Semiannual Report March 31, 1999
OPPENHEIMER
Strategic
Income Fund
[GRAPHIC OF CHESS PIECES]
[OPPENHEIMER LOGO]
Oppenheimer Funds(R)
THE RIGHT WAY TO INVEST
<PAGE>
Contents
3 President's Letter
4 An Interview with Your Fund's Managers
11 Financial Statements
67 Officers and Trustees
68 Information and Services
Report highlights
- --------------------------------------------------------------------------------
Cumulative Total Returns
o Bond market For the 6-Month Period Ended
volatility continued 3/31/99
to constrain Class A
returns, largely Without With
because of economic Sales Chg.1 Sales Chg.2
concerns in the U.S. ---------------------------
and continuing
instability in 2.40% -2.47%
emerging markets. ---------------------------
o The Fund's broadly Class B
diversified approach Without With
helped cushion the Sales Chg.1 Sales Chg.2
declines affecting ---------------------------
individual bond
market sectors, 1.79% -3.10%
including U.S. ---------------------------
Treasury securities.
Class C
Without With
Sales Chg.1 Sales Chg.2
---------------------------
2.02% 1.04%
---------------------------
Class Y
Without With
Sales Chg.1 Sales Chg.2
---------------------------
2.59% 2.59%
---------------------------
Total returns include changes in share price and reinvestment of dividends and
capital gains distributions in a hypothetical investment for the periods shown.
Cumulative total returns are not annualized. 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. The Fund's performance may from time to time be subject
to substantial short-term changes, particularly during periods of market or
interest rate volatility. 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. Includes changes in net asset value per share without deducting any sales
charges.
2. Class A return includes the current maximum initial sales charge of 4.75%.
Class B return includes the applicable contingent deferred sales charge of 5%.
Class C return includes the contingent deferred sales charge of 1%. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor. 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.
2 Oppenheimer Strategic Income Fund
<PAGE>
[photo of James C. Swain]
James C. Swain
Chairman
Oppenheimer
Strategic Income Fund
[photo of Bridget A. Macaskill]
Bridget A. Macaskill
President
Oppenheimer
Strategic Income Fund
Dear shareholder,
- --------------------------------------------------------------------------------
The strength of the U.S. economy continues to surprise and concern many
analysts. At a time when the majority of the world's economies are beleaguered
by financial strain, the U.S. economy has been growing at a remarkable rate.
With respect to the U.S. bond market, stronger than expected economic
growth has triggered concerns that the Federal Reserve may raise key interest
rates to forestall an acceleration of inflation. As a result, yields of longer
term taxable bonds have risen from their October 1998 lows, when investors had
bid up prices during the global "flight to quality." At the same time,
tax-exempt bond prices and yields have remained relatively stable.
In the U.S. stock market, it might appear at first glance that prices are
rising as rapidly as the economy is growing. However, a closer look reveals
that, with the exception of large-cap growth companies and the technology
industry, most stock prices remained relatively flat through March 31. What's
more, the disparity in valuations between large companies, which have led the
market's advance, and smaller ones, which have lagged, has become historically
wide.
What do these observations mean for your investments? In our view, actively
managed portfolios that are closely monitored by expert money managers may
provide better returns than passive index investing in 1999. That's because
selectivity is expected to be more critical to performance than it has been over
the past few years. In a potentially overvalued stock market and rising
interest-rate environment, the ability to identify the most promising securities
could become paramount.
Even though many equity investors may be tempted to focus their portfolio
on the technology sector, we suggest a more prudent course: broad
diversification beyond any single asset class, industry, capitalization range or
geographic region. We believe that the risks of this investment environment
require consideration of a broad range of investments and markets, including
bonds. That way, if one market experiences setbacks, one or more of the others
may help cushion the effects on your overall portfolio.
No matter what the financial markets have in store, we resolve to continue
working with your financial advisor to keep you apprised of potential risks and
opportunities. Providing you with the market information, professionally managed
investments and other resources you need to achieve your financial goals is an
important part of our enduring commitment to you as The Right Way to Invest.
Sincerely,
/s/James C. Swain /s/ Bridget A. Macaskill
James C. Swain Bridget A. Macaskill
April 22, 1999
3 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
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How did Oppenheimer Strategic Income Fund perform during the six-month period
that ended March 31, 1999?
While an extremely volatile bond market has raised concerns about fluctuations
of the Fund's net asset value, we believe that the Fund's diversified,
multi-sector approach provided competitive levels of current income and helped
cushion the brunt of the market's declines. In fact, the past six months have
been particularly difficult for the markets in which the Fund invests, including
U.S. government securities.
How have the Fund's three primary bond market sectors performed?
The Fund seeks to produce high income while limiting volatility by diversifying
broadly among U.S. government securities, foreign government bonds and high
yield corporate bonds. This strategy positions the Fund to participate
simultaneously in all three market sectors, which have historically responded
differently to changes in the market.
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"Bond market volatility may provide opportunities to lock in high yields and
produce price appreciation as yields return to more normal levels."
- --------------------------------------------------------------------------------
4 Oppenheimer Strategic Income Fund
<PAGE>
U.S. government securities recently retraced all of the gains they achieved
during the summer of 1998's "flight to quality," in which the prices of U.S.
Treasury bonds rallied to levels we had not seen in over 30 years. In the wake
of these remarkable gains, investors became concerned that stronger than
expected U.S. economic growth might rekindle an acceleration of inflation, and
that the Federal Reserve might raise key interest rates.
In contrast, the foreign and high yield corporate sectors failed to recoup
much of the declines they experienced last summer. As we noted in our report six
months ago, the differences in yields between these sectors and U.S. Treasury
bonds had reached historically wide levels by October 1998. Although these
differences have narrowed somewhat over the past six months, most of the
movement came not from the recovery of foreign and high yield bonds, but from
the deterioration in the prices of U.S. government securities.
[photo of Portfolio Management Team]
Portfolio Management
Team (l to r)
Art Steinmetz
(Portfolio Manager)
David Negri
(Portfolio Manager)
Ashwin Vasan
5 Oppenheimer Strategic Income Fund
<PAGE>
An interview with your Fund's managers
- --------------------------------------------------------------------------------
Did the Fund's diversified approach cushion declines in individual market
sectors?
In our opinion, the past six months provided compelling evidence that
diversification helps reduce risks. Comparing the performance of the Fund's
Class A shares to three indices, which correspond to the three primary bond
market sectors, you see that between October 1, 1998, and March 31, 1999, the
Merrill Lynch High Yield Master Index produced a 3.98% return, the Salomon
Brothers Non-U.S. World Government Bond Index produced a 0.17% return, and the
Lehman Brothers Long-Term Treasury Index produced a -5.20% return. In contrast,
the Fund's Class A shares delivered a cumulative return of 2.40% for the same
period.1 Investors who shifted their assets to U.S. Treasury securities after
last summer's rally clearly fared worse than Fund shareholders who stayed the
course.
1. Merrill Lynch High Yield Master Index is an unmanaged index of below
investment grade securities (e.g., securities with ratings that are below BBB of
S&P). Salomon Brothers Non-U.S. World Government Bond Index is an unmanaged
index of foreign government bond index of fixed-rate bonds with a remaining
maturity of one year or longer. Lehman Brothers Long-Term Treasury Index is an
unmanaged index of public obligations of the U.S. Treasury, excluding flower
bonds and foreign-targeted issues with maturities of 10 years or longer. The
Fund's Class A shares return includes changes in net asset value per share
without deducting any sales charges. Such performance is not annualized and
would have been lower if sales charges were taken into account.
6 Oppenheimer Strategic Income Fund
<PAGE>
Avg Annual Total Returns
For the Periods Ended 3/31/99(2)
Class A Since
1 year 5 year Inception
- ------------------------------------
- -5.18% 6.25% 8.98%
- ------------------------------------
Class B
Since
1 year 5 year Inception
- ------------------------------------
- -5.77% 6.24% 7.56%
- ------------------------------------
Class C
Since
1 year 5 year Inception
- ------------------------------------
- -1.89% N/A 7.14%
- ------------------------------------
Class Y
Since
1 year 5 year Inception
- ------------------------------------
0.13% N/A 1.64%
- ------------------------------------
What changes have you made to the portfolio over the past six months?
Shortly before the six-month reporting period began, we made a number of changes
that were designed to take advantage of attractive values in weak markets. For
example, bonds from emerging markets were particularly hard hit last summer, and
we saw some excellent values in this market. Therefore, we increased our
exposure to these securities from about 13% of total assets to about 16% of
total assets. We focused primarily on Asian bonds because we believe there is
the potential for a recovery in that region. In addition, we bought Eastern
European bonds because we expect appreciation in these markets as Hungary,
Poland and the Czech Republic prepare their economies for possible entry into
European Monetary Union.
2. Total returns include changes in share price and reinvestment of dividends
and capital gains distributions in a hypothetical investment for the periods
shown. Class A returns include the current maximum initial sales charge of
4.75%. Class A shares were first publicly offered on 10/16/89. Class B returns
include the applicable contingent deferred sales charge of 5% (1-year) and 1%
(since inception on 11/30/92). Class C returns for the one-year result include
the contingent deferred sales charge of 1%. Class C shares have an inception
date of 5/26/95. Class Y shares have an inception date of 1/26/98 and are
offered only to certain institutional investors under special agreement with the
Distributor. 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.
7 Oppenheimer Strategic Income Fund
<PAGE>
Standardized Yields(3)
For the 30 Days Ended 3/31/99
- --------------------------------
Class A 8.95%
- --------------------------------
Class B 8.64
- --------------------------------
Class C 8.62
- --------------------------------
Class Y 9.83
- --------------------------------
An interview with your Fund's managers
- --------------------------------------------------------------------------------
We concurrently decreased our exposure to bonds from developed overseas markets,
which declined from about 12% to 8% of the portfolio. We sold a number of bonds
from Europe because of our expectation for higher interest rates and weaker
currencies. We continued to avoid Japanese bonds because of persistent economic
and banking problems affecting the world's second largest economy.
While we did not significantly alter our exposure to U.S. government
securities over the past six months, we lowered the average duration of this
sector. By doing so, we effectively reduced our holdings' sensitivity to rising
interest rates.
In the high yield corporate bond market, we increased our holdings in the
telecommunications and cable television sectors. These industries have benefited
from consolidation, both domestically and globally, as the lines blur between
local and long distance telephone service, wireless telephony, cable TV and
Internet access.
3. Standardized yield is based on net investment income for the 30-day period
ended March 31, 1999. Falling share prices will tend to artificially raise
yields.
4. Portfolio data is subject to change. Percentages are as of March 31, 1999,
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>
Do you expect better conditions for the bond market over the foreseeable future?
Yes. In our view, all three market sectors in which we invest are poised for
better returns. That's because the severe dislocations of 1998 have restored
value in the form of lower prices and higher yields. With continuing economic
strength in the United States, a federal budget surplus, potential for recovery
in Asia, potential participation of additional nations in EMU and low inflation
around the world, we believe that conditions favor stability in U.S. government
securities, and in foreign securities and high yield bonds.
In the meantime, we intend to maintain the broadly diversified investment
approach that helped us weather heightened volatility over the past six months.
In our view, maintaining a disciplined long-term approach despite short-term
setbacks is part of what makes OppenheimerFunds The Right Way to Invest.
[Tabular representation of pie chart]
Portfolio Allocation(4)
Bonds 89.6%
Structured Notes 6.8
Stocks 3.6
10 Largest Country Holdings(4)
- -----------------------------------------
United States 73.0%
- -----------------------------------------
Argentina 3.5
- -----------------------------------------
Mexico 3.2
- -----------------------------------------
Great Britain 2.5
- -----------------------------------------
Supranational 2.1
- -----------------------------------------
Brazil 1.7
- -----------------------------------------
Italy 1.7
- -----------------------------------------
Germany 1.5
- -----------------------------------------
Turkey 1.0
- -----------------------------------------
Canada 0.9
- -----------------------------------------
9 Oppenheimer Strategic Income Fund
<PAGE>
Financials
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10 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments March 31, 1999 (Unaudited)
<TABLE>
<CAPTION>
Face Market Value
Amount(1) See Note 1
====================================================================================================================================
<S> <C> <C>
Mortgage-Backed Obligations--25.0%
- ------------------------------------------------------------------------------------------------------------------------------------
Government Agency--18.1%
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FHLMC/FNMA/Sponsored--13.6%
Federal Home Loan Mortgage Corp., Collateralized Mtg
Obligations, Gtd. Multiclass Mtg. Participation Certificates:
11.50%, 10/1/16 $ 3,179,614 $ 3,514,396
Series 1092, Cl. K, 8.50%, 6/15/21 7,497,037 7,867,241
Series 1252, Cl. J, 8%, 5/15/22 7,000,000 7,360,920
Series 1343, Cl. LA, 8%, 8/15/22 17,100,000 17,955,000
Series 1455, Cl. J, 7.50%, 12/15/22 18,527,500 19,401,627
Series 1477, Cl. G, 7%, 2/15/21 15,000,000 15,346,800
Series 1562, Cl. C, 7%, 3/15/21 10,000,000 10,156,200
Series 1993, Cl. PD, 6.50%, 6/15/26 21,074,000 20,961,886
Series 2103, Cl. PS, 6.50%, 12/15/28 21,750,000 21,063,353
Series 2111, Cl. PH, 6.50%, 2/15/28 28,690,000 28,690,000
Series 2113, Cl. MW, 6.50%, 1/15/29 19,682,000 19,202,251
Series 2121, Cl. PH, 6.50%, 2/15/29 38,520,300 37,629,518
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Collateralized Mtg
Obligations:
Series 2132, Cl. QD, 6.50%, 3/15/29 20,000,000 20,056,250
Series 2134, Cl. D, 6.50%, 3/1/29 110,000,000 110,515,625
Series 2136, Cl. PQ, 6.50%, 3/1/29 10,000,000 9,978,125
Series 2136, Cl. PR, 6.50%, 3/15/29 22,247,000 21,697,777
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass Mtg
Participation Certificates:
10%, 5/1/20 1,441,920 1,559,307
10.50%, 5/1/20 2,872,544 3,139,835
12%, 6/1/17 6,236,317 7,117,197
Series 1684, Cl. G, 6.50%, 3/15/23 11,500,000 11,758,750
Series 1797, Cl. D, 6.166%, 7/15/08 4,728,633 4,706,456
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg
Investment Conduit Pass-Through Certificates,
Series 1914, Cl. G, 6.50%, 2/15/24 8,375,000 8,403,726
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-OnlyStripped Mtg.-Backed Security:
Series 176, Cl. IO, 8.744%-12.673%, 6/1/26(2) 23,902,535 5,684,321
Series 177, Cl. B, 1.078%-2.289%, 7/1/26(2) 47,987,206 11,396,962
Series 183, Cl. IO, 2.289%-9.972%, 4/1/27(2) 28,273,256 6,741,404
Series 192, Cl. IO, 12.582%-20.021%, 2/1/28(2) 112,377,165 29,727,272
Series 194, Cl. IO, 11.154%-12.445%, 4/1/28(2) 22,890,864 6,345,062
Series 197, Cl. IO, 8.495%-13.978%, 4/1/28(2) 298,626,162 87,814,757
Series 199, Cl. IO, 11.656%-21.654%, 8/1/28(2) 417,231,619 118,193,893
Series 200, Cl. IO, 14.275%, 1/1/29(2) 29,808,669 8,923,970
Series 202, Cl. IO, 11.565%, 4/1/29(2) 11,000,000 3,245,000
11 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/Sponsored (continued)
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Security: (continued)
Series 294, Cl. 2, 9.466%, 2/1/28(2) $ 6,006,341 $ 1,480,939
Series 1627, Cl. PN, 7.33%, 9/15/22(2) 25,694,950 6,648,568
Series 2103, Cl. TI, 15.212%, 10/15/27(2) 21,645,568 5,228,758
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Mtg.-Backed
Certificates, 10%, 4/1/20 2,009,412 2,175,772
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 183, Cl. PO, 4.762%, 4/1/27(3) 15,196,875 11,929,547
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp.-Government National
Mortgage Assn., Gtd. Multiclass Mtg. Participation Certificates,
Series 32, Cl. TG, 7%, 1/25/21 17,965,500 18,363,975
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6.50%, 4/1/13(4) 100,000,000 100,906,000
6.50%, 4/1/26-1/1/29 56,807,337 56,565,189
7%, 4/25/27(4) 100,000,000 101,391,000
7.50%, 11/1/25-7/1/26 9,440,115 9,702,838
9.50%, 4/1/20-11/25/27 1,437,949 1,557,122
10.50%, 10/1/19 1,255,294 1,375,326
11%, 10/15/15 3,707,466 4,134,937
12%, 2/15/16 3,010,299 3,422,951
15%, 4/15/13 2,084,832 2,579,981
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Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates:
Trust 1990-18, Cl. K, 9.60%, 3/25/20 9,460,231 10,113,555
Trust 1993-38, Cl. U, 7.50%, 8/25/21 10,000,000 10,315,600
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 4,045,000 4,117,041
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 8,470,400 8,539,180
Trust 1998-36, Cl. PA, 6.25%, 7/18/13 10,000,000 10,081,200
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates:
Trust 1989-4, Cl. D, 10%, 2/25/19 7,716,933 8,380,050
Trust 1992-162, Cl. C, 7%, 10/25/21 5,850,000 5,937,750
Trust 1995-4, Cl. PC, 8%, 5/25/25 8,692,100 9,221,710
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 176, Cl. 2, 13.66%-13.78%, 2/1/28(2) 58,659,903 14,463,333
Trust 249, Cl. 2, 13.41%, 10/25/23(2) 9,614,595 2,451,722
Trust 276, Cl. 2, 11.60%, 10/1/24(2) 22,814,593 5,867,628
Trust 294, Cl. 2, 8.24%-22.52%, 2/1/28(2) 55,741,551 13,743,777
Trust 299, Cl. 2, 13.53%-13.93%, 5/1/28(2) 33,728,070 9,011,719
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only
Stripped Mtg.-Backed Security:
Trust 277, Cl. 1, 11.89%, 4/1/27(3) 7,614,476 6,331,913
Trust 294, Cl. 1, 3.03%-4.16%, 2/1/28(3) 20,730,409 16,283,089
-------------
1,148,477,051
12 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
GNMA/Guaranteed--4.5%
Government National Mortgage Assn.:
6.50%, 7/20/28 $ 39,584,920 $ 39,289,617
7%, 1/15/28-8/15/28 71,819,164 72,978,335
7.50%, 9/15/25-9/15/28 76,708,171 79,076,995
8%, 1/15/28 46,127,563 48,097,220
12.50%, 11/15/15-12/15/13 14,341,397 16,399,675
13%, 10/15/15 19,346,552 22,955,894
13.50%, 6/15/15 24,761,303 29,736,778
Series 1999-1, Cl. Z, 6.50%, 1/20/29 28,330,646 25,603,822
Collateralized Mtg. Obligations, Gtd. Multiclass Mtg.
Participation Certificates, Series 1997-5, Cl. PC, 7%, 10/20/25 38,000,000 38,866,780
- ------------------------------------------------------------------------------------------------------------------------------------
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, 7.05%, 9/1/22(2)(5) 117,983,049 2,811,315
Series 1995-2B, Cl. 2-IO, 9.29%, 6/1/25(2)(5) 12,119,351 261,324
Series 1995-3, Cl. 1-IO, 12.27%, 9/1/25(2)(5) 306,689,972 3,641,943
-----------
379,719,698
- ------------------------------------------------------------------------------------------------------------------------------------
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, 9.443%, 1/15/03(5)(6) 3,688,059 3,077,225
Series 1992-2, Cl. B3, 9.395%, 4/15/09(5)(6) 6,526,602 4,784,815
---------
7,862,040
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial--4.8%
AMRESCO Commercial Mortgage Funding I Corp.,
Multiclass Mtg. Pass-Through Certificates, Series 1997-C1:
Cl. G, 7%, 6/17/29(5) 1,550,000 1,205,125
Cl. H, 7%, 6/17/29(5) 1,600,000 1,033,000
- ------------------------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg.
