--------------------------------
Semiannual Report March 31, 1998
--------------------------------
OPPENHEIMER
Strategic
Income Fund
[GRAPHIC OMITTED]
[LOGO]
OppenheimerFunds(SM)
THE RIGHT WAY TO INVEST
<PAGE>
Contents
3 President's Letter
4 Fund Performance
6 An Interview
with the Fund's
Managers
11 Statement of
Investments
46 Statement of
Assets and
Liabilities
48 Statement of
Operations
49 Statements of
Changes in
Net Assets
50 Financial Highlights
53 Notes to Financial
Statements
66 Officers and
Trustees
68 Information and
Services
Report highlights
- --------------------------------------------------------------------------------
o 4-star Morningstar: The Fund's Class A shares have maintained their overall
4-star Morningstar ranking for the combined 3- and 5-year periods ended March
31, 1998, among 1,403 (3-year) and 831 (5-year) fixed-income funds.(1)
o The Fund, as well as the overall bond market, benefited from continued low
inflation and strong growth in the U.S. economy.
o By avoiding major exposure to Asian markets, we limited the impact of declines
in these markets and took advantage of new values in emerging market credits.
- -------------------------------
Cumulative Total Returns
- -------------------------------
For the 6-Month Period
Ended 3/31/98
Class A
Without With
Sales Chg.(2) Sales Chg.(3)
- -------------------------------
3.68% (1.25)%
- -------------------------------
Class B
Without With
Sales Chg.(2) Sales Chg.(3)
- -------------------------------
3.28% (1.69)%
- -------------------------------
Class C
Without With
Sales Chg.(2) Sales Chg.(3)
- -------------------------------
3.09% 2.09%
- -------------------------------
Class Y
Without With
Sales Chg.(2) Sales Chg.(3)
- -------------------------------
N/A N/A
- -------------------------------
Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
In reviewing performance and rankings, please remember that past performance
does not guarantee future results. 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 the original cost.
1. Source: Morningstar, Inc., 3/31/98. Morningstar, Inc. ranks mutual funds in
broad investment classes, based on risk-adjusted returns after considering sales
charges and expenses. Return and risk are measured as performance above and
below the 90-day U.S. Treasury bill returns, respectively. Overall star ranking
is subject to change monthly. Top 10% are ranked 5 stars, next 22.5% are 4
stars, middle 35% are 3 stars, next 22.5% are 2 stars and bottom 10% are 1 star.
2. Includes changes in net asset value per share without deducting any sales
charges. This performance is not annualized.
3. Class A return includes the current maximum initial sales charge of 4.75%.
Class B return includes the applicable contingent deferred sales charge of 5%.
Class C return includes the contingent deferred sales charge of 1%. Class Y
shares are not available for sale to individual investors. An explanation of the
different performance calculations is in the Fund's prospectus. Class B and C
shares are subject to an annual 0.75% asset-based sales charge. This performance
is not annualized.
2 Oppenheimer Strategic Income Fund
<PAGE>
Dear shareholder,
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[PHOTO OMITTED]
James C. Swain
Chairman
Oppenheimer
Strategic Income Fund
[PHOTO OMITTED]
Bridget A. Macaskill
President
Oppenheimer
Strategic Income Fund
These have been very positive times for many American investors. The U.S.
economy has continued to grow at a moderate pace, unemployment has fallen to its
lowest level in 30 years and inflation has also fallen to a record low. In fact,
long-term interest rates have fallen to their lowest level since the government
began issuing 30-year Treasury bonds in 1977.
What benefits does this provide to the average American? First, when
unemployment levels are low, many individuals tend to feel a greater sense of
job security and can command higher wages because there are fewer unemployed
workers vying for their jobs. Second, many homeowners are opting to refinance
their existing home mortgage loans and take advantage of lower financing rates.
And third, because wages are increasing faster than the rate of inflation, a
paycheck may stretch farther and investors, as consumers, are able to enjoy a
higher level of disposable income. This extra income can be put to use in many
ways, including allocating more money to investment opportunities.
Some industry analysts have tempered such positive news by suggesting that
if the rate of inflation falls any lower, it might actually trigger a period of
deflation, where we see the prices of American goods and services decline. While
lower prices may sound like positive news, in reality it isn't: When prices fall
too low, it erodes the value of those goods to the producer. That is, when
economic conditions force a decrease in the price of goods, companies have to
sell more of those items in order to make the same amount of profit, which
translates into greater difficulties for corporations to improve their bottom
lines.
At OppenheimerFunds, we do not believe we will see a period of deflation in
the United States. The fundamental factors that have driven the U.S. market
still appear to be in place: an economy that's in its eighth year of expansion
with moderate growth, low unemployment, virtually no inflation and low interest
rates. However, because of economic uncertainties in other parts of the world,
particularly Asia, we expect to see slower growth for stocks in 1998 and a year
in which double-digit returns from the equity markets are unlikely. It's also
possible that we may see investors favor the fixed, more secure interest
payments offered from the bond markets.
In closing, we'd like to reassure you that as professional money managers,
we continue to keep a watchful eye on these situations and are closely
monitoring your fund's investments. In times like these, your financial advisor
can be of invaluable assistance to you in helping review your financial plan and
guide your investments accordingly.
Thank you for your confidence in OppenheimerFunds, The Right Way to Invest.
We look forward to helping you reach your investment goals in the future.
/s/ James C. Swain /s/ Bridget A. Macaskill
James C. Swain Bridget A. Macaskill
April 21, 1998
3 Oppenheimer Strategic Income Fund
<PAGE>
Performance update
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- --------------------------
Avg Annual Total Returns
- --------------------------
For the Periods Ended 3/31/98(1)
Class A
Since
1 year 5 year Inception
- --------------------------
6.22% 8.11% 10.16%
- --------------------------
Class B
Since
1 year 5 year Inception
- --------------------------
5.66% 8.08% 9.11%
- --------------------------
Class C
Since
1 year 5 year Inception
- --------------------------
9.46% N/A 10.15%
- --------------------------
Class Y
Since
1 year 5 year Inception
- --------------------------
N/A N/A 1.81%
- --------------------------
- --------------------------
Cumulative Total Return
- --------------------------
For the Period Ended 3/31/98(1)
Class A
5 year
- --------------------------
47.71% $14,771(3)
- --------------------------
Oppenheimer Strategic Income Fund successfully navigated a period of unusually
high volatility in emerging markets, while taking advantage of a supportive
environment for the U.S. bond market. Despite the Fund's relatively conservative
position at the outset of the period, we capitalized on opportunities in U.S.
government securities, high-yield corporate bonds and foreign fixed-income
securities to minimize risk and provide investors with high income. The Fund's
solid performance enabled its Class A shares to maintain its overall 4-star
Morningstar ranking for the 3- and 5-year periods ended March 31, 1998.(2)
Growth of $10,000
Over five years(3)
(without sales charges)
[GRAPHIC OMITTED]
Oppenheimer Strategic Income Fund
Class A shares
Q1 Q2 Q3 Q4
93 $10,000.00 $10,416.04 $10,739.51 $11,251.58
94 $10,848.66 $10,801.79 $10,954.88 $10,751.13
95 $10,888.42 $11,531.97 $11,893.24 $12,404.59
96 $12,611.34 $12,947.93 $13,452.43 $13,965.75
97 $13,915.81 $14,482.06 $14,970.31 $15,133.70
98 $15,517.63 -- -- --
Lehman Aggregate Bond Index
Q1 Q2 Q3 Q4
93 $10,000.00 $10,265.59 $10,533.14 $10,538.86
94 $10,236.05 $10,130.81 $10,192.74 $10,231.27
95 $10,747.34 $11,402.18 $11,626.45 $12,121.62
96 $11,905.39 $11,973.36 $13,193.83 $12,559.77
97 $12,489.61 $12,948.30 $13,378.49 $13,772.36
98 $13,968.56 -- -- --
1. Total returns include changes in share price and reinvestment of dividends
and capital gains distributions in a hypothetical investment for the periods
shown. Class A returns include the current maximum initial sales charge of
4.75%. Class A shares were first publicly offered on 10/16/89. Class B returns
include the applicable contingent deferred sales charge of 5% (1-year) and 1%
(since inception on 11/30/92). Class C returns for the one-year result include
the contingent deferred sales charge of 1%. Class C shares have an inception
date of 5/26/95. Class Y shares have an inception date of 1/26/98 and are not
available for sale to individual investors. An explanation of the different
performance calculations is in the Fund's prospectus. Class B and C shares are
subject to an annual 0.75% asset-based sales charge.
4 Oppenheimer Strategic Income Fund
<PAGE>
Portfolio review
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- --------------------------
Standardized Yields(4)
- --------------------------
For the 30 Days Ended 3/31/98
Class A
- --------------------------
8.11%
- --------------------------
Class B
- --------------------------
7.77%
- --------------------------
Class C
- --------------------------
7.81%
- --------------------------
Class Y
- --------------------------
9.17%
- --------------------------
Asset Allocation(5)
[PIE CHART OMITTED]
o Bonds 90.0%
o Structured Notes 6.5
o Stocks 3.4
o Other Securities 0.1
Oppenheimer Strategic Income Fund is for investors looking for high income from
a fund that aims to lower volatility.
What We Look For
o Investments that provide high income.
o Relative value, as compared with other securities or sectors of the market.
o Diversification sought from securities that tend to "zig" when others may
"zag."
Top 10 Countries(5)
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United States 70.8% Russia 2.4%
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Germany 3.7 Great Britain 2.2
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Argentina 2.8 Canada 2.1
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Mexico 2.6 Australia 1.7
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Brazil 2.5 Poland 1.1
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2. Source: Morningstar, Inc., 3/31/98. Morningstar, Inc. ranks mutual funds
in broad investment classes, based on risk-adjusted returns after considering
sales charges and expenses. Return and risk are measured as performance above
and below the 90-day U.S. Treasury bill returns, respectively. Overall star
ranking is subject to change monthly. Top 10% are ranked 5 stars, next 22.5% are
4 stars, middle 35% are 3 stars, next 22.5% are 2 stars and bottom 10% are 1
star. Past performance does not guarantee future results.
3. Results of a hypothetical $10,000 investment in Class A shares on March 31,
1993. The Lehman Aggregate Bond Index is an unmanaged broad-based index of
investment grade U.S. corporate bond issues, U.S. government securities and
mortgage-backed securities and cannot be purchased directly by investors.
4. Standardized yield is based on net investment income for the 30-day period
ended 3/31/98. Falling net asset values will tend to artificially raise yields.
5. Portfolio data is as of 3/31/98, and is subject to change. Portfolio data is
dollar-weighted based on total market value of investments. The Fund may invest
without limit in below-investment-grade securities which carry a greater risk
that the issuer may default on principal or interest payments.
5 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
- --------------------------------------------------------------------------------
"We successfully navigated the turbulence of the Asian crisis."
How has the Fund performed during the last six months?
Oppenheimer Strategic Income Fund's Class A shares delivered a cumulative total
return, without sales charges, of 3.68% for the six-month period ended March 31,
1998.1 Our conservative positioning of the Fund caused performance to lag during
the first half of the period. However, we successfully navigated the turbulence
of the Asian crisis and the related selloff in emerging markets.
What events had the greatest impact on the fixed-income market?
The most important factor in the market's performance was the prolongation of
the benign U.S. economic environment. That environment, characterized by low
inflation and strong growth, was supportive of the entire bond market. Corporate
bonds, which are sensitive not only to interest rates but also to corporate
financial performance, experienced extremely low rates of default. These
conditions contributed to the positive performance of the Fund's holdings in the
high-yield sector.
The decline in Asian markets and currencies also played an important role
in the market's performance. This decline not only hurt Asian securities, but
also caused a decline in other emerging markets as a result of shaken investor
confidence. However, the impact of events in Asia was positive as well as
negative. It created new values in emerging market bonds as the spread--the
difference in yield between such credits and more conservative instruments--grew
wider. Events in Asia also reduced U.S. inflation concerns with the promise of
inexpensive imports and likelihood of smaller foreign markets for U.S. goods.
1. Includes changes in net asset value per share without deducting any sales
charges. Such performance is not annualized and would have been lower if sales
charges were taken into account.
6 Oppenheimer Strategic Income Fund
<PAGE>
[PHOTO]
Portfolio Management
Team (l to r)
Art Steinmetz
David Negri
(Portfolio Managers)
Ashwin Vasan
How did you manage the Fund in this environment?
The Fund's disciplined strategy of sector diversification with a focus on
relative value enabled us to limit risks while providing shareholders with high
income. We managed the Fund in each of our areas of concentration--U.S.
government securities, high-yield corporate bonds and foreign fixed-income
securities--to maximize yields while seeking to control risk.
In the U.S. government securities sector, we sought to take advantage of
U.S. economic conditions by actively managing our holdings' average duration.
Duration is a measure of a bond's sensitivity to changes in interest rates. The
longer a portfolio's average duration, the better it is likely to perform in an
environment of falling interest rates. In anticipation of continued low
inflation, we extended our duration position during the period. We also took a
more defensive posture in the area of mortgage-backed securities issued by U.S.
government agencies to limit the Fund's exposure to prepayment risk. Prepayment
risk refers to the chance that a reduction in bond value will occur when
mortgage holders refinance their loans at lower interest rates. During the
period, falling interest rates and rising rates of refinancing created a less
favorable environment for mortgage-backed bonds.
7 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
- --------------------------------------------------------------------------------
"While the stock market shows signs of increasing volatility..."
Capitalizing on the strong U.S. economy, we increased the Fund's domestic
high-yield bond allocation. We identified opportunities in growth industries
with the added advantage of low international exposure, such as media,
telecommunications and financial services. At the same time, we reduced our
allocation to commodity-related industries, such as steel, metal, mining, paper
and chemicals, which had greater exposure to global demand.
In the foreign fixed-income sector, one of the Fund's most effective moves
during the period was to avoid major exposure to Asian markets. Our exposure to
Southeast Asia represented less than one percent of the Fund's resources. While
these securities lost more than half their value, the loss had only minimal
impact on the Fund's overall performance. We took advantage of the selloff in
emerging markets by opportunistically adding to our emerging markets position in
Latin America. Latin America's major economies have generally implemented
responsible fiscal policies, and with the area's growth closely tied to growth
in the United States, we were able to identify good values there.
8 Oppenheimer Strategic Income Fund
<PAGE>
"...we believe bonds offer investors attractive opportunities for
diversification."
Did you hold any bonds in other global regions?
Yes, at the beginning of the period, about 12% of the Fund was in European
bonds, because their yields were generally higher than U.S. bond yields. At the
same time, we had hedged our exposure to European currencies because of their
weakness relative to the U.S. dollar. As the period progressed, the increasing
likelihood that a broad European Monetary Union would be implemented on schedule
caused the region's bond yields to fall, while positioning its currencies to
challenge the dollar again. We responded by reducing our European bond holdings,
and increased our exposure to the region's currencies.
What is your outlook for the future?
We remain optimistic about the prospects for the fixed-income market over the
foreseeable future. The Asian situation appears likely to delay the threat of
inflation in the United States and around the world, while prolonging the
domestic economic expansion. As a result, we anticipate a supportive environment
for bonds.
As always, diversification remains the key to a well-balanced investment
program. While the stock market shows signs of increasing volatility, we believe
bonds offer investors attractive opportunities for diversification. The Fund's
disciplined strategy of sector diversification continues to make Oppenheimer
Strategic Income Fund part of The Right Way to Invest.
9 Oppenheimer Strategic Income Fund
<PAGE>
Financials
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[GRAPHIC OMITTED]
10 Oppenheimer Strategic Income Fund
<PAGE>
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Statement of Investments March 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
=============================================================================================================
<S> <C> <C>
Mortgage-Backed Obligations--25.8%
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Government Agency--19.8%
- -------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored--15.9%
Federal Home Loan Mortgage Corp., Collateralized Mtg.
