<PAGE>
--------------------------------
Annual Report September 30, 1998
--------------------------------
OPPENHEIMER
Strategic
Income Fund
[GRAPHIC]
[LOGO]
OppenheimerFunds(R)
THE RIGHT WAY TO INVEST
<PAGE>
Contents
3 President's Letter
4 An Interview
with Your Fund's
Managers
9 Fund Performance
13 Financial
Statements
65 Independent
Auditors' Report
66 Federal
Income Tax
Information
67 Officers and
Trustees
68 Information and
Services
Report highlights
- --------------------------------------------------------------------------------
o Both domestic high yield bonds and emerging market debt declined in August
when investors expressed their preference for only the highest-quality
securities amid global economic and political uncertainty.
o The Fund's holdings of U.S. Treasury securities served as an anchor for the
portfolio during a time of extreme turbulence in other market sectors.(1)
o Currently, many high-yield bonds and selected foreign bonds appear to be
undervalued, giving rise to potential opportunities to buy these securities at
attractive prices.
Avg Annual Total Returns
For the 1-Year Period
Ended 9/30/98
Class A
Without Sales Chg.(2) With Sales Chg.(3)
- --------------------------------------------------------------------------------
0.80% -3.99%
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Class B
Without Sales Chg.(2) With Sales Chg.(3)
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0.26% -4.39%
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Class C
Without Sales Chg.(2) With Sales Chg.(3)
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0.05% -0.87%
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Class Y
Without Sales Chg.(2) With Sales Chg.(3)
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N/A N/A
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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. Because of ongoing
market volatility, the Fund's performance may be subject to substantial
short-term changes. For updates on the Fund's performance, please contact your
financial advisor, call us at 1-800-525-7048 or visit our website,
www.oppenheimerfunds.com.
(1) The Fund's portfolio is subject to change.
(2) Includes changes in net asset value per share without deducting any sales
charges.
(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 have an inception date of 1/26/98 and are not available for sale to
individual investors. Class B and C shares are subject to a 0.75% asset-based
sales charge. An explanation of the different performance calculations is in the
Fund's prospectus.
2 Oppenheimer Strategic Income Fund
<PAGE>
Dear shareholder,
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[PHOTO]
James C. Swain
Chairman
Oppenheimer
Strategic Income Fund
[PHOTO]
Bridget A. Macaskill
President
Oppenheimer
Strategic Income Fund
The performance of the financial markets over the past several months could be
viewed as "A Tale of Two Markets." Until mid-July, the excitement surrounding
the stock market's continued ascent to new record highs overshadowed the
favorable economic environment that existed for bonds: low inflation and
declining interest rates. However, since late summer, amid heightened global
concern, stocks declined sharply. Yet, despite continued economic concerns
worldwide, the bond market appeared ready to benefit.
Why have the stock and bond markets responded differently? The financial
crises in Asia and Russia have weakened the earnings of some large U.S.
corporations and have contributed to a slowdown in U.S. economic growth.
Although this slowing economic growth has negatively impacted stocks, it created
a positive environment for bonds. That's because slowing economic growth
generally means fewer inflationary pressures and, as we've recently seen,
interest rates also tend to decline.
What should you do during this period of relative uncertainty? If you have
well-defined, long-term financial goals and an investment strategy designed to
achieve them, we encourage you to stay the course. However, if you feel your
financial plan is out-of-date or incomplete, now is the time to make
improvements. The best way to cope with short-term volatility is to adhere to a
long-term plan that contains proven strategies, such as diversification among
various financial markets, geographic regions, investment styles and individual
securities. A long-term plan will give you the focus and perspective you need to
put short-term volatility in its proper context.
As longstanding advocates of financial planning, we have been encouraged
by our shareholders' rational responses to the latest market events. Many of you
tell us that you have a long-term strategy in place, which includes diversifying
your investment portfolio among a number of different asset classes in
accordance with your tolerance for risk. At OppenheimerFunds, our portfolio
management teams include seasoned professionals who have encountered extreme
market volatility in the past, giving them the perspective required to address
risks and take advantage of opportunities in turbulent markets. In our view,
having a well-defined set of financial goals, a disciplined long-term strategy
and the help of experienced investment professionals are all fundamental parts
of The Right Way to Invest.
Sincerely,
/s/ James C. Swain /s/ Bridget A. Macaskill
James C. Swain Bridget A. Macaskill
October 21, 1998
3 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
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"We're finding some very attractive values in bonds that, in our opinion, were
unfairly punished in the recent declines."
Did extreme volatility in the financial markets affect the Fund's performance?
The month of August was one of the most difficult in memory both for the Fund
and the markets in which it invests. Of the three market sectors in which the
Fund invests--U.S. government, foreign and high yield bonds--two declined
sharply in August, causing the Fund's net asset value to fall. A severe and
simultaneous decline in two different market sectors is a highly unusual event.
Historically, declines in any one sector tend to be offset by good performance
in the two other sectors.
Which sectors of the bond markets declined, and why?
The emerging-markets segment of the foreign bond sector and the domestic high
yield bond market both experienced difficulties.
Bond prices in the emerging markets of Southeast Asia began to decline in
October 1997, when currency devaluations forced some overextended Asian
companies to default on their debt. Risk-averse investors pulled their capital
out of Southeast Asia and other emerging markets, causing prices of both bonds
and stocks to plummet. More recently in 1998, Japan's failure to enact the
reforms necessary to fix their troubled economy put further pressure on the
emerging markets in Asia. Meanwhile, Russia was forced to devalue its currency
in mid-August because of the apparent ineffectiveness of a plan by the
International Monetary Fund to support Russia's economy. Finally, plunging oil
prices led to fears of currency devaluation in certain Latin American countries.
4 Oppenheimer Strategic Income Fund
<PAGE>
[PHOTO]
Portfolio Management Team (l to r)
Art Steinmetz (Portfolio Manager)
David Negri (Portfolio Manager)
Ashwin Vasan
Closer to home, the domestic high yield bond market responded to many of the
same influences that drove the U.S. stock market lower during the third quarter
of 1998. In the wake of the Asian crisis, some U.S. companies revealed that
their earnings would not meet analysts expectations. In response, investors
attempted to sell all but the most creditworthy securities, including high yield
bonds. In our opinion, they did so without regard to the degree of fundamental
soundness of the individual issuers or business conditions.
How did the U.S. government bond market perform in this environment?
The "flight to quality" that negatively influenced stocks and corporate bonds in
the United States affected even relatively high-quality fixed income investments
such as U.S. agency securities. Despite guarantees from government agencies such
as the Government National Mortgage Association (Ginnie Mae), risk-averse
investors sold these triple-A rated securities in favor of U.S. Treasury
securities, which are considered the most secure investments in the world. In
fact, yields on 30-year Treasury bonds dropped below 5 1/2 percent in August for
the first time since the 1960s.
5 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
- --------------------------------------------------------------------------------
Avg Annual Total Returns
For the Periods Ended 9/30/98(1)
Class A
Since
1 year 5 year Inception
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- -3.99% 5.98% 9.22%
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Class B
Since
1 year 5 year Inception
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- -4.39% 5.97% 7.80%
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Class C
Since
1 year 5 year Inception
- --------------------------------------------------------------------------------
- -0.87% N/A 7.61%
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Class Y
Since
1 year 5 year Inception
- --------------------------------------------------------------------------------
N/A N/A -0.64%
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The Fund benefited from the rally of U.S. Treasury securities because nearly 18%
of the Fund's assets were committed to this market sector as of July 31, before
the foreign and high yield markets' sharp declines in August. In effect, our
holdings of U.S. Treasury securities served as an anchor for the portfolio.
Do you intend to change the way the Fund is managed as a result of the August
declines?
Absolutely not. Our focus continues to be on long-term performance, not
short-term volatility. We will continue to diversify the Fund's assets in
varying degrees among U.S. government, foreign and domestic high yield bonds. In
our view, August 1998 was an anomaly that is not likely to reoccur anytime soon.
In this uncertain environment, however, effective risk management has
become more important than ever. What's required in nervous markets like this
one is a long-term perspective combined with some tolerance for short-term
volatility. With patience and discipline, we believe that today's short-term
challenges should give way to longer term opportunities.
(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), 2%
(5-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. Class B and C shares are
subject to an annual 0.75% asset-based sales charge. An explanation of the
different performance calculations is in the Fund's prospectus.
6 Oppenheimer Strategic Income Fund
<PAGE>
Standardized Yields(2)
For the 30 Days Ended 9/30/98
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Class A 8.90%
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Class B 8.57
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Class C 8.58
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Class Y 9.70
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Is there a silver lining to the cloud that appears to have settled over the
emerging markets and high yield bond markets?
In our view, most sectors of the global bond markets are extraordinarily
inexpensive compared to their historical relationships with U.S. Treasury
securities. As a result, we're finding some very attractive values in bonds
that, in our opinion, were unfairly punished in the recent declines. We're
finding particularly good values in North America, South America and Europe.
We are also finding similar values in high yield bonds. Many corporate
bond prices have declined to levels that appear to reflect a worst-case
scenario, such as a recession in the United States. We believe that a recession
is unlikely in today's low-inflation environment. If and when it becomes clear
to the broader investment community that a recession is unlikely, we expect
corporate bond prices to rise to more normal valuations.
What is your outlook for the future?
News from overseas markets may continue to be unsettling until evidence appears
that Southeast Asia, Japan, Russia and other troubled economies are on the mend.
On the other hand, we believe that Latin American bonds are generally
undervalued, and we are watchful for opportunities to obtain creditworthy bonds
at attractive prices. In the United States, we remain encouraged by the
fundamentals of a resilient economy, particularly the absence of inflationary
pressures.
2. Standardized yield is based on net investment income for the 30-day period
ended 9/30/98. Falling share prices will tend to artificially raise yields.
7 Oppenheimer Strategic Income Fund
<PAGE>
Asset Allocation(3)
[PIE CHART]
Bonds 87.3%
Structured Notes 8.6
Stocks 2.9
Other Securities 1.2
We expect our core holdings of U.S. Treasury securities to provide a stable
foundation from which we can begin investing opportunistically in carefully
selected, higher yielding domestic and foreign fixed income securities. In our
view, this type of multi-sector diversification continues to be an important
part of The Right Way to Invest in the fixed-income markets.
Top 10 Countries(3)
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United States 72.1%
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Germany 5.6
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Argentina 2.8
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Great Britain 2.7
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Mexico 2.3
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Italy 1.6
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Supranational 1.4
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Brazil 1.1
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Canada 1.1
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Poland 0.9
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3. Portfolio data is subject to change. Percentages are as of September 30,
1998 and are 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,
and in foreign securities, which entail higher expenses and risks, such as
currency fluctuation.
8 Oppenheimer Strategic Income Fund
<PAGE>
Fund performance
- --------------------------------------------------------------------------------
How Has the Fund Performed? Below is a discussion by the Manager of the Fund's
performance during its fiscal year ended September 30, 1998, followed by a
graphical comparison of the Fund's performance to two appropriate broad-based
market indices.
o Management's Discussion of Performance. During the fiscal year ended
September 30, 1998, Oppenheimer Strategic Income Fund's performance was
negatively affected by a number of factors, including weakness in the high yield
and emerging-markets bond markets during the third quarter of 1998. The negative
effects of the overall markets' declines were only partially offset by strength
in the Fund's U.S. government securities portfolio. As a result, the Fund's
performance suffered over the period. The Fund's portfolio holdings, allocations
and strategies are subject to change.
o Comparing the Fund's Performance to the Market. The graphs that follow
show the performance of a hypothetical $10,000 investment in each class of
shares of the Fund held until September 30, 1998. In the case of Class A shares,
performance is measured over a one- and five-year period and from the inception
of the class on October 16, 1989. In the case of Class B shares, performance is
measured over a one- and five-year period and from the inception of the class on
November 30, 1992. In the case of Class C shares, performance is measured over a
one-year period and from the inception of the class on May 26, 1995. In the case
of Class Y shares, performance is measured since the inception of the class on
January 26, 1998. The graphs assume that all dividends and capital gains
distributions were reinvested in additional shares. The Fund's performance
reflects the deduction of the 4.75% maximum initial sales charge on Class A
shares, the 5% (1-year), 2% (5-year) and 1% (since inception) applicable
contingent deferred sales charge for Class B, and the 1% (1-year) contingent
deferred sales charge for Class C shares.
The performance of each class of the Fund's shares is compared to two
indices because the Fund invests in a variety of debt securities in domestic and
foreign markets. The Fund's performance is compared to the performance of the
Lehman Brothers Aggregate Bond Index and the Salomon Brothers World Government
Bond Index. The Lehman Brothers Aggregate Bond Index is a broad-based, unmanaged
index of U.S. corporate bond issues, U.S. Government securities and
mortgage-backed securities widely regarded as a measure of the performance of
the domestic debt securities market. The Salomon Brothers World Government Bond
Index is an unmanaged index of fixed rate bonds having a maturity of one year or
more, widely regarded as a benchmark of fixed income performance on a worldwide
basis.
Index performance reflects the reinvestment of income but does not
consider the effect of capital gains or transaction costs, and none of the data
in the graphs that follow shows the effect of taxes. The Fund's performance
reflects the effects of Fund business and operating expenses. While index
comparisons may be useful to provide a benchmark for the Fund's performance, it
must be noted that the Fund's investments are not limited to the securities in
the indices and include below-investment-grade obligations.
9 Oppenheimer Strategic Income Fund
<PAGE>
Fund performance
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Class A Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenhemer Strategic Income Fund (Class A), Lehman Brothers Aggregate Bond Index
and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
10/16/98 9/30/90 9/30/91 9/30/92 9/30/93 9/30/94 9/30/95 9/30/96 9/30/97 9/30/98
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Oppenheimer Stategic Income
Fund Class A $ 9,525 $10,496 $12,278 $13,820 $15,698 $15,996 $17,374 $19,644 $21,861 $22,035
Lehman Brothers Aggregate
Bond Index 10,000 10,498 12,177 13,705 15,072 14,586 16,637 17,452 19,148 21 352
Salomon Brothers World
Governement Bond Index 10,000 10,664 12,268 14,512 15,838 16,124 18,733 19,522 19,991 22,306
</TABLE>
Average Annual Total Return of Class A Shares of the Fund at 9/30/98(1)
1 year 5 year Life
-3.99% 5.98% 9.22%
Class B Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenhemer Strategic Income Fund (Class B), Lehman Brothers Aggregate Bond Index
and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
11/30/92 9/30/93 9/30/94 9/30/95 9/30/96 9/30/97 9/30/98
<S> <C> <C> <C> <C> <C> <C> <C>
Oppenheimer Stategic Income
Fund Class B $10,000 $11,516 $11,643 $12,551 $14,081 $15,549 $15,495
Lehman Brothers Aggregate
Bond Index 10,000 11,143 10,784 12,300 12,903 14,156 15,785
Salomon Brothers World
Governement Bond Index 10,000 11,400 11,606 13,484 14,052 14,389 16,056
</TABLE>
Average Annual Total Return of Class B Shares of the Fund at 9/30/98(2)
1 year 5 year Life
-4.39% 5.97% 7.80%
The returns and the ending account values in the graphs show change in share
value and include reinvestment of all dividends and capital gains distributions.
The performance information for Lehman Brothers Aggregate Bond Index and the
Salomon Brothers World Government Bond Index in each graph begins on 10/31/89
for Class A, 11/30/92 for Class B, 5/31/95 for Class C and 1/30/98 for Class Y.
1. The inception date of the Fund's Class A shares was 10/16/89. The average
annual total returns are shown net of the applicable 4.75% maximum initial sales
charge.
10 Oppenheimer Strategic Income Fund
<PAGE>
Class C Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenhemer Strategic Income Fund (Class C), Lehman Brothers Aggregate Bond Index
and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
5/26/95 9/30/95 9/30/96 9/30/97 9/30/98
Oppenheimer Stategic Income
Fund Class C $10,000 $10,309 $11,542 $12,774 $12,780
Lehman Brothers Aggregate
Bond Index 10,000 10,271 10,774 11,821 13,182
Salomon Brothers World
Governement Bond Index 10,000 9,953 10,372 10,622 11,852
Average Annual Total Return of Class C Shares of the Fund at 9/30/98(3)
1 year Life
-0.87% 7.61%
Class Y Shares
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Oppenhemer Strategic Income Fund (Class Y), Lehman Brothers Aggregate Bond Index
and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
1/26/98 9/30/98
Oppenheimer Stategic Income
Fund Class Y $10,000 $ 9,936
Lehman Brothers Aggregate
Bond Index 10,000 10,695
Salomon Brothers World
Governement Bond Index 10,000 11,027
Cumulative Total Return of Class Y Shares of the Fund at 9/30/98(4)
Life
-0.64%
2. Class B shares of the Fund were first publicly offered on 11/30/92. The
average annual total returns are shown net of the applicable 5%, 2% and 1%
contingent deferred sales charges, respectively, for the one- and five-year
period, and the life of the class. The ending account value in the graph is net
of the applicable 1% contingent deferred sales charge.
3. Class C shares of the Fund were first publicly offered on 5/26/95. The
average annual total returns are shown net of the applicable 1% contingent
deferred sales charge for the one-year period.
4. Class Y shares have an inception date of 1/26/98 and are not available for
sale to individual investors. Past performance is not predictive of future
performance. Graphs are not drawn to same scale.
11 Oppenheimer Strategic Income Fund
<PAGE>
Financials
----------------------------------------------
12 Oppenheimer Strategic Income Fund
<PAGE>
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Statement of Investments September 30, 1998
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<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
===========================================================================================================
<S> <C> <C>
Mortgage-Backed Obligations--18.6%
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Government Agency--11.7%
- -----------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored--8.6%
Federal Home Loan Mortgage Corp., Collateralized Mtg.
Obligations, Gtd. Multiclass Mtg. Participation Certificates:
11.50%, 10/1/16 $ 3,751,761 $ 4,253,710
Series 1092, Cl. K, 8.50%, 6/15/21 8,000,000 8,737,163
Series 1252, Cl. J, 8%, 5/15/22 7,000,000 7,885,040
Series 1343, Cl. LA, 8%, 8/15/22 17,100,000 19,224,013
Series 1455, Cl. J, 7.50%, 12/15/22 18,527,500 20,993,881
Series 1477, Cl. G, 7%, 2/15/21 15,000,000 16,040,550
Series 1546, Cl. H, 7%, 12/15/22 4,000,000 4,291,240
Series 1562, Cl. C, 7%, 3/15/21 10,000,000 10,481,200
Series 1914, Cl. H, 6.50%, 8/15/24 9,970,000 10,390,535
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg.