Pass-Through Certificates:
Series 1995-MD4, Cl. A-4, 7.384%, 8/13/29 5,000,000 4,887,500
Series 1995-MD4, Cl. A-5, 7.384%, 8/13/29 20,000,000 18,643,750
Series 1997-D4, Cl. B1, 7.525%, 4/14/29(6) 11,875,000 9,329,297
Series 1997-D4, Cl. B2, 7.525%, 4/14/29(6) 24,582,312 18,486,667
Series 1997-D4, Cl. B3, 7.525%, 4/14/29(6) 5,532,925 3,758,931
Series 1997-D5, Cl. B1, 6.93%, 2/14/41 7,700,000 5,679,953
Series 1997-D5, Cl. B2, 6.93%, 2/14/41 21,050,000 14,748,156
- ------------------------------------------------------------------------------------------------------------------------------------
CBA Mortgage Corp., Mtg. Pass-Through Certificates,
Series 1993-C1:
Cl. E, 6.72%, 12/25/03(5)(6) 2,609,000 2,271,461
Cl. F, 6.72%, 12/25/03(5)(6) 14,300,000 11,292,531
13 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial (continued)
Citicorp Mortgage Securities, Inc., Sub. Bonds, Series 1993-5:
Cl. B3, 7%, 4/25/23(5) $ 1,383,656 $ 1,300,637
Cl. B4, 7%, 4/25/23(5) 1,046,668 426,517
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized Mtg.
Obligations, Series 1996-C1, Cl. E, 8.206%, 12/25/20(6)(7 3,000,000 2,823,750
- ------------------------------------------------------------------------------------------------------------------------------------
CRIMMI MAE Trust I, Collateralized Mtg. Obligations,
Series 1996-C1, Cl. A2, 7.56%, 8/30/05(7) 6,300,000 6,060,797
- ------------------------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Mtg.
Pass-Through Certificates, Series 1998-C1, Cl. F, 6%,
5/17/40(5) 5,500,000 3,372,188
- ------------------------------------------------------------------------------------------------------------------------------------
FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates:
Series 1994-C1, Cl. 2-D, 8.70%, 9/25/25 2,500,000 2,466,406
Series 1994-C1, Cl. 2-E, 8.70%, 9/25/25 2,500,000 2,436,719
Series 1994-C1, Cl. 2-G, 8.70%, 9/25/25(5) 4,870,000 5,003,925
- ------------------------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust,
Interest-Only Stripped Mtg.-Backed Security, Series 1998-C2,
Cl. IO, 9.59%, 5/18/28(2) 118,852,098 4,668,195
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp. Commercial Mortgage
Securities, Inc., Sub. Bonds, Series 1998-C2, Cl. D, 6.50%, 7/15/10 14,583,523 13,553,562
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Collateralized
Mtg. Obligations:
Series 1997-C1, Cl. G, 7.414%, 11/15/11 19,440,000 14,197,275
Series 1997-C2, Cl. F, 6.75%, 4/16/29 17,785,500 11,849,589
- ------------------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Interest-Only Stripped
Mtg.-Backed Security, Series 1997-C1, Cl. X, 8.85%, 7/15/27(2) 175,897,322 15,445,984
- ----------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through
Certificates, Series 1995-C2, Cl. D, 7.393%, 6/15/21(6) 2,497,504 2,448,530
- ----------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 1996-C1, Cl. E, 7.432%, 3/15/06(5)(6) 9,365,000 7,928,058
Series 1996-C1, Cl. F, 7.432%, 2/15/28(5) 13,360,980 10,104,241
Series 1997-HF1, Cl. F, 6.86%, 2/15/10(5) 3,475,000 2,780,000
Series 1997-RR, Cl. D, 7.671%, 4/30/39(5) 2,950,000 2,476,156
Series 1997-RR, Cl. E, 7.649%, 4/30/39(5)(6) 9,200,000 7,302,500
Series 1997-RR, Cl. F, 7.649%, 4/30/39(5) 30,800,000 19,404,000
Series 1997-XL1, Cl. F, 7.412%, 10/3/30(6) 7,000,000 6,569,063
Series 1997-XL1, Cl. G, 7.695%, 10/3/30(5)(6) 14,358,000 12,347,880
- ----------------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations:
Series 1998-I, Cl. 1, 5%, 5/25/28(5) 21,043,601 20,412,294
Series 1998-II, Cl. D, 8%, 12/25/28(5) 10,044,398 9,959,649
Series 1999-I, Cl. ECFD, 8.75%, 7/25/02 19,292,905 19,160,267
- ----------------------------------------------------------------------------------------------------------------------------------
Nykredit AS, 8% Cv. Bonds, 10/1/26DKK 90,397,000 13,635,972
14 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Commercial (continued)
Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates:
Series 1992-CHF, Cl. D, 8.25%, 12/25/20(5) $ 1,565,823 $ 1,555,303
Series 1993-C1, Cl. D, 9.45%, 5/25/24 6,597,507 6,536,171
Series 1993-C1, Cl. E, 9.50%, 5/25/24 255,531 254,693
Series 1994-C1, Cl. C, 8%, 6/25/26 8,000,000 8,010,000
Series 1994-C1, Cl. E, 8%, 6/25/26 5,544,490 5,419,306
Series 1994-C2, Cl. E, 8%, 4/25/25 18,016,464 17,754,662
Series 1994-C2, Cl. G, 8%, 4/25/25 5,744,616 5,544,452
Series 1995-C1, Cl. F, 6.90%, 2/25/27 6,673,212 6,188,362
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-C1,
Cl. E, 9.184%, 1/20/06 4,550,000 4,494,547
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1997-A3, 5%, 8/25/27(5) 6,044,662 5,681,982
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg.
Pass-Through Certificates, Series 1997-LLI:
Cl. E, 7.30%, 4/12/12 3,000,000 2,695,313
Cl. F, 7.30%, 4/12/12(5) 8,000,000 6,155,000
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Multiclass Pass-Through Certificates:
Series 1995-C4, Cl. E, 8.637%, 6/25/26(5)(6) 9,453,000 8,835,601
Series 1996-C3, Cl. E, 8.458%, 6/25/30(7) 9,350,000 8,727,641
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 14,220,000 14,206,669
------------
411,530,227
- ------------------------------------------------------------------------------------------------------------------------------------
Multifamily--0.4%
Countrywide Funding Corp., Mtg. Pass-Through Certificates:
Series 1993-11, Cl. B1, 6.25%, 2/25/09(5) 1,098,233 1,050,186
Series 1993-11, Cl. B3, 6.25%, 2/25/09(5) 647,942 255,532
Series 1993-12, Cl. B1, 6.625%, 2/25/24 3,441,749 3,306,231
Series 1994-F, Cl. A7, 6%, 4/25/09 10,620,691 10,175,950
- ------------------------------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Commercial Mtg. Pass-Through
Certificates, Series 1997-MC1, Cl. F, 7.452%, 5/20/07(5) 2,939,000 2,413,654
- ------------------------------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Multifamily Mtg. Pass-Through
Certificates, Series 1996-MC1, Cl. G, 7.15%, 6/15/06(7) 9,700,000 7,782,734
- ------------------------------------------------------------------------------------------------------------------------------------
Multifamily Capital Access One, Inc., Series 1,
Cl. D, 10.23%, 1/15/24(5)(6) 3,576,000 3,134,029
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-CL,
Cl. F, 9.149%, 1/20/06(6) 9,632,000 7,868,140
-----------
35,986,456
15 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Residential--1.6%
Countrywide Funding Corp., Mtg. Pass-Through Certificates,
Series 1994-10, Cl. A10, 6%, 5/25/09 $ 21,402,205 $ 20,786,892
- ------------------------------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through
Certificates, Series 1997-CHL1:
8.064%, 2/25/11(5)(6) 14,500,000 10,304,063
8.806%, 5/25/08(5)(6) 8,500,000 6,794,688
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed
Pass-Through Certificates:
Series 1996-A1, Cl. A8, 7.35%, 3/25/26 11,830,697 11,934,216
Series 1996-A4, Cl. A12, 7.50%, 9/25/26 8,200,000 8,369,125
Series 1996-QS8, Cl. A13, 7.75%, 12/25/26 20,646,958 21,208,297
Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 3,223,167 3,084,169
Series 1997-QS11, 7%, 10/25/12 17,469,578 17,698,867
- ------------------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust, Collateralized Mtg.
Obligation, Non-Accelerated Security, Series 1997-A2,
Cl. A8, 7.75%, 4/25/27 13,300,000 13,690,688
- ------------------------------------------------------------------------------------------------------------------------------------
Ryland Mortgage Securities Corp. Sub. Bonds, Series 1993-3,
Cl. B2, 6.713%, 8/25/08 1,026,652 1,000,666
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-B,
Cl. 1, 7.132%, 4/25/26(5) 14,449,114 10,394,332
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1998-A1, 5%, 12/25/00(5) 6,417,304 6,224,786
-------------
131,490,789
-------------
Total Mortgage-Backed Obligations (Cost $2,139,191,994) 2,115,066,261
====================================================================================================================================
U.S. Government Obligations--8.5%
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Bonds:
6.125%, 11/15/27 97,825,000 101,401,775
8.125%, 8/15/21(9) 28,300,000 35,949,858
10.75%, 8/15/05(9) 55,000,000 70,709,375
12%, 8/15/13(10)(11) 38,950,000 56,769,625
STRIPS, 5.025%, 11/15/18(8) 226,600,000 69,962,070
STRIPS, 5.612%, 8/15/22(8) 200,000,000 49,879,000
STRIPS, 5.668%, 11/15/21(8) 225,000,000 58,427,775
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
6.50%, 10/15/06(11) 53,000,000 56,494,714
6.875%, 5/15/06 203,820,000 221,272,088
-------------
Total U.S. Government Obligations (Cost $743,582,661) 720,866,280
16 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
====================================================================================================================================
Foreign Government Obligations--17.1%
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina--3.3%
Argentina (Republic of) Bonds:
12.125%, 2/25/19 $ 52,770,000 $ 52,308,262
Bonos de Consolidacion de Deudas, Series I, 2.953%, 4/1/07(6)ARP 96,390,268 67,063,831
Series L, 5.938%, 3/31/05(6) 13,970,200 12,014,372
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Nts.:
11%, 12/4/05 38,385,000 36,609,694
11.75%, 2/12/07(7)ARP 3,100,000 2,735,920
11.75%, 4/7/09(4) 38,350,000 37,333,725
Series REGS, 11.75%, 2/12/07ARP 22,080,000 19,486,808
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Sr. Unsec. Unsub. Bonds, 11%, 10/9/06 1,990,000 1,920,350
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Medium-Term Nts.,
8.75%, 7/10/02ARP 36,680,000 32,051,137
- ------------------------------------------------------------------------------------------------------------------------------------
Banco Hipotecario Nacional (Argentina) Medium-Term
Unsec. Nts., Series 3, 10.625%, 8/7/06 15,000,000 15,187,500
- ------------------------------------------------------------------------------------------------------------------------------------
City of Buenos Aires Bonds, Series 3, 10.50%, 5/28/04ARP 5,490,000 4,556,983
-----------
281,268,582
- ------------------------------------------------------------------------------------------------------------------------------------
Australia--0.1%
Treasury Corp. of Victoria Gtd. Bonds, 10.25%, 11/15/06AUD 9,860,000 8,000,267
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil--1.6%
Brazil (Federal Republic of) Bonds:
10.125%, 5/15/27 260,000 189,150
Series RG, 6.188%, 4/15/12(6) 18,720,000 10,974,600
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Capitalization Bonds, 8%, 4/15/14 74,711,745 47,628,738
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Conversion Bonds,
6.188%, 4/15/12(6) 23,385,000 13,709,456
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Eligible Interest Bonds,
6.125%, 4/15/06(6) 18,393,600 13,404,336
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Gtd. Disc. Bonds, 6.125%, 4/15/24(6) 46,460,000 29,153,650
- ------------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Interest Due & Unpaid Bonds,
6.063%, 1/1/01(6) 18,922,320 17,455,840
- ------------------------------------------------------------------------------------------------------------------------------------
Telecomunicacoes Brasileiras SA Medium-Term Nts.,
10.543%, 12/9/99(5)(6) 500,000 481,250
-----------
132,997,020
- ------------------------------------------------------------------------------------------------------------------------------------
Bulgaria--0.4%
Bulgaria (Republic of) Disc. Bonds, Tranche A, 5.875%, 7/28/24(6) 28,080,000 18,883,800
- ------------------------------------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Front-Loaded Interest Reduction
Bearer Bonds, Tranche A, 2.50%, 7/28/12(12) 22,620,000 12,836,850
- ------------------------------------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Interest Arrears Bonds, 5.875%, 7/28/11(6) 6,800,000 4,564,500
-----------
36,285,150
17 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Colombia--0.1%
Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 $ 5,745,000 $ 4,969,425
- ------------------------------------------------------------------------------------------------------------------------------------
Denmark--0.3%
Denmark (Kingdom of) Bonds, 8%, 5/15/03DKK 90,230,000 15,262,161
- ------------------------------------------------------------------------------------------------------------------------------------
Denmark (Kingdom of) Bullet Bonds, 7%, 11/15/07DKK 40,590,000 7,030,772
-----------
22,292,933
- ------------------------------------------------------------------------------------------------------------------------------------
Ecuador--0.1%
Ecuador (Republic of) Debs., 4.422%, 2/27/15(6) 19,888,761 6,762,179
- ------------------------------------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Disc. Bonds, 6%, 2/28/25(6) 2,505,000 1,221,187
- ------------------------------------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Past Due Interest Bonds, 4.422%, 2/27/15(6 7,354,698 2,500,597
-----------
10,483,963
- ------------------------------------------------------------------------------------------------------------------------------------
Finland--0.2%
Finland (Republic of) Bonds, 9.50%, 3/15/04EUR 15,305,101 20,934,898
- ------------------------------------------------------------------------------------------------------------------------------------
France--0.2%
France (Government of) Bonds, Obligations
Assimilables du Tresor, 5.50%, 10/25/07EUR 18,212,513 21,795,251
- ------------------------------------------------------------------------------------------------------------------------------------
Germany--1.0%
Germany (Republic of) Bonds:
6.625%, 7/9/03EUR 8,515,000 10,374,371
Series 98, 4.125%, 7/4/08EUR 33,180,000 36,046,256
Series 129, 3.50%, 11/11/03EUR 35,190,000 38,393,249
-----------
84,813,876
- ------------------------------------------------------------------------------------------------------------------------------------
Great Britain--0.6%
United Kingdom Treasury Nts., 8%, 6/10/03GBP 29,250,000 53,049,779
- ------------------------------------------------------------------------------------------------------------------------------------
Hungary--0.5%
Hungary (Government of) Bonds:
Series 00/G, 16%, 11/24/00HUF 3,840,160,000 16,582,537
Series 01/G, 13.50%, 1/12/01HUF 2,039,740,000 8,502,150
Series 03/I, 13%, 7/24/03HUF 1,919,760,000 8,182,082
Series 99-G, 16.50%, 7/24/99HUF 1,946,000,000 8,253,037
-----------
41,519,806
- ------------------------------------------------------------------------------------------------------------------------------------
Indonesia--0.1%
Perusahaan Listr, 17%, 8/21/01(5)IDR 9,000,000,000 544,668
- ------------------------------------------------------------------------------------------------------------------------------------
PT Bank Negara Indonesia Sr. Unsec. Nts., 7.625%, 2/15/07 8,845,000 5,373,337
- ------------------------------------------------------------------------------------------------------------------------------------
PT Hutama Karya Medium-Term Nts.,
Zero Coupon, 9/3/98(5)(13)IDR 25,000,000,000 792,506
-----------
6,710,511
18 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Italy--1.7%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
6%, 11/1/07EUR 42,790,000 $ 52,408,665
8.50%, 1/1/04EUR 53,117,926 69,829,306
8.75%, 7/1/06EUR 9,430,784 13,220,446
10.50%, 4/1/05EUR 4,287,711 6,288,882
-----------
141,747,299
- ------------------------------------------------------------------------------------------------------------------------------------
Ivory Coast--0.1%
Ivory Coast (Government of) Past Due Interest Bonds,
2%, 3/29/18(7)(12) 21,943,350 7,296,164
- ------------------------------------------------------------------------------------------------------------------------------------
Jordan--0.1%
Hashemite (Kingdom of Jordan) Bonds, Series DEF,
5.50%, 12/23/23(12) 13,480,000 7,582,500
- ------------------------------------------------------------------------------------------------------------------------------------
Mexico--2.6%
Fideicomiso Petacalco Trust Nts., 10.16%, 12/23/09(7) 8,000,000 7,220,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Williams Bonds, 5.948%, 11/15/08(6) 1,500,000 1,230,000
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
6.63%, 12/31/19FRF 235,510,000 31,008,465
11.375%, 9/15/16 32,625,000 35,316,562
11.50%, 5/15/26 26,890,000 30,015,962
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Collateralized Fixed Rate Par Bonds:
Series B, 6.25%, 12/31/19 63,050,000 49,651,875
Series W-A, 6.25%, 12/31/19 19,050,000 15,001,875
Series W-B, 6.25%, 12/31/19 29,950,000 23,585,625
- ------------------------------------------------------------------------------------------------------------------------------------
United Mexican States Treasury Bills, Zero Coupon,
32.902%, 5/6/99(8)MXP 240,450,000 24,711,469
-----------
217,741,833
- ------------------------------------------------------------------------------------------------------------------------------------
New Zealand--0.5%
New Zealand (Government of) Bonds, 10%, 3/15/02NZD 66,450,000 40,102,905
- ------------------------------------------------------------------------------------------------------------------------------------
Nigeria--0.2%
Nigeria (Federal Republic of) Promissory Nts.,
Series RC, 5.092%, 1/5/10 28,111,987 18,143,561
- ------------------------------------------------------------------------------------------------------------------------------------
Norway--0.2%
Norway (Government of) Bonds, 9.50%, 10/31/02NOK 125,640,000 18,710,904
- ------------------------------------------------------------------------------------------------------------------------------------
Panama--0.1%
Panama (Government of) Past Due Interest Debs., 5.41%, 7/17/16(6) 10,404,289 8,258,404
- ------------------------------------------------------------------------------------------------------------------------------------
Panama (Republic of) Bonds, 9.375%, 4/1/29 3,500,000 3,514,875
-----------
11,773,279
19 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Peru--0.7%
Peru (Republic of) Sr. Nts., Zero Coupon, 4.534%, 2/28/16(8 $125,567,340 $56,655,984
- ------------------------------------------------------------------------------------------------------------------------------------
Poland--0.7%
Poland (Republic of) Bonds:
12%, 10/12/03PLZ 31,680,000 8,383,223
Series 0600, 14%, 6/12/00PLZ 15,000,000 3,827,802
Series 2 yr., 14%, 2/12/00PLZ 14,000,000 3,542,872
- ------------------------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Past Due Interest Bonds, 5%, 10/27/14(12) 33,185,000 30,613,162
- ------------------------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Treasury Bills, Series 52, Zero Coupon:
14.857%, 10/13/99(8)PLZ 25,180,000 5,899,220
15.122%, 8/11/99(8)PLZ 14,400,000 3,441,601
-----------
55,707,880
- ------------------------------------------------------------------------------------------------------------------------------------
Russia--0.3%
Russia (Government of) Bonds:
18.29%, 4/28/99(5)(13)RUR 34,219,000 267,129
29.80%, 7/14/99(5)(13)RUR 57,402,000 521,796
Series 2, 29.80%, 7/14/99(5)(13)RUR 28,564,000 259,652
Series 3, 18.29%, 4/28/99(5)(13)RUR 31,475,000 245,708
- ------------------------------------------------------------------------------------------------------------------------------------
Russia (Government of) Debs., 5.97%, 12/15/15(6) 1,025,618 84,613
- ------------------------------------------------------------------------------------------------------------------------------------
Russia (Government of) Federal Loan Bonds,
Series 5022, 15%, 2/23/00(5)(13)RUR 190,703,000 1,593,198
- ------------------------------------------------------------------------------------------------------------------------------------
Russia (Government of) Principal Loan Debs.,
Series 24 yr., 12/15/20(12) 59,220,000 4,034,363
- ------------------------------------------------------------------------------------------------------------------------------------
Russia (Government of) Unsec. Bonds, 11%, 7/24/18 46,745,000 12,270,563
- ------------------------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Nts.:
8.75%, 7/24/05 19,140,000 4,880,700
12.75%, 6/24/28 9,590,000 2,906,969
-----------
27,064,691
- ------------------------------------------------------------------------------------------------------------------------------------
Spain--0.8%
Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion del Estado:
4.50%, 7/30/04EUR 13,098,249 14,624,974
6%, 1/31/08EUR 5,853,857 7,121,703
10.90%, 8/30/03EUR 34,540,000 48,525,060
-----------
70,271,737
- ------------------------------------------------------------------------------------------------------------------------------------
Sweden--0.3%
Sweden (Kingdom of) Bonds, Series 1033, 10.25%, 5/5/03SEK 150,900,000 23,028,428
- ------------------------------------------------------------------------------------------------------------------------------------
Turkey--0.0%
Export Credit Bank of Turkey Bonds, 7.562%, 8/18/00(5)(6) 250,000 226,250
20 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela--0.3%
Venezuela (Republic of) Front-Loaded Interest Reduction
Bonds, Series B, 6.125%, 3/31/07(6) $ 7,690,476 $ 5,171,845
- ------------------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) New Money Bonds:
Series A, 6.063%, 12/18/05(6) 12,970,670 9,351,043
Series B, 5.938%, 12/18/05(6) 9,882,353 7,124,559
