125,125 ------------------------------------------------------------------------------------------------------------------------- ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 5.231%, 8/25/08 1 1,745,423 1,743,677 ------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 1,371,000 1,368,294 ------------------------------------------------------------------------------------------------------------------------- Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3 9,503,000 9,470,525 ------------------------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 19,435,407 19,373,408 ------------------------------------------------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 3,155,533 3,156,591 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 8,930,616 8,902,508 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 933,847 935,186 ------------------------------------------------------------------------------------------------------------------------- DLJ Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-CF2, Cl. A1B, 6.24%, 11/12/31 258,625 260,539 ------------------------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.829%, 10/15/30 1,3 36,400,000 10,920,000 ------------------------------------------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 4,572,727 4,565,705 ------------------------------------------------------------------------------------------------------------------------- First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 2,839,717 2,844,928 ------------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C3, Cl. A2, 4.853%, 7/10/45 3,080,000 3,066,543 ------------------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.213%, 5/15/30 1 2,000,000 2,012,823
29 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL Continued Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 $ 3,430,000 $ 3,381,592 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 3,470,000 3,478,547 Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 3 7,170,000 7,192,013 ------------------------------------------------------------------------------------------------------------------------- Ice Em CLO, Collateralized Loan Obligation: Series 2007-1A, Cl. C, 8.40%, 8/15/22 1,3 16,980,000 15,876,300 Series 2007-1A, Cl. D, 10.40%, 8/15/22 1,3 16,980,000 15,621,600 ------------------------------------------------------------------------------------------------------------------------- JP Morgan Commercial Mortgage Finance Corp., Commercial Mtg. Obligations, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 9,404,729 9,834,916 ------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 1,280,000 1,264,932 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 4,520,000 4,488,474 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 8,250,000 8,235,014 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 4,580,000 4,664,603 ------------------------------------------------------------------------------------------------------------------------- LB Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl. C, 7.47%, 10/15/32 8,115,000 8,500,680 ------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 3,690,000 3,681,464 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,970,000 7,984,896 Series 2000-C3, Cl. A2, 7.95%, 5/15/25 9,543,163 10,086,939 ------------------------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., CMO, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 3 466,119 358,912 ------------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-9, Cl. A3, 4.70%, 8/25/34 1 417,746 416,449 Series 2004-6, Cl. 10A1, 6%, 7/25/34 4,133,602 4,143,031 ------------------------------------------------------------------------------------------------------------------------- Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 5.955%, 10/25/36 1 19,524,745 19,267,016 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 1997-XL1, Cl. G, 7.695%, 10/3/30 13,883,000 13,848,927 ------------------------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 8,761,997 8,795,187 ------------------------------------------------------------------------------------------------------------------------- PNC Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 2001-C1, Cl. A2, 6.36%, 3/12/34 9,627,000 10,013,335 ------------------------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 3 571,000 612,108 ------------------------------------------------------------------------------------------------------------------------- RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 6,284,068 6,301,059 ------------------------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2006-A9CB, CMO Pass-Through Certificates, Series 2006-A9CB, Cl. A5, 6%, 9/25/36 6,254,222 6,260,210 ------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 5,800,000 5,768,835
30 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL Continued Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 $ 2,083,000 $ 2,084,381 ------------------------------------------------------------------------------------------------------------------------- WAMU, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.048%, 9/25/33 1 6,638,504 6,570,997 --------------- 269,029,981 ------------------------------------------------------------------------------------------------------------------------- MULTIFAMILY--0.5% Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 1 11,291,095 11,398,729 ------------------------------------------------------------------------------------------------------------------------- Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A1, 5.702%, 4/25/37 1 12,919,380 12,920,537 ------------------------------------------------------------------------------------------------------------------------- Countrywide Home Loans, CMO, Series 2003-46, Cl. 1A2, 4.129%, 1/19/34 1 17,509,999 17,574,938 ------------------------------------------------------------------------------------------------------------------------- WAMU, Mtg. Pass-Through Certificates, Series 2005-AR8, Cl. 2AB1, 5.57%, 7/25/45 1 350,012 348,891 --------------- 42,243,095 ------------------------------------------------------------------------------------------------------------------------- OTHER--0.1% JP Morgan Mortgage Trust, CMO Pass-Through Certificates, Series 2005-S2, Cl. 3A1, 6.75%, 2/25/32 1 5,942,416 6,011,060 ------------------------------------------------------------------------------------------------------------------------- RESIDENTIAL--0.5% Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 7,693,941 7,786,363 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 1,453,705 1,480,595 ------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust: Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 14,706,343 14,880,647 Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 4,998,359 5,002,448 ------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 3,897,570 3,898,549 ------------------------------------------------------------------------------------------------------------------------- RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 5,738,897 5,806,883 ------------------------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., CMO: Series 2001-UP2, Cl. AF2, 7.25%, 10/25/31 226,939 226,990 Series 2000-UP1, Cl. A2, 8%, 9/25/30 449,360 451,781 ------------------------------------------------------------------------------------------------------------------------- Salomon Smith Barney RV Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/15/18 2,407,000 2,420,607 ------------------------------------------------------------------------------------------------------------------------- Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: Series 1995-3, Cl. 1IO, 0.78%, 9/15/25 9 34,646,564 276,968 Series 1992-2, Cl. IO, 8.99%, 9/15/22 9 15,153,781 336,481 Series 1995-2B, Cl. 2IO, 12.04%, 6/15/25 9 1,059,536 23,369 --------------- 42,591,681 --------------- Total Mortgage-Backed Obligations (Cost $2,043,457,959) 2,031,527,191
31 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--4.2% ------------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 5.825%, 10/5/07 8,13 $ 25,550,000 $ 25,538,145 ------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 5.208%, 2/4/08 13,15 37,540,000 36,965,188 3.375%, 4/15/09 14 26,370,000 25,953,090 4.625%, 10/25/12 14 63,280,000 63,279,367 5.25%, 5/21/09 14 25,770,000 26,097,150 ------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 5%, 10/15/11 14 16,000,000 16,263,904 5.125%, 7/13/09 34,925,000 35,343,821 5.125%, 4/15/11 14 11,125,000 11,366,668 6%, 5/15/11 14 51,700,000 54,314,314 ------------------------------------------------------------------------------------------------------------------------- Resolution Funding Corp. Bonds, Residual Funding STRIPS, 6.135%, 1/15/21 13,14 53,130,000 27,195,069 ------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds, STRIPS, 4.955%, 2/15/16 8,13,14 23,896,000 16,318,053 ------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4.50%, 3/31/09 14 24,300,000 24,486,065 --------------- Total U.S. Government Obligations (Cost $356,707,484) 363,120,834 ------------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--21.9% ------------------------------------------------------------------------------------------------------------------------- ARGENTINA--0.8% Argentina (Republic of) Bonds: 2%, 9/30/14 [ARP] 13,632,900 4,388,575 5.374%, 8/3/12 1 24,436,251 21,923,642 7%, 10/3/15 5,800,000 4,769,050 Series GDP, 7.24%, 12/15/35 13 23,710,000 3,094,155 Series V, 7%, 3/28/11 14,317,000 13,446,847 Series VII, 7%, 9/12/13 9,540,000 8,308,943 ------------------------------------------------------------------------------------------------------------------------- Central Bank of Argentina Bonds, 2%, 2/4/18 [ARP] 17,502,479 7,304,972 ------------------------------------------------------------------------------------------------------------------------- Neuquen (Province Del) Sr. Sec. Nts., 8.656%, 10/18/14 2 6,770,000 6,871,550 --------------- 70,107,734 ------------------------------------------------------------------------------------------------------------------------- AUSTRALIA--1.2% New South Wales Treasury Corp. Sr. Unsec. Nts.: 6%, 10/1/09 [AUD] 81,550,000 71,396,755 Series 17RG, 5.50%, 3/1/17 [AUD] 31,795,000 26,112,838 ------------------------------------------------------------------------------------------------------------------------- Queensland Treasury Corp. Unsec. Nts., Series 09G, 6%, 7/14/09 [AUD] 1,010,000 885,997 --------------- 98,395,590 ------------------------------------------------------------------------------------------------------------------------- AUSTRIA--0.2% Austria (Republic of) Unsec. Unsub. Nts., Series E, 4%, 9/15/16 [EUR] 10,641,000 14,740,036 ------------------------------------------------------------------------------------------------------------------------- BELGIUM--0.6% Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 [EUR] 10,325,000 15,360,810 ------------------------------------------------------------------------------------------------------------------------- Belgium (Kingdom of) Treasury Bills, 4.06%, 11/15/07 13 [EUR] 25,630,000 36,377,174 --------------- 51,737,984
32 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- BRAZIL--1.6% Brazil (Federal Republic of) Bonds: 6%, 1/17/17 $ 23,215,000 $ 23,586,440 8%, 1/15/18 26,620,000 29,774,470 8.75%, 2/4/25 17,815,000 22,847,738 8.875%, 10/14/19 26,001,000 32,436,248 10.50%, 7/14/14 17,798,000 22,558,965 ------------------------------------------------------------------------------------------------------------------------- Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 7,950,000 8,999,400 --------------- 140,203,261 ------------------------------------------------------------------------------------------------------------------------- BULGARIA--0.2% Bulgaria (Republic of) Bonds: 8.25%, 1/15/15 7,080,000 8,265,900 8.25%, 1/15/15 2 6,790,000 7,927,325 --------------- 16,193,225 ------------------------------------------------------------------------------------------------------------------------- CANADA--0.9% Canada (Government of) Treasury Bills: 4.271%, 11/1/07 13 [CAD] 25,625,000 25,673,821 4.436%, 12/27/07 13 [CAD] 49,170,000 48,962,128 --------------- 74,635,949 ------------------------------------------------------------------------------------------------------------------------- COLOMBIA--0.5% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28 2 [COP] 9,427,000,000 4,494,227 ------------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Bonds: 7.375%, 9/18/37 13,982,000 15,415,155 10.75%, 1/15/13 8,000,000 9,800,000 12%, 10/22/15 [COP] 14,703,000,000 8,181,317 ------------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Nts., 11.75%, 3/1/10 [COP] 5,175,000,000 2,677,362 ------------------------------------------------------------------------------------------------------------------------- Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 4,010,000 4,691,700 --------------- 45,259,761 ------------------------------------------------------------------------------------------------------------------------- COSTA RICA--0.1% Costa Rica (Republic of) Unsec. Bonds, 9.995%, 8/1/20 5,424,000 7,057,980 ------------------------------------------------------------------------------------------------------------------------- DENMARK--0.2% Denmark (Kingdom of) Bonds: 4%, 11/15/10 [DKK] 21,815,000 4,139,546 4%, 11/15/15 [DKK] 15,890,000 2,962,229 7%, 11/10/24 [DKK] 5,785,000 1,413,961 ------------------------------------------------------------------------------------------------------------------------- Denmark (Kingdom of) Nts., 4%, 8/15/08 [DKK] 22,830,000 4,350,797 --------------- 12,866,533 ------------------------------------------------------------------------------------------------------------------------- DOMINICAN REPUBLIC--0.1% Dominican Republic Unsec. Unsub. Bonds, Series REGS, 9.04%, 1/23/18 2,626,423 2,970,485 ------------------------------------------------------------------------------------------------------------------------- Dominican Republic Unsec. Unsub. Nts., Series REGS, 9.50%, 9/27/11 1,536,983 1,635,350 --------------- 4,605,835
33 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- EGYPT--0.1% Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/12 2 [EGP] 31,310,000 $ 5,743,669 ------------------------------------------------------------------------------------------------------------------------- EL SALVADOR--0.2% El Salvador (Republic of) Bonds: 7.625%, 9/21/34 2 4,802,000 5,450,270 7.65%, 6/15/35 2 10,425,000 11,728,125 --------------- 17,178,395 ------------------------------------------------------------------------------------------------------------------------- FRANCE--1.2% France (Government of) Obligations Assimilables du Tresor Bonds: 3.25%, 4/25/16 [EUR] 31,645,000 41,542,269 4%, 10/25/38 [EUR] 33,860,000 43,109,711 ------------------------------------------------------------------------------------------------------------------------- France (Government of) Treasury Bills, 4.026%, 10/18/07 13 [EUR] 13,905,000 19,793,047 --------------- 104,445,027 ------------------------------------------------------------------------------------------------------------------------- GERMANY--2.2% Germany (Federal Republic of) Bonds: Series 03, 3.75%, 7/4/13 [EUR] 22,910,000 31,916,996 Series 05, 4%, 1/4/37 [EUR] 40,855,000 52,840,197 ------------------------------------------------------------------------------------------------------------------------- Germany (Federal Republic of) Treasury Bills, Series 0707, 4.153%, 1/16/08 13 [EUR] 72,430,000 102,108,856 --------------- 186,866,049 ------------------------------------------------------------------------------------------------------------------------- GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17 3,11 9,290,000 9,475,800 ------------------------------------------------------------------------------------------------------------------------- GREECE--0.4% Greece (Republic of) Bonds, 4.60%, 5/20/13 [EUR] 23,910,000 34,444,120 ------------------------------------------------------------------------------------------------------------------------- GUATEMALA--0.1% Guatemala (Republic of) Nts.: 10.25%, 11/8/11 1,235,000 1,426,425 10.25%, 11/8/11 2 3,052,000 3,525,060 --------------- 4,951,485 ------------------------------------------------------------------------------------------------------------------------- INDONESIA--0.4% Indonesia (Republic of) Nts.: 6.75%, 3/10/14 2 16,860,000 17,407,950 7.25%, 4/20/15 2 11,655,000 12,383,438 ------------------------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 2 6,210,000 7,343,325 --------------- 37,134,713 ------------------------------------------------------------------------------------------------------------------------- ISRAEL--0.2% Israel (State of) Bonds, Series 2682, 7.50%, 3/31/14 [ILS] 68,180,000 18,799,393 ------------------------------------------------------------------------------------------------------------------------- ITALY--1.2% Italy (Republic of) Nts., Certificati di Credito del Tesoro, 4.40%, 7/1/09 1 [EUR] 73,630,000 105,426,896
34 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- JAPAN--2.0% Japan (Government of) Bonds: 2 yr., Series 252, 0.80%, 1/15/09 [JPY] 7,639,000,000 $ 66,516,793 10 yr., Series 245, 0.90%, 12/20/12 [JPY] 3,565,000,000 30,534,575 10 yr., Series 268, 1.50%, 3/20/15 [JPY] 3,785,000,000 33,174,150 30 yr., Series 25, 2.30%, 12/20/36 [JPY] 5,138,000,000 43,551,220 --------------- 173,776,738 ------------------------------------------------------------------------------------------------------------------------- MALAYSIA--0.3% Johor Corp. Malaysia (Government of) Bonds, Series P3, 1%, 7/31/12 3 [MYR] 59,778,000 20,349,957 ------------------------------------------------------------------------------------------------------------------------- Malaysia (Government of) Bonds, Series 2/05, 4.72%, 9/30/15 [MYR] 27,925,000 8,707,355 --------------- 29,057,312 ------------------------------------------------------------------------------------------------------------------------- MEXICO--0.0% Mexican Williams Sr. Nts., 6.63%, 11/15/08 1,3 1,500,000 1,513,500 ------------------------------------------------------------------------------------------------------------------------- NIGERIA--0.2% Nigeria (Federal Republic of) Bonds, Series 5Y, 13.50%, 9/11/11 [NGN] 36,380,000 296,387 ------------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Nts., Series 3Y2S, 12.50%, 2/24/09 [NGN] 212,600,000 1,794,195 ------------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 1,731,168 1,557,682 ------------------------------------------------------------------------------------------------------------------------- Nigeria (Federal Republic of) Treasury Bonds: Series 5Y13, 12.99%, 9/29/11 [NGN] 524,300,000 4,742,570 Series 7Y16, 11.99%, 12/22/13 [NGN] 857,700,000 7,672,716 Series 7YR, 12.74%, 10/27/13 [NGN] 341,700,000 3,138,618 --------------- 19,202,168 ------------------------------------------------------------------------------------------------------------------------- PANAMA--0.5% Panama (Republic of) Bonds: 6.70%, 1/26/36 3,320,000 3,427,900 7.25%, 3/15/15 26,685,000 28,686,375 8.875%, 9/30/27 4,925,000 6,268,688 9.375%, 4/1/29 5,500,000 7,397,500 --------------- 45,780,463 ------------------------------------------------------------------------------------------------------------------------- PERU--0.9% Peru (Republic of) Bonds: 7.84%, 8/12/20 [PEN] 61,210,000 22,348,645 9.91%, 5/5/15 [PEN] 66,044,000 26,155,736 Series 7, 8.60%, 8/12/17 [PEN] 28,782,000 10,891,437 Series 8-1, 12.25%, 8/10/11 [PEN] 11,069,000 4,340,218 ------------------------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Nts., 4.54%, 2/28/16 13 23,120,366 14,049,553 --------------- 77,785,589
35 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- PHILIPPINES--0.5% Philippines (Republic of the) Bonds: 8%, 1/15/16 $ 25,470,000 $ 28,590,075 8.375%, 2/15/11 5,050,000 5,488,542 ------------------------------------------------------------------------------------------------------------------------- Philippines (Republic of the) Unsec. Bonds, 7.75%, 1/14/31 7,539,000 8,387,138 --------------- 42,465,755 ------------------------------------------------------------------------------------------------------------------------- POLAND--0.2% Poland (Republic of) Bonds: Series DS1013, 5%, 10/24/13 [PLZ] 38,810,000 14,228,742 Series WS0922, 5.75%, 9/23/22 [PLZ] 8,880,000 3,357,112 --------------- 17,585,854 ------------------------------------------------------------------------------------------------------------------------- SPAIN--0.7% Spain (Government of) Bonds, 3.80%, 1/31/17 [EUR] 14,050,000 19,104,266 ------------------------------------------------------------------------------------------------------------------------- Spain (Government of) Treasury Bills, 3.854%, 10/19/07 13 [EUR] 27,505,000 39,150,767 --------------- 58,255,033 ------------------------------------------------------------------------------------------------------------------------- THE NETHERLANDS--0.3% Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 [EUR] 14,925,000 21,890,880 ------------------------------------------------------------------------------------------------------------------------- TURKEY--1.6% Turkey (Republic of) Bonds: 6.75%, 4/3/18 11 24,875,000 24,875,000 7%, 9/26/16 26,490,000 27,119,138 ------------------------------------------------------------------------------------------------------------------------- Turkey (Republic of) Nts.: 7.25%, 3/15/15 18,115,000 18,975,463 16%, 3/7/12 [TRY] 62,510,000 52,219,311 18.163%, 8/13/08 13 [TRY] 18,130,000 13,048,914 --------------- 136,237,826 ------------------------------------------------------------------------------------------------------------------------- UNITED KINGDOM--1.3% United Kingdom Treasury Bonds: 5%, 3/7/08 [GBP] 16,725,000 34,179,897 6%, 12/7/28 [GBP] 19,210,000 45,640,454 ------------------------------------------------------------------------------------------------------------------------- United Kingdom Treasury Nts., 4%, 3/7/09 [GBP] 17,250,000 34,801,053 --------------- 114,621,404 ------------------------------------------------------------------------------------------------------------------------- URUGUAY--0.9% Uruguay (Oriental Republic of) Bonds: 4.25%, 4/5/27 [UYU] 167,100,000 7,900,163 7.625%, 3/21/36 27,165,000 29,134,463
36 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- URUGUAY Continued Uruguay (Oriental Republic of) Unsec. Bonds: 5%, 9/14/18 [UYU] 232,960,000 $ 12,453,435 8%, 11/18/22 24,380,000 27,183,700 --------------- 76,671,761 --------------- Total Foreign Government Obligations (Cost $1,763,880,076) 1,875,113,718 ------------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.3% ------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International, Export-Import Bank of Ukraine Loan Participation Nts., 8.40%, 2/9/16 13,130,000 12,736,100 ------------------------------------------------------------------------------------------------------------------------- Dali Capital plc/Bank of Moscow Loan Participation Nts., Series 28, Tranche 1, 7.25%, 11/25/09 [RUR] 136,600,000 5,468,055 ------------------------------------------------------------------------------------------------------------------------- Dali Capital SA (ROSBANK) Loan Participation Nts., Series 23, Tranche 1, 8%, 9/30/09 [RUR] 134,000,000 5,377,077 --------------- Total Loan Participations (Cost $22,936,293) 23,581,232 ------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--22.7% ------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--4.7% ------------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.2% Goodyear Tire & Rubber Co. (The): 7.857% Nts., 8/15/11 6,906,000 7,044,120 9% Sr. Unsec. Nts., 7/1/15 4,109,000 4,406,903 ------------------------------------------------------------------------------------------------------------------------- Stoneridge, Inc., 11.50% Sr. Nts., 5/1/12 4,027,000 4,218,283 ------------------------------------------------------------------------------------------------------------------------- Tenneco Automotive, Inc.: 8.625% Sr. Unsec. Sub. Nts., 11/15/14 2,810,000 2,845,125 10.25% Sr. Sec. Nts., Series B, 7/15/13 1,775,000 1,912,563 --------------- 20,426,994 ------------------------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.1% General Motors Acceptance Corp., 8% Bonds, 11/1/31 4,985,000 4,903,555 ------------------------------------------------------------------------------------------------------------------------- DISTRIBUTORS--0.0% SGS International, Inc., 12% Sr. Unsec. Sub. Nts., 12/15/13 3 2,985,000 3,089,475 ------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.0% Education Management LLC/Education Management Corp., 10.25% Sr. Unsec. Sub. Nts., 6/1/16 3,595,000 3,738,800 ------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.3% American Casino & Entertainment Properties LLC, 7.85% Sr. Sec. Nts., 2/1/12 2,100,000 2,168,250 ------------------------------------------------------------------------------------------------------------------------- Buffets, Inc., 12.50% Sr. Unsec. Nts., 11/1/14 760,000 535,800 ------------------------------------------------------------------------------------------------------------------------- CCM Merger, Inc., 8% Unsec. Nts., 8/1/13 2 5,135,000 5,032,300 ------------------------------------------------------------------------------------------------------------------------- French Lick Resorts & Casino LLC, 10.75% First Mtg. Nts., 4/15/14 2 4,950,000 3,960,000 ------------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co.: 6.75% Sr. Unsec. Unsub. Nts., 11/15/14 700,000 675,500 8% Sr. Nts., 11/15/13 2,100,000 2,139,375