Obligations, Gtd. Multiclass Mtg. Participation Certificates:
Series 1092, Cl. K, 8.50%, 6/15/21 $ 8,000,000 $ 8,712,030
Series 1252, Cl. J, 8%, 5/15/22 7,000,000 7,628,211
Series 1343, Cl. LA, 8%, 8/15/22 9,100,000 9,940,316
Series 1455, Cl. J, 7.50%, 12/15/22 9,527,500 10,287,113
Series 1477, Cl. G, 7%, 2/15/21 15,000,000 15,412,500
Series 1562, Cl. C, 7%, 3/15/21 10,000,000 10,143,004
Series 1914, Cl. H, 6.50%, 8/15/24 9,970,000 9,779,872
- -------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates:
10.50%, 5/1/20 3,624,653 4,056,205
Series 1797, Cl. D, 6.17%, 7/15/08 4,728,633 4,665,080
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Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1598, Cl. H, 6.25%, 9/15/08 15,000,000 14,948,400
Series 1603, Cl. J, 6.50%, 7/15/23 10,000,000 10,143,750
Series 1836, Cl. H, 6.50%, 9/15/24 17,650,000 17,782,375
Series 1914, Cl. G, 6.50%, 2/15/24 12,375,000 12,297,656
- -------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security:
Series 176, Cl. IO, 6.94%, 6/1/26(2) 8,039,526 2,276,191
Series 177, Cl. B, 1.52%-8.714%, 7/1/26(2) 358,943,993 101,682,103
Series 1627, Cl. PN, 7.27%, 9/15/22(2) 25,694,950 8,142,087
- -------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Mtg.-Backed
Certificates, 10%, 4/1/20 2,813,055 3,060,266
- -------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only
Stripped Mtg.-Backed Security:
Series 183, Cl. PO, 5.473%, 4/1/27(3) 20,465,994 15,132,044
Series 192, Cl. PO, 2.328%, 2/1/28(3) 24,913,815 17,159,390
Series 2015, Cl. DO, 4.73%, 10/25/10(3) 9,832,309 5,622,852
- -------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6.375%, 8/15/07AUD 67,605,000 45,859,842
6.50%, 4/1/26 2,422,744 2,399,271
6.50%, 5/1/13-4/1/28(4) 275,800,000 274,859,578
7%, 4/25/27-5/25/27(4) 316,380,000 319,044,162
7%, 9/1/25 25,456,456 25,720,949
7.50%, 6/1/24-8/1/26 139,525,382 143,114,379
9.50%, 11/25/27 1,731,528 1,887,366
11%, 2/1/26 1,174,506 1,335,261
15%, 4/15/13 2,743,342 3,385,456
</TABLE>
11 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FHLMC/FNMA/Sponsored (continued)
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1992-51, Cl. H, 5%, 4/25/07 $ 10,000,000 $ 9,555,355
Trust 1993-38, Cl. U, 7.50%, 8/25/21 10,000,000 10,453,100
- -------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg
Investment Conduit Pass-Through Certificates:
Trust 1989-4, Cl. D, 10%, 2/25/19 9,000,000 9,994,696
Trust 1990-18, Cl. K, 9.60%, 3/25/20 10,100,000 11,255,150
Trust 1992-162, Cl. C, 7%, 10/25/21 5,850,000 5,915,812
Trust 1994-51, Cl. PH, 6.50%, 1/25/23 18,841,000 18,982,308
Trust 1995-4, Cl. PC, 8%, 5/25/25 8,692,100 9,493,483
Trust 1997-5, Cl. B, 7%, 9/18/17 15,210,000 15,333,505
Trust 1997-25, Cl. B, 7%, 12/18/22 8,618,000 8,753,424
Trust 1997-27, Cl. J, 7.50%, 4/18/27 7,063,265 7,498,528
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 33,470,400 33,590,684
- -------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 1997-9, Cl. H, 7.52%, 3/25/27(2) 30,937,000 13,032,211
Trust 215, Cl. 2, 1.692%-1.743%, 4/1/23(2) 93,559,702 25,685,062
Trust 222, Cl. 2, 3.611%-5.172%, 6/1/23(2) 51,439,324 14,483,385
Trust 258, Cl. 2, 7.42%, 3/1/24(2) 27,086,999 7,372,743
Trust 290, Cl. 2, 9.83%, 11/1/27(2) 38,812,160 11,498,103
Trust 293, Cl. 2, 10.70%, 12/1/27(2) 24,528,509 7,381,548
Trust 294, Cl. 2, 8.67%, 2/1/28(2) 19,773,161 5,740,396
- -------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security:
Trust 1997-7, Cl. GA, 34.07%, 7/25/23(3) 5,961,179 4,161,648
Trust 277-C1, 26.61%, 4/1/27(3) 12,810,751 10,276,625
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Federal National Mortgage Assn. Sr. Unsub. Medium-Term
Nts., 6.50%, 7/10/02AUD 31,660,000 21,731,476
--------------
1,368,666,951
- -------------------------------------------------------------------------------------------------------------
GNMA/Guaranteed--3.9%
Government National Mortgage Assn.:
6%, 4/20/27(4) 75,000,000 76,031,250
7%, 4/1/28(4) 119,860,000 121,058,600
7.50%, 1/15/26-6/15/27 29,925,292 30,698,165
8%, 5/15/26 12,205,511 12,638,443
12.50%, 12/15/13 9,487,166 11,166,016
13%, 10/15/15 27,083,469 32,500,164
13.50%, 6/15/15 34,826,244 42,488,018
- -------------------------------------------------------------------------------------------------------------
U.S. Department of Veterans Affairs, Interest-Only Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates, Vendee Mtg. Trust:
Series 1992-2, Cl. IO, 17.80%, 9/1/22(2)(5) 142,259,316 5,929,324
Series 1995-2B, Cl. 2-IO, 17.74%, 6/1/25(2)(5) 14,305,762 547,642
Series 1995-3, Cl. 1-IO, 17.56%, 9/1/25(2)(5) 345,579,676 5,993,648
--------------
339,051,270
</TABLE>
12 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Private--6.0%
- -------------------------------------------------------------------------------------------------------------
Agricultural--0.1%
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural
Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 9.37%, 1/15/03(5)(6) $ 5,427,059 $ 4,857,219
Series 1992-2, Cl. B3, 9.402%, 4/15/09(5)(6) 7,004,926 5,967,322
--------------
10,824,541
- -------------------------------------------------------------------------------------------------------------
Commercial--4.8%
Amresco Commercial Mortgage Funding I Corp., Multiclass
Mtg. Pass-Through Certificates:
Series 1997-C1, Cl. G, 7%, 6/17/29(5) 1,550,000 1,427,938
Series 1997-C1, Cl. H, 7%, 6/17/29(5) 1,600,000 1,426,500
- -------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through
Certificates:
Series 1995-MD4, Cl. A-4, 7.384%, 8/13/29 5,000,000 5,132,813
Series 1995-MD4, Cl. A-5, 7.384%, 8/13/29 20,000,000 20,237,500
Series 1997-D4, Cl. B1, 7.525%, 4/14/29(6) 11,875,000 11,455,664
Series 1997-D4, Cl. B2, 7.525%, 4/14/29(6) 17,082,312 16,003,991
Series 1997-D4, Cl. B3, 7.525%, 4/14/29(6) 5,532,925 5,056,575
Series 1997-D5, Cl. B1, 6.93%, 2/14/41 7,700,000 7,019,031
Series 1997-D5, Cl. B2, 6.93%, 2/14/41 13,650,000 11,990,672
- -------------------------------------------------------------------------------------------------------------
CBA Mortgage Corp., Mtg. Pass-Through Certificates:
Series 1993-C1, Cl. E, 7.76%, 12/25/03(6) 2,609,000 2,659,615
Series 1993-C1, Cl. F, 7.76%, 12/25/03(5)(6) 14,300,000 11,401,390
- -------------------------------------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc., Sub. Bonds:
Series 1993-5, Cl. B3, 7%, 4/25/23(5) 1,626,787 1,612,960
Series 1993-5, Cl. B4, 7%, 4/25/23(5) 1,230,578 418,397
- -------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized
Mtg. Obligation, Series 1996-C1, Cl. E, 8.189%, 12/25/20(6)(7) 3,000,000 3,083,438
- -------------------------------------------------------------------------------------------------------------
CRIMMI MAE Trust I, Collateralized Mtg. Obligations,
Series 1996-C1, Cl. A2, 8/30/05(7) 6,300,000 6,363,492
- -------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Mtg. Pass-Through
Certificates, Series 1997-C2, Cl. F, 7.46%, 1/17/35 6,350,000 6,069,965
- -------------------------------------------------------------------------------------------------------------
FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates:
Series 1994-C1, Cl. 2-D, 8.70%, 9/25/25(5) 2,500,000 2,599,000
Series 1994-C1, Cl. 2-E, 8.70%, 9/25/25(5) 2,500,000 2,621,500
Series 1994-C1, Cl. 2-G, 8.70%, 9/25/25(5) 4,870,000 4,983,471
- -------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Collateralized Mtg. Obligations:
Series 1997-C1, Cl. G, 7.414%, 11/15/11 19,440,000 18,279,675
Series 1997-C2, Cl. F, 6.75%, 4/16/29 17,785,500 15,212,160
</TABLE>
13 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commercial (continued)
General Motors Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1997-C1, Cl. X, 8.16%, 7/15/27(2) $ 182,956,625 $ 18,181,315
- -------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through
Certificates, Series 1995-C2, Cl. D, 7.495%, 6/15/21(6) 3,195,842 3,280,982
- -------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through
Certificates:
Series 1996-C1, Cl. E, 7.442%, 2/15/28(5)(6) 9,365,000 9,028,445
Series 1996-C1, Cl. F, 7.442%, 2/15/28(5)(6) 13,360,980 11,160,594
Series 1997-HF1, Cl. F, 6.86%, 2/15/10(5) 3,475,000 3,220,891
Series 1997-RR, Cl. D, 7.74%, 4/30/39 2,950,000 2,871,641
Series 1997-RR, Cl. F, 7.74%, 4/30/39 21,600,000 17,499,375
Series 1997-XL1, Cl. F, 7.415%, 10/3/30(6) 7,000,000 7,120,313
Series 1997-XL1, Cl. G, 7.695%, 10/3/30(5)(6) 14,358,000 14,124,683
- -------------------------------------------------------------------------------------------------------------
Nykredit AS, Mtg.-Backed Security, Series ANN, 6%, 10/1/26DKK 139,316,000 19,554,689
- -------------------------------------------------------------------------------------------------------------
Realkredit Danmark, Mtg.-Backed Security, 6%, 10/1/26DKK 139,450,000 19,573,497
- -------------------------------------------------------------------------------------------------------------
Resolution Trust Corp., Commercial Mtg. Pass-Through
Certificates:
Series 1992-CHF, Cl. D, 8.25%, 12/25/20 9,329,184 9,282,597
Series 1993-C1, Cl. B, 8.75%, 5/25/24 722,815 720,715
Series 1993-C1, Cl. D, 9.45%, 5/25/24 6,597,507 6,641,752
Series 1993-C1, Cl. E, 9.50%, 5/25/24 619,048 621,362
Series 1994-C1, Cl. C, 8%, 6/25/26 8,000,000 8,160,225
Series 1994-C1, Cl. E, 8%, 6/25/26 5,773,258 5,807,988
Series 1994-C2, Cl. E, 8%, 4/25/25 18,541,810 18,744,264
Series 1994-C2, Cl. G, 8%, 4/25/25 6,058,615 6,076,602
Series 1995-C1, Cl. F, 6.90%, 2/25/27 8,473,720 8,010,976
- -------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-C1,
Cl. E, 9.184%, 1/20/06 4,550,000 4,798,828
- -------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates:
Series 1997-A3, 5%, 8/25/27 9,647,632 9,120,027
Series 1997-B1, 5%, 3/25/01 12,714,067 11,871,761
- -------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg
Pass-Through Certificates:
Series 1997-LLI, Cl. E, 7.30%, 10/20/34 3,000,000 3,036,563
Series 1997-LLI, Cl. F, 7.30%, 4/12/12(5) 8,000,000 7,632,500
- -------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Multiclass Pass-Through
Certificates:
Series 1995-C4, Cl. E, 8.774%, 6/25/26(5)(6) 9,453,000 9,721,820
Series 1996-C3, Cl. E, 8.458%, 6/25/30(7) 9,350,000 9,475,641
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 14,220,000 14,339,981
--------------
414,735,774
</TABLE>
14 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Multi-Family--0.4%
ACP Mortgage LP, Cl. E, 7.389%, 2/25/28(5)(6) $ 2,336,539 $ 2,206,205
- -------------------------------------------------------------------------------------------------------------
Countrywide Funding Corp., Mtg. Pass-Through Certificates:
Series 1993-12, Cl. B1, 6.625%, 2/25/24 3,500,000 3,390,220
Series 1993-11, Cl. B1, 6.25%, 2/25/09 1,204,706 1,171,592
Series 1993-11, Cl. B3, 6.25%, 2/25/09(7) 698,836 274,293
- -------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc.:
Commercial Mtg. Pass-Through Certificates, Series 1997-MC1,
Cl. F, 7.452%, 5/20/07(5) 2,939,000 2,790,213
Multifamily Mtg. Pass-Through Certificates, Series 1996-MC1,
Cl. G, 7.15%, 6/15/06(7) 9,700,000 9,166,500
- -------------------------------------------------------------------------------------------------------------
Multifamily Capital Access One, Inc., Series 1, Cl. D,
10.342%, 1/15/24(5)(6) 3,576,000 3,474,308
- -------------------------------------------------------------------------------------------------------------
Resolution Trust Corp., Commercial Mtg. Pass-Through
Certificates, Series 1992-M4, Cl. B, 7.20%, 9/25/21(5) 548,744 546,686
- -------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-CL,
Cl. F, 9.209%, 1/20/28(6) 9,632,000 8,428,000
--------------
31,448,017
- -------------------------------------------------------------------------------------------------------------
Residential--0.7%
CS First Boston Mortgage Securities Corp., Mtg. Pass-Through
Certificates:
Series 1997-C1, Cl. F, 7.50%, 6/20/13(5) 2,400,000 2,355,840
Series 1997-C1, Cl. G, 7.50%, 6/20/14(5) 3,271,000 3,056,422
Series 1997-C1, Cl. H, 7.50%, 8/20/14(5) 2,580,000 2,078,448
Series 1997-C2, Cl. H, 7.46%, 1/17/35 4,000,000 3,256,000
- -------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through
Certificates:
Series 1997-CHL1, 8.099%, 2/25/11(5)(6) 14,500,000 12,387,350
Series 1997-CHL1, 8.099%, 5/25/08(5)(6) 8,500,000 8,701,450
- -------------------------------------------------------------------------------------------------------------
Prudential Home Mortgage Securities Corp., Sub. Fixed
Rate Mtg. Securities, Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1995-A, Cl. B2, 8.684%,
3/28/25(5)(6) 5,295,374 5,548,560
- -------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through
Certificates, Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 3,255,559 3,341,018
- -------------------------------------------------------------------------------------------------------------
Ryland Mortgage Securities Corp. Sub. Bonds, Series 1993-3,
Cl. B2, 6.713%, 8/25/08 1,162,174 1,154,911
- -------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-B,
Cl. 1, 7.132%, 4/25/26 14,692,573 10,762,310
- -------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1998-A1, 5%, 12/25/20 10,950,000 10,512,000
--------------
63,154,309
--------------
Total Mortgage-Backed Obligations (Cost $2,224,526,625) 2,227,880,862
</TABLE>
15 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
=============================================================================================================
<S> <C> <C>
U.S. Government Obligations--14.7%
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
5.50%, 1/31/03 $ 39,960,000 $ 39,697,782
6%, 2/15/26 89,630,000 89,489,998
6.50%, 11/15/26 1,870,000 1,995,058
6.625%, 2/15/27 7,300,000 7,920,507
8.125%, 8/15/21 96,400,000 121,554,423
9.375%, 2/15/06 19,620,000 24,083,570
10.375%, 11/15/09 14,700,000 18,342,851
10.75%, 2/15/03(8) 135,795,000 164,736,445
10.75%, 8/15/05 19,885,000 25,769,727
11.625%, 11/15/02 16,500,000 20,439,391
11.625%, 11/15/04(9) 99,600,000 131,534,350
11.875%, 11/15/03 68,120,000 88,023,847
12%, 8/15/13 47,950,000 70,471,540
13.125%, 5/15/01 41,500,000 50,279,865
13.375%, 8/15/01 70,400,000 86,988,070
13.75%, 8/15/04 37,910,000 53,962,535
STRIPS, 6.27%, 8/15/22(10) 250,000,000 58,062,250
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.50%, 2/15/08 29,850,000 29,476,905
5.50%, 2/28/03 10,000,000 9,937,510
6.50%, 10/15/06 54,890,000 57,583,068
6.875%, 5/15/06 9,500,000 10,182,822
7.50%, 10/31/99 3,850,000 3,958,285
7.875%, 11/15/04 24,000,000 26,820,024
10.75%, 5/15/03 35,185,000 42,991,707
14.25%, 2/15/02(8) 27,100,000 35,136,857
--------------
Total U.S. Government Obligations (Cost $1,265,095,286) 1,269,439,387
=============================================================================================================
Foreign Government Obligations--19.8%
- -------------------------------------------------------------------------------------------------------------
Argentina--2.8%
Argentina (Republic of) Bonds:
5%, 12/20/02JPY 1,820,000,000 13,757,370
Bonos de Consolidacion de Deudas, Series I, 3.154%, 4/1/07(6)ARP 48,418,683 35,788,479
Bonos de Consolidacion de Deudas, Series I, 5.615%, 4/1/01(6) 8,739,380 8,399,331
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Floating Rate Bonds, Series L,
6.625%, 3/31/05(6) 15,551,500 14,385,137
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Global Bonds, 11.375%, 1/30/17 19,400,000 22,019,000
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Nts.:
11.75%, 2/12/07(7)ARP 3,100,000 3,197,451
Series REGS, 11.75%, 2/12/07ARP 24,460,000 25,228,916
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Par Bonds, 5.75%, 3/31/23(11) 34,050,000 26,090,813
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Sr. Unsec. Unsub. Bonds, 11%, 10/9/06 1,990,000 2,225,069
- -------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Bonds, 11.50%, 8/14/01GBP 2,575,000 4,533,094
</TABLE>
16 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Argentina (continued)
Argentina (Republic of) Unsec. Unsub. Medium-Term Nts.:
5.50%, 3/27/01JPY 5,954,000,000 $ 46,711,848
8.75%, 7/10/02ARP 17,430,000 16,049,383
- -------------------------------------------------------------------------------------------------------------
Banco Hipotecario Nacional (Argentina) Medium-Term Nts.,
10.625%, 8/7/06 15,000,000 15,806,250
- -------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Sr. Unsec. Unsub. Medium-Term Nts.,
11.50%, 10/19/98(5) 950,000 969,000
- -------------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Sr. Unsec. Unsub. Nts., 11.50%,
10/19/98(5) 5,000,000 5,100,000
--------------
240,261,141
- -------------------------------------------------------------------------------------------------------------
Australia--1.0%
New South Wales Treasury Corp. Gtd. Bonds, 8%, 12/1/01AUD 71,910,000 51,683,862
- -------------------------------------------------------------------------------------------------------------
Queensland Treasury Corp. Exchangeable Gtd. Nts.,
8%, 5/14/03AUD 45,920,000 33,569,409
--------------
85,253,271
- -------------------------------------------------------------------------------------------------------------
Brazil--2.6%
Telecomunicacoes Brasileiras SA Bonds, 13%, 2/5/99ITL 15,600,000,000 8,975,129
- -------------------------------------------------------------------------------------------------------------
Telecomunicacoes Brasileiras SA Medium-Term Nts.,
11.50%, 12/9/99(5)(6) 500,000 513,750
- -------------------------------------------------------------------------------------------------------------
Banco Estado Minas Gerais:
8.25%, 2/10/00(5) 11,800,000 11,549,250
8.25%, 2/10/00(5) 2,000,000 1,957,500
- -------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Bonds:
10.125%, 5/15/27 260,000 258,375
Series RG, 6.75%, 4/15/12(6) 38,720,000 31,072,800
- -------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Capitalization Bonds, 8%, 4/15/14 206,244,527 173,825,466
--------------
228,152,270
- -------------------------------------------------------------------------------------------------------------
Bulgaria--0.2%
Bulgaria (Republic of) Front-Loaded Interest Reduction
Bearer Bonds, Tranche A, 2.63%, 7/28/12(11) 22,620,000 15,155,400
- -------------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Interest Arrears Bonds, 6.563%, 7/28/11(6) 6,800,000 5,346,500
--------------
20,501,900
- -------------------------------------------------------------------------------------------------------------
Canada--0.8%
Canada (Government of) Bonds:
9.75%, 6/1/01CAD 36,655,000 29,248,378
Series A-33, 11.50%, 9/1/00CAD 50,175,000 40,437,635
--------------
69,686,013
- -------------------------------------------------------------------------------------------------------------
Colombia--0.0%
Financiera Energetica Nacional SA Eurobonds, 9.375%, 6/15/06(7) 3,650,000 3,796,000
</TABLE>
17 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Ecuador--0.2%
Ecuador (Republic of) Disc. Bonds, 6.625%, 2/28/25(6) $ 2,505,000 $ 1,847,438
- -------------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Past Due Interest Bonds, 6.625%, 2/27/15(6) 27,071,232 17,596,301
--------------
19,443,739
- -------------------------------------------------------------------------------------------------------------
Germany--2.3%
Germany (Republic of) Bonds:
Series 94, 6.25%, 1/4/24DEM 103,760,000 62,166,106
Series 95, 6.875%, 5/12/05DEM 1,000,000 606,974
Series 97, 6.50%, 7/4/27DEM 65,275,000 40,435,594
Series 98, 5.25%, 1/4/08DEM 165,640,000 91,779,545
--------------
194,988,219
- -------------------------------------------------------------------------------------------------------------
Great Britain--1.3%
United Kingdom Treasury Bonds:
9%, 10/13/08GBP 43,040,000 89,102,531
9%, 8/6/12GBP 9,375,000 20,266,930
--------------
109,369,461
- -------------------------------------------------------------------------------------------------------------
Hungary--0.4%
Hungary (Government of) Bonds:
Series 98-I, 23.50%, 5/17/98HUF 3,536,000,000 16,653,042
Series 98-J, 23.50%, 7/25/98HUF 1,000,000,000 4,744,522
Series 99-G, 16.50%, 7/24/99HUF 1,946,000,000 9,005,667
--------------
30,403,231
- -------------------------------------------------------------------------------------------------------------
Indonesia--0.0%
Perusahaan Listr, 17%, 8/21/01(5)IDR 9,000,000,000 697,110
- -------------------------------------------------------------------------------------------------------------
PT Bank Negara Indonesia Sr. Nts., 7.625%, 2/15/07 4,365,000 3,025,582
- -------------------------------------------------------------------------------------------------------------
PT Hutama Karya Medium-Term Nts., Zero Coupon,
9/3/98(5)(12)IDR 25,000,000,000 289,017
--------------
4,011,709
- -------------------------------------------------------------------------------------------------------------
Italy--1.0%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
8.50%, 1/1/04ITL 69,615,000,000 44,945,530
9%, 10/1/03ITL 57,770,000,000 37,887,510
10.50%, 4/1/05ITL 7,305,000,000 5,279,769
--------------
88,112,809
- -------------------------------------------------------------------------------------------------------------
Ivory Coast--0.1%
Ivory Coast (Government of) Past Due Interest Bonds,
2%, 12/29/49(4)(11) 22,506,000 9,758,461
</TABLE>
18 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Jordan--0.0%
Hashemite (Kingdom of Jordan) Bonds, Series DEF,
5%, 12/23/23(11) $ 5,000,000 $ 3,481,250
- -------------------------------------------------------------------------------------------------------------
Mexico--2.0%
Bonos de la Tesoreria de la Federacion, Zero Coupon,
19.60%, 7/30/98(10)MXP 104,900,000 11,530,706
- -------------------------------------------------------------------------------------------------------------
Fideicomiso Petacalco Trust Nts., 10.16%, 12/23/09(7) 8,000,000 8,380,000
- -------------------------------------------------------------------------------------------------------------
Mexican Williams Bonds, 6.75%, 11/15/08(5)(6) 1,500,000 1,305,000
- -------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
10.375%, 1/29/03DEM 19,525,000 11,956,751
11.375%, 9/15/16 32,625,000 38,497,500
11.50%, 5/15/26 12,135,000 14,804,700
16.50%, 9/1/08(5)GBP 2,445,000 6,182,545
- -------------------------------------------------------------------------------------------------------------
United Mexican States Collateralized Fixed Rate Par Bonds:
Series B, 6.25%, 12/31/19 33,900,000 28,815,000
Series W-A, 6.25%, 12/31/19 9,750,000 8,287,500
Series W-B, 6.25%, 12/31/19 29,150,000 24,777,500
- -------------------------------------------------------------------------------------------------------------
United Mexican States Nacional Financiera SNC Nts.,
13.60%, 4/2/98ESP 1,773,000,000 11,320,481
- -------------------------------------------------------------------------------------------------------------
United Mexican States Petroleos Mexicanos Gtd
Unsec. Unsub. Nts., 7.875%, 3/2/99CAD 5,600,000 3,969,750
--------------
169,827,433
- -------------------------------------------------------------------------------------------------------------
Norway--0.4%
Norway (Government of) Bonds, 9.50%, 10/31/02NOK 221,300,000 34,344,329
- -------------------------------------------------------------------------------------------------------------
Panama--0.1%
Panama (Government of) Past Due Interest Debs.,
6.563%, 7/17/16(6) 10,133,491 8,638,801
- -------------------------------------------------------------------------------------------------------------
Peru--0.2%
Peru (Republic of) Front-Loaded Interest Reduction Bonds,
3.25%, 3/7/17(6) 21,020,000 13,268,875
- -------------------------------------------------------------------------------------------------------------
Peru (Republic of) Past Due Interest Bonds, Series 20 yr.,
4%, 3/7/17(6) 9,680,000 6,648,950
--------------
19,917,825
- -------------------------------------------------------------------------------------------------------------
Philippines--0.1%
Philippines (Republic of) Par Bonds, Series B,
6.50%, 12/1/17(5)(11) 4,865,000 4,354,175
</TABLE>
19 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Poland--1.0%
Poland (Republic of) Bonds:
14%, 2/12/00PLZ 77,840,000 $ 19,896,530
15%, 6/12/99PLZ 9,500,000 2,538,052
16%, 2/12/99PLZ 115,052,000 31,529,033
16%, 6/12/98PLZ 14,900,000 4,228,856
Series 5 yr., 12%, 2/12/02PLZ 34,200,000 7,908,819
- -------------------------------------------------------------------------------------------------------------
Poland (Republic of) Past Due Interest Bonds, 4%, 10/27/14(11) 19,460,000 17,514,000
--------------
83,615,290
- -------------------------------------------------------------------------------------------------------------
Russia--1.5%
City of St. Petersburg Sr. Unsub. Nts., 9.50%, 6/18/02(7) 9,770,000 9,232,650
- -------------------------------------------------------------------------------------------------------------
Ministry of Finance (Russian Government) Unsec. Unsub. Bonds,
10%, 6/26/07(7) 14,600,000 14,016,000
- -------------------------------------------------------------------------------------------------------------
Russia (Government of) Bonds:
18.29%, 4/28/99RUR 63,030,000 10,205,218
22%, 4/28/99RUR 62,960,000 10,148,454
29.80%, 7/14/99RUR 57,402,000 9,235,622
Series 2, 29.80%, 7/14/99RUR 28,564,000 4,595,768
Series 3, 18.29%, 4/28/99RUR 31,475,000 5,100,778
- -------------------------------------------------------------------------------------------------------------
Russia (Government of) Principal Loans Debs., 3.249%,
12/29/49(5)(6) 77,820,000 49,512,975
- -------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV Bonds, 10.25%, 7/21/00 14,961,000 13,614,510
--------------
125,661,975
- -------------------------------------------------------------------------------------------------------------
South Africa--0.5%
South Africa (Republic of) Bonds:
Series 150, 12%, 2/28/05ZAR 174,418,290 33,189,837
Series 175, 9%, 10/15/02ZAR 36,796,530 6,348,907
--------------
39,538,744
- -------------------------------------------------------------------------------------------------------------
Sweden--0.2%
Sweden (Kingdom of) Bonds, Series 1037, 8%, 8/15/07SEK 130,200,000 19,500,683
- -------------------------------------------------------------------------------------------------------------
Turkey--0.1%
Export Credit Bank of Turkey Bonds, 8.125%, 8/18/00(5)(6) 250,000 241,563
- -------------------------------------------------------------------------------------------------------------
Turkey (Republic of) Treasury Bills:
Zero Coupon, 98.43%, 5/13/98(10)TRL 2,385,575,000,000 8,522,288
Zero Coupon, 92.09%, 5/20/98(10)TRL 138,590,000,000 508,012
--------------
9,271,863
</TABLE>
20 Oppenheimer Strategic Income Fund
<PAGE>
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Venezuela--1.0%
Venezuela (Republic of) Bonds, 9.25%, 9/15/27 $ 42,775,000 $ 39,139,125
- -------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Debs., Banco Venezuela TCI,
Zero Coupon, 6.13%, 12/13/98(5)(10) 1,977,034 1,799,101
- -------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Disc. Bonds, Series DL,
6.813%, 12/18/07(6) 29,523,809 26,977,381
- -------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) New Money Bonds:
Series A, 6.906%, 12/18/05(6) 7,529,411 6,865,882
Series B, 6.906%, 12/18/05(6) 11,294,117 10,298,824
Series P, 6.812%, 12/18/05(6) 3,058,835 2,804,091
--------------
87,884,404
--------------
Total Foreign Government Obligations (Cost $1,720,516,418) 1,709,774,996
=============================================================================================================
Loan Participations--0.4%
- -------------------------------------------------------------------------------------------------------------
GS Moskovskaya, 19% Nts., 6/12/98(5) 10,675,000 10,474,844
- -------------------------------------------------------------------------------------------------------------
Jamaica (Government of) 1990 Refinancing Agreement Nts.,
Tranche A, 6.563%, 10/16/00(5)(6) 768,807 730,367
- -------------------------------------------------------------------------------------------------------------
Morocco (Kingdom of) Loan Participation Agreement,
Tranche A, 6.656%, 1/1/09(5)(6) 29,080,000 26,244,700
- -------------------------------------------------------------------------------------------------------------
United Mexican States, Combined Facility 2, Loan Participation
Agreement, Tranche A, 6.75%, 3/20/99(5)(6) 304,671 277,251
--------------
Total Loan Participations (Cost $37,145,288) 37,727,162
=============================================================================================================
Corporate Bonds and Notes--35.9%
- -------------------------------------------------------------------------------------------------------------
Basic Industry--2.7%
- -------------------------------------------------------------------------------------------------------------
Chemicals--0.8%
ClimaChem, Inc., 10.75% Gtd. Sr. Unsec. Nts., 12/1/07(7) 2,500,000 2,656,250
- -------------------------------------------------------------------------------------------------------------
Harris Chemical North America, Inc., 10.75% Gtd. Sr. Sub.