Participation Certificates:
10%, 5/1/20 2,112,270 2,347,920
10.50%, 5/1/20 3,286,906 3,680,251
12%, 6/1/17 7,280,791 8,375,167
Series 1797, Cl. D, 6.166%, 7/15/08 4,728,633 4,870,492
Series 2021, Cl. PR, 6%, 7/15/26 8,600,000 8,750,500
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Series 1583, Cl. K, 6.75%, 2/15/23 10,000,000 10,653,100
Series 1603, Cl. J, 6.50%, 7/15/23 10,000,000 10,581,250
Series 1836, Cl. H, 6.50%, 9/15/24 17,650,000 18,631,693
Series 1914, Cl. G, 6.50%, 2/15/24 12,375,000 12,862,204
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security:
Series 176, Cl. IO, 0.002%-5.513%, 6/1/26(3) 69,929,938 9,156,451
Series 177, Cl. B, (4.47)%-(6.674)%, 7/1/26(3) 115,694,806 14,660,700
Series 183, Cl. IO, 3.699%-4.237%, 4/1/27(3) 34,706,072 4,403,332
Series 197, Cl. IO, 14.119%-15.635%, 4/1/28(3) 221,780,563 45,187,789
Series 199, Cl. IO, 11.276%-18.785%, 8/1/28(3) 98,773,199 16,745,144
Series 294, Cl. 2, 7.472%, 2/1/28(3) 6,918,485 916,699
Series 1627, Cl. PN, 7.271%, 9/15/22(3) 25,694,950 7,242,764
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Mtg.-Backed Certificates,
10%, 4/1/20 2,231,252 2,427,291
- -----------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security:
Series 183, Cl. PO, 5.539%, 4/1/27(4) 18,654,513 16,893,994
Series 199, Cl. PO, 5.257%, 8/1/28(4) 8,979,381 7,625,459
Series 2015, Cl. PO, 6.09%, 10/25/10(4) 9,832,309 8,185,397
</TABLE>
13 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FHLMC/FNMA/Sponsored (continued)
Federal Home Loan Mortgage Corp.-Government National
Mortgage Assn., Gtd. Multiclass Mtg. Participation Certificates,
Series 32, Cl. TG, 6.194%, 1/25/21 $ 17,965,500 $ 18,936,715
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6.50%, 10/25/13-10/25/28(13) 179,527,179 183,012,711
7%, 10/25/27(13) 10,000,000 10,278,100
7.50%, 11/1/25-7/1/26 13,098,688 13,517,325
9.50%, 4/1/20-11/25/27 1,974,658 2,157,127
10.50%, 10/1/19 1,490,495 1,684,260
11%, 2/1/26 3,953,427 4,513,917
12%, 2/15/16 3,509,677 4,020,547
15%, 4/15/13 2,345,036 2,928,364
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through
Certificates, Trust 1993-38, Cl. U, 7.50%, 8/25/21 10,000,000 10,743,700
- ------------------------------------------------------------------------------------------------------------
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 10,096,830
Trust 1990-18, Cl. K, 9.60%, 3/25/20 10,100,000 11,277,377
Trust 1992-162, Cl. C, 7%, 10/25/21 5,850,000 6,211,939
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 24,045,000 25,374,929
Trust 1994-51, Cl. PH, 6.50%, 1/25/23 18,841,000 19,871,226
Trust 1995-4, Cl. PC, 8%, 5/25/25 8,692,100 9,792,172
Trust 1997-25, Cl. B, 7%, 12/18/22 8,618,000 8,957,291
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 8,470,400 8,867,408
Trust 1998-40, Cl. B, 6.50%, 12/18/25 15,000,000 15,215,625
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 215, Cl. 2, (4.965)%-(5.013)%, 4/1/23(3) 48,018,287 5,649,652
Trust 258, Cl. 2, 2.33%, 3/1/24(3) 24,819,832 2,939,599
Trust 276, Cl. 2, 11.85%, 10/1/24(3) 24,535,716 4,029,225
Trust 290, Cl. 2, 2.962%, 11/1/27(3) 36,049,742 5,858,083
Trust 294, Cl. 2, 6.339%-11.491%, 2/1/28(3) 41,145,037 5,451,717
Trust 300, Cl. 2, 4.802%, 9/1/24(3) 37,897,425 6,963,652
Trust 1997-9, Cl. H, 7.522%, 3/25/27(3) 30,937,000 10,286,553
- ------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security:
Trust 277, Cl. 1, 18.693%, 4/1/27(4) 10,413,881 9,658,875
Trust 294, Cl. 1, 4.588%, 2/1/28(4) 8,030,055 7,176,862
-----------
741,966,710
- ------------------------------------------------------------------------------------------------------------
GNMA/Guaranteed--3.1%
Government National Mortgage Assn.:
7%, 1/15/28-8/15/28 76,864,133 79,376,066
7.50%, 1/15/26-9/15/28 96,078,688 99,660,547
8%, 5/15/26 9,994,690 10,414,868
</TABLE>
14 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
GNMA/Guaranteed (continued)
Government National Mortgage Assn.: (continued)
12.50%, 12/15/13 $ 8,000,961 $ 9,219,428
13%, 10/15/15 22,796,269 27,355,524
13.50%, 6/15/15 29,448,274 35,788,856
- -----------------------------------------------------------------------------------------------------------
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, 9.652%, 9/1/22(2)(3) 130,614,335 4,265,374
Series 1995-2B, Cl. 2-IO, 18.551%, 6/1/25(2)(3) 13,121,924 378,280
Series 1995-3, Cl. 1-IO, 14.237%, 9/1/25(2)(3) 326,477,117 4,667,603
-----------
271,126,546
- -----------------------------------------------------------------------------------------------------------
Private--6.9%
- -----------------------------------------------------------------------------------------------------------
Agricultural--0.1%
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural
Real Estate Trust Sr. Sub. Mtg. Pass-Through Certificates:
Series 1992-2, Cl. B2, 9.231%, 1/15/03(2)(5) 4,855,617 4,291,152
Series 1992-2, Cl. B3, 9.477%, 4/15/09(2)(5) 6,797,683 5,516,745
-----------
9,807,897
- -----------------------------------------------------------------------------------------------------------
Commercial--5.3%
AMRESCO Commercial Mortgage Funding I Corp.,
Multiclass Mtg. Pass-Through Certificates, Series 1997-C1:
Cl. G, 7%, 6/17/29(2) 1,550,000 1,341,719
Cl. H, 7%, 6/17/29(2) 1,600,000 1,153,500
- -----------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1995-MD4, Cl. A-4, 7.384%, 8/13/29 5,000,000 5,303,125
Series 1995-MD4, Cl. A-5, 7.384%, 8/13/29 20,000,000 20,668,750
Series 1997-D4, Cl. B1, 7.525%, 4/14/29(5) 11,875,000 11,659,766
Series 1997-D4, Cl. B2, 7.525%, 4/14/29(5) 24,582,312 23,460,744
Series 1997-D4, Cl. B3, 7.525%, 4/14/29(5) 5,532,925 5,072,136
Series 1997-D5, Cl. B1, 6.93%, 2/14/41 7,700,000 7,154,984
Series 1997-D5, Cl. B2, 6.93%, 2/14/41 21,050,000 18,931,844
- -----------------------------------------------------------------------------------------------------------
CBA Mortgage Corp., Mtg. Pass-Through Certificates, Series 1993-C1:
Cl. E, 7.76%, 12/25/03(2)(5) 2,609,000 2,545,406
Cl. F, 7.76%, 12/25/03(2)(5) 14,300,000 12,012,000
- -----------------------------------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc., Sub. Bonds, Series 1993-5:
Cl. B3, 7%, 4/25/23(2) 1,509,604 1,449,221
Cl. B4, 7%, 4/25/23(2) 1,141,942 496,745
- -----------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized Mtg.
Obligations, Series 1996-C1, Cl. E, 8.185%, 12/25/20(5)(6) 3,000,000 3,046,406
- -----------------------------------------------------------------------------------------------------------
CRIMMI MAE Trust I, Collateralized Mtg. Obligations,
Series 1996-C1, Cl. A2, 8/30/05(6) 6,300,000 6,384,656
</TABLE>
15 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commercial (continued)
CS First Boston Mortgage Securities Corp., Mtg.
Pass-Through Certificates:
Series 1997-C1, Cl. F, 7.50%, 6/20/13(2) $ 2,400,000 $ 1,999,500
Series 1997-C1, Cl. G, 7.50%, 6/20/14(2) 3,271,000 2,528,892
Series 1997-C1, Cl. H, 7.50%, 8/20/14(2) 2,580,000 1,915,650
Series 1997-C2, Cl. F, 7.46%, 5/17/14 6,350,000 5,665,391
Series 1997-C2, Cl. H, 7.46%, 1/17/35 4,000,000 2,972,500
Series 1998-C1, Cl. F, 6%, 5/17/40(2) 5,500,000 3,956,563
- -----------------------------------------------------------------------------------------------------------
FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 1994-C1:
Cl. 2-D, 8.70%, 9/25/25(2) 2,500,000 2,574,609
Cl. 2-E, 8.70%, 9/25/25(2) 2,500,000 2,568,750
Cl. 2-G, 8.70%, 9/25/25(2) 4,870,000 5,046,538
- -----------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust,
Interest-Only Stripped Mtg.-Backed Security, Series 1998-C2,
Cl. IO, 0.816%, 5/18/28(3) 120,000,000 5,252,344
- -----------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Collateralized Mtg. Obligations:
Series 1997-C1, Cl. G, 7.414%, 11/15/11 19,440,000 18,364,725
Series 1997-C2, Cl. F, 6.75%, 4/16/29 17,785,500 14,128,357
- -----------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1997-C1, Cl. X, 8.198%, 7/15/27(3) 180,676,084 16,994,844
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through
Certificates, Series 1995-C2, Cl. D, 8.144%, 6/15/21(5) 2,780,211 2,934,209
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1996-C1, Cl. E, 7.436%, 2/15/28(2)(5) 9,365,000 9,247,938
Series 1996-C1, Cl. F, 7.436%, 2/15/28(2)(5) 13,360,980 12,079,161
Series 1997-HF1, Cl. F, 6.86%, 2/15/10(2) 3,475,000 3,264,328
Series 1997-RR, Cl. D, 7.671%, 4/30/39(2) 2,950,000 2,938,016
Series 1997-RR, Cl. E, 7.774%, 4/30/39(2)(5) 9,200,000 8,889,500
Series 1997-RR, Cl. F, 7.739%, 4/30/39(2) 30,800,000 24,750,688
Series 1997-XL1, Cl. F, 7.413%, 10/3/30(5) 7,000,000 7,420,000
Series 1997-XL1, Cl. G, 7.695%, 10/3/30(2)(5) 14,358,000 14,279,480
- -----------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Commercial Mtg. Pass-Through
Certificates, Series 1997-MC1, Cl. F, 7.452%, 5/20/07(2) 2,939,000 2,770,926
- -----------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations,
Series 1998-I, Cl. 1, 5%, 5/25/28(2) 24,024,891 23,063,896
- -----------------------------------------------------------------------------------------------------------
Nykredit AS, 8% Cv. Bonds, 10/1/26(DKK) 145,937,000 23,503,754
- -----------------------------------------------------------------------------------------------------------
Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates:
Series 1992-CHF, Cl. D, 8.25%, 12/25/20 7,873,294 7,880,676
Series 1993-C1, Cl. D, 9.45%, 5/25/24 6,597,507 6,559,881
Series 1993-C1, Cl. E, 9.50%, 5/25/24 386,075 385,382
Series 1994-C1, Cl. C, 8%, 6/25/26 8,000,000 8,125,625
Series 1994-C1, Cl. E, 8%, 6/25/26 5,639,283 5,663,955
</TABLE>
16 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commercial (continued)
Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates: (continued)
Series 1994-C2, Cl. E, 8%, 4/25/25 $ 18,251,908 $ 18,397,354
Series 1994-C2, Cl. G, 8%, 4/25/25 5,885,341 5,894,537
Series 1995-C1, Cl. F, 6.90%, 2/25/27 7,676,309 7,281,699
- -----------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-C1,
Cl. E, 9.184%, 1/20/06 4,550,000 4,886,984
- -----------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Series 1997-A3,
5%, 8/25/27(2) 7,651,902 7,233,439
- -----------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 1997-LLI:
Cl. E, 7.30%, 10/20/34 3,000,000 3,138,750
Cl. F, 7.30%, 4/12/12(2) 8,000,000 8,057,500
- -----------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Multiclass
Pass-Through Certificates:
Series 1995-C4, Cl. E, 8.734%, 6/25/26(2)(5) 9,453,000 9,798,625
Series 1996-C3, Cl. E, 8.458%, 6/25/30(6) 9,350,000 9,656,066
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 14,220,000 14,531,063
-----------
457,283,097
- -----------------------------------------------------------------------------------------------------------
MultiFamily--0.4%
Countrywide Funding Corp., Mtg. Pass-Through Certificates:
Series 1993-11, Cl. B1, 6.25%, 2/25/09 1,156,220 1,147,910
Series 1993-11, Cl. B3, 6.25%, 2/25/09(6) 674,563 248,239
Series 1993-12, Cl. B1, 6.625%, 2/25/24 3,500,000 3,463,086
Series 1994-F, Cl. A7, 6%, 4/25/09 10,256,291 10,512,699
- -----------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Multifamily Mtg. Pass-Through
Certificates, Series 1996-MC1, Cl. G, 7.15%, 6/15/06(6) 9,700,000 8,614,813
- -----------------------------------------------------------------------------------------------------------
Multifamily Capital Access One, Inc., Series 1, Cl. D,
10.292%, 1/15/24(2)(5) 3,576,000 3,545,828
- -----------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-CL,
Cl. F, 9.175%, 1/20/28(5) 9,632,000 8,123,990
-----------
35,656,565
- -----------------------------------------------------------------------------------------------------------
Residential--1.1%
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A10, 6%, 5/25/09 20,667,887 21,145,833
- -----------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through
Certificates, Series 1997-CHL1:
8.132%, 2/25/11(2)(5) 14,500,000 11,871,875
8.132%, 5/25/08(2)(5) 8,500,000 7,729,688
- -----------------------------------------------------------------------------------------------------------
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(2)(5) 5,265,575 5,696,694
</TABLE>
17 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Residential (continued)
Residential Accredit Loans, Inc., Mtg. Asset-Backed
Pass-Through Certificates:
Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 $ 3,236,532 $ 3,451,964
Series QS11, Cl. A1, 7%, 10/25/12 20,740,761 21,155,576
- -------------------------------------------------------------------------------------------------------------
Ryland Mortgage Securities Corp. Sub. Bonds, Series 1993-3,
Cl. B2, 6.713%, 8/25/08 1,103,362 1,113,534
- -------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-B,
Cl. 1, 7.132%, 4/25/26 14,587,156 11,277,695
- -------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1998-A1, 5%, 12/25/00(2) 8,663,135 8,316,610
-------------
91,759,469
-------------
Total Mortgage-Backed Obligations (Cost $1,658,119,032) 1,607,600,284
=============================================================================================================
U.S. Government Obligations--14.9%
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6.50%, 11/15/26 63,220,000 75,389,913
8%, 11/15/21 35,900,000 49,362,536
8.125%, 8/15/21 38,000,000 52,772,538
9.375%, 2/15/06(7) 37,640,000 49,226,081
10.375%, 11/15/09 14,700,000 19,252,414
10.75%, 2/15/03(8) 70,795,000 88,427,415
10.75%, 8/15/05 81,135,000 111,104,322
11.625%, 11/15/04 24,600,000 34,017,200
12%, 8/15/13 38,950,000 61,090,660
13.75%, 8/15/04(8) 62,410,000 92,269,315
STRIPS, 4.865%, 2/15/19(9) 176,000,000 59,087,600
STRIPS, 5.622%, 11/15/21(9) 110,000,000 32,014,840
STRIPS, 5.624%, 8/15/21(9) 79,000,000 23,249,305
STRIPS, 5.954%, 8/15/22(9) 210,000,000 59,130,540
- -------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.375%, 6/30/00 57,900,000 58,822,810
6.50%, 10/15/06(10) 127,390,000 144,747,015
6.50%, 5/15/05-8/15/05 83,600,000 94,173,417
6.875%, 5/15/06 91,240,000 105,496,341
7.875%, 11/15/04 24,000,000 28,462,512
10.75%, 5/15/03(8) 38,585,000 48,701,524
-------------
Total U.S. Government Obligations (Cost $1,213,430,046) 1,286,798,298
=============================================================================================================
Foreign Government Obligations--17.0%
- -------------------------------------------------------------------------------------------------------------
Argentina--2.6%
Argentina (Republic of) Bonds:
5%, 12/20/02(JPY) 1,820,000,000 9,596,485
Bonos de Consolidacion de Deudas, Series I, 2.974%, 4/1/07(5)(ARP) 68,382,606 39,251,803
Bonos de Consolidacion de Deudas, Series I, 5.646%, 4/1/01(5) 7,325,124 6,298,545
Series L, 6.188%, 3/31/05(5) 15,551,500 12,382,882
</TABLE>
18 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Argentina (continued)
Argentina (Republic of) Global Unsec. Unsub. Bonds,
Series BGL5, 11.375%, 1/30/17 $ 33,860,000 $ 31,151,200
- -----------------------------------------------------------------------------------------------------------
Argentina (Republic of) Nts.:
11.75%, 2/12/07(6)(ARP) 3,100,000 2,255,516
Series REGS, 11.75%, 2/12/07(ARP) 16,680,000 12,136,132
- -----------------------------------------------------------------------------------------------------------
Argentina (Republic of) Par Bonds, 5.75%, 3/31/23(11) 34,050,000 22,898,625
- -----------------------------------------------------------------------------------------------------------
Argentina (Republic of) Sr. Unsec. Unsub. Bonds, 11%, 10/9/06 1,990,000 1,888,012
- -----------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Bonds, 11.50%, 8/14/01(GBP) 2,575,000 3,916,486
- -----------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Medium-Term Nts.:
5.50%, 3/27/01(JPY) 5,954,000,000 41,259,410
8.75%, 7/10/02(ARP) 27,110,000 18,911,457
- -----------------------------------------------------------------------------------------------------------
Banco Hipotecario Nacional (Argentina) Medium-Term Nts.,
10.625%, 8/7/06 15,000,000 13,050,000
- -----------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Sr. Unsec. Unsub. Medium-Term Nts.,
11.50%, 10/19/98(2) 950,000 952,375
- -----------------------------------------------------------------------------------------------------------
Buenos Aires (Province of) Sr. Unsec. Unsub. Nts., 11.50%,
10/19/98(2) 5,000,000 5,012,500
- -----------------------------------------------------------------------------------------------------------
City of Buenos Aires Bonds, Series 3, 10.50%, 5/28/04(ARP) 5,490,000 3,212,029
-----------
224,173,457
- -----------------------------------------------------------------------------------------------------------
Brazil--0.5%
Brazil (Federal Republic of) Bonds:
10.125%, 5/15/27 260,000 163,800
Series RG, 6.688%, 4/15/12(5) 18,720,000 9,313,200
- -----------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Capitalization Bonds, 8%, 4/15/14 34,200,670 20,605,904
- -----------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Conversion Bonds,
6.688%, 4/15/12(5) 12,035,000 5,987,413
- -----------------------------------------------------------------------------------------------------------
Telecomunicacoes Brasileiras SA Bonds, 13%, 2/5/99(ITL) 15,600,000,000 9,180,913
- -----------------------------------------------------------------------------------------------------------
Telecomunicacoes Brasileiras SA Medium-Term Nts.,
11.25%, 12/9/99(2)(5) 500,000 441,250
-----------
45,692,480
- -----------------------------------------------------------------------------------------------------------
Bulgaria--0.3%
Bulgaria (Republic of) Disc. Bonds,Tranche A, 6.688%, 7/28/24(5) 23,280,000 14,986,500
- -----------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Front-Loaded Interest Reduction Bearer
Bonds, Tranche A, 2.50%, 7/28/12(11) 22,620,000 10,885,875
- -----------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Interest Arrears Bonds, 6.688%, 7/28/11(5) 6,800,000 4,046,000
-----------
29,918,375
- -----------------------------------------------------------------------------------------------------------
Denmark--0.2%
Denmark (Kingdom of) Bonds, 8%, 5/15/03(DKK) 44,770,000 8,090,293
- -----------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Bullet Bonds, 7%, 11/15/07(DKK) 40,590,000 7,508,024
-----------
15,598,317
</TABLE>
19 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Ecuador--0.1%
Ecuador (Republic of) Disc. Bonds, 6.625%, 2/28/25(5) $ 2,505,000 $ 1,200,834
- -----------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Past Due Interest Bonds,
6.625%, 2/27/15(5) 20,177,497 6,860,349
-----------
8,061,183
- -----------------------------------------------------------------------------------------------------------
Finland--0.3%
Finland (Republic of) Bonds, 9.50%, 3/15/04(FIM) 91,000,000 22,714,060
- -----------------------------------------------------------------------------------------------------------
France--0.8%
France (Government of) Bonds, Obligations Assimilables
du Tresor, 5.25%, 4/25/08(FRF) 358,640,000 69,938,883
- -----------------------------------------------------------------------------------------------------------
Germany--3.9%
Germany (Republic of) Bonds:
4.50%, 2/18/03(DEM) 36,590,000 22,623,637
6.50%, 7/15/03(DEM) 132,390,000 88,772,021
7.50%, 9/9/04(DEM) 81,850,000 58,316,180
Series 97, 6%, 7/4/07(DEM) 84,300,000 57,711,329
Series 98, 5.625%, 1/4/28(DEM) 14,440,000 9,611,668
- -----------------------------------------------------------------------------------------------------------
Germany (Republic of) Nts., Series 98, 4%, 3/17/00(DEM) 160,320,000 96,593,684
- -----------------------------------------------------------------------------------------------------------
Germany (Republic of) Treasury Bills, Zero Coupon,
3.39%, 1/15/99(9)(DEM) 5,000,000 2,962,800
-----------
336,591,319
- -----------------------------------------------------------------------------------------------------------
Great Britain--1.3%
United Kingdom Treasury Bonds:
8.50%, 12/7/05(GBP) 50,500,000 103,493,367
9%, 8/6/12(GBP) 4,690,000 11,193,149
-----------
114,686,516
- -----------------------------------------------------------------------------------------------------------
Greece--0.1%
Hellenic Republic Government Bonds, 8.90%, 4/1/03(GRD) 2,922,300,000 9,893,029
- -----------------------------------------------------------------------------------------------------------
Hungary--0.1%
Hungary (Government of) Bonds, Series 99-G, 16.50%, 7/24/99(HUF) 1,946,000,000 8,750,767
- -----------------------------------------------------------------------------------------------------------
Indonesia--0.1%
Perusahaan Listr, 17%, 8/21/01(2)(IDR) 9,000,000,000 473,130
- -----------------------------------------------------------------------------------------------------------
PT Bank Negara Indonesia Sr. Nts., 7.625%, 2/15/07 21,145,000 8,722,313