Series P, 5.938%, 12/18/05(6) 2,676,482 1,890,266
-------------
23,537,713
- ------------------------------------------------------------------------------------------------------------------------------------
Vietnam--0.0%
Vietnam (Government of) Bonds, 3%, 3/12/28(6) 1,932,000 543,375
-------------
Total Foreign Government Obligations (Cost $1,541,199,501) 1,445,255,964
====================================================================================================================================
Loan Participations--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Central Bank of Indonesia Gtd. Nts.:
Series 3, 8.375%, 8/25/01(5) 9,000,000 5,715,000
Series 4, 8.625%, 8/25/02(5) 1,620,000 963,900
- ------------------------------------------------------------------------------------------------------------------------------------
Jamaica (Government of) 1990 Refinancing Agreement Nts.,
Tranche A, 5.875%, 10/16/00(5)(6) 489,240 459,886
- ------------------------------------------------------------------------------------------------------------------------------------
Morocco (Kingdom of) Loan Participation Agreement,
Tranche A, 6.063%, 1/1/09(5)(6) 27,695,238 22,502,381
- ------------------------------------------------------------------------------------------------------------------------------------
PT Bank Ekspor Impor Indonesia Nts.:
Series 2 yr., 8.125%, 8/25/00(5) 900,000 643,500
Series 3 yr., 8.375%, 8/25/01(5) 1,350,000 857,250
- ------------------------------------------------------------------------------------------------------------------------------------
PT Bank Negara Indonesia Gtd. Nts.:
Series 2 yr., 8.125%, 8/25/00(5) 3,000,000 2,145,000
Series 3 yr., 8.375%, 8/25/01(5) 2,500,000 1,587,500
Series 4 yr., 8.625%, 8/25/02(5) 250,000 148,750
- ------------------------------------------------------------------------------------------------------------------------------------
PT Lippo Bank Nts.:
7.875%, 8/25/99(5) 450,000 409,500
8.125%, 8/25/00(5) 2,400,000 1,716,000
8.375%, 8/25/01(5) 3,600,000 2,286,000
8.625%, 8/25/02(5) 300,000 178,500
-------------
Total Loan Participations (Cost $41,921,864) 39,613,167
21 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
====================================================================================================================================
Corporate Bonds and Notes--39.9%
- ------------------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--1.1%
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 $22,273,000 $23,052,555
- ------------------------------------------------------------------------------------------------------------------------------------
Amtran, Inc.:
9.625% Nts., 12/15/05 4,000,000 4,000,000
10.50% Sr. Nts., 8/1/04 7,800,000 8,082,750
- ------------------------------------------------------------------------------------------------------------------------------------
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08(5) 7,700,000 7,623,000
9.375% Sr. Nts., 11/15/06(7) 7,000,000 7,035,000
10.75% Sr. Nts., 8/1/05 8,183,000 8,602,379
- ------------------------------------------------------------------------------------------------------------------------------------
Constellation Finance LLC, 9.80% Airline Receivable
Asset-Backed Nts., Series 1997-1, 1/1/01(5) 7,500,000 7,275,000
- ------------------------------------------------------------------------------------------------------------------------------------
GPA Delaware, Inc., 9.75%, 12/10/01(5) 2,000,000 2,020,000
- ------------------------------------------------------------------------------------------------------------------------------------
Greater Toronto Airport, 5.40% Debs., 12/3/02CAD 10,005,000 6,631,196
- ------------------------------------------------------------------------------------------------------------------------------------
Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts.,
Series 1997-A, Cl. B, 6/15/04(5) 4,043,336 4,174,341
- ------------------------------------------------------------------------------------------------------------------------------------
SC International Services, Inc., 9.25% Sr. Sub. Nts., Series B, 9/1/07 10,150,000 11,012,750
- ------------------------------------------------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14% Equipment Trust, 7/2/08(5) 3,164,778 3,101,483
-------------
92,610,454
- ------------------------------------------------------------------------------------------------------------------------------------
Chemicals--0.6%
Brunner Mond Group plc, 12.50% Sr. Sub. Nts., 7/15/08(7)GBP 3,885,000 3,606,148
- ------------------------------------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 2,500,000 2,412,500
- ------------------------------------------------------------------------------------------------------------------------------------
ICO, Inc., 10.375% Sr. Nts., 6/1/07 2,200,000 1,507,000
- ------------------------------------------------------------------------------------------------------------------------------------
Laroche Industries, Inc., 9.50% Sr. Sub. Nts., Series B, 9/15/07 2,205,000 1,642,725
- ------------------------------------------------------------------------------------------------------------------------------------
NL Industries, Inc., 11.75% Sr. Sec. Nts., 10/15/03 9,560,000 10,181,400
- ------------------------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, Inc., 9.25% Sec. Nts., 10/15/07 4,375,000 3,543,750
- ------------------------------------------------------------------------------------------------------------------------------------
Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07 4,395,000 3,625,875
- ------------------------------------------------------------------------------------------------------------------------------------
Polytama International Finance BV, 11.25% Sec. Nts., 6/15/07(13) 6,165,927 878,645
- ------------------------------------------------------------------------------------------------------------------------------------
Sovereign Specialty Chemicals, Inc., 9.50% Sr. Unsec. Sub. Nts.,
Series B, 8/1/07 8,615,000 8,938,062
- ------------------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals, Inc.:
11.25% Sr. Sub. Nts., 4/1/07 2,510,000 2,309,200
11.75% Sr. Unsec. Sub. Nts., 8/15/06 10,610,000 10,026,450
-------------
48,671,755
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Durables--0.2%
Holmes Products Corp.:
9.875% Sr. Sub. Nts., Series C, 11/15/07(5) 2,000,000 1,910,000
9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 6,110,000 5,835,050
- ------------------------------------------------------------------------------------------------------------------------------------
Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 8,100,000 5,710,500
- ------------------------------------------------------------------------------------------------------------------------------------
TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05(5) 4,705,000 5,374,098
-------------
18,829,648
22 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Consumer Non-Durables--1.1%
AKI Holdings, Inc.:
0%/13.50% Sr. Disc. Debs., 7/1/09(14) $ 3,850,000 $ 1,549,625
10.50% Sr. Unsec. Nts., 7/1/08 3,350,000 3,299,750
- ------------------------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 8,025,000 5,136,000
- ------------------------------------------------------------------------------------------------------------------------------------
Bell Sports, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 8/15/08 9,555,000 9,865,537
- ------------------------------------------------------------------------------------------------------------------------------------
Fruit of the Loom, Inc., 8.875% Sr. Unsec. Nts., 4/15/06(7) 9,000,000 9,045,000
- ------------------------------------------------------------------------------------------------------------------------------------
Globe Manufacturing, Inc., 10% Sr. Sub. Nts., 8/1/08(7) 4,550,000 3,503,500
- ------------------------------------------------------------------------------------------------------------------------------------
Indorayon International Finance Co. BV, 10% Gtd. Unsec.
Unsub. Nts., 3/29/01(5) 1,850,000 601,250
- ------------------------------------------------------------------------------------------------------------------------------------
Phillips-Van Heusen Corp., 9.50% Sr. Unsec. Sub. Nts., 5/1/08 4,745,000 4,721,275
- ------------------------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/00(5)(13) 4,025,000 815,062
- ------------------------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp.:
8.625% Sr. Unsec. Sub. Nts., 2/1/08 20,250,000 18,630,000
9% Sr. Nts., 11/1/06 5,485,000 5,457,575
- ------------------------------------------------------------------------------------------------------------------------------------
Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts.,
Series B, 23.12%, 3/15/01(8) 7,225,000 4,371,125
- ------------------------------------------------------------------------------------------------------------------------------------
Salton/Maxim Housewares, Inc., 10.75% Sr. Sub. Nts., 12/15/05(5) 10,300,000 10,454,500
- ------------------------------------------------------------------------------------------------------------------------------------
Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 6,340,000 6,181,500
- ------------------------------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06(5) 2,890,000 3,106,750
- ------------------------------------------------------------------------------------------------------------------------------------
Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 6,300,000 6,426,000
-------------
93,164,449
- ------------------------------------------------------------------------------------------------------------------------------------
Energy--1.6%
AEI Resources, Inc., 11.50% Sr. Sub. Nts., 12/15/06(7) 5,000,000 5,012,500
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
8.50% Sr. Nts., 3/15/12 2,000,000 1,390,000
9.125% Sr. Unsec. Nts., 4/15/06 1,491,000 1,200,255
9.625% Sr. Unsec. Nts., Series B, 5/1/05 5,160,000 4,321,500
- ------------------------------------------------------------------------------------------------------------------------------------
Clark Refinancing & Marketing, Inc., 8.875% Sr. Sub. Nts., 11/15/07 9,795,000 8,276,775
- ------------------------------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 10.875% Sr. Nts., Series B, 12/1/05(5) 3,600,000 3,006,000
- ------------------------------------------------------------------------------------------------------------------------------------
Dailey International, Inc., 9.50% Sr. Unsec. Nts., Series B, 2/15/08(5) 3,700,000 1,202,500
- ------------------------------------------------------------------------------------------------------------------------------------
Denbury Management, Inc., 9% Sr. Sub. Nts., 3/1/08 4,450,000 3,804,750
- ------------------------------------------------------------------------------------------------------------------------------------
Empresa Electric Del Norte, 10.50% Sr. Debs., 6/15/05(7) 1,300,000 851,500
- ------------------------------------------------------------------------------------------------------------------------------------
Forcenergy, Inc., 9.50% Sr. Sub. Nts., 11/1/06(13) 11,850,000 5,628,750
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp., 0%/14.125% Sr. Disc. Nts., 5/1/06(14) 18,450,000 5,719,500
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Production Corp., 11.125% Sr. Sec. Nts., Series B, 5/1/05(7) 8,575,000 6,688,500
- ------------------------------------------------------------------------------------------------------------------------------------
Grant Geophysical, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/15/08 5,925,000 3,525,375
- ------------------------------------------------------------------------------------------------------------------------------------
National Energy Group, Inc., 10.75% Sr. Nts., Series D, 11/1/06(13) 9,720,000 2,964,600
- ------------------------------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 13,000,000 9,165,000
- ------------------------------------------------------------------------------------------------------------------------------------
P&L Coal Holdings Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 15,500,000 16,255,625
- ------------------------------------------------------------------------------------------------------------------------------------
Parker Drilling Co., 9.75% Sr. Unsec. Nts., Series D, 11/15/06 4,500,000 3,757,500
- ------------------------------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 8.75% Sr. Sub. Nts., 5/15/07(5) 9,185,000 8,496,125
23 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Energy (continued)
R&B Falcon Corp., 12.25% Sr. Nts., 3/15/06(7) $ 8,000,000 $ 8,520,000
- ------------------------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08(5) 20,215,000 13,089,212
- ------------------------------------------------------------------------------------------------------------------------------------
Statia Terminals International/Statia Terminals (Canada), Inc.,
11.75% First Mtg. Nts., Series B, 11/15/03 1,775,000 1,899,250
- ------------------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07 9,460,000 9,530,950
- ------------------------------------------------------------------------------------------------------------------------------------
Universal Compression Holdings, Inc.:
0%/9.875% Sr. Disc. Nts., 2/15/08(14) 8,725,000 5,365,875
0%/11.375% Sr. Disc. Nts., 2/15/09(14) 2,400,000 1,428,000
-------------
131,100,042
- ------------------------------------------------------------------------------------------------------------------------------------
Financial--8.2%
AMRESCO, Inc.:
10% Sr. Sub. Nts., Series 97-A, 3/15/04 7,050,000 5,322,750
9.875% Sr. Sub. Nts., Series 98-A, 3/15/05 4,260,000 3,216,300
- ------------------------------------------------------------------------------------------------------------------------------------
Bakrie Investindo, Zero Coupon Promissory Nts.,
7/10/98(5)(13)IDR 27,000,000,000 466,858
- ------------------------------------------------------------------------------------------------------------------------------------
Banco Nacional de Mexico SA, 11% Sub. Exchangeable
Capital Debs., 7/15/03(5) 9,750,000 9,219,844
- ------------------------------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4,167,000 3,458,610
- ------------------------------------------------------------------------------------------------------------------------------------
Bayerische Vereinsbank AG, 5% Sec. Nts., Series 661, 7/28/04EUR 12,196,867 13,987,877
- ------------------------------------------------------------------------------------------------------------------------------------
CB Richard Ellis Services, Inc., 8.875% Sr. Unsec. Sub. Nts., 6/1/06(5) 8,250,000 8,311,875
- ------------------------------------------------------------------------------------------------------------------------------------
ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02(5) 128,500 128,822
- ------------------------------------------------------------------------------------------------------------------------------------
Emergent Group, Inc., 10.75% Sr. Nts., Series B, 9/15/04(5 2,625,000 1,063,125
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.625%, 6/10/03GBP 3,555,000 5,832,959
- ------------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. Unsec. Nts., 5.75%, 3/15/09 220,000,000 218,178,400
- ------------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
Unsec. Nts., 5.25%, 1/15/09 230,000,000 219,792,600
Unsec. Nts., 6%, 5/15/08 50,000,000 50,523,500
Sub. Capital Debs., Zero Coupon, 10.783%, 10/9/19(8) 170,000,000 47,307,600
- ------------------------------------------------------------------------------------------------------------------------------------
Hypothekenbank in Essen AG, 5.50% Sec. Nts.,
Series 459, 2/20/07EUR 17,077,148 20,025,412
- ------------------------------------------------------------------------------------------------------------------------------------
Industrial Bank of Japan Preferred Capital Co. (The) LLC,
8.79% Bonds, 12/29/49(6)(7) 6,550,000 5,577,397
- ------------------------------------------------------------------------------------------------------------------------------------
Local Financial Corp., 11% Sr. Nts., 9/8/04(7) 10,000,000 10,350,000
- ------------------------------------------------------------------------------------------------------------------------------------
Ocwen Capital Trust I, 10.875% Capital Nts., 8/1/27(5) 5,350,000 4,360,250
- ------------------------------------------------------------------------------------------------------------------------------------
Ocwen Financial Corp., 11.875% Nts., 10/1/03 9,275,000 8,764,875
- ------------------------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Gtd. Nts.,
3/29/04(5)(13) 4,970,000 310,625
- ------------------------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd., 10.206% Nts., 11/15/07(6) 2,400,000 2,448,000
- ------------------------------------------------------------------------------------------------------------------------------------
PT Polysindo Eka Perkasa:
11% Nts., 6/18/03(5)(13) 11,350,000 1,475,500
24% Nts., 6/19/03(13)IDR 6,484,800,000 97,178
24 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Financial (continued)
RBF Finance Co., 11% Sec. Nts., 3/15/06(7) $ 7,275,000 $ 7,620,562
- ------------------------------------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts.,
Series B, 4/1/08 20,585,000 19,144,050
- ------------------------------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV Bonds, 10.25%, 7/21/00 14,961,000 336,622
- ------------------------------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., 11.50% Sr. Nts., 11/1/04(5)(13) 9,500,000 4,797,500
- ------------------------------------------------------------------------------------------------------------------------------------
Veritas Capital Trust, 10% Nts., 1/1/28 3,525,000 3,251,812
- ------------------------------------------------------------------------------------------------------------------------------------
Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 6,117,000 6,254,632
- ------------------------------------------------------------------------------------------------------------------------------------
Washington Mutual Capital I, 8.375% Sub.
Capital Income Nts., 6/1/27 2,000,000 2,131,666
- ------------------------------------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc., 13% Nts., 1/1/04(13) 5,440,000 1,659,200
-------------
685,416,401
- ------------------------------------------------------------------------------------------------------------------------------------
Food & Drug--0.9%
AmeriKing, Inc., 10.75% Sr. Nts., 12/1/06 7,600,000 8,075,000
- ------------------------------------------------------------------------------------------------------------------------------------
Family Restaurants, Inc.:
9.75% Sr. Nts., 2/1/02 21,100,000 11,710,500
10.875% Sr. Sub. Disc. Nts., 2/1/04(5) 4,800,000 1,920,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fleming Cos., Inc.:
10.50% Sr. Sub. Nts., Series B, 12/1/04 5,450,000 5,123,000
10.625% Sr. Sub. Nts., Series B, 7/31/07 18,625,000 17,274,687
- ------------------------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc.:
0%/10.75% Jr. Sub. Deferred Coupon Nts., 11/1/03(14) 12,160,000 12,038,400
12.625% Sub. Nts., 6/15/02(5) 3,000,000 3,101,250
- ------------------------------------------------------------------------------------------------------------------------------------
Randall's Food Markets, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 10,810,000 11,755,875
- ------------------------------------------------------------------------------------------------------------------------------------
Shoppers Food Warehouse Corp., 9.75% Sr. Nts., 6/15/04(5) 3,225,000 3,483,000
-------------
74,481,712
- ------------------------------------------------------------------------------------------------------------------------------------
Food/Tobacco--0.4%
Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 2,100,000 2,194,500
- ------------------------------------------------------------------------------------------------------------------------------------
Del Monte Foods Co., 0%/12.50% Sr. Disc. Nts.,
Series B, 12/15/07(14) 6,581,000 4,919,297
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 9.75% Sr. Unsec. Sub. Nts., 5/15/07(7) 2,197,000 2,345,297
- ------------------------------------------------------------------------------------------------------------------------------------
Packaged Ice, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/1/05(5) 7,560,000 7,597,800
- ------------------------------------------------------------------------------------------------------------------------------------
Purina Mills, Inc., 9% Sr. Unsec. Sub. Nts., 3/15/10 2,000,000 1,640,000
- ------------------------------------------------------------------------------------------------------------------------------------
SmithField Foods, Inc., 7.625% Sr. Unsec. Sub. Nts., 2/15/08 2,800,000 2,709,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sparkling Spring Water Group Ltd., 11.50% Sr. Sec.
