<PAGE>
[PHOTO]
ANNUAL REPORT SEPTEMBER 30, 1999
OPPENHEIMER
STRATEGIC INCOME FUND
[OPPENHEIMERFUNDS LOGO](R)
THE RIGHT WAY TO INVEST
<PAGE>
CONTENTS
1 President's Letter
3 An Interview
with Your Fund's Managers
8 Fund Performance
14 FINANCIAL
STATEMENTS
67 INDEPENDENT
AUDITORS' REPORT
68 Federal
Income Tax
Information
69 Officers and Trustees
REPORT HIGHLIGHTS
- --------------------------------------------------------------------------------
Declining emerging market bond prices in the wake of 1998's global financial
crisis were only partially offset by STABLE TO RISING EMERGING MARKETS BOND
PRICES AS OF THE END OF THE REPORTING PERIOD.
We believe that higher yielding bonds--such as emerging markets debt and high
yield U.S. corporate bonds--CURRENTLY OFFER THE MOST ATTRACTIVE VALUES IN THE
FIXED INCOME MARKETS.
As bond prices declined from the effects of last year's financial crisis and
recent interest rate hikes, WE ARE OPTIMISTIC ABOUT THE POTENTIAL FOR CAPITAL
APPRECIATION.
AVERAGE ANNUAL
TOTAL RETURNS
For the 1-Year Period Ended 9/30/99*
CLASS A
Without With
Sales Chg. Sales Chg.
2.91% -1.98%
CLASS B
Without With
Sales Chg. Sales Chg.
1.92% -2.79%
CLASS C
Without With
Sales Chg. Sales Chg.
1.92% 0.98%
CLASS Y
Without With
Sales Chg. Sales Chg.
3.07% 3.07%
NOT FDIC INSURED.
NO BANK GUARANTEE.
MAY LOSE VALUE.
* See page 12 for further details.
<PAGE>
[PHOTO]
JAMES C. SWAIN
CHAIRMAN
OPPENHEIMER
STRATEGIC INCOME FUND
BRIDGET A. MACASKILL
PRESIDENT
OPPENHEIMER
STRATEGIC INCOME FUND
PRESIDENT'S LETTER
- --------------------------------------------------------------------------------
DEAR SHAREHOLDER,
In many ways, the 1999 investment environment has, so far, unfolded as many
expected it would, producing both attractive opportunities and formidable
challenges for investors.
On the economic front, early worries about the effects of global weakness
in the wake of last year's credit and currency crises have abated. Instead, as
many economies around the world begin to strengthen, concerns now center around
whether the U.S. economy may be growing too quickly. Throughout the year,
consumers in the United States have continued to spend and borrow heavily, more
than offsetting any temporary slowdown in the industrial and export sectors.
The economy's strength has not gone unnoticed by the nation's monetary
policymakers. In an effort to ward off emerging inflationary pressures, the
Federal Reserve Board increased short-term interest rates this past summer.
Market reaction to robust economic growth has been mixed. The U.S. bond
market has generally declined, as fixed income investors became increasingly
concerned about the effects of rising interest rates.
In the stock market, the performance of large-capitalization growth stocks,
which has driven the market's advance over the past few years, has begun to
moderate, and many previously out-of-favor value-oriented mid-cap and small-cap
stocks have rallied. At the same time, a healthy percentage of actively managed,
diversified portfolios have once again begun to outperform unmanaged stock
indices such as Standard & Poor's 500.
1 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
PRESIDENT'S LETTER
- --------------------------------------------------------------------------------
At OppenheimerFunds, we applaud the Fed's pre-emptive strike against inflation.
In our view, history has repeatedly demonstrated that most financial assets do
best in a low-inflation environment. What's more, we believe that the move to
higher interest rates should be temporary.
One recent development is quite troublesome to us however: the increasing
popularity of "day trading" among individuals seeking to make fast money in a
volatile stock market. In our opinion, day trading is not investing, it is
gambling. Experience proves that without extensive research and analysis,
attempting to time short-term price swings is a fool's errand. Instead, we
continue to encourage investors to maintain a long-term perspective that is
measured in years, not days.
Finally, while we remain alert to the potential impact of the Y2K issue, we
are encouraged by the progress made in addressing the matter. At
OppenheimerFunds, our shareholder accounting systems are already Y2K compliant,
and we have successfully participated in all required industrywide tests. We
intend to continue retesting our systems in order to help further protect
against any potential problems. After all, whether in our computer accounting
systems or the financial markets, managing risk is an important part of what
makes OppenheimerFunds The Right Way to Invest.
Sincerely,
/s/ JAMES C. SWAIN /s/ BRIDGET A. MACASKILL
James C. Swain Bridget A. Macaskill
October 21, 1999
2 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
[PHOTO]
PORTFOLIO MANAGEMENT
TEAM (L TO R)
ART STEINMETZ
DAVID NEGRI
AN INTERVIEW WITH YOUR FUND'S MANAGERS
- --------------------------------------------------------------------------------
HOW DID OPPENHEIMER STRATEGIC INCOME FUND PERFORM DURING THE ONE-YEAR PERIOD
THAT ENDED SEPTEMBER 30, 1999?
A. Given the very challenging conditions in the world's fixed income markets, we
are generally pleased with the Fund's relative performance over the past year.
Poor market performance in the wake of last year's currency and credit crises in
the emerging markets was only partially offset by greater market stability in
1999. In addition, higher U.S. interest rates adversely affected the prices of
U.S. government securities, which offset strength in the U.S. corporate bond
sector.
HOW WOULD YOU CHARACTERIZE THE INVESTMENT ENVIRONMENT OVER THE PAST YEAR?
The world's bond markets have been highly volatile over the past year,
especially in the emerging markets. When the reporting period began on October
1, 1998, we were in the midst of the global financial crisis, which had spread
from Asia to Russia, and was threatening Latin America. The U.S. and
international bond markets were further unsettled by problems experienced by a
number of hedge funds during the summer of 1998. These large, highly leveraged,
private investment companies were forced to sell large amounts of bonds into an
already troubled market, causing many bond prices to plummet. In 1999, both the
global financial crisis and hedge fund problems have appeared to ease. Signs
began to emerge early in 1999 that troubled emerging market economies were
stabilizing, and emerging market bond prices began to rise from depressed
levels.
3 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
"YIELD SPREADS HAVE
NOT BEEN MUCH WIDER
THAN THEY ARE TODAY,
DESPITE THE FACT THAT
INDIVIDUAL GOVERNMENTS
AND COMPANIES
ARE FISCALLY STRONG."
AN INTERVIEW WITH YOUR FUND'S MANAGERS
- --------------------------------------------------------------------------------
In the United States, stronger-than-expected economic growth caused the Federal
Reserve Board to raise short-term interest rates twice during the summer of
1999. Most U.S. government securities prices fell in anticipation of these rate
hikes. However, the strong economy benefited many high yield corporate bonds,
and prices generally rose in expectation of higher corporate profits and credit
quality.
HOW DID YOU MANAGE YOUR EMERGING MARKET INVESTMENTS IN THIS ENVIRONMENT?
Consistent with our longstanding investment strategy, we have continued to
emphasize those areas of the bond market where we have identified attractive
relative values. Emerging market bonds currently offer yields at the high end of
their range relative to developed-market bonds, providing the potential for
capital appreciation. Although we have not yet seen that potential realized, we
believe that it will occur when investors become convinced that global economic
recovery is truly under way.
Accordingly, we have increased our holdings in the Fund's emerging markets
sector, where we have focused on attractive values in Southeast Asia. By the
same token, we have de-emphasized investments in Latin American markets. In our
view, these economies may be slow to recover. While attractive values in Latin
American bonds and currencies exist, higher U.S. interest rates are likely to
adversely affect bond prices there. Therefore, we do not yet believe that the
time is right to increase our exposure to Latin America.
4 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
AVERAGE ANNUAL
TOTAL RETURNS
For the Periods Ended 9/30/99(1)
<TABLE>
<CAPTION>
Class A Since
1-Year 5-Year Inception
<S> <C> <C>
- -1.98% 6.19% 8.57%
</TABLE>
<TABLE>
<CAPTION>
Class B Since
1-Year 5-Year Inception
<S> <C> <C>
- -2.79% 6.13% 7.14%
</TABLE>
<TABLE>
<CAPTION>
Class C Since
1-Year 5-Year Inception
<S> <C> <C>
0.98% N/A 6.27%
</TABLE>
<TABLE>
<CAPTION>
Class Y Since
1-Year 5-Year Inception
<S> <C> <C>
3.07% N/A 1.43%
</TABLE>
HOW HAVE YOU MANAGED THE FUND'S HOLDINGS OF U.S. GOVERNMENT AND CORPORATE BONDS?
We have found particularly attractive values in certain areas of the U.S.
government securities sector. While returns from U.S. Treasury securities have
been negative so far in 1999 because of higher interest rates, total returns of
mortgage-backed securities issued by government agencies have been mostly
positive. Bonds issued by the Federal Home Loan Mortgage Corp., a government
agency, represent a particularly dramatic example of relative value in this
area. These mortgage-backed securities typically yield about 40 basis points
more than U.S. Treasury securities; currently they yield about 90 basis points
more. We have attempted to take advantage of relative values such as these by
increasing our holdings of mortgage-backed securities, including "interest-only"
securities whose prices tend to increase as interest rates rise.
We have also increased our exposure to high yield corporate bonds. Like the
profits of the U.S.-based corporations that issue them, these securities tend to
do well in a strong economy. Our favorite corporate sector continues to be the
telecommunications industry, which is growing dramatically. More recently, we
have added to our energy holdings as commodities prices have improved. We've
also increased our exposure to economically sensitive companies, such as
producers of chemicals, steel and paper.
1. See page 12 for further details.
5 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
STANDARDIZED YIELDS(2)
For the 30 Days Ended 9/30/99
- -----------------------------
<S> <C>
Class A 10.56%
- -----------------------------
Class B 10.35
- -----------------------------
Class C 10.35
- -----------------------------
Class Y 11.53
</TABLE>
AN INTERVIEW WITH YOUR FUND'S MANAGERS
- --------------------------------------------------------------------------------
DO YOU EXPECT Y2K-RELATED CONCERNS TO NEGATIVELY AFFECT THE FIXED INCOME
MARKETS?
We believe that any fallout from Y2K concerns will be minimal and temporary. We
have evaluated the Y2K preparedness of bond issuers both in the United States
and overseas. We are fairly impressed with the preparations to date of the U.S.
government, many U.S. corporations and most of the nations' financial
institutions. Therefore, we expect no serious problems to occur in these areas.
While some international governments and companies are less prepared, they are
also much less dependent on computer systems than their U.S. counterparts.
Consequently, we believe that Y2K concerns will diminish shortly after January
2000 arrives.
WHAT IS YOUR OUTLOOK FOR THE FORESEEABLE FUTURE?
We are cautiously optimistic. We have attempted to position the Fund to take
advantage of good values in emerging market, mortgage-backed and corporate
bonds. If, as we expect, the U.S. economy remains strong and international
economies gain strength next year, these investments should provide
above-average total returns, including high yields and price appreciation.
Nonetheless, we are prepared for continued volatility in the fixed income
markets for the remainder of 1999. Higher U.S. interest rates implemented by the
Federal Reserve Board over the summer may adversely affect international bond
markets, for example. However, once this round of rate hikes is over, we believe
the stage will be set for very attractive returns over the longer term.
2. Standardized yield is based on net investment income for the 30-day period
ended September 30, 1999. Falling share prices will tend to artificially raise
yields.
6 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
PORTFOLIO ALLOCATION(3)
[PIE CHART]
<TABLE>
<S> <C>
- - Corporate
Bonds 39.0%
- - Gov't Agency
Bonds 25.0
- - Foreign Gov't
Bonds 16.7
- - U.S. Gov't
Bonds 10.2
- - Other Bonds 5.6
- - Stocks 3.4
- - Cash Equivalents 0.1
</TABLE>
Having the patience and discipline to weather short-term volatility on the road
to longer term gains is the essence of our investment strategy, and is an
important reason Oppenheimer Strategic Income Fund is part of The Right Way to
Invest.
<TABLE>
<CAPTION>
TOP 10 COUNTRY HOLDINGS(4)
- -----------------------------------------------
<S> <C>
United States 70.5%
- -----------------------------------------------
Great Britain 2.7
- -----------------------------------------------
Mexico 2.5
- -----------------------------------------------
Argentina 2.4
- -----------------------------------------------
Germany 2.1
- -----------------------------------------------
Brazil 2.1
- -----------------------------------------------
Supranational 1.9
- -----------------------------------------------
Venezuela 1.3
- -----------------------------------------------
Poland 1.2
- -----------------------------------------------
Canada 1.2
</TABLE>
<TABLE>
<CAPTION>
TOP 5 INDUSTRIES--CORPORATE BONDS & NOTES(4)
- --------------------------------------------------
<S> <C>
Media/Entertainment: Telecommunications 8.2%
- --------------------------------------------------
Media/Entertainment: Wireless Communications 3.7
- --------------------------------------------------
Financial 2.6
- --------------------------------------------------
Transportation 2.5
- --------------------------------------------------
Service 2.3
</TABLE>
3. Portfolio data is subject to change. Percentages are as of September 30,
1999, and are dollar-weighted based on invested assets. 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.
4. Portfolio is subject to change. Percentages are as of September 30, 1999 and
are based on total market value of investments.
7 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FUND PERFORMANCE
- --------------------------------------------------------------------------------
HOW HAS THE FUND PERFORMED?
Below is a discussion, by the Manager, of the Fund's performance during its
fiscal year ended September 30, 1999, followed by a graphical comparison of the
Fund's performance to two appropriate broad-based market indices.
MANAGEMENT'S DISCUSSION OF PERFORMANCE. During the fiscal year that ended
September 30, 1999, Oppenheimer Strategic Income Fund's performance was only
moderately influenced by declining bond prices in international markets. In this
environment, the Fund's managers attempted to position the Fund to take
advantage of depressed values and widened yield spreads. During the period, the
managers continued to emphasize emerging market debt over bonds from the
developed markets. Within the emerging markets, the Fund was focused on
Southeast Asia, where attractive currency and bond values were identified in the
wake of the global financial crisis. At the same time, investments in Latin
American and Japanese markets were de-emphasized. In Europe, the Fund's exposure
to European bonds and the euro was recently increased, as management expects
economic growth in the region to accelerate. The Fund's portfolio holdings,
allocations and strategies are subject to change.
COMPARING THE FUND'S PERFORMANCE TO THE MARKET. The graphs that follow show the
performance of a hypothetical $10,000 investment in each class of shares of the
Fund held until September 30, 1999. In the case of Class A shares, performance
is measured from the inception of the class on October 16, 1989. In the case of
Class B shares, performance is measured from the inception of the class on
November 30, 1992. In the case of Class C shares, performance is measured from
the inception of the class on May 26, 1995. In the case of Class Y shares,
performance is measured from the inception of the class on January 26, 1998.
8 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
The Fund's performance reflects the deduction of the maximum initial sales
charge on Class A shares, the applicable contingent deferred sales charge on
Class B and Class C shares, and reinvestments of all dividends and capital gains
distributions.
The performance of each class of the Fund's shares is compared to two
indices because the Fund invests in a variety of debt securities in domestic and
foreign markets. The Fund's performance is compared to the performance of the
Lehman Brothers Aggregate Bond Index and the Salomon Brothers World Government
Bond Index. The Lehman Brothers Aggregate Bond Index is a broad-based, unmanaged
index of U.S. corporate bond issues, U.S. government securities and
mortgage-backed securities widely regarded as a measure of the performance of
the domestic debt securities market. The Salomon Brothers World Government Bond
Index is an unmanaged index of fixed-rate bonds having a maturity of one year or
more, widely regarded as a benchmark of fixed income performance on a worldwide
basis.
Index performance reflects the reinvestment of income but does not consider
the effect of capital gains or transaction costs, and none of the data in the
graphs that follow shows the effect of taxes. The Fund's performance reflects
the effects of Fund business and operating expenses. While index comparisons may
be useful to provide a benchmark for the Fund's performance, it must be noted
that the Fund's investments are not limited to the securities in the indices and
include below-investment-grade obligations.
9 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FUND PERFORMANCE
- --------------------------------------------------------------------------------
CLASS A SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class A), Lehman Brothers Aggregate Bond
Index and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
Lehman
Oppenheimer Brothers Salomon Brothers
Strategic Income Agggregate World Government
Fund Class A Bond Index Bond Index
<S> <C> <C> <C>
10/16/89 9525 10000 10000
09/30/90 10496 10498 10664
09/30/91 12278 12177 12269
09/30/92 13820 13705 14514
09/30/93 15698 15072 15840
09/30/94 15996 14586 16127
09/30/95 17374 16637 18737
09/30/96 19644 17452 19523
09/30/97 21861 19148 19993
09/30/98 22035 21352 22308
09/30/99 22677 21273 22415
</TABLE>
AVERAGE ANNUAL TOTAL RETURN OF CLASS A SHARES OF THE FUND AT 9/30/99(1)
1-YEAR -1.98% 5-YEAR 6.19% LIFE 8.57%
CLASS B SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class B), Lehman Brothers Aggregate Bond
Index and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
Lehman
Oppenheimer Brothers Salomon Brothers
Strategic Income Aggregate World Government
Fund Class B Bond Index Bond Index
<S> <C> <C> <C>
11/30/92 10000 10000 10000
09/30/93 11516 11141 11399
09/30/94 11643 10782 11606
09/30/95 12551 12298 13484
09/30/96 14081 12901 14050
09/30/97 15549 14154 14388
09/30/98 15590 15783 16054
09/30/99 15887 15725 16131
</TABLE>
AVERAGE ANNUAL TOTAL RETURN OF CLASS B SHARES OF THE FUND AT 9/30/99(1)
1-YEAR -2.79% 5-YEAR 6.13% LIFE 7.14%
The performance information for both indices in the graphs begins on 10/31/89
for Class A, 11/30/92 for Class B, 5/31/95 for Class C and 1/30/98 for Class Y.
10 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
CLASS C SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class C), Lehman Brothers Aggregate Bond
Index and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
Lehman
Oppenheimer Brothers Salomon Brothers
Strategic Income Aggregate World Government
Fund Class C Bond Index Bond Index
<S> <C> <C> <C>
05/26/95 10000 10000 10000
09/30/95 10309 10271 9953
09/30/96 11542 10744 10371
09/30/97 12774 11821 10621
09/30/98 12780 13182 11851
09/30/99 13027 13133 11908
</TABLE>
AVERAGE ANNUAL TOTAL RETURN OF CLASS C SHARES OF THE FUND AT 9/30/99(1)
1-YEAR 0.98% LIFE 5.27%
CLASS Y SHARES
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
Oppenheimer Strategic Income Fund (Class Y), Lehman Brothers Aggregate Bond
Index and Salomon Brothers World Government Bond Index
[The following table was originally a line graph in the printed materials.]
<TABLE>
<CAPTION>
Lehman
Oppenheimer Brothers Salomon Brothers
Strategic Income Aggregate World Government
Fund Class Y Bond Index Bond Index
<S> <C> <C> <C>
01/26/98 10000 10000 10000
09/30/98 9936 10695 11028
09/30/99 10241 10656 11081
</TABLE>
AVERAGE ANNUAL TOTAL RETURN OF CLASS Y SHARES OF THE FUND AT 9/30/99(1)
1-YEAR 3.07% LIFE 1.43%
1. See page 12 for further details.
Past performance is not predictive of future performance. Graphs are not drawn
to the same scale.
11 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES
- --------------------------------------------------------------------------------
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.
Total returns and the ending account values in the graphs include changes in
share price and reinvestment of dividends and capital gains distributions in a
hypothetical investment for the periods shown.
CLASS A shares were first publicly offered on 10/16/89. The average annual total
returns are shown net of the applicable 4.75% maximum initial sales charge. The
Fund's maximum sales charge for Class A shares was lower prior to 2/1/93, so
actual performance may have been higher.
CLASS B shares of the Fund were first publicly offered on 11/30/92. The average
annual total returns are shown net of the applicable contingent deferred sales
charges of 5% (1-year) and 2% (5-year). Because Class B shares convert to Class
A shares 72 months after purchase, the "life-of-class" return for Class B uses
Class A performance for the period after conversion. Class B shares are subject
to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 5/26/95. The average
annual total returns are shown net of the applicable 1% contingent deferred
sales charge for the one-year period. Class C shares are subject to an annual
0.75% asset-based sales charge.
CLASS Y shares of the Fund were first publicly offered on 1/26/98. Class Y
shares are offered only to certain institutional investors under special
agreement with the Distributor.
An explanation of the different performance calculations is in the Fund's
prospectus.