- -----------------------------------------------------------------------------------------------------------
PT Hutama Karya Medium-Term Nts., Zero Coupon, 9/3/98(2)(14)(IDR) 25,000,000,000 584,111
-----------
9,779,554
- -----------------------------------------------------------------------------------------------------------
Italy--1.6%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
8.50%, 1/1/04(ITL) 91,330,000,000 66,721,274
9%, 10/1/03(ITL) 88,380,000,000 65,368,410
10.50%, 4/1/05(ITL) 7,305,000,000 5,993,154
-----------
138,082,838
</TABLE>
20 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Ivory Coast--0.1%
Ivory Coast (Government of) Past Due Interest Bonds,
2%, 3/29/18(6)(11) $ 22,506,000 $ 6,132,885
- ---------------------------------------------------------------------------------------------------------
Jordan--0.1%
Hashemite (Kingdom of Jordan) Bonds, Series DEF,
5%, 12/23/23(11) 12,980,000 6,782,050
- ---------------------------------------------------------------------------------------------------------
Hashemite (Kingdom of Jordan) Collateralized Par Bonds,
Series DEF, 5%, 12/23/23(6)(11) 500,000 261,250
------------
7,043,300
- ---------------------------------------------------------------------------------------------------------
Korea, Republic of (South)--0.2%
Korea (Republic of) Nts., 8.281%, 4/8/00(2)(5) 20,900,000 18,470,375
- ---------------------------------------------------------------------------------------------------------
Mexico--1.3%
Fideicomiso Petacalco Trust Nts., 10.16%, 12/23/09(6) 8,000,000 5,940,000
- ---------------------------------------------------------------------------------------------------------
Mexican Williams Bonds, 6.25%, 11/15/08(2)(5) 1,500,000 1,230,000
- ---------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
8.125%, 9/10/04(11)(DEM) 29,000,000 16,179,995
10.375%, 1/29/03(DEM) 19,525,000 11,360,886
11.50%, 5/15/26 13,960,000 13,750,600
16.50%, 9/1/08(2)(GBP) 2,445,000 4,986,048
- ---------------------------------------------------------------------------------------------------------
United Mexican States Collateralized Fixed Rate Par Bonds:
Series B, 6.25%, 12/31/19 33,900,000 25,255,500
Series W-A, 6.25%, 12/31/19 9,750,000 7,263,750
Series W-B, 6.25%, 12/31/19 29,150,000 21,716,750
- ---------------------------------------------------------------------------------------------------------
United Mexican States Petroleos Mexicanos Unsec. Unsub. Nts.,
7.875%, 3/2/99(CAD) 5,600,000 3,626,374
------------
111,309,903
- ---------------------------------------------------------------------------------------------------------
New Zealand--0.4%
New Zealand (Government of) Bonds:
8%, 2/15/01(NZD) 20,800,000 10,961,918
8%, 4/15/04(NZD) 35,000,000 19,385,539
------------
30,347,457
- ---------------------------------------------------------------------------------------------------------
Nigeria--0.1%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 10,750,000 6,154,375
- ---------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC,
5.092%, 1/5/10 2,199,896 1,167,951
------------
7,322,326
- ---------------------------------------------------------------------------------------------------------
Norway--0.5%
Norway (Government of) Bonds, 9.50%, 10/31/02(NOK) 286,480,000 44,013,671
- ---------------------------------------------------------------------------------------------------------
Panama--0.1%
Panama (Government of) Past Due Interest Debs.,
6.688%,7/17/16(5) 10,261,841 7,234,598
</TABLE>
21 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Peru--0.6%
Peru (Republic of) Sr. Nts., Zero Coupon,
4.524%, 2/28/16(9) $ 128,263,256 $ 49,176,133
- ---------------------------------------------------------------------------------------------------------
Poland--0.7%
Poland (Republic of) Past Due Interest Bonds,
4%, 10/27/14(11) 75,960,000 64,376,100
- ---------------------------------------------------------------------------------------------------------
Russia--0.1%
City of St. Petersburg Sr. Unsub. Nts., 9.50%, 6/18/02(6) 9,770,000 1,954,000
- ---------------------------------------------------------------------------------------------------------
Russia (Government of) Bonds:
18.29%, 4/28/99(2)(14)(RUR) 34,219,000 375,607
29.80%, 7/14/99(2)(14)(RUR) 57,402,000 1,060,276
Series 2, 29.80%, 7/14/99(2)(14)(RUR) 28,564,000 527,607
Series 3, 18.29%, 4/28/99(2)(14)(RUR) 31,475,000 345,487
- ---------------------------------------------------------------------------------------------------------
Russia (Government of) Debs., 6.719%, 12/15/15(5) 515,074 45,069
- ---------------------------------------------------------------------------------------------------------
Russia (Government of) Federal Loan Bonds,
Series 5022, 15%, 2/23/00(2)(RUR) 190,703,000 4,644,685
- ---------------------------------------------------------------------------------------------------------
Russia (Government of) Principal Loan Debs.,
Series 24 yr., 6.625%, 12/15/20(5) 15,870,000 1,021,631
------------
9,974,362
- ---------------------------------------------------------------------------------------------------------
Spain--0.5%
Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion
del Estado:
5.25%, 1/31/03(ESP) 4,742,600,000 35,336,229
6%, 1/31/08(ESP) 974,000,000 7,695,877
------------
43,032,106
- ---------------------------------------------------------------------------------------------------------
Turkey--0.2%
Export Credit Bank of Turkey Bonds,
8.219%, 8/18/00(2)(5) 250,000 206,250
- ---------------------------------------------------------------------------------------------------------
Turkey (Republic of) Treasury Bills, Zero Coupon,
85.002%, 1/27/99(9)(TRL) 7,829,300,000,000 20,993,570
------------
21,199,820
- ---------------------------------------------------------------------------------------------------------
Venezuela--0.2%
Venezuela (Republic of) Debs., Banco Venezuela TCI,
Zero Coupon, 6.13%, 12/13/98(2)(9) 1,977,034 1,878,182
- ---------------------------------------------------------------------------------------------------------
Venezuela (Republic of) New Money Bonds:
Series A, 6.75%, 12/18/05(5) 7,058,823 4,063,235
Series B, 6.625%, 12/18/05(5) 10,588,235 6,094,853
Series P, 6.625%, 12/18/05(5) 2,867,658 1,659,657
------------
13,695,927
- ---------------------------------------------------------------------------------------------------------
Vietnam--0.0%
Vietnam (Government of) Bonds, 3%, 3/12/28(5) 1,932,000 468,510
------------
Total Foreign Government Obligations (Cost $1,596,527,268) 1,467,678,251
</TABLE>
22 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Loan Participations--0.3%
- ---------------------------------------------------------------------------------------------------------
Jamaica (Government of) 1990 Refinancing Agreement Nts.,
Tranche A, 6.50%, 10/16/00(2)(5) $ 629,023 $ 570,839
- ---------------------------------------------------------------------------------------------------------
Morocco (Kingdom of) Loan Participation Agreement,
Tranche A, 6.563%, 1/1/09(2)(5) 29,080,000 21,155,700
- ---------------------------------------------------------------------------------------------------------
United Mexican States, Combined Facility 2, Loan Participation
Agreement, Tranche A, 6.563%, 3/20/99(2)(5) 130,573 104,459
------------
Total Loan Participations (Cost $26,443,195) 21,830,998
=========================================================================================================
Corporate Bonds and Notes--37.9%
- ---------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.2%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 22,384,365
- ---------------------------------------------------------------------------------------------------------
Amtran, Inc., 10.50% Sr. Nts., 8/1/04 7,800,000 7,839,000
- ---------------------------------------------------------------------------------------------------------
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08(6) 7,700,000 7,122,500
10.75% Sr. Nts., 8/1/05 8,183,000 8,223,915
12.25% Pass-Through Certificates, 12/1/02 13,575,000 14,661,000
- ---------------------------------------------------------------------------------------------------------
Constellation Finance LLC, 9.80% Airline Receivable
Asset-Backed Nts., Series 1997-1, 1/1/01(2) 7,500,000 7,518,750
- ---------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 9.75%, 12/10/01(2) 2,000,000 2,060,000
- ---------------------------------------------------------------------------------------------------------
Greater Toronto Airport, 5.40% Debs., 12/3/02(CAD) 10,005,000 6,558,484
- ---------------------------------------------------------------------------------------------------------
Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts.,
Cl. B, 6/15/04(2) 4,160,562 4,487,582
- ---------------------------------------------------------------------------------------------------------
SC International Services, Inc., 9.25% Sr. Sub. Nts., Series B, 9/1/07 10,150,000 9,921,625
- ---------------------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14% Equipment Trust, 7/2/08(2) 3,241,175 3,338,411
- ---------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.50% Sr. Sec. Nts., 12/15/04 14,545,000 13,890,475
------------
108,006,107
- ---------------------------------------------------------------------------------------------------------
Chemicals--0.7%
Brunner Mond Group plc, 12.50% Sr. Sub. Nts., 7/15/08(6)(GBP) 4,300,000 6,503,615
- ---------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 2,500,000 2,412,500
- ---------------------------------------------------------------------------------------------------------
Harris Chemical North America, Inc., 10.75% Sr. Sub. Nts., 10/15/03 1,600,000 1,664,800
- ---------------------------------------------------------------------------------------------------------
ICO, Inc., 10.375% Sr. Nts., 6/1/07 2,200,000 2,090,000
- ---------------------------------------------------------------------------------------------------------
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 3,415,000 2,988,125
- ---------------------------------------------------------------------------------------------------------
NL Industries, Inc., 11.75% Sr. Sec. Nts., 10/15/03 9,560,000 10,324,800
- ---------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, Inc., 9.25% Sec. Nts., 10/15/07 4,375,000 3,500,000
- ---------------------------------------------------------------------------------------------------------
Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07 4,395,000 3,559,950
- ---------------------------------------------------------------------------------------------------------
Polytama International Finance BV, 11.25% Sec. Nts., 6/15/07(14) 7,170,000 1,451,925
- ---------------------------------------------------------------------------------------------------------
Sovereign Specialty Chemicals, Inc., 9.50% Sr. Unsec.Sub.Nts.,
Series B, 8/1/07 8,615,000 8,356,550
- ---------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
11.25% Sr. Sub. Nts., 4/1/07 2,510,000 2,158,600
11.75% Sr. Unsec. Sub. Nts., 8/15/06 16,075,000 13,985,250
------------
58,996,115
</TABLE>
23 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Consumer Durables--0.2%
Holmes Products Corp., 9.875% Sr. Unsec. Sub. Nts.,
Series B, 11/15/07 $ 6,110,000 $ 5,590,650
- ---------------------------------------------------------------------------------------------------------
Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 8,100,000 4,333,500
- ---------------------------------------------------------------------------------------------------------
TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05(2) 4,705,000 5,549,077
------------
15,473,227
- ---------------------------------------------------------------------------------------------------------
Consumer Non-Durables--0.8%
AKI Holdings, Inc.:
0%/13.50% Sr. Disc. Debs., 7/1/09(6)(15) 3,850,000 1,790,250
10.50% Sr. Nts., 7/1/08(6) 3,350,000 3,232,750
- ---------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 5,500,000 3,052,500
- ---------------------------------------------------------------------------------------------------------
Bell Sports, Inc., 11% Sr. Sub. Nts., 8/15/08(6) 4,835,000 4,762,475
- ---------------------------------------------------------------------------------------------------------
Chattem, Inc., 8.875% Sr. Sub. Nts., 4/1/08(6) 2,100,000 2,047,500
- ---------------------------------------------------------------------------------------------------------
Globe Manufacturing, Inc., 10% Sr. Sub. Nts., 8/1/08(6) 4,550,000 4,299,750
- ---------------------------------------------------------------------------------------------------------
Indorayon International Finance Co. BV, 10% Gtd. Unsec
Unsub. Nts., 3/29/01(2) 1,850,000 647,500
- ---------------------------------------------------------------------------------------------------------
Phillips-Van Heusen Corp., 9.50% Sr. Sub. Nts., 5/1/08(6) 4,745,000 4,555,200
- ---------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/00 4,025,000 1,640,187
- ---------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp., 8.625% Sr. Unsec
Sub. Nts., 2/1/08 14,500,000 14,246,250
- ---------------------------------------------------------------------------------------------------------
Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts.,
Series B, 10.981%, 3/15/01(9) 19,420,000 14,953,400
- ---------------------------------------------------------------------------------------------------------
Styling Technology Corp., 10.875% Sr. Sub. Nts., 7/1/08(6) 6,340,000 5,959,600
- ---------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 2,890,000 3,034,500
- ---------------------------------------------------------------------------------------------------------
Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 6,300,000 6,268,500
------------
70,490,362
- ---------------------------------------------------------------------------------------------------------
Energy--2.0%
Belden & Blake Corp., 9.875% Sr. Sub. Nts., 6/15/07 8,115,000 6,776,025
- ---------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
8.50% Sr. Nts., 3/15/12 2,000,000 1,490,000
9.125% Sr. Unsec. Nts., 4/15/06 1,491,000 1,289,715
9.625% Sr. Unsec. Nts., Series B, 5/1/05 11,995,000 10,615,575
- ---------------------------------------------------------------------------------------------------------
Clark Refinancing & Marketing, Inc., 8.875% Sr. Sub. Nts., 11/15/07 9,795,000 8,472,675
- ---------------------------------------------------------------------------------------------------------
Clark USA, Inc., 10.875% Sr. Nts., Series B, 12/1/05 3,600,000 3,366,000
- ---------------------------------------------------------------------------------------------------------
Dailey International, Inc., 9.50% Sr. Unsec. Nts., Series B, 2/15/08 3,700,000 2,164,500
- ---------------------------------------------------------------------------------------------------------
Denbury Management, Inc., 9% Sr. Sub. Nts., 3/1/08 4,450,000 3,715,750
- ---------------------------------------------------------------------------------------------------------
DI Industries, Inc., 8.875% Sr. Nts., 7/1/07 5,155,000 3,943,575
- ---------------------------------------------------------------------------------------------------------
Empresa Electric Del Norte, 10.50% Sr. Debs., 6/15/05(2) 1,300,000 890,500
- ---------------------------------------------------------------------------------------------------------
Forcenergy, Inc.:
8.50% Sr. Sub. Nts., Series B, 2/15/07 3,515,000 2,478,075
9.50% Sr. Sub. Nts., 11/1/06 14,485,000 10,646,475
</TABLE>
24 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Energy (continued)
Gothic Energy Corp., 0%/14.125% Sr. Disc. Nts., 5/1/06(15) $ 18,450,000 $ 7,472,250
- ---------------------------------------------------------------------------------------------------------
Gothic Production Corp., 11.125% Sr. Sec. Nts., Series B, 5/1/05(6) 8,575,000 6,216,875
- ---------------------------------------------------------------------------------------------------------
Grant Geophysical, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/15/08 5,925,000 4,769,625
- ---------------------------------------------------------------------------------------------------------
Grey Wolf, Inc., 8.875% Sr. Unsec. Nts., Series C, 7/1/07 2,000,000 1,530,000
- ---------------------------------------------------------------------------------------------------------
National Energy Group, Inc., 10.75% Sr. Nts., Series D, 11/1/06 8,395,000 3,567,875
- ---------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08(6) 13,000,000 9,685,000
- ---------------------------------------------------------------------------------------------------------
P&L Coal Holdings Corp., 9.625% Sr. Sub. Nts., 5/15/08(6) 15,500,000 15,577,500
- ---------------------------------------------------------------------------------------------------------
Parker Drilling Co., 9.75% Sr. Unsec. Nts., Series D, 11/15/06 12,100,000 11,253,000
- ---------------------------------------------------------------------------------------------------------
Petroleum Heat & Power Co., Inc., 9.375% Sub. Debs., 2/1/06 16,220,000 14,841,300
- ---------------------------------------------------------------------------------------------------------
Pogo Producing Co., 8.75% Sr. Sub. Nts., 5/15/07 9,185,000 8,771,675
- ---------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 19,230,000 16,441,650
- ---------------------------------------------------------------------------------------------------------
Statia Terminals International/Statia Terminals (Canada), Inc.,
11.75% First Mtg. Nts., Series B, 11/15/03 1,775,000 1,712,875
- ---------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07 12,460,000 11,899,300
- ---------------------------------------------------------------------------------------------------------
Universal Compression Holdings, Inc.:
0%/9.875% Sr. Disc. Nts., 2/15/08(6)(15) 8,725,000 5,060,500
0%/11.375% Sr. Disc. Nts., 2/15/09(6)(15) 2,400,000 1,344,000
------------
175,992,290
- ---------------------------------------------------------------------------------------------------------
Financial--10.0%
AMRESCO, Inc.:
9.875% Sr. Sub. Nts., Series 98-A, 3/15/05 4,260,000 3,429,300
10% Sr. Sub. Nts., Series 97-A, 3/15/04 7,050,000 5,675,250
- ---------------------------------------------------------------------------------------------------------
Bakrie Investindo, Zero Coupon Promissory Nts., 7/10/98(2)(14)(IDR) 27,000,000,000 630,839
- ---------------------------------------------------------------------------------------------------------
Banco Bamerindus do Brazil SA, 9% Unsec. Unsub. Bonds,
10/29/98(2) 3,240,000 3,223,800
- ---------------------------------------------------------------------------------------------------------
Banco del Atlantico SA, 7.875% Eurobonds, 11/5/98(2) 12,980,000 12,915,100
- ---------------------------------------------------------------------------------------------------------
Banco Nacional de Mexico SA, 11% Sub. Exchangeable Capital
Debs., 7/15/03(2) 9,750,000 7,507,500
- ---------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4,167,000 4,437,855
- ---------------------------------------------------------------------------------------------------------
Bayerische Vereinsbank AG, 5% Sec. Nts., Series 661, 7/28/04(DEM) 23,855,000 15,019,330
- ---------------------------------------------------------------------------------------------------------
CB Richard Ellis Services, Inc., 8.875% Sr. Unsec. Sub. Nts., 6/1/06 8,250,000 8,105,625
- ---------------------------------------------------------------------------------------------------------
Deutsche Pfandbrief & Hypobank, 4.75% Sec. Nts.,
Series 452, 3/20/03(DEM) 96,400,000 59,731,116
- ---------------------------------------------------------------------------------------------------------
ECM Fund, L.P. I., 14% Sub. Nts., 6/10/02(2) 277,829 278,524
- ---------------------------------------------------------------------------------------------------------
Emergent Group, Inc., 10.75% Sr. Nts., Series B, 9/15/04 2,625,000 1,325,625
- ---------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6% Unsec. Nts., 5/15/08 470,000,000 506,716,400
Zero Coupon Sub. Capital Debs., 5.924%, 10/9/19(9) 238,280,000 72,749,267
- ---------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 5.25% Bonds, 6/16/08(DEM) 48,250,000 29,482,272
</TABLE>
25 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Financial (continued)
Hypothekenbank in Essen AG:
4.50% Sec. Nts., Series 478, 5/2/03(DEM) $ 18,160,000 $ 11,147,944
5.25% Sec. Nts., Series 502, 1/22/08(DEM) 33,860,000 21,498,876
5.50% Sec. Nts., Series 459, 2/20/07(DEM) 33,400,000 21,652,445
- ---------------------------------------------------------------------------------------------------------
Industrial Bank of Japan Preferred Capital Co.