Sub. Nts., 11/15/07 12,550,000 9,475,250
- ------------------------------------------------------------------------------------------------------------------------------------
Stroh Brewery Co., 11.10% Sr. Sub. Nts., 7/1/06(5) 123,000 123,615
- ------------------------------------------------------------------------------------------------------------------------------------
Triarc Consumer Products Group LLC, 10.25% Sr.
Sub. Nts., 2/15/09(7) 4,500,000 4,477,500
-------------
35,482,259
25 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Forest Products/Containers--0.8%
Ball Corp.:
7.75% Sr. Unsec. Nts., 8/1/06 $ 3,300,000 $ 3,423,750
8.25% Sr. Unsec. Sub. Nts., 8/1/08 3,300,000 3,423,750
- ------------------------------------------------------------------------------------------------------------------------------------
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 5,875,000 6,212,812
- ------------------------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 10.85% Debs., 8/5/17CAD 1,700,000 1,417,803
- ------------------------------------------------------------------------------------------------------------------------------------
Fletcher Challenge Finance U.S.A., Inc., 8.05% Debs., 6/15/03NZD 4,755,000 2,652,302
- ------------------------------------------------------------------------------------------------------------------------------------
Fletcher Challenge Ltd.:
10% Cv. Unsec. Sub. Nts., 4/30/05NZD 4,900,000 2,814,164
14.50% Cv. Sub. Nts., 9/30/00NZD 4,900,000 2,894,858
- ------------------------------------------------------------------------------------------------------------------------------------
Florida Coast Paper Co. LLC, 12.75% First Mtg. Nts.,
Series B, 6/1/03(13) 5,050,000 2,348,250
- ------------------------------------------------------------------------------------------------------------------------------------
Four M Corp., 12% Sr. Sec. Nts., Series B, 6/1/06 3,245,000 2,482,425
- ------------------------------------------------------------------------------------------------------------------------------------
Gaylord Container Corp., 9.75% Sr. Nts., 6/15/07 4,000,000 3,900,000
- ------------------------------------------------------------------------------------------------------------------------------------
Indah Kiat International Finance Co. BV, 11.375% Sec. Nts.,
Series A, 6/15/99(5) 5,400,000 5,116,500
- ------------------------------------------------------------------------------------------------------------------------------------
Mail-Well Corp., 8.75% Sr. Sub. Nts., 12/15/08(7) 2,335,000 2,405,050
- ------------------------------------------------------------------------------------------------------------------------------------
Riverwood International Corp.:
10.625% Sr. Unsec. Nts., 8/1/07 9,490,000 9,917,050
10.875% Sr. Sub. Nts., 4/1/08 11,330,000 11,018,425
- ------------------------------------------------------------------------------------------------------------------------------------
SD Warren Co., 12% Sr. Sub. Nts., Series B, 12/15/04 5,250,000 5,722,500
- ------------------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 0%/12.75% Sr. Disc. Nts., 3/15/08(14) 2,100,000 567,000
- ------------------------------------------------------------------------------------------------------------------------------------
U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 3,850,000 3,874,062
-------------
70,190,701
- ------------------------------------------------------------------------------------------------------------------------------------
Gaming/Leisure--2.1%
AP Holdings, Inc., 0%/11.25% Sr. Disc. Nts., 3/15/08(14) 2,150,000 1,236,250
- ------------------------------------------------------------------------------------------------------------------------------------
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4,875,000 4,606,875
- ------------------------------------------------------------------------------------------------------------------------------------
Aztar Corp., 13.75% Sr. Sub. Nts., 10/1/04 3,725,000 4,111,469
- ------------------------------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50%
Promissory Nts., 8/1/95(13) 33,500 --
- ------------------------------------------------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First Mtg. Nts.,
Series A, 11/15/00(5)(13) 2,100,000 105,000
- ------------------------------------------------------------------------------------------------------------------------------------
Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 7,725,000 7,483,594
- ------------------------------------------------------------------------------------------------------------------------------------
Casino America, Inc., 12.50% Sr. Sec. Nts., 8/1/03(5) 5,125,000 5,893,750
- ------------------------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts.,
Series B, 8/15/03 5,300,000 6,068,500
- ------------------------------------------------------------------------------------------------------------------------------------
Coast Hotel & Casinos, Inc., 9.50% Sr. Sub. Nts., 4/1/09(7) 3,000,000 3,045,000
- ------------------------------------------------------------------------------------------------------------------------------------
Empress Entertainment, Inc., 8.125% Sr. Sub. Nts., 7/1/06 4,290,000 4,290,000
- ------------------------------------------------------------------------------------------------------------------------------------
Grupo Posadas SA de CV, 10.375% Bonds, 2/13/02 2,500,000 2,225,000
- ------------------------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 4,060,000 3,958,500
26 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Gaming/Leisure (continued)
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 $ 450,000 $ 478,125
- ------------------------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Sub. Nts., 2/15/07(7) 8,000,000 8,260,000
- ------------------------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 13,350,000 13,750,500
- ------------------------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 11,875,000 12,320,312
- ------------------------------------------------------------------------------------------------------------------------------------
Jupiters Ltd., 8.50% Sr. Nts., 3/1/06(7) 7,100,000 7,171,000
- ------------------------------------------------------------------------------------------------------------------------------------
Majestic Star Casino LLC (The), 12.75% Sr. Sec. Nts., 5/15/03 5,000,000 5,475,000
- ------------------------------------------------------------------------------------------------------------------------------------
Meristar Hospitality Corp., 8.75% Sr. Sub. Nts., 8/15/07(7) 8,000,000 7,680,000
- ------------------------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
8.125% Sr. Nts., 1/1/06(7) 2,950,000 3,027,437
8.75% Sr. Sub. Nts., 1/1/09(7) 12,050,000 12,607,312
- ------------------------------------------------------------------------------------------------------------------------------------
Outboard Marine Corp., 10.75% Sr. Nts., 6/1/08(7) 4,120,000 3,399,000
- ------------------------------------------------------------------------------------------------------------------------------------
Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 12/15/05(7) 4,650,000 4,580,250
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(5) 10,800,000 3,510,000
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Parks, Inc.:
0%/10% Sr. Disc. Nts., 4/1/08(14) 6,350,000 4,460,875
9.25% Sr. Nts., 4/1/06 5,355,000 5,595,975
- ------------------------------------------------------------------------------------------------------------------------------------
Rio Hotel & Casino, Inc.:
9.50% Sr. Sub. Nts., 4/15/07 13,120,000 14,366,400
10.625% Sr. Sub. Nts., 7/15/05 3,010,000 3,265,850
- ------------------------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 99,500
- ------------------------------------------------------------------------------------------------------------------------------------
Six Flags Entertainment Corp., 8.875% Sr. Nts., 4/1/06 5,720,000 5,877,300
- ------------------------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 8.875% Sr. Sub. Nts., 12/1/08(7) 4,500,000 4,635,000
- ------------------------------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc.:
10% Sr. Unsec. Sub. Nts., 11/15/05(12) 7,100,000 6,851,500
12.25% Mtg. Nts., 11/15/04 5,000,000 5,175,000
-------------
175,610,274
- ------------------------------------------------------------------------------------------------------------------------------------
Healthcare--0.5%
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08DEM 5,250,000 3,042,803
- ------------------------------------------------------------------------------------------------------------------------------------
ICN Pharmaceuticals, Inc., 8.75% Sr. Nts., 11/15/08(7) 5,500,000 5,555,000
- ------------------------------------------------------------------------------------------------------------------------------------
Integrated Health Services, Inc.:
9.50% Sr. Sub. Nts., 9/15/07 6,160,000 4,096,400
10.25% Sr. Sub. Nts., 4/30/06 605,000 426,525
- ------------------------------------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc., 9.625% Sr. Unsec. Sub. Nts., Series B, 11/1/07 6,465,000 6,271,050
- ------------------------------------------------------------------------------------------------------------------------------------
King Pharmaceutical, Inc., 10.75% Sr. Sub. Nts., 2/15/09(7) 4,750,000 4,868,750
- ------------------------------------------------------------------------------------------------------------------------------------
Magellan Health Services, Inc., 9% Sr. Sub. Nts., 2/15/08 5,050,000 4,368,250
- ------------------------------------------------------------------------------------------------------------------------------------
Oxford Health Plans, Inc., 11% Sr. Nts., 5/15/05(5) 8,015,000 8,255,450
- ------------------------------------------------------------------------------------------------------------------------------------
Sun Healthcare Group, Inc., 9.50% Sr. Sub. Nts., 7/1/07 3,815,000 782,075
- ------------------------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8.125% Sr. Sub. Nts., 12/1/08(7) 5,500,000 5,307,500
-------------
42,973,803
27 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Housing--0.7%
Building Materials Corp. of America, 8.625% Sr. Nts.,
Series B, 12/15/06 $ 3,400,000 $ 3,459,500
- ------------------------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 8,500,000 8,372,500
- ------------------------------------------------------------------------------------------------------------------------------------
Del Webb Corp., 10.25% Sr. Unsec. Sub. Nts., 2/15/10 9,100,000 9,304,750
- ------------------------------------------------------------------------------------------------------------------------------------
Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07 1,830,000 1,674,450
- ------------------------------------------------------------------------------------------------------------------------------------
Kaufman & Broad Home Corp., 7.75% Sr. Nts., 10/15/04(5) 13,800,000 13,662,000
- ------------------------------------------------------------------------------------------------------------------------------------
Nortek, Inc.:
8.875% Sr. Nts., 8/1/08(7) 3,000,000 3,105,000
9.125% Sr. Nts., Series B, 9/1/07 11,450,000 11,936,625
9.25% Sr. Nts., Series B, 3/15/07 5,100,000 5,342,250
-------------
56,857,075
- ------------------------------------------------------------------------------------------------------------------------------------
Information Technology--0.6%
Details, Inc., 10% Sr. Sub. Nts., Series B, 11/15/05 8,250,000 7,590,000
- ------------------------------------------------------------------------------------------------------------------------------------
DII Group, Inc., 8.50% Sr. Sub. Nts., 9/15/07 925,000 934,250
- ------------------------------------------------------------------------------------------------------------------------------------
Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 6,345,000 6,448,106
- ------------------------------------------------------------------------------------------------------------------------------------
Fairchild Semiconductor Corp., 10.375% Sr. Sub. Nts., 10/1/07(4)(7) 8,000,000 8,140,000
- ------------------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.75% Sr. Sub. Nts., 9/30/09(5) 9,800,000 10,143,000
- ------------------------------------------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05 14,000,000 11,060,000
- ------------------------------------------------------------------------------------------------------------------------------------
Unisys Corp., 11.75% Sr. Nts., 10/15/04 3,800,000 4,313,000
- ------------------------------------------------------------------------------------------------------------------------------------
Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07 5,625,000 5,259,375
-------------
53,887,731
- ------------------------------------------------------------------------------------------------------------------------------------
Manufacturing--1.1%
Applied Power, Inc., 8.75% Sr. Sub. Nts., 4/1/09 8,000,000 8,150,000
- ------------------------------------------------------------------------------------------------------------------------------------
Axia, Inc. (New), 10.75% Sr. Sub. Nts., 7/15/08 2,650,000 2,650,000
- ------------------------------------------------------------------------------------------------------------------------------------
Burke Industries, Inc., 10% Sr. Sub. Nts., 8/15/07 3,475,000 3,144,875
- ------------------------------------------------------------------------------------------------------------------------------------
Cia Latino Americana de Infraestructura & Servicios SA-CLISA,
11.625% Sr. Unsec. Nts., 6/1/04(5) 650,000 386,750
- ------------------------------------------------------------------------------------------------------------------------------------
Communications & Power Industries, Inc., 12% Sr. Sub. Nts.,
Series B, 8/1/05 12,553,000 13,321,871
- ------------------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Industries, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/1/08 1,050,000 1,015,875
- ------------------------------------------------------------------------------------------------------------------------------------
Grove Worldwide LLC, 9.25% Sr. Sub. Nts., 5/1/08 3,275,000 2,669,125
- ------------------------------------------------------------------------------------------------------------------------------------
Grupo Mexicano de Desarrollo SA, 8.25% Unsec.
Unsub. Nts., 2/17/01(7)(13) 6,000,000 1,215,000
- ------------------------------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 6,300,000 5,512,500
Insilco Corp., Units (each unit consists of $1,000 principal
amount of 12% Sr. Sub. Nts., 8/15/07 and one warrant to
purchase 0.52 shares of common stock)(7)(15) 7,780,000 7,702,200
- ------------------------------------------------------------------------------------------------------------------------------------
International Wire Group, Inc., 11.75% Sr. Sub. Nts.,
Series B, 6/1/05(5) 7,835,000 8,324,687
- ------------------------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Nts., Series C, 8/1/07(7) 7,750,000 7,730,625
28 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Manufacturing (continued)
Mechala Group Jamaica Ltd., 12.75% Gtd. Sr. Sec. Sub. Nts.,
Series B, 12/30/99 $ 4,870,000 $ 1,180,975
- ------------------------------------------------------------------------------------------------------------------------------------
Moll Industries, Inc., 10.50% Sr. Unsec. Sub. Nts., 7/1/08 2,600,000 2,223,000
- ------------------------------------------------------------------------------------------------------------------------------------
Paragon Corp. Holdings, Inc., 9.625% Sr. Unsec. Nts.,
Series B, 4/1/08 1,455,000 1,171,275
- ------------------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., 9% Sr. Sub. Nts., 7/1/07 2,990,000 3,042,325
- ------------------------------------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts.,
Series B, 6/15/07 10,400,000 9,958,000
- ------------------------------------------------------------------------------------------------------------------------------------
Terex Corp.:
8.875% Sr. Unsec. Sub. Nts., 4/1/08(5) 2,500,000 2,462,500
8.875% Sr. Unsec. Sub. Nts., Series C, 4/1/08(7) 5,100,000 5,023,500
- ------------------------------------------------------------------------------------------------------------------------------------
Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03 5,000,000 5,100,000
-------------
91,985,083
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Broadcasting--1.3%
Allbritton Communications Co., 8.875% Sr. Sub. Nts.,
Series B, 2/1/08 2,375,000 2,446,250
- ------------------------------------------------------------------------------------------------------------------------------------
Azteca Holdings SA, 11% Sr. Sec. Nts., 6/15/02 5,730,000 4,899,150
- ------------------------------------------------------------------------------------------------------------------------------------
Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07 9,825,000 10,463,625
- ------------------------------------------------------------------------------------------------------------------------------------
CBS Radio, Inc., 11.375% Exchangeable Unsec.
Sub. Debs., 1/15/09(16) 939,600 1,094,634
- ------------------------------------------------------------------------------------------------------------------------------------
Chancellor Media Corp.:
8.125% Sr. Sub. Nts., Series B, 12/15/07 10,000,000 10,225,000
8.75% Sr. Unsec. Sub. Nts., Series B, 6/15/07 6,000,000 6,255,000
9% Sr. Unsec. Sub. Nts., 10/1/08 1,600,000 1,724,000
10.50% Sr. Sub. Nts., Series B, 1/15/07 2,895,000 3,198,975
- ------------------------------------------------------------------------------------------------------------------------------------
Emmis Communications Corp., 8.125% Sr. Sub. Nts., 3/15/09(7) 13,725,000 13,896,562
- ------------------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 9,425,000 9,802,000
- ------------------------------------------------------------------------------------------------------------------------------------
Radio One, Inc., 7% Sr. Sub. Nts., Series B, 5/15/04(12) 3,000,000 3,075,000
- ------------------------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8.75% Sr. Sub. Nts., 12/15/07 8,275,000 8,419,812
9% Sr. Unsec. Sub. Nts., 7/15/07 9,725,000 9,943,812
10% Sr. Sub. Nts., 9/30/05 725,000 768,500
- ------------------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc.:
11% Sr. Nts., 3/15/04(5) 2,400,000 2,628,000
12.50% Sr. Nts., 6/15/02 1,000,000 1,115,000
- ------------------------------------------------------------------------------------------------------------------------------------
TV Azteca SA de CV:
10.125% Sr. Nts., Series A, 2/15/04 3,300,000 2,805,000
10.50% Sr. Nts., Series B, 2/15/07 5,150,000 4,338,875
- ------------------------------------------------------------------------------------------------------------------------------------
Young Broadcasting, Inc.:
8.75% Sr. Sub. Debs., 6/15/07 13,125,000 13,518,750
9% Sr. Sub. Nts., Series B, 1/15/06 825,000 870,375
-------------
111,488,320
29 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Cable/Wireless Video--2.2%
Adelphia Communications Corp.:
8.125% Sr. Nts., Series B, 7/15/03 $ 4,750,000 $ 4,821,250
8.375% Sr. Nts., Series B, 2/1/08 5,150,000 5,304,500
9.25% Sr. Nts., 10/1/02 7,175,000 7,479,937
9.875% Sr. Nts., Series B, 3/1/07 2,000,000 2,190,000
10.50% Sr. Unsec. Nts., Series B, 7/15/04 6,040,000 6,734,600
- ------------------------------------------------------------------------------------------------------------------------------------
American Telecasting, Inc., 0%/14.50% Sr. Disc. Nts., 6/15/04(14) 2,117,490 645,834
- ------------------------------------------------------------------------------------------------------------------------------------
Bresnan Communications, Inc.:
0%/9.25% Sr. Disc. Nts., 2/1/09(7)(14) 9,590,000 6,569,150
8% Sr. Nts., 2/1/09(7) 2,300,000 2,374,750
- ------------------------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter
Communication Holdings Capital Corp.:
0%/9.92% Sr. Disc. Nts., 4/1/11(7)(14) 29,000,000 18,850,000
8.25% Sr. Nts., 4/1/07(7) 10,650,000 10,942,875
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
9.875% Sr. Sub. Debs., 2/15/13 2,620,000 2,931,125
9.875% Sr. Sub. Debs., 4/1/23 1,350,000 1,518,750
9.875% Sr. Sub. Nts., 5/15/06 2,215,000 2,392,200
10.50% Sr. Sub. Debs., 5/15/16 7,950,000 9,500,250
- ------------------------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09(7) 21,850,000 22,805,937
- ------------------------------------------------------------------------------------------------------------------------------------
EchoStar I, 8.25% Bonds, 2/26/01(5) 5,113,508 5,113,509
- ------------------------------------------------------------------------------------------------------------------------------------
EchoStar II, 8.25% Sinking Fund Bonds, 11/9/01(5) 5,158,999 5,158,999
- ------------------------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP:
0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(14) 7,425,000 5,178,937
8.375% Sr. Unsec. Debs., Series B, 4/15/10 3,000,000 3,030,000
- ------------------------------------------------------------------------------------------------------------------------------------
Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts.,
Series B, 11/1/03(6) 11,649,000 12,333,379
- ------------------------------------------------------------------------------------------------------------------------------------
Optel, Inc., 13% Sr. Nts., Series B, 2/15/05 16,000,000 16,200,000
- ------------------------------------------------------------------------------------------------------------------------------------
Rogers Cablesystems Ltd., 10% Second Priority Sr.