37 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE Continued Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13 2 $ 5,255,000 $ 5,228,725 ------------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 2,322,000 2,089,800 ------------------------------------------------------------------------------------------------------------------------- Mandalay Resort Group, 9.375% Sr. Sub. Nts., 2/15/10 3,370,000 3,546,925 ------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 6.625% Sr. Unsec. Nts., 7/15/15 100,000 95,375 6.75% Sr. Unsec. Nts., 4/1/13 3,355,000 3,296,288 8.375% Sr. Unsec. Sub. Nts., 2/1/11 6,410,000 6,714,475 ------------------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority: 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,745,000 1,670,838 6.375% Sr. Sub. Nts., 7/15/09 3,427,000 3,427,000 6.875% Sr. Unsec. Sub. Nts., 2/15/15 2,540,000 2,511,425 7.125% Sr. Unsec. Sub. Nts., 8/15/14 1,000,000 1,007,500 8% Sr. Sub. Nts., 4/1/12 3,150,000 3,228,750 ------------------------------------------------------------------------------------------------------------------------- NCL Corp., 10.625% Sr. Unsub. Nts., 7/15/14 1,150,000 1,164,375 ------------------------------------------------------------------------------------------------------------------------- Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 8,939,000 9,162,475 ------------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc.: 6.75% Sr. Unsec. Sub. Nts., 3/1/15 1,745,000 1,788,625 6.875% Sr. Sub. Nts., 12/1/11 100,000 101,750 ------------------------------------------------------------------------------------------------------------------------- Pinnacle Entertainment, Inc., 8.25% Sr. Unsec. Sub. Nts., 3/15/12 7,375,000 7,504,063 ------------------------------------------------------------------------------------------------------------------------- Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14 2 2,375,000 2,618,438 ------------------------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3,4,5 10,850,000 -- ------------------------------------------------------------------------------------------------------------------------- Station Casinos, Inc.: 6.50% Sr. Unsec. Sub. Nts., 2/1/14 10,625,000 9,403,125 6.875% Sr. Unsec. Sub. Nts., 3/1/16 1,660,000 1,452,500 ------------------------------------------------------------------------------------------------------------------------- Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 4,600,000 4,841,500 ------------------------------------------------------------------------------------------------------------------------- Trump Entertainment Resorts, Inc., 8.50% Sec. Nts., 6/1/15 9,100,000 7,621,250 ------------------------------------------------------------------------------------------------------------------------- Universal City Development Partners Ltd., 11.75% Sr. Nts., 4/1/10 3,958,000 4,146,005 ------------------------------------------------------------------------------------------------------------------------- Vail Resorts, Inc., 6.75% Sr. Sub. Nts., 2/15/14 1,800,000 1,764,000 ------------------------------------------------------------------------------------------------------------------------- Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 11,053,000 10,887,205 --------------- 109,783,637 ------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.3% Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 6,629,000 5,236,910 ------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 9.75% Sr. Sub. Nts., 9/15/10 2,813,000 2,796,865 ------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 2,978,000 2,248,390 ------------------------------------------------------------------------------------------------------------------------- KB Home, 8.625% Sr. Sub. Nts., 12/15/08 2,724,000 2,727,405 ------------------------------------------------------------------------------------------------------------------------- Sealy Mattress Co., 8.25% Sr. Sub. Nts., 6/15/14 931,000 942,638 ------------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 9.25% Sr. Sub. Nts., 4/15/12 2,125,000 1,434,375 ------------------------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,925,000 1,876,875 ------------------------------------------------------------------------------------------------------------------------- WCI Communities, Inc., 9.125% Sr. Sub. Nts., 5/1/12 3,745,000 3,098,988 ------------------------------------------------------------------------------------------------------------------------- William Lyon Homes, Inc., 10.75% Sr. Nts., 4/1/13 3,821,000 2,846,645 --------------- 23,209,091
38 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13 $ 3,725,000 $ 3,557,375 ------------------------------------------------------------------------------------------------------------------------- Steinway Musical Instruments, Inc., 7% Sr. Nts., 3/1/14 3 2,100,000 2,005,500 --------------- 5,562,875 ------------------------------------------------------------------------------------------------------------------------- MEDIA--2.1% Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 4,496,000 4,563,440 ------------------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 1,850,000 1,771,375 ------------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc.: 8.875% Sr. Unsec. Sub. Nts., 1/15/11 1,050,000 924,000 10.25% Sr. Unsec. Sub. Nts., Series B, 5/1/09 5,200,000 4,641,000 ------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings I LLC, 11% Sr. Sec. Nts., 10/1/15 3,265,000 3,322,138 ------------------------------------------------------------------------------------------------------------------------- Cinemark, Inc., 0%/9.75% Sr. Unsec. Disc. Nts., 3/15/14 16 7,529,000 7,152,550 ------------------------------------------------------------------------------------------------------------------------- Dex Media East LLC/Dex Media East Finance Co., 9.875% Sr. Unsec. Nts., 11/15/09 4,340,000 4,459,350 ------------------------------------------------------------------------------------------------------------------------- Dex Media West LLC/Dex Media West Finance Co.: 8.50% Sr. Nts., 8/15/10 2,609,000 2,693,793 9.875% Sr. Sub. Nts., 8/15/13 4,627,000 4,945,106 ------------------------------------------------------------------------------------------------------------------------- Dex Media, Inc.: 0%/9% Unsec. Disc. Nts., 11/15/13 16 3,800,000 3,591,000 8% Unsec. Nts., 11/15/13 9,850,000 9,973,125 ------------------------------------------------------------------------------------------------------------------------- Entercom Radio LLC/Entercom Capital, Inc., 7.625% Sr. Unsec. Sub. Nts., 3/1/14 1,925,000 1,905,750 ------------------------------------------------------------------------------------------------------------------------- Idearc, Inc., 8% Sr. Unsec. Nts., 11/15/16 7,015,000 7,032,538 ------------------------------------------------------------------------------------------------------------------------- Lamar Media Corp.: 6.625% Sr. Unsec. Sub. Nts., 8/15/15 4,277,000 4,148,690 7.25% Sr. Unsec. Sub. Nts., 1/1/13 1,800,000 1,818,000 ------------------------------------------------------------------------------------------------------------------------- Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 3,433,000 3,355,758 ------------------------------------------------------------------------------------------------------------------------- Marquee Holdings, Inc., 0%/12% Sr. Disc. Nts., 8/15/14 1 6 7,700,000 6,545,000 ------------------------------------------------------------------------------------------------------------------------- MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14 2,400,000 1,788,000 6.875% Sr. Unsec. Sub. Nts., 10/1/13 4,775,000 3,652,875 ------------------------------------------------------------------------------------------------------------------------- Nielsen Finance LLC, 10% Sr. Unsec. Nts., 8/1/14 7,605,000 8,080,313 ------------------------------------------------------------------------------------------------------------------------- Nielsen Finance LLC/Nielsen Finance Co., 0%/12.50% Sr. Unsec. Sub. Disc. Nts., 8/1/16 1 6 5,645,000 3,979,725 ------------------------------------------------------------------------------------------------------------------------- Paxson Communications Corp., 11.61% Sr. Sec. Nts., 1/15/13 1,2 4,435,000 4,534,788 ------------------------------------------------------------------------------------------------------------------------- Quebecor World Capital Corp., 8.75% Sr. Nts., 3/15/16 2 1,675,000 1,528,438 ------------------------------------------------------------------------------------------------------------------------- R.H. Donnelley Corp.: 6.875% Sr. Disc. Nts., Series A-1, 1/15/13 11,085,000 10,530,750 6.875% Sr. Disc. Nts., Series A-2, 1/15/13 10,645,000 10,112,750 6.875% Sr. Nts., 1/15/13 7,100,000 6,745,000 8.875% Sr. Unsec. Nts., Series A-3, 1/15/16 9,445,000 9,669,319
39 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- MEDIA Continued R.H. Donnelley, Inc., 10.875% Sr. Unsec. Unsub. Nts., 12/15/12 $ 4,440,000 $ 4,739,700 ------------------------------------------------------------------------------------------------------------------------- Radio One, Inc., 8.875% Sr. Unsec. Sub. Nts., Series B, 7/1/11 3,292,000 3,267,310 ------------------------------------------------------------------------------------------------------------------------- Rainbow National Services LLC, 8.75% Sr. Nts., 9/1/12 2 1,785,000 1,860,863 ------------------------------------------------------------------------------------------------------------------------- Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,117,000 14,295,405 ------------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 5,199,000 5,341,973 ------------------------------------------------------------------------------------------------------------------------- Sirius Satellite Radio, Inc., 9.625% Sr. Unsec. Nts., 8/1/13 1,430,000 1,426,425 ------------------------------------------------------------------------------------------------------------------------- Vertis, Inc.: 9.75% Sr. Sec. Nts., 4/1/09 3,916,000 3,994,320 10.875% Sr. Unsec. Nts., Series B, 6/15/09 3,200,000 3,096,000 ------------------------------------------------------------------------------------------------------------------------- Warner Music Group, 7.375% Sr. Sub. Bonds, 4/15/14 2,300,000 2,012,500 ------------------------------------------------------------------------------------------------------------------------- WMG Holdings Corp., 0%/9.50% Sr. Disc. Nts., 12/15/14 1 6 9,658,000 6,808,890 ------------------------------------------------------------------------------------------------------------------------- XM Satellite Radio Holdings, Inc., 9.75% Sr. Unsec. Nts., 5/1/14 2,290,000 2,307,175 --------------- 182,615,132 ------------------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.2% Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 8,085,000 7,599,900 ------------------------------------------------------------------------------------------------------------------------- Neiman Marcus Group, Inc. (The): 9% Sr. Unsec. Nts., 10/15/15 7,150,000 7,650,500 10.375% Sr. Unsec. Sub. Nts., 10/15/15 2,200,000 2,409,000 --------------- 17,659,400 ------------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.2% Claire's Stores, Inc., 10.50% Sr. Sub. Nts., 6/1/17 2 7,310,000 5,665,250 ------------------------------------------------------------------------------------------------------------------------- Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09 3,4,5 4,300,000 537,500 ------------------------------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 7.50% Sr. Unsec. Sub. Nts., Series B, 5/1/10 1,700,000 1,623,500 ------------------------------------------------------------------------------------------------------------------------- Sally Holdings LLC: 9.25% Sr. Unsec. Nts., 11/15/14 5,723,000 5,808,845 10.50% Sr. Unsec. Sub. Nts., 11/15/16 3,525,000 3,542,625 --------------- 17,177,720 ------------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.2% Invista, Inc., 9.25% Sr. Nts., 5/1/12 2 2,560,000 2,700,800 ------------------------------------------------------------------------------------------------------------------------- Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 4,770,000 5,032,350 ------------------------------------------------------------------------------------------------------------------------- Oxford Industries, Inc., 8.875% Sr. Nts., 6/1/11 3 1,750,000 1,776,250 ------------------------------------------------------------------------------------------------------------------------- Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 2,970,000 2,858,625 --------------- 12,368,025 ------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.0% ------------------------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% AmBev International Finance Co. Ltd., 9.50% Bonds, 7/24/17 2 [BRR] 15,650,000 7,918,917
40 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- BEVERAGES Continued Constellation Brands, Inc.: 7.25% Sr. Nts., 9/1/16 $ 1,260,000 $ 1,266,300 8.125% Sr. Sub. Nts., 1/15/12 2,125,000 2,172,813 --------------- 11,358,030 ------------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.4% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 8,304,000 8,471,251 ------------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 14,256,000 17,055,950 ------------------------------------------------------------------------------------------------------------------------- Real Time Data Co., 11% Disc. Nts., 5/31/09 3,4,5,17 8,836,185 -- ------------------------------------------------------------------------------------------------------------------------- Rite Aid Corp., 8.125% Sr. Sec. Nts., 5/1/10 3,951,000 3,980,633 --------------- 29,507,834 ------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.3% Del Monte Corp.: 6.75% Sr. Unsec. Sub. Nts., 2/15/15 1,385,000 1,336,525 8.625% Sr. Sub. Nts., 12/15/12 4,055,000 4,136,100 ------------------------------------------------------------------------------------------------------------------------- Dole Food Co., Inc.: 8.625% Sr. Nts., 5/1/09 1,991,000 2,005,933 8.875% Sr. Unsec. Nts., 3/15/11 641,000 628,180 ------------------------------------------------------------------------------------------------------------------------- MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11 2 5,365,000 5,311,350 ------------------------------------------------------------------------------------------------------------------------- Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 2 9,073,000 8,551,303 ------------------------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.: 7.625% Sr. Unsec. Sub. Nts., 2/15/08 3,436,000 3,453,180 8% Sr. Nts., Series B, 10/15/09 1,300,000 1,348,750 --------------- 26,771,321 ------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.0% Church & Dwight Co., Inc., 6% Sr. Unsec. Sub. Nts., 12/15/12 2,100,000 2,031,750 ------------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.1% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 4,075,000 4,034,250 ------------------------------------------------------------------------------------------------------------------------- Playtex Products, Inc.: 8% Sr. Sec. Nts., 3/1/11 3 3,392,000 3,570,080 9.375% Sr. Unsec. Sub. Nts., 6/1/11 3,728,000 3,853,820 --------------- 11,458,150 ------------------------------------------------------------------------------------------------------------------------- TOBACCO--0.1% Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 8,170,000 8,665,984 ------------------------------------------------------------------------------------------------------------------------- ENERGY--2.7% ------------------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.1% Basic Energy Services, Inc., 7.125% Sr. Unsec. Nts., 4/15/16 1,675,000 1,637,313 ------------------------------------------------------------------------------------------------------------------------- PHI, Inc., 7.125% Sr. Unsec. Nts., 4/15/13 2,010,000 1,939,650 --------------- 3,576,963
41 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- OIL & GAS--2.6% Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 $ 1,715,000 $ 1,697,850 ------------------------------------------------------------------------------------------------------------------------- Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 910,000 923,650 ------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp.: 6.375% Sr. Unsec. Nts., 6/15/15 2,100,000 2,071,125 6.875% Sr. Unsec. Nts., 1/15/16 6,997,000 7,031,985 ------------------------------------------------------------------------------------------------------------------------- Compton Petroleum Finance Corp., 7.625% Sr. Nts., 12/1/13 6,580,000 6,382,600 ------------------------------------------------------------------------------------------------------------------------- Copano Energy LLC, 8.125% Sr. Unsec. Nts., 3/1/16 995,000 1,017,388 ------------------------------------------------------------------------------------------------------------------------- Forest Oil Corp., 7.75% Sr. Nts., 5/1/14 3,745,000 3,819,900 ------------------------------------------------------------------------------------------------------------------------- Frontier Oil Corp., 6.625% Sr. Unsec. Nts., 10/1/11 2,950,000 2,913,125 ------------------------------------------------------------------------------------------------------------------------- Gaz Capital (Gazprom), 7.288% Sr. Unsec. Bonds, 8/16/37 2 41,570,000 44,220,088 ------------------------------------------------------------------------------------------------------------------------- Inergy LP/Inergy Finance Corp., 8.25% Sr. Unsec. Nts., 3/1/16 1,585,000 1,644,438 ------------------------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 16,324,000 17,155,512 ------------------------------------------------------------------------------------------------------------------------- Massey Energy Co., 6.625% Sr. Nts., 11/15/10 800,000 786,000 ------------------------------------------------------------------------------------------------------------------------- National Gas Co., 6.05% Nts., 1/15/36 2 8,590,000 8,180,223 ------------------------------------------------------------------------------------------------------------------------- Newfield Exploration Co., 6.625% Sr. Unsec. Sub. Nts., 9/1/14 4,100,000 4,048,750 ------------------------------------------------------------------------------------------------------------------------- Pacific Energy Partners LP/Pacific Energy Finance Corp., 6.25% Sr. Unsec. Nts., 9/15/15 670,000 646,515 ------------------------------------------------------------------------------------------------------------------------- Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 8,380,000 8,505,700 ------------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11 2 25,024,891 24,894,636 ------------------------------------------------------------------------------------------------------------------------- Pogo Producing Co., 7.875% Sr. Unsec. Sub. Nts., 5/1/13 1,690,000 1,757,600 ------------------------------------------------------------------------------------------------------------------------- Premcor Refining Group, Inc., 9.50% Sr. Nts., 2/1/13 5,514,000 5,822,911 ------------------------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc., 7.125% Sr. Sub. Nts., 4/1/16 4,455,000 4,410,450 ------------------------------------------------------------------------------------------------------------------------- Range Resources Corp.: 6.375% Sr. Sub. Nts., 3/15/15 2,545,000 2,494,100 7.375% Sr. Sub. Nts., 7/15/13 100,000 102,000 7.50% Sr. Sub. Nts., 5/15/16 6,835,000 7,005,875 ------------------------------------------------------------------------------------------------------------------------- Sabine Pass LNG LP: 7.25% Sr. Sec. Nts., 11/30/13 4,580,000 4,534,200 7.50% Sr. Sec. Nts., 11/30/16 9,160,000 9,068,400 ------------------------------------------------------------------------------------------------------------------------- Stone Energy Corp.: 6.75% Sr. Unsec. Sub. Nts., 12/15/14 3,460,000 3,217,800 8.25% Sr. Unsec. Sub. Nts., 12/15/11 1,000,000 1,002,500 ------------------------------------------------------------------------------------------------------------------------- Targa Resources, Inc., 8.50% Sr. Nts., 11/1/13 2 3,425,000 3,442,125 ------------------------------------------------------------------------------------------------------------------------- Tengizchevroil LLP, 6.124% Nts., 11/15/14 2 18,377,000 18,191,392 ------------------------------------------------------------------------------------------------------------------------- Tesoro Corp.: 6.25% Sr. Unsec. Nts., 11/1/12 2,570,000 2,589,275 6.625% Sr. Unsec. Nts., 11/1/15 3,870,000 3,889,350 ------------------------------------------------------------------------------------------------------------------------- TGI International Ltd., 9.50% Nts., 10/3/17 3,11 16,200,000 16,362,000 ------------------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp.: 7.25% Sr. Sub. Nts., 5/1/12 2,200,000 2,172,500 7.25% Sr. Unsec. Sub. Nts., 5/1/13 600,000 588,000
42 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- OIL & GAS Continued Williams Holdings of Delaware, Inc., 6.50% Nts., 12/1/08 3 $ 1,100,000 $ 1,102,750 --------------- 223,692,713 ------------------------------------------------------------------------------------------------------------------------- FINANCIALS--6.7% ------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--2.0% Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 4,170,000 4,284,675 ------------------------------------------------------------------------------------------------------------------------- Coriolanus Ltd., 3.366% Sec. Nts., 12/31/17 2,11,13 [BRR] 68,800,000 26,549,753 ------------------------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp.: 7.375% Sr. Unsec. Nts., 9/15/13 2,103,000 1,976,820 8% Sr. Nts., 6/15/11 2,845,000 2,845,000 ------------------------------------------------------------------------------------------------------------------------- Eirles Two Ltd.: 6.793% Sec. Nts., Series 335, 4/30/12 1,3 16,700,000 16,648,230 8.519% Sec. Nts., Series 324, 4/20/12 1,3 14,300,000 13,665,080 ------------------------------------------------------------------------------------------------------------------------- HBOS Treasury Services plc: 4.375% Sr. Sec. Nts., 7/13/16 [EUR] 38,725,000 53,452,913 4.50% Sr. Sec. Nts., 7/13/21 [EUR] 22,265,000 30,247,877 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley: 6.25% Sr. Nts., 3/23/17 3 [PEN] 15,216,000 4,651,868 10.09% Sr. Unsec. Nts., 5/3/17 3,8 [BRR] 30,605,000 16,362,739 --------------- 170,684,955 ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--2.4% African Development Bank, 9.25% Bonds, 1/18/08 [NGN] 814,100,000 6,934,155 ------------------------------------------------------------------------------------------------------------------------- Banco Bilbao Vizcaya Argentaria SA, 4.25% Sec. Bonds, 7/15/14 [EUR] 12,090,000 16,744,880 ------------------------------------------------------------------------------------------------------------------------- Banco BMG SA, 9.15% Nts., 1/15/16 2 17,395,000 18,482,188 ------------------------------------------------------------------------------------------------------------------------- Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21 1,2 5,425,000 5,316,500 ------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds 18 13,240,000 11,650,670 ------------------------------------------------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 2,18 19,300,000 17,138,960 ------------------------------------------------------------------------------------------------------------------------- HSBC Bank plc: 10.221% Sr. Unsec. Nts., 7/8/09 3,13 17,190,000 15,900,750 12.045% Sr. Unsec. Nts., 1/12/10 3,13 22,570,000 17,830,300 12.989% Sr. Unsec. Nts., 3/9/09 3,13 17,190,000 14,984,523 ------------------------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 1 9,800,000 9,315,468 ------------------------------------------------------------------------------------------------------------------------- ICICI Bank Ltd.: 6.375% Bonds, 4/30/22 1,2 18,530,000 17,355,198 6.625% Nts., 10/3/12 3,11 17,600,000 17,661,600 ------------------------------------------------------------------------------------------------------------------------- Inter-American Development Bank: 6.26% Nts., 12/8/09 1 [BRR] 7,510,000 4,117,594 9.891% Nts., 1/25/12 1 [COP] 6,040,928,638 3,526,315 ------------------------------------------------------------------------------------------------------------------------- Kuznetski Capital SA/Bank of Moscow, 7.375% Nts., 11/26/10 2 6,585,000 6,634,388 ------------------------------------------------------------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10 3,4,5 5,010,000 --
43 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS Continued RSHB Capital SA/OJSC Russian Agricultural Bank, 7.175% Nts., 5/16/13 2 $ 6,180,000 $ 6,310,398 ------------------------------------------------------------------------------------------------------------------------- Salisbury International Investments Ltd., 9.51% Sec. Nts., Series 2006-003, Tranche E, 7/20/11 1,3 5,000,000 5,215,000 ------------------------------------------------------------------------------------------------------------------------- VTB Capital SA, 6.25% Sr. Nts., 6/30/35 2 6,690,000 6,565,566 --------------- 201,684,453 ------------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.1% Ace Cash Express, Inc., 10.25% Sr. Nts., 10/1/14 3 645,000 649,838 ------------------------------------------------------------------------------------------------------------------------- SLM Corp., 4.50% Nts., Series A, 7/26/10 11,075,000 10,370,840 --------------- 11,020,678 ------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.2% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 2 19,252,876 19,541,669 ------------------------------------------------------------------------------------------------------------------------- BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 [EUR] 5,800,000 7,898,881 ------------------------------------------------------------------------------------------------------------------------- Banco Invex SA, 24.891% Mtg. Backed Certificates, Series 062U, 3/13/34 1,19 [MXN] 19,980,000 7,308,500 ------------------------------------------------------------------------------------------------------------------------- Cloverie plc, 9.838% Sec. Nts., Series 2005-93, 12/20/10 1,3 6,700,000 7,272,850 ------------------------------------------------------------------------------------------------------------------------- Coriolanus Ltd., 10.62% Sec. Nts., 8/10/10 3 9,200,000 8,822,800 ------------------------------------------------------------------------------------------------------------------------- JP Morgan Hipotecaria su Casita: 6.47% Sec. Nts., 8/26/35 3 [MXN] 24,775,500 2,241,305 20.077% Mtg. Backed Certificates, Series 06U, 9/25/35 1 [MXN] 16,957,500 5,361,022 ------------------------------------------------------------------------------------------------------------------------- JPMorgan, Red Square Capital Ltd., 9% CDO Nts., 11/20/08 3 [RUR] 217,000,000 8,712,020 ------------------------------------------------------------------------------------------------------------------------- Nell AF Sarl, 8.375% Sr. Nts., 8/15/15 2 9,010,000 8,266,675 ------------------------------------------------------------------------------------------------------------------------- Piazza Vittoria Finance SrL, 5.77% Asset-Backed Nts., 7/20/10 1 [EUR] 13,796,693 19,606,417 ------------------------------------------------------------------------------------------------------------------------- Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 16 14,710,000 6,643,477 ------------------------------------------------------------------------------------------------------------------------- Universal City Florida: 8.375% Sr. Unsec. Nts., 5/1/10 1,050,000 1,063,125 10.106% Sr. Unsec. Nts., 5/1/10 1 1,050,000 1,065,750 --------------- 103,804,491 ------------------------------------------------------------------------------------------------------------------------- REAL ESTATE--0.1% Felcor Lodging LP, 8.50% Sr. Nts., 6/1/11 1 4,224,000 4,477,440 ------------------------------------------------------------------------------------------------------------------------- Host Hotels & Resorts LP, 6.875% Sr. Unsub. Nts., 11/1/14 915,000 917,288 ------------------------------------------------------------------------------------------------------------------------- Host Marriott LP, 6.375% Sr. Nts., Series O, 3/15/15 4,005,000 3,934,913 ------------------------------------------------------------------------------------------------------------------------- Ventas Realty LP/Ventas Capital Corp., 6.75% Sr. Nts., 4/1/17 1,920,000 1,924,800 --------------- 11,254,441 ------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.9% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 2 7,600,000 7,543,000 ------------------------------------------------------------------------------------------------------------------------- Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 3 3,610,000 3,249,000
