0000950123-12-010645.txt : 20120730 0000950123-12-010645.hdr.sgml : 20120730 20120727194451 ACCESSION NUMBER: 0000950123-12-010645 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20120531 FILED AS OF DATE: 20120730 DATE AS OF CHANGE: 20120727 EFFECTIVENESS DATE: 20120730 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER CAPITAL APPRECIATION FUND CENTRAL INDEX KEY: 0000319767 IRS NUMBER: 133054122 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-03105 FILM NUMBER: 12991859 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY STREET 2: N/A CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER TARGET FUND DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER TARGET FUND INC DATE OF NAME CHANGE: 19870616 0000319767 S000006959 OPPENHEIMER CAPITAL APPRECIATION FUND C000018983 A C000018984 B C000018985 C C000018986 N C000018987 Y C000109448 I N-Q 1 g60503nvq.txt FORM N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-3105 -------- Oppenheimer Capital Appreciation Fund -------------------------------------------------- (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Arthur S. Gabinet OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 --------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: August 31 --------- Date of reporting period: 5/31/2012 --------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Shares Value ------------ ------------- COMMON STOCKS--98.3% CONSUMER DISCRETIONARY--16.2% AUTO COMPONENTS--1.0% Johnson Controls, Inc. 1,489,492 $ 44,893,289 HOTELS, RESTAURANTS & LEISURE--3.3% McDonald's Corp. 1,155,860 103,264,532 Yum! Brands, Inc. 710,130 49,964,747 ------------- 153,229,279 INTERNET & CATALOG RETAIL--1.6% Amazon.com, Inc.(1) 347,980 74,088,422 MEDIA--1.8% Walt Disney Co. (The) 1,826,734 83,500,011 SPECIALTY RETAIL--4.6% Bed Bath & Beyond, Inc.(1) 283,259 20,465,460 O'Reilly Automotive, Inc.(1) 872,273 83,555,031 Tiffany & Co. 680,159 37,674,007 TJX Cos., Inc. (The) 1,686,102 71,591,891 ------------- 213,286,389 TEXTILES, APPAREL & LUXURY GOODS--3.9% Coach, Inc. 929,520 62,696,124 Nike, Inc., Cl. B 694,253 75,104,290 Ralph Lauren Corp. 274,657 40,868,962 ------------- 178,669,376 CONSUMER STAPLES--12.1% BEVERAGES--4.2% Brown-Forman Corp., Cl. B 593,769 51,764,781 Coca-Cola Co. (The) 1,076,353 80,435,860 SABMiller plc 1,669,240 61,813,837 ------------- 194,014,478 FOOD & STAPLES RETAILING--2.0% Costco Wholesale Corp. 1,053,875 91,044,261 FOOD PRODUCTS--2.4% Mead Johnson Nutrition Co., Cl. A 592,770 47,860,250 Nestle SA 1,141,216 64,676,935 ------------- 112,537,185 HOUSEHOLD PRODUCTS--1.4% Colgate-Palmolive Co. 660,750 64,951,725 PERSONAL PRODUCTS--1.0% Estee Lauder Cos., Inc. (The), Cl. A 869,930 47,106,710 TOBACCO--1.1% Philip Morris International, Inc. 586,870 49,596,384 ENERGY--9.8% ENERGY EQUIPMENT & SERVICES--4.7% Cameron International Corp.(1) 1,035,680 47,320,219 Ensco plc, Cl. A 880,060 39,523,495 National Oilwell Varco, Inc. 811,500 54,167,625 Schlumberger Ltd. 1,162,746 73,543,685 ------------- 214,555,024
1 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Shares Value ------------ ------------- COMMON STOCKS CONTINUED OIL, GAS & CONSUMABLE FUELS--5.1% Apache Corp. 229,930 $ 18,711,703 Chevron Corp. 693,690 68,196,664 ConocoPhillips 570,875 29,776,840 Noble Energy, Inc. 497,090 41,984,221 Occidental Petroleum Corp. 885,556 70,198,024 Phillips 66(1) 287,232 8,625,577 ------------- 237,493,029 FINANCIALS--1.8% COMMERCIAL BANKS--0.7% Standard Chartered plc 1,517,745 30,780,004 CONSUMER FINANCE--1.1% American Express Co. 928,193 51,821,015 HEALTH CARE--12.2% BIOTECHNOLOGY--2.5% Alexion Pharmaceuticals, Inc.(1) 332,410 30,106,374 Vertex Pharmaceuticals, Inc.(1) 1,400,960 84,113,638 ------------- 114,220,012 HEALTH CARE EQUIPMENT & SUPPLIES--1.3% Baxter International, Inc. 1,159,182 58,677,793 HEALTH CARE TECHNOLOGY--0.6% Cerner Corp.(1) 331,790 25,866,348 LIFE SCIENCES TOOLS & SERVICES--0.8% Mettler-Toledo International, Inc.