Sec. Debs., 12/1/07 4,350,000 4,893,750
- ------------------------------------------------------------------------------------------------------------------------------------
Rogers Communications, Inc., 8.75% Sr. Nts., 7/15/07CAD 20,000,000 13,749,421
- ------------------------------------------------------------------------------------------------------------------------------------
TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 2,900,000 3,124,901
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts.,
Series B, 2/15/08(14) 16,095,000 11,004,956
-------------
184,849,010
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media--1.0%
AMC Entertainment, Inc., 9.50% Sr. Sub. Nts., 2/1/11(7) 8,000,000 7,650,000
- ------------------------------------------------------------------------------------------------------------------------------------
GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(5) 770,695 773,008
- ------------------------------------------------------------------------------------------------------------------------------------
Hollywood Theaters, Inc., 10.625% Sr. Sub. Nts., 8/1/07 2,075,000 1,462,875
- ------------------------------------------------------------------------------------------------------------------------------------
IPC Magazines Group plc:
0%/10.75% Bonds, 3/15/08(14)GBP 2,500,000 2,022,921
9.625% Bonds, 3/15/08GBP 10,525,000 14,272,039
- ------------------------------------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/15/10 7,000,000 6,877,500
30 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Diversified Media (continued)
SFX Entertainment, Inc., 9.125% Sr. Unsec. Sub. Nts.,
Series B, 2/1/08 $ 13,725,000 $ 14,068,125
- ------------------------------------------------------------------------------------------------------------------------------------
Sun Media Corp., 9.50% Sr. Sub. Nts., 5/15/07 578,000 634,355
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Debs., 3/15/23 8,209,000 9,581,849
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner, Inc.:
9.125% Debs., 1/15/13 2,000,000 2,409,240
9.15% Debs., 2/1/23 9,000,000 11,259,126
- ------------------------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Sub. Nts., 3/1/09(7) 8,750,000 8,925,000
- ------------------------------------------------------------------------------------------------------------------------------------
World Color Press, Inc., 7.75% Sr. Sub. Nts., 2/15/09(7) 5,000,000 4,925,000
-------------
84,861,038
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications--6.8%
Allegiance Telecom, Inc.:
0%/11.75% Sr. Unsec. Disc. Nts., Series B, 2/15/08(14) 4,250,000 2,698,750
12.875% Sr. Nts., 5/15/08 2,000,000 2,230,000
- ------------------------------------------------------------------------------------------------------------------------------------
Amazon.Com, Inc., 0%/10% Sr. Unsec. Disc. Nts., 5/1/08(14) 20,435,000 13,997,975
- ------------------------------------------------------------------------------------------------------------------------------------
COLT Telecom Group plc:
0%/12% Sr. Unsec. Disc. Nts., 12/15/06(14) 3,950,000 3,337,750
7.625% Bonds, 7/31/08DEM 10,800,000 6,129,074
8.875% Sr. Nts., 11/30/07DEM 4,450,000 2,612,912
10.125% Sr. Nts., 11/30/07GBP 6,290,000 10,864,733
Units (each unit consists of $1,000 principal amount of
0%/12% sr. disc. nts., 12/15/06 and one warrant to purchase
7.8 ordinary shares)(14)(15) 17,325,000 14,639,625
- ------------------------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc.
Debs., 11/15/07(5)(14) 6,260,000 5,649,650
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., 12.75% Sr. Unsec. Nts., 12/15/07(5) 4,085,000 4,646,687
- ------------------------------------------------------------------------------------------------------------------------------------
Convergent Communications, Inc., 13% Sr. Nts., 4/1/08 7,000,000 4,690,000
- ------------------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc., 0%/13.50% Sr.
Disc. Nts., 3/15/08(14) 31,375,000 17,138,594
- ------------------------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/11.75% Sr.
Disc. Nts., 12/15/05(14) 27,875,000 24,773,906
- ------------------------------------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 2,050,000 2,142,250
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 13.75% Sr. Nts., 7/15/07 4,215,000 4,215,000
- ------------------------------------------------------------------------------------------------------------------------------------
Exodus Communications, Inc., 11.25% Sr. Nts., 7/1/08 4,255,000 4,675,181
- ------------------------------------------------------------------------------------------------------------------------------------
FirstWorld Communications, Inc., 0%/13% Sr.
Disc. Nts., 4/15/08(14) 7,530,000 2,936,700
- ------------------------------------------------------------------------------------------------------------------------------------
Focal Communications Corp., 0%/12.125% Sr. Unsec.
Disc. Nts., 2/15/08(14) 9,305,000 5,234,063
- ------------------------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 9.625% Sr. Nts., 5/15/08 13,285,000 14,862,594
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05(5) 12,340,000 12,895,300
- ------------------------------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc., 0%/13.875% Cv. Sr.
Sub. Disc. Nts., 12/15/05(7)(14) 1,800,000 1,829,250
31 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications (continued)
GST Telecommunications, Inc./GST Network Funding
Corp., Inc., 0%/10.50% Sr. Disc. Nts., 5/1/08(7)(14) $ 6,360,000 $ 3,370,800
- ------------------------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(14) 12,955,000 9,716,250
- ------------------------------------------------------------------------------------------------------------------------------------
Hyperion Telecommunication, Inc., 12% Sr. Sub. Nts., 11/1/07(7) 9,500,000 9,880,000
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/12.50% Sr. Sec. Disc. Nts., 5/1/06(5)(14) 2,800,000 2,310,000
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Services, Inc., 0%/10% Sr. Exchangeable Unsec.
Disc. Nts., 2/15/08(14) 1,235,000 759,525
- ------------------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
0%/12.25% Sr. Disc. Nts., 3/1/09(7)(14) 6,000,000 3,810,000
8.50% Sr. Nts., Series B, 1/15/08 11,675,000 11,704,188
8.60% Sr. Unsec. Nts., Series B, 6/1/08 14,180,000 14,250,900
8.875% Sr. Nts., 11/1/07 7,815,000 7,990,838
- ------------------------------------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc., 0%/12.50% Sr. Unsec. Disc.
Nts., 2/15/08(5)(14) 27,316,000 15,228,670
- ------------------------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc.:
0%/10.50% Sr. Disc. Nts., 12/1/08(7)(14) 25,600,000 16,224,000
9.125% Sr. Unsec. Nts., 5/1/08 9,565,000 9,684,563
- ------------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc., 12.25% Sr. Disc. Nts., 4/15/08(7) 4,160,000 2,932,800
- ------------------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc.:
8.125% Sr. Nts., 2/15/09(7) 10,090,000 10,115,225
8.375% Sr. Nts., 3/15/08 5,000,000 5,050,000
9.25% Sr. Nts., 7/15/07 1,725,000 1,819,875
- ------------------------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Nts., 11/15/08(7) 17,200,000 18,533,000
- ------------------------------------------------------------------------------------------------------------------------------------
Netia Holdings BV:
0%/11% Sr. Disc. Nts., 11/1/07(14)DEM 13,850,000 4,969,221
0%/11% Sr. Disc. Nts., Series B, 11/1/07(14)DEM 9,750,000 3,498,188
0%/11.25% Sr. Disc. Nts., Series B, 11/1/07(14) 4,900,000 3,356,500
10.25% Sr. Nts., Series B, 11/1/07 2,425,000 2,273,438
- ------------------------------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc.:
0%/9.45% Sr. Disc. Unsec. Nts., 4/15/08(14) 5,880,000 3,763,200
9% Sr. Nts., 3/15/08 8,150,000 8,170,375
9.625% Sr. Nts., 10/1/07 15,130,000 15,470,425
10.75% Sr. Nts., 11/15/08(7) 7,300,000 7,920,500
- ------------------------------------------------------------------------------------------------------------------------------------
NorthEast Optic Network, Inc., 12.75% Sr. Nts., 8/15/08 3,800,000 3,971,000
- ------------------------------------------------------------------------------------------------------------------------------------
NTL, Inc.:
0%/9.75% Sr. Deferred Coupon Nts., Series B, 4/1/08(14) 9,350,000 6,404,750
0%/10.75% Sr. Unsec. Unsub. Nts., Series B, 4/1/08(5)(14)GBP 7,590,000 8,454,258
0%/12.375% Sr. Nts., 10/1/08(7)(14) 16,010,000 11,046,900
7% Cv. Sub. Nts., 12/15/08(7) 10,250,000 15,695,313
10% Sr. Nts., Series B, 2/15/07 7,725,000 8,246,438
32 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Telecommunications (continued)
Petersburg Long Distance, Inc., 9% Cv. Sub. Nts., 6/1/06(7) $ 1,500,000 $ 785,625
- ------------------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc., 14% Sr. Disc. Nts., 6/1/04 16,650,000 10,073,250
- ------------------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10% Sr. Unsec. Nts., Series B, 2/15/05 31,010,000 32,948,125
- ------------------------------------------------------------------------------------------------------------------------------------
PTC International Finance BV, 0%/10.75% Gtd. Sr. Unsec.
Sub. Bonds, 7/1/07(5)(14) 6,532,000 4,719,370
- ------------------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc.:
0%/8.29% Sr. Unsec. Disc. Nts., Series B, 2/1/08(14) 15,355,000 11,938,513
0%/9.47% Sr. Disc. Nts., 10/15/07(14) 14,290,000 11,432,000
- ------------------------------------------------------------------------------------------------------------------------------------
RSL Communications plc:
0%/10% Bonds, 3/15/08(14)DEM 18,875,000 6,654,924
0%/10.125% Sr. Disc. Nts., 3/1/08(14) 9,640,000 6,314,200
10.50% Gtd. Sr. Nts., 11/15/08 9,000,000 9,585,000
- ------------------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27CAD 14,580,000 9,866,810
- ------------------------------------------------------------------------------------------------------------------------------------
Telefonica de Argentina SA, 11.875% Unsec. Nts., 11/1/04 300,000 321,750
- ------------------------------------------------------------------------------------------------------------------------------------
TeleWest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(14) 10,975,000 9,712,875
- ------------------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 4,000,000 4,340,000
- ------------------------------------------------------------------------------------------------------------------------------------
US Xchange LLC, 15% Sr. Unsec. Nts., 7/1/08 4,465,000 4,721,738
- ------------------------------------------------------------------------------------------------------------------------------------
Verio, Inc.:
10.375% Sr. Unsec. Nts., 4/1/05 10,115,000 10,873,625
11.25% Sr. Nts., 12/1/08(7) 7,600,000 8,607,000
13.50% Sr. Unsec. Nts., 6/15/04 1,960,000 2,293,200
- ------------------------------------------------------------------------------------------------------------------------------------
Viatel, Inc.:
0%/12.50% Sr. Unsec. Disc. Nts., 4/15/08(14) 1,550,000 957,125
11.25% Sr. Sec. Nts., 4/15/08 11,500,000 11,758,750
- ------------------------------------------------------------------------------------------------------------------------------------
WAM!NET, Inc., 0%/13.25% Sr. Unsec. Disc. Nts., Series B, 3/1/05(14) 16,895,000 9,883,575
-------------
576,608,589
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications--3.3%
Arch Communications, Inc., 12.75% Sr. Nts., 7/1/07 2,125,000 1,923,125
- ------------------------------------------------------------------------------------------------------------------------------------
Celcaribe SA, 13.50% Sr. Sec. Nts., 3/15/04 12,750,000 10,263,750
- ------------------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., 0%/14% Sr. Disc. Nts., 10/1/07(14) 21,148,000 8,247,720
- ------------------------------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc., 0%/14.75% Sr.
Disc. Nts., 12/15/05(14) 2,040,000 1,881,900
- ------------------------------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA, 0%/14.125% Sr. Unsec.
Deferred Bonds, 3/1/05(5)(14) 16,359,000 10,776,491
- ------------------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp., 0%/10.625% Sr.
Unsec. Disc. Nts., 11/15/07(5)(14) 14,510,000 10,120,725
- ------------------------------------------------------------------------------------------------------------------------------------
CTI Holdings SA, 0%/11.50% Sr. Deferred Coupon Nts., 4/15/08(14) 8,600,000 4,730,000
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 11.75% Sr. Nts., 4/15/07 6,900,000 7,426,125
33 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Media/Entertainment: Wireless Communications (continued)
Geotek Communications, Inc.:
0%/15% Sr. Sec. Disc. Nts., Series B, 7/15/05(13)(14) $ 6,475,000 $ 647,500
12% Cv. Sr. Sub. Nts., 2/15/01(13) 625,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
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)(15) 4,600,000 2,783,000
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd., 9.50% Sr. Nts., 1/15/06(7) 11,750,000 11,133,125
- ------------------------------------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 7,470,000 6,685,650
- ------------------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc., 0%/11.125% Sr. Disc. Nts.,
Series B, 10/15/07(14)CAD 11,545,000 5,084,547
- ------------------------------------------------------------------------------------------------------------------------------------
Millicom International Cellular SA, 0%/13.50%
Sr. Disc. Nts., 6/1/06(14) 8,715,000 6,492,675
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
0%/9.75% Sr. Disc. Nts., 10/31/07(14) 12,010,000 8,467,050
0%/9.95% Sr. Disc. Nts., 2/15/08(14) 13,290,000 9,386,063
0%/10.65% Sr. Disc. Nts., 9/15/07(14) 16,625,000 12,302,500
9.75% Sr. Disc. Nts., 8/15/04 5,000,000 5,206,250
- ------------------------------------------------------------------------------------------------------------------------------------
Omnipoint Corp.:
11.625% Sr. Nts., 8/15/06 8,950,000 7,876,000
11.625% Sr. Nts., Series A, 8/15/06 13,135,000 11,558,800
- ------------------------------------------------------------------------------------------------------------------------------------
Orange plc, 8% Sr. Nts., 8/1/08 13,200,000 13,662,000
- ------------------------------------------------------------------------------------------------------------------------------------
ORBCOMM Global LP/ORBCOMM Capital Corp.,
14% Sr. Nts., 8/15/04 17,730,000 17,862,975
- ------------------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(14) 11,975,000 6,706,000
- ------------------------------------------------------------------------------------------------------------------------------------
Pinnacle Holdings, Inc., 0%/10% Sr. Unsec. Disc. Nts., 3/15/08(14) 10,985,000 6,645,925
- ------------------------------------------------------------------------------------------------------------------------------------
Price Communications Cellular Holdings, Inc., 11.25%
Sr. Nts., 8/15/08(16) 3,554,140 3,411,974
- ------------------------------------------------------------------------------------------------------------------------------------
Price Communications Wireless, Inc.:
9.125% Sr. Sec. Nts., Series B, 12/15/06 13,350,000 13,950,750
11.75% Sr. Sub. Nts., 7/15/07 10,240,000 11,315,200
- ------------------------------------------------------------------------------------------------------------------------------------
Real Time Data, Inc., Units (each unit consists of $1,000 principal
amount of 0%/13.50% sub. disc. nts., 8/15/06 and one warrant to
purchase six ordinary shares)(7)(14)(15) 18,540,000 8,621,100
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08(5) 9,550,000 10,003,625
- ------------------------------------------------------------------------------------------------------------------------------------
Satelites Mexicanos SA, 10.125% Sr. Nts., 11/1/04 4,875,000 3,717,188
- ------------------------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 0%/12% Sr. Unsec. Disc. Nts., 3/1/08(14) 28,875,000 18,335,625
- ------------------------------------------------------------------------------------------------------------------------------------
Spectrasite Holdings, Inc., 0%/12% Sr. Disc. Nts., 7/15/08(7)(14) 10,410,000 6,506,250
- ------------------------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp.,
0%/12.50% Sr. Disc. Nts., 8/15/06(14) 610,000 558,150
- ------------------------------------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc. II:
9.50% Sr. Nts., 2/1/04 6,120,000 5,171,400
14% Sr. Nts., 11/1/04 9,965,000 10,014,825
-------------
279,475,983
34 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Metals/Minerals--1.1%
AK Steel Corp.:
7.875% Sr. Nts., 2/15/09(7) $ 18,000,000 $ 18,022,500
9.125% Sr. Nts., 12/15/06 13,360,000 14,161,600
- ------------------------------------------------------------------------------------------------------------------------------------
Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 3,495,000 3,687,225
- ------------------------------------------------------------------------------------------------------------------------------------
California Steel Industries Corp., 8.50% Sr. Nts., 4/1/09(4)(7) 4,400,000 4,444,000
- ------------------------------------------------------------------------------------------------------------------------------------
Centaur Mining & Exploration Ltd., 11% Sr. Nts., 12/1/07 7,025,000 6,410,313
- ------------------------------------------------------------------------------------------------------------------------------------
Great Lakes Carbon Corp., 10.25% Sr. Sub. Nts., Series B, 5/15/08(5) 7,250,000 7,503,750
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 2,000,000 2,047,500
- ------------------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 12.75% Sr. Sub. Nts., 2/1/03 2,950,000 2,861,500
- ------------------------------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 5,700,000 5,529,000
- ------------------------------------------------------------------------------------------------------------------------------------
Metallurg Holdings, Inc., 0%/12.75% Sr. Disc. Nts., 7/15/08(14) 18,300,000 6,313,500
- ------------------------------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 10,845,000 9,923,175
- ------------------------------------------------------------------------------------------------------------------------------------
National Steel Corp.:
9.875% First Mtg. Bonds, 3/1/09(7) 6,250,000 6,453,125
9.875% Nts., 3/1/09(7) 6,000,000 6,195,000
-------------
93,552,188
- ------------------------------------------------------------------------------------------------------------------------------------
Retail--0.4%
Boyds Collection Ltd., 9% Sr. Sub. Nts., 5/15/08(7) 7,100,000 7,631,600
- ------------------------------------------------------------------------------------------------------------------------------------
Central Termica Guemes, 12% Bonds, 11/26/01(5) 6,025,000 2,003,313
- ------------------------------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 6,670,000 5,836,250
- ------------------------------------------------------------------------------------------------------------------------------------
Finlay Enterprises, Inc., 9% Debs., 5/1/08 4,000,000 3,780,000
- ------------------------------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 3,125,000 3,078,125
- ------------------------------------------------------------------------------------------------------------------------------------
Home Interiors & Gifts, Inc., 10.125% Sr. Sub. Nts., 6/1/08 6,850,000 6,952,750
- ------------------------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,639,750
-------------
32,921,788
- ------------------------------------------------------------------------------------------------------------------------------------
Service--1.5%
Allied Waste North America, Inc., 7.875% Sr. Unsec. Nts.,
Series B, 1/1/09 9,055,000 8,907,856
- ------------------------------------------------------------------------------------------------------------------------------------
Borg-Warner Security Corp., 9.625% Sr. Sub. Nts., 3/15/07 1,450,000 1,566,000
- ------------------------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(14) 6,650,000 5,419,750
- ------------------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07(5) 2,920,000 2,890,800
- ------------------------------------------------------------------------------------------------------------------------------------
Fisher Scientific International, Inc.:
9% Sr. Sub. Nts., 2/1/08 1,875,000 1,884,375
9% Sr. Unsec. Sub. Nts., 2/1/08 10,460,000 10,512,300
- ------------------------------------------------------------------------------------------------------------------------------------
Formica Corp., 10.875% Sr. Sub. Nts., 3/1/09(7) 5,000,000 5,000,000
- ------------------------------------------------------------------------------------------------------------------------------------
Great Lakes Dredge & Dock Corp., 11.25% Sr. Sub. Nts., 8/15/08(7) 5,900,000 6,283,500
- ------------------------------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 4,630,000 4,676,300
35 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Service (continued)
Lamar Advertising Co.:
8.625% Sr. Sub. Nts., 9/15/07 $ 4,250,000 $ 4,526,250
9.625% Sr. Sub. Nts., 12/1/06 8,575,000 9,303,875
- ------------------------------------------------------------------------------------------------------------------------------------
Metal Management, Inc., 10% Gtd. Sr. Unsec. Sub. Debs., 5/15/08 2,000,000 1,220,000
- ------------------------------------------------------------------------------------------------------------------------------------
Packaging Corp. of America, 9.625% Sr. Sub. Nts., 4/1/09(4)(7) 2,000,000 2,060,000
- ------------------------------------------------------------------------------------------------------------------------------------
Panolam Industries International, Inc., 11.50% Sr. Sub. Nts., 2/15/09(7) 4,000,000 4,120,000
- ------------------------------------------------------------------------------------------------------------------------------------
Pentacon, Inc., 12.25% Sr. Sub. Nts., 4/1/09(7) 9,350,000 9,163,000
- ------------------------------------------------------------------------------------------------------------------------------------
Premier Graphics, Inc., 11.50% Sr. Nts., 12/1/05(5) 7,450,000 7,375,500
- ------------------------------------------------------------------------------------------------------------------------------------
Protection One Alarm Monitoring, Inc.:
6.75% Cv. Sr. Sub. Nts., 9/15/03 11,090,000 10,327,563
13.625% Sr. Sub. Disc. Nts., 6/30/05 3,155,000 3,604,588
- ------------------------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc., 8.625% Sr. Nts., 6/30/09(4) 5,000,000 5,081,250
- ------------------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.:
9% Nts., 4/1/09(7) 6,900,000 6,934,500
9.25% Sr. Sub. Nts., 1/15/09(7) 8,000,000 8,040,000
- ------------------------------------------------------------------------------------------------------------------------------------
United Stationers Supply Co., 12.75% Sr. Sub. Nts., 5/1/05 3,304,000 3,675,700
-------------
122,573,107
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation--1.9%
Aftermarket Technology Corp., 12% Sr. Sub. Nts., Series B, 8/1/04 3,700,000 3,820,250
- ------------------------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 4,775,000 3,987,125
- ------------------------------------------------------------------------------------------------------------------------------------
Chrysler Financial LLC, 13.25% Debs., 10/15/99 4,500,000 4,685,976
- ------------------------------------------------------------------------------------------------------------------------------------
Coach USA, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07(5) 4,695,000 4,929,750
- ------------------------------------------------------------------------------------------------------------------------------------
Collins & Aikman Products Co., 11.50% Sr. Unsec. Sub. Nts., 4/15/06 11,500,000 12,276,250
- ------------------------------------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.875% Nts., 7/1/10 6,500,000 6,495,067
- ------------------------------------------------------------------------------------------------------------------------------------
Hayes Wheels International, Inc.:
9.125% Sr. Sub. Nts., 7/15/07 6,550,000 6,893,875
11% Sr. Sub. Nts., 7/15/06 6,690,000 7,425,900
- ------------------------------------------------------------------------------------------------------------------------------------
HDA Parts System, Inc., 12% Sr. Sub. Nts., 8/1/05(7) 3,650,000 3,531,375
- ------------------------------------------------------------------------------------------------------------------------------------
Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07 4,335,000 4,340,419
- ------------------------------------------------------------------------------------------------------------------------------------
Lear Corp., 9.50% Sub. Nts., 7/15/06 2,825,000 3,072,188
- ------------------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc., Units (each unit consists of
$1,000 principal amount of 12% first priority ship mtg.