LLC (The), 8.79% Bonds, 12/29/49(5)(6) 6,550,000 4,789,792
- ---------------------------------------------------------------------------------------------------------
Kreditanstalt fuer Wiederaufbau, 5% Bonds, 1/4/09(DEM) 24,170,000 15,211,510
- ---------------------------------------------------------------------------------------------------------
Local Financial Corp., 11% Sr. Nts., 9/8/04(6) 10,000,000 10,250,000
- ---------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27 5,350,000 4,895,250
- ---------------------------------------------------------------------------------------------------------
Ocwen Financial Corp., 11.875% Nts., 10/1/03 9,275,000 9,089,500
- ---------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Gtd. Nts.,
3/29/04(6)(14) 4,970,000 273,350
- ---------------------------------------------------------------------------------------------------------
Parametric RE Ltd., 10.206% Nts., 11/15/07(2)(5) 2,400,000 2,448,000
- ---------------------------------------------------------------------------------------------------------
PT Polysindo Eka Perkasa:
Zero Coupon Nts., Series 2, 9.908%, 7/15/98(2)(9)(IDR) 6,484,800,000 60,605
Zero Coupon Promissory Nts., 9.391%, 7/14/98(2)(9) 11,350,000 1,135,000
- ---------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust,9.75% Sr. Sec. Nts.,
Series B, 4/1/08 13,990,000 12,381,150
- ---------------------------------------------------------------------------------------------------------
SBS Agro Finance BV Bonds, 10.25%, 7/21/00 14,961,000 1,196,880
- ---------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp.,11.50% Sr. Nts., 11/1/04 9,500,000 1,805,000
- ---------------------------------------------------------------------------------------------------------
Veritas Capital Trust, 10% Nts., 1/1/28(2) 3,525,000 3,428,062
- ---------------------------------------------------------------------------------------------------------
Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 6,117,000 6,025,245
- ---------------------------------------------------------------------------------------------------------
Washington Mutual Capital I, 8.375% Sub. Capital
Income Nts., 6/1/27 2,000,000 2,253,822
- ---------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc., 13% Nts., 1/1/04 5,440,000 4,868,800
------------
865,639,034
- ---------------------------------------------------------------------------------------------------------
Food & Drug--0.8%
Ameriking, Inc., 10.75% Sr. Nts., 12/1/06 7,600,000 7,828,000
- ---------------------------------------------------------------------------------------------------------
Carrols Corp., 11.50% Sr. Nts., 8/15/03 7,360,000 7,709,600
- ---------------------------------------------------------------------------------------------------------
Family Restaurants, Inc., 10.875% Sr. Sub. Disc. Nts., 2/1/04(2) 4,000,000 2,700,000
- ---------------------------------------------------------------------------------------------------------
Fleming Cos., Inc.:
10.50% Sr. Sub. Nts., Series B, 12/1/04 6,150,000 5,996,250
10.625% Sr. Sub. Nts., Series B, 7/31/07 21,700,000 21,591,500
- ---------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc., 0%/10.75% Jr. Sub. Deferred Coupon
Nts., 11/1/03(15) 9,425,000 7,021,625
- ---------------------------------------------------------------------------------------------------------
Randall's Food Markets, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 10,810,000 11,188,350
- ---------------------------------------------------------------------------------------------------------
Shoppers Food Warehouse Corp., 9.75% Sr. Nts., 6/15/04 3,225,000 3,442,687
------------
67,478,012
- ---------------------------------------------------------------------------------------------------------
Food/Tobacco--0.5%
Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 2,100,000 2,173,500
- ---------------------------------------------------------------------------------------------------------
Del Monte Foods Co., 0%/12.50% Sr. Disc. Nts., 12/15/07(6)(15) 10,200,000 5,865,000
</TABLE>
26 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Food/Tobacco (continued)
Doane Products Co., 10.625% Sr. Nts., 3/1/06 $ 3,000,000 $ 3,120,000
- ---------------------------------------------------------------------------------------------------------
Foodmaker, Inc., 8.375% Sr. Sub. Nts., 4/15/08(6) 4,500,000 4,365,000
- ---------------------------------------------------------------------------------------------------------
Packaged Ice, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/1/05 7,560,000 7,144,200
- ---------------------------------------------------------------------------------------------------------
Purina Mills, Inc., 9% Sr. Unsec. Sub. Nts., 3/15/10 2,000,000 2,000,000
- ---------------------------------------------------------------------------------------------------------
SmithField Foods, Inc., 7.625% Sr. Unsec. Sub. Nts., 2/15/08 2,800,000 2,758,000
- ---------------------------------------------------------------------------------------------------------
Sparkling Spring Water Group Ltd., 11.50% Sr. Sec. Sub.
Nts., 11/15/07 12,550,000 12,361,750
- ---------------------------------------------------------------------------------------------------------
Stroh Brewery Co., 11.10% Sr. Sub. Nts., 7/1/06(2) 123,000 58,425
- ---------------------------------------------------------------------------------------------------------
Windy Hill Pet Food, Inc., 9.75% Sr. Sub. Nts., 5/15/07 3,000,000 3,045,000
------------
42,890,875
- ---------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.7%
Ball Corp.:
7.75% Sr. Nts., 8/1/06(6) 3,300,000 3,407,250
8.25% Sr. Sub. Nts., 8/1/08(6) 3,300,000 3,407,250
- ---------------------------------------------------------------------------------------------------------
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 5,875,000 6,198,125
- ---------------------------------------------------------------------------------------------------------
Domtar, Inc., 10.85% Debs., 8/5/17(CAD) 1,700,000 1,332,178
- ---------------------------------------------------------------------------------------------------------
Fletcher Challenge Finance U.S.A., Inc., 8.05% Debs., 6/15/03(NZD) 4,755,000 2,450,876
- ---------------------------------------------------------------------------------------------------------
Fletcher Challenge Ltd.:
10% Cv. Unsec. Sub. Nts., 4/30/05(NZD) 4,900,000 2,748,021
14.50% Cv. Sub. Nts., 9/30/00(NZD) 4,900,000 2,773,632
- ---------------------------------------------------------------------------------------------------------
Florida Coast Paper Co. LLC, 12.75% First Mtg. Nts., Series B, 6/1/03 5,050,000 4,822,750
- ---------------------------------------------------------------------------------------------------------
Four M Corp., 12% Sr. Sec. Nts., Series B, 6/1/06 3,895,000 3,836,575
- ---------------------------------------------------------------------------------------------------------
Indah Kiat International Finance Co. BV, 11.375% Sec. Nts.,
Series A, 6/15/99(2) 5,400,000 3,564,000
- ---------------------------------------------------------------------------------------------------------
Riverwood International Corp.:
10.625% Sr. Unsec. Nts., 8/1/07 12,090,000 11,183,250
10.875% Sr. Sub. Nts., 4/1/08 1,900,000 1,581,750
- ---------------------------------------------------------------------------------------------------------
SD Warren Co., 12% Sr. Sub. Nts., Series B, 12/15/04 5,250,000 5,748,750
- ---------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 0%/12.75% Sr. Disc. Nts., 3/15/08(15) 2,100,000 934,500
- ---------------------------------------------------------------------------------------------------------
U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 3,850,000 3,792,250
------------
57,781,157
- ---------------------------------------------------------------------------------------------------------
Gaming/Leisure--2.0%
AP Holdings, Inc., 0%/11.25% Sr. Disc. Nts., 3/15/08(6)(15) 2,150,000 1,053,500
- ---------------------------------------------------------------------------------------------------------
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4,875,000 4,363,125
- ---------------------------------------------------------------------------------------------------------
Arizona Charlie's, Inc., 12% First Mtg. Nts., Series B, 11/15/00(2)(14) 5,775,000 5,572,875
- ---------------------------------------------------------------------------------------------------------
Aztar Corp., 13.75% Sr. Sub. Nts., 10/1/04 3,725,000 4,078,875
- ---------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts.,
8/1/95(14) 33,500 --
- ---------------------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First Mtg. Nts., Series A,
11/15/00(2) 2,100,000 126,000
- ---------------------------------------------------------------------------------------------------------
Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 7,725,000 7,435,312
</TABLE>
27 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Gaming/Leisure (continued)
Casino America, Inc., 12.50% Sr. Nts., 8/1/03 $ 5,125,000 $ 5,560,625
- ---------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B,
8/15/03 5,300,000 5,909,500
- ---------------------------------------------------------------------------------------------------------
Empress Entertainment, Inc., 8.125% Sr. Sub. Nts., 7/1/06(6) 4,290,000 4,247,100
- ---------------------------------------------------------------------------------------------------------
Grand Casinos, Inc., 10.125% First Mtg. Sec. Nts., 12/1/03 15,095,000 15,925,225
- ---------------------------------------------------------------------------------------------------------
Grupo Posadas SA de CV, 10.375% Bonds, 2/13/02 2,500,000 1,909,375
- ---------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05(6) 7,960,000 7,920,200
- ---------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 450,000 479,250
- ---------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 13,350,000 13,083,000
- ---------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 6,675,000 6,675,000
- ---------------------------------------------------------------------------------------------------------
Majestic Star Casino LLC (The), 12.75% Sr. Sec. Nts., 5/15/03 5,000,000 5,150,000
- ---------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority (Connecticut),
13.50% Sr. Sec. Nts., Series B, 11/15/02 12,350,000 15,437,500
- ---------------------------------------------------------------------------------------------------------
Outboard Marine Corp., 10.75% Sr. Nts., 6/1/08(6) 4,120,000 3,893,400
- ---------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(6) 10,800,000 6,696,000
- ---------------------------------------------------------------------------------------------------------
Premier Parks, Inc.:
0%/10% Sr. Disc. Nts., 4/1/08(15) 6,350,000 3,968,750
9.25% Sr. Nts., 4/1/06 5,355,000 5,301,450
- ---------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc.:
9.50% Sr. Sub. Nts., 4/15/07 13,120,000 14,300,800
10.625% Sr. Sub. Nts., 7/15/05 3,230,000 3,504,550
- ---------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 94,750
- ---------------------------------------------------------------------------------------------------------
Showboat Marina Casino Partnership/Showboat Marina
Finance Corp., 13.50% First Mtg. Nts., Series B, 3/15/03 9,850,000 11,130,500
- ---------------------------------------------------------------------------------------------------------
Six Flags Entertainment Corp., 8.75% Sr. Nts., 4/1/06 5,720,000 5,691,400
- ---------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 9.625% Sr. Sub. Nts., 6/1/03 900,000 891,000
- ---------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc.:
10% Sr. Unsec. Sub. Nts., 11/15/05(11) 7,100,000 6,141,500
12.25% Mtg. Nts., 11/15/04 3,655,000 3,307,775
------------
169,848,337
- ---------------------------------------------------------------------------------------------------------
Healthcare--0.5%
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08(DEM) 5,250,000 2,968,402
- ---------------------------------------------------------------------------------------------------------
ICN Pharmaceutical, Inc., 8.75% Sr. Nts., 11/15/08(6) 5,500,000 5,390,000
- ---------------------------------------------------------------------------------------------------------
Integrated Health Services, Inc.:
9.50% Sr. Sub. Nts., 9/15/07 8,095,000 7,568,825
10.25% Sr. Sub. Nts., 4/30/06 605,000 595,925
- ---------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc., 9.625% Sr. Unsec. Sub. Nts., Series B, 11/1/07 6,465,000 6,465,000
- ---------------------------------------------------------------------------------------------------------
Magellan Health Services, Inc.,9% Sr. Sub. Nts., 2/15/08(6) 5,050,000 4,317,750
- ---------------------------------------------------------------------------------------------------------
Oxford Health Plans, Inc., 11% Sr. Nts., 5/15/05(6) 8,015,000 6,812,750
- ---------------------------------------------------------------------------------------------------------
Sun Healthcare Group, Inc., 9.50% Sr. Sub. Nts., 7/1/07 10,560,000 9,662,400
------------
43,781,052
</TABLE>
28 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Housing--0.6%
Building Materials Corp. of America, 8.625% Sr. Nts., Series B,
12/15/06 $ 3,400,000 $ 3,434,000
- ---------------------------------------------------------------------------------------------------------
Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07 1,830,000 1,546,350
- ---------------------------------------------------------------------------------------------------------
Greystone Homes, Inc., 10.75% Sr. Nts., 3/1/04 2,680,000 2,814,000
- ---------------------------------------------------------------------------------------------------------
Hovnanian K. Enterprises, Inc., 11.25% Gtd. Sub. Nts., 4/15/02 8,571,000 8,549,572
- ---------------------------------------------------------------------------------------------------------
Kaufman & Broad Home Corp., 7.75% Sr. Nts., 10/15/04 13,800,000 13,869,000
- ---------------------------------------------------------------------------------------------------------
Nortek, Inc.:
8.875% Sr. Nts., 8/1/08(6) 3,000,000 2,910,000
9.125% Sr. Nts., Series B, 9/1/07 11,450,000 11,278,250
9.25% Sr. Nts., Series B, 3/15/07 5,100,000 5,151,000
------------
49,552,172
- ---------------------------------------------------------------------------------------------------------
Information Technology--0.6%
Covad Communications Group, Inc., 0%/13.50% Sr. Disc. Nts.,
3/15/08(15) 23,300,000 9,436,500
- ---------------------------------------------------------------------------------------------------------
Details, Inc., 10% Sr. Sub. Nts., Series B, 11/15/05 8,250,000 7,878,750
- ---------------------------------------------------------------------------------------------------------
DII Group, Inc., 8.50% Sr. Sub. Nts., 9/15/07 925,000 855,625
- ---------------------------------------------------------------------------------------------------------
Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 6,345,000 5,869,125
- ---------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.75% Sr. Sub. Nts., 9/30/09 9,800,000 9,751,000
- ---------------------------------------------------------------------------------------------------------
Unisys Corp., 11.75% Sr. Nts., 10/15/04 3,800,000 4,275,000
- ---------------------------------------------------------------------------------------------------------
WAM!NET, Inc., 0%/13.25% Sr. Disc. Unsec. Nts., Series B, 3/1/05(15) 16,895,000 9,038,825
- ---------------------------------------------------------------------------------------------------------
Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07 5,625,000 5,203,125
------------
52,307,950
- ---------------------------------------------------------------------------------------------------------
Manufacturing--0.9%
Axia, Inc., 10.75% Sr. Sub. Nts., 7/15/08(6) 2,650,000 2,570,500
- ---------------------------------------------------------------------------------------------------------
Burke Industries, Inc., 10% Sr. Sub. Nts., 8/15/07 3,475,000 3,475,000
- ---------------------------------------------------------------------------------------------------------
Cia Latino Americana de Infraestructura &
Servicios SA--CLISA, 11.625% Sr. Unsec. Nts., 6/1/04(2) 650,000 484,250
- ---------------------------------------------------------------------------------------------------------
Communications & Power Industries, Inc., 12% Sr. Sub. Nts.,
Series B, 8/1/05 12,553,000 13,651,387
- ---------------------------------------------------------------------------------------------------------
Eagle-Picher Industries, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/1/08 3,600,000 3,312,000
- ---------------------------------------------------------------------------------------------------------
Grove Worldwide LLC, 9.25% Sr. Sub. Nts., 5/1/08(6) 3,275,000 2,865,625
- ---------------------------------------------------------------------------------------------------------
Grupo Mexicano de Desarrollo SA, 8.25% Unsec. Unsub. Nts.,
2/17/01(6)(14) 6,000,000 1,215,000
- ---------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 6,300,000 5,890,500
- ---------------------------------------------------------------------------------------------------------
Insilco Corp., 10.25% Sr. Sub. Nts., 8/15/07 8,650,000 8,693,250
- ---------------------------------------------------------------------------------------------------------
International Wire Group, Inc., 11.75% Sr. Sub. Nts., Series B, 6/1/05 7,835,000 8,070,050
- ---------------------------------------------------------------------------------------------------------
Mechala Group Jamaica Ltd., 12.75% Gtd. Sr. Sec. Sub. Nts.,
Series B, 12/30/99 4,870,000 3,469,875
- ---------------------------------------------------------------------------------------------------------
Moll Industries, Inc., 10.50% Sr. Sub. Nts., 7/1/08(6) 2,600,000 2,405,000
- ---------------------------------------------------------------------------------------------------------
Paragon Corp. Holdings, Inc., 9.625% Sr. Unsec. Nts., Series B, 4/1/08 1,455,000 1,040,325
</TABLE>
29 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Manufacturing (continued)
Polymer Group, Inc., 9% Sr. Sub. Nts., 7/1/07 $ 4,550,000 $ 4,368,000
- ---------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Gtd. Sr. Sub. Nts.,
Series B, 6/15/07 6,400,000 6,240,000
- ---------------------------------------------------------------------------------------------------------
Terex Corp., 8.875% Sr. Unsec. Sub. Nts., 4/1/08 2,850,000 2,671,875
- ---------------------------------------------------------------------------------------------------------
Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03(2) 5,000,000 5,025,000
------------
75,447,637
- ---------------------------------------------------------------------------------------------------------
Media/Entertainment: Broadcasting--1.1%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 2,375,000 2,327,500
- ---------------------------------------------------------------------------------------------------------
Azteca Holdings SA, 11% Sr. Sec. Nts., 6/15/02 5,730,000 4,182,900
- ---------------------------------------------------------------------------------------------------------
Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07 9,825,000 9,972,375
- ---------------------------------------------------------------------------------------------------------
CBS Radio, Inc., 11.375% Exchangeable Unsec. Sub. Debs.,
1/15/09(16) 939,600 1,075,842
- ---------------------------------------------------------------------------------------------------------
Chancellor Media Corp.:
8.125% Sr. Sub. Nts., Series B, 12/15/07 10,000,000 9,737,500
8.75% Sr. Unsec. Sub. Nts., Series B, 6/15/07 6,000,000 5,970,000
9% Sr. Sub. Nts., 10/1/08(2) 4,300,000 4,353,750
- ---------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 10,425,000 10,581,375
- ---------------------------------------------------------------------------------------------------------
Radio One, Inc., 7% Sr. Sub. Nts., Series B, 5/15/04(11) 3,000,000 2,835,000
- ---------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8.75% Sr. Sub. Nts., 12/15/07 8,275,000 8,150,875
9% Sr. Unsec. Sub. Nts., 7/15/07 14,800,000 14,800,000
10% Sr. Sub. Nts., 9/30/05 725,000 766,687
- ---------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc.:
11% Sr. Nts., 3/15/04 2,400,000 2,412,000
12.50% Sr. Nts., 6/15/02 1,000,000 1,095,000
- ---------------------------------------------------------------------------------------------------------
TV Azteca SA de CV:
10.125% Sr. Nts., Series A, 2/15/04 3,300,000 2,136,750
10.50% Sr. Nts., Series B, 2/15/07 5,150,000 3,605,000
- ---------------------------------------------------------------------------------------------------------
Young Broadcasting, Inc.:
8.75% Sr. Sub. Debs., 6/15/07 13,125,000 13,092,187
9% Sr. Sub. Nts., Series B, 1/15/06 825,000 831,187
------------
97,925,928
- ---------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video--1.8%
Adelphia Communications Corp.:
8.125% Sr. Nts., 7/15/03(6) 4,750,000 4,773,750
8.375% Sr. Nts., Series B, 2/1/08 6,800,000 6,936,000
9.25% Sr. Nts., 10/1/02 7,175,000 7,444,063
9.875% Sr. Nts., Series B, 3/1/07 2,000,000 2,160,000
10.50% Sr. Unsec. Nts., Series B, 7/15/04 6,040,000 6,644,000
- ---------------------------------------------------------------------------------------------------------
American Telecasting, Inc., 0%/14.50% Sr. Disc. Nts., 6/15/04(15) 2,559,080 652,565