12 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FINANCIALS
13 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS September 30, 1999
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
=====================================================================================================================
<S> <C> <C>
MORTGAGE-BACKED OBLIGATIONS--25.8%
- ---------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY--17.2%
- ---------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED--14.2%
Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations,
Gtd. Multiclass Mtg. Participation Certificates:
11.50%, 10/1/16 $ 2,615,885 $ 2,886,786
Series 1092, Cl. K, 8.50%, 6/15/21 5,779,016 5,961,403
Series 1252, Cl. J, 8%, 5/15/22 7,000,000 7,192,500
Series 1295, Cl. J, 7.50%, 3/15/07 7,769,240 7,868,764
Series 1343, Cl. LA, 8%, 8/15/22 17,100,000 17,522,028
Series 1455, Cl. J, 7.50%, 12/15/22 18,527,500 18,741,678
Series 1562, Cl. C, 7%, 3/15/21 10,000,000 9,962,500
Series 2121, Cl. QF, 6%, 1/15/24 10,000,000 9,456,200
Series 2145, Cl. UJ, 6.50%, 7/15/26 29,266,572 28,178,221
Series 2155, Cl. PM, 6%, 4/15/25 21,808,000 20,588,115
- ---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Multiclass
Mtg. Participation Certificates:
10%, 5/1/20 1,162,295 1,257,313
10.50%, 5/1/20 2,538,941 2,758,306
12%, 6/1/17 5,248,776 5,903,194
Series 2075, Cl. PL, 6.25%, 3/15/28 15,000,000 13,635,900
- ---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only
Stripped Mtg.-Backed Securities:
Series 176, Cl. IO, 14.002%, 6/1/26(2) 5,919,212 1,753,567
Series 183, Cl. IO, 18.529%, 4/1/27(2) 9,306,102 2,771,473
Series 192, Cl. IO, 12.721%-18.844%, 2/1/28(2) 107,203,160 32,797,467
Series 194, Cl. IO, 10.380%-10.87%, 4/1/28(2) 31,519,030 9,962,968
Series 197, Cl. IO, 9.524%-14.649%, 4/1/28(2) 272,777,790 85,243,062
Series 199, Cl. IO, 13.542%-22.218%, 8/1/28(2) 384,013,846 122,284,410
Series 202, Cl. IO, 10.166%-10.575%, 4/1/29(2) 32,876,582 10,844,135
Series 2036, Cl. PF, 12.33%, 3/15/28(2) 7,795,984 3,033,125
Series 2048, Cl. PJ, 11.896%, 4/15/28(2) 11,232,514 4,577,249
Series 2178, Cl. PI, 10.383%, 8/15/29(2) 22,989,733 5,747,433
- ---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Mtg.-Backed Certificates, 10%, 4/1/20 1,479,102 1,586,618
- ---------------------------------------------------------------------------------------------------------------------
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 18,044,009
- ---------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
6%, 8/1/13 24,133,704 23,228,691
6.50%, 1/1/29 6,109,669 5,859,967
6.50%, 10/25/13(3) 190,000,000 186,437,500
7%, 10/25/27(3) 85,000,000 83,526,100
7.50%, 10/1/29(3) 95,900,000 96,169,479
7.50%, 11/1/25-7/1/26 7,941,236 7,973,164
9.50%, 4/1/20-11/25/27 1,147,963 1,230,928
10.50%, 10/1/19 1,034,421 1,130,747
11%, 10/15/15-2/1/26 2,966,065 3,302,389
12%, 2/15/16 2,313,328 2,625,628
15%, 4/15/13 1,792,727 2,190,069
</TABLE>
14 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FHLMC/FNMA/SPONSORED CONTINUED
Federal National Mortgage Assn., Collateralized Mtg. Obligations,
Gtd. Multiclass Mtg. Participation Certificates:
Trust 1993-102, Cl. H, 6.80%, 9/25/22 $ 23,350,000 $ 23,174,875
Trust 1998-19, Cl. PK, 6%, 9/18/26 16,200,000 14,939,316
Trust 1998-30, Cl. QB, 6.50%, 4/18/19 8,805,000 8,793,994
Trust 1999-19, Cl. TC, 6.50%, 11/25/11 9,233,000 9,131,991
- --------------------------------------------------------------------------------------------------------------------
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 6,979,981 7,368,209
Trust 1993-38, Cl. U, 7.50%, 8/25/21 10,000,000 10,118,700
Trust 1994-27, Cl. PH, 6.50%, 9/25/22 4,045,000 3,988,087
Trust 1997-63, Cl. PC, 6.50%, 3/18/26 8,470,400 8,327,420
Trust 1998-36, Cl. PA, 6.25%, 7/18/13 10,000,000 9,968,700
- --------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate
Mtg. Investment Conduit Pass-Through Certificates:
Trust 1989-4, Cl. D, 10%, 2/25/19 6,129,398 6,531,610
Trust 1995-4, Cl. PC, 8%, 5/25/25 8,692,100 8,941,998
- --------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 249, Cl. 2, 14.441%, 10/25/23(2) 8,875,770 2,573,974
Trust 252, Cl. 2, 11.599%, 11/1/23(2) 26,161,996 7,574,716
Trust 276, Cl. 2, 12.061%, 10/1/24(2) 20,604,900 6,010,836
Trust 294, Cl. 1, 11.972%-25.189%, 2/1/28(2) 166,716,342 50,978,733
Trust 302, Cl. 2, 9.827%-9.867%, 6/2/29(2) 36,980,286 11,926,143
Trust 1997-9, Cl. H, 8.789%, 3/25/27(2) 25,000,000 8,843,750
- --------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only
Stripped Mtg.-Backed Security:
Trust 1996-4, Cl. L, 4.446%, 1/25/24(4) 10,000,000 4,762,500
Trust 1997-44, Cl. B, 5.912%, 6/25/08(4) 15,904,036 12,027,427
-----------------
1,080,216,065
- --------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--3.0%
Government National Mortgage Assn.:
7%, 1/15/28-8/15/28 68,388,478 67,141,770
7.50%, 7/15/25-9/15/28 55,482,829 55,759,486
8%, 5/15/26-9/15/28 39,698,176 40,612,833
12.50%, 12/15/13-11/15/15 11,977,692 13,647,263
13%, 10/15/15 16,481,308 19,356,525
13.50%, 6/15/15 20,752,783 24,665,008
- --------------------------------------------------------------------------------------------------------------------
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, 4.089%, 9/1/22(2) 106,112,038 2,752,281
Series 1995-2B, Cl. 2-IO, 12.679%, 6/1/25(2) 10,808,557 264,303
Series 1995-3, Cl. 1-IO, 5.858%, 9/1/25(2) 283,198,102 3,783,350
-----------------
227,982,819
</TABLE>
15 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PRIVATE--8.6%
- -------------------------------------------------------------------------------------------------------------------
AGRICULTURAL--0.1%
Prudential Agricultural Credit, Inc., Farmer Mac Agricultural Real Estate
Trust Sr. Sub. Mtg. Pass-Through Certificates, Series 1992-2:
Cl. B2, 9.451%, 1/15/03(5,6) $ 2,795,105 $ 2,323,431
Cl. B3, 9.395%, 4/15/09(5,6) 5,773,280 4,218,103
--------------
6,541,534
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL--6.6%
Ameriquest Technology, Inc., Series 1999-I, 9.75%, 3/25/29(5) 25,494,649 25,255,637
- -------------------------------------------------------------------------------------------------------------------
AMRESCO Commercial Mortgage Funding I Corp., Multiclass Mtg.
Pass-Through Certificates, Series 1997-C1:
Cl. G, 7%, 6/17/29(5) 1,550,000 1,234,187
Cl. H, 7%, 6/17/29(5) 1,600,000 1,075,000
- -------------------------------------------------------------------------------------------------------------------
Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates:
Series 1995-MD4, Cl. A-4, 7.384%, 8/13/29 5,000,000 4,707,812
Series 1995-MD4, Cl. A-5, 7.384%, 8/13/29 20,000,000 17,943,750
Series 1997-D4, Cl. B1, 7.525%, 4/14/29(6) 11,875,000 8,984,180
Series 1997-D4, Cl. B2, 7.525%, 4/14/29(6) 24,582,312 18,075,681
Series 1997-D4, Cl. B3, 7.525%, 4/14/29(4) 5,532,925 3,615,421
Series 1997-D5, Cl. B1, 6.93%, 2/14/41 7,700,000 5,454,969
Series 1997-D5, Cl. B2, 6.93%, 2/14/41 21,050,000 14,360,047
- -------------------------------------------------------------------------------------------------------------------
CBA Mortgage Corp., Mtg. Pass-Through Certificates, Series 1993-C1:
Cl. E, 6.72%, 12/25/03(5,6) 2,609,000 2,242,109
Cl. F, 6.72%, 12/25/03(5,6) 14,300,000 12,181,812
- -------------------------------------------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc., Collateralized Mortgage Obligation,
Series 1999-3, Cl. A4, 6.50%, 5/25/29 41,752,593 39,456,201
- -------------------------------------------------------------------------------------------------------------------
Citicorp Mortgage Securities, Inc., Sub. Bonds, Series 1993-5:
Cl. B3, 7%, 4/25/23(5) 1,192,197 1,080,056
Cl. B4, 7%, 4/25/23(5) 901,838 447,538
- -------------------------------------------------------------------------------------------------------------------
Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligations,
Series 1996-C1, Cl. E, 8.074%, 12/25/20(6,7) 3,000,000 2,845,312
- -------------------------------------------------------------------------------------------------------------------
CRIMMI MAE Trust I, Collateralized Mtg. Obligations,
Series 1996-C1, Cl. A2, 7.56%, 8/30/05(7) 6,300,000 5,943,164
- -------------------------------------------------------------------------------------------------------------------
CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates,
Series 1998-C1, Cl. F, 6%, 5/17/40(5) 5,500,000 3,169,375
- -------------------------------------------------------------------------------------------------------------------
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 2,448,437
Cl. 2-E, 8.70%, 9/25/25 2,500,000 2,435,937
Cl. 2-G, 8.70%, 9/25/25(5) 4,870,000 4,694,984
- -------------------------------------------------------------------------------------------------------------------
First Union-Lehman Brothers Commercial Mortgage Trust, Interest-Only
Stripped Mtg.-Backed Security, Series 1998-C2, Cl. IO, 9.569%, 5/18/28(2) 118,162,494 4,435,709
- -------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Collateralized Mtg. Obligations:
Series 1997-C1, Cl. G, 7.414%, 11/15/11 19,440,000 14,154,750
Series 1997-C2, Cl. F, 6.75%, 4/16/29 17,785,500 11,688,408
</TABLE>
16 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL Continued
General Motors Acceptance Corp., Commercial Mtg. Securities, Inc.,
Sub. Bonds, Series 1998-C2, Cl. D, 6.50%, 7/15/10 $ 14,583,523 $ 12,993,008
- ---------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., Interest-Only Stripped Mtg.-Backed
Security, Series 1997-C1, Cl. X, 8.996%, 7/15/27(2) 172,274,895 13,351,304
- ---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group LP, Collateralized Bond Obligations, Sub. Bonds,
Series 1A, Cl. D, 12.54%, 6/13/01 6,000,000 5,745,000
- ---------------------------------------------------------------------------------------------------------------------------
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only
Stripped Mtg.-Backed Security, Series 1999-C2, Cl. C, 8.996%, 10/15/32(2) 9,070,000 8,973,631
- ---------------------------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates,
Series 1995-C2, Cl. D, 7.883%, 6/15/21(6) 2,213,385 2,198,688
- ---------------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates:
Series 1996-C1, Cl. E, 7.425%, 3/15/06(5,6) 9,365,000 7,887,086
Series 1996-C1, Cl. F, 7.425%, 2/15/28(5,6) 13,360,980 9,853,723
Series 1997-HF1, Cl. F, 6.86%, 2/15/10(5) 3,475,000 2,737,105
Series 1997-RR, Cl. D, 7.671%, 4/30/39(5) 2,950,158 2,230,136
Series 1997-RR, Cl. E, 7.75%, 4/30/39(5,6) 9,200,495 6,132,705
Series 1997-RR, Cl. F, 7.649%, 4/30/39(5) 30,801,658 16,647,334
Series 1997-XL1, Cl. F, 7.411%, 10/3/30(6) 7,000,000 6,501,250
Series 1997-XL1, Cl. G, 7.695%, 10/3/30(5) 14,358,000 11,966,496
- ---------------------------------------------------------------------------------------------------------------------------
NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I,
Cl. ECFD, 8.75%, 12/25/28(5) 15,172,057 14,811,721
- ---------------------------------------------------------------------------------------------------------------------------
Norwest Asset Securities Corp.:
Series 1998-12, Cl. A3, 6.75%, 6/25/28 21,334,225 21,047,494
Mtg. Pass-Through Certificates, Series 1998-15, Cl. A-13, 6.75%, 7/25/28 10,000,000 9,393,750
- ---------------------------------------------------------------------------------------------------------------------------
Nykredit AS, 7% Cv. Bonds, 10/1/29 [DKK] 220,143,000 30,623,600
- ---------------------------------------------------------------------------------------------------------------------------
Option One Mortgage Trust, Collateralized Mtg. Obligations,
Series 1999-1A, 10.06%, 3/1/29(5) 9,555,296 9,471,687
- ---------------------------------------------------------------------------------------------------------------------------
Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates:
Series 1993-C1, Cl. D, 9.45%, 5/25/24 5,590,534 5,535,503
Series 1993-C1, Cl. E, 9.50%, 5/25/24 58,505 58,053
Series 1994-C1, Cl. C, 8%, 6/25/26 8,000,000 7,961,875
Series 1994-C1, Cl. E, 8%, 6/25/26 5,462,906 5,283,228
Series 1994-C2, Cl. E, 8%, 4/25/25 17,829,679 17,498,159
Series 1994-C2, Cl. G, 8%, 4/25/25 5,632,975 5,360,128
Series 1995-C1, Cl. F, 6.90%, 2/25/27 6,019,025 5,483,427
- ---------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-C1, Cl. E, 9.184%, 1/20/06 4,550,000 4,277,000
- ---------------------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1997-A3, 5%, 8/25/27(5) 5,032,461 4,651,882
- ---------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 1997-LLI:
Cl. E, 7.30%, 4/12/12 3,000,000 2,649,375
Cl. F, 7.30%, 4/12/12(5) 8,000,000 5,935,000
- ---------------------------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Multiclass Pass-Through Certificates:
Series 1995-C4, Cl. E, 8.731%, 6/25/26(5,6) 9,453,000 9,122,145
Series 1996-C3, Cl. E, 8.256%, 6/25/30(7) 9,350,000 8,768,547
</TABLE>
17 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL Continued
Series 1996-CFL, Cl. D, 7.034%, 2/25/28 $ 14,220,000 $ 14,108,906
Series 1999-1, 10%, 8/25/28 4,148,897 4,130,746
- -----------------------------------------------------------------------------------------------------------------------------
TIAA Retail Commercial Mortgage Trust, Series 1999-1, Cl. A, 7.17%, 1/15/32 5,000,000 5,000,000
----------------
506,320,168
- -----------------------------------------------------------------------------------------------------------------------------
MULTIFAMILY--0.3%
Countrywide Funding Corp., Mtg. Pass-Through Certificates:
Series 1993-11, Cl. B1, 6.25%, 2/25/09(5) 1,040,955 945,643
Series 1993-11, Cl. B3, 6.25%, 2/25/09(5) 607,227 232,644
Series 1993-12, Cl. B1, 6.625%, 2/25/24 3,342,790 3,071,711
- -----------------------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1997-MC1, Cl. F, 7.452%, 5/20/07(5) 2,939,000 2,297,012
- -----------------------------------------------------------------------------------------------------------------------------
Mortgage Capital Funding, Inc., Multifamily Mtg. Pass-Through Certificates,
Series 1996-MC1, Cl. G, 7.15%, 6/15/06(7) 9,700,000 7,625,109
- -----------------------------------------------------------------------------------------------------------------------------
Multifamily Capital Access One, Inc., Series 1, Cl. D, 8.82%, 1/15/24(5,6) 3,576,000 2,957,464
- -----------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-CL, Cl. F, 9.092%, 1/20/06(6) 9,632,000 7,350,420
----------------
24,480,003
- -----------------------------------------------------------------------------------------------------------------------------
OTHER--0.2%
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/11(5) 15,000,000 13,521,094
- -----------------------------------------------------------------------------------------------------------------------------
RESIDENTIAL--1.4%
Chase Mortgage Finance Corp., Sub. Mtg. Pass-Through Certificates,
Series 1999-S10, Cl. A-1, 6.75%, 8/25/29 30,000,000 29,971,875
- -----------------------------------------------------------------------------------------------------------------------------
First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates,
Series 1997:
Cl. D, 8.227%, 5/25/08(5,6) 8,500,000 6,802,656
Cl. E, 8.227%, 2/25/11(5,6) 14,500,000 10,032,187
- -----------------------------------------------------------------------------------------------------------------------------
Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates,
Series 1997-QS8, Cl. M3, 7.50%, 8/25/27 3,205,529 2,919,035
- -----------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust, Asset-Backed Pass-Through Certificates,
Series 1996-A1, Cl. A8, 7.35%, 3/25/26 11,830,697 11,509,020
- -----------------------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust, Collateralized Mtg. Obligations,
Non-Accelerated Security, Series 1997-A2, Cl. A8, 7.75%, 4/25/27 13,300,000 13,408,062
- -----------------------------------------------------------------------------------------------------------------------------
Residential Funding Mortgage Series I, Inc., Mtg. Pass-Through Certificates,
Series 1998-S15, Cl. A10, 6.75%, 7/25/28 16,000,000 15,080,000
- -----------------------------------------------------------------------------------------------------------------------------
Ryland Mortgage Securities Corp. Sub. Bonds, Series 1993-3,
Cl. B2, 6.713%, 8/25/08 942,084 892,110
- -----------------------------------------------------------------------------------------------------------------------------
Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl. 1, 6.581%, 4/25/26(5) 14,277,220 9,753,126
- -----------------------------------------------------------------------------------------------------------------------------
Salomon, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1998-A1, 5%, 12/25/00(5) 4,500,396 4,334,445
----------------
104,702,516
----------------
Total Mortgage-Backed Obligations (Cost $1,976,735,154) 1,963,764,199
</TABLE>
18 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==================================================================================================================
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--10.5%
- ------------------------------------------------------------------------------------------------------------------
AGENCY--2.7%
Federal National Mortgage Assn.:
Sr. Unsub. Medium-Term Nts., 6.50%, 7/10/02 [AUD] 12,075,000 $ 7,971,153
Sr. Unsub. Nts., 6.375%, 8/15/07 [AUD] 12,954,000 8,236,878
Unsec. Nts., 6.625%, 9/15/09 187,500,000 186,973,125
----------------
203,181,156
- ------------------------------------------------------------------------------------------------------------------
TREASURY--7.8%
U.S. Treasury Bonds:
6%, 8/15/04 5,700,000 5,757,000
6.125%, 11/15/27 100,300,000 97,479,063
11.25%, 2/15/15 58,000,000 85,096,904
STRIPS, 5.995%, 5/15/18(8) 433,200,000 129,981,660
STRIPS, 6.554%, 8/15/14(8) 39,500,000 15,103,220
STRIPS, 6.567%, 2/15/19(8) 175,000,000 50,210,475
- ------------------------------------------------------------------------------------------------------------------
U.S. Treasury Nts.:
5.875%, 8/15/09 20,000,000 20,162,500
6.50%, 10/15/06(9) 89,430,000 91,442,175
7%, 7/15/06 96,700,000 101,565,267
----------------
Total U.S. Government Obligations (Cost $811,192,783) 799,979,420
==================================================================================================================
FOREIGN GOVERNMENT OBLIGATIONS--17.2%
- ------------------------------------------------------------------------------------------------------------------
ARGENTINA--2.2%
Argentina (Republic of) Bonds:
9.75%, 9/19/27 5,410,000 4,530,875
Bonos de Consolidacion de Deudas, Series I, 2.828%, 4/1/076 [ARP] 36,135,994 24,043,629
Series L, 6.812%, 3/31/05(6) 20,389,600 17,917,361
- ------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Global Unsec. Unsub. Bonds, Series BGL5,
11.375%, 1/30/17 40,421,000 38,096,792
- ------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Nts.:
11%, 12/4/05 19,775,000 18,860,406
11.75%, 2/12/07(7) [ARP] 3,100,000 2,651,030
Series REGS, 11.75%, 2/12/07 [ARP] 17,290,000 14,785,907
- ------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Unsec. Unsub. Medium-Term Nts., 8.75%, 7/10/02 [ARP] 36,680,000 31,138,378
- ------------------------------------------------------------------------------------------------------------------
Banco Hipotecario Nacional (Argentina) Medium-Term Unsec. Nts.,
Series 3, 10.625%, 8/7/06 15,000,000 14,962,500
- ------------------------------------------------------------------------------------------------------------------
City of Buenos Aires Bonds, Series 3, 10.50%, 5/28/04 [ARP] 5,490,000 4,035,957
----------------
171,022,835
</TABLE>
19 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
BRAZIL--2.0%
Brazil (Federal Republic of) Bonds:
10.125%, 5/15/27 $ 260,000 $ 194,350
11.625%, 4/15/04 23,370,000 21,852,118
Series RG, 5.938%, 4/15/12(6) 18,720,000 11,278,800
- ----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Capitalization Bonds, 8%, 4/15/14 121,484,673 76,079,777
- ----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Debt Conversion Bonds, 5.938%, 4/15/12(6) 11,484,000 6,919,110
- ----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Gtd. Disc. Bonds, 6.125%, 4/15/24(6) 12,010,000 7,671,387
- ----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Interest Due & Unpaid Bonds, 6.50%, 1/1/01(6) 21,403,845 20,761,730
- ----------------------------------------------------------------------------------------------------------------------------
Brazil (Federal Republic of) Unsec. Bonds, 9.375%, 4/7/08 7,672,000 6,041,700
- ----------------------------------------------------------------------------------------------------------------------------
Telecomunicacoes Brasileiras SA Medium-Term Nts., 10.85%, 12/9/99(5,6) 500,000 498,750
------------------
151,297,722
- ----------------------------------------------------------------------------------------------------------------------------
BULGARIA--1.0%
Bulgaria (Republic of) Disc. Bonds, Tranche A, 6.50%, 7/28/24(6) 56,690,000 39,116,100
- ----------------------------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Front-Loaded Interest Reduction Bearer Bonds,
Tranche A, 2.75%, 7/28/12(10) 51,230,000 32,274,900
- ----------------------------------------------------------------------------------------------------------------------------
Bulgaria (Republic of) Interest Arrears Bonds, 6.50%, 7/28/11(6) 6,800,000 4,836,500
------------------
76,227,500
- ----------------------------------------------------------------------------------------------------------------------------
COLOMBIA--0.1%
Colombia (Republic of) Nts., 7.25%, 2/23/04 3,945,000 3,181,595
- ----------------------------------------------------------------------------------------------------------------------------
Colombia (Republic of) Unsec. Bonds, 10.875%, 3/9/04 3,310,000 3,263,706
------------------
6,445,301
- ----------------------------------------------------------------------------------------------------------------------------
ECUADOR--0.0%
Ecuador (Republic of) Debs., 6.75%, 2/27/15(6) 10,730,649 1,797,384
- ----------------------------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Disc. Bonds, 6.75%, 2/28/25(6) 2,505,000 773,419
- ----------------------------------------------------------------------------------------------------------------------------
Ecuador (Republic of) Past Due Interest Bonds, 6.75%, 2/27/15(6) 3,015,666 505,124
------------------
3,075,927
- ----------------------------------------------------------------------------------------------------------------------------
FINLAND--0.3%
Finland (Republic of) Bonds, 9.50%, 3/15/04 [EUR] 15,305,101 19,436,529
- ----------------------------------------------------------------------------------------------------------------------------
FRANCE--0.3%
France (Government of) Bonds, Obligations Assimilables du Tresor, 5.50%,
10/25/07 [EUR] 18,212,513 19,910,329
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY--0.9%
Germany (Republic of) Bonds:
6.75%, 5/13/04 [EUR] 15,780,000 18,301,407
Series 98, 5.25%, 1/4/08 [EUR] 49,820,000 53,435,014
------------------
71,736,421
</TABLE>
20 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
GREAT BRITAIN--0.4%
United Kingdom Treasury Nts., 8%, 6/10/03 [GBP] 15,390,000 $ 26,739,810
- ------------------------------------------------------------------------------------------------------------------
HUNGARY--0.3%
Hungary (Government of) Bonds, Series 01/H, 13.50%, 6/12/01 [HUF] 6,031,160,000 24,855,960
- ------------------------------------------------------------------------------------------------------------------
INDONESIA--0.0%
Perusahaan Listr, 17% Nts., 8/21/01(5) [IDR] 9,000,000,000 565,530
- ------------------------------------------------------------------------------------------------------------------
PT Hutama Karya Medium-Term Nts., Zero Coupon, 9/3/98(5,11) [IDR] 25,000,000,000 822,861
----------------
1,388,391
- ------------------------------------------------------------------------------------------------------------------
ITALY--1.1%
Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali:
6%, 11/1/07 [EUR] 15,970,000 17,793,822
8.50%, 1/1/04 [EUR] 38,377,926 46,880,748
8.75%, 7/1/06 [EUR] 9,430,784 12,122,850
10.50%, 4/1/05 [EUR] 4,287,711 5,787,014
----------------
82,584,434
- ------------------------------------------------------------------------------------------------------------------
IVORY COAST--0.1%
Ivory Coast (Government of) Past Due Interest Bonds, 2%, 3/29/18(6,7) 21,662,025 6,011,212
- ------------------------------------------------------------------------------------------------------------------
JAPAN--0.6%
Japan (Government of) Bonds, Series 141, 6.50%, 6/20/01 [JPY] 4,375,000,000 45,422,419
- ------------------------------------------------------------------------------------------------------------------
JORDAN--0.1%
Hashemite (Kingdom of Jordan) Bonds, Series DEF, 5.50%, 12/23/23(10) 8,840,000 5,359,250
- ------------------------------------------------------------------------------------------------------------------
Hashemite (Kingdom of Jordan) Disc. Bonds, 6.188%, 12/23/23(6) 3,710,000 2,430,050
----------------
7,789,300
- ------------------------------------------------------------------------------------------------------------------