sr. sec. nts., 7/15/05 and one warrant to purchase five shares
of common stock)(15) 5,800,000 4,379,000
- ------------------------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc:
10.50% First Priority Ship Mtg. Nts., 6/30/07(7) 13,175,000 9,749,500
Units (each unit consists of $1,000 principal amount of 12%
second priority ship mtg. nts., 6/30/07 and 7.66 warrants)(7)(15) 11,325,000 7,191,375
- ------------------------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc.:
10.125% Sr. Sub. Nts., 6/15/07(7) 9,000,000 9,382,500
10.125% Sr. Unsec. Sub. Nts., 6/15/07 14,250,000 14,855,625
- ------------------------------------------------------------------------------------------------------------------------------------
Pycsa Panama SA, 10.28% Sr. Sec. Bonds, 12/15/12(5) 8,755,000 7,025,888
36 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Transportation (continued)
TFM SA de CV, 10.25% Sr. Nts., 6/15/07 $ 5,225,000 $ 4,598,000
- ------------------------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.50% Sr. Sec. Nts., 12/15/04 14,545,000 11,126,925
- ------------------------------------------------------------------------------------------------------------------------------------
Transtar Holdings LP/Transtar Capital Corp., 0%/13.375%
Sr. Disc. Nts., Series B, 12/15/03(14) 27,791,000 27,443,613
- ------------------------------------------------------------------------------------------------------------------------------------
Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(7) 11,710,997 6,060,441
-------------
163,271,042
- ------------------------------------------------------------------------------------------------------------------------------------
Utility--0.5%
Beaver Valley II Funding Corp., 9% Second Lease
Obligation Bonds, 6/1/17 956,000 1,064,745
- ------------------------------------------------------------------------------------------------------------------------------------
C.A. La Electricidad de Caracas, 5.937% Exchange
Eurobonds, 9/30/03(5)(6) 2,766,681 1,877,885
- ------------------------------------------------------------------------------------------------------------------------------------
Calpine Corp.:
7.75% Sr. Nts., 4/15/09 8,500,000 8,531,875
8.75% Sr. Nts., 7/15/07 4,000,000 4,180,000
10.50% Sr. Nts., 5/15/06 910,000 1,001,000
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 9,300,000 10,735,660
- ------------------------------------------------------------------------------------------------------------------------------------
Integrated Electric Services, Inc., 9.375% Sr. Sub. Nts., 2/1/09(7) 2,000,000 2,050,000
- ------------------------------------------------------------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 0%/8.50% Sr. Unsec.
Nts., Series H, 7/1/10(14) 8,000,000 6,195,592
- ------------------------------------------------------------------------------------------------------------------------------------
Subic Power Corp., 9.50% Sr. Sec. Nts., 12/28/08(5) 10,388,207 8,881,917
-------------
44,518,674
-------------
Total Corporate Bonds and Notes (Cost $3,567,644,900) 3,365,381,126
Shares
====================================================================================================================================
Preferred Stocks--2.6%
- ------------------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.(16) 227,381 6,082,442
- ------------------------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Gtd. Bonds, 12/31/26 10,050,000 9,874,125
- ------------------------------------------------------------------------------------------------------------------------------------
Capstar Communications, Inc., 12.625% Cum. Exchangeable,
Series E, Non-Vtg.(16) 13,108 1,576,237
- ------------------------------------------------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A(5)(16)(17) 160,595 4,014,875
- ------------------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 7% Cum. Cv., Non-Vtg.(7) 146,175 1,900,275
- ------------------------------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 11.50% Cum. Sr. Exchangeable(16) 5,384 3,782,260
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., 13.50% Sr. Redeemable
Exchangeable Preferred Stock, Series B, Non-Vtg.(16) 7,629 8,143,957
- ------------------------------------------------------------------------------------------------------------------------------------
CRIIMI MAE, Inc., 10.875% Cum. Cv., Series B, Non-Vtg. 278,000 3,683,500
- ------------------------------------------------------------------------------------------------------------------------------------
Crown American Realty Trust, 11% Cum., Series A, Non-Vtg. 49,500 2,376,000
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 8.50% Cum. Cv., Series I, Non-Vtg. 36,500 4,069,750
- ------------------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 11.125% Cum., Series M(16) 70,476 8,069,502
- ------------------------------------------------------------------------------------------------------------------------------------
Doane Products Co., 14.25% Exchangeable, Non-Vtg.(5)(18) 255,000 11,283,750
- ------------------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 12.25% Sr. Exchangeable(16) 7,891 7,516,177
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable
Preferred Stock, Non-Vtg.(16) 10,272 4,853,548
37 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Shares See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Preferred Stocks (continued)
Eagle-Picher Holdings, Inc., Cum. Exchangeable,
Series B, 3/1/08, Non-Vtg.(18) 39,000 $ 2,037,750
- ------------------------------------------------------------------------------------------------------------------------------------
Earthwatch, Inc., 12% Cum. Cv., Series C, Non-Vtg.(7)(18) 600,000 900,000
- ------------------------------------------------------------------------------------------------------------------------------------
Fidelity Federal Bank FSB Glendale California, l2% Non-Cum.
Exchangeable Perpetual Preferred Stock, Series A(18) 20 465
- ------------------------------------------------------------------------------------------------------------------------------------
Global Crossing Holdings Ltd., 10.50% Sr. Exchangeable
Preferred, 12/1/08(18) 65,000 7,507,500
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.(16) 5,710 6,238,175
- ------------------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., 13.50% Exchangeable,
Series B(16) 5,492 5,917,630
- ------------------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc., Depositary Shares
Representing one one-hundredth 7% Cum. Cv. Jr.
Preferred Stock, Series E, Non-Vtg.(7) 116,450 3,071,369
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 13% Preferred, Non-Vtg.(7)(16) 140 120,750
- ------------------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., Units (each unit consists of
$1,000 principal amount of 13% sr. exchangeable preferred stock
and one warrant to purchase 30 shares of common stock)(5)(15)(16) 1,090 1,084,550
- ------------------------------------------------------------------------------------------------------------------------------------
Kelley Oil & Gas Corp., $2.625 Cv., Vtg.(17) 159,100 795,500
- ------------------------------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable
Exchangeable Preferred Stock, Non-Vtg.(16) 89,248 3,458,360
- ------------------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 11.125%, Non-Vtg.(16) 4,473 4,573,642
- ------------------------------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc., 14% Cum., Non-Vtg.(16) 265,823 15,351,278
- ------------------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 13.25% Cum. Jr. Exchangeable,
Non-Vtg.(16) 878 7,309,350
- ------------------------------------------------------------------------------------------------------------------------------------
Petroleum Heat & Power Co., Inc., 2.75% Jr. Cv., Series A, Non-Vtg.(18) 54,713 95,748
- ------------------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 8.625% Exchangeable, Series H, Non-Vtg. 165,600 15,773,400
- ------------------------------------------------------------------------------------------------------------------------------------
PRIMEDIA, Inc., 9.20% Exchangeable, Series F, Non-Vtg. 46,400 4,767,600
- ------------------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum. Sr., Series B, Non-Vtg.(16) 11,872 11,753,280
- ------------------------------------------------------------------------------------------------------------------------------------
SD Warren Co., 14% Cum. Exchangeable, Series B, Non-Vtg.(18) 352,270 18,934,513
- ------------------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 13.75% Cum. Nts., Series B, 3/15/09,
Non-Vtg.(16) 300 1,080,000
- ------------------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., 13.75% Exchangeable(7)(16)(18) 20 72,000
- ------------------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 14.25% Cum. Exchangeable,
Non-Vtg.(7)(16) 6,482 6,951,945
- ------------------------------------------------------------------------------------------------------------------------------------
Supermarkets General Holdings, $3.52(16)(18) 200,000 7,250,000
- ------------------------------------------------------------------------------------------------------------------------------------
Unisys Corp., $3.75 Cum. Cv., Series A, Non-Vtg. 27,782 1,441,191
- ------------------------------------------------------------------------------------------------------------------------------------
Viatel, Inc., 10% Cv., Series A(16) 5,992 1,289,778
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc., 9.16% Cv., Series B, Non-Vtg.(17) 280,000 6,020,000
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc., 9.20% Preferred, Vtg.(17) 387,400 8,086,975
-------------
Total Preferred Stocks (Cost $246,888,279) 219,109,147
38 Oppenheimer Strategic Income Fund
<PAGE>
Market Value
Shares See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Common Stocks--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
Celcaribe SA(7)(18) 1,658,520 $ 3,524,355
- ------------------------------------------------------------------------------------------------------------------------------------
Coinstar, Inc.(18) 46,550 750,619
- ------------------------------------------------------------------------------------------------------------------------------------
ECM Fund, L.P.I.(5) 525 464,625
- ------------------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co.(18) 500,506 3,816,358
- ------------------------------------------------------------------------------------------------------------------------------------
Equitable Bag, Inc.(5)(18) 68,985 68,985
- ------------------------------------------------------------------------------------------------------------------------------------
Golden State Bancorp, Inc.(18) 48,080 1,069,780
- ------------------------------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc.(18) 146,400 1,601,250
- ------------------------------------------------------------------------------------------------------------------------------------
Horizon Group Properties, Inc.(18) 19,435 85,028
- ------------------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.(18) 9,751 259,620
- ------------------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc.(18) 134,333 923,539
- ------------------------------------------------------------------------------------------------------------------------------------
MCI WorldCom, Inc.(18) 172,137 15,244,883
- ------------------------------------------------------------------------------------------------------------------------------------
Omnipoint Corp.(18) 323,625 4,672,336
- ------------------------------------------------------------------------------------------------------------------------------------
Optel, Inc.(18) 11,560 116
- ------------------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., Cl. C(18) 15,300 30,600
- ------------------------------------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc.(17)(18) 394,283 1,182,849
- ------------------------------------------------------------------------------------------------------------------------------------
Unisys Corp.(18) 87,232 2,415,236
- ------------------------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc.(18) 170,000 2,698,750
- ------------------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc.(18) 119,583 1,345,309
-------------
Total Common Stocks (Cost $24,837,009) 40,154,238
Units
====================================================================================================================================
Rights, Warrants and Certificates--0.5%
- ------------------------------------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts., Exp. 6/99(5) 119,070 1,191
- ------------------------------------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts., Exp. 8/00(5) 8,000 80
- ------------------------------------------------------------------------------------------------------------------------------------
Ames Department Stores, Inc., Litigation Trust(5) 118,975 1,190
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Wts., Exp. 12/99 33,605 84,853
- ------------------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Wts., Exp. 2/00 41,770 110,691
- ------------------------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd./Australia Media Ltd. Wts., Exp. 5/00(5) 780 5
- ------------------------------------------------------------------------------------------------------------------------------------
Becker Gaming, Inc. Wts., Exp. 11/00(5) 262,500 2,625
- ------------------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc. Wts., Exp. 10/07(7) 13,893 57,309
- ------------------------------------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49(5)(17) 130,000 39,000
- ------------------------------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc. Wts., Exp. 9/05 7,425 41,216
- ------------------------------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA Wts., Exp. 11/03 8,109 609,189
- ------------------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/07(5) 4,650 1,395,581
- ------------------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc. Wts., Exp. 3/08(5) 23,300 20,993,300
- ------------------------------------------------------------------------------------------------------------------------------------
Covergent Communications, Inc. Wts., Exp. 4/08(5) 30,000 52,500
- ------------------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/05 5,225 561,222
39 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Market Value
Units See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Rights, Warrants and Certificates (continued)
FirstWorld Communications, Inc. Wts., Exp. 4/08(5) 7,530 $ 75,300
- ------------------------------------------------------------------------------------------------------------------------------------
Foamex LP/JPS Automotive Corp. Wts., Exp. 7/99(5) 7,250 83,375
- ------------------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc. Wts., Exp. 7/05(5) 690,000 6,900
- ------------------------------------------------------------------------------------------------------------------------------------
Globix Corp. Wts., Exp. 5/05(5) 12,340 925,500
- ------------------------------------------------------------------------------------------------------------------------------------
Golden State Bancorp, Inc. Wts., Exp. 1/01 48,080 232,887
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 1/03 128,643 --
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 1/03(5) 64,350 644
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 5/05(5) 146,363 14,636
- ------------------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 9/04(5) 189,000 212,625
- ------------------------------------------------------------------------------------------------------------------------------------
Grand Union Co. Wts., Exp. 8/03(5) 11,563 25,294
- ------------------------------------------------------------------------------------------------------------------------------------
Hyperion Telecommunications, Inc. Wts., Exp. 4/01 1,035 50,844
- ------------------------------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/05(5) 46,860 677,539
- ------------------------------------------------------------------------------------------------------------------------------------
IHF Capital, Inc. Series I Wts., Exp. 11/99(7) 5,400 54
- ------------------------------------------------------------------------------------------------------------------------------------
IHF Capital, Inc. Wts., Exp. 11/99(7) 1,750 18
- ------------------------------------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/02 13,050 --
- ------------------------------------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc. Wts., Exp. 4/08(5) 23,200 60,900
- ------------------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/08(5) 4,160 10,400
- ------------------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/07(5) 6,250 75,781
- ------------------------------------------------------------------------------------------------------------------------------------
Mexican Value Rts., Exp. 6/03 25,048,650 --
- ------------------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. Wts., Exp. 6/06(5) 29,300 481,985
- ------------------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts., Exp. 7/05(5) 5,800 39,150
- ------------------------------------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA Wts., Exp. 3/04(5) 21,600 348,300
- ------------------------------------------------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00(5) 102,500 1,479,844
- ------------------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/06(5) 16,650 1,665
- ------------------------------------------------------------------------------------------------------------------------------------
Price Communications Corp. Wts., Exp. 8/07(5) 60,389 3,321,395
- ------------------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 11/03(5) 182,000 2,275,000
- ------------------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/05(5) 13,440 161,280
- ------------------------------------------------------------------------------------------------------------------------------------
Rocky Mountain Internet, Inc. Wts., Exp. 7/03(5) 55,000 577,500
- ------------------------------------------------------------------------------------------------------------------------------------
Stroh Brewery Co. Wts., Exp. 7/06(5) 20,249 202
- ------------------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc. Wts., Exp. 11/99(5) 20,345 3,257,743
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc. Wts., Exp. 1/02(5)(17) 196,400 122,750
- ------------------------------------------------------------------------------------------------------------------------------------
WAM!NET, Inc. Wts., Exp. 3/05(5) 50,685 785,618
-------------
Total Rights, Warrants and Certificates (Cost $6,807,155) 39,255,081
40 Oppenheimer Strategic Income Fund
<PAGE>
Face Market Value
Amount(1) See Note 1
====================================================================================================================================
Structured Instruments--6.8%
- ------------------------------------------------------------------------------------------------------------------------------------
Bankers Trust/Bear Stearns High Yield Composite
Index Linked Nts.:
8.55%, 5/4/99 $ 11,000,000 $ 10,482,340
8.55%, 5/4/99 19,000,000 18,100,920
- ------------------------------------------------------------------------------------------------------------------------------------
Bankers Trust/Lehman High Yield Composite Index
Linked Nts., 8.55%, 4/5/99 30,000,000 28,719,000
- ------------------------------------------------------------------------------------------------------------------------------------
Bear Stearns High Yield Composite Index Linked Nts.:
8%, 10/12/99 30,000,000 30,037,800
8.50%, 4/9/99 30,000,000 27,878,700
- ------------------------------------------------------------------------------------------------------------------------------------
Beta Finance Corp., Japanese Yen Linked Nts., 2.11%, 9/10/99 51,190,000 52,776,890
- ------------------------------------------------------------------------------------------------------------------------------------
Chase Manhattan Bank USA National Assn. Chase Physical
Commodity Index Linked Deposit Nts., 5.40%, 8/30/99(19)(20) 1,500,000 1,372,500
- ------------------------------------------------------------------------------------------------------------------------------------
Citibank (New York):
Mexican Linked Nts., 29%, 3/17/00MXP 187,528,500 20,248,881
Venezuela Bolivar Linked Nts., 28%, 4/12/99 9,580,000 9,453,736
Venezuela Bolivar Linked Nts., 34.80%, 5/11/99 9,580,000 9,488,128
- ------------------------------------------------------------------------------------------------------------------------------------
Commerzbank International SA, Lehman High Yield
Composite Index Linked Nts., 7.40%, 9/7/99(5) 30,000,000 29,806,500
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (New York Branch),
Russian OFZ Linked Nts., 15%, 2/23/00(5)(13)RUR 273,777,000 2,287,227
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Turkish Lira Linked Nts., 69%, 4/26/99TRL 5,639,907,000,000 15,269,545
Turkish Lira O/N Linked Nts., 80.40%, 5/3/99(12)TRL 7,606,737,585,000 20,390,656
Turkish Lira O/N Linked Nts., 80.24%, 5/4/99(12)TRL 7,971,269,338,435 21,367,822
Turkish Lira O/N Linked Nts., 79.65%, 5/7/99(12)TRL 6,228,110,000,000 16,695,101
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Russian Federal Loan
Floating Rate Linked Nts.:
5.116%, 2/23/00(5)(13) 9,630,000 96,300
5.20%, 10/25/00(5)(13) 9,630,000 96,300