</TABLE>
30 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media/Entertainment: Cable/Wireless Video (continued)
CSC Holdings, Inc.:
9.875% Sr. Sub. Debs., 2/15/13 $ 2,620,000 $ 2,882,000
9.875% Sr. Sub. Debs., 4/1/23 1,350,000 1,471,500
9.875% Sr. Sub. Nts., 5/15/06 2,215,000 2,414,350
10.50% Sr. Sub. Debs., 5/15/16 7,950,000 9,102,750
- ---------------------------------------------------------------------------------------------------------
EchoStar Communications Corp., 0%/12.875% Sr. Disc. Nts., 6/1/04(15) 2,525,000 2,461,875
- ---------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 12.50% Sr. Sec. Nts., 7/1/02 17,610,000 18,666,600
- ---------------------------------------------------------------------------------------------------------
EchoStar I, 8.25% Bonds, 2/26/01(2) 6,264,521 6,076,585
- ---------------------------------------------------------------------------------------------------------
EchoStar II, 8.25% Bonds, 11/9/01(2) 6,006,601 5,826,404
- ---------------------------------------------------------------------------------------------------------
EchoStar Satellite Broadcasting Corp.,0%/13.125% Sr. Sec
Disc. Nts., 3/15/04(15) 18,110,000 16,117,900
- ---------------------------------------------------------------------------------------------------------
Falcon Holding Group LP, 0%/9.285% Sr. Disc. Debs., 4/15/10(15) 3,625,000 2,483,125
- ---------------------------------------------------------------------------------------------------------
Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts.,
Series B, 11/1/03(5) 11,649,000 12,173,205
- ---------------------------------------------------------------------------------------------------------
Marcus Cable Operating Co. LP/Marcus Cable Capital Corp.,
0%/13.50% Gtd. Sr. Sub. Disc. Nts., Series II, 8/1/04(15) 1,900,000 1,871,500
- ---------------------------------------------------------------------------------------------------------
Optel, Inc., 13% Sr. Nts., Series B, 2/15/05 14,065,000 14,346,300
- ---------------------------------------------------------------------------------------------------------
Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs.,
12/1/07 4,350,000 4,774,125
- ---------------------------------------------------------------------------------------------------------
Rogers Communications, Inc., 8.75% Sr. Nts., 7/15/07(CAD) 20,000,000 12,185,374
- ---------------------------------------------------------------------------------------------------------
TCI Satellite Entertainment, Inc., 10.875% Sr. Sub. Nts., 2/15/07 3,160,000 2,938,800
- ---------------------------------------------------------------------------------------------------------
TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 2,900,000 3,192,743
- ---------------------------------------------------------------------------------------------------------
United International Holdings, Inc.:
0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(15) 5,395,000 2,670,525
0%/14% Sr. Disc. Nts., Series B, 5/15/06(15) 4,700,000 1,997,500
------------
152,263,539
- ---------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--1.1%
Ackerley Communications, Inc., 10.75% Sr. Sec. Nts.,
Series A, 10/1/03(2) 9,050,000 9,414,806
- ---------------------------------------------------------------------------------------------------------
Chancellor Media Corp., 10.50% Sr. Sub. Nts., Series B, 1/15/07 2,895,000 3,206,213
- ---------------------------------------------------------------------------------------------------------
GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(6) 779,362 787,086
- ---------------------------------------------------------------------------------------------------------
Hollywood Theaters, Inc., 10.625% Sr. Sub. Nts., 8/1/07 2,075,000 1,898,625
- ---------------------------------------------------------------------------------------------------------
Imax Corp., 10% Sr. Nts., 3/1/01(5) 13,780,000 14,262,300
- ---------------------------------------------------------------------------------------------------------
IPC Magazines Group plc, 9.625% Bonds, 3/15/08(2)(GBP) 10,525,000 14,756,127
- ---------------------------------------------------------------------------------------------------------
Lamar Advertising Co.:
8.625% Sr. Sub. Nts., 9/15/07 4,250,000 4,388,125
9.625% Sr. Sub. Nts., 12/1/06 8,575,000 9,132,375
- ---------------------------------------------------------------------------------------------------------
SFX Entertainment, Inc., 9.125% Sr. Unsec. Sub. Nts., Series B, 2/1/08 13,725,000 12,901,500
- ---------------------------------------------------------------------------------------------------------
Sun Media Corp., 9.50% Sr. Sub. Nts., 5/15/07 578,000 569,330
- ---------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Debs., 3/15/23 8,209,000 9,847,984
</TABLE>
31 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media/Entertainment: Diversified Media (continued)
Time Warner, Inc.:
9.125% Debs., 1/15/13 $ 2,000,000 $ 2,549,752
9.15% Debs., 2/1/23 9,000,000 11,785,203
------------
95,499,426
- ---------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--5.1%
Amazon.Com, Inc., 0%/10% Sr. Disc. Nts., 5/1/08(15) 8,720,000 5,275,600
- ---------------------------------------------------------------------------------------------------------
Call-Net Enterprises, Inc.:
0%/9.27% Sr. Disc. Nts., 8/15/07(15) 5,200,000 3,406,000
0%/13.25% Sr. Disc. Nts., 12/1/04(15) 3,670,000 3,518,613
- ---------------------------------------------------------------------------------------------------------
COLT Telecom Group plc:
0%/12% Sr. Unsec. Disc. Nts., 12/15/06(15) 3,950,000 3,061,250
7.625% Bonds, 7/31/08(DEM) 10,800,000 5,795,451
8.875% Sr. Nts., 11/30/07(DEM) 4,450,000 2,592,621
10.125% Sr. Nts., 11/30/07(GBP) 6,290,000 10,047,889
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)(15)(17) 17,325,000 13,340,250
- ---------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd.,0%/11.20% Sr. Disc. Debs.,
11/15/07(15) 6,260,000 5,101,900
- ---------------------------------------------------------------------------------------------------------
Concentric Network Corp., 12.75% Sr. Unsec. Nts., 12/15/07 4,085,000 3,860,325
- ---------------------------------------------------------------------------------------------------------
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)(6)(17) 7,500,000 6,037,500
- ---------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts.,
12/15/05(15) 27,875,000 22,300,000
- ---------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 2,050,000 1,978,250
- ---------------------------------------------------------------------------------------------------------
e.spire Communications, Inc.:
0%/10.625% Sr. Disc. Nts., 7/1/08(6)(15) 3,035,000 1,563,025
13.75% Sr. Nts., 7/15/07 4,215,000 4,573,275
- ---------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08(6) 4,255,000 3,893,325
- ---------------------------------------------------------------------------------------------------------
FaciliCom International, Inc., 10.50% Sr. Nts., Series B, 1/15/08 9,545,000 8,351,875
- ---------------------------------------------------------------------------------------------------------
Firstworld Communications, Inc., Units (each unit consists
of $1,000 principal amount of 0%/13% sr. disc. nts., 4/15/08
and one warrant to purchase 7.9002 shares of series B
common stock)(6)(15)(17) 6,140,000 1,903,400
- ---------------------------------------------------------------------------------------------------------
Focal Communications Corp., 0%/12.125% Sr. Disc. Nts., 2/15/08(15) 19,265,000 9,825,150
- ---------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.625% Sr. Nts., 5/15/08(6) 13,285,000 12,919,663
- ---------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05(2) 12,340,000 9,995,400
- ---------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts.,
12/15/05(6)(15) 1,800,000 1,566,000
- ---------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc./GST Network Funding Corp., Inc.,
0%/10.50% Sr. Disc. Nts., 5/1/08(6)(15) 4,315,000 2,092,775
- ---------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(15) 14,435,000 10,465,375
</TABLE>
32 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media/Entertainment: Telecommunications (continued)
ICG Holdings, Inc.:
0%/12.50% Sr. Sec. Disc. Nts., 5/1/06(15) $ 2,800,000 $ 2,002,000
0%/13.50% Sr. Disc. Nts., 9/15/05(15) 11,360,000 9,031,200
- ---------------------------------------------------------------------------------------------------------
ICG Services, Inc., 0%/10% Sr. Unsec. Disc. Nts., 2/15/08(15) 2,060,000 1,040,300
- ---------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
8.50% Sr. Nts., Series B, 1/15/08 13,675,000 13,572,438
8.60% Sr. Unsec. Nts., Series B, 6/1/08 15,700,000 15,660,750
8.875% Sr. Nts., 11/1/07 7,815,000 7,893,150
- ---------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc.,0%/12.50% Sr. Unsec. Disc. Nts.,
2/15/08(15) 23,200,000 10,788,000
- ---------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc., 9.125% Sr. Unsec. Nts., 5/1/08 16,640,000 15,724,800
- ---------------------------------------------------------------------------------------------------------
Long Distance International, Inc., Units (each unit consists of
$1,000 principal amount of 12.25% sr. nts., 4/15/08 and one
warrant to purchase 15.0875 shares of common stock)(6)(17) 4,160,000 3,640,000
- ---------------------------------------------------------------------------------------------------------
McLeodUSA, Inc.:
0%/10.50% Sr. Disc. Nts., 3/1/07(15) 2,710,000 1,978,300
9.25% Sr. Nts., 7/15/07 1,725,000 1,768,125
- ---------------------------------------------------------------------------------------------------------
Netia Holdings BV:
0%/11% Sr. Disc. Nts., 11/1/07(15)(DEM) 13,850,000 3,749,729
0%/11% Sr. Disc. Nts., Series B, 11/1/07(15)(DEM) 9,750,000 2,639,701
0%/11.25% Sr. Disc. Nts., Series B, 11/1/07(15) 4,900,000 2,192,750
10.25% Sr. Nts., Series B, 11/1/07 2,425,000 1,849,063
- ---------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc.:
0%/9.45% Sr. Disc. Unsec. Nts., 4/15/08(15) 9,000,000 5,175,000
9% Sr. Nts., 3/15/08 4,650,000 4,417,500
9.625% Sr. Nts., 10/1/07 15,130,000 14,751,750
- ---------------------------------------------------------------------------------------------------------
NorthEast Optic Network, Inc., 12.75% Sr. Nts., 8/15/08 3,800,000 3,553,000
- ---------------------------------------------------------------------------------------------------------
NTL, Inc.:
0%/9.75% Sr. Nts., 4/1/08(6)(15) 6,600,000 4,026,000
0%/10.75% Sr. Unsec. Unsub. Nts., Series REGS, 4/1/08(15)(GBP) 13,525,000 11,147,445
0%/10.875% Sr. Deferred Coupon Nts., 10/15/03(15) 900,000 927,963
10% Sr. Nts., Series B, 2/15/07 7,725,000 7,840,875
- ---------------------------------------------------------------------------------------------------------
Onepoint Communications Corp., Units (each unit consists of
$1,000 principal amount of 14.50% sr. nts., 6/1/08 and one warrant
to purchase one share of common stock at $.01 per share)(6)(17) 12,550,000 9,224,250
- ---------------------------------------------------------------------------------------------------------
Petersburg Long Distance, Inc.,9% Cv. Sub. Nts., 6/1/06(6) 1,500,000 408,750
- ---------------------------------------------------------------------------------------------------------
PLD Telekom, Inc., Units (each unit consists of $1,000 principal
amount 0%/14% sr. disc. nts., 6/1/04 and one warrant to
purchase 34 shares of common stock)(6)(15)(17) 16,650,000 14,069,250
- ---------------------------------------------------------------------------------------------------------
PSINet, Inc., 10% Sr. Unsec. Nts., Series B, 2/15/05 31,010,000 31,242,575
- ---------------------------------------------------------------------------------------------------------
PTC International Finance BV, 0%/10.75% Gtd. Sr. Unsec
Sub. Bonds, 7/1/07(15) 6,532,000 4,017,180
- ---------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc.:
0%/8.29% Sr. Unsec. Disc. Nts., Series B, 2/1/08(15) 18,355,000 13,766,250
0%/9.47% Sr. Disc. Nts., 10/15/07(15) 15,400,000 11,935,000
</TABLE>
33 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media/Entertainment: Telecommunications (continued)
RSL Communications plc:
0%/10% Bonds, 3/15/08(15)(DEM) 18,875,000 $ 5,279,590
0%/10.125% Sr. Disc. Nts., 3/1/08(15) 9,640,000 4,964,600
- ---------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27(CAD) 14,580,000 9,785,232
- ---------------------------------------------------------------------------------------------------------
Telefonica de Argentina SA, 11.875% Unsec. Nts., 11/1/04 300,000 294,750
- ---------------------------------------------------------------------------------------------------------
TeleWest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(15) 10,975,000 9,054,375
- ---------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 4,000,000 4,040,000
- ---------------------------------------------------------------------------------------------------------
US Xchange LLC, 15% Sr. Nts., 7/1/08(6) 4,465,000 4,286,400
- ---------------------------------------------------------------------------------------------------------
Verio, Inc.:
10.375% Sr. Unsec. Nts., 4/1/05 7,615,000 7,576,925
13.50% Sr. Unsec. Nts., 6/15/04 1,960,000 2,185,400
- ---------------------------------------------------------------------------------------------------------
Viatel, Inc., 11.25% Sr. Nts., 4/15/08(6) 11,500,000 10,350,000
------------
441,315,278
- ---------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--3.2%
Arch Communications, Inc., 12.75% Sr. Nts., 7/1/07(6) 2,125,000 2,114,375
- ---------------------------------------------------------------------------------------------------------
Celcaribe SA, 13.50% Sr. Sec. Nts., 3/15/04 12,750,000 13,068,750
- ---------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc.,
0%/14% Sr. Disc. Nts., 10/1/07(15) 26,723,000 10,689,200
- ---------------------------------------------------------------------------------------------------------
Cellular Communications International, Inc.:
0%/9.50% Bonds, 4/1/05(15)(XEU) 30,825,000 26,315,441
6% Cv. Sub. Nts., 4/1/05(6) 2,200,000 3,374,250
- ---------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(15) 3,895,000 3,252,325
- ---------------------------------------------------------------------------------------------------------
Comunicacion Celular SA, 0%/13.125% Sr. Deferred Coupon
Bonds, 11/15/03(15) 16,359,000 11,124,120
- ---------------------------------------------------------------------------------------------------------
Crown Castle International Corp., 0%/10.625% Sr. Unsec. Disc
Nts., 11/15/07(15) 13,410,000 8,113,050
- ---------------------------------------------------------------------------------------------------------
CTI Holdings SA, 0%/11.50% Sr. Deferred Coupon Nts., 4/15/08(6)(15) 8,600,000 3,354,000
- ---------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 11.75% Sr. Nts., 4/15/07 800,000 812,000
- ---------------------------------------------------------------------------------------------------------
Geotek Communications, Inc.:
0%/15% Sr. Sec. Disc. Nts., Series B, 7/15/05(14)(15) 6,475,000 679,875
12% Cv. Sr. Sub. Nts., 2/15/01(14) 625,000 3,906
- ---------------------------------------------------------------------------------------------------------
ICO Global Communications (Holdings) Ltd., Units (each unit
consists of $1,000 principal amount of 15% sr. nts., 8/1/05 and
one warrant to purchase 19.85 shares of common stock)(17) 4,600,000 3,588,000
- ---------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 7,470,000 6,984,450
- ---------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/11.125% Sr. Disc. Nts.,
Series B, 10/15/07(15)(CAD) 11,545,000 3,983,508
- ---------------------------------------------------------------------------------------------------------
Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(15) 3,965,000 2,517,775
- ---------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
0%/9.75% Sr. Disc. Nts., 10/31/07(15) 23,675,000 14,323,375
0%/9.95% Sr. Disc. Nts., 2/15/08(15) 14,150,000 8,383,875
0%/10.65% Sr. Disc. Nts., 9/15/07(15) 25,825,000 16,398,875
</TABLE>
34 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Media/Entertainment: Wireless Communications (continued)
Omnipoint Corp.:
11.625% Sr. Nts., 8/15/06 $ 9,940,000 $ 6,908,300
11.625% Sr. Nts., Series A, 8/15/06 12,110,000 8,416,450
- ---------------------------------------------------------------------------------------------------------
Orange plc, 8% Sr. Nts., 8/1/08 13,200,000 12,870,000
- ---------------------------------------------------------------------------------------------------------
ORBCOMM Global LP/ORBCOMM Capital Corp., 14% Sr. Nts.,
8/15/04 17,730,000 15,691,050
- ---------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(15) 11,975,000 7,963,375
- ---------------------------------------------------------------------------------------------------------
Pinnacle Holdings, Inc., 0%/10% Sr. Unsec. Disc. Nts., 3/15/08(15) 10,985,000 5,876,975
- ---------------------------------------------------------------------------------------------------------
Price Communications Cellular Holdings, Inc., 11.25% Sr. Nts.,
8/15/08(16) 3,350,000 3,098,750
- ---------------------------------------------------------------------------------------------------------
Price Communications Wireless, Inc.:
9.125% Sr. Sec. Nts., 12/15/06(6) 13,350,000 13,083,000
11.75% Sr. Sub. Nts., 7/15/07 10,240,000 10,752,000
- ---------------------------------------------------------------------------------------------------------
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 common shares)(6)(15)(17) 18,540,000 8,435,700
- ---------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 9,550,000 9,168,000
- ---------------------------------------------------------------------------------------------------------
Satelites Mexicanos SA, 10.125% Sr. Nts., 11/1/04(6) 4,875,000 3,424,688
- ---------------------------------------------------------------------------------------------------------
SBA Communications Corp., 0%/12% Sr. Disc. Nts., 3/1/08(15) 28,875,000 15,159,375
- ---------------------------------------------------------------------------------------------------------
Spectrasite Holdings, Inc., 0%/12% Sr. Disc. Nts., 7/15/08(6)(15) 10,410,000 4,944,750
- ---------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 0%/12.50%
Sr. Disc. Nts., 8/15/06(15) 610,000 515,450
- ---------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc. II:
9.50% Sr. Nts., 2/1/04 6,520,000 5,965,800
14% Sr. Nts., 11/1/04 9,965,000 10,612,725
------------
281,967,538
- ---------------------------------------------------------------------------------------------------------
Metals/Minerals--0.8%
AK Steel Corp., 9.125% Sr. Nts., 12/15/06 19,110,000 19,253,325
- ---------------------------------------------------------------------------------------------------------
Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 10,550,000 8,492,750
- ---------------------------------------------------------------------------------------------------------
Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 3,495,000 3,757,125
- ---------------------------------------------------------------------------------------------------------
Centaur Mining & Exploration Ltd., 11% Sr. Nts., 12/1/07 7,025,000 6,076,625
- ---------------------------------------------------------------------------------------------------------
Great Lakes Carbon Corp., 10.25% Sr. Sub. Nts., 5/15/08(6) 7,250,000 6,960,000
- ---------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 2,000,000 1,780,000
- ---------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 5,700,000 5,158,500
- ---------------------------------------------------------------------------------------------------------
Metallurg Holdings, Inc., 0%/12.75% Sr. Disc. Nts., 7/15/08(6)(15) 18,300,000 6,496,500
- ---------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 10,845,000 10,356,975
------------
68,331,800
- ---------------------------------------------------------------------------------------------------------
Retail--0.4%
Boyds Collection Ltd., 9% Sr. Sub. Nts., 5/15/08(6) 7,100,000 6,816,000
- ---------------------------------------------------------------------------------------------------------
Central Termica Guemes, 12% Bonds, 11/26/01(6) 6,025,000 3,840,938
</TABLE>
35 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Retail (continued)
Eye Care Centers of America, Inc.:
9.125% Sr. Sub. Nts., 5/1/08(6) $ 6,670,000 $ 5,836,250
12% Sr. Nts., 10/1/03 6,600,000 7,029,000
- ---------------------------------------------------------------------------------------------------------
Finlay Enterprises, Inc., 9% Debs., 5/1/08 2,500,000 2,262,500
- ---------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 3,125,000 2,890,625
- ---------------------------------------------------------------------------------------------------------
Home Interiors & Gifts, Inc., 10.125% Sr. Sub. Nts., 6/1/08(6) 5,850,000 5,513,625
- ---------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,363,750
------------
37,552,688
- ---------------------------------------------------------------------------------------------------------
Service--0.6%
Allied Waste North America, Inc., 10.25% Sr. Sub. Nts., 12/1/06 3,435,000 3,761,325
- ---------------------------------------------------------------------------------------------------------
Borg-Warner Security Corp.,9.625% Sr. Sub. Nts., 3/15/07 1,450,000 1,602,250