Nts., 10/15/03 1,600,000 1,708,000
- -------------------------------------------------------------------------------------------------------------
ICO, Inc., 10.375% Sr. Nts., 6/1/07 2,200,000 2,310,000
- -------------------------------------------------------------------------------------------------------------
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., 9/15/07(7) 3,415,000 3,389,387
- -------------------------------------------------------------------------------------------------------------
NL Industries, Inc., 11.75% Sr. Sec. Nts., 10/15/03 9,560,000 10,611,600
- -------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, Inc., 9.25% Gtd. Nts., 10/15/07 4,600,000 4,640,250
- -------------------------------------------------------------------------------------------------------------
Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07 5,795,000 5,954,362
- -------------------------------------------------------------------------------------------------------------
Polytama International Finance BV, 11.25% Gtd. Sec. Nts., 6/15/07 7,170,000 3,889,725
- -------------------------------------------------------------------------------------------------------------
Quantum Chemical Corp., 10.375% First Mtg. Nts., 6/1/03 3,500,000 3,640,220
- -------------------------------------------------------------------------------------------------------------
Sovereign Specialty Chemicals, Inc., 9.50% Sr. Sub. Nts., 8/1/07(7) 8,615,000 9,045,750
- -------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
11.25% Sr. Sub. Nts., 4/1/07 2,730,000 2,791,425
11.75% Sr. Unsec. Sub. Nts., 8/15/06 18,325,000 19,058,000
--------------
69,694,969
</TABLE>
21 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Containers--0.1%
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05(5) $ 4,375,000 $ 4,856,250
- -------------------------------------------------------------------------------------------------------------
Metals/Mining--0.3%
Centaur Mining & Exploration Ltd., 11% Gtd. Sr. Nts., 12/1/07(7) 7,025,000 7,306,000
- -------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08(7) 2,000,000 2,085,000
- -------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07(7) 12,015,000 12,615,750
--------------
22,006,750
- -------------------------------------------------------------------------------------------------------------
Paper--1.0%
Domtar, Inc., 10.85% Debs., 8/5/17CAD 1,700,000 1,620,973
- -------------------------------------------------------------------------------------------------------------
Fletcher Challenge Finance U.S.A., Inc., 8.05% Debs., 6/15/03NZD 4,755,000 2,501,331
- -------------------------------------------------------------------------------------------------------------
Fletcher Challenge Ltd.:
10% Cv. Unsec. Sub. Nts., 4/30/05NZD 4,900,000 2,854,060
14.50% Cv. Sub. Nts., 9/30/00NZD 4,900,000 3,008,391
- -------------------------------------------------------------------------------------------------------------
Florida Coast Paper Co. LLC, 12.75% First Mtg. Nts., 6/1/03 2,950,000 3,178,625
- -------------------------------------------------------------------------------------------------------------
Four M Corp., 12% Sr. Nts., Series B, 6/1/06(5) 3,895,000 4,128,700
- -------------------------------------------------------------------------------------------------------------
Indah Kiat International Finance Co. BV, 11.375% Gtd. Sec
Nts., 6/15/99 5,400,000 4,698,000
- -------------------------------------------------------------------------------------------------------------
Pacific Lumber Co., 10.50% Sr. Nts., 3/1/03 28,375,000 29,368,125
- -------------------------------------------------------------------------------------------------------------
Repap New Brunswick, Inc., 9.062% First Priority Sr. Sec. Nts.,
7/15/00(6) 4,000,000 3,980,000
- -------------------------------------------------------------------------------------------------------------
Riverwood International Corp.:
10.625% Sr. Unsec. Nts., 8/1/07 12,090,000 12,815,400
10.875% Sr. Sub. Nts., 4/1/08 2,300,000 2,320,125
- -------------------------------------------------------------------------------------------------------------
Scotia Pacific Holding Co., 7.95% Timber Collateralized Nts., 7/20/15 2,248,669 2,360,003
- -------------------------------------------------------------------------------------------------------------
SD Warren Co., 12% Sr. Sub. Nts., Series B, 12/15/04 5,250,000 5,886,562
- -------------------------------------------------------------------------------------------------------------
U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 3,850,000 4,023,250
--------------
82,743,545
- -------------------------------------------------------------------------------------------------------------
Steel--0.5%
AK Steel Corp., 9.125% Sr. Nts., 12/15/06 19,110,000 20,543,250
- -------------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 8,850,000 10,575,750
- -------------------------------------------------------------------------------------------------------------
Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 7,600,000 8,398,000
- -------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07(7) 5,700,000 5,913,750
--------------
45,430,750
</TABLE>
22 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Consumer Related--5.0%
- -------------------------------------------------------------------------------------------------------------
Consumer Products--1.0%
Chattem, Inc., 8.875% Sr. Sub. Nts., 4/1/08(7) $ 2,100,000 $ 2,134,125
- -------------------------------------------------------------------------------------------------------------
Coleman Escrow Corp., Zero Coupon Sr. First Priority Disc. Nts.,
10.96%, 5/15/01(10) 12,535,000 10,028,000
- -------------------------------------------------------------------------------------------------------------
Holmes Products Corp., 9.875% Gtd. Nts., 11/15/07(7) 6,110,000 6,354,400
- -------------------------------------------------------------------------------------------------------------
Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02(13) 10,400,000 11,336,000
- -------------------------------------------------------------------------------------------------------------
IHF Holdings, Inc., 0%/15% Sr. Sub. Disc. Nts., Series B, 11/15/04(14) 6,310,000 5,268,850
- -------------------------------------------------------------------------------------------------------------
Indorayon International Finance Co. BV, 10% Gtd. Unsec
Unsub. Nts., 3/29/01(5) 1,850,000 1,147,000
- -------------------------------------------------------------------------------------------------------------
MacAndrews & Forbes Holdings, Inc., 13% Sub. Debs., 3/1/99(5) 2,094,000 2,112,322
- -------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Nts., 2/1/08(7) 14,500,000 14,717,500
- -------------------------------------------------------------------------------------------------------------
Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts.,
10.787%, 3/15/01(10) 17,445,000 13,367,231
- -------------------------------------------------------------------------------------------------------------
Samsonite Corp., 11.125% Sr. Sub. Nts., 7/15/05 3,226,000 3,645,380
- -------------------------------------------------------------------------------------------------------------
TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05(5) 4,705,000 5,521,129
- -------------------------------------------------------------------------------------------------------------
Vitro SA, Units, 13% Nts., 12/7/99(6)(15)MXP 21,374,000 5,710,348
- -------------------------------------------------------------------------------------------------------------
Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 6,300,000 6,583,500
--------------
87,925,785
- -------------------------------------------------------------------------------------------------------------
Food/Beverages/Tobacco--0.4%
Del Monte Foods Co., 0%/12.50% Sr. Disc. Nts., 12/15/07(7)(14) 10,200,000 6,783,000
- -------------------------------------------------------------------------------------------------------------
Doane Products Co., 10.625% Sr. Nts., 3/1/06(5) 3,000,000 3,262,500
- -------------------------------------------------------------------------------------------------------------
Eagle Family Foods, Inc., 8.75% Sr. Sub. Nts., 1/15/08(7) 1,500,000 1,507,500
- -------------------------------------------------------------------------------------------------------------
Gorges/Quick-to-Fix Foods, Inc., 11.50% Sr. Sub. Nts., Series B, 12/1/06 900,000 954,000
- -------------------------------------------------------------------------------------------------------------
Packaged Ice, Inc., 9.75% Sr. Unsec. Nts., 2/1/05(7) 2,110,000 2,152,200
- -------------------------------------------------------------------------------------------------------------
Purina Mills, Inc., 9% Sr. Sub. Nts., 3/15/10(7) 2,650,000 2,749,375
- -------------------------------------------------------------------------------------------------------------
SmithField Foods, Inc., 7.625% Sr. Sub. Nts., 2/15/08(7) 2,800,000 2,800,000
- -------------------------------------------------------------------------------------------------------------
Sparkling Spring Water Group Ltd., 11.50% Sr. Sub. Nts., 11/15/07(7) 11,600,000 12,238,000
- -------------------------------------------------------------------------------------------------------------
Stroh Brewery Co., 11.10% Sr. Sub. Nts., 7/1/06(5) 123,000 89,175
- -------------------------------------------------------------------------------------------------------------
Windy Hill Pet Food, Inc., 9.75% Sr. Sub. Nts., 5/15/07 3,000,000 3,195,000
--------------
35,730,750
- -------------------------------------------------------------------------------------------------------------
Healthcare--0.6%
Fresenius Medical Care Capital Trust II, 7.875% Gtd. Nts., 2/1/08(7) 13,575,000 13,541,062
- -------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Gtd. Nts., 2/1/08(7)DEM 7,290,000 4,033,111
- -------------------------------------------------------------------------------------------------------------
Integrated Health Services, Inc.:
10.25% Sr. Sub. Nts., 4/30/06 605,000 656,425
9.50% Sr. Sub. Nts., 9/15/07 8,095,000 8,641,412
- -------------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc., 9.625% Sr. Sub. Nts., 11/1/07 4,565,000 4,724,775
- -------------------------------------------------------------------------------------------------------------
Magellan Health Services, Inc., 9% Sr. Sub. Nts., 2/15/08(7) 6,145,000 6,206,450
- -------------------------------------------------------------------------------------------------------------
Pharmerica, Inc., 8.375% Sr. Sub. Nts., 4/1/08(7) 1,965,000 1,974,825
- -------------------------------------------------------------------------------------------------------------
Sun Healthcare Group, Inc., 9.50% Sr. Sub. Nts., 7/1/07(7) 10,560,000 11,035,200
--------------
50,813,260
</TABLE>
23 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Hotel/Gaming--2.2%
AP Holdings, Inc., 0%/11.25% Sr. Disc. Nts., 3/15/08(7)(14) $ 2,150,000 $ 1,295,375
- -------------------------------------------------------------------------------------------------------------
Apoca, Inc., 9.25% Sr. Sub. Nts., 3/15/08(7) 2,550,000 2,569,125
- -------------------------------------------------------------------------------------------------------------
Arizona Charlie's, Inc., 12% First Mtg. Nts., Series B, 11/15/00(5)(16) 5,775,000 3,392,813
- -------------------------------------------------------------------------------------------------------------
Aztar Corp., 13.75% Sr. Sub. Nts., 10/1/04 3,725,000 4,297,719
- -------------------------------------------------------------------------------------------------------------
Boyd Gaming Corp., 9.25% Gtd. Sr. Unsec. Nts., 10/1/03 3,655,000 3,910,850
- -------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/95(16) 33,500 --
- -------------------------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First Mtg. Nts., Series A,
11/15/00(5)(16) 2,100,000 367,500
- -------------------------------------------------------------------------------------------------------------
Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 7,725,000 8,014,687
- -------------------------------------------------------------------------------------------------------------
Casino America, Inc., 12.50% Sr. Nts., 8/1/03 5,125,000 5,714,375
- -------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 5,300,000 6,174,500
- -------------------------------------------------------------------------------------------------------------
Grand Casinos, Inc., 10.125% Gtd. First Mtg. Nts., 12/1/03 17,360,000 18,792,200
- -------------------------------------------------------------------------------------------------------------
Grupo Posadas SA de CV, 10.375% Bonds, 2/13/02(5) 2,500,000 2,609,375
- -------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05(7) 7,960,000 8,119,200
- -------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 450,000 501,750
- -------------------------------------------------------------------------------------------------------------
HMC Acquisition Properties, Inc., 9% Sr. Nts., Series B, 12/15/07 5,900,000 6,209,750
- -------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 8.875% Sr. Nts., 7/15/07 21,450,000 22,629,750
- -------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 13,350,000 14,468,062
- -------------------------------------------------------------------------------------------------------------
Majestic Star Casino LLC (The), 12.75% Sr. Sec. Nts., 5/15/03 3,400,000 3,689,000
- -------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority (Connecticut), 13.50% Sr. Sec
Nts., Series B, 11/15/02 12,350,000 15,808,000
- -------------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc.:
10.625% Sr. Sub. Nts., 7/15/05 3,230,000 3,528,775
9.50% Gtd. Sr. Sub. Nts., 4/15/07 11,170,000 12,063,600
- -------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 98,500
- -------------------------------------------------------------------------------------------------------------
Showboat Marina Casino Partnership/Showboat Marina
Finance Corp., 13.50% First Mtg. Nts., Series B, 3/15/03 9,850,000 11,647,625
- -------------------------------------------------------------------------------------------------------------
Signature Resorts, Inc., 9.75% Sr. Sub. Nts., 10/1/07 9,450,000 9,544,500
- -------------------------------------------------------------------------------------------------------------
Station Casinos, Inc.:
10.125% Sr. Sub. Nts., 3/15/06 4,675,000 5,247,687
9.625% Sr. Sub. Nts., 6/1/03 900,000 936,000
- -------------------------------------------------------------------------------------------------------------
Trump Atlantic City Associates/Trump Atlantic City Funding, Inc.,
11.25% First Mtg. Nts., 5/1/06 3,350,000 3,458,875
- -------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc.:
12.25% Mtg. Nts., 11/15/04(7) 8,425,000 8,783,062
10% Sr. Sub. Nts., 11/15/05(7) 10,050,000 9,497,250
--------------
193,369,905
</TABLE>
24 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Leisure--0.3%
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(7) $ 10,800,000 $ 10,584,000
- -------------------------------------------------------------------------------------------------------------
Premier Parks, Inc.:
0%/10% Sr. Disc. Nts., 4/1/08(4)(14) 5,000,000 3,181,250
9.25% Sr. Nts., 4/1/06 3,855,000 3,936,919
- -------------------------------------------------------------------------------------------------------------
Six Flags Entertainment Corp., 8.75% Sr. Nts., 4/1/06 5,720,000 5,827,250
--------------
23,529,419
- -------------------------------------------------------------------------------------------------------------
Restaurants--0.4%
Ameriking, Inc., 10.75% Sr. Nts., 12/1/06 7,600,000 8,132,000
- -------------------------------------------------------------------------------------------------------------
Carrols Corp., 11.50% Sr. Nts., 8/15/03 4,000,000 4,240,000
- -------------------------------------------------------------------------------------------------------------
Family Restaurants, Inc., 10.875% Sr. Sub. Disc. Nts., 2/1/04 4,000,000 2,940,000
- -------------------------------------------------------------------------------------------------------------
Foodmaker, Inc.:
9.25% Sr. Nts., 3/1/99 4,645,000 4,749,512
9.75% Sr. Sub. Nts., 6/1/02 14,000,000 14,490,000
--------------
34,551,512
- -------------------------------------------------------------------------------------------------------------
Textile/Apparel--0.1%
Galey & Lord, Inc., 9.125% Sr. Sub. Nts., 3/1/08(7) 2,940,000 2,991,450
- -------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/00 4,025,000 3,028,812
- -------------------------------------------------------------------------------------------------------------
PT Polysindo Eka Perkasa, Zero Coupon Promissory Nts.,
9.39%, 7/14/98(5)(10) 11,350,000 2,270,000
- -------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 2,890,000 3,121,200
--------------
11,411,462
- -------------------------------------------------------------------------------------------------------------
Energy--2.1%
- -------------------------------------------------------------------------------------------------------------
Belden & Blake Corp., 9.875% Sr. Sub. Nts., 6/15/07 14,585,000 14,803,775
- -------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
8.50% Sr. Nts., 3/15/12 3,000,000 2,902,500
9.125% Sr. Unsec. Nts., 4/15/06 1,491,000 1,505,910
- -------------------------------------------------------------------------------------------------------------
Clark Refinancing & Marketing, Inc.:
8.375% Sr. Nts., 11/15/07 3,125,000 3,164,062
8.875% Sr. Sub. Nts., 11/15/07 10,075,000 10,251,312
- -------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 10.875% Sr. Nts., Series B, 12/1/05 3,600,000 3,978,000
- -------------------------------------------------------------------------------------------------------------
Dailey International, Inc., 9.50% Sr. Unsec. Nts., 2/15/08(7) 3,700,000 3,746,250
- -------------------------------------------------------------------------------------------------------------
Denbury Resources, Inc., 9% Sr. Sub. Nts., 3/1/08 4,450,000 4,455,562
- -------------------------------------------------------------------------------------------------------------
DI Industries, Inc., 8.875% Sr. Nts., 7/1/07 5,155,000 5,309,650
- -------------------------------------------------------------------------------------------------------------
Empresa Electric Del Norte, 10.50% Sr. Debs., 6/15/05(5) 1,300,000 1,300,000
- -------------------------------------------------------------------------------------------------------------
Forcenergy, Inc.:
8.50% Sr. Sub. Nts., Series B, 2/15/07 4,265,000 4,211,687
9.50% Sr. Sub. Nts., 11/1/06 14,485,000 15,100,612
</TABLE>
25 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Energy (continue4d)
Gothic Energy Corp., 12.25% Sr. Nts., Series B, 9/1/04 $ 13,500,000 $ 12,757,500
- -------------------------------------------------------------------------------------------------------------
Grant Geophysical, Inc., 9.75% Sr. Nts., 2/15/08(7) 6,350,000 6,286,500
- -------------------------------------------------------------------------------------------------------------
J. Ray McDermott SA, 9.375% Sr. Sub. Bonds, 7/15/06 5,590,000 6,023,225
- -------------------------------------------------------------------------------------------------------------
National Energy Group, Inc., 10.75% Sr. Nts., 11/1/06 10,395,000 9,979,200
- -------------------------------------------------------------------------------------------------------------
Parker Drilling Co.:
9.75% Gtd. Nts., 11/15/06(7) 4,300,000 4,590,250
9.75% Gtd. Sr. Nts., 11/15/06 8,800,000 9,438,000
- -------------------------------------------------------------------------------------------------------------
Petroleum Heat & Power Co., Inc., 9.375% Sub. Debs., 2/1/06 16,220,000 13,422,050
- -------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 8.75% Sr. Sub. Nts., 5/15/07 9,680,000 10,091,400
- -------------------------------------------------------------------------------------------------------------
Pool Energy Services Co., 8.625% Sr. Sub. Nts., 4/1/08(7) 2,175,000 2,191,312
- -------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 17,230,000 16,928,475
- -------------------------------------------------------------------------------------------------------------
Statia Terminals International/Statia Terminals (Canada), Inc.,
11.75% First Mtg. Nts., Series B, 11/15/03 1,775,000 1,881,500
- -------------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07 12,460,000 12,802,650
- -------------------------------------------------------------------------------------------------------------
Universal Compression Holdings, Inc.:
0%/11.375% Sr. Disc. Nts., 2/15/09(7)(14) 2,400,000 1,428,000
0%/9.875% Sr. Disc. Nts., 2/15/08(7)(14) 8,725,000 5,453,125
--------------
184,002,507
- -------------------------------------------------------------------------------------------------------------
Financial Services--4.2%
- -------------------------------------------------------------------------------------------------------------
Banks & Thrifts--2.5%
Banco Bamerindus do Brasil SA, 9% Unsec. Unsub. Bonds,
10/29/98 3,240,000 3,225,485
- -------------------------------------------------------------------------------------------------------------
Banco Nacional de Mexico SA, 11% Sub. Exchangeable
Capital Debs., 7/15/03(5) 9,750,000 10,383,750