44 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE Continued WM Covered Bond Program: 3.875% Sec. Nts., Series 1, 9/27/11 [EUR] 27,570,000 $ 38,022,021 4% Sec. Mtg. Nts., Series 2, 9/27/16 [EUR] 22,590,000 29,987,018 --------------- 78,801,039 ------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--0.6% ------------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.0% Angiotech Pharmaceuticals, Inc., 7.75% Sr. Sub. Nts., 4/1/14 1,685,000 1,550,200 ------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.6% DaVita, Inc.: 6.625% Sr. Unsec. Nts., 3/15/13 3,490,000 3,481,275 7.25% Sr. Unsec. Sub. Nts., 3/15/15 5,485,000 5,526,138 ------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust II, 7.875% Nts., 2/1/08 4,167,000 4,187,835 ------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 1,710,000 1,252,949 ------------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care Capital Trust IV, 7.875% Trust Preferred Securities, 6/15/11 3,288,000 3,427,740 ------------------------------------------------------------------------------------------------------------------------- HCA, Inc., 6.375% Nts., 1/15/15 14,005,000 11,974,275 ------------------------------------------------------------------------------------------------------------------------- HealthSouth Corp., 10.75% Sr. Unsec. Nts., 6/15/16 2,755,000 2,913,413 ------------------------------------------------------------------------------------------------------------------------- Omnicare, Inc.: 6.75% Sr. Sub. Nts., 12/15/13 1,360,000 1,275,000 6.875% Sr. Sub. Nts., 12/15/15 1,700,000 1,581,000 ------------------------------------------------------------------------------------------------------------------------- Psychiatric Solutions, Inc., 7.75% Sr. Unsec. Sub. Nts., 7/15/15 1,680,000 1,709,400 ------------------------------------------------------------------------------------------------------------------------- Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 5,126,000 4,613,400 ------------------------------------------------------------------------------------------------------------------------- US Oncology, Inc.: 9% Sr. Unsec. Nts., 8/15/12 200,000 202,500 10.75% Sr. Unsec. Sub. Nts., 8/15/14 200,000 207,500 ------------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Disc. Nts., 10/1/15 16 9,829,000 7,396,323 --------------- 49,748,748 ------------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.0% Valeant Pharmaceuticals International, Inc., 7% Sr. Nts., 12/15/11 3 150,000 147,750 ------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--1.7% ------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.2% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,455,000 3,429,088 ------------------------------------------------------------------------------------------------------------------------- Bombardier, Inc., 8% Sr. Nts., 11/15/14 2 1,605,000 1,689,263 ------------------------------------------------------------------------------------------------------------------------- DRS Technologies, Inc.: 6.625% Sr. Nts., 2/1/16 3,955,000 3,925,338 7.625% Sr. Sub. Nts., 2/1/18 1,160,000 1,189,000 ------------------------------------------------------------------------------------------------------------------------- L-3 Communications Corp.: 5.875% Sr. Sub. Nts., 1/15/15 4,267,000 4,117,655 6.125% Sr. Unsec. Sub. Nts., 1/15/14 1,900,000 1,871,500 6.375% Sr. Unsec. Sub. Nts., Series B, 10/15/15 2,420,000 2,389,750 7.625% Sr. Sub. Nts., 6/15/12 600,000 616,500 --------------- 19,228,094
45 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- AIRLINES--0.0% ATA Holdings Corp., 13% Sr. Unsec. Nts., 2/1/09 3,4,5 $ 11,587,000 $ -- ------------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.2% Dayton Superior Corp., 13% Sr. Unsec. Sub. Nts., 6/15/09 3 2,457,000 2,401,718 ------------------------------------------------------------------------------------------------------------------------- Goodman Global Holding Co., Inc., 7.875% Sr. Unsec. Sub. Nts., 12/15/12 8,313,000 8,209,088 ------------------------------------------------------------------------------------------------------------------------- Nortek, Inc., 8.50% Sr. Unsec. Unsub. Nts., 9/1/14 3,050,000 2,661,125 --------------- 13,271,931 ------------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.3% Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 8,400,000 8,484,000 ------------------------------------------------------------------------------------------------------------------------- American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 3,4,5 3,462,000 -- ------------------------------------------------------------------------------------------------------------------------- Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 2,555,000 2,618,875 ------------------------------------------------------------------------------------------------------------------------- Cenveo Corp., 7.875% Sr. Sub. Nts., 12/1/13 3,450,000 3,156,750 ------------------------------------------------------------------------------------------------------------------------- Corrections Corp. of America: 6.25% Sr. Unsec. Sub. Nts., 3/15/13 3,490,000 3,455,100 7.50% Sr. Nts., 5/1/11 1,600,000 1,620,000 ------------------------------------------------------------------------------------------------------------------------- FTI Consulting, Inc., 7.75% Sr. Unsec. Nts., 10/1/16 2,250,000 2,340,000 --------------- 21,674,725 ------------------------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.2% Great Lakes Dredge & Dock Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/13 3 430,000 414,950 ------------------------------------------------------------------------------------------------------------------------- IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 2 17,398,387 20,617,089 --------------- 21,032,039 ------------------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.1% Belden & Blake Corp., 8.75% Sec. Nts., 7/15/12 700,000 715,750 ------------------------------------------------------------------------------------------------------------------------- Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10 2 [BRR] 8,680,000 5,469,394 ------------------------------------------------------------------------------------------------------------------------- UCAR Finance, Inc., 10.25% Sr. Nts., 2/15/12 1,155,000 1,209,863 --------------- 7,395,007 ------------------------------------------------------------------------------------------------------------------------- MACHINERY--0.2% Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 2,670,000 2,750,100 ------------------------------------------------------------------------------------------------------------------------- Douglas Dynamics LLC, 7.75% Sr. Nts., 1/15/12 2 2,814,000 2,546,670 ------------------------------------------------------------------------------------------------------------------------- Greenbrier Cos., Inc., 8.375% Sr. Unsec. Nts., 5/15/15 3,130,000 3,137,825 ------------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 650,000 650,000 ------------------------------------------------------------------------------------------------------------------------- Milacron Escrow Corp., 11.50% Sr. Sec. Nts., 5/15/11 3 4,355,000 4,115,475 ------------------------------------------------------------------------------------------------------------------------- TriMas Corp., 9.875% Sr. Unsec. Sub. Nts., 6/15/12 5,355,000 5,488,875 ------------------------------------------------------------------------------------------------------------------------- Trinity Industries, Inc., 6.50% Sr. Nts., 3/15/14 2,200,000 2,123,000 --------------- 20,811,945
46 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% Avis Budget Car Rental LLC: 7.75% Sr. Unsec. Unsub. Nts., 5/15/16 $ 1,670,000 $ 1,644,950 8.058% Sr. Unsec. Unsub. Nts., 5/15/14 1 670,000 656,600 ------------------------------------------------------------------------------------------------------------------------- Hertz Corp.: 8.875% Sr. Unsec. Nts., 1/1/14 1,110,000 1,148,850 10.50% Sr. Unsec. Sub. Nts., 1/1/16 4,375,000 4,746,875 ------------------------------------------------------------------------------------------------------------------------- Kansas City Southern Railway Co. (The), 7.50% Sr. Nts., 6/15/09 2,225,000 2,261,156 ------------------------------------------------------------------------------------------------------------------------- Stena AB: 7% Sr. Unsec. Nts., 12/1/16 1,022,000 1,022,000 7.50% Sr. Unsec. Nts., 11/1/13 309,000 312,090 --------------- 11,792,521 ------------------------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--0.3% Ashtead Capital, Inc., 9% Nts., 8/15/16 2 1,725,000 1,709,906 ------------------------------------------------------------------------------------------------------------------------- H&E Equipment Services, Inc., 8.375% Sr. Unsec. Nts., 7/15/16 1,900,000 1,862,000 ------------------------------------------------------------------------------------------------------------------------- Interline Brands, Inc., 8.125% Sr. Sub. Nts., 6/15/14 1,725,000 1,712,063 ------------------------------------------------------------------------------------------------------------------------- United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 16,809,000 17,229,225 --------------- 22,513,194 ------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE--0.1% Transshipment Megahub Bhd: 5.15% Nts., 11/2/12 3 [MYR] 7,000,000 2,028,408 6.70% Bonds, Series F, 11/2/12 3 [MYR] 5,000,000 1,542,627 6.95% Nts., 11/2/12 3 [MYR] 8,000,000 2,494,028 --------------- 6,065,063 ------------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.2% ------------------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.0% Orion Network Systems, Inc., 12.50% Sr. Unsub. Disc. Nts., 1/15/07 3,5 12,879,000 129 ------------------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% RBS Global & Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 3,495,000 3,739,650 ------------------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.0% Exodus Communications, Inc., 10.75% Sr. Nts., 12/15/09 3,4,5 [EUR] 2,200,248 -- ------------------------------------------------------------------------------------------------------------------------- NorthPoint Communications Group, Inc., 12.875% Nts., 2/15/10 3,4,5 2,121,834 -- ------------------------------------------------------------------------------------------------------------------------- PSINet, Inc., 10.50% Sr. Unsec. Nts., 12/1/06 3,4,5 [EUR] 6,650,000 -- --------------- -- ------------------------------------------------------------------------------------------------------------------------- IT SERVICES--0.1% DI Finance/DynCorp International LLC, 9.50% Sr. Unsec. Sub. Nts., Series B, 2/15/13 3 4,519,000 4,699,760 ------------------------------------------------------------------------------------------------------------------------- iPayment Holdings, Inc., 9.75% Sr. Unsec. Sub. Nts., 5/15/14 1,970,000 1,891,200 ------------------------------------------------------------------------------------------------------------------------- Iron Mountain, Inc., 8.625% Sr. Unsec. Sub. Nts., 4/1/13 3,780,000 3,846,150 --------------- 10,437,110
47 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- MATERIALS--1.6% ------------------------------------------------------------------------------------------------------------------------- CHEMICALS--0.3% Equistar Chemicals LP/Equistar Funding Corp.: 8.75% Sr. Unsec. Nts., 2/15/09 $ 4,794,000 $ 4,979,768 10.125% Sr. Unsec. Nts., 9/1/08 75,000 77,813 10.625% Sr. Unsec. Nts., 5/1/11 857,000 899,850 ------------------------------------------------------------------------------------------------------------------------- Huntsman International LLC: 7.375% Sr. Unsub. Nts., 1/15/15 3 1,911,000 2,006,550 7.875% Sr. Unsec. Sub. Nts., 11/15/14 915,000 979,050 ------------------------------------------------------------------------------------------------------------------------- Huntsman LLC: 11.50% Sr. Unsec. Nts., 7/15/12 1 805,000 879,463 11.625% Sr. Unsec. Nts., 10/15/10 3 79,000 83,938 ------------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co.: 8% Sr. Unsec. Nts., 9/15/14 3 4,800,000 5,304,000 8.25% Sr. Unsec. Nts., 9/15/16 2,560,000 2,899,200 10.50% Sr. Sec. Nts., 6/1/13 4,000,000 4,320,000 --------------- 22,429,632 ------------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.2% C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs. 2,18 17,200,000 16,549,049 ------------------------------------------------------------------------------------------------------------------------- NTK Holdings, Inc., 0%/10.75% Sr. Disc. Nts., 3/1/14 16 6,440,000 3,992,800 --------------- 20,541,849 ------------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.5% Ball Corp., 6.625% Sr. Nts., 3/15/18 4,755,000 4,683,675 ------------------------------------------------------------------------------------------------------------------------- Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 4,040,000 4,191,500 ------------------------------------------------------------------------------------------------------------------------- Graham Packaging Co., Inc., 9.875% Sr. Unsec. Sub. Nts., 10/15/14 3,295,000 3,278,525 ------------------------------------------------------------------------------------------------------------------------- Graphic Packaging International Corp.: 8.50% Sr. Nts., 8/15/11 2,960,000 3,026,600 9.50% Sr. Sub. Nts., 8/15/13 1,585,000 1,636,513 ------------------------------------------------------------------------------------------------------------------------- Owens-Brockway Glass Container, Inc.: 8.25% Sr. Unsec. Nts., 5/15/13 2,031,000 2,112,240 8.75% Sr. Sec. Nts., 11/15/12 7,952,000 8,319,780 8.875% Sr. Sec. Nts., 2/15/09 5,788,000 5,903,760 ------------------------------------------------------------------------------------------------------------------------- Vitro SAB de CV: 8.625% Sr. Unsec. Unsub. Nts., 2/1/12 5,205,000 5,152,950 9.125% Sr. Unsec. Unsub. Nts., 2/1/17 8,840,000 8,729,500 --------------- 47,035,043 ------------------------------------------------------------------------------------------------------------------------- METALS & MINING--0.5% AK Steel Corp., 7.75% Sr. Unsec. Nts., 6/15/12 3,881,000 3,948,918 ------------------------------------------------------------------------------------------------------------------------- Alrosa Finance SA: 8.875% Nts., 11/17/14 12,160,000 13,399,104 8.875% Nts., 11/17/14 2 1,845,000 2,033,006
48 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- METALS & MINING Continued Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 $ 9,380,000 $ 10,271,100 ------------------------------------------------------------------------------------------------------------------------- International Utility Structures, Inc., 13% Unsec. Sub. Nts., 2/1/08 3,4,5 1,586,000 -- ------------------------------------------------------------------------------------------------------------------------- Ispat Inland ULC, 9.75% Sr. Sec. Nts., 4/1/14 3,201,000 3,488,418 ------------------------------------------------------------------------------------------------------------------------- Koppers Industry, Inc., 9.875% Sr. Sec. Nts., 10/15/13 3 1,340,000 1,423,750 ------------------------------------------------------------------------------------------------------------------------- Novelis, Inc., 7.25% Sr. Unsec. Nts., 2/15/15 1 7,610,000 7,381,700 --------------- 41,945,996 ------------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.1% Catalyst Paper Corp., 8.625% Sr. Unsec. Nts., Series D, 6/15/11 1,100,000 863,500 ------------------------------------------------------------------------------------------------------------------------- Domtar, Inc., 7.125% Nts., 8/15/15 1,500,000 1,447,500 ------------------------------------------------------------------------------------------------------------------------- Norske Skog Canada Ltd., 7.375% Sr. Unsec. Nts., 3/1/14 1,245,000 933,750 ------------------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC, 9.106% Sr. Sec. Nts., Series B, 8/1/14 1 2,065,000 2,085,650 --------------- 5,330,400 ------------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--1.7% ------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.8% Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 12,755,000 12,499,900 ------------------------------------------------------------------------------------------------------------------------- Exodus Communications, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/09 3,4,5 6,401,538 -- ------------------------------------------------------------------------------------------------------------------------- Intelsat Bermuda Ltd., 11.25% Sr. Unsec. Nts., 6/15/16 1,915,000 2,061,019 ------------------------------------------------------------------------------------------------------------------------- Intelsat Subsidiary Holding Co. Ltd.: 8.25% Sr. Nts., 1/15/13 1 4,200,000 4,284,000 8.625% Sr. Nts., 1/15/15 3,840,000 3,936,000 ------------------------------------------------------------------------------------------------------------------------- NTL Cable plc, 9.125% Sr. Nts., 8/15/16 1,545,000 1,610,663 ------------------------------------------------------------------------------------------------------------------------- PanAmSat Corp.: 9% Sr. Unsec. Nts., 6/15/16 3,380,000 3,498,300 9% Sr. Unsec. Nts., 8/15/14 5,797,000 5,999,895 ------------------------------------------------------------------------------------------------------------------------- Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 11,590,000 12,705,538 ------------------------------------------------------------------------------------------------------------------------- Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16 2 [PEN] 21,925,200 7,611,304 ------------------------------------------------------------------------------------------------------------------------- Teligent, Inc., 11.50% Sr. Nts., 12/1/07 3,4,5 5,135,000 -- ------------------------------------------------------------------------------------------------------------------------- West Corp.: 9.50% Sr. Unsec. Nts., 10/15/14 3,640,000 3,776,500 11% Sr. Unsec. Sub. Nts., 10/15/16 1,515,000 1,598,325 ------------------------------------------------------------------------------------------------------------------------- Windstream Corp.: 8.125% Sr. Unsec. Unsub. Nts., 8/1/13 8,345,000 8,824,838 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 3,885,000 4,161,806 --------------- 72,568,088 ------------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.9% America Movil SAB de CV, 8.46% Bonds, 12/18/36 2 [MXN] 33,200,000 2,984,157 ------------------------------------------------------------------------------------------------------------------------- American Cellular Corp., 10% Sr. Nts., Series B, 8/1/11 1,174,000 1,232,700
49 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES Continued American Tower Corp.: 7.125% Sr. Unsec. Nts., 10/15/12 $ 1,965,000 $ 2,019,038 7.50% Sr. Nts., 5/1/12 10,180,000 10,510,850 ------------------------------------------------------------------------------------------------------------------------- CellNet Data Systems, Inc., Sr. Unsec. Disc. Nts., 10/1/07 3,4,5 21,747,000 -- ------------------------------------------------------------------------------------------------------------------------- Dobson Cellular Systems, Inc., 8.375% Sr. Sec. Nts., 11/1/11 1,060,000 1,130,225 ------------------------------------------------------------------------------------------------------------------------- Dobson Communications Corp.: 8.875% Sr. Nts., 10/1/13 3,521,000 3,767,470 9.61% Sr. Unsec. Nts., 10/15/12 1 1,000,000 1,022,500 ------------------------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 8 45,240,000 46,012,518 ------------------------------------------------------------------------------------------------------------------------- Rogers Wireless, Inc., 8% Sr. Sub. Nts., 12/15/12 2,000,000 2,094,540 ------------------------------------------------------------------------------------------------------------------------- Rural Cellular Corp., 9.875% Sr. Nts., 2/1/10 5,668,000 5,951,400 --------------- 76,725,398 ------------------------------------------------------------------------------------------------------------------------- UTILITIES--1.8% ------------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--0.9% Edison Mission Energy: 7% Sr. Nts., 5/15/17 2 9,370,000 9,276,300 7.50% Sr. Unsec. Nts., 6/15/13 1,690,000 1,740,700 7.75% Sr. Unsec. Nts., 6/15/16 2,365,000 2,459,600 ------------------------------------------------------------------------------------------------------------------------- ISA Capital do Brasil SA: 7.875% Sr. Nts., 1/30/12 2 4,195,000 4,268,413 8.80% Sr. Nts., 1/30/17 2 5,240,000 5,502,000 ------------------------------------------------------------------------------------------------------------------------- Majapahit Holding BV: 7.25% Nts., 10/17/11 2 7,460,000 7,553,250 7.75% Nts., 10/17/16 2 6,890,000 7,010,575 ------------------------------------------------------------------------------------------------------------------------- National Power Corp.: 5.875% Unsec. Unsub. Bonds, 12/19/16 [PHP] 421,000,000 9,101,543 6.875% Nts., 11/2/16 2 5,440,000 5,399,200 9.625% Unsec. Bonds, 5/15/28 12,365,000 14,868,913 ------------------------------------------------------------------------------------------------------------------------- Reliant Energy, Inc., 6.75% Sr. Sec. Nts., 12/15/14 1,100,000 1,116,500 ------------------------------------------------------------------------------------------------------------------------- Sierra Pacific Resources, 6.75% Sr. Unsec. Nts., 8/15/17 7,387,000 7,302,869 --------------- 75,599,863 ------------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS--0.8% AES Corp. (The), 8.75% Sr. Sec. Nts., 5/15/13 2 9,448,000 9,932,210 ------------------------------------------------------------------------------------------------------------------------- AES Dominicana Energia Finance SA, 11% Sr. Nts., 12/13/15 2 3,594,000 3,692,835 ------------------------------------------------------------------------------------------------------------------------- AES Panama SA, 6.35% Sr. Nts., 12/21/16 2 4,230,000 4,152,561 ------------------------------------------------------------------------------------------------------------------------- AES Red Oak LLC, 8.54% Sr. Sec. Bonds, Series A, 11/30/19 2,758,097 2,951,164 ------------------------------------------------------------------------------------------------------------------------- Dynegy Holdings, Inc.: 6.875% Sr. Unsec. Unsub. Nts., 4/1/11 3,260,000 3,219,250 8.75% Sr. Nts., 2/15/12 3,660,000 3,797,250
50 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS Continued Mirant Americas Generation LLC: 8.30% Sr. Unsec. Nts., 5/1/11 $ 14,600,000 $ 14,819,000 9.125% Sr. Unsec. Nts., 5/1/31 2,900,000 2,900,000 ------------------------------------------------------------------------------------------------------------------------- Mirant Mid-Atlantic LLC, 8.625% Sec. Pass-Through Certificates, Series A, 6/30/12 3,240,215 3,371,171 ------------------------------------------------------------------------------------------------------------------------- NRG Energy, Inc.: 7.375% Sr. Nts., 1/15/17 8,000,000 8,020,000 7.375% Sr. Nts., 2/1/16 15,330,000 15,406,650 --------------- 72,262,091 ------------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.0% SEMCO Energy, Inc., 7.125% Sr. Nts., 5/15/08 1,350,000 1,360,382 ------------------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.1% CMS Energy Corp.: 7.75% Sr. Nts., 8/1/10 1,700,000 1,785,734 8.50% Sr. Nts., 4/15/11 2,507,000 2,704,416 ------------------------------------------------------------------------------------------------------------------------- NorthWestern Corp., 5.875% Sr. Sec. Nts., 11/1/14 700,000 683,334 --------------- 5,173,484 --------------- Total Corporate Bonds and Notes (Cost $1,981,049,562) 1,945,227,838 SHARES ------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.3% ------------------------------------------------------------------------------------------------------------------------- AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg. 3,4,17 338,141 -- ------------------------------------------------------------------------------------------------------------------------- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg. 3,4 44,000 -- ------------------------------------------------------------------------------------------------------------------------- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg. 3,4,17 5,816 -- ------------------------------------------------------------------------------------------------------------------------- ION Media Networks, Inc.: 14.25% Cum., Non-Vtg. 4,17 1,891 12,949,104 9.75% Cv., Series AI 3,4,17 1 2,603 ------------------------------------------------------------------------------------------------------------------------- Sovereign Real Estate Investment Trust, 12% Non-Cum., Series A 3 62,690 9,055,571 --------------- Total Preferred Stocks (Cost $37,978,871) 22,007,278 ------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--1.4% ------------------------------------------------------------------------------------------------------------------------- AboveNet, Inc. 4 1,259 100,091 ------------------------------------------------------------------------------------------------------------------------- Alltel Corp. 133,302 9,288,483 ------------------------------------------------------------------------------------------------------------------------- Arco Capital Corp. Ltd. 3,4 2,383,674 35,755,110 ------------------------------------------------------------------------------------------------------------------------- AT&T, Inc. 331,982 14,046,158 ------------------------------------------------------------------------------------------------------------------------- Cebridge Connections Holding LLC 3,4 56,936 569,360 ------------------------------------------------------------------------------------------------------------------------- Constellation Energy Group, Inc. 195,835 16,800,685 ------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler AG 14 99,275 9,947,355 ------------------------------------------------------------------------------------------------------------------------- Global Aero Logistics, Inc. 3,4 32,791 524,656 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 9,159 1,985,122