- ---------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(15) 6,650,000 4,854,500
- ---------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2,920,000 2,876,200
- ---------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc., 9% Sr. Unsec. Sub. Nts., 2/1/08 10,460,000 10,041,600
- ---------------------------------------------------------------------------------------------------------
Great Lakes Dredge & Dock Corp., 11.25% Sr. Sub. Nts., 8/15/08(6) 5,900,000 5,811,500
- ---------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 4,630,000 4,467,950
- ---------------------------------------------------------------------------------------------------------
Protection One Alarm Monitoring, Inc.:
6.75% Cv. Sr. Sub. Nts., 9/15/03 11,090,000 12,476,250
13.625% Sr. Sub. Disc. Nts., 6/30/05 3,155,000 3,612,475
- ---------------------------------------------------------------------------------------------------------
United Stationers Supply Co., 12.75% Sr. Sub. Nts., 5/1/05 3,304,000 3,700,480
------------
53,204,530
- ---------------------------------------------------------------------------------------------------------
Transportation--1.7%
Aftermarket Technology Corp., 12% Sr. Sub. Nts., Series B, 8/1/04 3,700,000 3,945,125
- ---------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 4,775,000 4,416,875
- ---------------------------------------------------------------------------------------------------------
Chrysler Financial Corp., 13.25% Nts., 10/15/99 4,500,000 4,846,941
- ---------------------------------------------------------------------------------------------------------
Coach USA, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 6,695,000 6,661,525
- ---------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 11.50% Sr. Unsec. Sub. Nts., 4/15/06 11,500,000 12,075,000
- ---------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.875% Nts., 7/1/10 6,500,000 6,378,658
- ---------------------------------------------------------------------------------------------------------
Hayes Wheels International, Inc.:
9.125% Sr. Sub. Nts., 7/15/07 6,550,000 6,615,500
11% Sr. Sub. Nts., 7/15/06 6,690,000 7,367,363
- ---------------------------------------------------------------------------------------------------------
HDA Parts System, Inc., 12% Sr. Sub. Nts., 8/1/05(6) 3,650,000 3,321,500
- ---------------------------------------------------------------------------------------------------------
Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07 4,335,000 4,161,600
- ---------------------------------------------------------------------------------------------------------
Lear Corp., 9.50% Sub. Nts., 7/15/06 2,825,000 3,036,875
- ---------------------------------------------------------------------------------------------------------
Millennium Seacarriers, Inc., Units (each unit consists of $1,000
principal amount of 12% priority ship mtg. nts., 7/15/05 and
warrants to purchase 5 shares of common stock)(6)(17) 5,800,000 5,249,000
- ---------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc:
10.50% First Priority Ship Mtg. Nts., 6/30/07(6) 13,175,000 12,516,250
Units (each unit consists of $1,000 principal amount of 12%
second priority ship mtg. nts., 6/30/07 and 7.66 warrants)(6)(17) 11,325,000 11,891,250
</TABLE>
36 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Transportation (continued)
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., 6/15/07 $ 14,250,000 $ 13,893,750
- ---------------------------------------------------------------------------------------------------------
Pycsa Panama SA, 10.28% Sr. Sec. Bonds, 12/15/12(6) 8,755,000 7,244,763
- ---------------------------------------------------------------------------------------------------------
TFM SA de CV, 10.25% Sr. Nts., 6/15/07 5,225,000 4,349,813
- ---------------------------------------------------------------------------------------------------------
Transtar Holdings LP/Transtar Capital Corp.,
0%/13.375% Sr. Disc. Nts., Series B, 12/15/03(15) 27,791,000 24,317,125
- ---------------------------------------------------------------------------------------------------------
Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(2) 11,918,779 6,585,126
--------------
148,874,039
- ---------------------------------------------------------------------------------------------------------
Utility--0.6%
Beaver Valley II Funding Corp., 9% Second Lease Obligation
Bonds, 6/1/17 956,000 1,080,280
- ---------------------------------------------------------------------------------------------------------
C.A. La Electricidad de Caracas, 6.312% Exchange Eurobonds,
9/30/03(2)(5) 3,000,227 1,672,627
- ---------------------------------------------------------------------------------------------------------
California Energy, Inc., 10.25% Sr. Disc. Nts., 1/15/04 16,665,000 17,706,563
- ---------------------------------------------------------------------------------------------------------
Calpine Corp.:
8.75% Sr. Nts., 7/15/07 4,000,000 4,100,000
10.50% Sr. Nts., 5/15/06 910,000 978,250
- ---------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 9,300,000 10,729,875
- ---------------------------------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 0%/8.50% Sr. Unsec. Nts.,
Series H, 7/1/10(15) 8,000,000 5,749,304
- ---------------------------------------------------------------------------------------------------------
Subic Power Corp.:
9.50% Sr. Sec. Nts., 12/28/08 5,879,927 4,927,785
9.50% Sr. Sec. Nts., 12/28/08(6) 5,027,689 4,213,551
--------------
51,158,235
--------------
Total Corporate Bonds and Notes (Cost $3,487,233,225) 3,281,777,328
Shares
=========================================================================================================
Preferred Stocks--2.5%
- ---------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.(16) 124,233 3,074,767
- ---------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Gtd. Bonds, 12/31/26 10,050,000 10,577,625
- ---------------------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A(2)(16)(22) 130,000 3,250,000
- ---------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 7% Cum. Cv.(6) 146,175 2,375,344
- ---------------------------------------------------------------------------------------------------------
Clark USA, Inc., 11.50% Cum. Exchangeable(16) 5,091 4,390,987
- ---------------------------------------------------------------------------------------------------------
Concentric Network Corp., 13.50% Preferred, Series B(16) 7,140 6,301,050
- ---------------------------------------------------------------------------------------------------------
CRIIMI MAE, Inc., 10.875% Cum. Cv., Series B, Non-Vtg 278,000 6,845,750
- ---------------------------------------------------------------------------------------------------------
Crown American Realty Trust, 11% Cum., Series A, Non-Vtg 49,500 2,447,156
- ---------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
8.50% Cum. Cv., Series I, Non-Vtg 36,500 2,409,000
11.125% Cum., Series M(16) 66,711 7,338,210
- ---------------------------------------------------------------------------------------------------------
Doane Products Co., 14.25% Exchangeable, Non-Vtg.(2)(18) 255,000 9,913,125
- ---------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 12.25% Sr. Exchangeable 7,417 6,693,842
- ---------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable
Preferred Stock(2) 9,359 7,697,777
</TABLE>
37 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Preferred Stocks (continued)
Eagle-Picher Holdings, Inc., Cum. Exchangeable, Series B, 3/1/08,
Non-Vtg.(2)(18) 39,000 $ 2,115,750
- ---------------------------------------------------------------------------------------------------------
Earthwatch, Inc., 12% Cum. Cv., Series C, Non-Vtg.(6)(16) 600,000 1,200,000
- ---------------------------------------------------------------------------------------------------------
EchoStar Communications Corp., 12.125% Sr. Redeemable
Exchangeable, Series B, Non-Vtg.(16) 6,980 6,770,600
- ---------------------------------------------------------------------------------------------------------
El Paso Electric Co., 11.40% Cum., Series A, Non-Vtg.(16) 118,745 12,883,832
- ---------------------------------------------------------------------------------------------------------
Fidelity Federal Bank FSB Glendale California, l2% Non-Cum
Exchangeable Perpetual Preferred Stock, Series A 20 515
- ---------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 9% Trust Preferred Nts.,
12/1/06 4,580,000 4,568,550
- ---------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable(16) 5,324 6,135,910
- ---------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
13.50% Exchangeable, Series B(16) 5,134 5,750,080
Depositary Shares Representing one one-hundredth 7% Cum
Cv. Jr. Preferred Stock, Series E, Non-Vtg.(6) 116,450 2,809,356
- ---------------------------------------------------------------------------------------------------------
International Utility Structures, Inc.:
13% Preferred(2)(16) 70 74,375
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)(2)(16)(17) 1,090 1,095,450
- ---------------------------------------------------------------------------------------------------------
Kelley Oil & Gas Corp., $2.625 Cv.(22) 159,100 2,545,600
- ---------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Cum. Exchangeable(16) 84,432 5,509,188
- ---------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 11.125% Exchangeable, Series E(16) 3,230 2,915,075
- ---------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc., 14% Cum. Exchangeable, Vtg.(16) 219,162 11,560,795
- ---------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 13.25% Cum. Jr. Exchangeable,
Non-Vtg.(6)(16) 830 7,075,750
- ---------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc.:
8.625% Exchangeable 165,600 15,111,000
9.20% Exchangeable, Series F 46,400 4,466,000
- ---------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Sr. Exchangeable(2)(16) 11,225 10,186,688
- ---------------------------------------------------------------------------------------------------------
SD Warren Co., 14% Cum. Exchangeable, Series B, Non-Vtg.(18) 272,270 12,966,859
- ---------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 13.75% Cum. Nts., Series B, 3/15/09,
Non-Vtg.(2)(16) 300 2,167,500
- ---------------------------------------------------------------------------------------------------------
SFX Broadcasting, Inc./Capstar Broadcasting Corp., 12.625%
Cum., Series E, Non-Vtg.(16) 12,330 1,445,693
- ---------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 14.25% Cum. Exchangeable,
Non-Vtg.(2)(16) 6,051 5,945,108
- ---------------------------------------------------------------------------------------------------------
Unisys Corp., $3.75 Cv., Series A 80,000 3,790,000
- ---------------------------------------------------------------------------------------------------------
Viatel, Inc., 10% Cv., Series A(2)(16) 5,704 285,200
- ---------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.:
9.16% Cv., Series B(22) 280,000 7,560,000
9.20% Preferred(22) 387,400 9,079,688
------------
Total Preferred Stocks (Cost $241,989,613) 219,329,195
</TABLE>
38 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Shares See Note 1
=========================================================================================================
<S> <C> <C>
Common Stocks--0.4%
- ---------------------------------------------------------------------------------------------------------
Celcaribe SA(6)(18) 1,658,520 $ 6,841,395
- ---------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc.(18) 33,200 199,200
- ---------------------------------------------------------------------------------------------------------
Coinstar, Inc.(18) 46,550 288,028
- ---------------------------------------------------------------------------------------------------------
ECM Fund, L.P. I.(2) 525 464,625
- ---------------------------------------------------------------------------------------------------------
El Paso Electric Co.(18) 500,506 4,848,652
- ---------------------------------------------------------------------------------------------------------
Equitable Bag, Inc.(2)(18) 68,985 103,477
- ---------------------------------------------------------------------------------------------------------
Golden State Bancorp, Inc.(18) 48,080 958,595
- ---------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc.(18) 146,400 915,000
- ---------------------------------------------------------------------------------------------------------
Horizon Group Properties, Inc.(18) 19,435 46,158
- ---------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.(18) 4,272 104,931
- ---------------------------------------------------------------------------------------------------------
Ladish Co., Inc.(18) 134,333 1,183,810
- ---------------------------------------------------------------------------------------------------------
MCI WorldCom, Inc.(18) 172,137 8,413,196
- ---------------------------------------------------------------------------------------------------------
Omnipoint Corp.(18) 640,625 4,764,648
- ---------------------------------------------------------------------------------------------------------
Optel, Inc.(18) 11,560 116
- ---------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., Cl. C(18) 15,300 30,600
- ---------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc.(18)(22) 394,283 985,707
- ---------------------------------------------------------------------------------------------------------
Vail Resorts, Inc.(18) 170,000 3,389,375
- ---------------------------------------------------------------------------------------------------------
Walter Industries, Inc.(18) 119,583 1,487,314
------------
Total Common Stocks (Cost $28,100,424) 35,024,827
Units
=========================================================================================================
Rights, Warrants and Certificates--0.1%
- ---------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts.:
Exp. 6/99(2) 119,070 1,191
Exp. 8/00(2) 8,000 80
- ---------------------------------------------------------------------------------------------------------
Ames Department Stores, Inc., Litigation Trust(2) 118,975 1,190
- ---------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd./ Australia Media Ltd. Wts., Exp. 5/00(2) 780 5
- ---------------------------------------------------------------------------------------------------------
Becker Gaming, Inc. Wts., Exp. 11/00(2) 262,500 65,625
- ---------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc. Wts., Exp. 2/99 74,086 --
- ---------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc. Wts., Exp. 10/07(6) 19,573 66,059
- ---------------------------------------------------------------------------------------------------------
Central Bank of Nigeria Wts., Exp. 11/20 10,750 --
- ---------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49(2)(22) 130,000 52,000
- ---------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc. Wts., Exp. 9/05 7,425 17,292
- ---------------------------------------------------------------------------------------------------------
Comunicacion Celular SA Wts., Exp. 11/03 8,109 528,099
- ---------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/07(2) 4,650 418,500
- ---------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. Wts., Exp. 3/08(2) 23,300 233,000
- ---------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/05 5,225 277,437
- ---------------------------------------------------------------------------------------------------------
Foamex LP/JPS Automotive Corp. Wts., Exp. 7/99(2) 7,250 145,000
- ---------------------------------------------------------------------------------------------------------
Geotek Communications, Inc. Wts., Exp. 7/05(2) 690,000 6,900
- ---------------------------------------------------------------------------------------------------------
Globix Corp. Wts., Exp. 5/05 12,340 123,400
- ---------------------------------------------------------------------------------------------------------
Golden State Bancorp, Inc. Wts., Exp. 1/01 48,080 202,837
</TABLE>
39 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
Units See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Rights, Warrants and Certificates (continued)
Gothic Energy Corp. Wts.:
Exp. 1/03(6) 192,993 $ 1,930
Exp. 9/04(2) 189,000 212,625
Exp. 5/05(2) 146,363 169,782
- ---------------------------------------------------------------------------------------------------------
Grand Union Co. Wts., Exp. 8/03 11,563 33,244
- ---------------------------------------------------------------------------------------------------------
Hyperion Telecommunications, Inc. Wts., Exp. 4/01 1,035 93,279
- ---------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/05(2) 46,860 527,105
- ---------------------------------------------------------------------------------------------------------
IHF Capital, Inc.:
Series I Wts., Exp. 11/99(2) 5,400 729
Wts., Exp. 11/99(2) 1,750 236
- ---------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 13,050 --
- ---------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc. Wts., Exp. 4/08(6) 23,200 118,900
- ---------------------------------------------------------------------------------------------------------
Mexican Value Rts., Exp. 6/03 25,048,650 --
- ---------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. Wts., Exp. 6/06(2) 29,300 531,062
- ---------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA Wts., Exp. 3/04(2) 21,600 348,300
- ---------------------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00(2) 102,500 762,344
- ---------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc. Wts., Exp. 1/07(2) 6,250 88,281
- ---------------------------------------------------------------------------------------------------------
Price Communications Corp. Wts., Exp. 8/07(2) 60,389 1,087,002
- ---------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts.:
Exp. 11/03(2) 182,000 2,275,000
Exp. 6/05(2) 13,440 134,400
- ---------------------------------------------------------------------------------------------------------
Rocky Mountain Internet, Inc. Wts., Exp. 7/03(2) 55,000 467,500
- ---------------------------------------------------------------------------------------------------------
Stroh Brewery Co. Wts., Exp. 7/06(2) 20,249 202
- ---------------------------------------------------------------------------------------------------------
United International Holdings, Inc. Wts., Exp. 11/99(2) 20,345 104,268
- ---------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc. Wts., Exp. 1/02(2)(22) 196,400 220,950
- ---------------------------------------------------------------------------------------------------------
WAM!NET, Inc. Wts., Exp. 3/05(2) 50,685 405,480
------------
Total Rights, Warrants and Certificates (Cost $7,094,976) 9,721,234
<CAPTION>
Face
Amount(1)
=========================================================================================================
Structured Instruments--7.8%
- ---------------------------------------------------------------------------------------------------------
AIG International, Inc., Commodity Index Total Return
Linked Nts., 5.50%, 9/15/99(19) $ 2,000,000 2,405,973
- ---------------------------------------------------------------------------------------------------------
Bank of America NT & SA (London Branch), Goldman Sachs
Commodity Index Excess Return Linked Nts., 5.50%, 1/5/00(20) 1,000,000 843,300
- ---------------------------------------------------------------------------------------------------------
Bankers Trust/Bear Stearns High Yield Composite Index
Linked Nts.:
8.55%, 5/4/99 11,000,000 10,307,770
8.55%, 5/4/99 19,000,000 17,802,050
- ---------------------------------------------------------------------------------------------------------
Bankers Trust/Lehman High Yield Composite Index Linked Nts.,
8.55%, 4/5/99 30,000,000 28,173,900
- ---------------------------------------------------------------------------------------------------------
Bayerische Landesbank Girozentrale (New York Branch)
Lehman High Yield Index Nts., 8.50%, 3/8/99 44,500,000 41,456,200
</TABLE>
40 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C>
Structured Instruments (continued)
Bear Stearns High Yield Composite Index Linked Nts.:
8.50%, 10/9/98(2) $ 7,500,000 $ 6,973,500
8.50%, 4/9/99 30,000,000 27,846,900
9%, 10/13/98 22,700,000 20,807,728
9%, 2/16/99(2) 23,500,000 21,630,105
9%, 2/5/99 28,500,000 26,270,445
- ---------------------------------------------------------------------------------------------------------
Business Development Bank Canada Linked Nts., 4.86%, 6/30/99 1,000,000 934,200
- ---------------------------------------------------------------------------------------------------------
Business Development Bank Canada, Goldman Sachs
Commodity Index Excess Return Linked Nts.:
5.45%, 1/24/00(20) 10,000,000 9,342,000
5.45%, 1/24/00(20) 8,000,000 7,432,800
- ---------------------------------------------------------------------------------------------------------
Chase Manhattan Bank USA, National Assn., Chase Physical
Commodity Index Linked Deposit Nts., 5.40%, 8/30/99(21) 1,500,000 1,843,800
- ---------------------------------------------------------------------------------------------------------
Citibank (New York), Turkish Lira Linked Nts., 80.20%, 10/21/98 9,500,000 9,385,050
- ---------------------------------------------------------------------------------------------------------
Citibank, Turkish Lira Sr. Linked Nts., 75.90%, 10/28/98 14,400,000 14,346,720
- ---------------------------------------------------------------------------------------------------------
Commerzbank International SA, Morgan Stanley Group, Inc.