- -------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4,167,000 4,729,545
- -------------------------------------------------------------------------------------------------------------
Bayerische Vereinsbank AG, 5% Sec. Nts., Series 661, 7/28/04DEM 23,855,000 12,980,482
- -------------------------------------------------------------------------------------------------------------
Deutsche Pfandbrief & Hypobank, 4.75% Sec. Nts., Series 452,
3/20/03DEM 96,400,000 52,251,894
- -------------------------------------------------------------------------------------------------------------
First Nationwide Holdings, Inc., 10.625% Sr. Sub. Nts., 10/1/03 7,015,000 7,926,950
- -------------------------------------------------------------------------------------------------------------
Hypothekenbank in Essen AG:
4.50% Sec. Nts., Series 478, 5/2/03DEM 52,540,000 28,168,695
5.25% Sec. Nts., Series 502, 1/22/08DEM 33,860,000 18,512,497
5.50% Sec. Nts., Series 459, 2/20/07DEM 33,400,000 18,587,894
- -------------------------------------------------------------------------------------------------------------
Kreditanstalt fuer Wiederaufbau, 5% Bonds, 1/4/09DEM 24,170,000 13,028,706
- -------------------------------------------------------------------------------------------------------------
Local Financial Corp., 11% Sr. Nts., 9/8/04(7) 10,000,000 10,900,000
- -------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Gtd. Nts., 3/29/04(7) 4,970,000 2,497,425
- -------------------------------------------------------------------------------------------------------------
Westpac Banking Bills, Zero Coupon, 8.77%, 7/31/98(10)NZD 58,740,000 31,490,176
--------------
214,683,499
</TABLE>
26 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Diversified Financial--1.4%
Amresco, Inc.:
9.875% Sr. Sub. Nts., Series 98-A, 3/15/05 $ 4,260,000 $ 4,345,200
10% Sr. Sub. Nts., Series 97-A, 3/15/04 7,250,000 7,431,250
- -------------------------------------------------------------------------------------------------------------
Bakrie Investindo, Zero Coupon Promissory Nts.,
7/10/98(5)(12)IDR 27,000,000,000 624,277
- -------------------------------------------------------------------------------------------------------------
Banco del Atlantico SA, 7.875% Eurobonds, 11/5/98 12,980,000 12,988,112
- -------------------------------------------------------------------------------------------------------------
ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02(5) 320,667 321,470
- -------------------------------------------------------------------------------------------------------------
Emergent Group, Inc., 10.75% Sr. Nts., Series B, 9/15/04 3,560,000 3,390,900
- -------------------------------------------------------------------------------------------------------------
Industrial Bank of Japan Preferred Capital Co. (The) LLC,
8.79% Bonds, 12/29/49(6)(7) 6,550,000 6,316,840
- -------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Gtd. Bonds, 8/1/27 5,350,000 5,965,250
- -------------------------------------------------------------------------------------------------------------
Ocwen Financial Corp., 11.875% Nts., 10/1/03 9,275,000 10,619,875
- -------------------------------------------------------------------------------------------------------------
Parametric RE Ltd., 10.206% Nts., 11/15/07(5)(6) 2,400,000 2,448,000
- -------------------------------------------------------------------------------------------------------------
PT Polysindo Eka Perkasa, Zero Coupon Nts., Series 2, 7/15/98(12)IDR 6,484,800,000 149,938
- -------------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust:
11.625% Sr. Sec. Nts., Series B, 4/1/02 29,700,000 31,556,250
9.75% Sr. Sec. Nts., 4/1/08(7) 10,540,000 10,665,162
- -------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., 11.50% Sr. Nts., 11/1/04 10,025,000 9,924,750
- -------------------------------------------------------------------------------------------------------------
Veritas Capital Trust, 10% Gtd. Debs., 1/1/28(7) 3,525,000 3,674,812
- -------------------------------------------------------------------------------------------------------------
Washington Mutual Capital I, 8.375% Gtd. Bonds, 6/1/27 2,000,000 2,143,376
- -------------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc., 13% Nts., 1/1/04 5,440,000 5,875,200
--------------
118,440,662
- -------------------------------------------------------------------------------------------------------------
Insurance--0.3%
Residential Reinsurance, 11.698% Nts., 12/15/98(6) 20,000,000 20,301,000
- -------------------------------------------------------------------------------------------------------------
Terra Nova Insurance (UK) Holdings plc, 10.75% Sr. Nts., 7/1/05 900,000 1,005,691
- -------------------------------------------------------------------------------------------------------------
Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 6,193,000 6,657,475
--------------
27,964,166
- -------------------------------------------------------------------------------------------------------------
Housing Related--0.6%
- -------------------------------------------------------------------------------------------------------------
Building Materials--0.1%
Building Materials Corp. of America, 8.625% Sr. Nts., Series B,
12/15/06 3,400,000 3,544,500
- -------------------------------------------------------------------------------------------------------------
Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07 3,430,000 3,550,050
- -------------------------------------------------------------------------------------------------------------
Nortek, Inc., 9.25% Sr. Nts., Series B, 3/15/07 5,100,000 5,316,750
--------------
12,411,300
</TABLE>
27 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Homebuilders/Real Estate--0.5%
First Place Tower, Inc., Units (each unit consists of one
$10 principal amount of 8.50% cv. sub. debs., 12/15/15
and 40 common shares)(15)CAD 930,410 $ 2,526,990
- -------------------------------------------------------------------------------------------------------------
Greystone Homes, Inc., 10.75% Gtd. Sr. Nts., 3/1/04(5) 2,680,000 2,941,300
- -------------------------------------------------------------------------------------------------------------
Hovnanian K. Enterprises, Inc., 11.25% Gtd. Sub. Nts., 4/15/02 8,571,000 8,913,840
- -------------------------------------------------------------------------------------------------------------
Kaufman & Broad Home Corp., 7.75% Sr. Nts., 10/15/04 13,800,000 13,731,000
- -------------------------------------------------------------------------------------------------------------
Nortek, Inc., 9.125% Sr. Nts., Series B, 9/1/07 11,450,000 11,879,375
--------------
39,992,505
- -------------------------------------------------------------------------------------------------------------
Manufacturing--3.1%
- -------------------------------------------------------------------------------------------------------------
Aerospace--1.3%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 24,444,617
- -------------------------------------------------------------------------------------------------------------
Amtran, Inc., 10.50% Sr. Nts., 8/1/04 7,800,000 8,385,000
- -------------------------------------------------------------------------------------------------------------
Atlas Air, Inc.:
10.75% Sr. Nts., 8/1/05 8,183,000 8,796,725
12.25% Pass-Through Certificates, 12/1/02(5) 13,575,000 15,204,000
- -------------------------------------------------------------------------------------------------------------
Constellation Finance LLC, 9.80% Airline Receivable
Asset-Backed Nts., Series 1997-1, 1/1/01(5) 7,500,000 7,650,000
- -------------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 9.75%, 12/10/01(5) 2,000,000 2,145,000
- -------------------------------------------------------------------------------------------------------------
Greater Toronto Airport, 5.40% Debs., 12/3/02CAD 10,005,000 7,033,533
- -------------------------------------------------------------------------------------------------------------
Kitty Hawk, Inc., 9.95% Sr. Sec. Nts., 11/15/04(7) 2,520,000 2,608,200
- -------------------------------------------------------------------------------------------------------------
Northwest Airlines Corp., 12.092% Gtd. Sr. Nts., 12/31/00(5) 920,214 929,417
- -------------------------------------------------------------------------------------------------------------
Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts.,
Cl. B, 6/15/04(5) 4,355,775 4,500,387
- -------------------------------------------------------------------------------------------------------------
SC International Services, Inc., 9.25% Sr. Sub. Nts., Series B, 9/1/07 11,825,000 12,460,594
- -------------------------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14% Equipment Trust, 7/2/08(5) 3,302,034 3,549,687
- -------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.50% Sr. Sec. Nts., 12/15/04 14,545,000 15,344,975
--------------
113,052,135
- -------------------------------------------------------------------------------------------------------------
Automotive--0.8%
Aftermarket Technology Corp., 12% Sr. Sub. Nts., Series B, 8/1/04 3,700,000 4,107,000
- -------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 4,775,000 4,966,000
- -------------------------------------------------------------------------------------------------------------
Chrysler Financial Corp., 13.25% Nts., 10/15/99 4,500,000 4,972,351
- -------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 11.50% Gtd. Sr. Sub. Nts., 4/15/06 11,500,000 12,995,000
- -------------------------------------------------------------------------------------------------------------
Delco Remy International, Inc., 8.625% Sr. Nts., 12/15/07 1,600,000 1,660,000
- -------------------------------------------------------------------------------------------------------------
Hayes Wheels International, Inc.:
9.125% Sr. Sub. Nts., 7/15/07 6,550,000 6,959,375
11% Sr. Sub. Nts., 7/15/06 6,690,000 7,618,237
- -------------------------------------------------------------------------------------------------------------
Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07 4,335,000 4,638,450
- -------------------------------------------------------------------------------------------------------------
Lear Corp., 9.50% Sub. Nts., 7/15/06 2,825,000 3,132,219
- -------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 14,250,000 15,140,625
--------------
66,189,257
</TABLE>
28 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Capital Goods--1.0%
Burke Industries, Inc., 10% Sr. Nts., 8/15/07 $ 3,475,000 $ 3,692,187
- -------------------------------------------------------------------------------------------------------------
Clark-Schwebel, Inc.:
10.50% Sr. Nts., 4/15/06 8,700,000 9,700,500
12.50% Debs., Series B, 7/15/07(17) 5,411,593 5,790,405
- -------------------------------------------------------------------------------------------------------------
Columbus McKinnon Corp., 8.50% Sr. Sub. Nts., 4/1/08(7) 1,870,000 1,884,025
- -------------------------------------------------------------------------------------------------------------
Communications & Power Industries, Inc., 12% Sr. Sub. Nts.,
Series B, 8/1/05 12,553,000 14,184,890
- -------------------------------------------------------------------------------------------------------------
Eagle-Picher Industries, Inc., 9.375% Sr. Sub. Nts., 3/1/08(7) 3,600,000 3,681,000
- -------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 6,300,000 6,552,000
- -------------------------------------------------------------------------------------------------------------
Insilco Corp., 10.25% Sr. Unsec. Sub. Nts., 8/15/07(7) 8,650,000 9,125,750
- -------------------------------------------------------------------------------------------------------------
International Wire Group, Inc., 11.75% Sr. Sub. Nts., Series B, 6/1/05 7,835,000 8,736,025
- -------------------------------------------------------------------------------------------------------------
Paragon Corp. Holdings, Inc., 9.625% Sr. Nts., 4/1/08(7) 3,500,000 3,473,750
- -------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., 9% Sr. Sub. Nts., 7/1/07 4,550,000 4,720,625
- -------------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Gtd. Sr. Sub. Nts.,
Series B, 6/15/07(5) 6,400,000 6,656,000
- -------------------------------------------------------------------------------------------------------------
Terex Corp., 8.875% Sr. Sub. Nts., 4/1/08(7) 2,850,000 2,871,375
- -------------------------------------------------------------------------------------------------------------
Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 2,170,000 2,256,800
- -------------------------------------------------------------------------------------------------------------
Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03(5) 5,000,000 5,250,000
--------------
88,575,332
- -------------------------------------------------------------------------------------------------------------
Media--4.3%
- -------------------------------------------------------------------------------------------------------------
Broadcasting--1.3%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., 2/1/08(7) 2,375,000 2,404,687
- -------------------------------------------------------------------------------------------------------------
Azteca Holdings SA, 11% Sr. Sec. Nts., 6/15/02 5,730,000 6,002,175
- -------------------------------------------------------------------------------------------------------------
Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07 9,825,000 10,414,500
- -------------------------------------------------------------------------------------------------------------
Chancellor Radio Broadcasting Co.:
8.125% Sr. Sub. Nts., 12/15/07(7) 10,000,000 10,225,000
8.75% Sr. Sub. Nts., 6/15/07 7,400,000 7,770,000
- -------------------------------------------------------------------------------------------------------------
Jacor Communications Co.:
8% Sr. Sub. Nts., 2/15/10 4,000,000 4,040,000
8.75% Gtd. Sr. Sub. Nts., Series B, 6/15/07 4,130,000 4,315,850
- -------------------------------------------------------------------------------------------------------------
Outlet Broadcasting, Inc., 10.875% Sr. Sub. Nts., 7/15/03 2,000,000 2,102,406
- -------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 8,425,000 9,120,062
- -------------------------------------------------------------------------------------------------------------
Radio One, Inc., 7% Sr. Sub. Nts., Series B, 5/15/04(11) 3,000,000 3,056,250
- -------------------------------------------------------------------------------------------------------------
SCI Television, Inc., 11% Sr. Sec. Nts., 6/30/05(5) 2,153,155 2,204,508
- -------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
9% Gtd. Sr. Sub. Nts., 7/15/07 14,800,000 15,521,500
8.75% Sr. Sub. Nts., 12/15/07 8,675,000 8,978,625
10% Sr. Sub. Nts., 9/30/05 725,000 785,719
- -------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc.:
11% Sr. Nts., 3/15/04 2,400,000 2,634,000
12.50% Sr. Nts., 6/15/02 1,000,000 1,145,000
</TABLE>
29 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Broadcasting (continued)
TV Azteca SA de CV:
10.125% Gtd. Sr. Nts., Series A, 2/15/04 $ 3,300,000 $ 3,493,875
10.50% Gtd. Sr. Nts., Series B, 2/15/07 5,150,000 5,452,563
- -------------------------------------------------------------------------------------------------------------
Young Broadcasting, Inc.:
8.75% Sr. Sub. Debs., 6/15/07 13,125,000 13,453,125
9% Sr. Sub. Nts., Series B, 1/15/06 825,000 853,875
--------------
113,973,720
- -------------------------------------------------------------------------------------------------------------
Cable Television--1.9%
Adelphia Communications Corp.:
8.375% Sr. Nts., 2/1/08 7,150,000 7,203,625
9.25% Sr. Nts., 10/1/02 7,175,000 7,479,938
9.875% Sr. Nts., Series B, 3/1/07 2,000,000 2,175,000
10.50% Sr. Unsec. Nts., Series B, 7/15/04 6,040,000 6,628,900
- -------------------------------------------------------------------------------------------------------------
American Telecasting, Inc., 0%/14.50% Sr. Disc. Nts., 6/15/04(14) 3,744,080 730,096
- -------------------------------------------------------------------------------------------------------------
Cablevision Systems Corp. Holdings, Inc.:
9.875% Sr. Sub. Debs., 4/1/23 1,350,000 1,501,875
9.875% Sr. Sub. Debs., 2/15/13 2,620,000 2,914,750
9.875% Sr. Sub. Nts., 5/15/06 2,215,000 2,436,500
10.50% Sr. Sub. Debs., 5/15/16 7,950,000 9,381,000
- -------------------------------------------------------------------------------------------------------------
EchoStar Communications Corp., 0%/12.875% Sr. Disc. Nts.,
6/1/04(14) 2,525,000 2,442,938
- -------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 12.50% Gtd. Nts., 7/1/02 17,610,000 20,031,375
- -------------------------------------------------------------------------------------------------------------
EchoStar I, 8.25% Bonds, 2/26/01(5) 7,190,530 7,118,625
- -------------------------------------------------------------------------------------------------------------
EchoStar II, 8.25% Bonds, 11/9/01(5) 6,819,987 6,751,787
- -------------------------------------------------------------------------------------------------------------
EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec
Disc. Nts., 3/15/04(14) 18,110,000 16,661,200
- -------------------------------------------------------------------------------------------------------------
Fundy Cable Ltd./Ltee, 11% Sr. Sec. Second Priority Nts., 11/15/05(5) 3,400,000 3,782,500
- -------------------------------------------------------------------------------------------------------------
Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts.,
Series B, 11/1/03(6) 11,649,000 12,610,043
- -------------------------------------------------------------------------------------------------------------
Marcus Cable Operating Co. LP/Marcus Cable Capital Corp.,
0%/13.50% Gtd. Sr. Sub. Disc. Nts., Series II, 8/1/04(14) 1,900,000 1,816,875
- -------------------------------------------------------------------------------------------------------------
Optel, Inc., 13% Sr. Nts., Series B, 2/15/05 14,065,000 15,612,150
- -------------------------------------------------------------------------------------------------------------
Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs., 12/1/07 4,350,000 4,817,625
- -------------------------------------------------------------------------------------------------------------
Rogers Communications, Inc., 8.75% Sr. Nts., 7/15/07CAD 20,000,000 13,851,476
- -------------------------------------------------------------------------------------------------------------
TCI Satellite Entertainment, Inc.:
0%/12.25% Sr. Sub. Disc. Nts., 2/15/07(7)(14) 6,185,000 4,391,350
10.875% Sr. Sub. Nts., 2/15/07(7) 5,790,000 6,195,300
- -------------------------------------------------------------------------------------------------------------
TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 2,900,000 3,204,938
- -------------------------------------------------------------------------------------------------------------
United International Holdings, Inc.:
0%/10.75% Sr. Disc. Nts., 2/15/08(7)(14) 5,395,000 3,412,338
0%/14% Sr. Disc. Nts., Series B, 5/15/06(14) 4,700,000 3,266,500
--------------
166,418,704
</TABLE>
30 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Diversified Media--0.8%
Ackerley Communications, Inc., 10.75% Sr. Sec. Nts.,
Series A, 10/1/03 $ 9,050,000 $ 9,570,375
- -------------------------------------------------------------------------------------------------------------
Chancellor Media Corp., 10.50% Sr. Sub. Nts., Series B, 1/15/07 3,870,000 4,353,750
- -------------------------------------------------------------------------------------------------------------
GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(7) 787,610 768,613
- -------------------------------------------------------------------------------------------------------------
Hollywood Theaters, Inc., 10.625% Sr. Sub. Nts., 8/1/07 2,075,000 2,261,750
- -------------------------------------------------------------------------------------------------------------
IPC Magazines Group plc, 9.675% Bonds, 3/15/08(7)GBP 10,525,000 17,581,118
- -------------------------------------------------------------------------------------------------------------
Lamar Advertising Co.:
8.625% Sr. Sub. Nts., 9/15/07 4,250,000 4,430,625
9.625% Sr. Sub. Nts., 12/1/06 8,575,000 9,346,750
- -------------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Debs., 3/15/23 8,209,000 9,368,480
- -------------------------------------------------------------------------------------------------------------
Time Warner, Inc.:
9.125% Debs., 1/15/13 2,000,000 2,396,728
9.15% Debs., 2/1/23 9,000,000 11,090,034
--------------
71,168,223
- -------------------------------------------------------------------------------------------------------------
Entertainment/Film--0.3%
Ascent Entertainment Group, Inc., 0%/11.875% Sr. Sec. Disc
Nts., 12/15/04(14) 2,465,000 1,466,675
- -------------------------------------------------------------------------------------------------------------
Imax Corp., 10% Sr. Nts., 3/1/01 13,780,000 14,469,000
- -------------------------------------------------------------------------------------------------------------
SFX Entertainment, Inc., 9.125% Sr. Sub. Nts., 2/1/08(7) 10,050,000 9,999,750
--------------
25,935,425
- -------------------------------------------------------------------------------------------------------------
Publishing/Printing--0.0%
Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub.