51 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
VALUE SHARES SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS Continued ------------------------------------------------------------------------------------------------------------------------- Mediacom Communications Corp. 4 571,397 $ 4,028,349 ------------------------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. 3,4 799,833 -- ------------------------------------------------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 206,099 18,134,651 ------------------------------------------------------------------------------------------------------------------------- Revlon, Inc., Cl. A 4 3,271,620 3,762,363 ------------------------------------------------------------------------------------------------------------------------- Southern Pacific Funding Corp., Liquidating Trust 3,4 7,998,920 -- ------------------------------------------------------------------------------------------------------------------------- Telus Corp. 163,358 9,443,608 --------------- Total Common Stocks (Cost $123,343,127) 124,385,991 UNITS ------------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% ------------------------------------------------------------------------------------------------------------------------- DeCrane Aircraft Holdings, Inc. Wts., Exp. 9/30/08 3,4 800 -- ------------------------------------------------------------------------------------------------------------------------- Global Aero Logistics, Inc. Wts., Exp. 2/28/11 4 4,020 32,088 ------------------------------------------------------------------------------------------------------------------------- Long Distance International, Inc. Wts., Exp. 4/13/08 3,4 4,610 -- ------------------------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 3,4 11,835 443,813 --------------- Total Rights, Warrants and Certificates (Cost $30,592) 475,901 PRINCIPAL AMOUNT ------------------------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES--15.0% ------------------------------------------------------------------------------------------------------------------------- Aiolos Ltd. Catastrophe Linked Nts., 8.94%, 4/8/09 1,2 [EUR] 5,100,000 7,267,585 ------------------------------------------------------------------------------------------------------------------------- Calabash Re Ltd. Catastrophe Linked Nts., Cl. A-1, 13.999%, 6/1/09 1,2 6,500,000 6,816,225 ------------------------------------------------------------------------------------------------------------------------- Cascadia Ltd. Catastrophe Linked Nts.: 8.849%, 6/13/08 1,2 2,750,000 2,753,713 9.51%, 8/31/09 1,3 3,950,000 3,999,375 ------------------------------------------------------------------------------------------------------------------------- Cat-Mex Ltd. Catastrophe Linked Nts., Cl. A, 7.85%, 5/19/09 1,2 7,450,000 7,374,755 ------------------------------------------------------------------------------------------------------------------------- Champlain Ltd. Catastrophe Linked Nts., Series A, 18.11%, 1/7/09 1,2 5,260,000 5,335,744 ------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Argentina (Republic of) Credit Linked Nts., 11.44%, 5/22/08 3,19 [ARP] 10,655,000 9,685,512 Argentina (Republic of) Credit Linked Nts., 4%, 5/18/09 3 [ARP] 4,978,000 4,524,013 Argentina (Republic of) Unsec. Credit Linked Nts., 9.28%, 4/16/10 3,19 [ARP] 354,472 183,825 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 22,581,000 12,288,804 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 10%, 1/5/10 [BRR] 35,445,000 19,289,521 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 15.407%, 1/5/10 13 [BRR] 19,079,551 8,162,061 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 16.41%, 1/2/09 13 [BRR] 18,185,594 8,680,967 Brazil (Federal Republic of) Unsec. Credit Linked Nts., 18.527%, 1/3/08 13 [BRR] 15,856,964 8,431,476 Colombia (Republic of) Credit Linked Bonds, 11%, 7/27/20 [COP] 7,580,000,000 3,974,488 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12 [COP] 4,498,269,508 2,562,318 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 10,490,000,000 5,975,347 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 8,514,000,000 4,849,771 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 [COP] 7,206,900,000 4,105,217 Dominican Republic Credit Linked Nts., 10.086%, 3/20/08 3,13 [DOP] 77,800,000 2,126,029 Dominican Republic Credit Linked Nts., 22%, 10/3/11 [DOP] 104,800,000 3,971,976
52 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Continued Dominican Republic Credit Linked Nts., 9.522%, 5/12/08 13 [DOP] 62,910,000 $ 1,781,469 Dominican Republic Credit Linked Nts., 9.826%, 3/20/08 13 [DOP] 71,810,000 2,062,781 Dominican Republic Credit Linked Nts., 9.931%, 12/24/07 13 [DOP] 70,460,000 2,024,001 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 [DOP] 174,700,000 5,415,826 Dominican Republic Unsec. Credit Linked Nts., 9.342%, 8/11/08 11,13 [DOP] 152,200,000 4,207,419 Dominican Republic Unsec. Credit Linked Nts., 9.696%, 3/10/08 13 [DOP] 117,920,000 3,398,726 Dominican Republic Unsec. Credit Linked Nts., Series 007, 9.302%, 5/12/08 13 [DOP] 136,200,000 3,856,874 Egypt (The Arab Republic of) Credit Linked Nts., 7.364%, 1/10/08 3,13 [EGP] 31,750,000 5,571,464 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.467%, 2/28/08 3,13 [EGP] 33,160,000 5,764,885 Egypt (The Arab Republic of) Unsec. Credit Linked Nts., 8.50%, 2/16/08 [EGP] 24,890,000 4,498,687 Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10 [GHS] 10,330,000 11,293,843 Nigeria (Federal Republic of) Credit Linked Nts., 14.50%, 3/1/11 2 [NGN] 1,846,000,000 17,191,096 Nigeria (Federal Republic of) Credit Linked Nts., Series II, 14.50%, 4/4/11 2 [NGN] 1,342,000,000 12,544,806 Renins Nonlife Ltd. Credit Linked Nts., 12.50%, 5/30/12 3 14,180,000 14,180,000 Russian Federation Credit Linked Nts., 7.65%, 12/4/08 1,3 [RUR] 78,340,000 3,096,312 Russian Federation Credit Linked Nts., Series 2, 7.50%, 12/4/08 1,3 [RUR] 195,600,000 7,721,456 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/4/10 [UAH] 6,780,000 1,451,803 Zambia (Republic of) Credit Linked Nts., 8.944%, 2/21/08 13 [ZMK] 23,525,000,000 5,749,667 ------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International: Boryspil Airport Total Return Linked Nts., 10%, 4/19/10 1 [UAH] 16,740,000 3,454,757 EES Total Return Linked Nts., 7.10%, 12/12/08 1 [RUR] 136,800,000 5,492,186 Gazprom Total Return Linked Nts., 6.79%, 10/29/09 [RUR] 271,550,000 11,197,342 Gazprom Total Return Linked Nts., Series 002, 6.95%, 8/6/09 [RUR] 266,360,000 10,790,354 Indonesia (Republic of) Total Return Linked Nts., 12%, 9/16/11 3 [IDR] 71,300,000,000 8,648,702 Lukoil Credit Linked Nts., Series Fbi 105, 7.25%, 11/19/09 1,3 [RUR] 242,139,000 9,789,475 Moitk Total Return Linked Nts., 8.966%, 3/26/11 1,3 [RUR] 208,910,000 7,563,631 Moscow (City of) Credit Linked Nts., Series Fbi 101, 10%, 12/31/10 3 [RUR] 220,335,000 9,736,708 Moscow (City of) Credit Linked Nts., Series Fbi 98, 11%, 4/23/09 2 [RUR] 230,200,000 10,000,309 NAK Naftogaz of Ukraine Credit Linked Nts., 5%, 1/20/09 3 14,720,000 15,217,242 Orenburgskaya IZHK Total Return Linked Nts., 9.24%, 2/21/12 1,3 [RUR] 417,305,000 15,947,983 Rurail Total Return Linked Nts., 6.67%, 1/22/09 1 [RUR] 189,120,000 7,569,882 Russian Unified Energy Systems Credit Linked Nts., Series Fbi 108, 8.80%, 12/20/07 3 [RUR] 553,980,000 22,917,309 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 [UAH] 16,568,000 3,743,300 Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 3 [VND] 53,361,000,000 3,383,577 ------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch): Russian Specialized Construction and Installation Administration Credit Linked Nts., 8.59%, 5/20/10 1,3 [RUR] 320,000,000 12,872,964 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 2 [UAH] 200,000 45,187 Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 [UAH] 4,995,000 1,128,548 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09 2 [UAH] 32,180,000 7,270,605
53 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- Credit Suisse Group, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/24/12 3 [RUR] 368,300,000 $ 14,667,817 ------------------------------------------------------------------------------------------------------------------------- Credit Suisse International, FSK EES RRU Total Return Linked Nts., 8.25%, 6/22/10 1 [RUR] 208,505,000 8,534,527 ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Argentina (Republic of) Credit Linked Nts., 11.50%, 12/21/11 3 [ARP] 20,050,000 16,297,190 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 3 [MXN] 64,140,169 5,893,619 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 3 [MXN] 42,060,481 3,864,793 Brazil Real Credit Linked Nts., 14.389%, 3/3/10 13 [BRR] 35,170,920 14,976,180 Brazil Real Credit Linked Nts., 6%, 8/18/10 [BRR] 11,400,000 10,188,975 Colombia (Republic of) Credit Linked Nts., 13.50%, 9/15/14 3 [COP] 8,909,000,000 5,075,292 Colombia (Republic of) Total Return Linked Bonds, Series 002, 11%, 7/28/20 [COP] 220,000,000 115,288 Egypt (The Arab Republic of) Credit Linked Nts., 9.537%, 2/5/08 3,13 [EGP] 22,870,000 3,964,133 Egypt (The Arab Republic of) Total Return Linked Nts., 7.725%, 9/16/08 13 [EGP] 46,475,000 7,773,365 European Investment Bank, Russian Federation Credit Linked Nts., 5.702%, 1/19/10 3,13 5,820,000 4,980,756 Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 3 10,099,100 10,149,596 Halyk Bank of Kazakhstan Total Return Linked Nts., Series I, 7.25%, 3/20/09 [KZT] 1,409,410,000 11,243,817 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 6,360,000 6,682,706 Indonesia (Republic of) Credit Linked Nts., Series III, 14.25%, 6/15/13 6,494,933 8,257,333 Nigeria (Federal Republic of) Credit Linked Nts., 12.50%, 2/24/09 [NGN] 369,400,000 3,075,875 Nigeria (Federal Republic of) Credit Linked Nts., 15%, 1/27/09 [NGN] 496,600,000 4,303,602 OAO Gazprom I Credit Nts., 9.35%, 10/20/07 7,760,000 8,102,331 Peru (Republic of) Credit Linked Nts., 6.659%, 2/20/11 1 8,015,000 8,174,046 RosSelkhoz Bank Total Return Linked Nts., 7.082%, 2/22/08 13 [RUR] 221,550,000 8,640,417 Russian Federation Credit Linked Nts., 0%, 12/2/09 13 [RUR] 162,122,000 6,836,851 Russian Federation Credit Linked Nts., 7.054%, 2/22/08 13 [RUR] 302,900,000 11,815,736 Russian Federation Credit Linked Nts., 7.302%, 2/21/08 13 [RUR] 146,800,000 5,725,178 Russian Federation Total Return Linked Nts., Series II, 9%, 4/22/11 [RUR] 199,715,000 8,757,210 Russian Railways Total Return Linked Bonds, 6.67%, 1/26/09 1 [RUR] 272,550,000 10,908,228 Russian Unified Energy Systems Total Return Linked Nts., Series FSK3, 7.10%, 12/16/08 1 [RUR] 194,210,000 7,955,029 Sberbank Total Return Linked Nts., 6.734%, 2/27/08 13 [RUR] 295,380,000 11,541,402 Sberbank Total Return Linked Nts., 6.743%, 2/20/08 13 [RUR] 221,550,000 8,669,026 Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%, 4/20/17 3 [VND] 128,300,000,000 7,606,596 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/25/10 5,690,000 5,797,029 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 2/25/11 5,740,000 5,835,571 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/25/11 5,740,000 5,828,166 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/27/12 5,740,000 5,816,112 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/28/12 5,740,000 5,805,379 Ukraine (Republic of) Credit Linked Nts., 10.208%, 7/1/09 3 [UAH] 13,938,400 2,901,706 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 2,231,000 494,914
54 | OPPENHEIMER STRATEGIC INCOME FUND
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Continued Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09 [UAH] 7,904,000 $ 1,753,385 United Mexican States Credit Linked Nts., 9.52%, 1/5/11 3 [MXN] 42,064,401 3,865,153 Videocon International Ltd. Credit Linked Nts., 6.26%, 12/29/09 3 16,060,000 16,039,283 ------------------------------------------------------------------------------------------------------------------------- Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%, 12/8/11 1,2 [RUR] 134,130,000 5,681,760 ------------------------------------------------------------------------------------------------------------------------- Eurus Ltd. Catastrophe Linked Nts., 11.61%, 4/8/09 1,2 5,790,000 5,790,000 ------------------------------------------------------------------------------------------------------------------------- Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 9.26%, 8/10/11 1,2 7,010,000 7,125,665 ------------------------------------------------------------------------------------------------------------------------- Foundation Re II Ltd. Catastrophe Linked Nts., 15.32%, 1/8/09 1,2 3,706,000 3,699,700 ------------------------------------------------------------------------------------------------------------------------- Foundation Re Ltd. Catastrophe Linked Nts., 9.62%, 11/24/08 1,2 5,250,000 5,113,343 ------------------------------------------------------------------------------------------------------------------------- Fusion 2007 Ltd. Catastrophe Linked Nts., 11.51%, 5/19/09 1,2 8,300,000 8,340,255 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/17 2,13 [TRY] 77,520,000 15,471,887 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.48%, 2/8/37 2,13 [COP] 237,059,200,000 4,882,869 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International, Russian Federation Total Return Linked Nts., 8%, 5/13/09 1 [RUR] 374,900,000 15,075,004 ------------------------------------------------------------------------------------------------------------------------- ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09 3 [UAH] 38,336,000 8,705,034 ------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank: Argentina (Republic of) Credit Linked Nts., 11.45%, 12/19/11 3 [ARP] 19,065,000 15,767,745 Brazil (Federal Republic of) Credit Linked Nts., 14.35%, 2/20/12 3 [BRR] 21,280,000 11,443,369 Brazil (Federal Republic of) Credit Linked Nts., 15.582%, 1/2/15 13 [BRR] 70,845,010 17,464,358 Brazil (Federal Republic of) Credit Linked Nts., 2.765%, 11/30/12 2,13 [ARP] 29,015,000 8,004,805 Brazil (Federal Republic of) Credit Linked Nts., 6%, 5/16/45 3 [BRR] 7,895,000 7,076,470 Colombia (Republic of) Credit Linked Bonds, 10.244%, 10/31/16 3,13 [COP] 52,420,000,000 10,012,751 Colombia (Republic of) Credit Linked Bonds, 10.266%, 1/5/16 2,13 [COP] 121,000,000,000 23,112,225 Colombia (Republic of) Credit Linked Bonds, 11.268%, 8/3/20 3,13 [COP] 85,910,000,000 12,259,520 Colombia (Republic of) Credit Linked Bonds, Series A, 10.244%, 10/31/16 3,13 [COP] 52,197,000,000 9,970,156 Peru (Republic of) Credit Linked Nts., 8.193%, 9/2/15 2,13 [PEN] 25,410,000 4,666,807 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10 2 9,185,000 9,093,150 ------------------------------------------------------------------------------------------------------------------------- JSC Astana Finance, 9.16% Nts., 3/14/12 3 26,000,000 23,716,561 ------------------------------------------------------------------------------------------------------------------------- Lakeside Re Ltd. Catastrophe Linked Nts., 11.86%, 12/31/09 1,2 7,580,000 7,777,080 ------------------------------------------------------------------------------------------------------------------------- Lehman Brothers International, Romania (Republic of) Total Return Linked Nts., 7.90%, 2/9/10 [RON] 6,371,800 2,887,793 ------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: CMS 10 yr. Curve Credit Linked Nts., 6%, 2/5/17 49,020,000 47,245,525 Microvest Capital Management LLC Credit Linked Nts., 10.75%, 5/24/12 3 27,550,000 27,550,000 Romania (Republic of) Total Return Linked Nts., 6.50%, 3/9/10 [RON] 16,840,300 7,317,568 Romania (Republic of) Total Return Linked Nts., 6.75%, 3/11/08 [RON] 19,560,000 8,619,839 Romania (Republic of) Total Return Linked Nts., 7.25%, 4/19/10 [RON] 1,558,000 684,852 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 [RON] 1,548,000 683,788 Romania (Republic of) Total Return Linked Nts., 7.75%, 4/21/08 [RON] 3,738,000 1,651,163
55 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued --------------------------------------------------------------------------------
PRINCIPAL VALUE AMOUNT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES Continued ------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Continued Romania (Republic of) Total Return Linked Nts., 7.90%, 2/12/08 [RON] 14,496,100 $ 6,493,209 ------------------------------------------------------------------------------------------------------------------------- Medquake Ltd. Catastrophe Linked Nts., 10.658%, 5/31/10 1,2 4,000,000 4,008,200 ------------------------------------------------------------------------------------------------------------------------- Merrill Lynch: Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 3 [COP] 7,680,000,000 3,543,156 Renaissance Capital International Services Ltd. Total Return Linked Nts., 10.50%, 10/7/08 3 [RUR] 277,000,000 10,948,154 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley, Russian Federation Total Return Linked Securities, Series 007, Cl. VR, 5%, 8/22/34 [RUR] 366,050,000 12,173,163 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc: Total Return Linked Nts., Series A, 8.375%, 6/30/12 3 [RUR] 155,490,929 6,395,831 Total Return Linked Nts., Series B, 11%, 6/30/12 3 [RUR] 117,292,305 4,871,785 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Bank Center Credit Total Return Linked Nts., 7.52%, 6/6/08 [KZT] 2,138,000,000 17,329,607 Brazil (Federal Republic of) Linked Nts., 12.563%, 1/5/22 2,13 [BRR] 109,310,000 12,344,337 Brazil (Federal Republic of) Sr. Linked Nts., 14.40%, 8/4/16 3 [BRR] 38,023,494 28,004,210 Brazil (Federal Republic of) Total Return Nts., 8/2/10 [BRR] 18,339,278 8,357,462 Philippines (Republic of the) Credit Linked Nts., 10.21%, 9/20/15 3 3,350,000 3,974,407 Philippines (Republic of the) Credit Linked Nts., 8.619%, 9/20/15 3 17,240,000 19,701,872 Philippines (Republic of the) Credit Linked Nts., 8.21%, 6/20/16 1,3 4,070,000 4,313,264 United Mexican States Credit Linked Nts., 5.64%, 11/20/15 2 300,000 317,355 WTI Trading Ltd. Total Return Linked Nts., Series A, 13.50%, 2/6/09 3 13,780,000 13,228,800 WTI Trading Ltd. Total Return Linked Nts., Series B, 13.50%, 2/6/09 3 18,430,000 17,692,800 ------------------------------------------------------------------------------------------------------------------------- Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 17.458%, 6/21/10 1,2 7,410,000 7,451,311 ------------------------------------------------------------------------------------------------------------------------- Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts., Series D, 10.36%, 1/15/10 1,2 3,230,000 3,273,282 ------------------------------------------------------------------------------------------------------------------------- Residential Reinsurance Ltd. Catastrophe Linked Nts.: Series B, 13.991%, 6/6/08 1,2 4,600,000 4,434,860 Series CL3, 17.791%, 6/7/10 1,2 3,000,000 3,051,750 ------------------------------------------------------------------------------------------------------------------------- Successor Euro Wind Ltd. Catastrophe Linked Nts.: Cl. A-I, 10.948%, 6/6/08 1,2 4,810,000 4,781,862 Cl. A-I, 23.198%, 6/6/08 1,2 6,000,000 6,149,700 ------------------------------------------------------------------------------------------------------------------------- Successor Japan Quake Ltd. Catastrophe Linked Nts., Cl. A-I, 9.948%, 6/6/08 1,2 10,950,000 11,059,500 ------------------------------------------------------------------------------------------------------------------------- Swiss Re Capital Markets Corp./Akibare Ltd. Catastrophe Linked Nts., Cl. A, 8.445%, 5/22/12 1,2 2,512,000 2,548,926 ------------------------------------------------------------------------------------------------------------------------- UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 3 [GHS] 4,650,997 5,001,599 ------------------------------------------------------------------------------------------------------------------------- VASCO Re 2006 Ltd. Catastrophe Linked Nts., 14.169%, 6/5/09 1,2 6,780,000 7,032,894 ------------------------------------------------------------------------------------------------------------------------- Willow Re Ltd. Catastrophe Linked Nts., 10.483%, 6/16/10 1,2 8,150,000 8,276,121 --------------- Total Structured Securities (Cost $1,173,410,384) 1,283,503,969
56 | OPPENHEIMER STRATEGIC INCOME FUND
EXPIRATION STRIKE VALUE DATES PRICE CONTRACTS SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.0% ------------------------------------------------------------------------------------------------------------------------- Brazilian Real (BRR) Call 4 12/21/07 $ 1.81 59,380,000 $ 479,998 ------------------------------------------------------------------------------------------------------------------------- Credit Suisse International Basket of Currencies Call 4 11/19/07 90.86 42,610,000 4,261 ------------------------------------------------------------------------------------------------------------------------- Credit Suisse International Basket of Currencies Call 4 12/12/07 1.02 86,160,000 251,174 ------------------------------------------------------------------------------------------------------------------------- Euro (EUR) Call 4 12/21/07 1.41 67,680,000 1,949,272 --------------- Total Options Purchased (Cost $2,768,745) 2,684,705 SHARES ------------------------------------------------------------------------------------------------------------------------- INVESTMENTS IN AFFILIATED COMPANIES--9.4% ------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.37% 20,21 (Cost $808,046,388) 808,046,388 808,046,388 ------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $8,481,454,605) 8,612,125,878 PRINCIPAL AMOUNT ------------------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--1.4% 12 ------------------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--1.4% Undivided interest of 11.56% in joint repurchase agreement (Principal Amount/Value $1,000,000,000, with a maturity value of $1,000,425,000) with Bank of America NA, 5.10%, dated 9/28/07, to be repurchased at $115,625,393 on 10/1/07, collateralized by U.S. Agency Mortgages, 5%-5.50%, 5/1/33-6/1/35, with a value of $1,020,000,000 $ 115,576,273 115,576,273 ------------------------------------------------------------------------------------------------------------------------- MEDIUM-TERM FLOATING NOTE--0.0% HSBC Finance Corp., 5.81%, 8/5/08 3,000,000 3,000,000 ------------------------------------------------------------------------------------------------------------------------- YANKEE CERTIFICATE OF DEPOSIT FLOATING NOTE--0.0% Natexis Banques Populaires NY, 4.87%, 1/28/08 2,000,000 2,000,000 --------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $120,576,273) 120,576,273 ------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $8,602,030,878) 101.8% 8,732,702,151 ------------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (1.8) (152,096,965) ---------------------------------- NET ASSETS 100.0% $8,580,605,186 =================================
57 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF INVESTMENTS Continued -------------------------------------------------------------------------------- FOOTNOTES TO STATEMENT OF INVESTMENTS Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP Argentine Peso AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar COP Colombian Peso DEM German Mark DKK Danish Krone DOP Dominican Republic Peso EGP Egyptian Pounds EUR Euro GBP British Pound Sterling GHS Ghana 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 ZMK Zambian Kwacha 1. Represents the current interest rate for a variable or increasing rate security. 2. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $756,024,818 or 8.81% of the Fund's net assets as of September 30, 2007. 3. Illiquid security. The aggregate value of illiquid securities as of September 30, 2007 was $865,614,714, which represents 10.09% of the Fund's net assets. See Note 12 of accompanying Notes. 4. Non-income producing security. 5. Issue is in default. See Note 1 of accompanying Notes. 6. 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 ----------------------------------------------------------------------------------------------- British Pound Sterling (GBP) 1,235,000 10/1/07 $ 2.0245 $ 9,251 $ 26,253 British Pound Sterling (GBP) 1,265,000 10/2/07 2.0135 9,297 40,753 British Pound Sterling (GBP) 1,290,000 10/5/07 2.0335 11,411 23,420 Euro (EUR) 5,870,000 10/4/07 1.4190 32,173 64,937 Euro (EUR) 6,410,000 10/5/07 1.4188 39,788 73,664 ---------------------- $ 101,920 $ 229,027 ======================
7. 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 ----------------------------------------------------------------------------------------------- British Pound Sterling (GBP) 1,235,000 10/1/07 $ 2.0245 $ 9,251 $ -- British Pound Sterling (GBP) 1,265,000 10/2/07 2.0135 9,424 -- British Pound Sterling (GBP) 1,290,000 10/5/07 2.0335 11,411 6,038 Euro (EUR) 5,870,000 10/4/07 1.4190 32,173 16,846 Euro (EUR) 6,410,000 10/5/07 1.4188 39,788 21,044 ---------------------- $ 102,047 $ 43,928 ======================
8. 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 $38,501,328. See Note 6 of accompanying Notes. 58 | OPPENHEIMER STRATEGIC INCOME FUND 9. 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 $59,651,496 or 0.70% of the Fund's net assets as of September 30, 2007. 10. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,523,068 or 0.02% of the Fund's net assets as of September 30, 2007. 11. When-issued security or forward commitment to be delivered and settled after September 30, 2007. See Note 1 of accompanying Notes. 12. 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. 13. Zero coupon bond reflects effective yield on the date of purchase. 14. Partial or fully-loaned security. See Note 13 of accompanying Notes. 15. A sufficient amount of securities has been designated to cover outstanding foreign currency contracts. See Note 5 of accompanying Notes. 16. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 17. Interest or dividend is paid-in-kind, when applicable. 18. 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. 19. Denotes an inflation-indexed security: coupon and principal are indexed to the consumer price index. 20. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 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 SEPTEMBER 30, 2007 ----------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E -- 4,372,770,451 3,564,724,063 808,046,388 Prandium, Inc. 1,034,256 -- 1,034,256 --
VALUE DIVIDEND REALIZED SEE NOTE 1 INCOME LOSS ------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E $ 808,046,388 $ 24,396,684 $ -- Prandium, Inc. -- -- (12,155,862) ---------------------------------------------- $ 808,046,388 $ 24,396,684 $ (12,155,862) ==============================================