MEXICO--1.7%
Fideicomiso Petacalco Trust Nts., 10.16%, 12/23/09(7) 8,000,000 7,140,000
- ------------------------------------------------------------------------------------------------------------------
Mexican Williams Sr. Nts., 5.83%, 11/15/08(6) 1,500,000 1,327,500
- ------------------------------------------------------------------------------------------------------------------
United Mexican States Bonds:
6.63%, 12/31/19 [FRF] 235,510,000 30,207,215
11.375%, 9/15/16 32,625,000 34,500,937
11.50%, 5/15/26 5,645,000 6,230,669
- ------------------------------------------------------------------------------------------------------------------
United Mexican States Collateralized Fixed Rate Par Bonds:
Series B, 6.25%, 12/31/19 50,550,000 37,343,812
Series W-A, 6.25%, 12/31/19 310,000 229,012
Series W-B, 6.25%, 12/31/19 1,750,000 1,292,813
- ------------------------------------------------------------------------------------------------------------------
United Mexican States Disc. Bonds, Series C, 5.874%, 12/31/19(6) 9,750,000 8,336,250
----------------
126,608,208
</TABLE>
21 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NEW ZEALAND--0.2%
New Zealand (Government of) Bonds, 7%, 7/15/09 [NZD] 27,911,000 $ 14,471,852
- ----------------------------------------------------------------------------------------------------------------------
NIGERIA--0.3%
Central Bank of Nigeria Gtd. Bonds, Series WW, 6.25%, 11/15/20 8,500,000 5,100,000
- ----------------------------------------------------------------------------------------------------------------------
Nigeria (Federal Republic of) Promissory Nts., Series RC, 5.092%, 1/5/10 33,664,475 19,752,126
-----------------
24,852,126
- ----------------------------------------------------------------------------------------------------------------------
NORWAY--0.9%
Norway (Government of) Bonds, 9.50%, 10/31/02 [NOK] 504,380,000 71,598,864
- ----------------------------------------------------------------------------------------------------------------------
PANAMA--0.3%
Panama (Republic of) Interest Reduction Bonds, 4.25%, 7/17/14(6) 15,604,000 11,312,900
- ----------------------------------------------------------------------------------------------------------------------
Panama (Republic of) Past Due Interest Debs., 5.819%, 7/17/16(6) 20,493,074 14,703,781
-----------------
26,016,681
- ----------------------------------------------------------------------------------------------------------------------
PERU--0.7%
Peru (Republic of) Sr. Nts., Zero Coupon, 4.533%, 2/28/16(8) 121,826,375 52,105,141
- ----------------------------------------------------------------------------------------------------------------------
POLAND--1.0%
Poland (Republic of) Bonds:
12%, 6/12/01 [PLZ] 225,350,000 53,388,289
Series 0600, 14%, 6/12/00 [PLZ] 15,000,000 3,638,804
Series 1003, 12%, 10/12/03 [PLZ] 31,680,000 7,530,523
Series 2 yr., 14%, 2/12/00 [PLZ] 14,000,000 3,392,800
- ----------------------------------------------------------------------------------------------------------------------
Poland (Republic of) Treasury Bills, Series 52, Zero Coupon,
14.857%, 10/13/99(8) [PLZ] 25,180,000 6,024,088
-----------------
73,974,504
- ----------------------------------------------------------------------------------------------------------------------
RUSSIA--0.6%
Russia (Government of) Debs., 12/15/15(11) 1,025,618 112,818
- ----------------------------------------------------------------------------------------------------------------------
Russia (Government of) Principal Loan Debs., Series 24 yr., 12/15/20(11) 165,220,000 15,386,113
- ----------------------------------------------------------------------------------------------------------------------
Russia (Government of) Sr. Unsec. Unsub. Nts., 11.75%, 6/10/03 13,912,000 7,324,668
- ----------------------------------------------------------------------------------------------------------------------
Russia (Government of) Unsec. Bonds, 11%, 7/24/18 16,920,000 7,148,700
- ----------------------------------------------------------------------------------------------------------------------
Russian Federation Unsec. Unsub. Nts.:
8.75%, 7/24/05 23,260,000 9,652,900
12.75%, 6/24/28 18,550,000 8,770,440
-----------------
48,395,639
- ----------------------------------------------------------------------------------------------------------------------
SOUTH AFRICA--0.5%
South Africa (Republic of) Bonds, Series 153, 13%, 8/31/10 [ZAR] 244,586,000 36,420,078
- ----------------------------------------------------------------------------------------------------------------------
SPAIN--0.3%
Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion del Estado:
4.50%, 7/30/04 [EUR] 13,098,249 13,868,240
6%, 1/31/08 [EUR] 5,853,857 6,532,361
-----------------
20,400,601
</TABLE>
22 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
TURKEY--0.0%
Export Credit Bank of Turkey Bonds, 8.385%, 8/18/00(5,6) $ 250,000 $ 240,000
- ---------------------------------------------------------------------------------------------------------------------
VENEZUELA--1.3%
Venezuela (Republic of) Bonds, 9.25%, 9/15/27 32,770,000 21,711,764
- ---------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Disc. Bonds:
Series DL, 6.312%, 12/18/07(6) 64,803,189 50,303,476
Series W-A, 5.875%, 3/31/20(6) 4,450,000 2,942,563
- ---------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Discount Bonds, Series W-B, 6%, 3/31/20(6) 7,250,000 4,794,063
- ---------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Front-Loaded Interest Reduction Bonds,
Series B, 6.875%, 3/31/07(6) 2,635,714 1,996,554
- ---------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) New Money Bonds:
Series A, 6.437%, 12/18/05(6) 12,044,117 9,420,758
Series B, 6.312%, 12/18/05(6) 9,176,470 7,177,721
Series P, 6.312%, 12/18/05(6) 2,485,294 1,929,986
----------------
100,276,885
- ---------------------------------------------------------------------------------------------------------------------
VIETNAM--0.0%
Vietnam (Government of) Bonds, 3%, 3/12/28(6) 1,932,000 543,375
----------------
Total Foreign Government Obligations (Cost $1,397,174,243) 1,309,848,044
=====================================================================================================================
LOAN PARTICIPATIONS--1.0%
Algeria (Republic of) Reprofiled Debt Loan Participation Nts.,
Tranche 1, 6.812%, 9/4/06(5,6) 7,731,535 5,759,994
- ---------------------------------------------------------------------------------------------------------------------
Algeria (Republic of) Trust III Nts., Tranche 3:
1.063%, 3/4/10(5,6) [JPY] 1,363,918,000 5,164,172
6.812%, 3/4/10(5,6) 11,305,000 7,941,763
- ---------------------------------------------------------------------------------------------------------------------
Central Bank of Indonesia Gtd. Nts.:
Series 3, 9.156%, 8/25/01(5,6) 9,000,000 7,605,000
Series 4, 8.625%, 8/25/02(5,6) 1,620,000 1,320,300
- ---------------------------------------------------------------------------------------------------------------------
Jamaica (Government of) 1990 Refinancing Agreement Nts.,
Tranche A, 6.125%, 10/16/00(5,6) 349,457 332,858
- ---------------------------------------------------------------------------------------------------------------------
Morocco (Kingdom of) Loan Participation Agreement:
Tranche A, 5.906%, 1/1/09(5,6) 36,020,476 30,527,353
Tranche B, 5.906%, 1/1/09(5,6) 4,630,000 4,190,150
- ---------------------------------------------------------------------------------------------------------------------
PT Bank Ekspor Impor Indonesia Nts.:
Series 2 yr., 8.91%, 8/25/00(5,6) 900,000 801,000
Series 3 yr., 9.156%, 8/25/01(5,6) 1,350,000 1,140,750
- ---------------------------------------------------------------------------------------------------------------------
PT Bank Negara Indonesia Gtd. Nts.:
Series 2 yr., 8.906%, 8/25/00(5,6) 3,000,000 2,670,000
Series 3 yr., 9.156%, 8/25/01(5,6) 2,500,000 2,112,500
- ---------------------------------------------------------------------------------------------------------------------
PT Lippo Bank Nts.:
8.906%, 8/25/00(5,6) 2,400,000 2,136,000
9.156%, 8/25/01(5,6) 3,600,000 3,042,000
9.406%, 8/25/02(5,6) 550,000 448,250
----------------
Total Loan Participations (Cost $71,391,740) 75,192,090
</TABLE>
23 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
=========================================================================================================================
<S> <C> <C>
CORPORATE BONDS AND NOTES--40.2%
- -------------------------------------------------------------------------------------------------------------------------
Aerospace/Defense--0.9%
Amtran, Inc.:
9.625% Nts., 12/15/05 $ 4,000,000 $ 3,840,000
10.50% Sr. Nts., 8/1/04 7,800,000 7,722,000
- -------------------------------------------------------------------------------------------------------------------------
Atlas Air, Inc.:
9.25% Sr. Nts., 4/15/08 7,700,000 7,199,500
9.375% Sr. Unsec. Nts., 11/15/06 7,000,000 6,615,000
10.75% Sr. Nts., 8/1/05 8,183,000 8,223,915
- -------------------------------------------------------------------------------------------------------------------------
Constellation Finance LLC, 9.80% Airline Receivable Asset-Backed Nts.,
Series 1997-1, 9.80%, 1/1/01(5) 7,500,000 7,031,250
- -------------------------------------------------------------------------------------------------------------------------
Fairchild Corp., 10.75% Sr. Unsec. Sub. Nts., 4/15/09 9,400,000 8,037,000
- -------------------------------------------------------------------------------------------------------------------------
GPA Holland BV, 9.75% Sr. Nts., Series C, 12/10/01(5) 2,000,000 2,027,500
- -------------------------------------------------------------------------------------------------------------------------
Greater Toronto Airports Authority, 5.40% Debs., 12/3/02 [CAD] 10,005,000 6,707,946
- -------------------------------------------------------------------------------------------------------------------------
Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts.,
Series 1997-A, Cl. B, 6/15/04(5) 3,833,979 3,975,836
- -------------------------------------------------------------------------------------------------------------------------
SC International Services, Inc., 9.25% Sr. Sub. Nts., Series B, 9/1/07 10,150,000 9,896,250
---------------
71,276,197
- -------------------------------------------------------------------------------------------------------------------------
CHEMICALS--1.5%
Brunner Mond Group plc, 12.50% Sr. Unsec. Sub. Nts., 7/15/08 [GBP] 3,885,000 3,551,005
- -------------------------------------------------------------------------------------------------------------------------
ClimaChem, Inc., 10.75% Sr. Unsec. Nts., Series B, 12/1/07 2,500,000 2,087,500
- -------------------------------------------------------------------------------------------------------------------------
Huntsman Corp./ICI Chemical Co. plc:
10.125% Sr. Unsec. Sub. Nts., 7/1/09(7) 6,650,000 6,550,250
10.125% Sr. Unsec. Sub. Nts., 7/1/09 [EUR] 12,500,000 13,112,813
Zero Coupon Sr. Disc. Nts., 13.087%, 12/31/09(7,8) 26,140,000 7,057,800
- -------------------------------------------------------------------------------------------------------------------------
ICO, Inc., 10.375% Sr. Nts., 6/1/07 1,300,000 1,111,500
- -------------------------------------------------------------------------------------------------------------------------
Lyondell Chemical Co.:
9.875% Sec. Nts., Series B, 5/1/07 18,450,000 18,380,812
10.875% Sr. Sub. Nts. 5/1/09 9,775,000 9,872,750
- -------------------------------------------------------------------------------------------------------------------------
NL Industries, Inc., 11.75% Sr. Sec. Nts., 10/15/03 9,560,000 9,966,300
- -------------------------------------------------------------------------------------------------------------------------
PCI Chemicals Canada, Inc., 9.25% Sec. Nts., 10/15/07 4,375,000 3,303,125
- -------------------------------------------------------------------------------------------------------------------------
Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07 4,395,000 3,384,150
- -------------------------------------------------------------------------------------------------------------------------
Polymer Group, Inc., 9% Sr. Sub. Nts., 7/1/07 2,990,000 2,855,450
- -------------------------------------------------------------------------------------------------------------------------
Polytama International Finance BV, 11.25% Sec. Nts., 6/15/07(5) 6,512,761 1,204,861
- -------------------------------------------------------------------------------------------------------------------------
Reliance Industries Ltd.:
10.25% Unsec. Debs., Series B, 1/15/2097 3,000,000 2,404,932
10.25% Unsec. Nts., Series B, 1/15/2097(7) 2,000,000 1,603,288
10.50% Bonds, 8/6/46 4,750,000 3,951,876
- -------------------------------------------------------------------------------------------------------------------------
Sovereign Specialty Chemicals, Inc., 9.50% Sr. Unsec. Sub. Nts., Series B, 8/1/07 8,615,000 8,550,387
- -------------------------------------------------------------------------------------------------------------------------
Sterling Chemicals Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(12) 4,000,000 700,000
</TABLE>
24 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS Continued
Sterling Chemicals, Inc.:
11.25% Sr. Sub. Nts., 4/1/07 $ 2,510,000 $ 1,443,250
11.75% Sr. Unsec. Sub. Nts., 8/15/06 10,610,000 6,631,250
12.375% Sec. Nts., 7/15/06(7) 700,000 658,000
- --------------------------------------------------------------------------------------------------------------------
ZSC Specialty Chemical plc, 11% Sr. Nts., 7/1/09(7) 7,500,000 7,565,625
--------------
115,946,924
- --------------------------------------------------------------------------------------------------------------------
CONSUMER DURABLES--0.2%
Holmes Products Corp.:
9.875% Sr. Sub. Nts., Series C, 11/15/07 2,000,000 1,810,000
9.875% Sr. Unsec. Sub. Nts., Series B, 11/15/07 6,110,000 5,529,550
- --------------------------------------------------------------------------------------------------------------------
Icon Health & Fitness, Inc., 12% Unsec. Nts., 7/15/05 3,596,400 1,978,020
- --------------------------------------------------------------------------------------------------------------------
TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05(5) 4,705,000 5,241,840
--------------
14,559,410
- --------------------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES--1.1%
AKI Holdings, Inc.:
0%/13.50% Sr. Disc. Debs., 7/1/09(12) 3,850,000 1,482,250
10.50% Sr. Unsec. Nts., 7/1/08 3,350,000 2,998,250
- --------------------------------------------------------------------------------------------------------------------
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05 6,112,000 1,803,040
- --------------------------------------------------------------------------------------------------------------------
Bell Sports, Inc., 11% Sr. Unsec. Sub. Nts., Series B, 8/15/08 9,555,000 9,722,212
- --------------------------------------------------------------------------------------------------------------------
Fruit of the Loom, Inc., 8.875% Sr. Unsec. Nts., 4/15/06 8,500,000 3,102,500
- --------------------------------------------------------------------------------------------------------------------
Globe Manufacturing Corp., 10% Sr. Unsec. Sub. Nts., Series B, 8/1/08 4,550,000 2,980,250
- --------------------------------------------------------------------------------------------------------------------
Indorayon International Finance Co. BV, 10% Gtd. Unsec.
Unsub. Nts., 3/29/01(5,11) 1,850,000 462,500
- --------------------------------------------------------------------------------------------------------------------
Phillips-Van Heusen Corp., 9.50% Sr. Unsec. Sub. Nts., 5/1/08 4,745,000 4,412,850
- --------------------------------------------------------------------------------------------------------------------
PT Inti Indorayon Utama, 9.125% Sr. Nts., 10/15/00 (5,11) 4,025,000 774,812
- --------------------------------------------------------------------------------------------------------------------
Revlon Consumer Products Corp.:
8.625% Sr. Unsec. Sub. Nts., 2/1/08 23,100,000 18,999,750
9% Sr. Nts., 11/1/06 5,485,000 5,059,912
- --------------------------------------------------------------------------------------------------------------------
Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts.,
Series B, 17.163%, 3/15/01(8) 6,675,000 3,637,875
- --------------------------------------------------------------------------------------------------------------------
Salton, Inc., 10.75% Sr. Unsec. Sub. Nts., 12/15/05 10,300,000 10,506,000
- --------------------------------------------------------------------------------------------------------------------
Styling Technology Corp., 10.875% Sr. Unsec. Sub. Nts., 7/1/08 6,340,000 6,054,700
- --------------------------------------------------------------------------------------------------------------------
William Carter Co., 10.375% Sr. Sub. Nts., Series A, 12/1/06 2,890,000 2,846,650
- --------------------------------------------------------------------------------------------------------------------
Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 6,300,000 6,363,000
--------------
81,206,551
</TABLE>
25 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY--1.9%
AEI Resources, Inc., 11.50% Sr. Sub. Nts., 12/15/06(7) $ 5,000,000 $ 4,425,000
- ------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp.:
8.50% Sr. Nts., 3/15/12 2,000,000 1,630,000
9.125% Sr. Unsec. Nts., 4/15/06 1,491,000 1,382,902
9.625% Sr. Unsec. Nts., Series B, 5/1/05 5,300,000 5,101,250
- ------------------------------------------------------------------------------------------------------------------------
Clark Refinancing & Marketing, Inc., 8.875% Sr. Sub. Nts., 11/15/07 9,795,000 8,080,875
- ------------------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 10.875% Sr. Nts., Series B, 12/1/05 3,600,000 3,006,000
- ------------------------------------------------------------------------------------------------------------------------
Denbury Management, Inc., 9% Sr. Sub. Nts., 3/1/08 4,450,000 4,094,000
- ------------------------------------------------------------------------------------------------------------------------
Empresa Electric Del Norte, 10.50% Sr. Debs., 6/15/05(7) 1,300,000 814,125
- ------------------------------------------------------------------------------------------------------------------------
Forcenergy, Inc., 9.50% Sr. Sub. Nts., 11/1/06(11) 8,150,000 6,886,750
- ------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp., 0%/14.125% Sr. Disc. Nts., 5/1/06(12) 18,450,000 6,365,250
- ------------------------------------------------------------------------------------------------------------------------
Gothic Production Corp., 11.125% Sr. Sec. Nts., Series B, 5/1/05(7) 11,825,000 10,228,625
- ------------------------------------------------------------------------------------------------------------------------
Grant Geophysical, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/15/08 5,925,000 3,406,875
- ------------------------------------------------------------------------------------------------------------------------
Leviathan Gas Pipeline Partners LP/Leviathan Financial Corp.,
10.375% Sr. Sub. Nts., 6/1/09(7) 7,000,000 7,175,000
- ------------------------------------------------------------------------------------------------------------------------
National Energy Group, Inc., 10.75% Sr. Nts., Series D, 11/1/06 9,720,000 3,936,600
- ------------------------------------------------------------------------------------------------------------------------
Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 13,000,000 10,205,000
- ------------------------------------------------------------------------------------------------------------------------
P&L Coal Holdings Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 13,000,000 12,577,500
- ------------------------------------------------------------------------------------------------------------------------
Parker Drilling Co., 9.75% Sr. Unsec. Nts., Series D, 11/15/06 4,500,000 4,365,000
- ------------------------------------------------------------------------------------------------------------------------
Pogo Producing Co., 8.75% Sr. Sub. Nts., 5/15/07(5) 9,185,000 8,817,600
- ------------------------------------------------------------------------------------------------------------------------
R&B Falcon Corp., 12.25% Sr. Unsec. Nts., 3/15/06(7) 8,000,000 8,480,000
- ------------------------------------------------------------------------------------------------------------------------
RAM Energy, Inc., 11.50% Sr. Unsec. Nts., 2/15/08 20,215,000 10,208,575
- ------------------------------------------------------------------------------------------------------------------------
RBF Finance Co., 11% Sr. Sec. Nts., 3/15/06 7,275,000 7,693,312
- ------------------------------------------------------------------------------------------------------------------------
Statia Terminals International/Statia Terminals (Canada), Inc., 11.75%
First Mtg. Nts., Series B, 11/15/03 1,775,000 1,846,000
- ------------------------------------------------------------------------------------------------------------------------
Stone Energy Corp., 8.75% Sr. Sub. Nts., 9/15/07 9,460,000 9,318,100
- ------------------------------------------------------------------------------------------------------------------------
Universal Compression Holdings, Inc.:
0%/9.875% Sr. Disc. Nts., 2/15/08(12) 8,725,000 5,235,000
0%/11.375% Sr. Disc. Nts., 2/15/09(12) 2,400,000 1,356,000
--------------
146,635,339
- ------------------------------------------------------------------------------------------------------------------------
FINANCIAL--2.6%
Aktiebolaget Spintab, 5.50% Bonds, Series 169, 9/17/03 [SEK] 110,100,000 13,204,681
- ------------------------------------------------------------------------------------------------------------------------
Allgemeine Hypotheken Bank AG, 5% Sec. Nts., Series 501, 9/2/09 [EUR] 42,840,000 43,605,712
- ------------------------------------------------------------------------------------------------------------------------
AMRESCO, Inc.:
9.875% Sr. Sub. Nts., Series 98-A, 3/15/05 4,960,000 3,050,400
10% Sr. Sub. Nts., Series 97-A, 3/15/04 7,050,000 4,335,750
- ------------------------------------------------------------------------------------------------------------------------
Bakrie Investindo, Zero Coupon Promissory Nts., 7/10/1998(5,11) [IDR] 27,000,000,000 484,740
- ------------------------------------------------------------------------------------------------------------------------
Banco Nacional de Mexico SA, 11% Sub. Exchangeable
Capital Debs., 7/15/03(5) 9,750,000 9,530,625
- ------------------------------------------------------------------------------------------------------------------------
Bank Plus Corp., 12% Sr. Nts., 7/18/07 4,167,000 3,604,455
</TABLE>
26 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL Continued
Bayerische Vereinsbank AG, 5% Sec. Nts., Series 661, 7/28/04 [EUR] 12,196,867 $ 13,114,365
- -----------------------------------------------------------------------------------------------------------------------
Deutsche Pfandbrief & Hypobank, 5.50% Sec. Nts., 1/15/10 [EUR] 16,735,000 17,692,669
- -----------------------------------------------------------------------------------------------------------------------
Dresdner Funding Trust II, 5.79% Sub. Nts., 6/30/11(5) [EUR] 16,230,000 15,938,452
- -----------------------------------------------------------------------------------------------------------------------
ECM Fund, LPI, 14% Sub. Nts., 6/10/02(5) 29,658 29,251
- -----------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank, 5.625%, 6/10/03 [GBP] 3,555,000 5,625,224
- -----------------------------------------------------------------------------------------------------------------------
IBJ Preferred Capital Co. (The) LLC, 8.79% Bonds, 12/29/49(6,7) 6,550,000 6,258,191
- -----------------------------------------------------------------------------------------------------------------------
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 5,350,000 3,504,250
- -----------------------------------------------------------------------------------------------------------------------
Ocwen Financial Corp., 11.875% Nts., 10/1/03(5) 9,275,000 8,672,125
- -----------------------------------------------------------------------------------------------------------------------
Ongko International Finance Co. BV, 10.50% Gtd. Nts., 3/29/04(5,11) 4,970,000 173,950
- -----------------------------------------------------------------------------------------------------------------------
Parametric RE Ltd., 9.434% Nts., 11/19/07(6,7) 2,400,000 2,457,000
- -----------------------------------------------------------------------------------------------------------------------
PT Polysindo Eka Perkasa:
11% Nts., 6/18/03(5,11) 11,350,000 1,475,500
24% Nts., 6/19/03(11) [IDR] 6,484,800,000 100,901
- -----------------------------------------------------------------------------------------------------------------------
PTC International Finance BV, 0%/10.75% Gtd. Sr. Unsec.