(1) 233,416 36,440,906 PHARMACEUTICALS--7.0% Allergan, Inc. 1,021,020 92,147,055 Bristol-Myers Squibb Co. 2,169,743 72,339,232 Novo Nordisk AS, Cl. B 544,281 72,409,588 Perrigo Co. 339,580 35,278,966 Roche Holding AG 338,260 53,041,804 ------------- 325,216,645 INDUSTRIALS--13.9% AEROSPACE & DEFENSE--3.2% Precision Castparts Corp. 374,720 62,282,211 TransDigm Group, Inc.(1) 211,330 25,993,590 United Technologies Corp. 800,884 59,353,513 ------------- 147,629,314 AIR FREIGHT & LOGISTICS--1.3% United Parcel Service, Inc., Cl. B 810,232 60,718,786 INDUSTRIAL CONGLOMERATES--1.6% Danaher Corp. 1,402,404 72,882,936 MACHINERY--5.4% Caterpillar, Inc. 635,586 55,690,045 Cummins, Inc. 385,090 37,334,476 Deere & Co. 599,214 44,263,938 Joy Global, Inc. 765,366 42,753,345 Parker-Hannifin Corp. 852,951 69,720,215 ------------- 249,762,019
2 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Shares Value ------------ -------------- COMMON STOCKS CONTINUED ROAD & RAIL--2.4% Hunt (J.B.) Transport Services, Inc. 408,760 $ 23,352,459 Kansas City Southern, Inc. 190,950 12,598,881 Union Pacific Corp. 670,938 74,742,493 ------------- 110,693,833 INFORMATION TECHNOLOGY--28.3% COMMUNICATIONS EQUIPMENT--4.9% Juniper Networks, Inc.(1) 2,115,999 36,395,183 QUALCOMM, Inc. 3,291,790 188,652,485 ------------- 225,047,668 COMPUTERS & PERIPHERALS--8.9% Apple, Inc.(1) 677,404 391,356,613 SanDisk Corp.(1) 495,440 16,200,888 ------------- 407,557,501 ELECTRONIC EQUIPMENT & INSTRUMENTS--1.0% Corning, Inc. 3,653,663 47,461,082 INTERNET SOFTWARE & SERVICES--4.7% eBay, Inc.(1) 1,998,175 78,308,478 Facebook, Inc., Cl. A(1) 352,540 10,445,760 Google, Inc., Cl. A(1) 220,917 128,321,849 ------------- 217,076,087 IT SERVICES--3.6% International Business Machines Corp. 262,680 50,670,972 Teradata Corp.(1) 867,445 57,667,744 Visa, Inc., Cl. A 480,509 55,354,637 ------------- 163,693,353 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.0% Broadcom Corp., Cl. A 1,692,637 54,756,807 Texas Instruments, Inc. 1,336,740 38,070,355 ------------- 92,827,162 SOFTWARE--3.2% Intuit, Inc. 1,014,196 57,028,241 Oracle Corp. 263,820 6,983,315 Salesforce.com, Inc.(1) 224,310 31,093,852 Vmware, Inc., Cl. A(1) 570,209 53,035,139 ------------- 148,140,547 MATERIALS--4.0% CHEMICALS--4.0% Ecolab, Inc. 909,193 57,470,090 Monsanto Co. 606,980 46,858,856 Praxair, Inc. 730,715 77,631,162 ------------- 181,960,108 ------------- Total Common Stocks (Cost $3,157,414,878) 4,527,438,681
3 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Shares Value ------------ -------------- INVESTMENT COMPANY--1.4% Oppenheimer Institutional Money Market Fund, Cl. E, 0.21% (2,3) (Cost $66,088,827) 66,088,827 $ 66,088,827 TOTAL INVESTMENTS, AT VALUE (COST $3,223,503,705) 99.7% 4,593,527,508 Other Assets Net of Liabilities 0.3 13,323,410 ------------ --------------- Net Assets 100.0% $ 4,606,850,918 ============ ===============
Footnotes to Statement of Investments 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended May 31, 2012, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2011 ADDITIONS REDUCTIONS MAY 31, 2012 --------------- ----------- ----------- ------------ Oppenheimer Institutional Money Market Fund, Cl. E 50,878,734 510,706,903 495,496,810 66,088,827
VALUE INCOME ------------ --------- Oppenheimer Institutional Money Market Fund, Cl. E $ 66,088,827 $ 81,517
3. Rate shown is the 7-day yield as of May 31, 2012. NOTES TO STATEMENT OF INVESTMENTS INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. SECURITIES VALUATION The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the "Exchange"), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. 