Nts., 3/15/07 2,700,000 2,875,500
- -------------------------------------------------------------------------------------------------------------
Sun Media Corp., 9.50% Sr. Sub. Nts., 5/15/07 578,000 619,905
--------------
3,495,405
- -------------------------------------------------------------------------------------------------------------
Other--1.1%
- -------------------------------------------------------------------------------------------------------------
Conglomerates--0.1%
Cia Latino Americana de Infraestructura & Servicios SA-CLISA,
11.625% Gtd. Sr. Nts., 6/1/04(5) 650,000 676,000
- -------------------------------------------------------------------------------------------------------------
Grupo Mexicano de Desarrollo SA, 8.25% Gtd. Nts., 2/17/01(7)(16) 6,000,000 1,815,000
- -------------------------------------------------------------------------------------------------------------
Maxxam Group, Inc., 0%/12.25% Sr. Sec. Disc. Nts., 8/1/03(14) 1,075,000 1,101,875
- -------------------------------------------------------------------------------------------------------------
Mechala Group Jamaica Ltd., 12.75% Gtd. Sr. Sec. Sub. Nts.,
Series B, 12/30/99 4,870,000 4,833,475
--------------
8,426,350
- -------------------------------------------------------------------------------------------------------------
Environmental--0.1%
Allied Waste Industries, Inc., 0%/11.30% Sr. Disc. Nts., 6/1/07(14) 4,150,000 3,071,000
- -------------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., 10.25% Sr. Sub. Nts., 12/1/06 3,435,000 3,838,613
--------------
6,909,613
</TABLE>
31 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Services--0.9%
Borg-Warner Security Corp.:
9.125% Sr. Sub. Nts., 5/1/03 $ 10,660,000 $ 10,819,900
9.625% Sr. Sub. Nts., 3/15/07 1,450,000 1,529,750
- -------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(14) 6,650,000 5,436,375
- -------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., 12/1/07(7) 2,920,000 3,124,400
- -------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 9% Sr. Sub. Nts., 2/1/08(7) 13,660,000 13,933,200
- -------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 6,850,000 7,038,375
- -------------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc., 9.625% Gtd. Unsec. Nts., Series B, 11/1/07 1,900,000 1,966,500
- -------------------------------------------------------------------------------------------------------------
Neodata Services, Inc., 12% Sr. Deferred Coupon Nts., Series B, 5/1/03 4,475,000 4,900,125
- -------------------------------------------------------------------------------------------------------------
Protection One Alarm Monitoring, Inc.:
0%/13.625% Sr. Disc. Nts., 6/30/05(14) 5,600,000 6,300,000
6.75% Cv. Gtd. Sr. Sub. Nts., 9/15/03 11,090,000 14,597,213
- -------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., Units (each unit consists of $1,000
principal amount of 0%/12.75% sr. disc. nts., 3/15/08 and one
warrant to purchase two shares of cl. C common stock)(7)(14)(15) 2,100,000 1,181,250
- -------------------------------------------------------------------------------------------------------------
United Stationers Supply Co., 12.75% Sr. Sub. Nts., 5/1/05 3,304,000 3,832,640
--------------
74,659,728
- -------------------------------------------------------------------------------------------------------------
Retail--0.9%
- -------------------------------------------------------------------------------------------------------------
Specialty Retailing--0.3%
Brylane LP/Brylane Capital Corp., 10% Sr. Sub. Nts., Series B, 9/1/03(5) 3,000,000 3,195,000
- -------------------------------------------------------------------------------------------------------------
Central Termica Guemes, 12% Bonds, 11/26/01(7) 6,025,000 6,025,000
- -------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 12% Sr. Nts., 10/1/03 6,600,000 7,161,000
- -------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 10.625% Sr. Nts., 5/1/03(5) 5,185,000 5,444,250
- -------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,553,500
--------------
25,378,750
- -------------------------------------------------------------------------------------------------------------
Supermarkets--0.6%
Fleming Cos., Inc.:
10.50% Sr. Sub. Nts., Series B, 12/1/04 6,150,000 6,549,750
10.625% Sr. Sub. Nts., Series B, 7/31/07 18,700,000 20,009,000
- -------------------------------------------------------------------------------------------------------------
Randall's Food Markets, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 14,970,000 15,980,475
- -------------------------------------------------------------------------------------------------------------
Shoppers Food Warehouse Corp., 9.75% Sr. Nts., 6/15/04 3,225,000 3,442,688
- -------------------------------------------------------------------------------------------------------------
Stater Brothers Holdings, Inc., 9% Sr. Unsec. Sub. Nts., 7/1/04 7,225,000 7,586,250
--------------
53,568,163
</TABLE>
32 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Technology--9.9%
- -------------------------------------------------------------------------------------------------------------
Information Technology--5.7%
American Mobile Radio Corp., Units (each unit consists of
$1,000 principal amount of 12.75% sr. nts., 12/15/07 and one
warrant to purchase 3.75749 shares of common stock)(7)(15) $ 4,950,000 $ 5,172,750
- -------------------------------------------------------------------------------------------------------------
Amphenol Corp., 9.875% Sr. Sub. Nts., 5/15/07 2,150,000 2,327,375
- -------------------------------------------------------------------------------------------------------------
Celcaribe SA, 13.50% Sr. Sec. Nts., 3/15/04(5) 12,750,000 13,196,250
- -------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., 0%/14% Sr. Disc. Nts., 10/1/07(14) 21,373,000 11,434,555
- -------------------------------------------------------------------------------------------------------------
Cellular Communications International, Inc.:
0%/9.50% Bonds, 4/1/05(7)(14)XEU 29,825,000 21,703,735
6% Cv. Sub. Nts., 4/1/05(7) 2,200,000 2,832,500
- -------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(14) 4,745,000 3,950,213
- -------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA, 0%/13.125% Sr. Deferred Coupon
Bonds, 11/15/03(14) 16,359,000 12,841,815
- -------------------------------------------------------------------------------------------------------------
Concentic Network Corp., Units (each unit consists of $1,000
principal amount of 12.75% sr. nts., 12/15/07 and one warrant
to purchase 6.34 shares of common stock)(7)(15) 4,650,000 5,521,875
- -------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc., Units (each unit consists of
$1,000 principal amount of 0%/13.50% sr. disc. nts., 3/15/08 and
one warrant to purchase 6.4792 common shares)(7)(14)(15) 20,800,000 11,024,000
- -------------------------------------------------------------------------------------------------------------
Crown Castle International Corp., 0%/10.625% Sr. Disc. Nts.,
11/15/07(7)(14) 13,410,000 9,102,038
- -------------------------------------------------------------------------------------------------------------
Details, Inc., 10% Sr. Sub. Nts., 11/15/05 6,150,000 6,472,875
- -------------------------------------------------------------------------------------------------------------
Dial Call Communications, Inc., 0%/12.25% Sr. Disc. Nts., 4/15/04(14) 15,705,000 15,626,475
- -------------------------------------------------------------------------------------------------------------
DII Group, Inc., 8.50% Sr. Sub. Nts., 9/15/07 925,000 925,000
- -------------------------------------------------------------------------------------------------------------
Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 6,345,000 6,567,075
- -------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc.:
0%/15% Sr. Sec. Disc. Nts., Series B, 7/15/05(14) 7,175,000 3,623,375
12% Cv. Sr. Sub. Nts., 2/15/01(5) 625,000 359,375
- -------------------------------------------------------------------------------------------------------------
ICG Communications, Inc., 0%/10% Sr. Disc. Nts., 2/15/08(7)(14) 2,510,000 1,637,775
- -------------------------------------------------------------------------------------------------------------
Iridium LLC/Iridium Capital Corp.:
11.25% Sr. Nts., 7/15/05(7) 11,510,000 12,258,150
13% Sr. Nts., Series A, 7/15/05 9,185,000 10,310,163
- -------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.75% Sr. Sub. Nts., 9/30/09 9,800,000 10,167,500
- -------------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 7,470,000 7,852,838
- -------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc.:
0%/11.125% Sr. Disc. Nts., 10/15/07(7)(14)CAD 14,545,000 6,443,398
0%/14% Sr. Disc. Nts., Series B, 6/1/06(14) 8,875,000 6,645,156
- -------------------------------------------------------------------------------------------------------------
Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(14) 7,335,000 5,794,650
</TABLE>
33 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Information Technology (continued)
Nextel Communications, Inc.:
0%/9.75% Sr. Disc. Nts., 10/31/07(14) $ 27,915,000 $ 18,179,644
0%/9.95% Sr. Disc. Nts., 2/15/08(7)(14) 13,800,000 8,849,250
0%/10.65% Sr. Disc. Nts., 9/15/07(14) 26,475,000 17,804,438
0%/11.50% Sr. Disc. Nts., 9/1/03(14) 14,105,000 14,316,575
- -------------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA, 0%/14% Sr. Disc. Nts.,
Series B, 3/15/04(14) 5,400,000 4,387,500
- -------------------------------------------------------------------------------------------------------------
Omnipoint Corp.:
11.625% Sr. Nts., 8/15/06 9,940,000 10,996,125
11.625% Sr. Nts., Series A, 8/15/06 10,610,000 11,737,313
- -------------------------------------------------------------------------------------------------------------
ORBCOMM Global LP/ORBCOMM Capital Corp.,
14% Sr. Nts., 8/15/04 17,830,000 20,905,675
- -------------------------------------------------------------------------------------------------------------
Orbital Imaging Corp., Units (each unit consists of $1,000
principal amount of 11.625% sr. nts., 3/1/05 and one warrant
to purchase 8.7516 ordinary shares)(7)(15) 3,250,000 3,566,875
- -------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(14) 11,975,000 9,400,375
- -------------------------------------------------------------------------------------------------------------
Pinnacle Holdings, Inc., 0%/10% Sr. Disc. Nts., 3/15/08(7)(14) 8,750,000 5,468,750
- -------------------------------------------------------------------------------------------------------------
Price Communications Cellular Holdings, Inc., 0%/13.50%
Sr. Disc. Nts., Series A, 8/1/07(7)(14) 17,555,000 12,288,500
- -------------------------------------------------------------------------------------------------------------
Price Communications Wireless, Inc., 11.75% Sr. Sub. Nts., 7/15/07 10,240,000 11,571,200
- -------------------------------------------------------------------------------------------------------------
PriCellular Wireless Corp.:
0%/12.25% Sr. Sub. Disc. Nts., 10/1/03(14) 8,950,000 9,531,750
10.75% Sr. Nts., 11/1/04 6,605,000 7,496,675
14% Sr. Sub. Disc. Nts., 11/15/01 26,967,000 29,798,535
- -------------------------------------------------------------------------------------------------------------
Real Time Data, Inc., Units (each unit consists of $1,000 principal
amount of 0%/13.50% sub. disc. nts., 8/15/06 and one warrant to
purchase six ordinary shares)(7)(14)(15) 18,540,000 9,270,000
- -------------------------------------------------------------------------------------------------------------
Satelites Mexicanos SA, 10.125% Sr. Nts., 11/1/04(7) 6,300,000 6,567,750
- -------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 0%/12% Sr. Disc. Nts., 3/1/08(7)(14) 26,275,000 15,567,938
- -------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp.,
0%/12.50% Sr. Disc. Nts., 8/15/06(14) 610,000 512,400
- -------------------------------------------------------------------------------------------------------------
Teletrac, Inc., 14% Sr. Nts., 8/1/07 3,275,000 3,193,125
- -------------------------------------------------------------------------------------------------------------
Tracor, Inc., 8.50% Sr. Sub. Nts., 3/1/07 3,190,000 3,309,625
- -------------------------------------------------------------------------------------------------------------
Unisys Corp., 11.75% Sr. Nts., 10/15/04 3,800,000 4,398,500
- -------------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc. II:
9.50% Sr. Nts., 2/1/04 6,520,000 6,308,100
14% Sr. Nts., 11/1/04 9,965,000 11,123,431
- -------------------------------------------------------------------------------------------------------------
Verio, Inc., 10.375% Sr. Nts., 4/1/05(7) 6,950,000 7,262,750
- -------------------------------------------------------------------------------------------------------------
WAM!Net, Inc., Units (each unit consists of $1,000 principal
amount of 0%/13.25% sr. disc. nts., 3/1/05 and three warrants to
purchase 6.03 shares of common stock)(7)(14)(15) 20,150,000 12,392,250
- -------------------------------------------------------------------------------------------------------------
Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07 5,625,000 5,878,125
- -------------------------------------------------------------------------------------------------------------
Zilog, Inc., 9.50% Sr. Nts., 3/1/05(7) 14,280,000 13,887,300
--------------
489,761,385
</TABLE>
34 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Telecommunications/Technology--4.2%
Allegiance Telecom, Inc., Units (each unit consists of $1,000
principal amount of 0%/11.75% sr. disc. nts., 2/15/08 and one
warrant to purchase .003422 shares of common stock)(7)(14)(15) $ 4,720,000 $ 2,743,500
- -------------------------------------------------------------------------------------------------------------
American Communications Services, Inc.:
0%/12.75% Sr. Disc. Nts., 4/1/06(14) 840,000 680,400
13.75% Sr. Nts., 7/15/07 5,230,000 6,249,850
- -------------------------------------------------------------------------------------------------------------
Call-Net Enterprises, Inc.:
0%/9.27% Sr. Disc. Nts., 8/15/07(14) 5,200,000 3,718,000
0%/13.25% Sr. Disc. Nts., 12/1/04(14) 7,300,000 6,880,250
8.375% Sr. Nts., 8/15/07CAD 3,790,000 2,770,098
- -------------------------------------------------------------------------------------------------------------
COLT Telecom Group plc:
0%/12% Sr. Unsec. Disc. Nts., 12/15/06(14) 2,625,000 2,100,000
10.125% Sr. Nts., 11/30/07GBP 6,290,000 11,428,569
8.875% Sr. Nts., 11/30/07DEM 4,450,000 2,646,895
Units (each unit consists of $1,000 principal amount of
0%/12% sr. disc. nts., 12/15/06 and one warrant to purchase
7.8 ordinary shares)(14)(15) 17,325,000 16,415,438
- -------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs.,
11/15/07(14) 6,260,000 5,227,100
- -------------------------------------------------------------------------------------------------------------
Convergent Communications, Inc., Units (each unit consists of
$1,000 principal amount of 13% sr. nts., 4/1/08 and four warrants
to purchase 10.8 shares of common stock)(4)(7)(15) 4,600,000 4,634,500
- -------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts.,
12/15/05(14) 27,875,000 22,369,688
- -------------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08(7) 2,050,000 2,111,500
- -------------------------------------------------------------------------------------------------------------
Facilicom International, 10.50% Sr. Nts., 1/15/08(7) 13,185,000 13,778,325
- -------------------------------------------------------------------------------------------------------------
Focal Communications Corp., 0%/12.125% Sr. Disc. Nts.,
2/15/08(7)(14) 18,895,000 11,100,813
- -------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts.,
12/15/05(7)(14) 1,800,000 1,435,500
- -------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(14) 18,220,000 15,213,700
- -------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc.:
0%/12.50% Gtd. Sr. Disc. Nts., 5/1/06(14) 2,800,000 2,282,000
0%/13.50% Sr. Disc. Nts., 9/15/05(14) 10,900,000 9,428,500
- -------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
0%/11.25% Sr. Disc. Nts., Series B, 7/15/07(14) 14,025,000 10,518,750
8.50% Sr. Nts., 1/15/08 13,675,000 14,392,938
8.875% Sr. Nts., 11/1/07 8,750,000 9,362,500
- -------------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc., Units (each unit consists of $1,000
principal amount of 0%/12.50% sr. disc. nts., 2/15/08 and one
warrant to purchase .21875 ordinary shares)(7)(14)(15) 18,775,000 11,124,188
</TABLE>
35 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Telecommunications/Technology (continued)
McLeodUSA, Inc.:
0%/10.50% Sr. Disc. Nts., 3/1/07(14) $ 2,710,000 $ 2,073,150
8.375% Sr. Nts., 3/15/08(7) 1,000,000 1,032,500
9.25% Sr. Nts., 7/15/07 1,725,000 1,858,688
- -------------------------------------------------------------------------------------------------------------
Metronet Communications Corp., 0%/10.75% Sr. Disc. Nts., 11/1/07(14) 7,650,000 4,991,625
- -------------------------------------------------------------------------------------------------------------
Netia Holdings BV:
0%/11% Gtd. Sr. Disc. Nts., 11/1/07(7)(14)DEM 9,750,000 3,604,839
0%/11% Gtd. Sr. Disc. Nts., 11/1/07(14)DEM 13,850,000 5,120,720
0%/11.25% Nts., 11/1/07(7)(14) 4,900,000 3,344,250
10.25% Gtd. Sr. Nts., 11/1/07(7) 2,425,000 2,485,625
- -------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc.:
9% Sr. Nts., 3/15/08(7) 6,600,000 6,831,000
9.625% Sr. Nts., 10/1/07 15,130,000 16,113,450
- -------------------------------------------------------------------------------------------------------------
NTL, Inc.:
0%/9.75% Sr. Nts., 4/1/08(7)(14) 6,600,000 4,323,000
0%/10.75% Sr. Unsec. Unsub. Nts., Series REGS, 4/1/08(14)GBP 7,825,000 8,222,607
0%/10.875% Sr. Deferred Coupon Nts., 10/15/03(14) 900,000 882,000
10% Sr. Nts., 2/15/07 7,725,000 8,381,625
- -------------------------------------------------------------------------------------------------------------
Petersburg Long Distance, Inc.:
9% Cv. Sub. Nts., 6/1/06(7) 1,500,000 1,860,000
Units (each unit consists of $1,000 principal amount of
0%/14% sr. disc. nts., 6/1/04 and one warrant to purchase
34 ordinary shares)(7)(14)(15) 16,650,000 15,900,750
- -------------------------------------------------------------------------------------------------------------
PTC International Finance BV, 0%/10.75% Gtd. Sr. Sub.