Natural Gas Futures Linked Nts., 4.913%, 5/22/99(5) 1,000,000 1,020,300
- ---------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (New York Branch), Russian OFZ
Linked Nts., 15%, 2/23/00(2)(RUR) 273,777,000 6,668,001
- ---------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Russian Federal Loan Floating Rate
Linked Nts.:
18.598%, 10/25/00(2) 9,630,000 96,300
18.339%, 2/23/00(2) 9,630,000 96,300
- ---------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Russian OFZ Linked Nts., 14%,
9/27/00(2)(RUR) 124,216,000 1,550,271
- ---------------------------------------------------------------------------------------------------------
Goldman Sachs Group LP, High Yield Index Nts., 8%, 3/4/99 25,000,000 22,625,000
- ---------------------------------------------------------------------------------------------------------
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, 5.222%, 4/1/00 and an
interest rate swap between Goldman Sachs and the Trust](2) 7,213,043 6,455,674
- ---------------------------------------------------------------------------------------------------------
J.P. Morgan & Co., 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, 5.646%, 9/1/02](2) 6,000,000 4,260,000
The Emerging Markets Bond Index Linked Nts., 9.50%, 7/16/99 96,550,000 76,030,904
Turkish Lira Linked Nts., 84%, 10/2/98(12) 18,460,000 18,461,754
- ---------------------------------------------------------------------------------------------------------
Korea Development Bank, Industrial Bank Finance Linked Nts.,
Zero Coupon, 3/5/99(2) 18,030,000 18,057,045
- ---------------------------------------------------------------------------------------------------------
Lehman Brothers Holdings, Inc.:
Chilean Peso/Japanese Yen Linked Nts., 18.25%, 10/28/98 21,075,000 19,361,940
Greek Drachma/European Currency Unit Linked Nts.,
Zero Coupon, 3/26/99 10,500,000 11,233,950
Greek Drachma/Swiss Franc Linked Nts., Zero Coupon, 3/31/99 6,740,000 7,302,116
</TABLE>
41 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (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)(2)(17) $ 10,000,000 $ 11,567,000
- ---------------------------------------------------------------------------------------------------------
Morgan Guaranty Trust Co. of New York (Nassau Branch) Turkish
Lira Currency Linked Certificate of Deposit, 71.10%, 10/13/98 9,635,000 9,587,422
- ---------------------------------------------------------------------------------------------------------
Morgan Guaranty Trust Co. of New York,The Emerging Markets
Bond Index Linked Nts., 9.50%, 8/10/99(12) 48,200,000 39,875,041
- ---------------------------------------------------------------------------------------------------------
Salomon Smith Barney, Inc.:
Brazil C Total Return Linked Nts., 10.137%, 12/8/98(5) 32,611,709 33,997,707
Brazil Credit Linked Nts., 6%, 4/2/03 23,733,000 11,391,840
United Mexican States 2016 Linked Nts., 15.081%, 12/16/98 26,354,864 30,168,414
United Mexican States 2026 Linked Nts., 16.126%, 12/16/98 10,632,108 11,789,413
- ---------------------------------------------------------------------------------------------------------
Shoshone Partners Loan Trust Sr. Nts., 7.437%, 4/28/02
(representing a basket of reference loans and a total return
swap between Chase Manhattan Bank and the Trust)(2)(5) 39,790,000 38,376,219
- ---------------------------------------------------------------------------------------------------------
Standaod Chartered Bank, Philippines Peso/Japanese Yen
Linked Nts.:
20.25%, 11/9/98 9,680,000 8,939,480
22.20%, 10/13/98 3,332,000 3,071,771
22.25%, 10/13/98 2,175,000 2,011,657
22.70%, 10/21/98 4,165,000 3,848,044
22.83%, 1/19/99 9,658,000 8,901,779
- ---------------------------------------------------------------------------------------------------------
Standard Chartered Bank, Thai Baht/Japanese Yen Linked Nts.,
24.18%, 11/4/98 19,280,000 18,959,952
------------
Total Structured Instruments (Cost $778,999,559) 673,507,735
</TABLE>
<TABLE>
<CAPTION>
Date Strike Contracts
=========================================================================================================
<S> <C> <C> <C> <C>
Call Options Purchased--0.1%
- ---------------------------------------------------------------------------------------------------------
German Mark/Swiss Franc Call Opt 10/98 .84(DEM/CHF) 34,760,000 14,495
- ---------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 6.125%,
11/15/27 Call Opt 11/98 107.04% 96,825 7,655,226
------------
Total Call Options Purchased (Cost $1,207,407) 7,669,721
=========================================================================================================
Put Options Purchased--0.0%
- ---------------------------------------------------------------------------------------------------------
Japanese Yen Put Opt 12/98 135.33(JPY) 17,032,000,000 3,917,360
- ---------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds, 6.125%,
11/15/27 Put Opt 11/98 98% 96,825 --
------------
Total Put Options Purchased (Cost $4,334,517) 3,917,360
</TABLE>
42 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
Repurchase Agreements--1.1%
Repurchase agreement with J.P. Morgan Securities, Inc.,
5.40%, dated 9/30/98, to be repurchased at
$96,864,527 on 10/1/98, collateralized by
U.S. Treasury Bonds, 6.25%--10.625%,
8/15/15--8/15/25, with a value of $92,032,490, and
U.S. Treasury Nts., 5.625%, 5/15/08, with a value of
$7,695,759 (Cost $96,850,000) $ 96,850,000 $ 96,850,000
- ---------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $9,140,329,263) 100.7% 8,711,705,231
- ---------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (0.7) (62,691,426)
------------ --------------
Net Assets 100.0% $8,649,013,805
============ ==============
</TABLE>
1. Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP -- Argentine Peso HUF -- Hungarian Forint
CAD -- Canadian Dollar IDR -- Indonesian Rupiah
CHF -- Swiss Franc ITL -- Italian Lira
DEM -- German Mark JPY -- Japanese Yen
DKK -- Danish Krone NOK -- Norwegian Krone
ESP -- Spanish Peseta NZD -- New Zealand Dollar
FIM -- Finnish Markka RUR -- Russian Ruble
FRF -- French Franc TRL -- Turkish Lira
GBP -- British Pound Sterling XEU -- European Currency Units
GRD -- Greek Drachma
2. Identifies issues considered to be illiquid or restricted -- See Note 8 of
Notes to Financial Statements.
3. 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.
4. 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.
5. Represents the current interest rate for a variable rate security.
6. 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 $433,777,611 or 5.02% of the Fund's net
assets as of September 30, 1998.
7. A sufficient amount of securities has been designated to cover outstanding
forward foreign currency exchange contracts. See Note 5 of Notes to Financial
Statements.
8. Securities with an aggregate market value of $46,936,687 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
9. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
43 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Investments (Continued)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
10. A sufficient amount of liquid assets has been designated to cover
outstanding written options, as follows:
<TABLE>
<CAPTION>
Face Expiration Exercise Premium Market Value
Subject to Put Date Price Received See Note 1
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Morgan Guaranty
Trust Co. of New York,
The Emerging Markets
Bond Index Linked Nts.,
9.50%, 8/10/99 Put Option $51,200,000 11/5/98 152.360% $ 1,472,600 $ 8,140,595
- ----------------------------------------------------------------------------------------------
Russia (Government of)
Principal Loan Debs.,
Series 24 yr., 6.625%,
12/15/20 Put Option 28,900,000 11/9/98 27.500 1,300,500 6,197,605
- ----------------------------------------------------------------------------------------------
Russia (Government of)
Principal Loan Debs.,
Series 24 yr., 6.625%,
12/15/20 Put Option 28,900,000 11/10/98 28.625 1,618,400 6,485,160
- ----------------------------------------------------------------------------------------------
U.S. Treasury Bonds,
6.125%, 11/15/15 Put Option 96,825,000 11/20/98 107.125 1,089,281 30,258
----------- -----------
$ 5,480,781 $20,853,618
=========== ===========
</TABLE>
11. Represents the current interest rate for an increasing rate security.
12. Security is linked to the Emerging Markets Bond Index (EMBI). The EMBI
tracks total returns for currency denominated debt instruments of the emerging
markets. Countries covered are Argentina, Brazil, Bulgaria, Ecuador, Mexico,
Morocco, Nigeria, Panama, Peru, the Philippines, Poland, Russia and Venezuela.
13. When-issued security to be delivered and settled after September 30, 1998.
14. Non-income producing--issuer is in default.
15. Denotes a step bond: a zero coupon bond that converts to a fixed or
variable interest rate at a designated future date.
16. Interest or dividend is paid in kind.
17. 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.
18. Non-income producing security.
19. Security is linked to the AIG Commodity Index (AIGCI). The AIGCI is a
passively managed index showing the total return from holding unleveraged long
positions in futures contracts of physical commodities. Twenty commodity markets
representing six major commodity industry groups [grains, base metals, precious
metals, energy, livestock, and softs (food/fiber)] are included in the
calculation of the AIGCI.
20. Security is linked to the Goldman Sachs Commodity Index or the Goldman
Sachs Commodity Index Excess Return. The indexes are composed of the future
prices 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.
21. Security is linked to the Chase Physical Commodity Index (CPCI). It is a
total return commodity index that is passively managed. The index holds
unleveraged long positions in the futures contracts of physical commodities. The
index invests across five main commodity markets: energy, grains, livestock,
metals and food/fiber.
44 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
(22) 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 September 30,
1998. The aggregate fair values of all securities of all affiliated companies
held by the Fund as of September 30, 1998 amounted to $23,693,945. Transactions
during the period in which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Shares/Units Shares/Units
September 30, Gross Gross September 30, Dividend
1997 Additions Reductions 1998 Income
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CGA Group Ltd.,
Preferred Stock, 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 -- -- 159,100 417,638
- -----------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc. 394,283 -- -- 394,283 --
- -----------------------------------------------------------------------------------------------------------
Walden Residential
Properties, Inc.,
9.20% Preferred Stock 387,400 -- -- 387,400 891,020
- -----------------------------------------------------------------------------------------------------------
Walden Residential
Properties, Inc.,
9.16% Cv., Series B 280,000 -- -- 280,000 641,200
- -----------------------------------------------------------------------------------------------------------
Walden Residential
Properties, Inc. Wts.,
Exp. 1/02 196,400 -- -- 196,400 --
----------
$1,949,858
==========
</TABLE>
See accompanying Notes to Financial Statements.
45 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities September 30, 1998
- --------------------------------------------------------------------------------
================================================================================
Assets
Investments, at value--see accompanying statement:
Unaffiliated companies (cost $9,115,458,713) $8,688,011,286
Affiliated companies (cost $24,870,550) 23,693,945
- -------------------------------------------------------------------------------
Cash 3,574,655
- -------------------------------------------------------------------------------
Unrealized appreciation on forward foreign currency
exchange contracts--Note 5 4,227,849
- -------------------------------------------------------------------------------
Receivables:
Investments sold (including $139,586,220 sold on a
when-issued basis)--Note 1 197,086,638
Interest, dividends and principal paydowns 159,387,712
Shares of beneficial interest sold 19,557,534
Daily variation on futures contracts--Note 6 16,352,833
- -------------------------------------------------------------------------------
Other 532,201
--------------
Total assets 9,112,424,653
===============================================================================
Liabilities
Unrealized depreciation on forward foreign currency
exchange contracts--Note 5 2,647,575
- -------------------------------------------------------------------------------
Options written, at value (premiums received $5,480,781)--
see accompanying statement--Note 7 20,853,618
- -------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $329,110,454 purchased on a
when-issued basis)--Note 1 412,376,633
Shares of beneficial interest redeemed 9,502,291
Dividends 6,015,455
Distribution and service plan fees 5,502,992
Daily variation on futures contracts--Note 6 3,125,421
Transfer and shareholder servicing agent fees 852,942
Shareholder reports 617,956
Closed forward foreign currency exchange contracts 975,666
Other 940,299
--------------
Total liabilities 463,410,848
===============================================================================
Net Assets $8,649,013,805
==============
===============================================================================
Composition of Net Assets
Paid-in capital $9,267,579,090
- -------------------------------------------------------------------------------
Undistributed net investment income 8,969,641
- -------------------------------------------------------------------------------
Accumulated net realized loss on investments and
foreign currency transactions (200,068,457)
- -------------------------------------------------------------------------------
Net unrealized depreciation on investments and translation of
assets and liabilities denominated in foreign currencies (427,466,469)
--------------
Net assets $8,649,013,805
==============
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
$3,950,818,199 and 859,824,417 shares of beneficial interest outstanding) $ 4.59
Maximum offering price per share (net asset value plus sales charge
of 4.75% of offering price) $ 4.82
- -----------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $4,040,704,161
and 877,314,019 shares of beneficial interest outstanding) $ 4.61
- -----------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales
charge) and offering price per share (based on net assets of $650,584,050
and 141,738,788 shares of beneficial interest outstanding) $ 4.59
- -----------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on
net assets of $6,907,395 and 1,505,280 shares of beneficial interest outstanding) $ 4.59
</TABLE>
See accompanying Notes to Financial Statements.