Sub. Bonds, 7/1/07(5,12) 6,532,000 4,458,090
- -----------------------------------------------------------------------------------------------------------------------
Saul (B.F.) Real Estate Investment Trust, 9.75% Sr. Sec. Nts., Series B, 4/1/08 20,585,000 19,195,512
- -----------------------------------------------------------------------------------------------------------------------
SBS Agro Finance BV Bonds, 10.25%, 7/21/00(5,11) 14,961,000 748,050
- -----------------------------------------------------------------------------------------------------------------------
Southern Pacific Funding Corp., 11.50% Sr. Nts., 11/1/04(11) 7,580,000 3,676,300
- -----------------------------------------------------------------------------------------------------------------------
Veritas Capital Trust, 10% Nts., 1/1/28 3,525,000 2,652,562
- -----------------------------------------------------------------------------------------------------------------------
Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03 6,117,000 5,872,320
- -----------------------------------------------------------------------------------------------------------------------
Washington Mutual Capital I, 8.375% Sub. Capital Income Nts., 6/1/27(9) 2,000,000 1,951,982
----------------
201,763,057
- -----------------------------------------------------------------------------------------------------------------------
FOOD & DRUG--0.9%
AmeriKing, Inc., 10.75% Sr. Nts., 12/1/06 7,600,000 6,802,000
- -----------------------------------------------------------------------------------------------------------------------
Family Restaurants, Inc.:
9.75% Sr. Nts., 2/1/02 21,100,000 10,180,750
10.875% Sr. Sub. Disc. Nts., 2/1/04 4,800,000 2,484,000
- -----------------------------------------------------------------------------------------------------------------------
Fleming Cos., Inc.:
10.50% Sr. Sub. Nts., Series B, 12/1/04 5,450,000 5,150,250
10.625% Sr. Sub. Nts., Series B, 7/31/07 18,625,000 17,321,250
- -----------------------------------------------------------------------------------------------------------------------
Pathmark Stores, Inc.:
0%/10.75% Jr. Sub. Deferred Coupon Nts., 11/1/03(12) 12,160,000 11,977,600
12.625% Sub. Nts., 6/15/02 3,000,000 2,962,500
- -----------------------------------------------------------------------------------------------------------------------
Randall's Food Markets, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07(5) 10,810,000 11,836,950
- -----------------------------------------------------------------------------------------------------------------------
Shoppers Food Warehouse Corp., 9.75% Sr. Nts., 6/15/04 3,225,000 3,466,875
----------------
72,182,175
</TABLE>
27 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FOOD/TOBACCO--0.5%
Aurora Foods, Inc., 8.75% Sr. Sub. Nts., Series B, 7/1/08 $ 2,100,000 $ 1,989,750
- -----------------------------------------------------------------------------------------------------------------------
Canadaigua Brands, Inc., 8.50% Sr. Unsec. Sub. Nts., 3/1/09 1,500,000 1,402,500
- -----------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 10% Sr. Nts., 6/15/09 3,000,000 2,505,000
- -----------------------------------------------------------------------------------------------------------------------
Del Monte Foods Co., 0%/12.50% Sr. Disc. Nts., Series B, 12/15/07(12) 6,581,000 5,001,560
- -----------------------------------------------------------------------------------------------------------------------
Doane Pet Care Co., 9.75% Sr. Unsec. Sub. Nts., 5/15/07 2,197,000 2,166,791
- -----------------------------------------------------------------------------------------------------------------------
Packaged Ice, Inc., 9.75% Sr. Unsec. Nts., Series B, 2/1/05 7,560,000 6,879,600
- -----------------------------------------------------------------------------------------------------------------------
Purina Mills, Inc., 9% Sr. Unsec. Sub. Nts., 3/15/10(11) 2,000,000 430,000
- -----------------------------------------------------------------------------------------------------------------------
SmithField Foods, Inc., 7.625% Sr. Unsec. Sub. Nts., 2/15/08 2,800,000 2,520,000
- -----------------------------------------------------------------------------------------------------------------------
Sparkling Spring Water Group Ltd., 11.50% Sr. Sec. Sub. Nts., 11/15/07 12,550,000 10,040,000
- -----------------------------------------------------------------------------------------------------------------------
Triarc Consumer Products Group LLC, 10.25% Sr. Sub. Nts., 2/15/09(7) 4,500,000 4,387,500
---------------
37,322,701
- -----------------------------------------------------------------------------------------------------------------------
FOREST PRODUCTS/CONTAINERS--1.1%
Ainsworth Lumber, Inc., 12.50% Sr. Nts., 7/15/07(13) 1,000,000 1,107,500
- -----------------------------------------------------------------------------------------------------------------------
Ball Corp.:
7.75% Sr. Unsec. Nts., 8/1/06 3,300,000 3,234,000
8.25% Sr. Unsec. Sub. Nts., 8/1/08 3,300,000 3,209,250
- -----------------------------------------------------------------------------------------------------------------------
Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05 5,875,000 5,610,625
- -----------------------------------------------------------------------------------------------------------------------
Domtar, Inc., 10.85% Debs., 8/5/17 [CAD] 1,700,000 1,429,377
- -----------------------------------------------------------------------------------------------------------------------
Fletcher Challenge Finance U.S.A., Inc., 8.05% Debs., 6/15/03 [NZD] 4,755,000 2,479,885
- -----------------------------------------------------------------------------------------------------------------------
Fletcher Challenge Ltd.:
10% Cv. Unsec. Sub. Nts., 4/30/05 [NZD] 4,900,000 2,617,421
14.50% Cv. Sub. Nts., 9/30/00 [NZD] 4,900,000 2,702,830
- -----------------------------------------------------------------------------------------------------------------------
Gaylord Container Corp., 9.75% Sr. Nts., 6/15/07 4,800,000 4,536,000
- -----------------------------------------------------------------------------------------------------------------------
Mail-Well Corp., 8.75% Sr. Unsec. Sub. Nts., Series B, 12/15/08(5) 2,335,000 2,229,925
- -----------------------------------------------------------------------------------------------------------------------
Packaging Corp. of America, 9.625% Sr. Sub. Nts., 4/1/09(7) 2,000,000 2,030,000
- -----------------------------------------------------------------------------------------------------------------------
Repap Enterprises (New Brunswick), 9% First Priority Sr. Sec. Nts., 6/1/04 4,000,000 3,840,000
- -----------------------------------------------------------------------------------------------------------------------
Repap New Brunswick, Inc., 10.625% Second Priority Sr. Sec. Nts., 4/15/05 1,650,000 1,435,500
- -----------------------------------------------------------------------------------------------------------------------
Riverwood International Corp.:
10.625% Sr. Unsec. Nts., 8/1/07 11,290,000 11,261,775
10.875% Sr. Sub. Nts., 4/1/08 9,330,000 8,770,200
- -----------------------------------------------------------------------------------------------------------------------
SD Warren Co.:
12% Sr. Sub. Nts., Series B, 12/15/04 5,250,000 5,565,000
14% Unsec. Nts., 12/15/06(13) 16,327,710 18,368,674
- -----------------------------------------------------------------------------------------------------------------------
Tembec Finance Corp., 9.875% Gtd. Sr. Nts., 9/30/05 1,000,000 1,037,500
- -----------------------------------------------------------------------------------------------------------------------
U.S. Timberlands Co. LP, 9.625% Sr. Nts., 11/15/07 3,850,000 3,522,750
---------------
84,988,212
</TABLE>
28 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
GAMING/LEISURE--2.2%
AP Holdings, Inc., 0%/11.25% Sr. Disc. Nts., 3/15/08(12) $ 2,150,000 $ 1,091,125
- -----------------------------------------------------------------------------------------------------------------------
Apcoa, Inc., 9.25% Sr. Unsec. Sub. Nts., 3/15/08 4,875,000 4,180,312
- -----------------------------------------------------------------------------------------------------------------------
Aztar Corp.:
8.875% Sr. Unsec. Sub. Nts., 5/15/07 6,000,000 5,670,000
13.75% Sr. Sub. Nts., 10/1/04(5) 3,725,000 3,981,094
- -----------------------------------------------------------------------------------------------------------------------
Capital Gaming International, Inc., 11.50% Promissory Nts., 8/1/95(11) 3,500 --
- -----------------------------------------------------------------------------------------------------------------------
Capitol Queen & Casino, Inc., 12% First Mtg. Nts., Series A, 11/15/00(5,11) 2,100,000 --
- -----------------------------------------------------------------------------------------------------------------------
Capstar Hotel Co., 8.75% Sr. Sub. Nts., 8/15/07 10,475,000 9,453,687
- -----------------------------------------------------------------------------------------------------------------------
Casino Magic of Louisiana Corp., 13% First Mtg. Nts., Series B, 8/15/03 5,300,000 6,002,250
- -----------------------------------------------------------------------------------------------------------------------
Coast Hotel & Casinos, Inc., 9.50% Sr. Unsec. Sub. Nts., 4/1/09 3,000,000 2,835,000
- -----------------------------------------------------------------------------------------------------------------------
Empress Entertainment, Inc., 8.125% Sr. Sub. Nts., 7/1/06 4,290,000 4,290,000
- -----------------------------------------------------------------------------------------------------------------------
Florida Panthers Holdings, Inc., 9.875% Sr. Sub. Nts., 4/15/09 6,800,000 6,324,000
- -----------------------------------------------------------------------------------------------------------------------
Hard Rock Hotel, Inc., 9.25% Sr. Sub. Nts., 4/1/05 4,060,000 3,390,100
- -----------------------------------------------------------------------------------------------------------------------
Harveys Casino Resorts, 10.625% Sr. Unsec. Sub. Nts., 6/1/06 450,000 463,500
- -----------------------------------------------------------------------------------------------------------------------
HMH Properties, Inc., 8.45% Sr. Nts., Series C, 12/1/08 9,425,000 8,765,250
- -----------------------------------------------------------------------------------------------------------------------
Hollywood Casino Corp., 11.25% Sec. Nts., 5/1/07(7) 6,000,000 6,060,000
- -----------------------------------------------------------------------------------------------------------------------
Hollywood Park, Inc., 9.25% Sr. Unsec. Sub. Nts., Series B, 2/15/07 8,000,000 7,760,000
- -----------------------------------------------------------------------------------------------------------------------
Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07 13,350,000 13,333,312
- -----------------------------------------------------------------------------------------------------------------------
Intrawest Corp., 9.75% Sr. Nts., 8/15/08 11,875,000 11,459,375
- -----------------------------------------------------------------------------------------------------------------------
Isle of Capri Casinos, Inc., 8.75% Sr. Unsec. Nts., 4/15/09 7,000,000 6,457,500
- -----------------------------------------------------------------------------------------------------------------------
Jupiters Ltd., 8.50% Sr. Nts., 3/1/06(5) 7,100,000 6,816,000
- -----------------------------------------------------------------------------------------------------------------------
Meristar Hospitality Corp., 8.75% Sr. Unsec. Sub. Nts., 8/15/07 8,000,000 7,260,000
- -----------------------------------------------------------------------------------------------------------------------
Mohegan Tribal Gaming Authority:
8.125% Sr. Nts., 1/1/06 2,950,000 2,879,937
8.75% Sr. Unsec. Sub. Nts., 1/1/09 12,050,000 11,884,312
- -----------------------------------------------------------------------------------------------------------------------
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(7,11) 10,800,000 2,646,000
- -----------------------------------------------------------------------------------------------------------------------
Premier Parks, Inc.:
0%/10% Sr. Disc. Nts., 4/1/08(12) 6,350,000 4,064,000
9.25% Sr. Nts., 4/1/06 5,355,000 5,087,250
9.75% Sr. Nts., 6/15/07 10,000,000 9,750,000
- -----------------------------------------------------------------------------------------------------------------------
Santa Fe Hotel, Inc., 11% Gtd. First Mtg. Nts., 12/15/00 100,000 94,500
- -----------------------------------------------------------------------------------------------------------------------
Six Flags Entertainment Corp., 8.875% Sr. Nts., 4/1/06 5,720,000 5,476,900
- -----------------------------------------------------------------------------------------------------------------------
Station Casinos, Inc., 8.875% Sr. Unsec. Sub. Nts., 12/1/08 4,500,000 4,387,500
- -----------------------------------------------------------------------------------------------------------------------
Venetian Casino Resort LLC/Las Vegas Sands, Inc., 12.25% Mtg. Nts., 11/15/04 3,015,000 2,427,075
--------------
164,289,979
</TABLE>
29 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE--0.6%
Charles River Labs ONC, Units (each unit consists of $1,000
principal amount of 13.50% sr. sub. nts., 10/1/09 and one warrant to
purchase 3.942 shares of common stock)(5,14) $ 5,950,000 $ 6,039,250
- -----------------------------------------------------------------------------------------------------------------------
Fresenius Medical Care Capital Trust III, 7.375% Nts., 2/1/08 [DEM] 5,250,000 2,815,879
- -----------------------------------------------------------------------------------------------------------------------
ICN Pharmaceutical, Inc.:
8.75% Sr. Nts., 11/15/08(7) 5,500,000 5,094,375
8.75% Sr. Nts., 11/15/08(5) 4,100,000 3,797,633
- -----------------------------------------------------------------------------------------------------------------------
Integrated Health Services, Inc., 9.50% Sr. Sub. Nts., 9/15/07 2,000,000 310,000
- -----------------------------------------------------------------------------------------------------------------------
Kinetic Concepts, Inc., 9.625% Sr. Unsec. Sub. Nts., Series B, 11/1/07(5) 4,615,000 3,392,025
- -----------------------------------------------------------------------------------------------------------------------
King Pharmaceuticals, Inc., 10.75% Sr. Unsec. Sub. Nts., 2/15/09 4,750,000 4,916,250
- -----------------------------------------------------------------------------------------------------------------------
Magellan Health Services, Inc., 9% Sr. Sub. Nts., 2/15/08 5,050,000 4,317,750
- -----------------------------------------------------------------------------------------------------------------------
Oxford Health Plans, Inc., 11% Sr. Nts., 5/15/05(7) 6,415,000 6,398,962
- -----------------------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 8.125% Sr. Unsec. Sub. Nts., Series B, 12/1/08 4,000,000 3,670,000
- -----------------------------------------------------------------------------------------------------------------------
Unilab Finance Corp., 12.75% Sr. Sub. Nts., 10/1/09(7) 4,500,000 4,488,750
---------------
45,240,874
- -----------------------------------------------------------------------------------------------------------------------
HOUSING--0.8%
Building Materials Corp. of America, 8.625% Sr. Nts., Series B, 12/15/06 3,400,000 3,247,000
- -----------------------------------------------------------------------------------------------------------------------
CB Richard Ellis Services, Inc., 8.875% Sr. Unsec. Sub. Nts., 6/1/06 8,250,000 7,837,500
- -----------------------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 8,500,000 7,650,000
- -----------------------------------------------------------------------------------------------------------------------
Del Webb Corp., 10.25% Sr. Unsec. Sub. Nts., 2/15/10 8,000,000 7,400,000
- -----------------------------------------------------------------------------------------------------------------------
Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07 1,830,000 1,793,400
- -----------------------------------------------------------------------------------------------------------------------
Kaufman & Broad Home Corp., 7.75% Sr. Nts., 10/15/04 13,800,000 12,903,000
- -----------------------------------------------------------------------------------------------------------------------
Nortek, Inc.:
8.875% Sr. Unsec. Nts., Series B, 8/1/08 3,000,000 2,835,000
9.125% Sr. Nts., Series B, 9/1/07 11,450,000 11,049,250
9.25% Sr. Nts., Series B, 3/15/07 5,100,000 4,972,500
---------------
59,687,650
- -----------------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY--1.0%
Amkor Technology, Inc.:
9.25% Sr. Nts., 5/1/06(7) 3,000,000 2,992,500
10.50% Sr. Sub. Nts., 5/1/09(7) 15,000,000 14,662,500
- -----------------------------------------------------------------------------------------------------------------------
Chippac International Ltd., 12.75% Sr. Sub. Nts., 8/1/097 5,000,000 5,050,000
- -----------------------------------------------------------------------------------------------------------------------
Details, Inc., 10% Sr. Sub. Nts., Series B, 11/15/05 8,250,000 7,672,500
- -----------------------------------------------------------------------------------------------------------------------
DII Group, Inc., 8.50% Sr. Sub. Nts., 9/15/07 925,000 878,750
- -----------------------------------------------------------------------------------------------------------------------
Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07 6,345,000 5,996,025
- -----------------------------------------------------------------------------------------------------------------------
Fairchild Semiconductor Corp., 10.375% Sr. Sub. Nts., 10/1/07(7) 10,500,000 10,473,750
</TABLE>
30 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
=====================================================================================================================
<S> <C> <C>
INFORMATION TECHNOLOGY Continued
Fisher Scientific International, Inc.:
9% Sr. Unsec. Sub. Nts., 2/1/08 $ 8,760,000 $ 8,212,500
9% Sr. Unsec. Sub. Nts., 2/1/08 1,875,000 1,757,812
- ---------------------------------------------------------------------------------------------------------------------
Micron Technology, Inc., 6.50% Sub. Nts., 9/30/05(1) 14,000,000 11,130,000
- ---------------------------------------------------------------------------------------------------------------------
Unisys Corp., 11.75% Sr. Nts., 10/15/04 3,800,000 4,256,000
- ---------------------------------------------------------------------------------------------------------------------
Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07 5,625,000 4,753,125
- ---------------------------------------------------------------------------------------------------------------------
77,835,462
---------------
- ---------------------------------------------------------------------------------------------------------------------
MANUFACTURING--1.0%
Applied Power, Inc., 8.75% Sr. Sub. Nts., 4/1/09 8,000,000 7,540,000
- ---------------------------------------------------------------------------------------------------------------------
Axia, Inc., 10.75% Sr. Sub. Nts., 7/15/08 2,650,000 2,491,000
- ---------------------------------------------------------------------------------------------------------------------
Burke Industries, Inc., 10% Sr. Sub. Nts., 8/15/07 3,475,000 2,519,375
- ---------------------------------------------------------------------------------------------------------------------
Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 12,553,000 10,481,755
- ---------------------------------------------------------------------------------------------------------------------
Eagle-Picher Industries, Inc., 9.375% Sr. Unsec. Sub. Nts., 3/1/08 1,050,000 939,750
- ---------------------------------------------------------------------------------------------------------------------
Grove Worldwide LLC, 9.25% Sr. Sub. Nts., 5/1/08 3,275,000 1,817,625
- ---------------------------------------------------------------------------------------------------------------------
Grupo Mexicano de Desarrollo SA, 8.25% Unsec. Unsub. Nts., 2/17/01(5)(11) 6,000,000 1,050,000
- ---------------------------------------------------------------------------------------------------------------------
Hydrochem Industrial Services, Inc., 10.375% Sr. Sub. Nts., 8/1/07 5,800,000 5,075,000
- ---------------------------------------------------------------------------------------------------------------------
Insilco Corp., 12% Sr. Sub. Nts., 8/15/07(5) 7,780,000 7,663,300
- ---------------------------------------------------------------------------------------------------------------------
International Wire Group, Inc., 11.75% Sr. Sub. Nts., Series B, 6/1/05 7,835,000 8,089,637
- ---------------------------------------------------------------------------------------------------------------------
Jordan Industries, Inc., 10.375% Sr. Unsec. Nts., Series D, 8/1/07 7,750,000 7,478,750
- ---------------------------------------------------------------------------------------------------------------------
Mechala Group Jamaica Ltd., 12.75% Gtd. Sr. Sec. Sub. Nts.,
Series B, 12/30/99(5)(11) 2,908,000 1,141,390
- ---------------------------------------------------------------------------------------------------------------------
Moll Industries, Inc., 10.50% Sr. Unsec. Sub. Nts., 7/1/08 2,600,000 1,937,000
- ---------------------------------------------------------------------------------------------------------------------
Roller Bearing Co. of America, Inc., 9.625% Sr. Sub. Nts., Series B, 6/15/07 10,400,000 9,620,000
- ---------------------------------------------------------------------------------------------------------------------
Terex Corp.:
8.875% Sr. Unsec. Sub. Nts., 4/1/08 2,500,000 2,362,500
8.875% Sr. Unsec. Sub. Nts., Series C, 4/1/08 5,100,000 4,870,500
- ---------------------------------------------------------------------------------------------------------------------
Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03 5,000,000 5,100,000
----------
80,177,582
- ---------------------------------------------------------------------------------------------------------------------
MEDIA/ENTERTAINMENT: BROADCASTING--1.2%
Allbritton Communications Co., 8.875% Sr. Sub. Nts., Series B, 2/1/08 2,375,000 2,280,000
- ---------------------------------------------------------------------------------------------------------------------
Azteca Holdings SA, 11% Sr. Sec. Nts., 6/15/02 5,730,000 4,440,750
- ---------------------------------------------------------------------------------------------------------------------
CBS Radio, Inc., 11.375% Unsec. Sub. Debs., 1/15/09(13) 939,600 1,057,050
- ---------------------------------------------------------------------------------------------------------------------
Chancellor Media Corp.:
8.125% Sr. Sub. Nts., Series B, 12/15/07 10,000,000 9,575,000
8.75% Sr. Unsec. Sub. Nts., Series B, 6/15/07 6,000,000 5,910,000
9% Sr. Unsec. Sub. Nts., 10/1/08 1,600,000 1,628,000
10.50% Sr. Sub. Nts., Series B, 1/15/07 2,895,000 3,075,937
- ---------------------------------------------------------------------------------------------------------------------
Emmis Communications Corp., 8.125% Sr. Unsec. Sub. Nts., Series B, 3/15/09 13,725,000 13,073,062
- ---------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 9,425,000 9,802,000
</TABLE>
31 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
=====================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: BROADCASTING Continued
Radio One, Inc., 7% Sr. Sub. Nts., Series B, 5/15/04(10) $ 3,000,000 $ 3,090,000
- ---------------------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc.:
8.75% Sr. Sub. Nts., 12/15/07 8,275,000 7,799,187
9% Sr. Unsec. Sub. Nts., 7/15/07 8,490,000 8,129,175
- ---------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc.:
11% Sr. Nts., 3/15/04 2,400,000 2,592,000
12.50% Sr. Nts., 6/15/02 1,000,000 1,130,000
- ---------------------------------------------------------------------------------------------------------------------
TV Azteca SA de CV:
10.125% Sr. Nts., Series A, 2/15/04 3,300,000 2,681,250
10.50% Sr. Nts., Series B, 2/15/07 5,150,000 4,004,125
- ---------------------------------------------------------------------------------------------------------------------
Young Broadcasting, Inc.:
8.75% Sr. Sub. Debs., 6/15/07 13,125,000 12,895,312
9% Sr. Sub. Nts., Series B, 1/15/06 825,000 817,781
------------
93,980,629
- ---------------------------------------------------------------------------------------------------------------------
MEDIA/ENTERTAINMENT: CABLE/WIRELESS VIDEO--2.2%
Adelphia Communications Corp.:
7.875% Sr. Unsec. Nts., 5/1/09 1,400,000 1,281,000
8.125% Sr. Nts., Series B, 7/15/03 4,750,000 4,643,125
8.375% Sr. Nts., Series B, 2/1/08 5,150,000 4,866,750
9.25% Sr. Nts., 10/1/02 7,175,000 7,300,562
9.875% Sr. Nts., Series B, 3/1/07 2,000,000 2,045,000
10.50% Sr. Unsec. Nts., Series B, 7/15/04 6,040,000 6,326,900
- ---------------------------------------------------------------------------------------------------------------------
American Telecasting, Inc., 14.50% Sr. Disc. Nts., 6/15/04 2,117,490 2,271,008
- ---------------------------------------------------------------------------------------------------------------------
Bresnan Communications, Inc.:
0%/9.25% Sr. Disc. Nts., 2/1/09(12) 9,590,000 6,353,375
8% Sr. Nts., 2/1/09 2,300,000 2,259,750
- ---------------------------------------------------------------------------------------------------------------------
Charter Communication Holdings LLC/Charter Communication
Holdings Capital Corp.:
0%/9.92% Sr. Disc. Nts., 4/1/117(12) 29,700,000 17,857,125
8.25% Sr. Nts., 4/1/07(7) 10,650,000 9,997,687
- ---------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
9.875% Sr. Sub. Debs., 2/15/13 2,620,000 2,744,450
9.875% Sr. Sub. Nts., 5/15/06 2,215,000 2,320,212
10.50% Sr. Sub. Debs., 5/15/16 7,950,000 8,645,625
- ---------------------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 9.375% Sr. Unsec. Nts., 2/1/09 28,100,000 27,959,500
- ---------------------------------------------------------------------------------------------------------------------
EchoStar I, 8.25% Bonds, 2/26/01(5) 3,912,848 3,912,848
- ---------------------------------------------------------------------------------------------------------------------
EchoStar II, 8.25% Sinking Fund Bonds, 11/9/01(5) 4,275,826 4,275,826
- ---------------------------------------------------------------------------------------------------------------------
Falcon Holding Group LP:
0%/9.285% Sr. Disc. Debs., Series B, 4/15/10(12) 7,425,000 5,308,875
8.375% Sr. Unsec. Debs., Series B, 4/15/10 3,000,000 2,977,500
- ---------------------------------------------------------------------------------------------------------------------
Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts., Series B, 11/1/03(6) 11,649,000 12,071,276
</TABLE>
32 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: CABLE/WIRELESS VIDEO Continued
Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs., 12/1/07 $ 4,350,000 $ 4,654,500
- --------------------------------------------------------------------------------------------------------------------------
Rogers Communications, Inc., 8.75% Sr. Nts., 7/15/07 [CAD] 20,000,000 13,729,160