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Russian OFZ Linked Nts., 14%, 9/27/00(5)(13)RUR 124,216,000 149,030
- ------------------------------------------------------------------------------------------------------------------------------------
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, 11.30%, 4/1/00 and an interest rate swap between
Goldman Sachs and the Trust](5) 5,152,174 5,042,690
- ------------------------------------------------------------------------------------------------------------------------------------
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, 14.75%, 9/1/02](5) 6,000,000 5,064,000
The Emerging Market Bond Index Plus Linked Nts.,
9.50%, 7/16/99(20)(21) 96,550,000 82,091,058
- ------------------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., Units, 9.75%, 6/15/99 (representing
debt of Chemical Banking Corp., sub. capital nts., and equity of
Citicorp, 7.75% preferred, series 22)(5)(15) 10,000,000 11,225,000
41 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
Face Market Value
Amount(1) See Note 1
- ------------------------------------------------------------------------------------------------------------------------------------
Structured Instruments (continued)
Morgan Guaranty Trust Co. of New York, The Emerging
Market Bond Index Linked Nts.:
9.50%, 5/7/99(20)(21) $ 47,700,000 $ 49,553,145
9.50%, 8/10/99(20)(21) 48,200,000 43,155,436
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney, Inc., Brazil Credit Linked Nts.,
6%, 4/2/03(5) 23,733,000 10,679,850
- ------------------------------------------------------------------------------------------------------------------------------------
Salomon, Inc., Turkey External Credit Linked Nts.,
7.75%, 5/13/99 8,050,000 7,979,804
- ------------------------------------------------------------------------------------------------------------------------------------
Shoshone Partners Loan Trust Sr. Nts., 6.689%, 4/28/02
(representing a basket of reference loans and a total return swap
between Chase Manhattan Bank and the Trust)(5)(6) 39,790,000 35,011,084
- ------------------------------------------------------------------------------------------------------------------------------------
Standard Chartered Bank:
Indonesian Rupiah Linked Nts., 33.50%, 4/5/00 3,280,000 3,341,008
Philippine Peso Linked Nts., 15.09%, 7/22/99 4,800,000 4,879,200
-------------
Total Structured Instruments (Cost $650,734,606) 572,739,651
</TABLE>
<TABLE>
<CAPTION>
Date Strike Contracts
===================================================================================================================================
<S> <C> <C> <C> <C>
Call Options Purchased--0.1%
- -----------------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Capitalization
Bonds, 8%, 4/15/14 Call Opt. 4/99 63.75% 38,350 776,588
- -----------------------------------------------------------------------------------------------------------------------------------
Euro Call Opt. 4/99 1.075EUR 35,730,000 149,637
- -----------------------------------------------------------------------------------------------------------------------------------
Nikkei 225 Index Call Opt. 3/00 15,500JPY 180,542 2,731,600
- -----------------------------------------------------------------------------------------------------------------------------------
Nikkei 225 Index Call Opt. 3/00 16,000JPY 166,999 2,174,327
--------------
Total Call Options Purchased (Cost $4,785,166) 5,832,152
===================================================================================================================================
Put Options Purchased--0.0%
- -----------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Plus Put Opt.(5) 6/99 133.67% 23,950 312,021
- -----------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Put Opt.(5) 6/99 133.25% 23,950 308,715
- -----------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Put Opt.(5) 6/99 136.25% 23,950 370,387
- -----------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Put Opt.(5) 6/99 142.33% 23,950 630,532
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 4.75%, 11/15/08 Put Opt.(5) 6/99 95.90% 95,940 765,601
- -----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 4.75%, 11/15/08 Put Opt. 6/99 96.18% 23,985 352,280
- -----------------------------------------------------------------------------------------------------------------------------------
Euro Put Opt. 6/99 1.07EUR 44,070,000 569,869
- -----------------------------------------------------------------------------------------------------------------------------------
Hong Kong Dollar Put Opt. 1/00 7.894HKD 151,564,800 306,312
- -----------------------------------------------------------------------------------------------------------------------------------
Japanese Yen Put Opt. 4/99 121JPY 959,000,000 53,704
--------------
Total Put Options Purchased (Cost $8,567,938) 3,669,421
- -----------------------------------------------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $8,976,161,073) 101.6% 8,566,942,488
- -----------------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (1.6) (132,334,499)
----------- --------------
Net Assets 100.0% $8,434,607,989
=========== ==============
</TABLE>
42 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
1. Face amount is reported in U.S. Dollars, except for those denoted in the
following currencies:
ARP -- Argentine Peso IDR-- Indonesian Rupiah
AUD -- Australian Dollar JPY-- Japanese Yen
CAD -- Canadian Dollar MXP-- Mexican Peso
DEM -- German Mark NOK-- Norwegian Krone
DKK -- Danish Krone NZD-- New Zealand Dollar
EUR -- Euro PLZ-- Polish Zloty
FRF -- French Franc RUR-- Russian Ruble
GBP -- British Pound Sterling SEK-- Swedish Krona
HKD -- Hong Kong Dollar TRL-- Turkish Lira
HUF -- Hungarian Forint
2. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes
in prepayment rates than traditional mortgage-backed securities (for example,
GNMA pass-throughs). Interest rates disclosed represent current yields based
upon the current cost basis and estimated timing and amount of future cash
flows.
3. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of coupon-bearing
bonds of the same maturity. Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing of future cash flows.
4. When-issued security to be delivered and settled after March 31, 1999.
5. Identifies issues considered to be illiquid or restricted--See Note 8 of
Notes to Financial Statements.
6. Represents the current interest rate for a variable rate security.
7. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $595,598,188 or 7.06% of the Fund's net
assets as of March 31, 1999.
8. For zero coupon bonds, the interest rate shown is the effective yield on the
date of purchase.
9. Securities with an aggregate market value of $15,773,834 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
10. A sufficient amount of securities has been designated to cover outstanding
foreign currency exchange contracts. See Note 5 of Notes to Financial
Statements.
43 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Investments (Unaudited) (Continued)
- --------------------------------------------------------------------------------
11. A sufficient amount of liquid assets has been designated to cover
outstanding written options, as follows:
<TABLE>
<CAPTION>
Face/Contracts Expiration Exercise Premium Market Value
Subject to Call/Put Date Price Received See Note 1
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Brazil (Federal Republic of)
Capitalization Bonds, 8%,
4/15/14 Call Opt. 38,350 4/29/99 59.750% $ 383,404 $ 412,233
- -------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Plus Put Opt. 23,950 6/1/99 120.303 598,750 137,952
- -------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Put Opt. 23,950 6/2/99 119.925 605,935 137,569
- -------------------------------------------------------------------------------------------------------------------------------
J.P. Morgan Emerging Market
Bond Index Put Opt. 23,950 6/3/99 122.607 558,035 159,076
- -------------------------------------------------------------------------------------------------------------------------------
Japanese Yen Call Opt. 959,000,000 4/15/99 114.050JPY 79,531 28,770
- -------------------------------------------------------------------------------------------------------------------------------
Mexican Peso Call Opt. 413,516,570 5/27/99 9.984MXP 216,212 1,429,527
- -------------------------------------------------------------------------------------------------------------------------------
Mexican Peso Put Opt. 263,450,000 9/23/99 11.000MXP 855,015 425,864
- -------------------------------------------------------------------------------------------------------------------------------
Nikkei 225 Index Put Opt. 166,999 3/10/00 13,700.000JPY 1,270,643 1,254,162
- -------------------------------------------------------------------------------------------------------------------------------
Nikkei 225 Index Put Opt. 180,542 3/10/00 13,000.000JPY 1,159,990 1,057,976
---------- ----------
$5,727,515 $5,043,129
========== ==========
</TABLE>
12. Represents the current interest rate for an increasing rate security.
13. Non-income producing--issuer is in default.
14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable
interest rate at a designated future date.
15. Units may be comprised of several components, such as debt and equity and/or
warrants to purchase equity at some point in the future. For units which
represent debt securities, face amount disclosed represents total underlying
principal.
16. Interest or dividend is paid in kind.
44 Oppenheimer Strategic Income Fund
<PAGE>
- --------------------------------------------------------------------------------
17. Affiliated company. Represents ownership of at least 5% of the voting
securities of the issuer, and is or was an affiliate, as defined in the
Investment Company Act of 1940, at or during the period ended March 31, 1999.
The aggregate fair value of securities of affiliated companies held by the Fund
as of March 31, 1999, amounts to $20,261,949. Transactions during the period in
which the issuer was an affiliate are as follows:
<TABLE>
<CAPTION>
Shares/Units Gross Gross Shares/Units Dividend
Sept. 30, 1998 Additions Reductions March 31, 1999 Income
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CGA Group Ltd., Preferred Stock,
Series A 130,000 30,595 -- 160,595 $ 764,942
- ------------------------------------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49 130,000 -- -- 130,000 --
- ------------------------------------------------------------------------------------------------------------------------------------
Kelley Oil & Gas Corp.,
$2.625 Cv., Vtg. 159,100 -- -- 159,100 --
- ------------------------------------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc. 394,283 -- -- 394,283 --
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties,
Inc., 9.16% Cv., Series B, Non-Vtg. 280,000 -- -- 280,000 320,600
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties,
Inc., 9.20% Preferred, Vtg. 387,400 -- -- 387,400 445,510
- ------------------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties,
Inc. Wts., Exp. 1/02 196,400 -- -- 196,400 --
----------
$1,531,052
==========
</TABLE>
18. Non-income producing security.
19. Security is linked to the Chase Physical Commodity Index. The index
currently contains nineteen commodities from the sectors of energy, metals,
livestock, grain and fiber. The index offers a balanced cross-section of
physical commodities and, in order to optimally reflect real market conditions,
the weight of the different commodities may be adjusted annually in keeping with
prevailing world supply, demand and inventory conditions.
20. Security is leveraged, which increases the Fund's exposure to commodities
and increases the notes' volatility relative to the face value of the security
by a weighted average leverage factor of 3.00.
21. 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, Philippines, Poland, Russia and Venezuela.
See accompanying Notes to Financial Statements.
45 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Assets and Liabilities March 31, 1999 (Unaudited)
<TABLE>
<S> <C>
================================================================================
Assets
Investments, at value--see accompanying statement:
Unaffiliated companies (cost $8,950,525,581) $8,546,680,539
Affiliated companies (cost $25,635,492) 20,261,949
- --------------------------------------------------------------------------------
Cash 24,941,422
- --------------------------------------------------------------------------------
Unrealized appreciation on foreign currency
exchange contracts--Note 5 728,441
- --------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $74,894,797 sold on a
when-issued basis)--Note 1 287,182,608
Interest, dividends and principal paydowns 155,937,295
Shares of beneficial interest sold 11,655,690
Daily variation on futures contracts--Note 6 723,155
Other 514,237
--------------
Total assets 9,048,625,336
================================================================================
Liabilities
Unrealized depreciation on foreign currency
exchange contracts--Note 5 929,648
- --------------------------------------------------------------------------------
Options written, at value (premiums received $5,727,515)--
see accompanying statement--Note 7 5,043,159
- --------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $296,166,632 purchased on a
when-issued basis)--Note 1 562,933,610
Shares of beneficial interest redeemed 16,730,190
Dividends 11,107,814
Closed foreign currency exchange contracts 6,222,598
Distribution and service plan fees 5,285,981
Daily variation on futures contracts--Note 6 3,188,386
Transfer and shareholder servicing agent fees 838,661
Shareholder reports 781,891
Other 955,409
--------------
Total liabilities 614,017,347
================================================================================
Net Assets $8,434,607,989
==============
================================================================================
Composition of Net Assets
Paid-in capital $9,232,519,377
- --------------------------------------------------------------------------------
Undistributed net investment income 91,548
Accumulated net realized loss on investments and foreign currency
transactions (383,516,809)
- --------------------------------------------------------------------------------
Net unrealized depreciation on investments and translation of
assets and liabilities denominated in foreign currencies (414,486,127)
--------------
Net assets $8,434,607,989
==============
46 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
Net Asset Value Per Share
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$3,810,418,790 and 846,710,765 shares of beneficial interest outstanding) $4.50
Maximum offering price per share (net asset value plus sales charge
of 4.75% of offering price) $4.72
- --------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$3,922,517,165 and 869,467,626 shares of beneficial interest outstanding) $4.51
- --------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$657,320,108 and 146,226,109 shares of beneficial interest outstanding) $4.50
- --------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share
(based on net assets of $44,351,926 and 9,865,342 shares of beneficial
interest outstanding) $4.50
</TABLE>
See accompanying Notes to Financial Statements.
47 Oppenheimer Strategic Income Fund
<PAGE>
Statement of Operations For the Six Months Ended March 31, 1999 (Unaudited)
<TABLE>
<S> <C>
==================================================================================
Investment Income
Interest (net of foreign withholding taxes of $741,850) $391,765,277
- ----------------------------------------------------------------------------------
Dividends:
Unaffiliated companies 10,735,619
Affiliated companies 1,531,052
------------
Total income 404,031,948
==================================================================================
Expenses
Distribution and service plan fees--Note 4:
Class A 4,754,961
Class B 20,006,839
Class C 3,287,249
- ----------------------------------------------------------------------------------
Management fees--Note 4 22,272,361
- ----------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4:
Class A 2,517,352
Class B 2,601,997
Class C 428,352
Class Y 725
- ----------------------------------------------------------------------------------
Shareholder reports 971,167
- ----------------------------------------------------------------------------------
Custodian fees and expenses 445,088
- ----------------------------------------------------------------------------------
Legal, auditing and other professional fees 77,193
- ----------------------------------------------------------------------------------
Trustees' compensation 53,065
- ----------------------------------------------------------------------------------
Other 292,973
------------
Total expenses 57,709,322
Less expenses paid indirectly--Note 4 (70,197)
------------
Net expenses 57,639,125
==================================================================================
Net Investment Income 346,392,823
==================================================================================
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investments (including premiums on options exercised) (118,216,357)
Closing of futures contracts (27,391,052)
Closing and expiration of option contracts written--Note 7 (3,363,975)
Foreign currency transactions (34,476,968)
------------
Net realized loss (183,448,352)
- ----------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation:
Investments 81,391,657
Translation of assets and liabilities denominated in foreign
currencies (68,411,315)
------------
Net change 12,980,342
------------
Net realized and unrealized loss (170,468,010)
==================================================================================
Net Increase in Net Assets Resulting from Operations $175,924,813
============
</TABLE>
See accompanying Notes to Financial Statements.
48 Oppenheimer Strategic Income Fund
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Six Months Ended Year Ended
March 31, 1999 September 30,
(Unaudited) 1998
=========================================================================================================
<S> <C> <C>
Operations
Net investment income $ 346,392,823 $ 687,314,690
- ---------------------------------------------------------------------------------------------------------
Net realized loss (183,448,352) (48,281,873)
- ---------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation 12,980,342 (616,167,861)
------------- -------------
Net increase in net assets resulting from operations 175,924,813 22,864,956
=========================================================================================================
Dividends to Shareholders Dividends from net investment income:
Class A (169,025,546) (340,411,302)
Class B (159,171,598) (292,816,126)
Class C (26,258,955) (41,285,457)
Class Y (814,817) (254,429)
=========================================================================================================
Beneficial Interest Transactions Net increase (decrease) in net assets resulting
from beneficial interest transactions--Note 2:
Class A (58,406,347) 286,365,951
Class B (35,024,709) 839,747,928
Class C 20,550,379 280,612,438
Class Y 37,820,964 7,299,336
=========================================================================================================
Net Assets
Total increase (decrease) (214,405,816) 762,123,295
- ---------------------------------------------------------------------------------------------------------
Beginning of period 8,649,013,805 7,886,890,510
------------- -------------
End of period (including undistributed net investment
income of $91,548 and $8,969,641, respectively) $8,434,607,989 $8,649,013,805
============== ==============
</TABLE>
See accompanying Notes to Financial Statements.
49 Oppenheimer Strategic Income Fund
<PAGE>
Financial Highlights
<TABLE>
<CAPTION>
Class A
-----------------------------------------------------------------
Six Months
Ended
March 31, Year Ended September 30,
1999 (Unaudited) 1998 1997 1996
====================================================================================================================
<S> <C> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $4.59 $4.95 $4.84 $4.68
- --------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .19 .42 .43 .44
Net realized and unrealized gain (loss) (.08) (.37) .09 .15
------- ------ ----- -----
Total income (loss) from investment
operations .11 .05 .52 .59
- --------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.20) (.41) (.41) (.41)
Distributions from net realized gain -- -- -- --
Distributions in excess of net realized gain -- -- --
Tax return of capital distribution -- -- -- (.02)
------- ------ ----- -----
Total dividends and distributions
to shareholders (.20) (.41) (.41) (.43)
- --------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.50 $4.59 $4.95 $4.84
======= ====== ===== =====
====================================================================================================================
Total Return, at Net Asset Value(3) 2.40% 0.80% 11.29% 13.06%
====================================================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $3,810 $3,951 $3,969 $3,526
- --------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $3,876 $4,077 $3,735 $3,340
- --------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 8.53%(4) 8.48% 8.77% 9.09%
Expenses(5) 0.94%(4) 0.92% 0.93% 0.97%
- --------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 78% 104% 117% 105%
</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 $1,000 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.