Unsec. Bonds, 7/1/07(14) 6,532,000 4,441,760
- -------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc.:
0%/8.29% Sr. Disc. Nts., 2/1/08(7)(14) 19,355,000 13,742,050
0%/9.47% Sr. Disc. Nts., 10/15/07(14) 27,185,000 20,048,938
- -------------------------------------------------------------------------------------------------------------
RSL Communications plc:
0%/10% Bonds, 3/15/08(14)DEM 3,650,000 1,219,981
0%/10% Bonds, Series REGS, 3/15/08(7)(14)DEM 15,225,000 5,088,825
0%/10.125% Sr. Disc. Nts., 3/1/08(7)(14) 13,350,000 8,477,250
- -------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27CAD 14,580,000 10,073,018
- -------------------------------------------------------------------------------------------------------------
Telefonica de Argentina SA, 11.875% Unsec. Nts., 11/1/04 300,000 348,000
- -------------------------------------------------------------------------------------------------------------
Teleport Communications Group, Inc., 0%/11.125% Sr. Disc. Nts.,
7/1/07(14) 17,015,000 14,760,513
- -------------------------------------------------------------------------------------------------------------
Telewest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(14) 10,975,000 8,944,625
- -------------------------------------------------------------------------------------------------------------
Teligent, Inc., 0%/11.50% Sr. Disc. Nts., 3/1/08(7)(14) 1,255,000 734,175
- -------------------------------------------------------------------------------------------------------------
UNIFI Communications, Inc., 14% Sr. Nts., 3/1/04(5) 2,715,000 1,629,000
--------------
365,146,966
</TABLE>
36 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Transportation--1.2%
- -------------------------------------------------------------------------------------------------------------
Railroads--0.4%
TFM SA de CV, 10.25% Gtd. Sr. Nts., 6/15/07 $ 5,225,000 $ 5,486,250
- -------------------------------------------------------------------------------------------------------------
Transtar Holdings LP/Transtar Capital Corp., 0%/13.375%
Sr. Disc. Nts., Series B, 12/15/03(14) 27,791,000 25,359,288
--------------
30,845,538
- -------------------------------------------------------------------------------------------------------------
Shipping--0.4%
Alpha Shipping plc, 9.50% Sr. Nts., 2/15/08(7) 1,715,000 1,646,400
- -------------------------------------------------------------------------------------------------------------
Hvide Marine, Inc., 8.375% Sr. Nts., 2/15/08(7) 3,280,000 3,214,400
- -------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc:
10.50% First Priority Ship Mtg. Nts., 6/30/07(7) 13,175,000 13,965,500
Units (each unit consists of $1,000 principal amount of 12%
second priority ship mtg. nts., 6/30/07 and 7.66 warrants)(7)(15) 11,325,000 12,938,813
- -------------------------------------------------------------------------------------------------------------
Trico Marine Services, Inc., 8.50% Gtd. Sr. Nts., Series C, 8/1/05(7) 2,200,000 2,222,000
--------------
33,987,113
- -------------------------------------------------------------------------------------------------------------
Trucking--0.4%
Coach USA, Inc., 9.375% Gtd. Sr. Sub. Nts., Series B, 7/1/07 11,265,000 11,828,250
- -------------------------------------------------------------------------------------------------------------
Pycsa Panama SA, 10.28% Sr. Sec. Bonds, 12/15/12(7) 8,755,000 8,787,831
- -------------------------------------------------------------------------------------------------------------
Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(5) 14,556,139 11,117,251
--------------
31,733,332
- -------------------------------------------------------------------------------------------------------------
Utilities--0.8%
- -------------------------------------------------------------------------------------------------------------
Electric Utilities--0.8%
C.A. La Electricidad de Caracas, 6.687% Exchange Eurobonds,
9/30/03(5)(6) 3,000,227 2,700,205
- -------------------------------------------------------------------------------------------------------------
California Energy, Inc., 10.25% Sr. Disc. Nts., 1/15/04 16,665,000 17,977,369
- -------------------------------------------------------------------------------------------------------------
Calpine Corp.:
8.75% Sr. Nts., 7/15/07 10,000,000 10,400,000
10.50% Sr. Nts., 5/15/06(5) 595,000 657,475
- -------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Bonds, Series E, 5/1/11 9,300,000 10,660,125
- -------------------------------------------------------------------------------------------------------------
First PV Funding Corp.:
10.15% Lease Obligation Bonds, Series 1986B, 1/15/16(5) 7,396,000 7,839,760
10.30% Lease Obligation Bonds, Series 1986A, 1/15/14(5) 11,426,000 12,122,986
- -------------------------------------------------------------------------------------------------------------
Subic Power Corp.:
9.50% Sr. Sec. Nts., 12/28/08 6,159,924 5,975,127
9.50% Sr. Sec. Nts., 12/28/08(7) 5,398,172 5,236,227
--------------
73,569,274
- -------------------------------------------------------------------------------------------------------------
Gas Utilities--0.0%
Beaver Valley II Funding Corp., 9% Second Lease Obligation
Bonds, 6/1/17(5) 956,000 1,070,720
--------------
Total Corporate Bonds and Notes (Cost $3,014,994,901) 3,103,424,129
</TABLE>
37 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares See Note 1
=============================================================================================================
<S> <C> <C>
Common Stocks--0.5%
- -------------------------------------------------------------------------------------------------------------
Celcaribe SA(5)(18) 1,658,520 $ 6,634,080
- -------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc.(18) 33,200 365,200
- -------------------------------------------------------------------------------------------------------------
Coinstar, Inc.(18) 46,550 424,769
- -------------------------------------------------------------------------------------------------------------
ECM Fund, L.P.I.(5) 525 578,812
- -------------------------------------------------------------------------------------------------------------
El Paso Electric Co.(18) 500,506 4,285,583
- -------------------------------------------------------------------------------------------------------------
Equitable Bag, Inc.(5)(18) 68,985 344,925
- -------------------------------------------------------------------------------------------------------------
Grand Union Co.(18) 218,257 88,667
- -------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc.(18) 146,400 2,205,150
- -------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.(18) 824 65,611
- -------------------------------------------------------------------------------------------------------------
Ladish Co., Inc.(18) 134,333 2,065,370
- -------------------------------------------------------------------------------------------------------------
Omnipoint Corp.(5)(18) 640,625 17,953,516
- -------------------------------------------------------------------------------------------------------------
Optel, Inc.(5)(18) 11,560 115
- -------------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc.(18)(19) 394,283 1,971,415
- -------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc.(18) 170,000 4,972,500
- -------------------------------------------------------------------------------------------------------------
Walter Industries, Inc.(18) 119,583 2,556,087
--------------
Total Common Stocks (Cost $26,313,432) 44,511,800
=============================================================================================================
Preferred Stocks--3.0%
- -------------------------------------------------------------------------------------------------------------
American Communications Services, Inc., 12.75% Preferred
Stock(5)(18) 8,790 10,240,350
- -------------------------------------------------------------------------------------------------------------
American Radio Systems Corp., 11.375% Cum. Exchangeable
Preferred, Series B(5) 9,396 1,111,077
- -------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable Preferred
Stock, Non-Vtg.(5) 116,536 3,175,606
- -------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Gtd. Bonds, 12/31/26(5) 10,050,000 10,753,500
- -------------------------------------------------------------------------------------------------------------
Cablevision Systems Corp. Holdings, Inc.:
11.125% Preferred Stock, Series M(17) 63,150 7,230,675
8.50% Preferred Stock, Series I 36,500 1,875,187
- -------------------------------------------------------------------------------------------------------------
California Federal Bank, 11.50% Non-Cum., Non-Vtg 111,500 12,676,156
- -------------------------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A(5)(18)(19) 130,000 3,250,000
- -------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 11.50% Cum. Preferred Stock(5)(17) 4,815 5,043,712
- -------------------------------------------------------------------------------------------------------------
CRIIMI MAE, Inc., 10.875% Cum. Cv. Preferred Stock, Series B, Non-Vtg 278,000 9,834,250
- -------------------------------------------------------------------------------------------------------------
Crown American Realty Trust, 11% Cum. Non-Vtg. Preferred, Series A 49,500 2,657,531
- -------------------------------------------------------------------------------------------------------------
Doane Products Co., 14.25% Sr. Exchangeable Preferred Stock,
Non-Vtg.(5) 255,000 10,263,750
- -------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 12.25% Preferred Stock(7) 7,000 7,647,500
- -------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 0%/11.75% Preferred Stock(5)(18) 39,000 2,232,750
- -------------------------------------------------------------------------------------------------------------
Earthwatch, Inc., 12% Cv. Sr. Preferred Stock, Series C(5)(17) 600,000 1,950,000
- -------------------------------------------------------------------------------------------------------------
EchoStar Communications Corp., 12.125% Sr. Redeemable
Exchangeable Preferred Stock, Series B(5)(17) 6,385 7,039,463
</TABLE>
38 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares See Note 1
=============================================================================================================
<S> <C> <C>
Preferred Stocks (continued)
El Paso Electric Co., 11.40% Preferred Stock, Series A(5)(17) 112,256 $ 12,488,480
- -------------------------------------------------------------------------------------------------------------
Fidelity Federal Bank FSB Glendale California, l2% Non-Cum
Exchangeable Perpetual Preferred Stock, Series A(5) 20 530
- -------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 9% Gtd. Nts., 12/1/06(5) 8,485,000 8,930,463
- -------------------------------------------------------------------------------------------------------------
Golden State Bancorp, 8.75% Cv. Preferred Stock, Series A 20,000 1,830,000
- -------------------------------------------------------------------------------------------------------------
Gothic Energy Corp., 7.50% Preferred Stock, Series A(5)(17) 6,073,200 5,768,933
- -------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable Preferred Stock 4,964 6,118,130
- -------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
13.50% Exchangeable Preferred Stock, Series B(5)(17) 4,805 5,958,200
Depositary Shares representing one one-hundredth 7% Cum. Cv. Jr
Preferred Stock, Series E, Non-Vtg.(7) 116,450 4,163,088
- -------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., Units (each unit consists of
$1,000 principal amount of 13% sr. exchangeable preferred stock
and one warrant to purchase 30 shares of common stock)(7)(15)(18) 1,090 1,149,950
- -------------------------------------------------------------------------------------------------------------
Kelley Oil & Gas Corp., $2.625 Cv.(19) 159,100 3,977,500
- -------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings Co., 11.25% Nts., 3/1/08(7)(17) 80,000 8,340,000
- -------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 11.125% Preferred Stock(7)(18) 7,725 8,188,500
- -------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc., 14% Sr. Exchangeable Preferred(17) 266,673 16,867,067
- -------------------------------------------------------------------------------------------------------------
Pantry Pride, Inc., $14.875 Exchangeable, Series B(5) 2,000 200,750
- -------------------------------------------------------------------------------------------------------------
Prime Retail, Inc., 8.50% Cv. Preferred Stock, Series B 325,000 7,881,250
- -------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8.625% Preferred Stock(7) 165,600 16,353,000
9.20% Preferred Stock, Series F(5) 46,400 4,802,400
- -------------------------------------------------------------------------------------------------------------
SD Warren Co., 14% Cum. Exchangeable Preferred Stock, Series B,
Non-Vtg.(5)(18) 272,270 13,545,433
- -------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., Units (each unit consists of one share of
preferred stock and 37 cl. C shares of common stock)(5)(15)(18) 300 2,756,250
- -------------------------------------------------------------------------------------------------------------
SFX Broadcasting, Inc., 12.625% Cum., Series E, Non-Vtg.(17) 23,388 2,794,866
- -------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 14.25% Cum. Sr. Exchangeable
Preferred Stock, Non-Vtg.(5)(17) 5,649 5,945,572
- -------------------------------------------------------------------------------------------------------------
Unisys Corp., $3.75 Cv., Series A 80,000 3,770,000
- -------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.:
9.16% Cv. Preferred Stock, Series B(19) 280,000 8,120,000
9.20% Sr. Preferred Stock(19) 387,400 10,266,100
--------------
Total Preferred Stocks (Cost $240,564,109) 257,197,969
=============================================================================================================
Other Securities--0.1%
- -------------------------------------------------------------------------------------------------------------
WorldCom, Inc., 8% Cv. Depositary Shares each Representing
one-hundredth Share of Dividend Enhanced Convertible Stock
(Cost $4,120,969) 50,000 7,462,500
</TABLE>
39 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Units See Note 1
=============================================================================================================
<S> <C> <C>
Rights, Warrants and Certificates--0.2%
- -------------------------------------------------------------------------------------------------------------
American Communications Services, Inc. Wts., Exp. 11/05(5) 5,225 $ 920,253
- -------------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts., Exp. 6/99(5) 119,070 16,074
- -------------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts., Exp. 8/00(5) 8,000 80
- -------------------------------------------------------------------------------------------------------------
Ames Department Stores, Inc., Litigation Trust(5) 118,975 1,190
- -------------------------------------------------------------------------------------------------------------
Australis Media Ltd. Wts., Exp. 5/00(5) 780 5
- -------------------------------------------------------------------------------------------------------------
Becker Gaming, Inc. Wts., Exp. 11/00(5) 262,500 65,625
- -------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc. Wts., Exp. 2/99 74,086 --
- -------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc. Wts., Exp. 10/07(7) 19,573 80,739
- -------------------------------------------------------------------------------------------------------------
Cellular Communications International, Inc. Wts., Exp. 8/03(5) 16,370 656,846
- -------------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49(5)(19) 130,000 65,000
- -------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc. Wts., Exp. 9/05(5) 7,425 35,380
- -------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA Wts., Exp. 11/03(5) 8,109 527,085
- -------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc. Wts., Exp. 10/03(5) 6,600 33,825
- -------------------------------------------------------------------------------------------------------------
Foamex LP/JPS Automotive Corp. Wts., Exp. 7/99(5) 7,250 145,000
- -------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc. Wts., Exp. 7/05(5) 690,000 690,000
- -------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 1/03(5) 192,993 1,930
- -------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 9/04(5) 189,000 401,625
- -------------------------------------------------------------------------------------------------------------
Hyperion Telecommunications, Inc. Wts., Exp. 4/01(5) 1,035 72,450
- -------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/05(5) 46,860 1,599,098
- -------------------------------------------------------------------------------------------------------------
IHF Capital, Inc. Wts., Exp. 11/99(5) 1,750 210,219
- -------------------------------------------------------------------------------------------------------------
IHF Capital, Inc., Series I Wts., Exp. 11/99(5) 5,400 54,675
- -------------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 13,050 --
- -------------------------------------------------------------------------------------------------------------
Mexican Value Rights 25,048,650 --
- -------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. Wts., Exp. 6/06(5) 29,300 758,137
- -------------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA Wts., Exp. 3/04(5) 21,600 297,000
- -------------------------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00(5) 102,500 2,872,562
- -------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc. Wts., Exp. 1/07(5) 6,250 74,286
- -------------------------------------------------------------------------------------------------------------
Price Communications Corp. Wts., Exp. 8/07(5) 60,389 852,693
- -------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 11/03(5) 182,000 2,320,500
- -------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/05(5) 13,440 171,360
- -------------------------------------------------------------------------------------------------------------
Stroh Brewery Co. Wts., Exp. 7/06(5) 20,249 202
- -------------------------------------------------------------------------------------------------------------
Teletrac, Inc. Wts., Exp. 8/07(5) 815 40,750
- -------------------------------------------------------------------------------------------------------------
UNIFI Communications, Inc. Wts., Exp. 3/07(5) 2,715 1,358
- -------------------------------------------------------------------------------------------------------------
United International Holdings, Inc. Wts., Exp. 11/99(5) 20,345 246,683
- -------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc. Wts., Exp. 1/02(5)(19) 196,400 220,950
--------------
Total Rights, Warrants and Certificates (Cost $3,630,514) 13,433,580
</TABLE>
40 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
=============================================================================================================
<S> <C> <C>
Structured Instruments--6.9%
- -------------------------------------------------------------------------------------------------------------
AIG International, Inc., Goldman Sachs Commodity Excess Return
Index Linked Nts., 5.629%, 7/7/99(20) $ 2,500,000 $ 1,935,866
- -------------------------------------------------------------------------------------------------------------
Bayerische Landesbank Girozentrale (New York Branch):
Canadian Banker's Acceptance Index Yield Nts., 8.405%, 5/22/98 19,350,000 19,350,000
Goldman Sachs Excess Return Commodity Index Linked Nts.,
5.325%, 7/13/99(6)(20) 1,300,000 1,125,930
Goldman Sachs Excess Return Commodity Index Linked Nts.,
5.45%, 9/3/99(20) 8,000,000 7,653,600
Goldman Sachs Excess Return Commodity Index Linked Nts.,
5.48%, 4/1/99(4)(20) 10,000,000 9,161,000
- -------------------------------------------------------------------------------------------------------------
Bear Stearns High Yield Composite Index Linked Nts.:
9%, 6/5/98 25,000,000 25,647,500
9%, 8/10/98 9,000,000 9,293,400
9%, 8/25/98 21,000,000 21,224,700
9%, 9/4/98 22,750,000 22,895,600
9%, 10/13/98 22,700,000 22,858,900
- -------------------------------------------------------------------------------------------------------------
Canadian Imperial Bank of Commerce (New York Branch),
Canadian Dollar Three Month Banker's Acceptance Linked
Maximum Rate Nts., 8.66%, 4/13/98 1,000,000 996,800
- -------------------------------------------------------------------------------------------------------------
Chase Manhattan Bank USA, National Assn., Chase Physical
Commodity Excess Return Index Linked Nts., 5.655%, 9/30/99 5,500,000 5,492,850
- -------------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Korean Development Bank,
U.S. Dollar/Korean Won Linked Nts., Zero Coupon,
18.123%, 2/26/99(10) 5,085,057 4,304,165
- -------------------------------------------------------------------------------------------------------------
Goldman Sachs Group LP, Taiwanese Dollar Linked Nts.,
5.75%, 6/12/98 38,890,000 39,450,016
- -------------------------------------------------------------------------------------------------------------
Goldman, Sachs & Co. Argentina Local Market Securities Trust,
11.30%, 4/1/00 [representing debt of Argentina (Republic of)
Bonos del Tesoro Bonds, Series 10, 5.906%, 4/1/00 and an
interest rate swap between Goldman and the Trust](5) 9,273,913 9,352,741
- -------------------------------------------------------------------------------------------------------------
Korea Development Bank Industrial Finance Bonds Linked Nts.,
Zero Coupon, 3/5/99(5) 18,030,000 18,177,846
- -------------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc.:
Greek Drachma/European Currency Unit Linked Nts.,
Zero Coupon, 3/22/99 10,500,000 10,669,050
Greek Drachma/Swiss Franc Linked Nts., Zero Coupon, 3/31/99 6,740,000 6,873,452
- -------------------------------------------------------------------------------------------------------------
Lehman High Yield Index Nts.:
7.95%, 8/5/98 28,500,000 28,733,700
7.96%, 8/5/98 17,000,000 17,049,300
7.988%, 6/5/98 25,000,000 25,212,500
7.988%, 7/6/98 20,600,000 20,770,980
8.438%, 8/5/98 17,300,000 17,266,438
9%, 6/5/98 25,000,000 24,187,500
9%, 7/8/98 26,500,000 26,168,750
</TABLE>
41 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Structured Instruments (continued)
Merrill Lynch & Co., Inc., Units, 9.75%, 6/15/99 (representing
debt of Chemical Banking Corp., sub. capital nts., and equity
of Citicorp, 7.75% preferred, series 22)(5)(15) $ 10,000,000 $ 11,852,000
- -------------------------------------------------------------------------------------------------------------
Morgan Guaranty Trust Co. of New York:
Japanese Government Bond 193 Currency Protected Bank Nts.,
8.14%, 4/29/98 8,100,000 3,993,300
Leveraged Nts. on The Emerging Markets Bond Index,
Zero Coupon, 8%, 6/5/98(10) 12,000,000 12,688,476
- -------------------------------------------------------------------------------------------------------------
Morgan Stanley Group, Inc. Repackaged Argentina Domestic
Securities Trust, 14.75%, 9/1/02 [representing debt of Argentina
(Republic of) Bonos de Consolidacion de Deudas Bonds,
Series I, 8%, 9/1/02](5) 6,000,000 6,390,000
- -------------------------------------------------------------------------------------------------------------
Salomon Smith Barney Holdings, Inc.:
Korean Development Bank Korean Currency Indexed
Credit Linked Unsec. Nts., Zero Coupon, 18.082%, 3/29/99(10) 6,470,133 6,138,862
Thailand Baht Currency Indexed Credit Linked Unsec. Nts.,
Zero Coupon, 5.893%, 4/24/98(10) 9,000,000 9,405,900
Thailand Baht Currency Indexed Credit Linked Unsec. Nts.,
Zero Coupon, 5.893%, 4/27/98(10) 10,342,960 10,543,614
- -------------------------------------------------------------------------------------------------------------
Salomon, Inc. Russian S-Account Credit Linked Nts.:
Zero Coupon, 14.166%, 5/22/98(10) 9,600,000 9,435,360
Zero Coupon, 14.095%, 5/7/98(10) 22,400,000 22,132,320
Zero Coupon, 9.785%, 7/31/98(10) 19,500,000 18,663,450
Zero Coupon, 9.78%, 8/7/98(10) 34,385,000 32,827,360
- -------------------------------------------------------------------------------------------------------------
Shoshone Partners Loan Trust, Sr. Nts.:
5/31/02 (representing a basket of reference loans and a
total return swap between Chase Manhattan Bank
and the Trust)(4)(5) 16,500,000 16,500,000
7.648%, 4/28/02 (representing a basket of reference loans
and a total return swap between Chase Manhattan Bank
and the Trust)(5)(6) 21,250,000 23,039,210
- -------------------------------------------------------------------------------------------------------------
Standard Chartered Bank, U.S. Dollar/Chinese Yuan Linked Nts.:
9.50%, 6/12/98 3,870,000 3,879,675
21%, 4/8/98 6,790,000 6,792,716
21%, 4/9/98 9,700,000 9,707,760
--------------
Total Structured Instruments (Cost $599,375,735) 599,842,587
</TABLE>
42 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Date Strike Contracts See Note 1
=========================================================================================================
<S> <C> <C> <C> <C>
Call Options Purchased--0.1%
- ---------------------------------------------------------------------------------------------------------
Japanese Yen Call Opt 4/98 124.57JPY 7,305,200,000 $ 77,873
- ---------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 6.125%, 11/15/27 Call Opt 6/98 101.73% 96,825 2,050,753
- ---------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 6.125%, 11/15/27 Call Opt 6/98 102.75% 96,825 1,811,687
--------------
Total Call Options Purchased (Cost $4,943,062) 3,940,313
=========================================================================================================
Put Options Purchased--0.0%
- ---------------------------------------------------------------------------------------------------------
Japanese Yen Put Opt. (Cost $2,087,378) 9/98 136JPY 21,854,000,000 3,202,704
Face
Amount(1)
=========================================================================================================
Repurchase Agreements--0.0%
- ---------------------------------------------------------------------------------------------------------
Repurchase agreement with PaineWebber, Inc., 5.90%,
dated 3/31/98, to be repurchased at $1,000,164 on 4/1/98,
collateralized by U.S. Treasury Nts., 5.875%-6.25%,
6/30/98-8/31/99, with a value of $1,021,941 (Cost $1,000,000) $ 1,000,000 1,000,000
- ---------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $9,144,313,717) 107.4% 9,278,837,989
- ---------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (7.4) (640,488,137)
-------------- --------------
Net Assets 100.0% $8,638,349,852
============== ==============
</TABLE>
1. Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP --Argentine Peso JPY --Japanese Yen
AUD --Australian Dollar MXP --Mexican Peso
CAD --Canadian Dollar NOK --Norwegian Krone
DEM --German Mark NZD --New Zealand Dollar
DKK --Danish Krone PLZ --Polish Zloty
ESP --Spanish Peseta RUR --Russian Ruble
GBP --British Pound Sterling SEK --Swedish Krona
HUF --Hungarian Forint TRL --Turkish Lira
IDR --Indonesian Rupiah XEU --European Currency Units
ITL --Italian Lira ZAR --South African Rand
2. 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.
3. 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.
43 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. When-issued security to be delivered and settled after March 31, 1998.
5. Identifies issues considered to be illiquid or restricted--See Note 8 of
Notes to Financial Statements.
6. Represents the current interest rate for a variable rate security.
7. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $783,618,466 or 9.07% of the Fund's net
assets as of March 31, 1998.
8. Securities with an aggregate market value of $29,946,762 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
9. A sufficient amount of liquid assets has been designated to cover outstanding
written options, as follows:
<TABLE>
<CAPTION>
Contracts/Face Expiration Exercise Premium Market Value
Subject to Call/Put Date Price Received See Note 1
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian Dollar Call Option 12,580,000 5/8/98 1.49AUD $ 143,802 $ 76,524
- --------------------------------------------------------------------------------------------------------
Banco Hipotecario Nacional
(Argentina) Medium-Term Nts.,
10.625%, 8/7/06 Call Option $ 15,000,000 8/7/00 100.00% 138,000 1,050,000
- --------------------------------------------------------------------------------------------------------
British Pound Sterling/German
Mark Call Option 46,420,000 4/23/98 3.073GBP 427,376 757,482
- --------------------------------------------------------------------------------------------------------
Japanese Yen Put Option 5,418,700,000 4/30/98 127.00JPY 717,978 2,520,562
- --------------------------------------------------------------------------------------------------------
New Zealand Dollar Call Option 16,460,000 5/11/98 1.70NZD 116,043 17,578
---------- ----------
$1,543,199 $4,422,146
========== ==========
</TABLE>
10. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
11. Represents the current interest rate for an increasing rate security.
12. Issuer is in default.
13. A sufficient amount of securities has been designated to cover outstanding
forward foreign currency exchange contracts. See Note 5 of Notes to Financial
Statements.