21. Rate shown is the 7-day yield as of September 30, 2007.
PRINCIPAL VALUE SOLD SHORT SEE NOTE 1 ------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATION SOLD SHORT--(0.9)% ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 5.50%, 10/1/36 (proceeds $75,030,381) $ (76,548,000) $ (74,981,139)
22. All or a portion of the security was segregated by the Fund in the amount of $76,548,000, which represented 102.09% of the market value of securities sold short. See Note 1 of accompanying Notes. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 59 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF ASSETS AND LIABILITIES September 30, 2007 -------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------- ASSETS ------------------------------------------------------------------------------------------------- Investments, at value--see accompanying statement of investments: Unaffiliated companies (cost $7,793,984,490) $ 7,924,655,763 Affiliated companies (cost $808,046,388) 808,046,388 ---------------- 8,732,702,151 ------------------------------------------------------------------------------------------------- Cash 13,571,435 ------------------------------------------------------------------------------------------------- Cash--foreign currencies (cost $6,155,142) 6,071,010 ------------------------------------------------------------------------------------------------- Unrealized appreciation on foreign currency contracts 56,207,297 ------------------------------------------------------------------------------------------------- Swaps, at value (net premiums received $3,428,475) 45,039,439 ------------------------------------------------------------------------------------------------- Receivables and other assets: Investments sold (including $11,753,062 sold on a when-issued basis or forward commitment) 112,950,841 Interest, dividends and principal paydowns 89,263,358 Shares of beneficial interest sold 26,330,784 Closed foreign currency contracts 24,870,124 Futures margins 1,888,563 Other 965,866 ---------------- Total assets 9,109,860,868 ------------------------------------------------------------------------------------------------- LIABILITIES ------------------------------------------------------------------------------------------------- Short positions, at value (proceeds of $75,030,381)-- see accompanying statement of investments 74,981,139 ------------------------------------------------------------------------------------------------- Options written, at value (premiums received $203,967)-- see accompanying statement of investments 272,955 ------------------------------------------------------------------------------------------------- Return of collateral for securities loaned 120,576,273 ------------------------------------------------------------------------------------------------- Unrealized depreciation on foreign currency contracts 32,221,541 ------------------------------------------------------------------------------------------------- Swaps, at value (net premiums received $959,748) 26,584,710 ------------------------------------------------------------------------------------------------- Payables and other liabilities: Investments purchased (including $211,298,906 purchased on a when-issued basis or forward commitment) 230,805,474 Closed foreign currency contracts 20,272,749 Shares of beneficial interest redeemed 11,407,571 Dividends 5,690,655 Distribution and service plan fees 4,908,899 Transfer and shareholder servicing agent fees 901,457 Shareholder communications 327,990 Trustees' compensation 82,450 Other 221,819 ---------------- Total liabilities 529,255,682 ------------------------------------------------------------------------------------------------- NET ASSETS $ 8,580,605,186 ================
60 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS -------------------------------------------------------------------------------------------------------- Par value of shares of beneficial interest $ 1,947,416 -------------------------------------------------------------------------------------------------------- Additional paid-in capital 9,217,589,109 -------------------------------------------------------------------------------------------------------- Accumulated net investment income 92,702,994 -------------------------------------------------------------------------------------------------------- Accumulated net realized loss on investments and foreign currency transactions (901,189,869) -------------------------------------------------------------------------------------------------------- Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies 169,555,536 ----------------- NET ASSETS $ 8,580,605,186 =================
--------------------------------------------------------------------------------------------------------- NET ASSET VALUE PER SHARE --------------------------------------------------------------------------------------------------------- Class A Shares: Net asset value and redemption price per share (based on net assets of $6,430,790,442 and 1,459,300,802 shares of beneficial interest outstanding) $ 4.41 Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) $ 4.63 --------------------------------------------------------------------------------------------------------- Class B Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $569,522,906 and 128,809,575 shares of beneficial interest outstanding) $ 4.42 --------------------------------------------------------------------------------------------------------- Class C Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,086,917,538 and 247,145,991 shares of beneficial interest outstanding) $ 4.40 --------------------------------------------------------------------------------------------------------- Class N Shares: Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $145,685,151 and 33,037,301 shares of beneficial interest outstanding) $ 4.41 --------------------------------------------------------------------------------------------------------- Class Y Shares: Net asset value, redemption price and offering price per share (based on net assets of $347,689,149 and 79,122,593 shares of beneficial interest outstanding) $ 4.39
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 61 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENT OF OPERATIONS For the Year Ended September 30, 2007 -------------------------------------------------------------------------------- ------------------------------------------------------------------------------------- INVESTMENT INCOME ------------------------------------------------------------------------------------- Interest (net of foreign withholding taxes of $308,728) $ 442,033,424 ------------------------------------------------------------------------------------- Dividends: Unaffiliated companies (net of foreign withholding taxes of $14,965) 1,947,283 Affiliated companies 24,396,684 ------------------------------------------------------------------------------------- Fee income 564,352 ------------------------------------------------------------------------------------- Portfolio lending fees 413,159 ------------------------------------------------------------------------------------- Other income 73,342 -------------- Total investment income 469,428,244 ------------------------------------------------------------------------------------- EXPENSES ------------------------------------------------------------------------------------- Management fees 39,478,329 ------------------------------------------------------------------------------------- Distribution and service plan fees: Class A 13,856,969 Class B 6,346,693 Class C 9,576,622 Class N 633,015 ------------------------------------------------------------------------------------- Transfer and shareholder servicing agent fees: Class A 6,824,967 Class B 1,012,508 Class C 1,225,703 Class N 359,898 Class Y 78,193 ------------------------------------------------------------------------------------- Shareholder communications: Class A 574,268 Class B 109,108 Class C 91,607 Class N 8,725 Class Y 391 ------------------------------------------------------------------------------------- Custodian fees and expenses 486,843 ------------------------------------------------------------------------------------- Trustees' compensation 137,111 ------------------------------------------------------------------------------------- Administration service fees 1,500 ------------------------------------------------------------------------------------- Other 266,327 -------------- Total expenses 81,068,777 Less reduction to custodian expenses (52,278) Less waivers and reimbursements of expenses (462,186) -------------- Net expenses 80,554,313 ------------------------------------------------------------------------------------- NET INVESTMENT INCOME 388,873,931
62 | OPPENHEIMER STRATEGIC INCOME FUND ---------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ---------------------------------------------------------------------------------------- Net realized gain (loss) on: Investments: Unaffiliated companies (including premiums on options exercised) $ 110,808,455 Affiliated companies (12,155,862) Closing and expiration of option contracts written 4,341,484 Closing and expiration of futures contracts 17,139,079 Foreign currency transactions 87,159,556 Short positions (676,979) Swap contracts 21,983,514 -------------- Net realized gain 228,599,247 ---------------------------------------------------------------------------------------- Net change in unrealized appreciation (depreciation) on: Investments (72,059,233) Translation of assets and liabilities denominated in foreign currencies 235,427,063 Futures contracts (18,286,327) Option contracts written (321,781) Short positions 49,242 Swap contracts 10,911,421 -------------- Net change in unrealized appreciation 155,720,385 ---------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 773,193,563 ==============
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 63 | OPPENHEIMER STRATEGIC INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS --------------------------------------------------------------------------------
YEAR ENDED SEPTEMBER 30, 2007 2006 ----------------------------------------------------------------------------------------------- OPERATIONS ----------------------------------------------------------------------------------------------- Net investment income $ 388,873,931 $ 325,322,096 ----------------------------------------------------------------------------------------------- Net realized gain 228,599,247 59,177,730 ----------------------------------------------------------------------------------------------- Net change in unrealized appreciation 155,720,385 (134,262,183) ---------------------------------- Net increase in net assets resulting from operations 773,193,563 250,237,643 ----------------------------------------------------------------------------------------------- DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS ----------------------------------------------------------------------------------------------- Dividends from net investment income: Class A (296,916,438) (361,826,587) Class B (28,156,208) (55,250,172) Class C (43,047,658) (53,959,503) Class N (6,142,076) (6,482,780) Class Y (14,610,638) (8,310,116) ---------------------------------- (388,873,018) (485,829,158) ----------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS ----------------------------------------------------------------------------------------------- Net increase (decrease) in net assets resulting from beneficial interest transactions: Class A 1,070,926,051 481,164,858 Class B (183,763,262) (168,323,661) Class C 180,462,840 97,789,142 Class N 30,962,123 28,045,769 Class Y 156,078,981 118,978,171 ---------------------------------- 1,254,666,733 557,654,279 ----------------------------------------------------------------------------------------------- NET ASSETS ----------------------------------------------------------------------------------------------- Total increase 1,638,987,278 322,062,764 ----------------------------------------------------------------------------------------------- Beginning of period 6,941,617,908 6,619,555,144 ---------------------------------- End of period (including accumulated net investment income of $92,702,994 and $28,620,443, respectively) $ 8,580,605,186 $ 6,941,617,908 ==================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 64 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS --------------------------------------------------------------------------------
CLASS A YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.18 $ 4.34 $ 4.23 $ 4.08 $ 3.64 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .23 1 .21 1 .21 1 .20 .26 Net realized and unrealized gain (loss) .23 (.05) .19 .15 .43 --------------------------------------------------------------------------- Total from investment operations .46 .16 .40 .35 .69 ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.23) (.32) (.29) (.20) (.25) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.41 $ 4.18 $ 4.34 $ 4.23 $ 4.08 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 11.14% 3.77% 9.77% 8.73% 19.59% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 6,430,790 $ 5,077,400 $ 4,766,576 $ 4,117,666 $ 3,873,018 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 5,655,265 $ 4,888,392 $ 4,392,321 $ 4,025,554 $ 3,521,307 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 5.25% 5.03% 4.82% 4.69% 6.60% Total expenses 0.90% 4 0.93% 0.94% 0.95% 0.95% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 0.89% 0.92% 0.94% 0.95% 0.95% ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year. 4. Total expenses including indirect expenses from affiliated fund were as follows: Year Ended September 30, 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 ------------------------------------------------------------------------- Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791 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 FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
CLASS B YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.20 $ 4.35 $ 4.24 $ 4.10 $ 3.66 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .19 1 .18 1 .17 1 .16 .22 Net realized and unrealized gain (loss) .22 (.05) .20 .15 .44 --------------------------------------------------------------------------- Total from investment operations .41 .13 .37 .31 .66 ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.19) (.28) (.26) (.17) (.22) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.42 $ 4.20 $ 4.35 $ 4.24 $ 4.10 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 9.99% 3.23% 8.94% 7.66% 18.62% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 569,523 $ 718,742 $ 918,651 $ 1,163,555 $ 1,686,295 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 635,237 $ 802,936 $ 1,021,022 $ 1,424,322 $ 1,757,152 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.43% 4.25% 4.05% 4.16% 5.92% Total expenses 1.71% 4 1.71% 1.70% 1.69% 1.68% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 1.70% 1.71% 1.69% 1.69% 1.68% ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year. 4. Total expenses including indirect expenses from affiliated fund were as follows: Year Ended September 30, 2007 1.72% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791 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. 66 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS C YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.18 $ 4.33 $ 4.22 $ 4.07 $ 3.64 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .19 1 .18 1 .17 1 .17 .23 Net realized and unrealized gain (loss) .22 (.05) .20 .15 .42 --------------------------------------------------------------------------- Total from investment operations .41 .13 .37 .32 .65 ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.19) (.28) (.26) (.17) (.22) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.40 $ 4.18 $ 4.33 $ 4.22 $ 4.07 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 10.06% 3.22% 8.96% 7.95% 18.45% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 1,086,918 $ 857,843 $ 788,217 $ 710,085 $ 698,196 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 959,439 $ 814,425 $ 748,199 $ 716,206 $ 623,598 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.49% 4.27% 4.07% 4.06% 5.85% Total expenses 1.66% 4 1.68% 1.69% 1.69% 1.69% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 1.65% 1.68% 1.69% 1.69% 1.69% ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year. 4. Total expenses including indirect expenses from affiliated fund were as follows: Year Ended September 30, 2007 1.67% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791 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. 67 | OPPENHEIMER STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS Continued --------------------------------------------------------------------------------
CLASS N YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.19 $ 4.34 $ 4.23 $ 4.08 $ 3.65 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .21 1 .19 1 .19 1 .17 .25 Net realized and unrealized gain (loss) .22 (.04) .19 .16 .42 --------------------------------------------------------------------------- Total from investment operations .43 .15 .38 .33 .67 ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.21) (.30) (.27) (.18) (.24) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.41 $ 4.19 $ 4.34 $ 4.23 $ 4.08 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 10.42% 3.60% 9.27% 8.28% 18.82% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 145,685 $ 108,324 $ 83,287 $ 52,969 $ 30,110 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 126,935 $ 94,281 $ 69,480 $ 40,043 $ 22,627 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 4.84% 4.62% 4.37% 4.19% 6.08% Total expenses 1.32% 4 1.33% 1.40% 1.38% 1.34% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 1.31% 1.33% 1.40% 1.38% 1.34% ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year. 4. Total expenses including indirect expenses from affiliated fund were as follows: Year Ended September 30, 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 ------------------------------------------------------------------------- Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791 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. 68 | OPPENHEIMER STRATEGIC INCOME FUND
CLASS Y YEAR ENDED SEPTEMBER 30, 2007 2006 2005 2004 2003 ----------------------------------------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA ----------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 4.17 $ 4.32 $ 4.22 $ 4.07 $ 3.64 ----------------------------------------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .24 1 .22 1 .21 1 .21 .26 Net realized and unrealized gain (loss) .22 (.04) .19 .14 .42 --------------------------------------------------------------------------- Total from investment operations .46 .18 .40 .35 .68 ----------------------------------------------------------------------------------------------------------------------------- Dividends and/or distributions to shareholders: Dividends from net investment income (.24) (.33) (.30) (.20) (.25) ----------------------------------------------------------------------------------------------------------------------------- Net asset value, end of period $ 4.39 $ 4.17 $ 4.32 $ 4.22 $ 4.07 =========================================================================== ----------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE 2 11.28% 4.35% 9.73% 8.80% 19.33% ----------------------------------------------------------------------------------------------------------------------------- ----------------------------------------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (in thousands) $ 347,689 $ 179,309 $ 62,824 $ 150,699 $ 240,296 ----------------------------------------------------------------------------------------------------------------------------- Average net assets (in thousands) $ 260,589 $ 118,239 $ 68,656 $ 213,632 $ 194,308 ----------------------------------------------------------------------------------------------------------------------------- Ratios to average net assets: 3 Net investment income 5.61% 5.38% 4.84% 4.80% 6.57% Total expenses 0.56% 4 0.58% 1.16% 1.29% 1.41% Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses 0.55% 0.58% 0.80% 0.90% 0.91% ----------------------------------------------------------------------------------------------------------------------------- Portfolio turnover rate 72% 5 96% 5 103% 5 90% 5 104%