- --------------------------------------------------------------------------------------------------------------------------
TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07(9) 2,900,000 3,058,978
- --------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc., 0%/10.75% Sr. Disc. Nts., Series B, 2/15/08(12) 16,095,000 9,797,831
------------
166,658,863
- --------------------------------------------------------------------------------------------------------------------------
MEDIA/ENTERTAINMENT: DIVERSIFIED MEDIA--1.0%
AMC Entertainment, Inc., 9.50% Sr. Unsec. Sub. Nts., 2/1/11 7,000,000 5,740,000
- --------------------------------------------------------------------------------------------------------------------------
GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(5) 759,890 721,820
- --------------------------------------------------------------------------------------------------------------------------
IPC Magazines Group plc:
0%/10.75% Bonds, 3/15/08(12)[GBP] 2,500,000 1,688,073
9.625% Bonds, 3/15/08 [GBP] 10,525,000 12,133,536
- --------------------------------------------------------------------------------------------------------------------------
Regal Cinemas, Inc.:
8.875% Sr. Unsec. Sub. Nts., 12/15/10 6,300,000 4,189,500
9.50% Sr. Unsec. Sub. Nts., 6/1/08 2,000,000 1,370,000
- --------------------------------------------------------------------------------------------------------------------------
SFX Entertainment, Inc., 9.125% Sr. Unsec. Sub. Nts., Series B, 2/1/08 13,725,000 12,901,500
- --------------------------------------------------------------------------------------------------------------------------
Sun Media Corp., 9.50% Sr. Sub. Nts., 5/15/07 578,000 585,225
- --------------------------------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Debs., 3/15/23 8,209,000 8,799,958
- --------------------------------------------------------------------------------------------------------------------------
Time Warner, Inc.:
9.125% Debs., 1/15/13 2,000,000 2,259,956
9.15% Debs., 2/1/23 9,000,000 10,371,735
- --------------------------------------------------------------------------------------------------------------------------
TV Guide, Inc., 8.125% Sr. Unsec. Sub. Nts., 3/1/09 8,750,000 8,290,625
- --------------------------------------------------------------------------------------------------------------------------
World Color Press, Inc., 7.75% Sr. Unsec. Sub. Nts., 2/15/09 5,000,000 4,725,000
------------
73,776,928
- --------------------------------------------------------------------------------------------------------------------------
MEDIA/ENTERTAINMENT: TELECOMMUNICATIONS--8.5%
Allegiance Telecom, Inc., 12.875% Sr. Nts., 5/15/08 2,000,000 2,170,000
- --------------------------------------------------------------------------------------------------------------------------
Amazon.com, Inc., 0%/10% Sr. Unsec. Disc. Nts., 5/1/08(12) 20,435,000 13,384,925
- --------------------------------------------------------------------------------------------------------------------------
COLT Telecom Group plc:
0%/12% Sr. Unsec. Disc. Nts., 12/15/06(12) 3,950,000 3,219,250
10.125% Sr. Nts., 11/30/07 [GBP] 6,290,000 10,721,566
7.625% Bonds, 7/31/08 [DEM] 10,800,000 5,728,859
8.875% Sr. Nts., 11/30/07 [DEM] 4,450,000 2,495,834
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)(12)(14) 17,325,000 14,336,438
- --------------------------------------------------------------------------------------------------------------------------
Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(12) 6,260,000 5,696,600
- --------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., 12.75% Sr. Unsec. Nts., 12/15/07 4,085,000 4,146,275
- --------------------------------------------------------------------------------------------------------------------------
Convergent Communications, Inc., 13% Sr. Nts., 4/1/08 7,000,000 5,267,500
- --------------------------------------------------------------------------------------------------------------------------
Covad Communications Group, Inc., 0%/13.50% Sr. Disc. Nts., 3/15/08(12) 28,025,000 14,573,000
- --------------------------------------------------------------------------------------------------------------------------
Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts., 12/15/05(12) 27,875,000 24,948,125
- --------------------------------------------------------------------------------------------------------------------------
Diamond Holdings plc, 9.125% Sr. Nts., 2/1/08 2,050,000 2,050,000
- --------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 13.75% Sr. Nts., 7/15/07 4,215,000 3,561,675
</TABLE>
33 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: TELECOMMUNICATIONS Continued
Exodus Communications, Inc.:
11.25% Sr. Nts., 7/1/08(7) $ 2,250,000 $ 2,300,625
11.25% Sr. Nts., 7/1/08 4,255,000 4,350,738
- --------------------------------------------------------------------------------------------------------------------------
FirstWorld Communications, Inc., 0%/13% Sr. Disc. Nts., 4/15/08(12) 7,000,000 3,605,000
- --------------------------------------------------------------------------------------------------------------------------
Focal Communications Corp., 0%/12.125% Sr. Unsec. Disc. Nts., 2/15/08(12) 9,305,000 5,396,900
- --------------------------------------------------------------------------------------------------------------------------
Global Crossing Ltd., 9.625% Sr. Nts., 5/15/08 13,285,000 13,749,975
- --------------------------------------------------------------------------------------------------------------------------
Globix Corp., 13% Sr. Unsec. Nts., 5/1/05 11,590,000 10,257,150
- --------------------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts., 12/15/05(7)(12) 1,800,000 1,651,500
- --------------------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc./GST Network Funding Corp., Inc.,
0%/10.50% Sr. Disc. Nts., 5/1/08(7)(12) 3,540,000 1,716,900
- --------------------------------------------------------------------------------------------------------------------------
GST USA, Inc., 0%/13.875% Gtd. Sr. Disc. Nts., 12/15/05(12) 2,835,000 2,289,263
- --------------------------------------------------------------------------------------------------------------------------
Hyperion Telecommunications, Inc., 12% Sr. Sub. Nts., 11/1/07 9,500,000 9,595,000
- --------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 0%/12.50% Sr. Sec. Disc. Nts., 5/1/06(12) 2,800,000 2,142,000
- --------------------------------------------------------------------------------------------------------------------------
ICG Services, Inc., 0%/10% Sr. Exchangeable Unsec. Disc. Nts., 2/15/08(12) 1,235,000 691,600
- --------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
0%/12.25% Sr. Disc. Nts., Series B, 3/1/09(12) 6,000,000 3,000,000
8.50% Sr. Nts., Series B, 1/15/08 18,015,000 15,492,900
8.60% Sr. Unsec. Nts., Series B, 6/1/08 5,245,000 4,523,813
8.875% Sr. Nts., 11/1/07 7,815,000 6,896,738
- --------------------------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc.:
0%/12.50% Sr. Unsec. Disc. Nts., 2/15/08(12) 27,316,000 14,887,220
13.50% Sr. Nts., 5/15/09(5) 4,000,000 3,940,000
- --------------------------------------------------------------------------------------------------------------------------
Level 3 Communications, Inc.:
0%/10.50% Sr. Disc. Nts., 12/1/08(12) 23,100,000 13,080,375
9.125% Sr. Unsec. Nts., 5/1/08 7,580,000 6,888,325
- --------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc., 12.25% Sr. Unsec. Nts., 4/15/08(5) 4,160,000 2,516,800
- --------------------------------------------------------------------------------------------------------------------------
McLeodUSA, Inc.:
8.125% Sr. Unsec. Nts., 2/15/09 10,090,000 9,434,150
8.375% Sr. Nts., 3/15/08 5,000,000 4,725,000
9.25% Sr. Nts., 7/15/07 1,725,000 1,733,625
- --------------------------------------------------------------------------------------------------------------------------
Metromedia Fiber Network, Inc., 10% Sr. Unsec. Nts., Series B, 11/15/08 17,200,000 16,684,000
- --------------------------------------------------------------------------------------------------------------------------
Netia Holdings BV:
0%/11% Sr. Disc. Nts., 11/1/07(12) [DEM] 13,850,000 4,694,698
0%/11% Sr. Disc. Nts., Series B, 11/1/07(12)[DEM] 9,750,000 3,304,932
0%/11.25% Sr. Disc. Nts., Series B, 11/1/07(12) 4,900,000 3,087,000
10.25% Sr. Nts., Series B, 11/1/07 2,425,000 2,073,375
- --------------------------------------------------------------------------------------------------------------------------
Netia Holdings II BV, 13.50% Sr. Nts., 6/15/09(7)[EUR] 7,750,000 8,202,164
- --------------------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc.:
9% Sr. Nts., 3/15/08 8,150,000 7,599,875
9.625% Sr. Nts., 10/1/07 15,130,000 14,373,500
10.75% Sr. Unsec. Nts., 11/15/08 7,300,000 7,354,750
10.75% Sr. Unsec. Nts., 6/1/09 4,990,000 5,027,425
- --------------------------------------------------------------------------------------------------------------------------
NorthEast Optic Network, Inc., 12.75% Sr. Nts., 8/15/08 3,800,000 3,895,000
</TABLE>
34 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: TELECOMMUNICATIONS Continued
NTL, Inc.:
0%/9.75% Sr. Deferred Coupon Nts., Series B, 4/1/08 (12) $ 5,850,000 $ 3,919,500
0%/9.75% Sr. Nts., 4/15/09(12) [GBP] 39,800,000 37,443,507
0%/10.75% Sr. Unsec. Unsub. Nts., Series B, 4/1/08(12)[GBP] 7,590,000 8,187,481
0%/12.375% Sr. Unsec. Nts., Series B, 10/1/08(12) 14,010,000 9,561,825
7% Cv. Unsec. Sub. Nts., 12/15/08 7,900,000 13,430,000
10% Sr. Nts., Series B, 2/15/07 7,725,000 7,918,125
11.50% Sr. Unsec. Nts., Series B, 10/1/08 2,850,000 3,088,688
- --------------------------------------------------------------------------------------------------------------------------
Optel, Inc., 13% Sr. Nts., Series B, 2/15/05(5) 21,200,000 14,946,000
- --------------------------------------------------------------------------------------------------------------------------
Petersburg Long Distance, Inc., 9% Cv. Sub. Nts., 6/1/06(7) 1,500,000 697,500
- --------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc., 14% Sr. Disc. Nts., 6/1/04(5) 16,650,000 12,404,250
- --------------------------------------------------------------------------------------------------------------------------
PSINet, Inc., 10% Sr. Unsec. Nts., Series B, 2/15/05 22,250,000 21,387,813
- --------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc.:
0%/8.29% Sr. Unsec. Disc. Nts., Series B, 2/1/08(12) 15,355,000 11,362,700
0%/9.47% Sr. Disc. Nts., 10/15/07(12) 14,290,000 11,181,925
- --------------------------------------------------------------------------------------------------------------------------
RSL Communications plc:
0%/10% Bonds, 3/15/08(12) [DEM] 9,100,000 2,867,813
0%/10.125% Sr. Disc. Nts., 3/1/08(12) 5,425,000 3,092,250
10.50% Gtd. Sr. Nts., 11/15/08 9,000,000 8,235,000
- --------------------------------------------------------------------------------------------------------------------------
Shaw Communications, Inc., 8.54% Debs., 9/30/27 [CAD] 14,580,000 9,327,331
- --------------------------------------------------------------------------------------------------------------------------
Tele1 Europe BV, 13% Sr. Unsec. Nts., 5/15/09(5) [EUR] 5,000,000 5,245,125
- --------------------------------------------------------------------------------------------------------------------------
Telewest Communications plc:
0%/9.25% Sr. Nts., 4/15/09(7)(12) 12,750,000 7,777,500
0%/9.875% Sr. Nts., 4/15/09(7)(12)[GBP] 12,000,000 11,857,680
0%/11% Sr. Disc. Debs., 10/1/07(12) 10,975,000 9,850,063
- --------------------------------------------------------------------------------------------------------------------------
Time Warner Telecom LLC, 9.75% Sr. Nts., 7/15/08 4,000,000 4,040,000
- --------------------------------------------------------------------------------------------------------------------------
United Pan-Europe Communications NV:
10.875% Sr. Nts., 8/1/09(7) 14,900,000 15,123,500
10.875% Sr. Nts., 8/1/09(7) [EUR] 13,250,000 14,190,626
- --------------------------------------------------------------------------------------------------------------------------
US Xchange LLC, 15% Sr. Unsec. Nts., 7/1/08 3,465,000 3,547,294
- --------------------------------------------------------------------------------------------------------------------------
Verio, Inc.:
10.375% Sr. Unsec. Nts., 4/1/05 10,115,000 10,089,713
11.25% Sr. Unsec. Nts., 12/1/08 9,250,000 9,504,375
13.50% Sr. Unsec. Nts., 6/15/04 1,960,000 2,146,200
- --------------------------------------------------------------------------------------------------------------------------
Versatel Telecom International BV, 11.875% Sr. Nts., 7/15/09 [EUR] 6,500,000 6,576,375
- --------------------------------------------------------------------------------------------------------------------------
Viatel, Inc., 11.25% Sr. Sec. Nts., 4/15/08 14,250,000 13,252,500
- --------------------------------------------------------------------------------------------------------------------------
WAM!NET, Inc., 0%/13.25% Sr. Unsec. Disc. Nts., Series B, 3/1/05(5)(12) 16,895,000 10,052,525
- --------------------------------------------------------------------------------------------------------------------------
Winstar Equipment Corp., 12.50% Gtd. Sr. Sec. Exchangeable Nts., 3/15/04 3,000,000 3,045,000
- --------------------------------------------------------------------------------------------------------------------------
Worldwide Fiber, Inc., 12% Sr. Nts., 8/1/09(7) 7,900,000 7,781,500
------------
646,594,047
</TABLE>
35 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: WIRELESS COMMUNICATIONS--3.8%
Arch Communications, Inc., 12.75% Sr. Nts., 7/1/07 $ 2,125,000 $ 1,503,438
- --------------------------------------------------------------------------------------------------------------------------
Celcaribe SA, 13.50% Sr. Sec. Nts., 3/15/04 12,750,000 9,243,750
- --------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc., 0%/14% Sr. Disc. Nts., 10/1/07(12) 21,148,000 8,353,460
- --------------------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc., 0%/14.75% Sr. Disc. Nts., 12/15/05(12) 2,040,000 1,932,900
- --------------------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA, 0%/14.125% Sr. Unsec. Deferred Bonds, 3/1/05(7)(12) 16,359,000 8,711,168
- --------------------------------------------------------------------------------------------------------------------------
Crown Castle International Corp.:
0%/10.375% Sr. Disc. Nts., 5/15/11(12) 9,600,000 5,520,000
0%/10.625% Sr. Unsec. Disc. Nts., 11/15/07(12) 14,510,000 10,157,000
9% Sr. Nts., 5/15/11 3,800,000 3,581,500
- --------------------------------------------------------------------------------------------------------------------------
CTI Holdings SA, 0%/11.50% Sr. Deferred Coupon Nts., 4/15/08(12) 8,600,000 4,300,000
- --------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp., 11.75% Sr. Nts., 4/15/07 6,900,000 7,245,000
- --------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc.:
0%/15% Sr. Sec. Disc. Nts., Series B, 7/15/05(11)(12) 6,475,000 2,687,125
12% Cv. Sr. Sub. Nts., 2/15/01(11) 625,000 3,906
- --------------------------------------------------------------------------------------------------------------------------
ICO Global Communications (Holdings) Ltd., Units (each unit consists of
$1,000 principal amount of 15% sr. nts., 8/1/05 and one warrant to purchase
19.85 shares of common stock)(11)(14) 4,600,000 897,000
- --------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd., 9.50% Sr. Nts., 1/15/06 3,600,000 3,087,000
- --------------------------------------------------------------------------------------------------------------------------
Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 7,470,000 4,892,850
- --------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc.:
0%/11.125% Sr. Disc. Nts., Series B, 10/15/07(5)(12)[CAD] 11,545,000 5,047,746
0%/12% Sr. Unsec. Disc. Nts., 6/1/09(12) 10,000,000 6,075,000
0%/14% Sr. Disc. Nts., Series B, 6/1/06(12) 3,100,000 2,604,000
- --------------------------------------------------------------------------------------------------------------------------
Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(12) 8,715,000 6,231,225
- --------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc.:
0%/9.75% Sr. Disc. Nts., 10/31/07(12) 10,780,000 7,680,750
0%/9.95% Sr. Disc. Nts., 2/15/08(12) 17,290,000 12,146,225
0%/10.65% Sr. Disc. Nts., 9/15/07(12) 17,125,000 12,758,125
9.75% Sr. Disc. Nts., 8/15/04 5,000,000 5,068,750
- --------------------------------------------------------------------------------------------------------------------------
Omnipoint Corp.:
11.50% Sr. Nts., 9/15/09(7) 4,350,000 4,502,250
11.625% Sr. Nts., 8/15/06 12,950,000 13,403,250
11.625% Sr. Nts., Series A, 8/15/06 14,135,000 14,629,725
- --------------------------------------------------------------------------------------------------------------------------
Orange plc:
8% Sr. Nts., 8/1/08 13,200,000 12,771,000
8.75% Sr. Unsec. Bonds, 6/1/06(7) 5,250,000 5,341,875
- --------------------------------------------------------------------------------------------------------------------------
ORBCOMM Global LP/ORBCOMM Capital Corp., 14% Sr. Nts., 8/15/04 15,930,000 14,098,050
- --------------------------------------------------------------------------------------------------------------------------
Orion Network Systems, Inc., 0%/12.50% Sr. Disc. Nts., 1/15/07(12) 11,975,000 5,568,375
- --------------------------------------------------------------------------------------------------------------------------
Pinnacle Holdings, Inc., 0%/10% Sr. Unsec. Disc. Nts., 3/15/08(12) 10,985,000 6,316,375
- --------------------------------------------------------------------------------------------------------------------------
Price Communications Wireless, Inc.:
9.125% Sr. Sec. Nts., Series B, 12/15/06 10,825,000 11,068,563
11.75% Sr. Sub. Nts., 7/15/07 10,240,000 11,238,400
- --------------------------------------------------------------------------------------------------------------------------
Real Time Data Co., 11% Disc. Nts., 5/31/09(7)(13) 6,939,156 6,869,209
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
36 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
MEDIA/ENTERTAINMENT: WIRELESS COMMUNICATIONS Continued
Rural Cellular Corp., 9.625% Sr. Sub. Nts., Series B, 5/15/08 $ 9,550,000 $ 9,836,500
- --------------------------------------------------------------------------------------------------------------------------
Satelites Mexicanos SA, 10.125% Sr. Nts., 11/1/04 3,510,000 2,746,575
- --------------------------------------------------------------------------------------------------------------------------
SBA Communications Corp., 0%/12% Sr. Unsec. Disc. Nts., 3/1/08(12) 28,875,000 15,592,500
- --------------------------------------------------------------------------------------------------------------------------
Spectrasite Holdings, Inc.:
0%/11.25% Sr. Disc. Nts., 4/15/09(7)(12) 6,900,000 3,450,000
0%/12% Sr. Disc. Nts., 7/15/08(7)(12) 10,410,000 5,881,650
- --------------------------------------------------------------------------------------------------------------------------
Sprint Spectrum LP/Sprint Spectrum Finance Corp., 0%/12.50%
Sr. Disc. Nts., 8/15/06(12) 610,000 564,250
- --------------------------------------------------------------------------------------------------------------------------
USA Mobile Communications, Inc. II:
9.50% Sr. Nts., 2/1/04 6,120,000 4,620,600
14% Sr. Nts., 11/1/04 9,965,000 8,819,025
------------
287,046,090
- --------------------------------------------------------------------------------------------------------------------------
METALS/MINERALS--1.3%
AK Steel Corp.:
7.875% Sr. Unsec. Nts., 2/15/09 18,000,000 16,650,000
9.125% Sr. Nts., 12/15/06 13,360,000 13,360,000
- --------------------------------------------------------------------------------------------------------------------------
California Steel Industries Corp., 8.50% Sr. Nts., 4/1/09(7) 4,400,000 4,180,000
- --------------------------------------------------------------------------------------------------------------------------
Centaur Mining & Exploration Ltd., 11% Sr. Nts., 12/1/07 7,025,000 6,708,875
- --------------------------------------------------------------------------------------------------------------------------
Great Lakes Carbon Corp., 10.25% Sr. Sub. Nts., Series B, 5/15/08 7,250,000 6,851,250
- --------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc., 10.75% Sr. Sub. Nts., 2/1/08 2,000,000 1,870,000
- --------------------------------------------------------------------------------------------------------------------------
Kaiser Aluminum & Chemical Corp., 12.75% Sr. Sub. Nts., 2/1/03 2,950,000 2,950,000
- --------------------------------------------------------------------------------------------------------------------------
Keystone Consolidated Industries, Inc., 9.625% Sr. Sec. Nts., 8/1/07 5,700,000 5,386,500
- --------------------------------------------------------------------------------------------------------------------------
Metallurg Holdings, Inc., 0%/12.75% Sr. Disc. Nts., 7/15/08(12) 18,300,000 6,130,500
- --------------------------------------------------------------------------------------------------------------------------
Metallurg, Inc., 11% Sr. Nts., 12/1/07 10,845,000 10,031,625
- --------------------------------------------------------------------------------------------------------------------------
National Steel Corp., 9.875% First Mtg. Bonds, Series D, 3/1/09 12,750,000 12,622,500
- --------------------------------------------------------------------------------------------------------------------------
Republic Technologies International/RTI Capital Corp., Units (each unit
consists of $1,000 principal amount of 13.75% sr. nts., 7/15/09 and one
warrant to purchase Cl. D common stock at $0.01 per share)(14) 9,400,000 8,977,000
------------
95,718,250
- --------------------------------------------------------------------------------------------------------------------------
RETAIL--0.4%
Boyds Collection Ltd. (The), 9% Sr. Unsec. Sub. Nts., Series B, 5/15/08 4,296,000 4,215,450
- --------------------------------------------------------------------------------------------------------------------------
Central Termica Guemes, 12% Bonds, 11/26/01(5)(11) 6,025,000 858,563
- --------------------------------------------------------------------------------------------------------------------------
Eye Care Centers of America, Inc., 9.125% Sr. Unsec. Sub. Nts., 5/1/08 6,670,000 5,369,350
- --------------------------------------------------------------------------------------------------------------------------
Finlay Enterprises, Inc., 9% Debs., 5/1/08 4,000,000 3,660,000
- --------------------------------------------------------------------------------------------------------------------------
Finlay Fine Jewelry Corp., 8.375% Sr. Nts., 5/1/08 3,125,000 2,945,313
- --------------------------------------------------------------------------------------------------------------------------
Home Interiors & Gifts, Inc., 10.125% Sr. Sub. Nts., 6/1/08 6,850,000 6,028,000
- --------------------------------------------------------------------------------------------------------------------------
Just For Feet, Inc., 11% Sr. Sub. Nts., 5/1/09(7) 4,300,000 924,500
- --------------------------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 10.25% Sr. Sub. Nts., 10/15/07 3,450,000 3,458,625
------------
27,459,801
</TABLE>
37 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
SERVICE--2.3%
Allied Waste North America, Inc.:
7.875% Sr. Unsec. Nts., Series B, 1/1/09 $ 9,055,000 $ 7,968,400
10% Sr. Sub. Nts., 8/1/09(7) 9,000,000 8,280,000
- --------------------------------------------------------------------------------------------------------------------------
American Plumbing & Mechanical, Inc., 11.625% Gtd. Sr. Sub. Nts., 10/15/08(7) 8,500,000 7,607,500
- --------------------------------------------------------------------------------------------------------------------------
Blount, Inc., 13% Sr. Sub. Nts., 8/1/09(7) 9,500,000 9,844,375
- --------------------------------------------------------------------------------------------------------------------------
Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(12) 2,525,000 2,638,625
- --------------------------------------------------------------------------------------------------------------------------
Comforce Operating, Inc., 12% Sr. Nts., Series B, 12/1/07 2,920,000 2,007,500
- --------------------------------------------------------------------------------------------------------------------------
Formica Corp., 10.875% Sr. Sub. Nts., 3/1/09(7) 5,000,000 4,575,000
- --------------------------------------------------------------------------------------------------------------------------
Great Lakes Dredge & Dock Corp., 11.25% Sr. Unsec. Sub. Nts., 8/15/08 5,900,000 5,988,500
- --------------------------------------------------------------------------------------------------------------------------
Insight Midwest LP/Insight Capital, Inc., 9.75% Sr. Nts., 10/1/09(3)(7) 4,000,000 4,035,000
- --------------------------------------------------------------------------------------------------------------------------
Integrated Electric Services, Inc., 9.375% Sr. Sub. Nts., Series B, 2/1/09 2,000,000 1,970,000
- --------------------------------------------------------------------------------------------------------------------------
Iron Mountain, Inc., 8.75% Sr. Sub. Nts., 9/30/09 9,800,000 9,261,000
- --------------------------------------------------------------------------------------------------------------------------
IT Group, Inc., 11.25% Sr. Sub. Nts., 4/1/09(7) 5,000,000 4,750,000
- --------------------------------------------------------------------------------------------------------------------------
Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 4,630,000 4,386,925
- --------------------------------------------------------------------------------------------------------------------------
Lamar Advertising Co., 8.625% Sr. Sub. Nts., 9/15/07 4,250,000 4,207,500
- --------------------------------------------------------------------------------------------------------------------------
Lamar Media Corp., 9.625% Sr. Unsec. Sub. Nts., 12/1/06 8,575,000 8,703,625
- --------------------------------------------------------------------------------------------------------------------------
Panolam Industries International, Inc., 11.50% Sr. Sub. Nts., 2/15/09(5) 4,000,000 4,020,000
- --------------------------------------------------------------------------------------------------------------------------
Pentacon, Inc., 12.25% Sr. Unsec. Nts., Series B, 4/1/09(5) 9,350,000 9,022,750
- --------------------------------------------------------------------------------------------------------------------------
Premier Graphics, Inc., 11.50% Sr. Unsec. Nts., 12/1/05(5) 7,450,000 6,928,500
- --------------------------------------------------------------------------------------------------------------------------
Protection One Alarm Monitoring, Inc.:
6.75% Cv. Sr. Sub. Nts., 9/15/03 11,090,000 7,693,688
13.625% Sr. Sub. Disc. Nts., 6/30/05 3,155,000 2,886,825
- --------------------------------------------------------------------------------------------------------------------------
Protection One, Inc., 7.375% Gtd. Sr. Unsec. Nts., 8/15/05 1,000,000 785,000
- --------------------------------------------------------------------------------------------------------------------------
Royster-Clark, Inc., 10.25% First Mtg. Nts., 4/1/09(7) 5,200,000 4,680,000