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
15. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units which
represent debt securities, face amount disclosed represents total underlying
principal.
16. Non-income producing--issuer is in default of interest payment.
17. Interest or dividend is paid in kind.
18. Non-income producing security.
44 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
19. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended March 31, 1998.
The aggregate fair values of all securities of affiliated companies held by the
Fund as of March 31, 1998 amounted to $27,870,965. Transactions during the
period in which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Shares/Units Gross Gross Shares/Units Dividend
Sept. 30, 1997 Additions Reductions March 31, 1998 Income
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CGA Group Ltd., Preferred, Series A 130,000 -- -- 130,000 $ --
- --------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49 130,000 -- -- 130,000 --
- --------------------------------------------------------------------------------------------------------
Kelley Oil & Gas Corp., $2.625 Cv. 159,100 -- -- 159,100 --
- --------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc. 394,283 -- -- 394,283 --
- --------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.,
9.20% Sr. Preferred Stock 387,400 -- -- 387,400 445,510
- --------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.,
9.16% Cv. Preferred Stock, Series B 280,000 -- -- 280,000 320,600
- --------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.
Wts., Exp. 1/02 196,400 -- -- 196,400 --
--------
$766,110
========
</TABLE>
20. Security is linked to the Goldman Sachs Commodity Index. The index is
composed of the future price of twenty-two different commodities in five main
commodity groups (energy, agriculture, livestock, industrial metals and precious
metals) in rough proportion to the value of their production in the world
economy.
See accompanying Notes to Financial Statements.
45 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities March 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
===========================================================================================
<S> <C>
Assets
Investments, at value--see accompanying statement:
Unaffiliated companies (cost $9,119,443,167) $ 9,250,967,024
Affiliated companies (cost $24,870,550) 27,870,965
- -------------------------------------------------------------------------------------------
Cash 1,562,358
- -------------------------------------------------------------------------------------------
Unrealized appreciation on forward foreign currency
exchange contracts--Note 5 3,008,317
- -------------------------------------------------------------------------------------------
Receivables:
Investments sold (including $554,039,077 of when-issued securities sold) 662,347,467
Interest, dividends and principal paydowns 143,324,242
Shares of beneficial interest sold 28,023,622
Daily variation on futures contracts--Note 6 2,172,625
Closed forward foreign currency exchange contracts 944,519
- -------------------------------------------------------------------------------------------
Other 58,660
----------------
Total assets 10,120,279,799
===========================================================================================
Liabilities
Unrealized depreciation on forward foreign currency
exchange contracts--Note 5 3,042,940
- -------------------------------------------------------------------------------------------
Options written, at value (premiums received $1,543,199)--
see accompanying statement--Note 7 4,422,146
- -------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $1,363,739,276 purchased on a
when-issued basis)--Note 1 1,441,680,049
Dividends 10,650,650
Shares of beneficial interest redeemed 9,871,955
Distribution and service plan fees 5,137,937
Daily variation on futures contracts--Note 6 2,589,241
Closed forward foreign currency exchange contracts 1,746,170
Transfer and shareholder servicing agent fees 918,353
Unrealized depreciation on interest rate swaps--Note 9 768,998
Other 1,101,508
----------------
Total liabilities 1,481,929,947
===========================================================================================
Net Assets $ 8,638,349,852
================
===========================================================================================
Composition of Net Assets
Paid-in capital $ 8,659,522,136
- -------------------------------------------------------------------------------------------
Undistributed net investment income 24,377,154
- -------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and
foreign currency transactions (170,904,462)
- -------------------------------------------------------------------------------------------
Net unrealized appreciation on investments and translation of
assets and liabilities denominated in foreign currencies 125,355,024
----------------
Net assets $ 8,638,349,852
================
</TABLE>
46 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
===========================================================================================
<S> <C>
Net Asset Value Per Share
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$4,149,676,048 and 844,165,321 shares of beneficial interest outstanding) $4.92
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $5.17
- -------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $3,933,426,878 and
798,370,804 shares of beneficial interest outstanding) $4.93
- -------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $551,796,432 and
112,374,448 shares of beneficial interest outstanding) $4.91
- -------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on
net assets of $3,450,494 and 702,559 shares of beneficial interest outstanding) $4.91
</TABLE>
See accompanying Notes to Financial Statements.
47 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Six Months Ended March 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
=======================================================================================
<S> <C>
Investment Income
Interest (net of foreign withholding taxes of $1,478,577) $ 383,834,691
- ---------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies 7,291,539
Affiliated companies 766,110
-------------
Total income 391,892,340
=======================================================================================
Expenses
Distribution and service plan fees--Note 4:
Class A 4,920,679
Class B 18,332,719
Class C 2,353,711
- ---------------------------------------------------------------------------------------
Management fees--Note 4 21,338,954
- ---------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4 4,481,820
- ---------------------------------------------------------------------------------------
Shareholder reports 772,096
- ---------------------------------------------------------------------------------------
Custodian fees and expenses 625,346
- ---------------------------------------------------------------------------------------
Registration and filing fees 221,291
- ---------------------------------------------------------------------------------------
Legal and auditing fees 66,037
- ---------------------------------------------------------------------------------------
Trustees' fees and expenses 49,846
- ---------------------------------------------------------------------------------------
Other 161,672
-------------
Total expenses 53,324,171
=======================================================================================
Net Investment Income 338,568,169
=======================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments (including premiums on options exercised) 70,697,303
Closing of futures contracts--Note 6 (12,733,371)
Closing and expiration of options written--Note 7 (10,013,110)
Foreign currency transactions (47,332,709)
-------------
Net realized gain 618,113
- ---------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (31,964,364)
Translation of assets and liabilities denominated in foreign currencies (31,382,004)
-------------
Net change (63,346,368)
-------------
Net realized and unrealized loss (62,728,255)
=======================================================================================
Net Increase in Net Assets Resulting from Operations $ 275,839,914
=============
</TABLE>
See accompanying Notes to Financial Statements.
48 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Year Ended
March 31, 1998 September 30,
(Unaudited) 1997
===================================================================================================
<S> <C> <C>
Operations
Net investment income $ 338,568,169 $ 589,532,469
- ---------------------------------------------------------------------------------------------------
Net realized gain 618,113 125,608,804
- ---------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (63,346,368) 20,529,233
--------------- ---------------
Net increase in net assets resulting from operations 275,839,914 735,670,506
===================================================================================================
Dividends and Distributions to Shareholders
Dividends from net investment income:
Class A (170,552,157) (316,472,362)
Class B (141,579,925) (232,118,433)
Class C (18,183,210) (22,358,462)
Class Y (33,903) --
===================================================================================================
Beneficial Interest Transactions
Net increase in net assets resulting from
beneficial interest transactions--Note 2:
Class A 207,804,491 357,127,802
Class B 456,473,330 838,896,025
Class C 138,241,345 235,000,607
Class Y 3,449,457 --
===================================================================================================
Net Assets
Total increase 751,459,342 1,595,745,683
- ---------------------------------------------------------------------------------------------------
Beginning of period 7,886,890,510 6,291,144,827
--------------- ---------------
End of period (including undistributed net investment
income of $24,377,154 and $16,158,180, respectively) $ 8,638,349,852 $ 7,886,890,510
=============== ===============
</TABLE>
See accompanying Notes to Financial Statements.
49 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A
------------------------------------------------------
Six Months
Ended
March 31,
1998 Year Ended September 30,
(Unaudited) 1997 1996 1995 1994
=====================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $4.95 $4.84 $4.68 $4.75 $5.21
- -----------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .21 .43 .44 .41 .45
Net realized and unrealized gain (loss) (.03) .09 .15 (.03) (.35)
----- ----- ----- ----- -----
Total income from investment operations .18 .52 .59 .38 .10
- -----------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.21) (.41) (.41) (.41) (.43)
Distributions from net realized gain -- -- -- (.01) --
Distributions in excess of net realized gain -- -- -- -- (.12)
Tax return of capital distribution -- -- (.02) (.03) (.01)
----- ----- ----- ----- -----
Total dividends and distributions
to shareholders (.21) (.41) (.43) (.45) (.56)
- -----------------------------------------------------------------------------------------------------
Net asset value, end of period $4.92 $4.95 $4.84 $4.68 $4.75
===== ===== ===== ===== =====
=====================================================================================================
Total Return, at Net Asset Value(4) 3.68% 11.29% 13.06% 8.62% 1.85%
=====================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $4,150 $3,969 $3,526 $3,219 $3,143
- -----------------------------------------------------------------------------------------------------
Average net assets (in millions) $4,035 $3,735 $3,340 $3,085 $3,082
- -----------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 8.66%(5) 8.77% 9.09% 9.63% 8.72%
Expenses 0.92%(5) 0.93% 0.97% 0.99% 0.95%
- -----------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 47.8% 116.5% 104.8% 141.5% 119.0%
</TABLE>
1. For the period from January 26, 1998 (inception of offering) to March 31,
1998.
2. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
3. For the period from November 30, 1992 (inception of offering) to September
30, 1993.
4. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period (or inception of offering), with all dividends
and distributions reinvested in additional shares on the reinvestment date, and
redemption at the net asset value calculated on the last business day of the
fiscal period. Sales charges are not reflected in the total returns. Total
returns are not annualized for periods of less than one full year.
50 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class B
- ------- -----------------------------------------------------------------
Six Months
Ended
March 31,
1998 Year Ended September 30,
1993 (Unaudited) 1997 1996 1995 1994 1993(3)
===========================================================================
<S> <C> <C> <C> <C> <C> <C>
$5.07 $4.96 $4.85 $4.69 $4.76 $5.22 $4.89
- ---------------------------------------------------------------------------
.48 .19 .39 .40 .37 .42 .36
.17 (.03) .10 .15 (.03) (.36) .34
----- ----- ----- ----- ----- ----- -----
.65 .16 .49 .55 .34 .06 .70
- ---------------------------------------------------------------------------
(.50) (.19) (.38) (.37) (.37) (.39) (.36)
(.01) -- -- -- (.01) -- (.01)
-- -- -- -- -- (.12) --
-- -- -- (.02) (.03) (.01) --
----- ----- ----- ----- ----- ----- -----
(.51) (.19) (.38) (.39) (.41) (.52) (.37)
- ---------------------------------------------------------------------------
$5.21 $4.93 $4.96 $4.85 $4.69 $4.76 $5.22
===== ===== ===== ===== ===== ===== =====
===========================================================================
13.30% 3.28% 10.43% 12.19% 7.79% 1.07% 13.58%
===========================================================================
$2,754 $3,933 $3,501 $2,590 $1,947 $1,586 $695
- ---------------------------------------------------------------------------
$2,107 $3,687 $3,018 $2,250 $1,711 $1,236 $276
- ---------------------------------------------------------------------------
9.78% 7.92%(5) 7.94% 8.30% 8.83% 7.90% 8.13%(5)
1.09% 1.68%(5) 1.69% 1.72% 1.75% 1.71% 1.80%(5)
- ---------------------------------------------------------------------------
148.6% 47.8% 116.5% 104.8% 141.5% 119.0% 148.6%
</TABLE>
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities and mortgage
dollar-rolls) for the period ended March 31, 1998 were $5,324,326,250 and
$4,090,370,146, respectively. Prior to September 30, 1995, purchases and sales
of investment securities included mortgage dollar-rolls.
51 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Class Y
---------------------------------------- ---------
Six Months Period
Ended Ended
March 31, March 31,
1998 Year Ended September 30, 1998
(Unaudited) 1997 1996 1995(2) (Unaudited)(1)
==================================================================================================
<S> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $4.95 $4.83 $4.68 $4.68 $4.91
- --------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 .37 .38 .13 .08
Net realized and unrealized gain (loss) (.04) .13 .16 .01 (.01)
----- ----- ----- ----- -----
Total income from investment operations .15 .50 .54 .14 .07
- --------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.19) (.38) (.37) (.12) (.07)
Distributions from net realized gain -- -- -- (.01) --
Distributions in excess of net realized gain -- -- -- -- --
Tax return of capital distribution -- -- (.02) (.01) --
----- ----- ----- ----- -----
Total dividends and distributions
to shareholders (.19) (.38) (.39) (.14) (.07)
- --------------------------------------------------------------------------------------------------
Net asset value, end of period $4.91 $4.95 $4.83 $4.68 $4.91
===== ===== ===== ===== =====
==================================================================================================
Total Return, at Net Asset Value(4) 3.09% 10.67% 11.96% 3.09% 1.81%
==================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $552 $417 $175 $67 $3
- --------------------------------------------------------------------------------------------------
Average net assets (in millions) $473 $291 $110 $24 $2
- --------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 7.95%(5) 7.73% 8.18% 8.28%(5) 9.66%(5)
Expenses 1.67%(5) 1.69% 1.74% 2.02%(5) 0.57%(5)
- --------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 47.8% 116.5% 104.8% 141.5% 47.8%
</TABLE>
1. For the period from January 26, 1998 (inception of offering) to March 31,
1998.
2. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
3. For the period from November 30, 1992 (inception of offering) to September
30, 1993.
4. Assumes a hypothetical initial investment on the business day before the
first day of the fiscal period (or inception of offering), with all dividends
and distributions reinvested in additional shares on the reinvestment date, and
redemption at the net asset value calculated on the last business day of the
fiscal period. Sales charges are not reflected in the total returns.
Total returns are not annualized for periods of less than one full year.
5. Annualized.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities and mortgage
dollar-rolls) for the period ended March 31, 1998 were $5,324,326,250 and
$4,090,370,146, respectively. Prior to September 30, 1995, purchases and sales
of investment securities included mortgage dollar-rolls.
See accompanying Notes to Financial Statements.
52 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies
Oppenheimer Strategic Income Fund (the Fund) is a separate series of Oppenheimer
Strategic Funds Trust, a diversified, open-end management investment company
registered under the Investment Company Act of 1940, as amended. The Fund's
investment objective is to seek a high level of current income by investing
mainly in debt securities and by writing covered call options on them. The
Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund
offers Class A, Class B, Class C and Class Y shares. Class A shares are sold
with a front-end sales charge. Class B and Class C shares may be subject to a
contingent deferred sales charge. All classes of shares have identical rights to
earnings, assets and voting privileges, except that each class has its own
expenses directly attributable to that class and exclusive voting rights with
respect to matters affecting that single class. 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.
- --------------------------------------------------------------------------------
Investment Valuation. Portfolio securities are valued at the close of The New
York Stock Exchange on each trading day. Listed and unlisted securities for
which such information is regularly reported are valued at the last sale price
of the day or, in the absence of sales, at values based on the closing bid or
the last sale price on the prior trading day. Long-term and short-term
"non-money market" debt securities are valued by a portfolio pricing service
approved by the Board of Trustees. Such securities which cannot be valued by the
approved portfolio pricing service are valued using dealer-supplied valuations
provided the Manager is satisfied that the firm rendering the quotes is reliable
and that the quotes reflect current market value, or are valued under
consistently applied procedures established by the Board of Trustees to
determine fair value in good faith. Short-term "money market type" debt
securities having a remaining maturity of 60 days or less are valued at cost (or
last determined market value) adjusted for amortization to maturity of any
premium or discount. Forward foreign currency exchange contracts are valued
based on the closing prices of the forward currency contract rates in the London
foreign exchange markets on a daily basis as provided by a reliable bank or
dealer. Options are valued based upon the last sale price on the principal
exchange on which the option is traded or, in the absence of any transactions
that day, the value is based upon the last sale price on the prior trading date
if it is within the spread between the closing bid and asked prices. If the last
sale price is outside the spread, the closing bid is used.
53 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
Structured Notes. The Fund invests in commodity and foreign currency-linked
structured notes whereby the market value and redemption price are linked to
commodity indices and foreign currency exchange rates. The structured notes may
be leveraged, which increases the notes' volatility relative to the face value
of the security. Fluctuations in values of the securities are recorded as
unrealized gains and losses in the accompanying financial statements. During the
six months ended March 31, 1998, the market value of these securities comprised
an average of 6% of the Fund's net assets, and resulted in realized and
unrealized losses of $40,535,410.
- --------------------------------------------------------------------------------
Securities Purchased on a When-Issued Basis. Delivery and payment for securities
that have been purchased by the Fund on a forward commitment or when-issued
basis can take place a month or more after the transaction 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, in a segregated account with its custodian, assets with a market
value equal to the amount of its purchase commitments. The purchase of
securities on a when-issued or forward commitment basis may increase the
volatility of the Fund's net asset value to the extent the Fund makes such
purchases while remaining substantially fully invested. As of March 31, 1998,
the Fund had entered into outstanding when-issued or forward commitments of
$808,468,274.
In connection with its ability to purchase securities on a when-issued or
forward commitment basis, the Fund may enter into mortgage dollar-rolls in which
the Fund sells securities for delivery in the current month and simultaneously
contracts with the same counterparty to repurchase similar (same type, coupon
and maturity) but not identical securities on a specified future date. The Fund
records each dollar-roll as a sale and a new purchase transaction.
- --------------------------------------------------------------------------------
Security Credit Risk. The Fund invests in high yield securities, which may be
subject to a greater degree of credit risk, greater market fluctuations and risk
of 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. At March 31, 1998, securities with an
aggregate market value of $6,638,545, representing 0.08% of the Fund's net
assets, were in default.
54 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
Foreign Currency Translation. The accounting records of the Fund are maintained
in U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
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.
- --------------------------------------------------------------------------------
Repurchase Agreements. The Fund requires the custodian to take possession, to
have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is required
to be at least 102% of the resale price at the time of purchase. If the seller
of the agreement defaults and the value of the collateral declines, or if the
seller enters an insolvency proceeding, realization of the value of the
collateral by the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
Allocation of Income, Expenses, and Gains and Losses. Income, expenses (other
than those attributable to a specific class) and gains and losses are allocated
daily 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 continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers, to shareholders. Therefore, no
federal income or excise tax provision is required. At September 30, 1997, the
Fund had available for federal income tax purposes an unused capital loss
carryover of approximately $153,183,000, expiring in 2004.
- --------------------------------------------------------------------------------
Distributions to Shareholders. The Fund intends to declare dividends separately
for Class A, Class B, Class C and Class Y shares from net investment income each
day The New York Stock Exchange is open for business and pay such dividends
monthly. Distributions from net realized gains on investments, if any, will be
declared at least once each year.
55 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
1. Significant Accounting Policies (continued)
Classification of Distributions to Shareholders. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax purposes
primarily because of the recognition of certain foreign currency gains (losses)
as ordinary income (loss) for tax purposes and because of paydown gains and
losses. The character of distributions made during the year from net investment
income or net realized gains may differ from its ultimate characterization for
federal income tax purposes. Also, due to timing of dividend distributions, the
fiscal year in which amounts are distributed may differ from the fiscal year in
which the income or realized gain was recorded by the Fund.
- --------------------------------------------------------------------------------
Other. Investment transactions are accounted for on the date the investments are
purchased or sold (trade date) and dividend income is recorded on the
ex-dividend date. Discount on securities purchased is amortized over the life of
the respective securities, in accordance with federal income tax requirements.
Realized gains and losses on investments and options written and unrealized
appreciation and depreciation are determined on an identified cost basis, which
is the same basis used for federal income tax purposes. Dividends-in-kind are
recognized as income on the ex-dividend date, at the current market value of the
underlying security. Interest on payment-in-kind debt instruments is accrued as
income at the coupon rate and a market adjustment is made periodically.
The preparation of financial statements in conformity with 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.
56 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of beneficial
interest of each class. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Six Months Ended March 31, 1998(1) Year Ended September 30, 1997
----------------------------- -------------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A:
Sold 110,685,218 $ 544,116,646 202,106,435 $ 987,184,469
Dividends and distributions
reinvested 23,369,350 114,780,898 43,528,618 212,702,206
Redeemed (91,779,534) (451,093,053) (172,636,408) (842,758,873)
------------ ------------- ------------ ---------------
Net increase 42,275,034 $ 207,804,491 72,998,645 $ 357,127,802
============ ============= ============ ===============
- ----------------------------------------------------------------------------------------------------
Class B:
Sold 126,894,255 $ 625,186,928 225,061,705 $ 1,101,712,593
Dividends and distributions
reinvested 16,694,134 82,162,449 27,158,643 132,987,856
Redeemed (50,916,312) (250,876,047) (80,881,214) (395,804,424)
------------ ------------- ------------ ---------------
Net increase 92,672,077 $ 456,473,330 171,339,134 $ 838,896,025
============ ============= ============ ===============
- ----------------------------------------------------------------------------------------------------
Class C:
Sold 37,038,593 $ 181,881,942 57,786,493 $ 282,043,074
Dividends and distributions
reinvested 2,574,939 12,630,070 3,188,795 15,572,159
Redeemed (11,469,997) (56,270,667) (12,845,030) (62,614,626)
------------ ------------- ------------ ---------------
Net increase 28,143,535 $ 138,241,345 48,130,258 $ 235,000,607
============ ============= ============ ===============
- ----------------------------------------------------------------------------------------------------
Class Y:
Sold 746,987 $ 3,668,094 -- $ --
Dividends and distributions
reinvested 5,958 29,296 -- --
Redeemed (50,386) (247,933) -- --
------------ ------------- ------------ ---------------
Net increase 702,559 $ 3,449,457 -- $ --
============ ============= ============ ===============
</TABLE>
1. For the six months ended March 31, 1998 for Class A, Class B and Class C
shares and for the period from January 26, 1998 (inception of offering) for
Class Y shares.