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 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 less than one full year. 4. Total expenses including indirect expenses from affiliated fund were as follows: Year Ended September 30, 2007 0.57% 5. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: PURCHASE TRANSACTIONS SALE TRANSACTIONS ------------------------------------------------------------------------- Year Ended September 30, 2007 $3,319,818,108 $3,509,387,791 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. 69 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Strategic Income Fund (the Fund) is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The Fund's investment objective is to seek high current income by investing mainly in debt securities. The Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund offers Class A, Class B, Class C, Class N and Class Y shares. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class B, Class C and Class N shares are sold without a front-end sales charge but may be subject to a contingent deferred sales charge (CDSC). Class N shares are sold only through retirement plans. Retirement plans that offer Class N shares may impose charges on those accounts. Class Y shares are sold to certain institutional investors without either a front-end sales charge or a CDSC, however, the institutional investor may impose charges on those accounts. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and N have separate distribution and/or service plans. No such plan has been adopted for Class Y shares. Class B shares will automatically convert to Class A shares six years after the date of purchase. The following is a summary of significant accounting policies consistently followed by the Fund. -------------------------------------------------------------------------------- SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ(R) are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing "bid" and "asked" prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its 70 | 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). -------------------------------------------------------------------------------- SECURITIES SOLD SHORT. The Fund may short sale when-issued securities for future settlement. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss for the value of the open short position. The Fund records a realized gain or loss when the short position is closed out. -------------------------------------------------------------------------------- STRUCTURED SECURITIES. The Fund invests in structured securities 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 securities are often leveraged, increasing the volatility of each securities' 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 security is sold, matures or expires. -------------------------------------------------------------------------------- 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 September 30, 2007, the Fund had purchased $211,298,906 of securities issued on a when-issued basis or forward commitment and sold $11,753,062 of securities issued on a when-issued basis or forward commitment. 71 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS 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 September 30, 2007, securities with an aggregate market value of $602,430, representing 0.01% 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. 72 | 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, if applicable. 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. The tax components of capital shown in the table below represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes. 73 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued NET UNREALIZED APPRECIATION BASED ON COST OF SECURITIES AND UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED OTHER INVESTMENTS NET INVESTMENT LONG-TERM LOSS FOR FEDERAL INCOME INCOME GAIN CARRYFORWARD 1,2,3,4 TAX PURPOSES --------------------------------------------------------------------------- $178,789,674 $ -- $902,856,702 $115,641,755 1. As of September 30, 2007, the Fund had $902,158,461 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2007, details of the capital loss carryforwards were as follows: EXPIRING ---------------------------- 2008 $ 235,306,107 2009 56,817,462 2010 192,931,367 2011 294,188,800 2012 122,914,725 ------------- Total $ 902,158,461 ============= 2. The Fund had $698,241 of straddle losses which were deferred. 3. During the fiscal year ended September 30, 2007, the Fund utilized $73,657,199 of capital loss carryforward to offset capital gains realized in that fiscal year. 4. During the fiscal year ended September 30, 2006, the Fund utilized $69,360,120 of capital loss carryforward to offset capital gains realized in that fiscal year. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund. Accordingly, the following amounts have been reclassified for September 30, 2007. Net assets of the Fund were unaffected by the reclassifications. INCREASE INCREASE TO ACCUMULATED TO ACCUMULATED INCREASE TO NET INVESTMENT NET REALIZED LOSS PAID-IN CAPITAL INCOME ON INVESTMENTS ---------------------------------------------------- $14,119,100 $64,081,638 $78,200,738 The tax character of distributions paid during the years ended September 30, 2007 and September 30, 2006 was as follows: YEAR ENDED YEAR ENDED SEPTEMBER 30, 2007 SEPTEMBER 30, 2006 ------------------------------------------------------------------ Distributions paid from: Ordinary income $388,873,018 $485,829,158 74 | OPPENHEIMER STRATEGIC INCOME FUND The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2007 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss. Federal tax cost of securities $ 8,606,414,997 Federal tax cost of other investments 2,158,658,678 ---------------- Total federal tax cost $ 10,765,073,675 ================ Gross unrealized appreciation $ 353,802,200 Gross unrealized depreciation (238,160,445) ---------------- Net unrealized appreciation $ 115,641,755 ================ -------------------------------------------------------------------------------- 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. -------------------------------------------------------------------------------- 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 75 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Continued 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. -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
YEAR ENDED SEPTEMBER 30, 2007 YEAR ENDED SEPTEMBER 30, 2006 SHARES AMOUNT SHARES AMOUNT -------------------------------------------------------------------------------------------------------- CLASS A Sold 374,243,875 $ 1,621,225,351 285,205,829 $ 1,197,018,631 Dividends and/or distributions reinvested 52,588,260 227,757,694 63,712,315 267,183,114 Acquisition-Note 15 59,159,381 260,892,868 -- -- Redeemed (240,334,556) (1,038,949,862) (234,651,361) (983,036,887) ----------------------------------------------------------------- Net increase 245,656,960 $ 1,070,926,051 114,266,783 $ 481,164,858 ================================================================= -------------------------------------------------------------------------------------------------------- CLASS B Sold 24,227,240 $ 105,145,550 27,099,194 $ 114,141,319 Dividends and/or distributions reinvested 4,782,734 20,771,577 9,067,246 38,196,513 Redeemed (71,427,424) (309,680,389) (76,102,306) (320,661,493) ----------------------------------------------------------------- Net decrease (42,417,450) $ (183,763,262) (39,935,866) $ (168,323,661) =================================================================
76 | OPPENHEIMER STRATEGIC INCOME FUND
YEAR ENDED SEPTEMBER 30, 2007 YEAR ENDED SEPTEMBER 30, 2006 SHARES AMOUNT SHARES AMOUNT -------------------------------------------------------------------------------------------------------- CLASS C Sold 72,545,647 $ 313,480,785 52,485,697 $ 219,804,771 Dividends and/or distributions reinvested 7,574,819 32,747,903 9,627,908 40,332,270 Redeemed (38,441,106) (165,765,848) (38,820,281) (162,347,899) ---------------------------------------------------------------- Net increase 41,679,360 $ 180,462,840 23,293,324 $ 97,789,142 ================================================================ -------------------------------------------------------------------------------------------------------- CLASS N Sold 13,299,138 $ 57,565,717 11,223,391 $ 47,099,735 Dividends and/or distributions reinvested 1,188,326 5,153,772 1,377,036 5,780,559 Redeemed (7,326,966) (31,757,366) (5,922,489) (24,834,525) ---------------------------------------------------------------- Net increase 7,160,498 $ 30,962,123 6,677,938 $ 28,045,769 ================================================================ -------------------------------------------------------------------------------------------------------- CLASS Y Sold 36,588,605 $ 157,983,527 27,986,060 $ 117,026,957 Dividends and/or distributions reinvested 3,321,638 14,364,136 1,974,505 8,229,559 Redeemed (3,767,180) (16,268,682) (1,510,690) (6,278,345) ---------------------------------------------------------------- Net increase 36,143,063 $ 156,078,981 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 IMMF, for the year ended September 30, 2007, were as follows:
PURCHASES SALES ---------------------------------------------------------------------------------------- Investment securities $4,191,125,496 $3,536,218,951 U.S. government and government agency obligations 776,865,907 789,350,206 To Be Announced (TBA) mortgage-related securities 3,319,818,108 3,509,387,791
-------------------------------------------------------------------------------- 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 77 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year for preparing and filing the Fund's tax returns. -------------------------------------------------------------------------------- TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager, acts as the transfer and shareholder servicing agent for the Fund. The Fund pays OFS a per account fee. For the year ended September 30, 2007, the Fund paid $9,422,464 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 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 September 30, 2007 for Class B, Class C and Class N shares were $104,697,154, $31,460,220 and $2,012,295, respectively. Fees incurred by the Fund under the plans are detailed in the Statement of Operations. 78 | OPPENHEIMER STRATEGIC INCOME FUND -------------------------------------------------------------------------------- SALES CHARGES. Front-end sales charges and contingent deferred sales charges (CDSC) do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
CLASS A CLASS B CLASS C CLASS N CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY YEAR ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR ---------------------------------------------------------------------------------------------------- September 30, 2007 $2,315,213 $45,817 $1,005,718 $103,452 $4,011
-------------------------------------------------------------------------------- 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 year ended September 30, 2007, the Manager waived $462,186 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 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. 79 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 5. FOREIGN CURRENCY CONTRACTS Continued As of September 30, 2007, the Fund had outstanding foreign currency contracts as follows:
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2007 APPRECIATION DEPRECIATION ------------------------------------------------------------------------------------------------------------------------------------ CONTRACTS TO PURCHASE Argentine Peso (ARP) 10/24/07 102,400 ARP $ 32,381,628 $ -- $ 214,266 Australian Dollar (AUD) 10/11/07-12/21/07 14,900 AUD 13,181,432 836,477 -- Brazilian Real (BRR) 10/11/07-1/5/10 215,300 BRR 112,653,918 24,011,425 -- British Pound Sterling (GBP) 10/1/07-12/27/07 25,940 GBP 53,047,559 958,605 -- Canadian Dollar (CAD) 10/11/07-12/21/07 19,320 CAD 19,435,674 668,332 -- Chilean Peso (CLP) 10/22/07 9,025,000 CLP 17,664,497 116,373 -- Dominican Republic Peso (DOP) 10/9/07 140,977 DOP 4,220,880 -- 38,256 Euro (EUR) 10/1/07-12/27/07 208,085 EUR 296,970,786 7,555,510 -- Indian Rupee (INR) 10/4/07-10/15/07 1,411,430 INR 35,412,151 524,336 4,644 Japanese Yen (JPY) 10/2/07-10/30/07 40,120,000 JPY 349,891,422 7,056,875 553,034 Malaysian Ringgit (MYR) 11/15/07-12/17/07 103,400 MYR 30,422,920 602,831 -- Mexican Nuevo Peso (MXN) 11/26/07 437,500 MXN 39,848,361 524,639 -- New Turkish Lira (TRY) 10/24/07-11/2/07 57,715 TRY 47,390,417 1,715,375 -- New Zealand Dollar (NZD) 12/21/07 14,178 NZD 10,658,641 50,778 716 Norwegian Krone (NOK) 1/29/08 172,190 NOK 31,895,120 2,477,404 -- Polish Zloty (PLZ) 10/10/07-11/7/07 163,730 PLZ 61,977,629 2,759,411 -- Russian Ruble (RUR) 2/21/08 936,780 RUR 37,454,573 1,631,246 -- Singapore Dollar (SGD) 2/5/08 38,170 SGD 25,928,476 558,483 -- South African Rand (ZAR) 10/15/07 241,500 ZAR 34,978,241 1,438,438 -- South Korean Won (KRW) 10/12/07-2/1/08 33,628,000 KRW 36,829,708 153,713 -- Swedish Krona (SEK) 10/10/07 229,930 SEK 35,692,691 1,165,026 -- Swiss Franc (CHF) 10/11/07-11/8/07 31,225 CHF 26,896,170 370,756 -- ----------------------------- 55,176,033 810,916 ----------------------------- CONTRACTS TO SELL Australian Dollar (AUD) 10/9/07-10/10/07 46,535 AUD 41,274,632 -- 1,741,423 Brazilian Real (BRR) 11/5/07 61,131 BRR 33,215,128 -- 666,136 British Pound Sterling (GBP) 10/1/07-2/6/08 30,940 GBP 63,216,566 -- 518,170 Canadian Dollar (CAD) 10/9/07-1/16/08 68,440 CAD 68,858,643 -- 3,767,232 Colombian Peso (COP) 10/16/07 33,475,000 COP 16,511,912 -- 1,265,491 Czech Koruna (CZK) 10/15/07-1/25/08 1,800,825 CZK 93,522,376 -- 5,572,042 Euro (EUR) 10/1/07-2/6/08 176,530 EUR 251,918,124 -- 9,727,339 Hong Kong Dollar (HKD) 12/19/07-1/25/08 860,745 HKD 110,780,807 646,560 24,496 Indian Rupee (INR) 11/16/07 686,000 INR 17,199,666 -- 508,669 Japanese Yen (JPY) 10/2/07-2/6/08 17,929,000 JPY 157,401,139 384,704 1,404,658 New Taiwan Dollar (TWD) 10/15/07 1,090,000 TWD 33,466,514 -- 469,208 New Turkish Lira (TRY) 11/7/07 21,190 TRY 17,328,268 -- 2,124,163
80 | OPPENHEIMER STRATEGIC INCOME FUND
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 2007 APPRECIATION DEPRECIATION ------------------------------------------------------------------------------------------------------------------------------------ CONTRACTS TO SELL (continued) New Zealand Dollar (NZD) 10/9/07-10/10/07 22,240 NZD $ 16,838,130 $ -- $ 90,749 Singapore Dollar (SGD) 10/15/07 50,375 SGD 33,949,465 -- 677,556 Swiss Franc (CHF) 10/9/07-1/25/08 128,073 CHF 110,510,333 -- 2,853,293 ----------------------------- 1,031,264 31,410,625 ----------------------------- Total unrealized appreciation and depreciation $ 56,207,297 $ 32,221,541 =============================
-------------------------------------------------------------------------------- 6. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations 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. 81 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS Continued As of September 30, 2007, the Fund had outstanding futures contracts as follows:
VALUATION AS OF UNREALIZED EXPIRATION NUMBER OF SEPTEMBER 30, APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS 2007 (DEPRECIATION) ------------------------------------------------------------------------------------------------------ CONTRACTS TO PURCHASE Canada (Government of) Bonds, 10 yr. 12/18/07 182 $ 20,572,322 $ 64,827 DAX Index 12/21/07 113 32,043,039 574,896 Euro-Bundesobligation, 10 yr. 12/6/07 130 20,887,793 (174,548) Euro-Schatz 12/6/07 4,189 617,397,995 (631,207) FTSE 100 Index 12/21/07 87 11,604,806 242,124 Japan (Government of) Bonds, 10 yr. 12/10/07 108 12,692,221 (105,339) Japan (Government of) Bonds, 10 yr. 12/11/07 139 163,293,083 (602,108) NASDAQ 100 E-Mini Index 12/21/07 681 28,792,680 633,077 Nikkei 225 Index 12/13/07 20 2,930,397 70,659 OMXS30 Index 10/26/07 439 8,309,465 225,026 Standard & Poor's 500 Index 12/20/07 133 51,141,825 (246,316) Standard & Poor's/MIB Index, 10 yr. 12/21/07 30 8,564,859 (44,396) U.S. Long Bonds 12/19/07 5,850 651,360,938 1,890,780 U.S. Treasury Nts., 2 yr. 12/31/07 2,002 414,507,844 233,174 U.S. Treasury Nts., 5 yr. 12/31/07 11,146 1,192,970,313 4,527,766 U.S. Treasury Nts., 10 yr. 12/19/07 1,455 159,004,219 50,547 United Kingdom Long Gilt 12/27/07 118 25,818,234 (214,969) --------------- 6,493,993 --------------- CONTRACTS TO SELL Australia (Commonwealth of) Bonds, 10 yr. 12/17/07 228 19,985,162 377,891 CAC 40 Index 10/19/07 202 16,496,086 (535,348) DAX Index 12/21/07 60 17,014,003 (305,308) Euro-Bundesobligation, 10 yr. 12/6/07 549 88,210,754 58,560 FTSE 100 Index 12/21/07 234 31,212,927 (819,242) Mexican Bolsa Index 12/21/07 293 8,249,616 (5,864) Nikkei 225 Index 12/13/07 302 44,248,988 (2,558,640) Standard & Poor's 500 E-Mini Index 12/21/07 1,919 147,580,695 (4,695,121) U.S. Long Bonds 12/19/07 1,631 181,601,656 (171,919) U.S. Treasury Nts., 2 yr. 12/31/07 1,084 224,438,813 (923,637) U.S. Treasury Nts., 5 yr. 12/31/07 1,455 155,730,469 (1,419,219) U.S. Treasury Nts., 10 yr. 12/19/07 5,287 577,769,969 (3,492,753) --------------- (14,490,600) --------------- $ (7,996,607) ===============
-------------------------------------------------------------------------------- 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, 82 | OPPENHEIMER STRATEGIC INCOME FUND 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 year ended September 30, 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 38,670,475,000 3,507,361 38,741,435,000 4,040,434 Options closed or expired (21,123,550,000) (1,557,651) (18,258,940,000) (3,044,908) Options exercised (17,530,855,000) (1,847,790) (20,497,045,000) (1,412,706) --------------------------------------------------------------------- Options outstanding as of September 30, 2007 16,070,000 $ 101,920 16,070,000 $ 102,047 =====================================================================
-------------------------------------------------------------------------------- 8. 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. 83 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. CREDIT DEFAULT SWAP CONTRACTS Continued The periodic interest fees are accrued daily as a component of unrealized appreciation (depreciation) and are recorded as realized gain (loss) 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. 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 September 30, 2007 is as follows:
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE --------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: Beazer Homes USA, Inc. Sell $ 3,205 4.7000% 9/20/08 $ -- $ (228,515) CDX.EM.8 5-Year Index Buy 34,630 1.7500 12/20/12 (318,596) (358,485) Citigroup, Inc. Sell 17,910 3.2500 9/20/08 -- 38,193 Constellation Brands, Inc. Sell 3,070 1.0100 6/20/11 -- (27,387) Constellation Brands, Inc. Sell 2,620 1.0300 6/20/11 -- (21,600) Republic of Turkey Sell 9,650 1.6200 4/20/12 -- 88,539 Residential Capital LLC Sell 6,423 1.2200 3/20/08 -- (468,963) Residential Capital LLC Sell 4,970 1,7500 3/20/08 -- (350,596) Residential Capital LLC Sell 3,213 1.2000 3/20/08 -- (234,890) Six Flags, Inc. Sell 2,285 7.0000 9/20/08 -- 145,352 Smithfield Foods, Inc. Sell 3,205 1.5000 3/20/12 -- 3,218 The Mosaic Co. Sell 1,555 1.5000 9/20/12 -- 31,541 --------------------------------------------------------------------------------------------------------------------------- Citibank NA, New York: Allied Waste North America, Inc. Sell 5,050 1.8800 3/20/12 -- (120,262) Amkor Technology, Inc. Sell 955 2.0500 9/20/08 -- 7,291 El Paso Corp. Sell 3,050 0.7200 6/20/11 -- (53,097) El Paso Corp. Sell 2,770 0.7800 6/20/11 -- (42,603) El Paso Corp. Sell 2,740 0.8200 6/20/11 -- (38,436) Ford Motor Credit Co. Sell 7,670 2.3200 3/20/12 -- (382,703) Nalco Co. Sell 1,610 3.6000 9/20/12 -- 54,934 Nortel Networks Corp. Sell 2,985 1.8900 9/20/08 -- 13,233 NXP B.V. Sell 1,170 4.6500 9/20/12 -- (31,161) NXP B.V. Sell 955 4.5000 9/20/12 -- (30,887)
84 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE --------------------------------------------------------------------------------------------------------------------------- Citibank NA, New York: Continued Reliant Energy, Inc. Sell $ 3,800 2.6000% 9/20/11 $ -- $ (26,731) Reliant Energy, Inc. Sell 1,580 2.4500 9/20/11 -- (19,279) Republic of Hungary Buy 13,835 0.4000 12/20/15 -- 11,167 Republic of Indonesia Sell 4,760 2.1000 9/20/12 -- 159,900 Republic of Turkey Sell 7,240 2.4700 4/20/17 -- 122,654 The Williams Cos., Inc. Sell 7,200 0.6500 3/20/12 -- (38,946) The Williams Cos., Inc. Sell 2,000 1.1100 3/20/12 -- 26,116 Tribune Co. Sell 1,980 7.5000 9/20/08 -- 18,502 Tribune Co. Sell 1,375 7.6000 9/20/08 -- 15,604 Univision Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (9,518) --------------------------------------------------------------------------------------------------------------------------- Credit Suisse International: ArvinMeritor, Inc. Sell 3,165 1.4000 9/20/08 -- (373) ArvinMeritor, Inc. Sell 3,060 1.6000 9/20/08 -- 5,624 CDX.NA.HY.8 Index Sell 7,980 2.7500 6/20/12 (397,836) (169,749) CenturyTel, Inc. Buy 4,155 0.3775 9/20/12 -- 5,019 Charter Communications Holdings LLC Buy 755 5.0000 9/20/10 48,131 39,024 Charter Communications Holdings LLC Sell 755 5.0000 9/20/17 (151,000) (132,254) Charter Communications Holdings LLC Buy 635 7.0000 9/20/10 -- (1,870) Charter Communications Holdings LLC Sell 635 5.0000 9/20/17 (127,000) (109,317) Constellation Brands, Inc. Sell 2,930 1.0200 6/20/11 -- (19,851) Constellation Brands, Inc. Sell 1,479 1.0000 6/20/11 -- (11,093) CVRD Inco Ltd. Buy 1,615 0.5800 3/20/17 -- (8,836) Dean Foods Co. Sell 1,565 1.0200 6/20/11 -- (22,677) Dean Foods Co. Sell 1,525 1.0000 6/20/11 -- (23,126) Dow Jones CDX.NA.HY.7 Index Sell 4,780 3.2500 12/20/11 169,471 48,216 Echostar DBS Corp. Sell 1,605 2.1300 9/20/11 -- 62,274 El Paso Corp. Sell 1,535 0.7400 6/20/11 -- (32,859) El Paso Corp. Sell 1,530 0.7700 6/20/11 -- (31,207) Embarq Corp. Buy 2,015 0.5700 9/20/12 -- (499) Ford Motor Credit Co. Sell 10,620 2.3850 3/20/12 -- (507,038) Ford Motor Credit Co. Sell 3,390 2.5500 3/20/12 -- (143,496) GMAC LLC Sell 6,195 1.3900 3/20/17 -- (584,940) NJSC Naftogaz Sell 8,905 3.2500 4/20/11 -- (862,258) NXP B.V. Sell 1,330 6.2000 9/20/12 -- 62,569 NXP B.V. Sell 440 5.2500 9/20/12 -- 4,565 Residential Capital LLC Sell 3,234 1.3000 3/20/08 -- (126,608) Smithfield Foods, Inc. Sell 3,253 1.4900 3/20/12 -- 1,829
85 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE --------------------------------------------------------------------------------------------------------------------------- Credit Suisse International: Continued Toys "R" Us, Inc. Sell $ 1,810 2.8000% 9/20/08 $ -- $ (15,738) TXU Corp. Sell 3,050 1.5300 6/20/11 -- (231,434) TXU Corp. Sell 1,560 1.6100 6/20/11 -- (114,420) Vale Overseas Ltd. Sell 1,615 1.0300 3/20/17 -- (16,381) --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: ABX.HE.AA.06-2 Index Sell 1,980 0.1700 5/25/46 (237,581) (207,955) ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,971) (190,917) ABX.HE.AAA.06-2 Index Sell 4,760 0.1100 5/25/46 (237,927) (190,917) CenturyTel, Inc. Buy 4,225 0.4250 9/20/12 -- (339) Countrywide Home Loans, Inc. Sell 17,960 2.5500 9/20/08 -- (412,701) CVRD Inco Ltd. Buy 3,245 0.6300 3/20/17 -- (26,040) CVRD Inco Ltd. Buy 3,190 0.4200 3/20/17 -- 25,635 Dow Jones CDX.NA.HY.7 Index Sell 13,415 3.2500 12/20/11 475,222 132,967 Echostar DBS Corp. Sell 1,060 1.6000 9/20/11 -- 24,342 Embarq Corp. Buy 6,365 0.6100 9/20/12 -- 1,801 Ford Motor Co. Sell 11,810 5.8500 12/20/16 -- (100,236) Ford Motor Co. Sell 9,450 5.8000 12/20/16 -- (103,788) Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (7,781) Ford Motor Credit Co. Sell 12,095 2.3900 3/20/12 -- (571,476) Ford Motor Credit Co. Sell 4,740 2.3400 3/20/12 -- (158,784) General Motors Corp. Sell 7,555 4.6800 12/20/16 -- (78,688) General Motors Corp. Sell 6,220 4.7500 12/20/16 -- (41,774) GMAC LLC Sell 6,465 1.3700 3/20/17 -- (663,991) Lear Corp. Sell 3,475 2.4000 9/20/08 -- 47,827 Mediacom LLC Sell 690 4.9000 9/20/12 -- 13,419 Republic of Peru Buy 7,440 1.7100 12/20/16 -- (314,806) Republic of Peru Sell 5,080 1.3200 4/20/17 -- 72,908 The Williams Cos., Inc. Sell 3,800 1.0200 3/20/12 -- 35,752 Vale Overseas Ltd. Sell 3,245 1.0500 3/20/17 -- (3,944) Vale Overseas Ltd. Sell 3,190 1.0000 3/20/17 -- (15,530) --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 725 0.1700 5/25/46 (59,734) (72,490) ArvinMeritor, Inc. Sell 3,145 1.6000 9/20/08 -- 9,712 Beazer Homes USA, Inc. Sell 3,395 2.6500 9/20/08 -- (392,166) Beazer Homes USA, Inc. Sell 3,205 4.8000 9/20/08 -- (314,071) Beazer Homes USA, Inc. Sell 3,100 2.5000 6/20/08 -- (279,290) Constellation Brands, Inc. Sell 2,480 1.9000 6/20/11 -- 45,827 Freescale Semiconductor, Inc. Sell 3,125 3.6000 9/20/11 -- (95,854) Freescale Semiconductor, Inc. Sell 1,660 3.7500 9/20/11 -- (43,015) General Motors Corp. Sell 6,220 4.9500 12/20/16 -- (35,093) GMAC LLC Sell 6,625 1.3900 3/20/17 -- (686,915) GMAC LLC Sell 5,330 1.3700 3/20/17 -- (558,217) GMAC LLC Sell 3,825 1.3900 3/20/17 -- (396,596)