- --------------------------------------------------------------------------------------------------------------------------
Safety-Kleen Corp., 9.25% Sr. Unsec. Nts., 5/15/09 13,100,000 12,641,500
- --------------------------------------------------------------------------------------------------------------------------
Tembec Industries, Inc., 8.625% Sr. Nts., 6/30/09 6,000,000 5,910,000
- --------------------------------------------------------------------------------------------------------------------------
United Rentals, Inc.:
9% Sr. Unsec. Sub. Nts., Series B, 4/1/09 6,900,000 6,537,750
9.25% Sr. Unsec. Sub. Nts., Series B, 1/15/09 7,300,000 7,026,250
- --------------------------------------------------------------------------------------------------------------------------
United Stationers Supply Co., 12.75% Sr. Sub. Nts., 5/1/05 3,304,000 3,568,320
- --------------------------------------------------------------------------------------------------------------------------
URS Corp., 12.25% Sr. Sub. Nts., 5/1/09(7) 14,375,000 14,734,375
------------
172,658,908
- --------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION--2.7%
Aftermarket Technology Corp., 12% Sr. Sub. Nts., Series B, 8/1/04 3,700,000 3,774,000
- --------------------------------------------------------------------------------------------------------------------------
America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 22,273,000 21,771,858
- --------------------------------------------------------------------------------------------------------------------------
Budget Group, Inc., 9.125% Sr. Unsec. Nts., 4/1/06 12,125,000 10,730,625
- --------------------------------------------------------------------------------------------------------------------------
Cambridge Industries, Inc., 10.25% Sr. Sub. Nts., Series B, 7/15/07 4,775,000 3,127,625
- --------------------------------------------------------------------------------------------------------------------------
Chrysler Financial LLC, 13.25% Debs., 10/15/99(15) 4,500,000 4,509,590
- --------------------------------------------------------------------------------------------------------------------------
Coach USA, Inc., 9.375% Sr. Sub. Nts., Series B, 7/1/07 4,695,000 5,000,175
</TABLE>
38 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
TRANSPORTATION Continued
Collins & Aikman Products Co., 11.50% Sr. Unsec. Sub. Nts., 4/15/06 $ 5,325,000 $ 5,138,625
- --------------------------------------------------------------------------------------------------------------------------
Dura Operating Corp., 9% Sr. Sub. Nts., 5/1/09(7)[EUR] 8,600,000 8,494,973
- --------------------------------------------------------------------------------------------------------------------------
Federal-Mogul Corp., 7.875% Nts., 7/1/10 6,500,000 5,931,764
- --------------------------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 6.875% Nts., Series EC, 9/9/04 [GBP] 15,135,000 24,513,309
- --------------------------------------------------------------------------------------------------------------------------
Hayes Wheels International, Inc.:
9.125% Sr. Sub. Nts., 7/15/07 5,550,000 5,244,750
11% Sr. Sub. Nts., 7/15/06 6,690,000 6,907,425
- --------------------------------------------------------------------------------------------------------------------------
HDA Parts System, Inc., 12% Sr. Sub. Nts., 8/1/05(7) 3,650,000 3,522,250
- --------------------------------------------------------------------------------------------------------------------------
Key Plastics, Inc., 10.25% Sr. Sub. Nts., Series B, 3/15/07(5) 4,335,000 3,663,075
- --------------------------------------------------------------------------------------------------------------------------
Lear Corp., 9.50% Sub. Nts., 7/15/06 2,825,000 2,867,375
- --------------------------------------------------------------------------------------------------------------------------
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)(14) 4,400,000 2,112,000
- --------------------------------------------------------------------------------------------------------------------------
Navigator Gas Transport plc:
10.50% First Priority Ship Mtg. Nts., 6/30/07(5) 13,175,000 6,258,125
Units (each unit consists of $1,000 principal amount of 12% second
priority ship mtg. nts., 6/30/07 and 7.66 warrants)(7)(14) 11,325,000 2,151,750
- --------------------------------------------------------------------------------------------------------------------------
Oxford Automotive, Inc., 10.125% Sr. Unsec. Sub. Nts., Series D, 6/15/07 23,250,000 21,506,250
- --------------------------------------------------------------------------------------------------------------------------
Pycsa Panama SA, 10.28% Sr. Sec. Bonds, 12/15/12(5) 8,663,105 5,652,677
- --------------------------------------------------------------------------------------------------------------------------
TFM SA de CV, 10.25% Sr. Nts., 6/15/07 5,225,000 4,558,813
- --------------------------------------------------------------------------------------------------------------------------
Trans World Airlines, Inc., 11.50% Sr. Sec. Nts., 12/15/04 14,545,000 11,708,725
- --------------------------------------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14% Equipment Trust, 7/2/08(5) 3,105,983 3,105,983
- --------------------------------------------------------------------------------------------------------------------------
Transtar Holdings LP/Transtar Capital Corp., 0%/13.375% Sr. Disc. Nts.,
Series B, 12/15/03(12) 27,791,000 27,096,225
- --------------------------------------------------------------------------------------------------------------------------
Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(5) 11,490,032 6,003,542
--------------
205,351,509
- --------------------------------------------------------------------------------------------------------------------------
UTILITY--0.5%
Beaver Valley II Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 956,000 963,170
- --------------------------------------------------------------------------------------------------------------------------
Calpine Corp.:
7.75% Sr. Nts., 4/15/09 8,500,000 8,053,750
8.75% Sr. Nts., 7/15/07 4,000,000 3,965,000
10.50% Sr. Nts., 5/15/06 910,000 954,363
- --------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co., 9.40% First Mtg. Sec. Nts., Series E, 5/1/11 9,300,000 10,123,627
- --------------------------------------------------------------------------------------------------------------------------
Niagara Mohawk Power Corp., 0%/8.50% Sr. Unsec. Nts., Series H, 7/1/10(12) 8,000,000 5,910,368
- --------------------------------------------------------------------------------------------------------------------------
Subic Power Corp.:
9.50% Sr. Sec. Nts., 12/28/08 5,320,000 4,788,000
9.50% Sr. Sec. Nts., 12/28/08(7) 4,548,862 4,093,976
--------------
38,852,254
--------------
Total Corporate Bonds and Notes (Cost $3,421,773,418) 3,061,209,392
</TABLE>
39 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
PREFERRED STOCKS--2.6%
- --------------------------------------------------------------------------------------------------------------------------
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.(13) 242,389 $ 3,938,821
- --------------------------------------------------------------------------------------------------------------------------
BankUnited Capital Trust, 10.25% Gtd. Bonds, 12/31/26(5) 10,050,000 9,572,625
- --------------------------------------------------------------------------------------------------------------------------
Capstar Communications, Inc., 12.625% Cum. Exchangeable,
Series E, Non-Vtg.(5)(13) 13,935 1,647,814
- --------------------------------------------------------------------------------------------------------------------------
CGA Group Ltd., Series A(5)(13)(17) 160,595 4,014,875
- --------------------------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 7% Cv., Non-Vtg.(7)(16) 146,175 4,823,775
- --------------------------------------------------------------------------------------------------------------------------
Clark USA, Inc., 11.50% Cum. Sr. Exchangeable(13) 5,693 3,401,567
- --------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp., 13.50% Sr. Redeemable Exchangeable,
Series B, Non-Vtg.(5)(13) 8,153 7,521,142
- --------------------------------------------------------------------------------------------------------------------------
Contour Energy Co., $2.625 Cum. Cv.(16) 159,100 914,825
- --------------------------------------------------------------------------------------------------------------------------
CRIIMI MAE, Inc., 10.875% Cum. Cv., Series B, Non-Vtg.(16) 278,000 5,073,500
- --------------------------------------------------------------------------------------------------------------------------
Crown American Realty Trust, 11% Cum., Series A, Non-Vtg 49,500 2,041,875
- --------------------------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
8.50% Cum. Cv., Series I, Non-Vtg 36,500 3,955,687
11.125% Cum., Series M(13) 74,451 7,984,870
- --------------------------------------------------------------------------------------------------------------------------
Doane Products Co., 14.25% Exchangeable, Non-Vtg.(5)(16) 255,000 11,347,500
- --------------------------------------------------------------------------------------------------------------------------
Dobson Communications Corp.:
12.25% Sr. Exchangeable(13) 8,384 7,734,240
13% Sr. Exchangeable(13)(16) 8,408 8,134,740
- --------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc., 12.75% Jr. Redeemable, Non-Vtg.(13) 10,016 3,280,240
- --------------------------------------------------------------------------------------------------------------------------
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable,
Series B, 3/1/08, Non-Vtg.(16) 39,000 1,881,750
- --------------------------------------------------------------------------------------------------------------------------
Earthwatch, Inc., $8.50 Cv. Sr., Series C, Non-Vtg.(5) 269,508 673,770
- --------------------------------------------------------------------------------------------------------------------------
Fidelity Federal Bank FSB Glendale California, l2% Non-Cum
Exchangeable Perpetual, Series A(5) 20 325
- --------------------------------------------------------------------------------------------------------------------------
Global Crossing Ltd., 10.50% Sr. Exchangeable, 12/1/08(13) 20,000 2,115,000
- --------------------------------------------------------------------------------------------------------------------------
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.(13) 6,125 5,956,562
- --------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.:
13.50% Exchangeable, Series B(13) 5,863 5,291,358
Depositary Shares Representing one one-hundredth 7% Cum. Cv. Jr.,
Series E, Non-Vtg.(7) 116,450 2,547,344
- --------------------------------------------------------------------------------------------------------------------------
International Utility Structures, Inc.:
13% Preferred, Non-Vtg.(7)(13) 223 209,063
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)(13)(14) 1,090 1,036,863
- --------------------------------------------------------------------------------------------------------------------------
Nebco Evans Holdings, Inc., 11.25% Sr. Redeemable Exchangeable
Preferred Stock, Non-Vtg.(5)(13) 94,339 3,514,128
- --------------------------------------------------------------------------------------------------------------------------
Nextel Communications, Inc., 11.125% Exchangeable , Series E, Non-Vtg.(5)(13) 7,482 7,351,065
- --------------------------------------------------------------------------------------------------------------------------
NEXTLINK Communications, Inc., 14% Cum., Non-Vtg.(5)(13) 299,832 14,916,642
- --------------------------------------------------------------------------------------------------------------------------
Paxson Communications Corp., 13.25% Cum. Jr. Exchangeable, Non-Vtg.(13) 936 10,038,600
</TABLE>
40 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
MARKET VALUE
SHARES SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
PREFERRED STOCKS Continued
PRIMEDIA, Inc.:
8.625% Exchangeable, Series H, Non-Vtg 165,600 $ 14,945,400
9.20% Exchangeable, Series F, Non-Vtg 46,400 4,326,800
- --------------------------------------------------------------------------------------------------------------------------
Rural Cellular Corp., 11.375% Cum. Sr., Series B, Non-Vtg.(13) 12,557 12,839,533
- --------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc.:
13.75% Cum. Nts., Series B, 3/15/09, Non-Vtg.(13) 300 847,500
13.75% Exchangeable(7)(13) 53 149,725
- --------------------------------------------------------------------------------------------------------------------------
Spanish Broadcasting Systems, Inc., 14.25% Cum. Exchangeable, Non-Vtg.(7)(13) 6,943 7,316,186
- --------------------------------------------------------------------------------------------------------------------------
Star Gas Partners, LP 7,147 115,692
- --------------------------------------------------------------------------------------------------------------------------
Supermarkets General Holdings Corp., $3.52 Exchangeable(5)(13)(16) 200,000 6,850,000
- --------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc.:
9.16% Cv., Series B, Non-Vtg.(17) 280,000 6,930,000
9.20% Sr.(17) 387,400 6,004,700
-----------
Total Preferred Stocks (Cost $240,943,376) 201,246,102
==========================================================================================================================
COMMON STOCKS--0.6%
- --------------------------------------------------------------------------------------------------------------------------
Celcaribe SA(7)(16) 1,658,520 1,865,835
- --------------------------------------------------------------------------------------------------------------------------
Coinstar, Inc.(16) 35,000 347,813
- --------------------------------------------------------------------------------------------------------------------------
ECM Fund, LPI(5) 525 460,031
- --------------------------------------------------------------------------------------------------------------------------
El Paso Electric Co.(16) 300,000 2,700,000
- --------------------------------------------------------------------------------------------------------------------------
Equitable Bag, Inc.(5)(16) 68,985 68,985
- --------------------------------------------------------------------------------------------------------------------------
GST Telecommunications, Inc.(16) 96,400 677,813
- --------------------------------------------------------------------------------------------------------------------------
Horizon Group Properties, Inc.(16) 19,435 68,022
- --------------------------------------------------------------------------------------------------------------------------
Intermedia Communications, Inc.(16) 2,342 50,939
- --------------------------------------------------------------------------------------------------------------------------
Ladish Co., Inc.(16) 134,333 873,164
- --------------------------------------------------------------------------------------------------------------------------
MCI WorldCom, Inc.(16) 40,000 2,875,000
- --------------------------------------------------------------------------------------------------------------------------
Omnipoint Corp.(16) 130,000 7,263,750
- --------------------------------------------------------------------------------------------------------------------------
Optel, Inc.(16) 11,560 116
- --------------------------------------------------------------------------------------------------------------------------
Premier Holdings Ltd.(5)(16)(17) 799,833 2,699,436
- --------------------------------------------------------------------------------------------------------------------------
Price Communications Corp.(16) 420,000 10,526,255
- --------------------------------------------------------------------------------------------------------------------------
Qwest Communications International, Inc.(16) 30,000 886,875
- --------------------------------------------------------------------------------------------------------------------------
SF Holdings Group, Inc., Cl. C(16) 11,100 111
- --------------------------------------------------------------------------------------------------------------------------
Sheridan Energy, Inc.(16)(17) 394,283 2,143,914
- --------------------------------------------------------------------------------------------------------------------------
Unisys Corp.(16) 36,874 1,663,939
- --------------------------------------------------------------------------------------------------------------------------
Vail Resorts, Inc.(16) 150,000 3,478,125
- --------------------------------------------------------------------------------------------------------------------------
Walter Industries, Inc.(16) 119,583 1,614,371
- --------------------------------------------------------------------------------------------------------------------------
Weatherford International, Inc. 65,000 2,080,000
- --------------------------------------------------------------------------------------------------------------------------
Wilshire Financial Services Group, Inc.(16) 568,825 693,255
-----------
Total Common Stocks (Cost $19,121,695) 43,037,749
</TABLE>
41 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
MARKET VALUE
SHARES SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES--0.3%
- --------------------------------------------------------------------------------------------------------------------------
American Telecasting, Inc. Wts., Exp. 8/10/00(5) 8,000 $ 80
- --------------------------------------------------------------------------------------------------------------------------
Ames Department Stores, Inc., Litigation Trust, Exp. 1/31/00(5) 118,975 1,190
- --------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Wts., Exp. 12/3/99 33,605 12,602
- --------------------------------------------------------------------------------------------------------------------------
Argentina (Republic of) Wts., Exp. 2/25/00 41,770 41,770
- --------------------------------------------------------------------------------------------------------------------------
Australis Holdings PTY Ltd./Australia Media Ltd. Wts., Exp. 5/15/00(5) 780 5
- --------------------------------------------------------------------------------------------------------------------------
Becker Gaming, Inc. Wts., Exp. 11/15/00(5) 262,500 --
- --------------------------------------------------------------------------------------------------------------------------
CellNet Data Systems, Inc. Wts., Exp. 10/1/07(7) 13,893 53,835
- --------------------------------------------------------------------------------------------------------------------------
Central Bank of Nigeria Wts., Exp. 11/15/20 8,500 --
- --------------------------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/31/49(5)(17) 130,000 39,000
- --------------------------------------------------------------------------------------------------------------------------
Clearnet Communications, Inc. Wts., Exp. 9/15/05 7,425 128,040
- --------------------------------------------------------------------------------------------------------------------------
Comunicacion Celular SA Wts., Exp. 11/15/03(5) 8,109 487,554
- --------------------------------------------------------------------------------------------------------------------------
Concentric Network Corp. Wts., Exp. 12/15/07(5) 4,650 909,656
- --------------------------------------------------------------------------------------------------------------------------
Covergent Communications, Inc. Wts., Exp. 4/1/08 30,000 363,750
- --------------------------------------------------------------------------------------------------------------------------
e.spire Communications, Inc. Wts., Exp. 11/1/05 5,225 364,732
- --------------------------------------------------------------------------------------------------------------------------
FirstWorld Communications, Inc. Wts., Exp. 4/15/08(5) 7,000 490,875
- --------------------------------------------------------------------------------------------------------------------------
Geotek Communications, Inc. Wts., Exp. 7/15/05(5) 690,000 6,900
- --------------------------------------------------------------------------------------------------------------------------
Globix Corp. Wts., Exp. 5/1/05(5) 12,340 1,480,800
- --------------------------------------------------------------------------------------------------------------------------
Golden State Bancorp, Inc. Wts., Exp. 1/1/01 48,080 57,095
- --------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 1/23/03 128,643 --
- --------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 1/23/03(5) 64,350 643
- --------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 5/1/05(5) 146,363 14,636
- --------------------------------------------------------------------------------------------------------------------------
Gothic Energy Corp. Wts., Exp. 9/1/04(5) 189,000 200,907
- --------------------------------------------------------------------------------------------------------------------------
Grand Union Co. Wts., Exp. 8/17/03 11,563 20,958
- --------------------------------------------------------------------------------------------------------------------------
HF Holdings, Inc. Wts., Exp. 9/27/00 34,425 516,375
- --------------------------------------------------------------------------------------------------------------------------
Hyperion Telecommunications Inc. Wts., Exp. 4/15/01 1,035 129,504
- --------------------------------------------------------------------------------------------------------------------------
ICG Communications, Inc. Wts., Exp. 9/15/05 46,860 336,450
- --------------------------------------------------------------------------------------------------------------------------
IHF Capital, Inc. Series H Wts., Exp. 11/14/99(7) 1,750 18
- --------------------------------------------------------------------------------------------------------------------------
IHF Capital, Inc. Series I Wts., Exp. 11/14/99(5) 5,400 54
- --------------------------------------------------------------------------------------------------------------------------
In-Flight Phone Corp. Wts., Exp. 8/31/02 13,050 --
- --------------------------------------------------------------------------------------------------------------------------
Insilco Corp. Wts., Exp. 8/15/07(5) 7,780 --
- --------------------------------------------------------------------------------------------------------------------------
KMC Telecom Holdings, Inc. Wts., Exp. 4/15/08(5) 23,200 59,462
- --------------------------------------------------------------------------------------------------------------------------
Long Distance International, Inc. Wts., Exp. 4/13/08(5) 4,160 4,160
- --------------------------------------------------------------------------------------------------------------------------
Loral Space & Communications Ltd. Wts., Exp. 1/15/07(5) 6,250 75,781
- --------------------------------------------------------------------------------------------------------------------------
Mexican Value Rts., Exp. 6/30/03 69,150,000 --
- --------------------------------------------------------------------------------------------------------------------------
Microcell Telecommunications, Inc. Wts., Exp. 6/1/06(5) 29,300 651,925
- --------------------------------------------------------------------------------------------------------------------------
Millenium Seacarriers, Inc. Wts., Exp. 7/15/05(5) 5,800 7,975
- --------------------------------------------------------------------------------------------------------------------------
Occidente y Caribe Celular SA Wts., Exp. 3/15/04(5) 21,600 369,900
</TABLE>
42 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
MARKET VALUE
UNITS SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
RIGHTS, WARRANTS AND CERTIFICATES Continued
Omnipoint Corp. Wts., Exp. 11/29/00(5) 102,500 $ 5,727,187
- --------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc. Wts., Exp. 6/1/06(5) 16,650 833
- --------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc., 9% Cv. Sub. Nts. Wts., Exp. 3/31/03(5) 1,500 75
- --------------------------------------------------------------------------------------------------------------------------
PLD Telekom, Inc., 14% Sr. Disc. Nts. Wts., Exp. 3/31/03(5) 16,650 833
- --------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 11/1/03(5) 182,000 2,275,000
- --------------------------------------------------------------------------------------------------------------------------
Protection One, Inc. Wts., Exp. 6/30/05(5) 13,440 67,200
- --------------------------------------------------------------------------------------------------------------------------
Real Time Data Co. Wts., Exp. 5/31/04(5) 2,251,489 22,515
- --------------------------------------------------------------------------------------------------------------------------
Rocky Mountain Internet, Inc. Wts., Exp. 7/3/03(5) 55,000 357,500
- --------------------------------------------------------------------------------------------------------------------------
Tele1 Europe B.V. Wts., Exp. 5/15/09(5) 5,000 346,125
- --------------------------------------------------------------------------------------------------------------------------
United International Holdings, Inc. Wts., Exp. 11/15/99(5) 20,345 6,103,500
- --------------------------------------------------------------------------------------------------------------------------
Venezuela (Republic of) Oil Linked Payment Obligation Wts., Exp. 4/15/20 102,138 --
- --------------------------------------------------------------------------------------------------------------------------
Walden Residential Properties, Inc. Wts., Exp. 1/1/02(5)(17) 196,400 51,653
- --------------------------------------------------------------------------------------------------------------------------
WAM!NET, Inc. Wts., Exp. 3/1/05(7) 50,685 1,134,077
------------
Total Rights, Warrants and Certificates (Cost $6,987,651) 22,913,130
<CAPTION>
FACE
AMOUNT(1)
==========================================================================================================================
STRUCTURED INSTRUMENTS--4.9%
- --------------------------------------------------------------------------------------------------------------------------
Bear Stearns High Yield Composite Index Linked Nts., 8%, 10/12/99 $ 30,000,000 28,450,200
- --------------------------------------------------------------------------------------------------------------------------
Citibank (New York) Mexican Linked Nts.:
27.40%, 9/20/01 14,033,000 14,004,934
29%, 3/17/00(5)[MXN] 187,528,500 20,064,035
- --------------------------------------------------------------------------------------------------------------------------
Credit Suisse First Boston Corp. (New York Branch),
Russian OFZ Linked Nts.:
15%, 2/23/00(5) [RUR] 273,777,000 3,849,260
15%, 2/23/00(5) [RUR] 190,703,000 2,681,253
25%, 2/6/02(6) [RUR] 10,781,020 87,923
25%, 2/6/02(6) [RUR] 10,781,020 74,722
25%, 5/22/02(6) [RUR] 10,781,020 82,454
25%, 6/5/02(6) [RUR] 10,781,020 79,806
25%, 9/18/02(6) [RUR] 10,781,020 74,465
25%, 10/9/02(6) [RUR] 10,781,020 79,934
25%, 2/5/03(6) [RUR] 10,781,020 73,055
25%, 5/21/03(6) [RUR] 10,781,020 70,065
25%, 6/4/03(6) [RUR] 10,781,020 68,612
25%, 9/17/03(6) [RUR] 10,781,020 65,750
25%, 9/17/03(10)[RUR] 134,087,300 2,019,147
25%, 10/8/03(6) [RUR] 10,781,020 71,517
25%, 1/21/04(6) [RUR] 10,781,020 68,612
Series C, Zero Coupon, 51.243%, 12/15/01(8)0 [RUR] 36,963,000 157,168
</TABLE>
43 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT (1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