47 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Year Ended September 30, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
==========================================================================================
<S> <C>
Investment Income
Interest (net of foreign withholding taxes of $3,314,004) $ 776,441,575
- ------------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies 20,067,211
Affiliated companies 1,949,858
-------------
Total income 798,458,644
==========================================================================================
Expenses
Distribution and service plan fees--Note 4:
Class A 10,044,801
Class B 38,690,126
Class C 5,459,332
- ------------------------------------------------------------------------------------------
Management fees--Note 4 44,320,889
- ------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4:
Class A 4,201,918
Class B 3,971,939
Class C 555,125
Class Y 200
- ------------------------------------------------------------------------------------------
Shareholder reports 1,863,879
- ------------------------------------------------------------------------------------------
Custodian fees and expenses 1,099,902
- ------------------------------------------------------------------------------------------
Registration and filing fees 400,235
- ------------------------------------------------------------------------------------------
Legal, auditing and other professional fees 141,617
- ------------------------------------------------------------------------------------------
Trustees' fees and expenses 107,052
- ------------------------------------------------------------------------------------------
Other 286,939
-------------
Net expenses 111,143,954
==========================================================================================
Net Investment Income 687,314,690
==========================================================================================
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments 25,853,697
Closing of futures contracts 37,258,691
Closing and expiration of option contracts written--Note 7 552,349
Foreign currency transactions (111,946,610)
-------------
Net realized loss (48,281,873)
- ------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (639,239,736)
Translation of assets and liabilities denominated in foreign currencies 23,071,875
-------------
Net change (616,167,861)
-------------
Net realized and unrealized loss (664,449,734)
==========================================================================================
Net Increase in Net Assets Resulting from Operations $ 22,864,956
=============
</TABLE>
See accompanying Notes to Financial Statements.
48 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended September 30,
1998 1997
================================================================================================
<S> <C> <C>
Operations
Net investment income $ 687,314,690 $ 589,532,469
- ------------------------------------------------------------------------------------------------
Net realized gain (loss) (48,281,873) 125,608,804
- ------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (616,167,861) 20,529,233
--------------- ---------------
Net increase in net assets resulting from operations 22,864,956 735,670,506
================================================================================================
Dividends to Shareholders
Dividends from net investment income:
Class A (340,411,302) (316,472,362)
Class B (292,816,126) (232,118,433)
Class C (41,285,457) (22,358,462)
Class Y (254,429) --
================================================================================================
Beneficial Interest Transactions
Net increase in net assets resulting from
beneficial interest transactions--Note 2:
Class A 286,365,951 357,127,802
Class B 839,747,928 838,896,025
Class C 280,612,438 235,000,607
Class Y 7,299,336 --
================================================================================================
Net Assets
Total increase 762,123,295 1,595,745,683
- ------------------------------------------------------------------------------------------------
Beginning of period 7,886,890,510 6,291,144,827
--------------- ---------------
End of period (including undistributed
net investment income of $8,969,641 and
$16,158,180, respectively) $ 8,649,013,805 $ 7,886,890,510
=============== ===============
</TABLE>
See accompanying Notes to Financial Statements.
49 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class A
------------------------------------------------------------
Year Ended September 30,
1998 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 .42 .43 .44 .41 .45
Net realized and unrealized gain (loss) (.37) .09 .15 (.03) (.35)
----- ----- ----- ----- -----
Total income (loss) from investment operations .05 .52 .59 .38 .10
- -----------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.41) (.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 (.41) (.41) (.43) (.45) (.56)
- -----------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.59 $4.95 $4.84 $4.68 $4.75
===== ===== ===== ===== =====
=================================================================================================================
Total Return, at Net Asset Value(3) 0.80% 11.29% 13.06% 8.62% 1.85%
=================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $3,951 $3,969 $3,526 $3,219 $3,143
- -----------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $4,077 $3,735 $3,340 $3,085 $3,082
- -----------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 8.48% 8.77% 9.09% 9.63% 8.72%
Expenses 0.92% 0.93% 0.97% 0.99% 0.95%
- -----------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 103.6% 116.5% 104.8% 141.5% 119.0%
</TABLE>
1. For the period from January 26, 1998 (inception of offering) to September
30, 1998.
2. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
3. 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 Class C
--------------------------------------------- ------------------------
Year Ended September 30, Year Ended September 30,
1998 1997 1996 1995 1994 1998 1997
==============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $4.96 $4.85 $4.69 $4.76 $5.22 $4.95 $4.83
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .37 .39 .40 .37 .42 .37 .37
Net realized and unrealized gain (loss) (.35) .10 .15 (.03) (.36) (.36) .13
----- ----- ----- ----- ----- ----- -----
Total income (loss) from investment operations .02 .49 .55 .34 .06 .01 .50
-----
Dividends and distributions to shareholders:
Dividends from net investment income (.37) (.38) (.37) (.37) (.39) (.37) (.38)
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 (.37) (.38) (.39) (.41) (.52) (.37) (.38)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.61 $4.96 $4.85 $4.69 $4.76 $4.59 $4.95
===== ===== ===== ===== ===== ===== =====
=============================================================================================================================
Total Return, at Net Asset Value(3) 0.26% 10.43% 12.19% 7.79% 1.07% 0.05% 10.67%
=============================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $4,041 $3,501 $2,590 $1,947 $1,586 $651 $417
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $3,871 $3,018 $2,250 $1,711 $1,236 $547 $291
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 7.73% 7.94% 8.30% 8.83% 7.90% 7.73% 7.73%
Expenses 1.67% 1.69% 1.72% 1.75% 1.71% 1.67% 1.69%
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 103.6% 116.5% 104.8% 141.5% 119.0% 103.6% 116.5%
</TABLE>
4. Annualized.
5. 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) for the period
ended September 30, 1998 were $11,023,142,749 and $8,934,125,894, respectively.
For the years ended September 30, 1995 and 1994, purchases and sales of
investment securities included mortgage dollar-rolls.
51 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights (Continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C (continued) Class Y
------------------- -------------
Year Ended Period Ended
September 30, September 30,
1996 1995(2) 1998(1)
==========================================================================================
<S> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $ 4.68 $ 4.68 $ 4.90
- ------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .38 .13 .29
Net realized and unrealized gain (loss) .16 .01 (.32)
------ ------ ------
Total income (loss) from investment operations .54 .14 (.03)
- ------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.37) (.12) (.28)
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 (.39) (.14) (.28)
- ------------------------------------------------------------------------------------------
Net asset value, end of period $ 4.83 $ 4.68 $ 4.59
====== ====== ======
==========================================================================================
Total Return, at Net Asset Value(3) 11.96% 3.09% (0.64)%
==========================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $ 175 $ 67 $ 7
- ------------------------------------------------------------------------------------------
Average net assets (in millions) $ 110 $ 24 $ 4
- ------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 8.18% 8.28%(4) 8.82%(4)
Expenses 1.74% 2.02%(4) 0.58%(4)
- ------------------------------------------------------------------------------------------
Portfolio turnover rate(5) 104.8% 141.5% 103.6%
</TABLE>
1. For the period from January 26, 1998 (inception of offering) to September
30, 1998.
2. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
3. 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.
4. Annualized.
5. 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) for the period
ended September 30, 1998 were $11,023,142,749 and $8,934,125,894, respectively.
For the years ended September 30, 1995 and 1994, 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
- --------------------------------------------------------------------------------
================================================================================
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. 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.
Classes A, B and C have separate distribution and/or service plans. No such plan
has been adopted for Class Y shares. Class B shares will automatically convert
to Class A shares six years after the date of purchase. The following is a
summary of significant accounting policies consistently followed by the Fund.
- --------------------------------------------------------------------------------
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 (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 Fund also invests in
index-linked notes whereby the principal and/or interest payment depend on one
or more market indices. 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 year ended September 30, 1998, the
market value of these securities comprised an average of 7% of the Fund's net
assets, and resulted in realized and unrealized losses of $178,967,859.
- --------------------------------------------------------------------------------
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 September 30,
1998, the Fund had entered into outstanding when-issued or forward commitments
of $189,524,234.
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. As of September 30, 1998, securities with an
aggregate market value of $12,720,858, representing 0.15% 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, Gains and Losses. Income, expenses (other than
those attributable to a specific class), 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. As of September 30, 1998,
the Fund had available for federal income tax purposes an unused capital loss
carryover of approximately $116,832,000, 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 (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 paydown gains and losses and the recognition of certain
foreign currency gains (losses) as ordinary income (loss) for tax purposes. 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.
The Fund adjusts the classification of distributions to shareholders
to reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended September 30, 1998, amounts have been reclassified to reflect a
decrease in undistributed net investment income of $19,735,915, a decrease in
accumulated net realized loss on investments of $19,735,991, and a decrease in
paid-in capital of $76.
- --------------------------------------------------------------------------------
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>
Year Ended September 30, 1998(1) Year Ended September 30, 1997
--------------------------------- ----------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A:
Sold 226,516,643 $ 1,102,213,098 202,106,435 $ 987,184,469
Dividends reinvested 47,696,173 231,314,549 43,528,618 212,702,206
Redeemed (216,278,686) $(1,047,161,696) (172,636,408) (842,758,873)
------------ --------------- ------------ ---------------
Net increase 57,934,130 $ 286,365,951 72,998,645 $ 357,127,802
============ =============== ============ ===============
- -----------------------------------------------------------------------------------------------
Class B:
Sold 259,001,856 $ 1,262,505,059 225,061,705 $ 1,101,712,593
Dividends reinvested 35,407,600 171,947,410 27,158,643 132,987,856
Redeemed (122,794,164) (594,704,541) (80,881,214) (395,804,424)
------------ --------------- ------------ ---------------
Net increase 171,615,292 $ 839,747,928 171,339,134 $ 838,896,025
============ =============== ============ ===============
- -----------------------------------------------------------------------------------------------
Class C:
Sold 80,636,266 $ 391,857,497 57,786,493 $ 282,043,074
Dividends reinvested 5,966,978 28,828,647 3,188,795 15,572,159
Redeemed (29,095,369) (140,073,706) (12,845,030) (62,614,626)
------------ --------------- ------------ ---------------
Net increase 57,507,875 $ 280,612,438 48,130,258 $ 235,000,607
============ =============== ============ ===============
- -----------------------------------------------------------------------------------------------
Class Y:
Sold 1,871,062 $ 9,054,516 -- $ --
Dividends reinvested 52,161 248,947 -- --
Redeemed (417,943) (2,004,127) -- --
------------ --------------- ------------ ---------------
Net increase 1,505,280 $ 7,299,336 -- $ --
============ =============== ============ ===============
</TABLE>
1. For the year ended September 30, 1998 for Class A, Class B and Class C
shares, and for the period from January 26, 1998 (inception of offering) to
September 30, 1998 for Class Y shares.
57 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
3. Unrealized Gains and Losses on Investments
As of September 30, 1998, net unrealized depreciation on investments and options
written of $443,996,869 was composed of gross appreciation of $314,116,994, and
gross depreciation of $758,113,863.
================================================================================
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. The Fund's management fee for the year ended September 30, 1998, was
0.52% of average annual net assets for Class A, Class B, Class C and Class Y
shares.
For the year ended September 30, 1998, commissions (sales charges
paid by investors) on sales of Class A shares totaled $20,863,625, of which
$5,846,580 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 $46,878,475 and $3,717,936,
respectively, of which $1,547,059 and $121,658, respectively, was paid to an
affiliated broker/dealer. During the year ended September 30, 1998, OFDI
received contingent deferred sales charges of $8,531,853 and $287,953,
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 Oppenheimer
funds. OFS's total costs of providing such services are allocated ratably to
these funds.
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 year ended September 30, 1998, OFDI paid
$730,101 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 shares. 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 year ended September 30, 1998, OFDI paid
$205,229 to an affiliated broker/dealer as reimbursement for Class B personal
service and maintenance expenses and retained $31,772,355 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 September 30, 1998, OFDI had
incurred excess distribution and servicing costs of $134,100,087 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 year ended September 30,
1998, OFDI paid $55,567 to an affiliated broker/dealer as compensation for Class
C personal service and maintenance expenses and retained $3,604,125 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 September 30,
1998, OFDI had incurred excess distribution and servicing costs of $9,740,259
for Class C.
================================================================================
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.
59 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
5. Forward Contracts (continued)
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.
As of September 30, 1998, the Fund had outstanding forward contracts as follows:
<TABLE>
<CAPTION>
Valuation as of
Expiration Contract Amount September 30, Unrealized Unrealized
Dates (000s) 1998 Appreciation Depreciation
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Contracts to Purchase
Australian Dollar (AUD) 11/23/98 19,035 AUD $11,332,433 $ 211,337 $ --
French Franc (FRF) 10/1/98 90,495 FRF 16,145,973 105,886 --
German Mark (DEM) 10/26/98 74,637 DEM 44,706,789 2,738,868 --
Italian Lira (ITL) 10/1/98 26,676,576 ITL 16,143,650 109,645 --
Japanese Yen (JPY) 10/15/98 2,683,000 JPY 19,691,114 193,984 --
Spanish Peseta (ESP) 10/1/98 2,294,044 ESP 16,147,842 95,926 --
---------- ----------
3,455,646 --
---------- ----------
Contracts to Sell
Australian Dollar (AUD) 11/23/98 7,290 AUD 4,340,174 -- 84,637
British Pound Sterling (GBP) 11/2/98 40,600 GBP 68,810,065 396,695 --
Canadian Dollar (CAD) 11/10/98-
11/30/98 57,275 CAD 37,459,519 375,508 --
Danish Krone (DKK) 10/7/98 238,420 DKK 37,521,708 -- 557,940
Japanese Yen (JPY) 11/4/98 3,309,000 JPY 24,355,117 -- 74,759
New Zealand Dollar (NZD) 11/23/98 76,160 NZD 38,163,769 -- 114,772
Norwegian Krone (NOK) 10/26/98 324,710 NOK 43,783,388 -- 1,815,467
---------- ----------
772,203 2,647,575
---------- ----------
Total Unrealized Appreciation and Depreciation $4,227,849 $2,647,575
========== ==========
</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 also buy
and sell financial futures. 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 changes in
interest rate or commodity prices. The Fund will then either purchase the
underlying fixed-income security or close out the futures contact.
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 (Continued)
- --------------------------------------------------------------------------------
================================================================================
6. Futures Contracts (continued)
As of September 30, 1998, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
Unrealized
Number of Valuation as of Appreciation
Expiration Date Contracts September 30, 1998 (Depreciation)
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Contracts to Purchase
Corn 12/98 150 $ 1,567,500 $ (301,875)
Crude Oil 12/98 84 1,357,440 194,040
Dow Jones
Industrial Average Index 12/98 100 7,885,000 (60,000)
Soybean 11/98 15 390,563 (66,938)
U.S. Treasury Nts., 10 yr. 12/98 4,140 502,751,250 10,541,329
U.S. Treasury Nts., 20 yr. 12/98 4,003 526,269,406 17,761,379
------------
28,067,935
------------
Contracts to Sell
Crude Oil 12/99 84 1,443,120 (98,270)
German Mark, 10 yr. 12/98 304 52,111,043 (1,383,310)
London Metal Exchange
Aluminum 12/98 40 1,326,500 59,500
Standard & Poors 500 Index 12/98 887 227,515,500 2,489,875
U.S. Treasury Nts., 5 yr. 12/98 3,834 440,730,281 (11,075,951)
U.S. Treasury Nts., 2 yr. 12/98 194 41,249,250 (481,969)
------------
(10,490,125)
------------
$ 17,577,810
============
</TABLE>
================================================================================
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.
62 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
================================================================================
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 year ended September 30, 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 as of
September 30, 1997 5,038,675,000 $ 1,251,563 4,860,600,000 $ 210,893
Options written 216,339,970 3,790,804 62,988,239,845 13,948,518
Options closed or expired (5,207,844,970) (4,485,761) (43,337,029,020) (5,934,964)
Options exercised (47,170,000) (556,606) (24,511,605,000) (2,743,666)
-------------- ----------- --------------- -----------
Options outstanding as of
September 30, 1998 -- $ -- 205,825 $ 5,480,781
============== =========== =============== ===========
</TABLE>
================================================================================
8. Illiquid and Restricted Securities
As of September 30, 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 as of September 30, 1998 was $584,880,192, which
represents 6.76% of the Fund's net assets, of which $27,355,586 is considered
restricted.
63 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (Continued)
- --------------------------------------------------------------------------------
================================================================================
8. Illiquid and Restricted Securities (continued)
Information concerning restricted securities is as follows:
<TABLE>
<CAPTION>
Valuation
Per Unit as of
Acquisition Cost September 30,
Security Dates Per Unit 1998
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Bonds
Arizona Charlie's, Inc., 12% First Mtg
Nts., Series B, 11/15/00 11/18/93-12/9/93 102.83% 96.50%
- --------------------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First
Mtg. Nts., Series A, 11/15/00 11/18/93-12/17/93 95.98 6.00
- --------------------------------------------------------------------------------------------------------
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 5/15/95 110.05 115.67
- --------------------------------------------------------------------------------------------------------
Trans World Airlines, 14% Equipment Trust,
7/2/08 3/19/98 101.00 103.00
- --------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Debs.,
Banco Venezuela TCI,
Zero Coupon, 6.13%, 12/13/98 7/13/93-7/15/93 72.64 95.00
Stocks & Warrants
Becker Gaming, Inc. Wts., Exp. 11/00 11/18/93-12/9/93 $ 2.10 $ .25
- --------------------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A 6/17/97 25.00 25.00
- --------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49 6/17/97 -- .40
- --------------------------------------------------------------------------------------------------------
ECM Fund, L.P.I 4/14/92 1,000.00 885.00
- --------------------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00 11/29/95 -- 7.44
</TABLE>
================================================================================
9. 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 year ended
September 30, 1998.
64 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
================================================================================
The Board of Trustees and Shareholders of
Oppenheimer Strategic Income Fund:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of Oppenheimer Strategic Income Fund as of
September 30, 1998, the related statement of operations for the year then ended,
the statements of changes in net assets for the years ended September 30, 1998
and 1997, and the financial highlights for the period October 1, 1993, to
September 30, 1998. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted
auditing standards. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned at September 30, 1998, by correspondence with the custodian and brokers;
where replies were not received from brokers, we performed other auditing
procedures. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of Oppenheimer
Strategic Income Fund at September 30, 1998, the results of its operations, the
changes in its net assets, and the financial highlights for the respective
stated periods, in conformity with generally accepted accounting principles.
Deloitte & Touche LLP
Denver, Colorado
October 28, 1998
65 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
Federal Income Tax Information (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
In early 1999, shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 1998. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
Dividends paid by the Fund during the fiscal year ended September
30, 1998, which are not designated as capital gain distributions should be
multiplied by 2.71% to arrive at the net amount eligible for the corporate
dividend-received deduction.
The foregoing information is presented to assist shareholders in
reporting distributions received from the Fund to the Internal Revenue Service.
Because of the complexity of the federal regulations which may affect your
individual tax return and the many variations in state and local tax
regulations, we recommend that you consult your tax advisor for specific
guidance.
66 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
Raymond J. Kalinowski, Trustee
C. Howard Kast, Trustee
Robert M. Kirchner, 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.
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.
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
- -------------------------
RA0230.001.0998 November 27, 1998
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