4 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited) Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS -------------------------------------------- ----------------------------------------------------------------------- Corporate debt, government debt, municipal, Reported trade data, broker-dealer price quotations, benchmark yields, mortgage-backed and asset-backed securities issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by 5 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited) the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of May 31, 2012 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT SIGNIFICANT UNADJUSTED QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS VALUE ----------------- ----------------- ------------------- --------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 747,666,766 $ -- $ -- $ 747,666,766 Consumer Staples 497,436,906 61,813,837 -- 559,250,743 Energy 452,048,053 -- -- 452,048,053 Financials 51,821,015 30,780,004 -- 82,601,019 Health Care 507,379,900 53,041,804 -- 560,421,704 Industrials 641,686,888 -- -- 641,686,888 Information Technology 1,301,803,400 -- -- 1,301,803,400 Materials 181,960,108 -- -- 181,960,108 Investment Company 66,088,827 -- -- 66,088,827 --------------- ----------------- ------------------- --------------- Total Assets $ 4,447,891,863 $ 145,635,645 $ -- $ 4,593,527,508 =============== ================= =================== ===============
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. 6 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited) The table below shows the significant transfers between Level 1 and Level 2. The Fund's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
TRANSFERS OUT OF LEVEL 1* TRANSFERS INTO LEVEL 2* ------------------------- ----------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Staples $ (53,588,942) $ 53,588,942 Financials (22,709,689) 22,709,689 Health Care (66,565,022) 66,565,022 -------------------- ------------------ Total Assets $ (142,863,653) $ 142,863,653 ==================== ==================
* Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund's assets were valued but after the close of the securities' respective exchanges. There have been no significant changes to the fair valuation methodologies of the Fund during the period. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. 7 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited) The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into foreign currency exchange contracts ("forward contracts") for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Statement of Investments. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. During the period ended May 31, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $429,985 and $2,620,593, respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. 8 | Oppenheimer Capital Appreciation Fund Oppenheimer Capital Appreciation Fund STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited) As of May 31, 2012, the Fund had no outstanding forward contracts. FEDERAL TAXES. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of May 31, 2012 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $ 3,244,674,213 ================ Gross unrealized appreciation $ 1,458,470,887 Gross unrealized depreciation (109,617,592) ---------------- Net unrealized appreciation $ 1,348,853,295 ================
9 | Oppenheimer Capital Appreciation Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 5/31/2012, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Capital Appreciation Fund By: /s/ William F. Glavin, Jr. -------------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 7/10/2012 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ William F. Glavin, Jr. -------------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 7/10/2012 By: /s/ Brian W. Wixted -------------------------------------- Brian W. Wixted Principal Financial Officer Date: 7/10/2012 EX-99.CERT 2 g60503exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, William F. Glavin, Jr., certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Appreciation Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ William F. Glavin, Jr. ---------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 7/10/2012 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Appreciation Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: 7/10/2012