STRUCTURED INSTRUMENTS Continued
Deutsche Bank AG, Indonesian Rupiah Linked Nts., 13.667%, 6/30/00 $ 13,900,000 $ 10,939,300
- --------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG, New York, Philippine Peso/Japanese Yen Linked Nts.,
10.55%, 5/12/00 4,830,000 3,896,361
- --------------------------------------------------------------------------------------------------------------------------
Deutsche Morgan Grenfell, Russian OFZ Linked Nts.:
14%, 9/27/00(5) [RUR] 124,216,000 541,461
18.339%, 2/23/00(5) 9,630,000 96,300
18.598%, 10/25/00(5) 9,630,000 96,300
- --------------------------------------------------------------------------------------------------------------------------
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) 3,091,303 3,014,021
- --------------------------------------------------------------------------------------------------------------------------
J.P. Morgan & Co., Inc. Emerging Market Bond Index Linked
Nts., 9.50%, 7/14/00 89,161,398 91,917,644
- --------------------------------------------------------------------------------------------------------------------------
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 5,420,805
- --------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co. Inc. Turkey Treasury Bond Linked Nts.,
85.25%, 1/7/01(6) [TRL] 3,885,000,000,000 8,984,731
- --------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. Turkey Treasury Bill Linked Nts., Series 4,
Zero Coupon, 77.994%, 8/23/00(8)[TRL] 9,343,180,000,000 11,030,545
- --------------------------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc. Turkey Treasury Bond Linked Nts.,
81%, 1/9/01(6)[TRL] 1,313,600,000,000 3,037,926
- --------------------------------------------------------------------------------------------------------------------------
Morgan Guaranty Trust Co. of New York, The Emerging Market Bond
Index Linked Nts., 9.50%, 11/3/99 53,359,835 52,400,532
- --------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney, Inc. Brazil Credit Linked Nts.:
6%, 4/2/03(5) 11,866,500 7,742,891
Series 2, 6%, 4/2/03(5) 11,866,500 7,742,891
- --------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney, Inc. Turkey Treasury Bill Linked Nts.:
91.50%, 8/24/00(6) 3,662,603 3,141,085
91.86%, 8/24/00(6) 9,363,958 8,080,253
92.10%, 8/24/00(6) 8,696,797 7,497,161
94.10%, 8/24/00(6) 14,398,301 12,382,396
- --------------------------------------------------------------------------------------------------------------------------
Salomon Smith Barney, Inc. Turkey Treasury Bond Linked Nts.,
87.283%, 2/22/01(6)[TRL] 1,000,000,000,000 2,286,578
- --------------------------------------------------------------------------------------------------------------------------
Salomon, Inc. Indonesian Rupiah Linked Nts.:
29.55%, 4/12/00 1,440,000 1,564,762
32.65%, 4/6/00 4,830,000 5,279,721
- --------------------------------------------------------------------------------------------------------------------------
Salomon, Inc. Turkey Treasury Bill Linked Nts., 79%, 10/7/99(6) 4,064,312 3,650,524
</TABLE>
44 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
FACE MARKET VALUE
AMOUNT(1) SEE NOTE 1
==========================================================================================================================
<S> <C> <C>
STRUCTURED INSTRUMENTS Continued
Shoshone Partners Loan Trust Sr. Nts., 7.063%, 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 $ 36,194,875
- --------------------------------------------------------------------------------------------------------------------------
Standard Chartered Bank, Indian Rupee/Japanese Yen Linked Nts.,
Zero Coupon, 12.56%, 8/17/01(8) 12,780,000 9,379,242
- --------------------------------------------------------------------------------------------------------------------------
Standard Chartered Bank, Philippine Peso/Japanese Yen Linked Nts.,
16.04%, 5/10/00 4,830,000 3,620,085
-------------
Total Structured Instruments (Cost $472,649,370) 372,061,302
<CAPTION>
DATE STRIKE CONTRACTS
==========================================================================================================================
<S> <C> <C> <C> <C>
OPTIONS PURCHASED--0.0%
- --------------------------------------------------------------------------------------------------------------------------
Hong Kong Dollar Put Opt 1/11/00 [HKD] 7.894 151,564,800 13,641
- --------------------------------------------------------------------------------------------------------------------------
Standard & Poor's 500 Index Futures,
11/99, Put Opt 11/19/99 $ 1,230 100 717,500
-----------
Total Options Purchased (Cost $880,020) 731,141
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT(1)
============================================================================================================================
<S> <C> <C>
REPURCHASE AGREEMENTS--0.1%
- ----------------------------------------------------------------------------------------------------------------------------
Repurchase agreement with First Chicago Capital Markets, 5.29%,
dated 9/30/99, to be repurchased at $9,201,352 on 10/1/99,
collateralized by U.S. Treasury Nts., 5.125%-8%, 10/31/99-2/15/07,
with a value of $5,850,830, U.S. Treasury Bonds, 5.25%-11.75%,
2/15/01-11/15/28, with a value of $3,538,975 (Cost $9,200,000) $ 9,200,000 9,200,000
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $8,428,049,450) 103.2% 7,859,182,569
- ----------------------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (3.2) (241,136,498)
---------------------------------
NET ASSETS 100.0% $ 7,618,046,071
=================================
</TABLE>
FOOTNOTES TO STATEMENT OF INVESTMENTS
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 MXN Mexican Nuevo 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 ZAR South African Rand
2. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans. These securities typically
decline in price as interest rates decline. Most other fixed income securities
increase in price when interest rates decline. The principal amount of the
underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to
changes in prepayment rates than traditional mortgage-backed securities (for
example, GNMA pass-throughs). Interest rates disclosed represent current yields
based upon the current cost basis and estimated timing and amount of future
cash flows.
3. When-issued security to be delivered and settled after September 30, 1999.
45 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF INVESTMENTS (Continued)
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
4. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these securities
generally increases as interest rates decline and prepayment rates rise. The
price of these securities is typically more volatile than that of
coupon-bearing bonds of the same maturity. Interest rates disclosed represent
current yields based upon the current cost basis and estimated timing of future
cash flows.
5. 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 $412,775,632 or 5.42% of the Fund's net
assets as of September 30, 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 $6,689,401 are held in
collateralized accounts to cover initial margin requirements on open futures
sales contracts. See Note 6 of Notes to Financial Statements.
10. Represents the current interest rate for an increasing rate security.
11. Non-income-producing--issuer is in default.
12. Denotes a step bond: a zero coupon bond that converts to a fixed or
variable interest rate at a designated future date.
13. Interest or dividend is paid in kind.
14. 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.
15. A sufficient amount of securities has been designated to cover outstanding
foreign currency exchange contracts. See Note 5 of Notes to Financial
Statements.
16. Non-income-producing security.
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 September 30,
1999. The aggregate fair value of securities of affiliated companies held by
the Fund as of September 30, 1999, amounts to $21,883,578. 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 SEPT. 30, 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. 12/31/49 130,000 -- -- 130,000 --
Kelley Oil & Gas Corp., $2.625 Cv., Vtg 159,100 -- 159,100 -- --
Premier Holdings Ltd. -- 799,833 -- 799,833 --
Sheridan Energy, Inc. 394,283 -- -- 394,283 --
Walden Residential Properties, Inc., 9.16% Cv.,
Series B, Non-Vtg 280,000 -- -- 280,000 641,200
Walden Residential Properties, Inc., 9.20% Sr. 387,400 -- -- 387,400 891,020
Walden Residential Properties, Inc. Wts.,
Exp. 1/1/02 196,400 -- -- 196,400 --
----------
$2,297,162
==========
</TABLE>
See accompanying Notes to Financial Statements.
46 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES September 30, 1999
<TABLE>
<CAPTION>
=====================================================================================================
ASSETS
- -----------------------------------------------------------------------------------------------------
<S> <C>
Investments, at value--see accompanying statement:
Unaffiliated companies (cost $8,406,042,833) $7,837,298,991
Affiliated companies (cost $22,006,617) 21,883,578
- -----------------------------------------------------------------------------------------------------
Cash 5,926,215
- -----------------------------------------------------------------------------------------------------
Unrealized appreciation on foreign currency exchange contracts--Note 5 6,961,172
- -----------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $184,232,500 sold on a when-issued basis)--Note 1 285,762,807
Interest, dividends and principal paydowns 163,348,055
Shares of beneficial interest sold 8,109,711
Daily variation on futures contracts--Note 6 730,933
Other 541,009
--------------
Total assets 8,330,562,471
=====================================================================================================
LIABILITIES
- -----------------------------------------------------------------------------------------------------
Unrealized depreciation on foreign currency exchange contracts--Note 5 4,251,709
- -----------------------------------------------------------------------------------------------------
Options written, at value (premiums received $1,385,040)--
see accompanying statement--Note 7 --
- -----------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $552,049,153 purchased on a
when-issued basis)--Note 1 673,130,742
Shares of beneficial interest redeemed 15,241,893
Dividends 7,452,763
Distribution and service plan fees 4,648,216
Daily variation on futures contracts--Note 6 1,620,195
Closed foreign currency exchange contracts 1,429,580
Transfer and shareholder servicing agent fees 1,115,404
Shareholder reports 702,348
Trustees' compensation 8,275
Other 2,915,275
--------------
Total liabilities 712,516,400
=====================================================================================================
NET ASSETS $7,618,046,071
==============
=====================================================================================================
Composition of Net Assets
- -----------------------------------------------------------------------------------------------------
Paid-in capital $8,730,516,454
- -----------------------------------------------------------------------------------------------------
Undistributed net investment income 19,853,049
- -----------------------------------------------------------------------------------------------------
Accumulated net realized loss on investments and foreign currency transactions (567,478,659)
- -----------------------------------------------------------------------------------------------------
Net unrealized depreciation on investments and translation of
assets and liabilities denominated in foreign currencies (564,844,773)
--------------
Net assets $7,618,046,071
==============
</TABLE>
47 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES Continued
<TABLE>
<CAPTION>
=================================================================================================
NET ASSET VALUE PER SHARE
- -------------------------------------------------------------------------------------------------
<S> <C>
Class A Shares:
Net asset value and redemption price per share (based on net assets of
$3,578,105,311 and 826,937,325 shares of beneficial interest outstanding) $ 4.33
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) $ 4.55
- -------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$3,380,688,810 and 779,312,054 shares of beneficial interest outstanding) $ 4.34
- -------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$610,685,732 and 141,307,047 shares of beneficial interest outstanding) $ 4.32
- -------------------------------------------------------------------------------------------------
Class Y Shares:
Net asset value, redemption price and offering price per share (based on net
assets of $48,566,218 and 11,236,277 shares of beneficial interest outstanding) $ 4.32
</TABLE>
See accompanying Notes to Financial Statements.
48 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENT OF OPERATIONS For the Year Ended September 30, 1999
<TABLE>
<CAPTION>
===========================================================================================
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------
<S> <C>
Interest (net of foreign withholding taxes of $572,334) $ 830,370,879
- -------------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies 20,810,422
Affiliated companies 2,297,162
-------------
Total income 853,478,463
===========================================================================================
EXPENSES
- -------------------------------------------------------------------------------------------
Distribution and service plan fees--Note 4:
Class A 9,366,471
Class B 38,357,095
Class C 6,503,018
- -------------------------------------------------------------------------------------------
Management fees--Note 4 43,449,103
- -------------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees--Note 4:
Class A 4,828,148
Class B 4,885,212
Class C 826,293
Class Y 759
- -------------------------------------------------------------------------------------------
Shareholder reports 1,863,349
- -------------------------------------------------------------------------------------------
Custodian fees and expenses 1,094,795
- -------------------------------------------------------------------------------------------
Legal, auditing and other professional fees 145,994
- -------------------------------------------------------------------------------------------
Trustees' compensation 101,485
- -------------------------------------------------------------------------------------------
Other 387,308
-------------
Total expenses 111,809,030
Less expenses paid indirectly--Note 1 (382,888)
-------------
Net expenses 111,426,142
===========================================================================================
NET INVESTMENT INCOME 742,052,321
===========================================================================================
REALIZED AND UNREALIZED GAIN (LOSS)
- -------------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments (including premiums on options exercised) (145,250,408)
Closing of futures contracts (65,155,797)
Closing and expiration of option contracts written--Note 7 269,380
Foreign currency transactions (197,505,612)
-------------
Net realized loss (407,642,437)
- -------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation on:
Investments (99,030,270)
Translation of assets and liabilities denominated in foreign currencies (38,348,034)
-------------
Net change (137,378,304)
-------------
Net realized and unrealized loss (545,020,741)
===========================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 197,031,580
=============
</TABLE>
See accompanying Notes to Financial Statements.
49 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED SEPTEMBER 30, 1999 1998
=======================================================================================================================
OPERATIONS
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Net investment income $ 742,052,321 $ 687,314,690
- -----------------------------------------------------------------------------------------------------------------------
Net realized loss (407,642,437) (48,281,873)
- -----------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation or depreciation (137,378,304) (616,167,861)
----------------------------------------
Net increase in net assets resulting from operations 197,031,580 22,864,956
=======================================================================================================================
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- -----------------------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (332,524,983) (340,411,302)
Class B (303,784,356) (292,816,126)
Class C (51,672,509) (41,285,457)
Class Y (2,954,830) (254,429)
=======================================================================================================================
BENEFICIAL INTEREST TRANSACTIONS
- -----------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from beneficial interest
transactions--Note 2:
Class A (145,466,340) 286,365,951
Class B (434,673,384) 839,747,928
Class C (832,561) 280,612,438
Class Y 43,909,649 7,299,336
=======================================================================================================================
NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Total increase (decrease) (1,030,967,734) 762,123,295
- -----------------------------------------------------------------------------------------------------------------------
Beginning of period 8,649,013,805 7,886,890,510
----------------------------------------
End of period (including undistributed net investment
income of $19,853,049 and $8,969,641, respectively) $ 7,618,046,071 $ 8,649,013,805
========================================
</TABLE>
See accompanying Notes to Financial Statements.
50 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CLASS A YEAR ENDED SEPTEMBER 30, 1999 1998 1997 1996 1995
=====================================================================================================================
PER SHARE OPERATING DATA
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $4.59 $4.95 $4.84 $4.68 $4.75
- ---------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .42 .42 .43 .44 .41
Net realized and unrealized gain (loss) (.29) (.37) .09 .15 (.03)
-------------------------------------------------------------------
Total income (loss) from
investment operations .13 .05 .52 .59 .38
- ---------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.39) (.41) (.41) (.41) (.41)
Distributions from net realized gain -- -- -- -- (.01)
Tax return of capital distribution -- -- -- (.02) (.03)
-------------------------------------------------------------------
Total dividends and distributions
to shareholders (.39) (.41) (.41) (.43) (.45)
- ---------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.33 $4.59 $4.95 $4.84 $4.68
===================================================================
=====================================================================================================================
TOTAL RETURN, AT NET ASSET VALUE(1) 2.91% 0.80% 11.29% 13.06% 8.62%
- ---------------------------------------------------------------------------------------------------------------------
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in millions) $3,578 $3,951 $3,969 $3,526 $3,219
- ---------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $3,798 $4,077 $3,735 $3,340 $3,085
- ---------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(2)
Net investment income 9.34% 8.48% 8.77% 9.09% 9.63%
Expenses 0.94% 0.92%(3) 0.93%(3) 0.97%(3) 0.99%(3)
- ---------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 172% 104% 117% 105% 142%
</TABLE>
1. 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.
2. Annualized for periods of less than one full year.
3. Expense ratio reflects the effect of expenses paid indirectly by the Fund.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended September 30, 1999, were $13,602,460,114 and
$13,814,171,199, respectively.
See accompanying Notes to Financial Statements.
51 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FINANCIAL HIGHLIGHTS Continued
<TABLE>
<CAPTION>
CLASS B YEAR ENDED SEPTEMBER 30, 1999 1998 1997 1996 1995
============================================================================================================================
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $4.61 $4.96 $4.85 $4.69 $4.76
- ----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .39 .37 .39 .40 .37
Net realized and unrealized gain (loss) (.30) (.35) .10 .15 (.03)
------------------------------------------------------------------------
Total income (loss) from
investment operations .09 .02 .49 .55 .34
- ----------------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.36) (.37) (.38) (.37) (.37)
Distributions from net realized gain -- -- -- -- (.01)
Tax return of capital distribution -- -- -- (.02) (.03)
------------------------------------------------------------------------
Total dividends and distributions
to shareholders (.36) (.37) (.38) (.39) (.41)
- ----------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.34 $4.61 $4.96 $4.85 $4.69
============================================================================================================================
============================================================================================================================
TOTAL RETURN, AT NET ASSET VALUE(1) 1.92% 0.26% 10.43% 12.19% 7.79%
- ----------------------------------------------------------------------------------------------------------------------------
============================================================================================================================
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in millions) $3,381 $4,041 $3,501 $2,590 $1,947
- ----------------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $3,838 $3,871 $3,018 $2,250 $1,711
- ----------------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(2)
Net investment income 8.55% 7.73% 7.94% 8.30% 8.83%
Expenses 1.69% 1.67%(3) 1.69%(3) 1.72%(3) 1.75%(3)
- ----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 172% 104% 117% 105% 142%
</TABLE>
1. 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.
2. Annualized for periods of less than one full year.
3. Expense ratio reflects the effect of expenses paid indirectly by the Fund.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended September 30, 1999, were $13,602,460,114 and
$13,814,171,199, respectively.
See accompanying Notes to Financial Statements.
52 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
<TABLE>
<CAPTION>
CLASS C YEAR ENDED SEPTEMBER 30, 1999 1998 1997 1996 1995(5)
======================================================================================================================
PER SHARE OPERATING DATA
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $4.59 $4.95 $4.83 $4.68 $4.68
- ----------------------------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .39 .37 .37 .38 .13
Net realized and unrealized gain (loss) (.30) (.36) .13 .16 .01
----------------------------------------------------------------------
Total income (loss) from
investment operations .09 .01 .50 .54 .14
- ----------------------------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.36) (.37) (.38) (.37) (.12)
Distributions from net realized gain -- -- -- -- (.01)
Tax return of capital distribution -- -- -- (.02) (.01)
----------------------------------------------------------------------
Total dividends and distributions
to shareholders (.36) (.37) (.38) (.39) (.14)
- ----------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.32 $4.59 $4.95 $4.83 $4.68
======================================================================
======================================================================================================================
TOTAL RETURN, AT NET ASSET VALUE(1) 1.92% 0.05% 10.67% 11.96% 3.09%
- ----------------------------------------------------------------------------------------------------------------------
======================================================================================================================
RATIOS/SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------
Net assets, end of period (in millions) $611 $651 $417 $175 $67
- ----------------------------------------------------------------------------------------------------------------------
Average net assets (in millions) $650 $547 $291 $110 $24
- ----------------------------------------------------------------------------------------------------------------------
Ratios to average net assets:(2)
Net investment income 8.58% 7.73% 7.73% 8.18% 8.28%
Expenses 1.69% 1.67%(3) 1.69%(3) 1.74%(3) 2.02%(3)
- ----------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 172% 104% 117% 105% 142%
</TABLE>
1. 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.
2. Annualized for periods of less than one full year.
3. Expense ratio reflects the effect of expenses paid indirectly by the Fund.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended September 30, 1999, were $13,602,460,114 and
$13,814,171,199, respectively.
5. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
See accompanying Notes to Financial Statements.
53 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FINANCIAL HIGHLIGHTS Continued
<TABLE>
<CAPTION>
CLASS Y YEAR ENDED SEPTEMBER 30, 1999 1998(6)
==================================================================================================
PER SHARE OPERATING DATA
- --------------------------------------------------------------------------------------------------
<S> <C> <C>
Net asset value, beginning of period $4.59 $4.90
- --------------------------------------------------------------------------------------------------
Income (loss) from investment operations:
Net investment income .44 .29
Net realized and unrealized gain (loss) (.30) (.32)
-----------------------
Total income (loss) from
investment operations . .14 (.03)
- --------------------------------------------------------------------------------------------------
Dividends and distributions to shareholders:
Dividends from net investment income (.41) (.28)
Distributions from net realized gain -- --
Tax return of capital distribution -- --
-----------------------
Total dividends and distributions
to shareholders (.41) (.28)
- --------------------------------------------------------------------------------------------------
Net asset value, end of period $4.32 $4.59
=======================
==================================================================================================
TOTAL RETURN, AT NET ASSET VALUE(1) 3.07% (0.64)%
- --------------------------------------------------------------------------------------------------
==================================================================================================
RATIOS/SUPPLEMENTAL DATA
- --------------------------------------------------------------------------------------------------
Net assets, end of period (in millions) $49 $7
- --------------------------------------------------------------------------------------------------
Average net assets (in millions) $32 $4
- --------------------------------------------------------------------------------------------------
Ratios to average net assets:(2)
Net investment income 10.16% 8.82%
Expenses 0.57% 0.58%(3)
- --------------------------------------------------------------------------------------------------
Portfolio turnover rate(4) 172% 104%
</TABLE>
1. 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.