50 Oppenheimer Strategic Income Fund
<PAGE>
<TABLE>
<CAPTION>
Class B
- ------------------- ----------------------------------------------------
Six Months
Ended
March 31, Year Ended September 30,
1995 1994 1999 (Unaudited) 1998 1997 1996
==============================================================================
<S> <C> <C> <C> <C> <C>
$ 4.75 $5.21 $4.61 $4.96 $4.85 $4.69
- ------------------------------------------------------------------------------
.41 .45 .17 .37 .39 .40
(.03) (.35) (.09) (.35) .10 .15
- ------ ----- ----- ----- ----- -----
.38 .10 .08 .02 .49 .55
- ------------------------------------------------------------------------------
(.41) (.43) (.18) (.37) (.38) (.37)
(.01) -- -- -- -- --
-- (.12) -- -- -- --
(.03) (.01) -- -- -- (.02)
- ------ ----- ----- ----- ----- -----
(.45) (.56) (.18) (.37) (.38) (.39)
- ------------------------------------------------------------------------------
$4.68 $4.75 $4.51 $4.61 $4.96 $4.85
====== ===== ===== ===== ===== =====
==============================================================================
8.62% 1.85% 1.79% 0.26% 10.43% 12.19%
==============================================================================
$3,219 $3,143 $3,923 $4,041 $3,501 $2,590
- ------------------------------------------------------------------------------
$3,085 $3,082 $4,012 $3,871 $3,018 $2,250
- ------------------------------------------------------------------------------
9.63% 8.72% 7.76%(4) 7.73% 7.94% 8.30%
0.99% 0.95% 1.69%(4) 1.67% 1.69% 1.72%
- ------------------------------------------------------------------------------
142% 119% 78% 104% 117% 105%
</TABLE>
5. Beginning in fiscal 1995, the expense ratio reflects the effect of gross
expenses paid indirectly by the Fund. Prior year expense ratios have not been
adjusted.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended March 31, 1999, were $6,467,518,468 and $6,303,886,317, 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 B (continued) Class C
------------------------ ----------------
Six Months
Ended
Year Ended September 30, March 31, 1999
1995 1994 (Unaudited)
==============================================================================================
<S> <C> <C> <C>
Per Share Operating Data
Net asset value, beginning of period $4.76 $5.22 $4.59
- ----------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .37 .42 .18
Net realized and unrealized gain (loss) (.03) (.36) (.09)
----- ----- -----
Total income (loss) from investment
operations .34 .06 .09
- ----------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.37) (.39) (.18)
Distributions from net realized gain (.01) -- --
-- -- --
Distributions in excess of net realized gain -- (.12) --
Tax return of capital distribution (.03) (.01) --
----- ----- -----
Total dividends and distributions
to shareholders (.41) (.52) (.18)
- ----------------------------------------------------------------------------------------------
Net asset value, end of period $4.69 $4.76 $4.50
===== ===== =====
==============================================================================================
Total Return, at Net Asset Value(3) 7.79% 1.07% 2.02%
==============================================================================================
Ratios/Supplemental Data
Net assets, end of period (in millions) $1,947 $1,586 $657
- ----------------------------------------------------------------------------------------------
Average net assets (in millions) $1,711 $1,236 $659
- ----------------------------------------------------------------------------------------------
Ratios to average net assets:
Net investment income 8.83% 7.90% 7.76%(4)
Expenses(5) 1.75% 1.71% 1.69%(4)
- ----------------------------------------------------------------------------------------------
Portfolio turnover rate(6) 142% 119% 78%
</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 $1,000 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.
52 Oppenheimer Strategic Income Fund
<PAGE>
<TABLE>
<CAPTION>
Class Y
-------------------------------------------------------- -----------------------
Six Months Period
Ended Ended
Year Ended September 30, March 31, 1999 Sept. 30,
1998 1997 1996 1995(2) (Unaudited) 1998(1)
=======================================================================================
<S> <C> <C> <C> <C> <C>
$4.95 $4.83 $4.68 $4.68 $4.59 $4.90
- ---------------------------------------------------------------------------------------
.37 .37 .38 .13 .20 .29
(.36) .13 .16 .01 (.09) (.32)
----- ----- ----- ----- ---- ----
.01 .50 .54 .14 .11 (.03)
- ---------------------------------------------------------------------------------------
(.37) (.38) (.37) (.12) (.20) (.28)
-- -- -- (.01) -- --
-- -- -- -- -- --
-- -- -- -- -- --
-- -- (.02) (.01) -- --
----- ----- ----- ----- ---- ----
(.37) (.38) (.39) (.14) (.20) (.28)
- ---------------------------------------------------------------------------------------
$4.59 $4.95 $4.83 $4.68 $4.50 $4.59
===== ===== ===== ===== ===== ======
=======================================================================================
0.05% 10.67% 11.96% 3.09% 2.59% (0.64)%
=======================================================================================
$651 $417 $175 $67 $44 $7
- ---------------------------------------------------------------------------------------
$547 $291 $110 $24 $18 $4
- ---------------------------------------------------------------------------------------
7.73% 7.73% 8.18% 8.28%(4) 8.97%(4) 8.82%(4)
1.67% 1.69% 1.74% 2.02%(4) 0.58%(4) 0.58%(4)
- ---------------------------------------------------------------------------------------
104% 117% 105% 142% 78% 104%
</TABLE>
5. Beginning in fiscal 1995, the expense ratio reflects the effect of gross
expenses paid indirectly by the Fund. Prior year expense ratios have not been
adjusted.
6. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities owned
during the period. Securities with a maturity or expiration date at the time of
acquisition of one year or less are excluded from the calculation. Purchases and
sales of investment securities (excluding short-term securities) for the period
ended March 31, 1999, were $6,467,518,468 and $6,303,886,317, 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.
53 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited)
================================================================================
1. Significant Accounting Policies
Oppenheimer Strategic Income Fund (the Fund) is a separate series of Oppenheimer
Strategic Funds Trust, a diversified, open-end management investment company
registered under the Investment Company Act of 1940, as amended. The Fund's
investment objective is to seek a high level of current income by investing
mainly in debt securities and by writing covered call options on them. The
Fund's investment advisor is OppenheimerFunds, Inc. (the Manager). The Fund
offers Class A, Class B, Class C and Class Y shares. Class A shares are sold
with a front-end sales charge. Class B and Class C shares may be subject to a
contingent deferred sales charge. All classes of shares have identical rights to
earnings, assets and voting privileges, except that each class has its own
expenses directly attributable to that class and exclusive voting rights with
respect to matters affecting that single class. 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. Foreign currency exchange contracts are valued based on the
closing prices of the foreign 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.
54 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
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 six months ended March 31, 1999,
the market value of these securities comprised an average of 7% of the Fund's
net assets, and resulted in realized and unrealized gains of $207,607,569.
- --------------------------------------------------------------------------------
Securities Purchased on a When-Issued Basis. Delivery and payment for securities
that have been purchased by the Fund on a forward commitment or when-issued
basis can take place a month or more after the transaction date. During this
period, such securities do not earn interest, are subject to market fluctuation
and may increase or decrease in value prior to their delivery. The Fund
maintains, in a segregated account with its custodian, assets with a market
value equal to the amount of its purchase commitments. The purchase of
securities on a when-issued or forward commitment basis may increase the
volatility of the Fund's net asset value to the extent the Fund makes such
purchases while remaining substantially fully invested. As of March 31, 1999,
the Fund had entered into outstanding when-issued or forward commitments of
$221,271,835.
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 March 31, 1999, securities with an
aggregate market value of $32,059,170, representing 0.38% of the Fund's net
assets, were in default.
55 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
1. Significant Accounting Policies (continued)
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.
56 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
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.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
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.
57 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
2. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of beneficial
interest of each class. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
Six Months Ended March 31, 1999 Year Ended September 30, 1998(1)
------------------------------- --------------------------------
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class A:
Sold 100,942,354 $ 458,311,603 226,516,643 $ 1,102,213,098
Dividends reinvested 24,817,659 112,497,076 47,696,173 231,314,549
Redeemed (138,873,665) (629,215,026) (216,278,686) (1,047,161,696)
------------ ------------- ------------ ---------------
Net increase (decrease) (13,113,652) $ (58,406,347) 57,934,130 $ 286,365,951
============ ============= ============ ===============
- ---------------------------------------------------------------------------------------------
Class B:
Sold 84,489,946 $ 384,355,576 259,001,856 $ 1,262,505,059
Dividends reinvested 20,289,604 92,174,775 35,407,600 171,947,410
Redeemed (112,625,943) (511,555,060) (122,794,164) (594,704,541)
------------ ------------- ------------ ---------------
Net increase (decrease) (7,846,393) $ (35,024,709) 171,615,292 $ 839,747,928
============ ============= ============ ===============
- ---------------------------------------------------------------------------------------------
Class C:
Sold 26,282,145 $ 119,185,031 80,636,266 $ 391,857,497
Dividends reinvested 3,924,698 17,756,527 5,966,978 28,828,647
Redeemed (25,719,522) (116,391,179) (29,095,369) (140,073,706)
------------ ------------- ------------ ---------------
Net increase 4,487,321 $ 20,550,379 57,507,875 $ 280,612,438
============ ============= ============ ===============
- ---------------------------------------------------------------------------------------------
Class Y:
Sold 8,932,735 $ 40,412,361 1,871,062 $ 9,054,516
Dividends reinvested 167,600 754,486 52,161 248,947
Redeemed (740,273) (3,345,883) (417,943) (2,004,127)
------------ ------------- ------------ ---------------
Net increase 8,360,062 $ 37,820,964 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.
================================================================================
3. Unrealized Gains and Losses on Investments
As of March 31, 1999, net unrealized depreciation on investments and options
written of $408,534,229 was composed of gross appreciation of $220,280,577 and
gross depreciation of $628,814,806.
58 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
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 average annual net assets of the Fund, 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 average annual net assets in excess of $1
billion. The Fund's management fee for the six months ended March 31, 1999, was
0.53% of average annual net assets for each class of shares.
For the six months ended March 31, 1999, commissions (sales charges paid by
investors) on sales of Class A shares totaled $5,843,536, of which $1,670,674
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 A, Class
B and Class C shares totaled $328,991, $13,720,469 and $1,077,707, respectively.
Amounts paid to an affiliated broker/dealer for Class B and Class C shares were
$480,052 and $30,062, respectively. During the six months ended March 31, 1999,
OFDI received contingent deferred sales charges of $27,568, $5,302,700 and
$195,394, respectively, upon redemption of Class A, 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 other Oppenheimer funds. OFS's
total costs of providing such services are allocated ratably to these funds.
Expenses paid indirectly represent a reduction of custodian fees for
earnings on cash balances maintained by the Fund.
The Fund has adopted a Service Plan for Class A shares to reimburse OFDI
for a portion of its costs incurred in connection with the personal service and
maintenance of shareholder accounts that hold Class A shares. Reimbursement is
made quarterly at an annual rate that may not exceed 0.25% of the average annual
net assets of Class A shares of the Fund. OFDI uses the service fee to reimburse
brokers, dealers, banks and other financial institutions quarterly for providing
personal service and maintenance of accounts of their customers that hold Class
A shares. During the six months ended March 31, 1999, OFDI paid $360,962 to an
affiliated broker/dealer as reimbursement for Class A personal service and
maintenance expenses.
59 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
4. Management Fees and Other Transactions with Affiliates (continued)
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 six months ended March 31, 1999, OFDI paid
$110,265 to an affiliated broker/dealer as reimbursement for Class B personal
service and maintenance expenses and retained $16,226,158 as reimbursement for
Class B sales commissions and service fee advances, as well as financing costs.
If the Plan is terminated by the Fund, the Board of Trustees may allow the Fund
to continue payments of the asset-based sales charge to OFDI for distributing
shares before the Plan was terminated. As of March 31, 1999, OFDI had incurred
excess distribution and servicing costs of $135,316,691 for Class B.
The Fund has adopted a Distribution and Service Plan for Class C shares to
compensate OFDI for its costs in distributing Class C shares and servicing
accounts. Under the Plan, the Fund pays OFDI an annual asset-based sales charge
of 0.75% per year for its services rendered in distributing Class C shares. OFDI
also receives a service fee of 0.25% per year to compensate dealers for
providing personal services for accounts that hold Class C shares. Each fee is
computed on the average annual net assets of Class C shares, determined as of
the close of each regular business day. During the six months ended March 31,
1999, OFDI paid $39,953 to an affiliated broker/dealer as compensation for Class
C personal service and maintenance expenses and retained $2,152,795 as
compensation for Class C sales commissions and service fee advances, as well as
financing costs. If the Plan is terminated by the Fund, the Board of Trustees
may allow the Fund to continue payments of the asset-based sales charge to OFDI
for distributing shares before the Plan was terminated. As of March 31, 1999,
OFDI had incurred excess distribution and servicing costs of $10,154,824 for
Class C.
60 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
5. Foreign Currency Contracts
A foreign currency exchange contract is a commitment to purchase or sell a
foreign currency at a future date, at a negotiated rate. The Fund may enter into
foreign currency exchange contracts for operational purposes and to seek to
protect against adverse exchange rate fluctuation. Risks to the Fund include the
potential inability of the counterparty to meet the terms of the contract.
The net U.S. dollar value of foreign currency underlying all contractual
commitments held by the Fund and the resulting unrealized appreciation or
depreciation are determined using foreign currency exchange rates as provided by
a reliable bank, dealer or pricing service. Unrealized appreciation and
depreciation on foreign currency contracts are reported in the Statement of
Assets and Liabilities.
The Fund may realize a gain or loss upon the closing or settlement of the
foreign currency transactions. Realized gains and losses are reported with all
other foreign currency gains and losses in the Statement of Operations.
Securities denominated in foreign currency to cover net exposure on
outstanding foreign currency contracts are noted in the Statement of Investments
where applicable.
As of March 31, 1999, the Fund had outstanding foreign currency contracts as
follows:
<TABLE>
<CAPTION>
Expiration Contract Valuation as of Unrealized Unrealized
Contract Description Date Amount (000s) March 31, 1999 Appreciation Depreciation
- -----------------------------------------------------------------------------------------------------------------------
Contracts to Purchase
- ---------------------
<S> <C> <C> <C> <C> <C>
Euro (eur) 5/17/99 31,598 EUR $34,220,364 $ -- $473,809
Japanese Yen (JPY) 4/8/99 1,532,200 JPY 12,951,051 -- 35,625
-------- --------
-- 509,434
-------- --------
Contracts to Sell
- -----------------
British Pound
Sterling (GBP) 5/17/99-
7/15/99 35,440 GBP 57,185,496 574,830 --
Canadian Dollar (CAD) 5/11/99 18,905 CAD 12,497,231 -- 61,741
Euro (eur) 5/11/99 4,455 EUR 4,822,875 9,285 --
Hong Kong Dollar (HKD) 1/26/00-
1/31/00 152,947 HKD 19,448,648 -- 248,648
New Zealand Dollar (NZD) 5/24/99 89,925 NZD 47,983,534 144,326 --
Swedish Krona (SEK) 5/25/99 141,285 SEK 17,234,021 -- 855
Thailand Baht (THB) 2/16/00-
2/25/00 1,108,579 THB 28,850,976 -- 108,970
-------- --------
728,441 420,214
-------- --------
Total Unrealized Appreciation and Depreciation $728,441 $929,648
</TABLE>
61 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
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 it's 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.
62 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
As of March 31, 1999, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
Unrealized
Expiration Number of Valuation as of Appreciation
Contract Description Date Contracts March 31, 1999 (Depreciation)
- ----------------------------------------------------------------------------------------------------
Contracts to Purchase
- ---------------------
<S> <C> <C> <C> <C>
Japanese Treasury Bond, 10 yr. 6/99 46 $ 51,464,987 $ 172,254
U.S. Treasury Bonds, 30 yr. 6/99 4,200 506,362,500 (1,367,775)
U.S. Treasury Nts., 10 yr. 6/99 2,780 318,831,250 16,570
-----------
(1,178,951)
-----------
Contracts to Sell
- ------------------
Canadian Bond, 10 yr. 6/99 299 25,014,321 (301,925)
Goldman Sachs
Commodity Index 4/99 110 4,235,000 (236,500)
U.S. Treasury Nts., 5 yr. 6/99 3,836 427,474,250 (1,806,397)
-----------
(2,344,822)
-----------
$(3,523,773)
===========
</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.
63 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
7. Option Activity (continued)
Securities designated to cover outstanding call options are noted in the
Statement of Investments where applicable. Shares subject to call, expiration
date, exercise price, premium received and market value are detailed in a
footnote to the Statement of Investments. Options written are reported as a
liability in the Statement of Assets and Liabilities. Gains and losses are
reported in the Statement of Operations.
The risk in writing a call option is that the Fund gives up the opportunity
for profit if the market price of the security increases and the option is
exercised. The risk in writing a put option is that the Fund may incur a loss if
the market price of the security decreases and the option is exercised. The risk
in buying an option is that the Fund pays a premium whether or not the option is
exercised. The Fund also has the additional risk of not being able to enter into
a closing transaction if a liquid secondary market does not exist.
Written option activity for the six months ended March 31, 1999, 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, 1998 -- $ -- 205,825 $ 5,480,781
Options written 11,096,168,995 1,600,724 263,907,741 5,431,772
Options closed or expired (9,723,652,425) (1,304,981) (162,475) (3,212,131)
Options exercised -- -- (43,350) (2,268,650)
-------------- ----------- ----------- -----------
Options outstanding as of
March 31, 1999 1,372,516,570 $ 295,743 263,907,741 $ 5,431,772
============== =========== =========== ===========
</TABLE>
64 Oppenheimer Strategic Income Fund
<PAGE>
================================================================================
8. Illiquid and Restricted Securities
As of March 31, 1999, 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 March 31, 1999, was $714,246,201, which
represents 8.47% of the Fund's net assets, of which $25,935,371 is considered
restricted. Information concerning restricted securities is as follows:
<TABLE>
<CAPTION>
Valuation
Acquisition Cost Per Unit as of
Security Dates Per Unit March 31, 1999
- ----------------------------------------------------------------------------------------------
Bonds
- -----
<S> <C> <C> <C>
Capitol Queen & Casino, Inc., 12% First Mtg. Nts., 11/18/93-
Series A, 11/15/00 12/17/93 95.98% 5.00%
- ----------------------------------------------------------------------------------------------
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 5/15/95 110.05 112.25
- ----------------------------------------------------------------------------------------------
TAG Heuer International SA, 12/8/95-
- ----------------------------------------------------------------------------------------------
12% Sr. Sub. Nts., 12/15/05 8/13/96 102.00 114.22
- ----------------------------------------------------------------------------------------------
Trans World Airlines Lease,
14% Equipment Trust, 7/2/08 3/19/98 101.00 98.00
Stocks and Warrants
- --------------------
Becker Gaming, Inc. Wts., Exp. 11/00 11/18/93-
12/9/93 $ 2.10 $ .01
- ----------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A 6/17/97-
12/29/98 25.00 25.00
- ----------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/49 6/17/97 -- .30
- ----------------------------------------------------------------------------------------------
ECM Fund, L.P.I. 4/14/92 1,000.00 885.00
- ----------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/00 11/29/95 -- 14.44
</TABLE>
65 Oppenheimer Strategic Income Fund
<PAGE>
Notes to Financial Statements (Unaudited) (Continued)
================================================================================
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 six months ended March
31, 1999.
66 Oppenheimer Strategic Income Fund
<PAGE>
Oppenheimer Strategic Income
A Series of Oppenheimer Strategic Funds Trust
================================================================================
Officers and Trustees
James C. Swain, Chairman and Chief Executive Officer
Bridget A. Macaskill, President
Robert G. Avis, Trustee
William A. Baker, Trustee
Charles Conrad, Jr., Trustee
Jon S. Fossel, Trustee
Sam Freedman, Trustee
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.
The financial statements included herein have been
taken from the records of the Fund without examination
of the independent auditors.
This is a copy of a report to shareholders of
Oppenheimer Strategic Income Fund. This report must be
preceded or accompanied by a Prospectus of Oppenheimer
Strategic Income Fund. For material information
concerning the Fund, see the Prospectus.
Shares of Oppenheimer funds are not deposits or
obligations of any bank, are not guaranteed by any
bank, are not insured by the FDIC or any other agency,
and involve investment risks, including the 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.
[logo] Oppenheimer Funds(R)
Distributor, Inc.
Internet
24-hr access to account
information. Online
transactions now available
www.oppenheimerfunds.com
General Information
Mon-Fri 8:30am-9pm ET
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Account Transactions
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RS0230.001.0399 May 28, 1999