86 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: Continued GMAC LLC Sell $ 3,210 1.3900% 3/20/17 $ -- $ (332,830) K. Hovnanian Enterprises, Inc. Sell 8,265 2.0000 6/20/08 -- (435,658) K. Hovnanian Enterprises, Inc. Sell 6,470 2.0000 6/20/08 -- (341,042) K. Hovnanian Enterprises, Inc. Sell 6,470 1.8000 6/20/08 -- (349,964) Lear Corp. Sell 1,645 2.2500 9/20/08 -- 9,922 Lennar Corp. Sell 1,465 2.9000 12/20/08 -- (17,851) Nalco Co. Sell 1,735 3.7000 9/20/12 -- 53,244 Residential Capital LLC Sell 3,201 1.1800 3/20/08 -- (199,203) Residential Capital LLC Sell 3,118 1.3600 3/20/08 -- (191,445) Standard Pacific Corp. Sell 17,250 2.2000 6/20/08 -- (1,351,169) --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: Amkor Technology, Inc. Sell 1,062 2.6500 9/20/08 -- 10,518 CDX.NA.IG.9 Index Buy 68,100 0.8000 12/20/17 (495,876) (1,045,243) First Data Corp. Sell 640 3.0000 9/20/08 -- 2,628 The Mosaic Co. Sell 1,570 1.6000 9/20/12 -- 40,515 The Mosaic Co. Sell 600 2.0000 9/20/12 -- 14,691 --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA, NY Branch: CDX.NA.HY.8 Index Sell 9,575 2.7500 6/20/12 (477,354) (205,437) CVRD Inco Ltd. Buy 1,590 0.5200 3/20/17 -- (3,069) Dean Foods Co. Sell 4,000 1.0800 6/20/11 -- (57,933) Dean Foods Co. Sell 3,040 1.0300 6/20/11 -- (49,139) Dean Foods Co. Sell 3,035 1.0600 6/20/11 -- (45,997) Dean Foods Co. Sell 1,560 1.0500 6/20/11 -- (24,167) Dole Food Co., Inc. Sell 2,475 2.3800 9/20/08 -- (13,365) Ford Motor Co. Sell 7,775 6.0000 12/20/16 -- (3,276) General Motors Corp. Sell 9,450 4.7500 12/20/16 -- (131,674) Lehman Brothers Holdings, Inc. Sell 9,950 1.5500 9/20/08 -- 73,698 Merrill Lynch & Co., Inc. Sell 9,950 0.8000 9/20/08 -- 30,199 Morgan Stanley Sell 8,725 0.7500 9/20/08 -- 22,090 Morgan Stanley Sell 3,215 0.7500 9/20/08 -- 8,471 Rite Aid Corp. Sell 975 1.4000 9/20/08 -- (7,201) The Mosaic Co. Sell 1,565 1.3500 9/20/12 -- 30,895 The Mosaic Co. Sell 1,550 1.5000 9/20/12 -- 40,830 Toys "R" Us, Inc. Sell 1,585 1.9200 9/20/08 -- (11,878) --------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: ABX.HE.AA.06-2 Index Sell 490 0.1700 5/25/46 (120,022) (53,387)
87 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE --------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Continued Allied Waste North America, Inc. Sell $ 3,500 1.8800% 3/20/12 $ -- $ (107,227) Allied Waste North America, Inc. Sell 1,103 1.8800 3/20/12 -- (33,791) Amkor Technology, Inc. Sell 1,650 2.5000 9/20/08 -- 18,752 ArvinMeritor, Inc. Sell 3,380 2.2000 9/20/08 -- 23,786 ArvinMeritor, Inc. Sell 3,120 1.1500 9/20/08 -- (9,932) ArvinMeritor, Inc. Sell 2,200 3.0000 9/20/08 -- 32,612 Beazer Homes USA, Inc. Sell 4,810 5.4000 9/20/08 -- (348,497) Beazer Homes USA, Inc. Sell 1,500 2.3300 6/20/08 -- (100,300) Beazer Homes USA, Inc. Sell 1,280 2.6500 6/20/08 -- (82,851) Cablevision Systems Corp. Sell 1,580 3.1300 12/20/10 -- (2,253) Cablevision Systems Corp. Sell 400 3.4000 12/20/10 -- 2,630 CDX.NA.HY.8 Index Sell 11,160 2.7500 6/20/12 (556,373) (238,766) CDX.NA.HY.8 Index Sell 7,980 2.7500 6/20/12 (387,861) (170,731) CDX.NA.IG.9 Index Buy 68,100 0.8000 12/20/17 (404,034) (503,330) Charter Communications Holdings LLC Buy 1,605 7.2500 9/20/10 -- (65,656) Charter Communications Holdings LLC Buy 1,605 7.6000 9/20/10 -- (79,050) Charter Communications Holdings LLC Sell 1,605 5.0000 9/20/12 (240,750) (184,952) Charter Communications Holdings LLC Sell 1,605 5.0000 9/20/12 (256,800) (186,053) Constellation Brands, Inc. Sell 3,060 1.0000 6/20/11 -- (29,782) Dole Food Co., Inc. Sell 3,170 3.2000 9/20/08 -- 6,396 Dole Food Co., Inc. Sell 2,300 5.2500 9/20/08 -- 50,232 Dow Jones CDX.NA.HY.7 Index Sell 3,218 3.2500 12/20/11 59,632 30,167 Dow Jones CDX.NA.HY.7 Index Sell 3,218 3.2500 12/20/11 59,632 30,167 El Paso Corp. Sell 4,575 0.7300 6/20/11 -- (45,509) El Paso Corp. Sell 1,550 0.8000 6/20/11 -- (11,707) First Data Corp. Sell 3,175 3.5000 9/20/08 -- 35,266 First Data Corp. Sell 3,170 2.7500 9/20/08 -- 12,193 First Data Corp. Sell 2,200 3.0000 9/20/08 -- 13,788 First Data Corp. Sell 1,650 3.0000 9/20/08 -- 10,341 Freescale Semiconductor, Inc. Sell 1,500 3.7200 9/20/11 -- (38,958)
88 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE ----------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Continued Freescale Semiconductor, Inc. Sell $ 2,165 3.5500% 9/20/11 $ -- $ (68,300) GMAC LLC Sell 3,400 1.4000 3/20/17 -- (392,679) GMAC LLC Sell 3,210 1.4000 3/20/17 -- (370,736) K. Hovnanian Enterprises, Inc. Sell 3,616 4.2200 9/20/08 -- (176,851) Lear Corp. Sell 3,205 2.1000 9/20/08 -- 19,421 Lear Corp. Sell 3,205 2.5000 9/20/08 -- 8,606 Lear Corp. Sell 3,175 3.7000 9/20/08 -- 68,655 Lear Corp. Sell 3,155 2.0000 9/20/08 -- 16,049 Lennar Corp. Sell 5,920 2.9000 12/20/08 -- (37,011) MBIA Inc. Sell 17,870 1.9500 9/20/08 -- 15,165 Mediacom LLC Sell 1,905 4.7500 9/20/12 -- 39,428 Mediacom LLC Sell 655 4.8000 9/20/12 -- 13,566 Mediacom LLC Sell 505 4.7500 9/20/12 -- 10,452 Mediacom LLC Sell 420 4.8000 9/20/12 -- 9,749 Nalco Co. Sell 960 3.4000 9/20/12 -- 20,349 Nortel Networks Corp. Sell 1,490 1.8500 9/20/08 -- 2,126 NXP B.V. Sell 2,165 4.1500 9/20/12 -- (115,219) NXP B.V. Sell 1,635 4.4500 9/20/12 -- (68,585) Reliant Energy, Inc. Sell 155 2.5000 9/20/11 -- (1,003) Rite Aid Corp. Sell 2,300 1.4500 9/20/08 -- (22,448) Rite Aid Corp. Sell 1,850 1.3500 9/20/08 -- (19,847) Rite Aid Corp. Sell 1,600 1.3500 9/20/08 -- (17,165) Six Flags, Inc. Sell 5,125 5.2200 9/20/08 -- 38,433 Six Flags, Inc. Sell 2,050 5.0000 9/20/08 -- 18,664 Six Flags, Inc. Sell 1,380 7.0000 9/20/08 -- 41,769 Smithfield Foods, Inc. Sell 4,085 1.5800 3/20/12 -- 2,693 The Bear Stearns Cos., Inc. Sell 9,945 1.6000 9/20/08 -- 48,133 Toys "R" Us, Inc. Sell 4,250 1.9500 9/20/08 -- (38,903) Toys "R" Us, Inc. Sell 1,778 4.3000 9/20/08 -- 24,062 Toys "R" Us, Inc. Sell 3,130 1.8500 9/20/08 -- (31,675) Tribune Co. Sell 1,605 7.4500 9/20/08 -- 8,309 Tribune Co. Sell 1,005 7.5500 9/20/08 -- 1,426 Tribune Co. Sell 400 7.5500 9/20/08 -- 485 Univision Communications, Inc. Sell 7,168 1.2000 6/20/08 -- (36,798) Univision Communications, Inc. Sell 3,241 1.1500 6/20/08 -- (17,831) Univision Communications, Inc. Sell 1,619 1.1000 6/20/08 -- (9,503) ----------------------------------------------------------------------------------------------------------------------------- Merrill Lynch International: Echostar DBS Corp. Sell 1,605 2.0500 9/20/11 -- 50,031 Reliant Energy, Inc. Sell 1,805 2.0500 9/20/11 -- (43,211) Republic of Turkey Sell 4,750 2.4700 4/20/17 -- 72,724 TXU Corp. Sell 4,450 2.0600 6/20/11 -- (270,843) TXU Corp. Sell 3,850 1.6200 6/20/11 -- (288,066)
89 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 8. CREDIT DEFAULT SWAP CONTRACTS Continued
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE ----------------------------------------------------------------------------------------------------------------------------- Merrill Lynch International: Continued TXU Corp. Sell $ 3,060 1.5800% 6/20/11 $ -- $ (232,839) TXU Corp. Sell 3,060 1.5900 6/20/11 -- (231,869) TXU Corp. Sell 3,050 1.5300 6/20/11 -- (236,916) ----------------------------------------------------------------------------------------------------------------------------- Morgan Stanley & Co. International Ltd.: Smithfield Foods, Inc. Sell 3,160 1.5100 3/20/12 -- 6,859 ----------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: ABX.HE.AA.06-2 Index Sell 1,320 0.1700 5/25/46 (131,994) (143,819) ABX.HE.AA.06-2 Index Sell 625 0.1700 5/25/46 (49,932) (68,096) CDX North America Investment Grade Index Sell 35,885 3.0000 3/23/13 -- 277,035 CDX.EM.8 Index Buy 34,630 1.7500 12/20/12 (311,670) (391,353) Companhia Vale Do Rio Doce Sell 3,290 1.0400 3/20/17 -- 2,002 Companhia Vale Do Rio Doce Sell 3,220 0.9700 3/20/17 -- (16,706) Companhia Vale Do Rio Doce Sell 3,190 0.9200 3/20/17 -- (27,939) Companhia Vale Do Rio Doce Sell 1,590 1.0600 3/20/17 -- 1,969 CVRD Inco Ltd. Buy 3,290 0.6000 3/20/17 -- (11,322) CVRD Inco Ltd. Buy 3,220 0.5200 3/20/17 -- 7,823 CVRD Inco Ltd. Buy 3,190 0.5200 3/20/17 -- 7,750 Dean Foods Co. Sell 3,030 0.9500 6/20/11 -- (48,160) Ford Motor Co. Sell 7,775 6.1500 12/20/16 -- 58,082 Ford Motor Co. Sell 2,705 5.9000 12/20/16 -- (38,461) General Motors Corp. Sell 6,220 4.9000 12/20/16 -- (20,344) General Motors Corp. Sell 2,175 4.6200 12/20/16 -- (123,322) Istanbul Bond Co. SA for Finansbank Sell 25,090 1.3000 3/24/13 -- (224,631) Lennar Corp. Sell 1,090 2.9000 12/20/08 -- (8,799) NXP B.V. Sell 705 4.9500 9/20/12 -- (11,179) Republic of Indonesia Sell 9,490 2.2300 9/20/12 -- 370,364 Republic of Peru Sell 6,760 1.0400 6/20/17 -- (48,919) Republic of Turkey Sell 9,500 1.6000 4/20/12 -- 69,942 Republic of Turkey Sell 8,290 2.7500 11/20/16 -- 264,139 Residential Capital LLC Sell 9,565 6.1700 9/20/08 -- (482,165) Residential Capital LLC Sell 3,253 6.2500 9/20/08 -- (161,711) ----------------------------------------------------------------------------------------------------------------------------- UBS AG: Lehman Brothers Holdings, Inc. Sell 3,980 1.5500 9/20/08 -- 29,378 Massey Energy Co. Sell 1,610 5.1000 9/20/12 -- 54,063 Massey Energy Co. Sell 960 5.0500 9/20/12 -- 30,452
90 | OPPENHEIMER STRATEGIC INCOME FUND
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM REFERENCE CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY ENTITY PROTECTION (000S) RATE DATES (RECEIVED) VALUE ----------------------------------------------------------------------------------------------------------------------------- UBS AG: Continued Republic of Indonesia Sell $ 6,450 2.3000% 9/20/11 $ -- $ 273,875 Republic of the Philippines Sell 9,895 1.4500 6/20/17 -- (372,714) The Mosaic Co. Sell 1,560 1.7800 9/20/12 -- 54,573 --------------------------- $(4,388,223) $(19,633,482) ===========================
-------------------------------------------------------------------------------- 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 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. 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. As of September 30, 2007, the Fund had entered into the following interest rate swap agreements:
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ---------------------------------------------------------------------------------------------------------- Banco Santander Central Hispano SA: Six-Month Tasa Nominal Annual (TNA- 3,247,000,000 CLP Chile) 6.6000% 8/21/17 $ 112,883 18,790,000 BRR BZDI 14.0000 1/3/12 699,221
91 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ---------------------------------------------------------------------------------------------------------- Barclays Bank plc: 87,900,000 MXN MXN TIIE 9.2700% 7/17/26 $ 668,288 Six-Month 149,890,000 NOK NIBOR 5.3850 1/29/10 (132,738) Six-Month 18,260,000 EUR 4.2200% EURIBOR 1/29/10 112,324 ---------------------------------------------------------------------------------------------------------- Citibank NA, London: Six-Month 11,710,000 PLZ WIBOR 5.5200 3/24/10 45,511 Six-Month 18,736,000 PLZ WIBOR 5.5500 3/25/10 75,388 ---------------------------------------------------------------------------------------------------------- Citibank NA, New York: 328,800,000 TWD 2.3200 TWD-Telerate 6/27/11 74,776 Six-Month Tasa Nominal 2,598,000,000 CLP Annual (TNA) 6.5300 8/25/17 128 ---------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Six-Month Inc. 30,925,000 PLZ WIBOR 4.4800 7/1/10 (310,408) ---------------------------------------------------------------------------------------------------------- Credit Suisse International: 84,250,000 MXN MXN TIIE 8.3000 12/17/26 (111,364) Six-Month Tasa Nominal Annual (TNA- 2,598,000,000 CLP Chile) 6.5800 8/21/17 83,874 ---------------------------------------------------------------------------------------------------------- Deutsche Bank AG: INR MIBOR- 329,300,000 INR 7.1750 OIS Compound 6/27/11 (1,433) Six-Month 1,604,000,000 HUF 8.4400 BUBOR 7/4/11 (487,370) ---------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: Six-Month 144,170,000 NOK NIBOR 5.4700 5/2/10 (14,582) EUR EURIBOR- 17,910,000 EUR 4.4155 Telerate 5/2/10 329 ---------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 187,430,000 MXN MXN TIIE 9.8400 12/31/09 677,187 ---------------------------------------------------------------------------------------------------------- Goldman Sachs International CNY- 66,200,000 CNY 4.0000 CFXSREPOFIX01 2/16/17 524,717
92 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ---------------------------------------------------------------------------------------------------------- J Aron & Co.: 94,770,000 MXN MXN TIIE 9.1500% 8/27/26 $ 593,943 40,600,000 MXN MXN TIIE 9.3300 9/16/26 322,233 34,060,000 BRR BZDI 12.9200 1/2/14 879,136 16,960,000 BRR BZDI 12.8700 1/2/14 423,575 33,770,000 BRR BZDI 12.7100 1/4/10 460,928 66,840,000 BRR BZDI 12.6100 1/4/10 835,604 41,081,100 BRR BZDI 12.3900 1/2/12 1,094,875 121,700,000 MXN MXN TIIE 9.5100 8/26/25 1,139,706 82,420,000 MXN MXN TIIE 9.5000 8/28/25 763,853 92,950,000 BRR BZDI 14.8900 1/4/10 3,621,213 130,000 BRR BZDI 12.2600 1/2/15 1,981 60,000 BRR BZDI 12.2900 1/2/15 946 70,300,000 MXN MXN TIIE 9.2900 7/17/26 532,367 18,790,000 BRR BZDI 14.0500 1/2/12 744,862 ---------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA: Three-Month 177,410,000 ZAR 8.2900% JIBA 6/21/08 366,840 41,099,351 BRR BZDI 12.3800 1/2/12 1,779,049 37,410,000 BRR BZDI 13.9100 1/2/12 2,672,896 ---------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: Six-Month 35,990,000 PLZ WIBOR 4.5300 7/5/10 (77,773) Fund pays the greater of 0% and 8*(- 0.0031375- (10 yr. CMS Index + 2 yr. CMS Index)) 49,020, 000 quarterly $ 1,404,900 2/5/17 (1,238,851) ---------------------------------------------------------------------------------------------------------- Morgan Stanley & Co. Three-Month International 4,492,000,000 KZT 8.2500 KZT 6/29/12 (1,219,710) ---------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Six-Month Inc. 38,630,000 EUR 4.7130 EURIBOR 8/22/17 (141,604) ---------------------------------------------------------------------------------------------------------- Three-Month Westpac 86,450,000 NZD 7.7750 NZD-BBR-FRA 9/17/09 153,569 ------------- $ 15,726,369 =============
93 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 9. INTEREST RATE SWAP CONTRACTS Continued Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: BRR Brazilian Real CLP Chilean Peso CNY Chinese Renminbi (Yuan) EUR Euro HUF Hungarian Forint INR Indian Rupee KZT Kazakhstan Tenge MXN Mexican Nuevo Peso TWD New Taiwan Dollar NZD New Zealand Dollar NOK Norwegian Krone PLZ Polish Zloty ZAR South African Rand Index abbreviations are as follows: BUBOR Budapest Interbank Offered Rate BZDI Brazil Interbank Deposit Rate CMS Constant Maturity Swap CNY-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 NZD-BBR-FRA New Zealand Dollar--Bank Bill Rate--Forward Rate Agreement WIBOR Poland Warsaw Interbank Offer Bid Rate -------------------------------------------------------------------------------- 10. TOTAL RETURN SWAP CONTRACTS A total return swap is an agreement under which a set of future cash flows is exchanged between two counterparties. One cash flow stream will typically be based on a reference interest rate or index and the other on the total return of a reference asset such as a security, a basket of securities, or an index. The total return includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Payments under the swap are based on an agreed upon principal amount but since this principal amount is not exchanged, it represents neither an asset nor a liability to either 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 during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the 94 | OPPENHEIMER STRATEGIC INCOME FUND counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the agreement or unfavorable changes occur in the reference asset). As of September 30, 2007, the Fund had entered into the following total return swap agreements:
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------------- Citibank NA, New York: Twelve-Month JPY BBA LIBOR plus 40 basis points and if negative, the absolute If positive, the value of the Total Total Return of a Return of a custom custom basket of 2,874,377,680 JPY basket of securities securities 4/8/08 $ 286,980 Twelve-Month GBP BBA LIBOR plus 35 basis points and if negative, the absolute If positive, the value of the Total Total Return of a Return of a custom custom basket of 12,207,291 GBP basket of securities securities 5/7/08 (81,691) ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: If positive, the Total Return of the If negative, the Lehman Brothers absolute value of the U.S. CMBS Lehman Brothers U.S. AAA 8.5+ CMBS AAA 8.5+ Index plus 60 29,610,000 Index basis points 2/1/08 212,227 Six-Month USD BBA 13,250,000 LIBOR 5.4600% 5/13/15 2,688,338 Six-Month USD 7,260,000 LIBOR 5.2500 6/23/15 1,227,085 ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, London: One-Month BBA EURIBOR plus 10 basis points and if negative, the absolute If positive, the value of the Total Total Return of a Return of a custom custom equity 6,752,653 EUR equity basket basket 10/7/08 (150,519)
95 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. TOTAL RETURN SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG, London: Continued One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute If positive, the value of the Total Total Return of a Return of a custom custom equity $20,693,236 equity basket basket 9/15/08 $ 810,598 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Six-Month BBA 7,490,000 LIBOR 5.1000% 1/14/15 1,580,439 Six-Month BBA 7,490,000 LIBOR 5.0800 1/20/15 1,621,297 ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: One-Month USD BBA LIBOR and if negative, the absolute If positive, the value of the Total Total Return of the Return of the MSCI MSCI Daily Total Daily Total Return Return Net Belgium Net Belgium USD USD Market 926,913 Market Index Index 10/9/07 13,356 If positive, the If negative, the absolute value of Total Return of the the Total Return BOVESPA 10/07 of the BOVESPA 15,245,202 BRR Index 10/07 Index 10/18/07 988,314 If positive, the If negative, the absolute value of Total Return of the the Total Return BOVESPA 10/07 of the BOVESPA 1,012,620 BRR Index 10/07 Index 10/18/07 140,516 If negative, the If positive, the absolute value of Total Return of the Total Return the INDF/NSE INDF/NSE NIFTY Index NIFTY Index (357,368,000) INR 10/07 Future 10/07 Future 10/25/07 (140,312)
96 | OPPENHEIMER STRATEGIC INCOME FUND
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: Continued If negative, the If positive, the absolute value of Price Return of the Price Return the SMI 12/07 of the SMI 12/07 (9,352,161) CHF Future Future 12/28/07 $ (154,634) One-Month USD BBA LIBOR plus spread and if negative, the absolute If positive, the value of the Total Total Return of a Return of a custom custom equity 80,436,402 equity basket basket 1/8/08 2,882,740 One-Month USD BBA LIBOR and if negative, the If positive, the absolute value of the Total Return of Total Return of the the MSCI Daily MSCI Daily Total Total Return Return Net Belgium Net Belgium USD 7,194,271 USD Market Index Market Index 10/9/07 124,434 ------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: If positive, the If negative, the Total Return of absolute value of the U.S. CMBS the Lehman AAA 8.5+ Index Brothers U.S. CMBS plus 32.5 basis 19,410,000 AAA 8.5+ Index points 11/1/07 131,847 If positive, the Total Return of If negative, the the Lehman absolute value of Brothers U.S. CMBS the Lehman AAA 8.5+ Index Brothers U.S. CMBS plus 60 basis 10,765,000 AAA 8.5+ Index points 2/1/08 73,512 If positive, the Total Return of If negative, the the Lehman absolute value of Brothers U.S. CMBS the Lehman AAA 8.5+ Index Brothers U.S. CMBS minus 25 basis 13,750,000 AAA 8.5+ Index points 3/1/08 87,689
97 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 10. TOTAL RETURN SWAP CONTRACTS Continued
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------------------------------------------------------------------------------------------------------------------- Merrill Lynch Capital Services, Inc.: The Constant Maturity Option Price divided by $ 43,500,000 5.3300% 10,000 8/13/17 $ (991,029) The Constant Maturity Option Price divided by 177,060,000 4.6600 10,000 6/11/17 3,355,641 ------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: If positive, the If negative, the Total Return of absolute value of the Lehman the Lehman Brothers U.S. CMBS Brothers U. S. CMBS AAA 8.5+Index 3,000,000 AAA 8.5+ Index plus 25 basis points 10/31/07 20,474 If positive, the Total Return of If negative, the the Lehman absolute value of Brothers U.S. CMBS the Lehman AAA 8.5+Index Brothers U.S. CMBS plus 110 basis 4,240,000 AAA 8.5+ Index points 1/31/08 31,739 Three-Month USD 936,780,000 RUR BBA LIBOR 7.7500% 12/26/13 87,691 ------------------------------------------------------------------------------------------------------------------------- One-Month EUR If positive, the BBA LIBOR and if Total Return of a negative, the custom basket of absolute value of securities plus the the Total Return of dividends from the Morgan Stanley a custom basket of basket of International 11,988,600 EUR securities securities 12/20/07 331,857 ------------------------------------------------------------------------------------------------------------------------- If positive, the Total Return of If negative, the the Lehman absolute value of Brothers U.S. CMBS the Lehman AAA 8.5+ Index Brothers U.S. CMBS plus 60 basis UBS AG 13,457,000 AAA 8.5+ Index points 2/1/08 95,501 ------------ $15,274,090 ============
98 | OPPENHEIMER STRATEGIC INCOME FUND 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 Index abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate BOVESPA Bovespa Index that trades on the Sao Paulo Stock Exchange CMBS Commercial Mortgage Backed Securities EURIBOR Euro Interbank Offered Rate INDF/NSE NIFTY Index Indian National Stock Exchange Nifty Index LIBOR London-Interbank Offered Rate MSCI Morgan Stanley Capital International SMI Swiss Market Index -------------------------------------------------------------------------------- 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 counter-party 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. 99 | OPPENHEIMER STRATEGIC INCOME FUND NOTES TO FINANCIAL STATEMENTS Continued -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 11. CURRENCY SWAPS Continued As of September 30, 2007, the Fund entered into the following currency swap arrangements:
NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE -------------------------------------------------------------------------------------------- Credit Suisse International: Three Month USD 11,360,000 TRY BBA LIBOR 16.75% 2/26/12 $ 2,483,251 Three-Month USD 4,575,000 TRY BBA LIBOR 17.25 2/7/12 1,144,830 Three-Month USD 6,900,000 TRY BBA LIBOR 17.30 2/9/12 1,722,781 -------------------------------------------------------------------------------------------- Merrill Lynch Three-Month BBA International 7,160,000 TRY LIBOR 17.10 2/6/12 1,736,890 ------------ $ 7,087,752 ============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency: TRY New Turkish Lira Index abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate -------------------------------------------------------------------------------- 12. ILLIQUID SECURITIES As of September 30, 2007, investments in securities included issues that are illiquid. A security may 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 securities. Securities that are illiquid are marked with the applicable footnote on the Statement of Investments. -------------------------------------------------------------------------------- 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 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 100 | OPPENHEIMER STRATEGIC INCOME FUND loaned or in gaining access to the collateral. The Fund continues to receive the economic benefit of interest or dividends paid on the securities loaned in the form of a substitute payment received from the borrower. As of September 30, 2007, the Fund had on loan securities valued at $239,036,233, which are included in the Statement of Assets and Liabilities as "Investments, at value" and, when applicable, as "Receivable for Investments sold." Collateral of $243,457,871 was received for the loans, $120,576,273 of which was received in cash and subsequently invested in approved investments. In addition, collateral of $122,881,598 was also received in the form of securities. -------------------------------------------------------------------------------- 14. RECENT ACCOUNTING PRONOUNCEMENT In June 2006, the Financial Accounting Standards Board ("FASB") issued FASB Interpretation No. 48 ("FIN 48"), ACCOUNTING FOR UNCERTAINTY IN INCOME TAXES. FIN 48 clarifies the accounting for uncertainty in income taxes recognized in an enterprise's financial statements in accordance with FASB Statement No. 109, ACCOUNTING FOR INCOME TAXES. FIN 48 requires the evaluation of tax positions taken in the course of preparing the Fund's tax returns to determine whether it is "more-likely-than-not" that tax positions taken in the Fund's tax return will be ultimately sustained. A tax liability and expense must be recorded in respect of any tax position that, in Management's judgment, will not be fully realized. FIN 48 is effective for fiscal years beginning after December 15, 2006. As of September 30, 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, ("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 September 30, 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. -------------------------------------------------------------------------------- 15. ACQUISITION OF ATLAS STRATEGIC INCOME FUND On May 10, 2007, the Fund acquired all of the net assets of Atlas Strategic Income Fund, pursuant to an Agreement and Plan of Reorganization approved by the Atlas Strategic Income Fund shareholders on March 23, 2007. The Fund issued (at an exchange ratio of 1.049645 for Class A to one share of Atlas Strategic Income Fund) 59,159,381, shares of beneficial interest for Class A valued at $260,892,868 in exchange for the net assets, resulting in combined Class A net assets of $5,988,114,190 on May 10, 2007. The net assets acquired included net unrealized appreciation of $12,016,003. The exchange qualified as a tax-free reorganization for federal income tax purposes. 101 | OPPENHEIMER STRATEGIC INCOME FUND REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF OPPENHEIMER STRATEGIC INCOME FUND: We have audited the accompanying statement of assets and liabilities of Oppenheimer Strategic Income Fund (the "Fund"), including the statement of investments, as of September 30, 2007, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2007, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Fund as of September 30, 2007, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. DELOITTE & TOUCHE LLP Denver, Colorado November 14, 2007 102 | OPPENHEIMER STRATEGIC INCOME FUND FEDERAL INCOME TAX INFORMATION Unaudited -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- In early 2008, if applicable, shareholders of record will receive information regarding all dividends and distributions paid to them by the Fund during calendar year 2007. Regulations of the U.S. Treasury Department require the Fund to report this information to the Internal Revenue Service. Dividends, if any, paid by the Fund during the fiscal year ended September 30, 2007 which are not designated as capital gain distributions should be multiplied by 0.20% to arrive at the amount eligible for the corporate dividend-received deduction. A portion, if any, of the dividends paid by the Fund during the fiscal year ended September 30, 2007 which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. $1,023,299 of the Fund's fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2008, shareholders of record will receive information regarding the percentage of distributions that are eligible for lower individual income tax rates. Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the fiscal year ended September 30, 2007, $227,117,762 or 58.40% of the ordinary distributions paid by the Fund qualifies as an interest related dividend. The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance. 103 | 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. 104 | 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. 105 | 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. Mr. Steinmetz has been a portfolio manager of the Fund since October 1989. 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, 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 considered 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 and other multi-sector income 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. 106 | OPPENHEIMER STRATEGIC INCOME FUND ECONOMIES OF SCALE. The Board reviewed whether the Manager may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with shareholders 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 quality services to the Fund and that maintaining the financial viability of the Manager is important in order for the Manager to continue to provide significant services to the Fund and its shareholders. CONCLUSIONS. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees' counsel are both independent of the Manager within the meaning and intent of the Securities and Exchange Commission Rules. Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreement for another year. In arriving at this decision, the Board considered all of the above information, and considered the terms and conditions of the Agreement, including the management fee, in light of all of the surrounding circumstances. 107 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited --------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------------- NAME, POSITION(S) HELD WITH THE PRINCIPAL OCCUPATION(S) DURING THE PAST 5 YEARS; OTHER TRUSTEESHIPS/DIRECTORSHIPS FUND, LENGTH OF SERVICE, AGE HELD; NUMBER OF PORTFOLIOS IN THE FUND COMPLEX CURRENTLY OVERSEEN INDEPENDENT THE ADDRESS OF EACH TRUSTEE IN THE CHART BELOW IS 6803 S. TUCSON WAY, CENTENNIAL, TRUSTEES COLORADO 80112-3924. EACH TRUSTEE SERVES FOR AN INDEFINITE TERM, OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. WILLIAM L. ARMSTRONG, President, Colorado Christian University (since 2006); Chairman, Cherry Creek Chairman of the Board of Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since Trustees (since 2003), 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Trustee (since 1999) Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director Age: 70 of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), Campus Crusade for Christ (non-profit) (since 1991); Former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 38 portfolios in the OppenheimerFunds complex. GEORGE C. BOWEN, Assistant Secretary and Director of the Manager (December 1991-April 1999); Trustee (since 2000) President, Treasurer and Director of Centennial Capital Corporation (June Age: 71 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with OppenheimerFunds, Inc. and with subsidiary or affiliated companies of OppenheimerFunds, Inc. (September 1987-April 1999). Oversees 38 portfolios in the OppenheimerFunds complex. EDWARD L. CAMERON, Member of The Life Guard of Mount Vernon (George Washington historical site) (June Trustee (since 2000) 2000-May 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July Age: 69 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 38 portfolios in the OppenheimerFunds complex. JON S. FOSSEL, Director of UNUMProvident (insurance company) (since June 2002); Director of Trustee (since 1990) Northwestern Energy Corp. (public utility corporation) (since November 2004); Age: 65 Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and since February 2005); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. ("OAC") (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 38 portfolios in the OppenheimerFunds complex. SAM FREEDMAN, Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Trustee (since 1996) Freedman held several positions with the Manager and with subsidiary or affiliated Age: 67 companies of the Manager (until October 1994). Oversees 38 portfolios in the OppenheimerFunds complex.
108 | OPPENHEIMER STRATEGIC INCOME FUND BEVERLY L. HAMILTON, Trustee of Monterey Institute for International Studies (educational organization) Trustee (since 2002) (since February 2000); Board Member of Middlebury College (educational Age: 61 organization) (since December 2005); Director of The California Endowment (philanthropic organization) (since April 2002); Director (February 2002-2005) and Chairman of Trustees (since 2006) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds' Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (since 2001) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston's Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex. ROBERT J. MALONE, Director of Jones Knowledge, Inc. (since 2006); Director of Jones International Trustee (since 2002) University (educational organization) (since August 2005); Chairman, Chief Age: 63 Executive Officer and Director of Steele Street State Bank (commercial banking) (since August 2003); Director of Colorado UpLift (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 38 portfolios in the OppenheimerFunds complex. F. WILLIAM MARSHALL, JR., Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) Trustee (since 2000) (investment company) (since 1996) and MML Series Investment Fund (investment Age: 65 company) (since 1996); Trustee of Worcester Polytech Institute (since 1985); Chairman (since 1994) of the Investment Committee of the Worcester Polytech Institute (private university); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); and Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999). Oversees 40 portfolios in the OppenheimerFunds complex. -------------------------------------------------------------------------------------------------------------------- INTERESTED TRUSTEE AND THE ADDRESS OF MR. MURPHY IS TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, 11TH OFFICER FLOOR, NEW YORK, NEW YORK 10281-1008. MR. MURPHY SERVES AS A TRUSTEE FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL AND AS AN OFFICER FOR AN INDEFINITE TERM, OR UNTIL HIS RESIGNATION, RETIREMENT, DEATH OR REMOVAL. MR. MURPHY IS AN INTERESTED TRUSTEE DUE TO HIS POSITIONS WITH OPPENHEIMERFUNDS, INC. AND ITS AFFILIATES. JOHN V. MURPHY, Chairman, Chief Executive Officer and Director of the Manager (since June 2001); Trustee, President and President of the Manager (September 2000-March 2007); President and director or Principal Executive Officer trustee of other Oppenheimer funds; President and Director of Oppenheimer (since 2001) Acquisition Corp. ("OAC") (the Manager's parent holding company) and of Age: 58 Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) (November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001);
109 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued -------------------------------------------------------------------------------- JOHN V. MURPHY, President and Director of OppenheimerFunds Legacy Program (charitable trust Continued program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation, Trinity Investment Management Corporation and Tremont Capital Management, Inc. (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC's parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute's Board of Governors (since October 2003); Chief Operating Officer of the Manager (September 2000- June 2001). Oversees 102 portfolios in the OppenheimerFunds complex. -------------------------------------------------------------------------------------------------------------------- OTHER OFFICERS OF THE THE ADDRESSES OF THE OFFICERS IN THE CHART BELOW ARE AS FOLLOWS: FOR MESSRS. FUND STEINMETZ, ZACK, GILLESPIE AND MS. BLOOMBERG, TWO WORLD FINANCIAL CENTER, 225 LIBERTY STREET, NEW YORK, NEW YORK 10281-1008, FOR MESSRS. VANDEHEY, WIXTED, PETERSEN, SZILAGYI AND MS. IVES, 6803 S. TUCSON WAY, CENTENNIAL, COLORADO 80112- 3924. EACH OFFICER SERVES FOR AN INDEFINITE TERM OR UNTIL HIS OR HER RESIGNATION, RETIREMENT, DEATH OR REMOVAL. ARTHUR P. STEINMETZ, Senior Vice President of the Manager (since March 1993) and of HarbourView Asset Vice President and Portfolio Management Corporation (since March 2000). An officer of 4 portfolios in the Manager (since 1993) OppenheimerFunds complex. Age: 48 MARK S. VANDEHEY, Senior Vice President and Chief Compliance Officer of the Manager (since March Vice President and Chief 2004); Chief Compliance Officer of the Manager, OppenheimerFunds Distributor, Compliance Officer (since Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004) 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Age: 57 Management Corporation and Shareholder Services, Inc. (since June 1983). Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 102 portfolios in the OppenheimerFunds complex. BRIAN W. WIXTED, Senior Vice President and Treasurer of the Manager (since March 1999); Treasurer Treasurer and Principal of the following: HarbourView Asset Management Corporation, Shareholder Financial Financial & Accounting Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Officer (since 1999) Inc. and Oppenheimer Partnership Holdings, Inc. (since March 1999), OFI Private Age: 48 Investments, Inc. (since March 2000), OppenheimerFunds International Ltd. (since May 2000), OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (since March 1999), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000-June 2003); Principal and Chief Operating Officer of Bankers Trust Company-Mutual Fund Services Division (March 1995-March 1999). An officer of 102 portfolios in the OppenheimerFunds complex.
110 | OPPENHEIMER STRATEGIC INCOME FUND BRIAN S. PETERSEN, Vice President of the Manager (since February 2007); Assistant Vice President of Assistant Treasurer the Manager (August 2002-February 2007); Manager/Financial Product Accounting of (since 2004) the Manager (November 1998-July 2002). An officer of 102 portfolios in the Age: 37 OppenheimerFunds complex. BRIAN C. SZILAGYI, Assistant Vice President of the Manager (since July 2004); Director of Financial Assistant Treasurer Reporting and Compliance of First Data Corporation (April 2003-July 2004); Manager (since 2005) of Compliance of Berger Financial Group LLC (May 2001-March 2003); Director of Age: 37 Mutual Fund Operations at American Data Services, Inc. (September 2000-May 2001). An officer of 102 portfolios in the OppenheimerFunds complex. ROBERT G. ZACK, Executive Vice President (since January 2004) and General Counsel (since March Vice President and Secretary 2002) of the Manager; General Counsel and Director of the Distributor (since (since 2001) December 2001); General Counsel of Centennial Asset Management Corporation (since Age: 59 December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds (Asia) Limited (since December 2003); Senior Vice President (May 1985-December 2003), Acting General Counsel (November 2001-February 2002) and Associate General Counsel (May 1981-October 2001) of the Manager; Assistant Secretary of the following: Shareholder Services, Inc. (May 1985-November 2001), Shareholder Financial Services, Inc. (November 1989-November 2001), and OppenheimerFunds International Ltd. (September 1997-November 2001). An officer of 102 portfolios in the OppenheimerFunds complex. LISA I. BLOOMBERG, Vice President and Associate Counsel of the Manager (since May 2004); First Vice Assistant Secretary President (April 2001-April 2004), Associate General Counsel (December 2000-April (since 2004) 2004), Corporate Vice President (May 1999-April 2001) and Assistant General Age: 39 Counsel (May 1999-December 2000) of UBS Financial Services Inc. (formerly, PaineWebber Incorporated). An officer of 102 portfolios in the OppenheimerFunds complex. PHILLIP S. GILLESPIE, Senior Vice President and Deputy General Counsel of the Manager (since September Assistant Secretary 2004); First Vice President (2000-September 2004), Director (2000- September 2004) (since 2004) and Vice President (1998-2000) of Merrill Lynch Investment Management. An officer Age: 43 of 102 portfolios in the OppenheimerFunds complex.
111 | OPPENHEIMER STRATEGIC INCOME FUND TRUSTEES AND OFFICERS Unaudited / Continued -------------------------------------------------------------------------------- KATHLEEN T. IVES, Vice President (since June 1998) and Senior Counsel and Assistant Secretary (since Assistant Secretary October 2003) of the Manager; Vice President (since 1999) and Assistant Secretary (since 2001) (since October 2003) of the Distributor; Assistant Secretary of Centennial Asset Age: 42 Management Corporation (since October 2003); Vice President and Assistant Secretary of Shareholder Services, Inc. (since 1999); Assistant Secretary of OppenheimerFunds Legacy Program and Shareholder Financial Services, Inc. (since December 2001); Assistant Counsel of the Manager (August 1994-October 2003). An officer of 102 portfolios in the OppenheimerFunds complex.
THE FUND'S STATEMENT OF ADDITIONAL INFORMATION CONTAINS ADDITIONAL INFORMATION ABOUT THE FUND'S TRUSTEES AND OFFICERS AND IS AVAILABLE WITHOUT CHARGE, UPON REQUEST, BY CALLING 1.800.525.7048. 112 | OPPENHEIMER STRATEGIC INCOME FUND ITEM 2. CODE OF ETHICS. The registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. The Board of Trustees of the registrant has determined that Edward L. Cameron, the Chairman of the Board's Audit Committee, and George C. Bowen, a member of the Board's Audit Committee, are audit committee financial experts and that Messrs. Cameron and Bowen are "independent" for purposes of this Item 3. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) Audit Fees The principal accountant for the audit of the registrant's annual financial statements billed $66,000 in fiscal 2007 and $77,000 in fiscal 2006. (b) Audit-Related Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees in fiscal 2007 and $40,000 in fiscal 2006 to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such services include review of management's assessment of the financial statements disclosure impacts of an IRS private letter ruling. (c) (c) Tax Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years. The principal accountant for the audit of the registrant's annual financial statements billed no such fees to the registrant during the last two fiscal years to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. (d) All Other Fees The principal accountant for the audit of the registrant's annual financial statements billed no such fees in fiscal 2007 and $22,777 in fiscal 2006. The principal accountant for the audit of the registrant's annual financial statements billed $32,732 in fiscal 2007 and no such fees in fiscal 2006 to the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. Such fees would include compliance review and professional services for 22c-2 program. (e) (1) During its regularly scheduled periodic meetings, the registrant's audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. (2) 100% (f) Not applicable as less than 50%. (g) The principal accountant for the audit of the registrant's annual financial statements billed $32,732 in fiscal 2007 and $62,777 in fiscal 2006 to the registrant and the registrant's investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. (h) No such services were rendered. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not applicable. ITEM 6. SCHEDULE OF INVESTMENTS. Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. THE FUND'S GOVERNANCE COMMITTEE PROVISIONS WITH RESPECT TO NOMINATIONS OF DIRECTORS/TRUSTEES TO THE RESPECTIVE BOARDS 1. The Fund's Governance Committee (the "Committee") will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds' investment manager and its affiliates in making the selection. 2. The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual's background, skills, and experience; whether the individual is an "interested person" as defined in the Investment Company Act of 1940; and whether the individual would be deemed an "audit committee financial expert" within the meaning of applicable SEC rules. The Committee also considers whether the individual's background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. 3. The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: o the name, address, and business, educational, and/or other pertinent background of the person being recommended; o a statement concerning whether the person is an "interested person" as defined in the Investment Company Act of 1940; o any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and o the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. 4. Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds' investment adviser) would be deemed an "interested person" under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds' outside legal counsel may cause a person to be deemed an "interested person." 5. Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. ITEM 11. CONTROLS AND PROCEDURES. Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 09/30/2007, 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) Exhibit attached hereto. (2) Exhibits attached hereto. (3) Not applicable. (b) Exhibit attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Strategic Income Fund By: /s/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: 11/14/2007 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: 11/14/2007 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 11/14/2007