2. Annualized for periods of less than one full year.
3. Expense ratio reflects the effect of expenses paid indirectly by the Fund.
4. The lesser of purchases or sales of portfolio securities for a period,
divided by the monthly average of the market value of portfolio securities
owned during the period. Securities with a maturity or expiration date at the
time of acquisition of one year or less are excluded from the calculation.
Purchases and sales of investment securities (excluding short-term securities)
for the period ended September 30, 1999, were $13,602,460,114 and
$13,814,171,199, respectively.
5. For the period from May 26, 1995 (inception of offering) to September 30,
1995.
6. For the period from January 26, 1998 (inception of offering) to
September 30, 1998.
See accompanying Notes to Financial Statements.
54 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS
================================================================================
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Strategic Income Fund (the Fund) is a separate series of Oppenheimer
Strategic Funds Trust, a diversified, open-end management investment company
registered under the Investment Company Act of 1940, as amended. The Fund's
investment objective is to seek high 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 on investments up to $1 million. Class B and Class C shares may be
subject to a contingent deferred sales charge (CDSC). Class Y shares are sold to
certain institutional investors without either a front-end sales charge or a
CDSC. 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
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.
- --------------------------------------------------------------------------------
SECURITIES 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 an
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.
55 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
1. SIGNIFICANT ACCOUNTING POLICIES CONTINUED
STRUCTURED NOTES. The Fund invests in foreign currency-linked structured notes
whose market value and redemption price are linked to foreign currency exchange
rates. The structured notes may be leveraged, which increases the notes'
volatility relative to the face of the security. Fluctuations in value of these
securities are recorded as unrealized gains and losses in the accompanying
financial statements. As of September 30, 1999, the market value of these
securities comprised 4.90% of the Fund's net assets and resulted in realized and
unrealized losses of $58,973,666. The Fund also hedges a portion of the foreign
currency exposure generated by these securities, as discussed in Note 5.
- --------------------------------------------------------------------------------
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. Normally the
settlement date occurs within six months after the transaction date; however,
the Fund may, from time to time, purchase securities whose settlement date
extends beyond six months and possibly as long as two years or more beyond trade
date. During this period, such securities do not earn interest, are subject to
market fluctuation and may increase or decrease in value prior to their
delivery. The Fund maintains segregated assets with a market value equal to or
greater than the amount of its purchase commitments. The purchase of securities
on a when-issued or forward commitment basis may increase the volatility of the
Fund's net asset value to the extent the Fund makes such purchases while
remaining substantially fully invested. As of September 30, 1999, the Fund had
entered into net outstanding when-issued or forward commitments of $367,816,653.
In connection with its ability to purchase securities on a when-issued
or forward commitment basis, the Fund may enter into mortgage dollar-rolls in
which the Fund sells securities for delivery in the current month and
simultaneously contracts with the same counterparty to repurchase similar (same
type, coupon and maturity) but not identical securities on a specified future
date. The Fund records each dollar-roll as a sale and a new purchase
transaction.
- --------------------------------------------------------------------------------
SECURITY CREDIT RISK. The Fund invests in high yield securities, which may be
subject to a greater degree of credit risk, greater market fluctuations and risk
of loss of income and principal, and may be more sensitive to economic
conditions than lower yielding, higher rated fixed income securities. The Fund
may acquire securities in default, and is not obligated to dispose of securities
whose issuers subsequently default. As of September 30, 1999, securities with an
aggregate market value of $40,819,279, representing 0.54% of the Fund's net
assets, were in default.
56 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
- --------------------------------------------------------------------------------
FOREIGN CURRENCY TRANSLATION. The accounting records of the Fund are maintained
in U.S. dollars. Prices of securities denominated in foreign currencies are
translated into U.S. dollars at the closing rates of exchange. Amounts related
to the purchase and sale of foreign securities and investment income are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The effect of changes in foreign currency exchange rates on investments
is separately identified from the fluctuations arising from changes in market
values of securities held and reported with all other foreign currency gains and
losses in the Fund's Statement of Operations.
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS. The Fund requires the custodian to take possession, to
have legally segregated in the Federal Reserve Book Entry System or to have
segregated within the custodian's vault, all securities held as collateral for
repurchase agreements. The market value of the underlying securities is required
to be at least 102% of the resale price at the time of purchase. If the seller
of the agreement defaults and the value of the collateral declines, or if the
seller enters an insolvency proceeding, realization of the value of the
collateral by the Fund may be delayed or limited.
- --------------------------------------------------------------------------------
ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES. Income, expenses (other than
those attributable to a specific class), gains and losses are allocated daily to
each class of shares based upon the relative proportion of net assets
represented by such class. Operating expenses directly attributable to a
specific class are charged against the operations of that class.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to continue to comply with provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income, including any net realized gain on
investments not offset by loss carryovers to shareholders. Therefore, no federal
income or excise tax provision is required. As of September 30, 1999, the Fund
had available for federal tax purposes an unused capital loss carryover of
approximately $131,000,000, which expires between 2004 and 2007.
- --------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to
shareholders, which are determined in accordance with income tax regulations,
are recorded on the ex-dividend date.
57 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
1. SIGNIFICANT ACCOUNTING POLICIES CONTINUED
CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS. Net investment income (loss)
and net realized gain (loss) may differ for financial statement and tax
purposes. The character of distributions made during the year from net
investment income or net realized gains may differ from its ultimate
characterization for federal income tax purposes. Also, due to timing of
dividend distributions, the fiscal year in which amounts are distributed may
differ from the fiscal year in which the income or realized gain was recorded by
the Fund.
The Fund adjusts the classification of distributions to shareholders to
reflect the differences between financial statement amounts and distributions
determined in accordance with income tax regulations. Accordingly, during the
year ended September 30, 1999, amounts have been reclassified to reflect a
decrease in undistributed net investment income of $40,232,235. Accumulated net
realized loss on investments was decreased by the same amount.
- --------------------------------------------------------------------------------
EXPENSE OFFSET ARRANGEMENTS. Expenses paid indirectly represent a reduction of
custodian fees for earnings on cash balances maintained by the Fund.
- --------------------------------------------------------------------------------
OTHER. Investment transactions are accounted for as of 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.
58 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
================================================================================
2. SHARES OF BENEFICIAL INTEREST
The Fund has authorized an unlimited number of no par value shares of beneficial
interest of each class. Transactions in shares of beneficial interest were as
follows:
<TABLE>
<CAPTION>
YEAR ENDED SEPTEMBER 30, 1999 YEAR ENDED SEPTEMBER 30, 1998(1)
SHARES AMOUNT SHARES AMOUNT
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A
Sold 210,357,994 $ 943,636,992 226,516,643 $ 1,102,213,098
Dividends and/or
distributions reinvested 49,300,561 220,865,642 47,696,173 231,314,549
Redeemed (292,545,647) (1,309,968,974) (216,278,686) (1,047,161,696)
---------------------------------------------------------------------------------
Net increase (decrease) (32,887,092) $ (145,466,340) 57,934,130 $ 286,365,951
=================================================================================
- -----------------------------------------------------------------------------------------------------------------
CLASS B
Sold 138,220,468 $ 623,572,586 259,001,856 $ 1,262,505,059
Dividends and/or
distributions reinvested 39,440,826 177,208,187 35,407,600 171,947,410
Redeemed (275,663,259) (1,235,454,157) (122,794,164) (594,704,541)
---------------------------------------------------------------------------------
Net increase (decrease) (98,001,965) $ (434,673,384) 171,615,292 $ 839,747,928
=================================================================================
- -----------------------------------------------------------------------------------------------------------------
CLASS C
Sold 45,604,390 $ 205,068,929 80,636,266 $ 391,857,497
Dividends and/or
distributions reinvested 7,740,800 34,637,921 5,966,978 28,828,647
Redeemed (53,776,931) (240,539,411) (29,095,369) (140,073,706)
---------------------------------------------------------------------------------
Net increase (decrease) (431,741) $ (832,561) 57,507,875 $ 280,612,438
=================================================================================
- -----------------------------------------------------------------------------------------------------------------
CLASS Y
Sold 11,772,141 $ 52,994,761 1,871,062 $ 9,054,516
Dividends and/or
distributions reinvested 655,519 2,909,707 52,161 248,947
Redeemed (2,696,663) (11,994,819) (417,943) (2,004,127)
---------------------------------------------------------------------------------
Net increase 9,730,997 $ 43,909,649 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 SECURITIES
As of September 30, 1999, net unrealized depreciation on securities and options
written of $567,481,841 was composed of gross appreciation of $164,868,735, and
gross depreciation of $732,350,576.
59 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
MANAGEMENT FEES. Management fees paid to the Manager were in accordance with the
investment advisory agreement with the Fund which provides for a fee 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 the average annual net
assets in excess of $1 billion. The Fund's management fee for the year ended
September 30, 1999, was 0.52% of average annual net assets for each class of
shares.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services (OFS), a division of the Manager,
is the transfer and shareholder servicing agent for the Fund and for other
registered investment companies. OFS's total costs of providing such services
are allocated ratably to these companies.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLAN FEES. Under its General Distributor's Agreement
with the Manager, the Distributor acts as the Fund's principal underwriter in
the continuous public offering of the different classes of shares of the Fund.
The compensation paid to (or retained by) the Distributor from the sale of
shares or on the redemption of shares is shown in the table below for the period
indicated.
<TABLE>
<CAPTION>
AGGREGATE CLASS A COMMISSIONS COMMISSIONS COMMISSIONS
FRONT-END FRONT-END ON CLASS A ON CLASS B ON CLASS C
SALES CHARGES SALES CHARGES SHARES SHARES SHARES
ON CLASS A RETAINED BY ADVANCED BY ADVANCED BY ADVANCED BY
YEAR ENDED SHARES DISTRIBUTOR DISTRIBUTOR(1) DISTRIBUTOR(1) DISTRIBUTOR(1)
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
September 30, 1999 $9,786,050 $2,971,417 $547,997 $22,420,501 $1,887,953
</TABLE>
1. The Distributor advances commission payments to dealers for certain sales of
Class A shares and for sales of Class B and Class C shares from its own
resources at the time of sale.
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
CONTINGENT DEFERRED CONTINGENT DEFERRED CONTINGENT DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES
YEAR ENDED RETAINED BY DISTRIBUTOR RETAINED BY DISTRIBUTOR RETAINED BY DISTRIBUTOR
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
September 30, 1999 $52,154 $11,656,313 $346,906
</TABLE>
The Fund has adopted a Service Plan for Class A shares and Distribution
and Service Plans for Class B and Class C shares under Rule 12b-1 of the
Investment Company Act. Under those plans the Fund pays the Distributor for all
or a portion of its costs incurred in connection with the distribution and/or
servicing of the shares of the particular class.
60 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
- --------------------------------------------------------------------------------
CLASS A SERVICE PLAN FEES. Under the Class A service plan, the Distributor
currently uses the fees it receives from the Fund to pay brokers, dealers and
other financial institutions. The Class A service plan permits reimbursements to
the Distributor at a rate of up to 0.25% of average annual net assets of Class A
shares. The Distributor makes payments to plan recipients quarterly at an annual
rate not to exceed 0.25% of the average annual net assets consisting of Class A
shares of the Fund. For the fiscal year ended September 30, 1999, payments under
the Class A Plan totaled $9,366,471, all of which was paid by the Distributor to
recipients. That included $692,780 paid to an affiliate of the Distributor's
parent company. Any unreimbursed expenses the Distributor incurs with respect to
Class A shares in any fiscal year cannot be recovered in subsequent years.
- --------------------------------------------------------------------------------
CLASS B AND CLASS C DISTRIBUTION AND SERVICE PLAN FEES. Under each plan, service
fees and distribution fees are computed on the average of the net asset value of
shares in the respective class, determined as of the close of each regular
business day during the period. The Class B and Class C plans provide for the
Distributor to be compensated at a flat rate, whether the Distributor's
distribution expenses are more or less than the amounts paid by the Fund under
the plan during the period for which the fee is paid.
The Distributor retains the asset-based sales charge on Class B shares.
The Distributor retains the asset-based sales charge on Class C shares during
the first year the shares are outstanding. The asset-based sales charges on
Class B and Class C shares allow investors to buy shares without a front-end
sales charge while allowing the Distributor to compensate dealers that sell
those shares.
The Distributor's actual expenses in selling Class B and Class C shares
may be more than the payments it receives from the contingent deferred sales
charges collected on redeemed shares and from the Fund under the plans. If
either the Class B or the Class C plan is terminated by the Fund, the Board of
Trustees may allow the Fund to continue payments of the asset-based sales charge
to the Distributor for distributing shares before the plan was terminated. The
plans allow for the carry-forward of distribution expenses, to be recovered from
asset-based sales charges in subsequent fiscal periods.
Distribution fees paid to the Distributor for the year ended September 30, 1999,
were as follows:
<TABLE>
<CAPTION>
DISTRIBUTOR'S DISTRIBUTOR'S
AGGREGATE UNREIMBURSED
UNREIMBURSED EXPENSES AS %
TOTAL PAYMENTS AMOUNT RETAINED EXPENSES OF NET ASSETS
UNDER PLAN BY DISTRIBUTOR UNDER PLAN OF CLASS
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Class B Plan $38,357,095 $31,023,782 $127,444,289 3.77%
Class C Plan 6,503,018 3,651,413 10,533,859 1.72
</TABLE>
61 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
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 fluctuations. 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 September 30, 1999, the Fund had outstanding foreign currency contracts as
follows:
<TABLE>
<CAPTION>
CONTRACT
EXPIRATION AMOUNT VALUATION AS OF UNREALIZED UNREALIZED
CONTRACT DESCRIPTION DATES (000S) SEPT. 30, 1999 APPRECIATION DEPRECIATION
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CONTRACTS TO PURCHASE
British Pound Sterling (GBP) 11/22/99 GBP 4,470 $ 7,362,165 $ 102,437 $ --
Euro (EUR) 11/24/99 EUR 34,470 36,872,736 745,749 --
Japanese Yen (JPY) 10/4/99-10/7/99 JPY 8,501,823 79,901,155 4,934,934 13,545
---------------------------
5,783,120 13,545
---------------------------
CONTRACTS TO SELL
Australian Dollar (AUD) 11/17/99 AUD 14,135 9,231,711 -- 56,258
British Pound Sterling (GBP) 10/12/99-12/2/99 GBP 71,050 117,021,939 -- 3,576,486
Euro (EUR) 10/1/99-11/22/99 EUR 6,933 7,415,002 -- 154,113
Hong Kong Dollar (HKD) 1/26/00-1/31/00 HKD 152,947 19,651,307 -- 451,307
Japanese Yen (JPY) 11/24/99 JPY 3,728,275 35,318,290 808,697 --
New Zealand Dollar (NZD) 11/24/99 NZD 42,390 21,915,068 369,355 --
---------------------------
1,178,052 4,238,164
---------------------------
Total Unrealized Appreciation and Depreciation $6,961,172 $4,251,709
===========================
</TABLE>
62 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
================================================================================
6. FUTURES CONTRACTS
The Fund may buy and sell futures contracts in order to gain exposure to or to
seek to protect against changes in interest rates. 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 and the resulting negative effect on the value of fixed rate
portfolio securities. The Fund may also purchase futures contracts to gain
exposure to changes in interest rates as it may be more efficient or cost
effective than actually buying fixed income securities.
Upon entering into a futures contract, the Fund is required to deposit
either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses. The Fund may recognize 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
and/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.
As of September 30, 1999, the Fund had outstanding futures contracts as follows:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF VALUATION AS OF APPRECIATION
CONTRACT DESCRIPTION EXPIRATION DATE CONTRACTS SEPT. 30, 1999 (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CONTRACTS TO PURCHASE
U.S. Treasury Bonds., 10 yr. 12/20/99 1,414 $155,716,750 $ 394,664
-----------
CONTRACTS TO SELL
Canadian Bond, 10 yr. 12/20/99 150 12,547,125 (47,976)
United Kingdom Gilt 12/24/99 233 40,847,814 878,193
U.S. Treasury Bonds, 30 yr. 12/20/99 270 30,763,125 (92,188)
U.S. Treasury Nts., 5 yr. 12/20/99 3,275 355,235,156 (1,126,665)
U.S. Treasury Nts., 2 yr. 12/29/99 50 10,376,563 (10,937)
-----------
(399,573)
-----------
$ (4,909)
===========
</TABLE>
63 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (Continued)
================================================================================
7. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options on portfolio securities in order to produce incremental earnings or
protect against changes in the value of portfolio securities.
The Fund generally purchases put options or writes covered call options
to hedge against adverse movements in the value of portfolio holdings. When an
option is written, the Fund receives a premium and becomes obligated to sell or
purchase the underlying security at a fixed price, upon exercise of the option.
Options are valued daily based upon the last sale price on the
principal exchange on which the option is traded and unrealized appreciation or
depreciation is recorded. The Fund will realize a gain or loss upon the
expiration or closing of the option transaction. When an option is exercised,
the proceeds on sales for a written call option, the purchase cost for a written
put option, or the cost of the security for a purchased put or call option is
adjusted by the amount of premium received or paid.
Securities designated to cover outstanding call 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 note 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 September 30, 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 15,446,138,995 1,913,443 761,720,472 10,576,863
Options closed or expired (15,446,138,995) (1,913,443) (264,161,967) (10,170,501)
Options exercised -- -- (124,330) (4,502,103)
-----------------------------------------------------------------------------
Options outstanding as of
September 30, 1999 -- $ -- 497,640,000 $ 1,385,040
=============================================================================
</TABLE>
64 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
================================================================================
8. ILLIQUID OR RESTRICTED SECURITIES
As of September 30, 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 also be
considered illiquid if it lacks a readily available market or if its valuation
has not changed for a certain period of time. The Fund 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 limitation. The aggregate value of illiquid or restricted
securities subject to this limitation as of September 30, 1999, was
$699,229,852, which represents 9.18% of the Fund's net assets, of which
$18,640,683 is considered restricted. Information concerning restricted
securities is as follows:
<TABLE>
<CAPTION>
VALUATION PER
UNIT AS OF
SECURITY ACQUISITION DATES COST PER UNIT SEPT. 30, 1999
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
BONDS
Capitol Queen & Casino, Inc., 12% First Mtg. Nts.,
Series A, 11/15/00 11/18/93-12/17/93 95.98% 0.00%
- ------------------------------------------------------------------------------------------------------------------
ECM Fund, LPI, 14% Sub. Nts., 6/10/02 4/14/92 100.00 98.63
- ------------------------------------------------------------------------------------------------------------------
Tag Heuer International SA, 12% Sr.
Sub. Nts., 12/15/05 12/8/95-8/13/96 102.00 111.41
- ------------------------------------------------------------------------------------------------------------------
Trans World Airlines Lease, 14%
Equipment Trust, 7/2/08 3/19/98 101.00 100.00
STOCKS AND WARRANTS
Becker Gaming, Inc. Wts., Exp. 11/15/00 11/18/93-12/9/93 $ 2.10 $ 0.00
- ------------------------------------------------------------------------------------------------------------------
CGA Group Ltd. Wts., Exp. 12/31/49 6/17/97 -- 0.30
- ------------------------------------------------------------------------------------------------------------------
CGA Group Ltd., Preferred Stock, Series A 6/17/97-12/29/98 25.00 25.00
- ------------------------------------------------------------------------------------------------------------------
ECM Fund, LPI 4/14/92 1,000.00 876.25
- ------------------------------------------------------------------------------------------------------------------
Omnipoint Corp. Wts., Exp. 11/29/00 11/29/95 -- 55.88
- ------------------------------------------------------------------------------------------------------------------
Real Time Data Wts., Exp. 5/31/04 6/30/99 0.01 0.01
</TABLE>
65 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
NOTES TO FINANCIAL STATEMENTS (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 year ended September
30, 1999.
66 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
INDEPENDENT AUDITORS' REPORT
================================================================================
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF
OPPENHEIMER STRATEGIC INCOME FUND:
We have audited the accompanying statement of assets and liabilities, including
the statement of investments, of Oppenheimer Strategic Income Fund as of
September 30, 1999, the related statement of operations for the year then ended,
the statements of changes in net assets for the years ended September 30, 1999
and 1998 and the financial highlights for the period October 1, 1994, to
September 30, 1999. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
September 30, 1999, by correspondence with the custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of Oppenheimer
Strategic Income Fund as of September 30, 1999, the results of its operations,
the changes in its net assets, and the financial highlights for the respective
stated periods, in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Denver, Colorado
October 21, 1999
67 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
FEDERAL INCOME TAX INFORMATION Unaudited
================================================================================
In early 2000, shareholders will receive information regarding all dividends and
distributions paid to them by the Fund during calendar year 1999. Regulations of
the U.S. Treasury Department require the Fund to report this information to the
Internal Revenue Service.
Dividends paid by the Fund during the fiscal year ended September 30,
1999 which are not designated as capital gain distributions should be multiplied
by 3.20% to arrive at the net amount eligible for the corporate
dividend-received deduction.
The foregoing information is presented to assist shareholders in
reporting distributions received from the Fund to the Internal Revenue Service.
Because of the complexity of the federal regulations which may affect your
individual tax return and the many variations in state and local tax
regulations, we recommend that you consult your tax advisor for specific
guidance.
68 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
OPPENHEIMER STRATEGIC INCOME FUND
A Series of Oppenheimer Strategic Funds Trust
================================================================================
OFFICERS AND TRUSTEES James C. Swain, Trustee and Chairman of the Board
Bridget A. Macaskill, President
William H. Armstrong, Trustee
Robert G. Avis, Trustee
William A. Baker, Trustee
Jon S. Fossel, Trustee
Sam Freedman, Trustee
Raymond J. Kalinowski, Trustee
C. Howard Kast, Trustee
Robert M. Kirchner, Trustee
Ned M. Steel, Trustee
David P. Negri, Vice President
Arthur P. Steinmetz, Vice President
Andrew J. Donohue, Vice President and Secretary
Brian W. Wixted, Treasurer
Robert G. Zack, Assistant Secretary
Robert J. Bishop, Assistant Treasurer
Scott T. Farrar, Assistant Treasurer
================================================================================
INVESTMENT ADVISOR OppenheimerFunds, Inc.
================================================================================
DISTRIBUTOR OppenheimerFunds Distributor, Inc.
================================================================================
TRANSFER AND OppenheimerFunds Services
SHAREHOLDER
SERVICING AGENT
================================================================================
CUSTODIAN OF The Bank of New York
PORTFOLIO SECURITIES
================================================================================
INDEPENDENT AUDITORS Deloitte & Touche LLP
================================================================================
LEGAL COUNSEL Myer, Swanson, Adams & Wolf, P.C.
This is a copy of a report to shareholders of
Oppenheimer Strategic Income Fund. This report
must be preceded or accompanied by a Prospectus
of Oppenheimer Strategic Income Fund. For
material information concerning the Fund, see the
Prospectus.
SHARES OF OPPENHEIMER FUNDS ARE NOT DEPOSITS OR
OBLIGATIONS OF ANY BANK, ARE NOT GUARANTEED BY
ANY BANK, ARE NOT INSURED BY THE FDIC OR ANY
OTHER AGENCY, AND INVOLVE INVESTMENT RISKS,
INCLUDING THE POSSIBLE LOSS OF THE PRINCIPAL
AMOUNT INVESTED.
69 OPPENHEIMER STRATEGIC INCOME FUND
<PAGE>
INFORMATION AND SERVICES
- --------------------------------------------------------------------------------
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designed to make investing simple. Whether it's automatic investment plans,
timely market updates, or immediate account access, you can count on us whenever
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[OPPENHEIMER LOGO]
Distributor, Inc.
RA0230.001.0999 November 29, 1999