57 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
3. Unrealized Gains and Losses on Investments
At March 31, 1998, net unrealized appreciation on investments and options
written of $131,645,325 was composed of gross appreciation of $325,690,415, and
gross depreciation of $194,045,090.
================================================================================
4. Management Fees and Other Transactions with Affiliates
Management fees paid to the Manager were in accordance with the investment
advisory agreement with the Fund which provides for a fee of 0.75% of the first
$200 million of the Fund's average annual net assets, 0.72% of the next $200
million, 0.69% of the next $200 million, 0.66% of the next $200 million, 0.60%
of the next $200 million and 0.50% of the average annual net assets in excess of
$1 billion.
For the six months ended March 31, 1998, commissions (sales charges paid
by investors) on sales of Class A shares totaled $10,742,242, of which
$2,986,384 was retained by OppenheimerFunds Distributor, Inc. (OFDI), a
subsidiary of the Manager, as general distributor, and by an affiliated
broker/dealer. Sales charges advanced to broker/dealers by OFDI on sales of the
Fund's Class B and Class C shares totaled $23,399,856 and $1,748,755,
respectively, of which $705,483 and $62,141, respectively, was paid to an
affiliated broker/dealer. During the six months ended March 31, 1998, OFDI
received contingent deferred sales charges of $3,740,208 and $122,301,
respectively, upon redemption of Class B and Class C shares as reimbursement for
sales commissions advanced by OFDI at the time of sale of such shares.
OppenheimerFunds Services (OFS), a division of the Manager, is the
transfer and shareholder servicing agent for the Fund and for other registered
investment companies. OFS's total costs of providing such services are allocated
ratably to these companies.
The Fund has adopted a Service Plan for Class A shares to reimburse OFDI
for a portion of its costs incurred in connection with the personal service and
maintenance of shareholder accounts that hold Class A shares. Reimbursement is
made quarterly at an annual rate that may not exceed 0.25% of the average annual
net assets of Class A shares of the Fund. OFDI uses the service fee to reimburse
brokers, dealers, banks and other financial institutions quarterly for providing
personal service and maintenance of accounts of their customers that hold Class
A shares. During the six months ended March 31, 1998, OFDI paid $356,905 to an
affiliated broker/dealer as reimbursement for Class A personal service and
maintenance expenses.
58 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
The Fund has adopted a Distribution and Service Plan for Class B shares to
reimburse OFDI for its costs in distributing Class B shares and servicing
accounts. Under the Plan, the Fund pays OFDI an annual asset-based sales charge
of 0.75% per year for its services rendered in distributing Class B. OFDI also
receives a service fee of 0.25% per year to reimburse dealers for providing
personal services for accounts that hold Class B shares. Each fee is computed on
the average annual net assets of Class B shares, determined as of the close of
each regular business day. During the six months ended March 31, 1998, OFDI paid
$97,194 to an affiliated broker/dealer as reimbursement for Class B personal
service and maintenance expenses and retained $15,115,420 as reimbursement for
Class B sales commissions and service fee advances, as well as financing costs.
If the Plan is terminated by the Fund, the Board of Trustees may allow the Fund
to continue payments of the asset-based sales charge to OFDI for distributing
shares before the Plan was terminated. As of March 31, 1998, OFDI had incurred
excess distribution and servicing costs of $124,558,612 for Class B.
The Fund has adopted a Distribution and Service Plan for Class C shares to
compensate OFDI for its costs in distributing Class C shares and servicing
accounts. Under the Plan, the Fund pays OFDI an annual asset-based sales charge
of 0.75% per year for its services rendered in distributing Class C shares. OFDI
also receives a service fee of 0.25% per year to compensate dealers for
providing personal services for accounts that hold Class C shares. Each fee is
computed on the average annual net assets of Class C shares, determined as of
the close of each regular business day. During the six months ended March 31,
1998, OFDI paid $25,165 to an affiliated broker/dealer as compensation for Class
C personal service and maintenance expenses and retained $1,553,450 as
compensation for Class C sales commissions and service fee advances, as well as
financing costs. If the Plan is terminated by the Fund, the Board of Trustees
may allow the Fund to continue payments of the asset-based sales charge to OFDI
for distributing shares before the Plan was terminated. As of March 31, 1998,
OFDI had incurred excess distribution and servicing costs of $7,610,377 for
Class C.
59 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
5.Forward Contracts
A forward foreign currency exchange contract (forward contract) is a commitment
to purchase or sell a foreign currency at a future date, at a negotiated rate.
The Fund uses forward contracts to seek to manage foreign currency risks.
They may also be used to tactically shift portfolio currency risk. The Fund
generally enters into forward contracts as a hedge upon the purchase or sale of
a security denominated in a foreign currency. In addition, the Fund may enter
into such contracts as a hedge against changes in foreign currency exchange
rates on portfolio positions.
Forward contracts are valued based on the closing prices of the forward
currency contract rates in the London foreign exchange markets on a daily basis
as provided by a reliable bank or dealer. The Fund will realize a gain or loss
upon the closing or settlement of the forward transaction.
Securities held in segregated accounts to cover net exposure on
outstanding forward contracts are noted in the Statement of Investments where
applicable. Unrealized appreciation or depreciation on forward contracts is
reported in the Statement of Assets and Liabilities. Realized gains and losses
are reported with all other foreign currency gains and losses in the Fund's
Statement of Operations.
Risks include the potential inability of the counterparty to meet the
terms of the contract and unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
At March 31, 1998, the Fund had outstanding forward contracts as follows:
<TABLE>
<CAPTION>
Expiration Contract Valuation as of Unrealized Unrealized
Date Amount (000s) March 31, 1998 Appreciation Depreciation
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Contracts to Purchase
- ---------------------
German Mark (DEM) 4/6/98 108,371 DEM $ 58,620,143 $ -- $1,154,626
---------- ----------
Contracts to Sell
- -----------------
Australian Dollar (AUD) 4/23/98-
5/26/98 215,665 AUD 143,057,154 1,128,365 --
British Pound
Sterling (GBP) 4/6/98 35,910 GBP 60,121,280 -- 1,092,577
German Mark (DEM) 7/15/98 1,375 DEM 747,936 2,549 --
Japanese Yen (JPY) 5/20/98-
5/22/98 8,610,250 JPY 65,066,078 1,428,399 --
Malaysian Ringgit (MYR) 8/28/98-
9/21/98 120,538 MYR 32,309,292 -- 795,737
New Zealand Dollar (NZD) 5/29/98 14,975 NZD 8,225,120 160,880 --
South African Rand (ZAR) 5/6/98 194,594 ZAR 38,333,332 288,124 --
---------- ----------
3,008,317 1,888,314
---------- ----------
Total Unrealized Appreciation and Depreciation $3,008,317 $3,042,940
========== ==========
</TABLE>
60 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
6. Futures Contracts
The Fund may buy and sell interest rate futures contracts in order to gain
exposure to or protect against changes in interest rates. The Fund may buy and
sell futures contracts, primarily to hedge the various commodities exposures
inherent in its holdings of structured notes that are linked to commodities
indices. The Fund may also buy or write put or call options on these futures
contracts.
The Fund generally sells futures contracts to hedge against increases in
interest rates or decreases in commodity prices and the resulting negative
effect on the value of fixed rate portfolio securities. The Fund may also
purchase futures contracts without owning the underlying fixed-income security
as an efficient or cost effective means to gain exposure to charges in interest
rate or commodity prices. The Fund will then either purchase the underlying
fixed-income security or close out the futures contract.
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 expires.
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 or
payable for the daily mark to market for variation margin.
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.
61 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
6. Futures Contracts (continued)
At March 31, 1998, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
Unrealized
Expiration Number of Valuation as of Appreciation
Date Contracts March 31, 1998 (Depreciation)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Contracts to Purchase
- ---------------------
COMMODITIES
Agriculture
Wheat 5/98 2 $ 32,025 $ 150
TREASURIES
U.S. Treasury Nts., 10 yr. 6/98 1,068 120,016,500 217,313
U.S. Treasury Bonds, 30 yr. 6/98 3,775 453,943,750 (1,587,926)
-----------
(1,370,463)
-----------
Contracts to Sell
- -----------------
COMMODITIES
Agriculture
Corn 5/98 2 25,900 75
Energy
Crude Oil 5/98 65 1,036,100 27,750
Natural Gas 4/98 150 3,783,000 (280,000)
Precious Metals
Gold 6/98 35 1,061,550 29,750
INDICES
Standard & Poor's 500 6/98 605 167,963,125 (1,898,188)
TREASURIES
German Nts., 10 yr. 6/98 426 61,792,145 (158,976)
U.S. Treasury Nts., 2 yr. 6/98 194 40,339,875 (51,922)
U.S. Treasury Nts., 5 yr. 6/98 3,982 433,540,250 (1,405,563)
-----------
(3,737,074)
-----------
$(5,107,537)
===========
</TABLE>
62 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
7. Option Activity
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options to
hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Shares subject to call, expiration
date, exercise price, premium received and market value are detailed in a
footnote to the Statement of Investments. Options written are reported as a
liability in the Statement of Assets and Liabilities. Gains and losses are
reported in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. The risk in writing a put option is that the Fund may incur
a loss if the market price of the security decreases and the option is
exercised. The risk in buying an option is that the Fund pays a premium whether
or not the option is exercised. The Fund also has the additional risk of not
being able to enter into a closing transaction if a liquid secondary market does
not exist.
Written option activity for the six months ended March 31, 1998 was as follows:
<TABLE>
<CAPTION>
Call Options Put Options
----------------------------- ------------------------------
Number of Amount of Number of Amount of
Options Premiums Options Premiums
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Options outstanding at
September 30, 1997 5,038,675,000 $ 1,251,563 4,860,600,000 $ 210,893
Options written 216,339,920 3,780,465 62,820,104,020 7,848,776
Options closed or expired (5,132,369,920) (3,650,200) (43,169,099,020) (5,316,004)
Options exercised (47,170,000) (556,606) (19,092,905,000) (2,025,688)
-------------- ----------- --------------- -----------
Options outstanding at
March 31, 1998 75,475,000 $ 825,222 5,418,700,000 $ 717,977
============== =========== =============== ===========
</TABLE>
63 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited) (Continued)
- --------------------------------------------------------------------------------
================================================================================
8. Illiquid and Restricted Securities
At March 31, 1998, investments in securities included issues that are illiquid
or restricted. Restricted securities are often purchased in private placement
transactions, are not registered under the Securities Act of 1933, may have
contractual restrictions on resale, and are valued under methods approved by the
Board of Trustees as reflecting fair value. A security may 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 intends to invest no more than
10% of its net assets (determined at the time of purchase and reviewed
periodically) in illiquid or restricted securities. Certain restricted
securities, eligible for resale to qualified institutional investors, are not
subject to that limit. The aggregate value of illiquid or restricted securities
subject to this limitation at March 31, 1998 was $683,177,923, which represents
7.91% of the Fund's net assets, of which $46,068,086 is considered restricted.
Information concerning restricted securities as follows:
<TABLE>
<CAPTION>
Valuation
Acquisition Cost Per Unit as of
Security Date Per Unit March 31, 1998
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bonds
- -----
Arizona Charlie's, Inc., 12% First Mtg. Nts., 11/18/93-
Series B, 11/15/00 12/9/93 100.00% 58.75%
- -------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First Mtg. Nts., 11/18/93-
Series A, 11/15/00 12/17/93 95.98 17.50
- -------------------------------------------------------------------------------------------
ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02 4/14/92 100.00 100.25
- -------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., Units, 9.75%, 6/15/99 5/15/95 110.05 118.52
- -------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14% Equipment
Trust, 7/2/08 3/19/98 101.00 107.50
- -------------------------------------------------------------------------------------------
Venezuela (Republic of) Debs., Banco Venezuela 7/13/93-
TCI, Zero Coupon, 6.13%, 12/13/98 7/15/93 72.64 91.00
Stocks and Warrants
- -------------------
Becker Gaming, Inc. Wts., 11/18/93-
Exp. 11/00 12/9/93 $ 2.10 $ .25
- -------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred, Series A 6/17/97 25.00 25.00
- -------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49 6/17/97 -- .50
- -------------------------------------------------------------------------------------------
ECM Fund, L.P.I 4/14/92 1,000.00 1,102.50
- -------------------------------------------------------------------------------------------
Omnipoint Corp. 11/29/95 16.00 28.03
- -------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00 11/29/95 -- 28.03
</TABLE>
64 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
9. Interest Rate Swap Transactions
The Fund may enter into an interest rate swap transaction to seek to maintain a
total return or yield spread on a particular investment or portion of its
portfolio or for other non-speculative purposes. Interest rate swaps involve the
exchange of commitments to pay or receive interest, e.g., an exchange of
floating rate payments for fixed rate payments. The coupon payments are based on
an agreed upon principal amount and a specified index. Because the principal
amount is not exchanged, it represents neither an asset nor a liability to
either counterparty, and is referred to as a notional principal amount. The Fund
records an increase or decrease to interest income, the amount due or owed by
the Fund at termination or settlement. The Fund enters into swaps only on
securities it owns. Interest rate swaps are subject to credit risks (if the
other party fails to meet its obligations) and also to interest rate risks. The
Fund could be obligated to pay more under its swap agreements than it receives
under them, as a result of interest rate changes. The Fund segregates liquid
assets to cover any amounts it could owe under swaps that exceed the amounts it
is entitled to receive.
As of March 31, 1998, the Fund had entered into the following interest rate swap
agreements:
<TABLE>
<CAPTION>
Fixed Floater
Rate Paid by Rate Received Floating Net
Notional The Fund at By the Fund at Rate Termination Unrealized
Swap Counterparty Principal 3/31/98 3/31/98 Index Date Depreciation
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Morgan Guaranty New Zealand
Trust Co. 57,100,000 8.65% 7.31% Bank Bill 12/8/00 $768,998
</TABLE>
================================================================================
10. Bank Borrowings
The Fund may borrow from a bank for temporary or emergency purposes including,
without limitation, funding of shareholder redemptions provided asset coverage
for borrowings exceeds 300%. The Fund has entered into an agreement which
enables it to participate with other Oppenheimer funds in an unsecured line of
credit with a bank, which permits borrowings up to $400 million, collectively.
Interest is charged to each fund, based on its borrowings, at a rate equal to
the Federal Funds Rate plus 0.35%. Borrowings are payable 30 days after such
loan is executed. The Fund also pays a commitment fee equal to its pro rata
share of the average unutilized amount of the credit facility at a rate of
0.0575% per annum.
The Fund had no borrowings outstanding during the six months ended March
31, 1998.
65 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Oppenheimer Strategic Income Fund
- --------------------------------------------------------------------------------
A series of Oppenheimer Strategic Funds Trust
================================================================================
Officers and Trustees James C. Swain, Chairman and Chief Executive Officer
Bridget A. Macaskill, President
Robert G. Avis, Trustee
William A. Baker, Trustee
Charles Conrad, Jr., Trustee
Jon S. Fossel, Trustee
Raymond J. Kalinowski, Trustee
C. Howard Kast, Trustee
Robert M. Kirchner, Trustee
Sam Freedman, Trustee
Ned M. Steel, Trustee
George C. Bowen, Vice President, Treasurer and
Assistant Secretary
Andrew J. Donohue, Vice President and Secretary
David P. Negri, Vice President
Arthur P. Steinmetz, Vice President
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
Robert G. Zack, Assistant Secretary
================================================================================
Investment Advisor OppenheimerFunds, Inc.
================================================================================
Distributor OppenheimerFunds Distributor, Inc.
================================================================================
Transfer and Shareholder OppenheimerFunds Services
Servicing Agent
================================================================================
Custodian of The Bank of New York
Portfolio Securities
================================================================================
Independent Auditors Deloitte & Touche LLP
================================================================================
Legal Counsel Myer, Swanson, Adams & Wolf, P.C.
The financial statements included herein have been
taken from the records of the Fund without examination
of the independent auditors.
This is a copy of a report to shareholders of
Oppenheimer Strategic Income Fund. This report must be
preceded or accompanied by a Prospectus of Oppenheimer
Strategic Income Fund. For material information
concerning the Fund, see the Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by any
bank, and are not insured by the FDIC or any other
agency, and involve investment risks, including
possible loss of the principal amount invested.
66 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
OppenheimerFunds Family
- --------------------------------------------------------------------------------
<TABLE>
============================================================================================
<S> <C> <C>
Real Asset Funds
- --------------------------------------------------------------------------------------------
Real Asset Fund Gold & Special Minerals Fund
============================================================================================
Global Stock Funds
- --------------------------------------------------------------------------------------------
Developing Markets Fund International Growth Fund Quest Global Value Fund
International Small Global Fund Global Growth &Income Fund
MCompany Fund
============================================================================================
Stock Funds
- --------------------------------------------------------------------------------------------
Enterprise Fund MidCap Fund Growth Fund
Discovery Fund Capital Appreciation Fund Disciplined Value Fund
Quest Small Cap Value Fund Quest Capital Value Fund Quest Value Fund
============================================================================================
Stock & Bond Funds
- --------------------------------------------------------------------------------------------
Main Street Income & Total Return Fund Disciplined Allocation Fund
Growth Fund Quest Balanced Value Fund(1) Multiple Strategies Fund
Quest Opportunity Equity Income Fund Convertible Securities Fund(2)
Value Fund
============================================================================================
Taxable Bond Funds
- --------------------------------------------------------------------------------------------
International Bond Fund Champion Income Fund U.S. Government Trust
World Bond Fund Strategic Income Fund Limited-Term Government Fund
High Yield Fund Bond Fund
============================================================================================
Municipal Funds
- --------------------------------------------------------------------------------------------
California Municipal Fund(3) Pennsylvania Municipal Fund(3) Rochester Division:
Florida Municipal Fund(3) Municipal Bond Fund Rochester Fund Municipals
New Jersey Municipal Fund(3) Insured Municipal Fund Limited Term New York
New York Municipal Fund(3) Intermediate Municipal Fund Municipal Fund
============================================================================================
Money Market Funds(4)
- --------------------------------------------------------------------------------------------
Money Market Fund Cash Reserves
</TABLE>
1. On 5/18/98, the Fund's name was changed from "Quest Growth & Income Value
Fund."
2. On 4/28/98, the Fund's name was changed from "Bond Fund for Growth."
3. Available only to investors in certain states.
4. An investment in money market funds is neither insured nor guaranteed by the
Federal Deposit Insurance Corporation or any other government agency. Although
these funds seek to preserve the value of your investment at $1.00 per share, it
is possible to lose money by investing in these funds. Oppenheimer funds are
distributed by OppenheimerFunds Distributor, Inc., Two World Trade Center, New
York, NY 10048-0203.
(C) Copyright 1998 OppenheimerFunds, Inc. All rights reserved.
67 Oppenheimer Strategic Income Fund
<PAGE>
Information and services
- --------------------------------------------------------------------------------
As an Oppenheimer fund shareholder, you have some special privileges. Whether
it's automatic investment plans, informative newsletters and hotlines, or ready
account access, you can benefit from services designed to make investing simple.
And when you need help, our Customer Service Representatives are only a
toll-free phone call away. They can provide information about your account and
handle administrative requests. You can reach them at our General Information
number.
When you want to make a transaction, you can do it easily by calling our
toll-free Telephone Transactions number or by visiting our website. And, by
enrolling in AccountLink, a convenient service that "links" your Oppenheimer
funds accounts and your bank checking or savings account, you can use the
Telephone Transactions number or website to make investments.
For added convenience, you can get automated information with
OppenheimerFunds PhoneLink service, available 24 hours a day, 7 days a week.
PhoneLink gives you access to a variety of fund, account, and market
information. Of course, you can always speak with a Customer Service
Representative during the General Information hours shown at the left.
You can count on us whenever you need assistance. That's why the
International Customer Service Association, an independent, nonprofit
organization made up of over 3,200 customer service management professionals
from around the country, honored the Oppenheimer funds' transfer agent,
OppenheimerFunds Services, with their Award of Excellence in 1993.
So call us today, or visit us at our website at
www.oppenheimerfunds.com--we're here to help.
Internet
24-hr access to account
information. Online
transactions now available.
- --------------------------
www.oppenheimerfunds.com
- --------------------------
General Information
Mon-Fri 8:30am-9pm ET
Sat 10am-4pm ET
- --------------------------
1-800-525-7048
- --------------------------
Account Transactions
Mon-Fri 8:30am-8pm ET
- --------------------------
1-800-852-8457
- --------------------------
PhoneLink
24-hr automated information
and automated transactions
- --------------------------
1-800-533-3310
- --------------------------
Telecommunication Device
for the Deaf (TDD)
Mon-Fri 8:30am-2pm ET
- --------------------------
1-800-843-4461
- --------------------------
OppenheimerFunds
Information Hotline
24 hours a day, timely and
insightful messages on the
economy and issues that
affect your investments
- --------------------------
1-800-835-3104
- --------------------------
RS0230.001.0398 May 29, 1998
[LOGO] Oppenheimer Funds(SM)
Distributor, Inc.
