N-Q 1 rq300_18648nq.txt RQ300_18648NQ.TXT 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 811-1512 -------- OPPENHEIMER CAPITAL INCOME FUND ------------------------------- (Exact name of registrant as specified in charter) 6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. 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: NOVEMBER 30, 2005 ----------------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
SHARES VALUE ------------------------------------------------------------------------------------- COMMON STOCKS--49.1% ------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--4.5% ------------------------------------------------------------------------------------- MEDIA--1.3% Cablevision Systems New York Group, Cl. A 1,2 375,000 $ 8,872,500 ------------------------------------------------------------------------------------- Clear Channel Communications, Inc. 700,000 22,792,000 ------------------------------------------------------------------------------------- News Corp., Inc., Cl. A 500,000 7,405,000 ------------------------------------------------------------------------------------- Regal Entertainment Group 142,500 2,882,775 -------------- 41,952,275 ------------------------------------------------------------------------------------- SPECIALTY RETAIL--3.2% CSK Auto Corp. 1,3 6,462,200 100,164,100 ------------------------------------------------------------------------------------- CONSUMER STAPLES--7.5% ------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.8% Wal-Mart Stores, Inc. 510,600 24,794,736 ------------------------------------------------------------------------------------- FOOD PRODUCTS--0.4% B&G Foods, Inc. 875,000 12,731,250 ------------------------------------------------------------------------------------- TOBACCO--6.3% Altria Group, Inc. 2,175,000 158,318,250 ------------------------------------------------------------------------------------- Loews Corp./Carolina Group 1,000,000 40,250,000 -------------- 198,568,250 ------------------------------------------------------------------------------------- ENERGY--12.6% ------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.4% GlobalSantaFe Corp. 2 275,000 12,474,000 ------------------------------------------------------------------------------------- OIL & GAS--12.2% BP plc, ADR 500,000 32,920,000 ------------------------------------------------------------------------------------- Enbridge Energy Management LLC 3 714,999 33,747,953 ------------------------------------------------------------------------------------- Kinder Morgan Management LLC 3,515,875 168,410,413 ------------------------------------------------------------------------------------- Kinder Morgan, Inc. 1,475,000 133,635,000 ------------------------------------------------------------------------------------- Occidental Petroleum Corp. 100,000 7,930,000 ------------------------------------------------------------------------------------- Tortoise Energy Capital Corp. 305,000 6,737,450 -------------- 383,380,816 ------------------------------------------------------------------------------------- FINANCIALS--15.6% ------------------------------------------------------------------------------------- CAPITAL MARKETS--0.1% UBS AG 40,000 3,676,800 ------------------------------------------------------------------------------------- COMMERCIAL BANKS--2.3% U.S. Bancorp 2 1,000,000 30,280,000 ------------------------------------------------------------------------------------- Washington Mutual, Inc. 2 1,050,000 43,249,500 -------------- 73,529,500 ------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--6.8% Citigroup, Inc. 2,412,800 117,141,440 ------------------------------------------------------------------------------------- JPMorgan Chase & Co. 425,000 16,256,250 ------------------------------------------------------------------------------------- MBNA Corp. 3,000,000 80,310,000 -------------- 213,707,690 ------------------------------------------------------------------------------------- INSURANCE--5.3% ACE Ltd. 2 750,000 41,625,000 ------------------------------------------------------------------------------------- Everest Re Group Ltd. 2 1,100,000 115,632,000 ------------------------------------------------------------------------------------- XL Capital Ltd., Cl. A 2 123,100 8,171,378 -------------- 165,428,378
1 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
SHARES VALUE ------------------------------------------------------------------------------------- COMMON STOCKS CONTINUED ------------------------------------------------------------------------------------- REAL ESTATE--0.4% Anthracite Capital, Inc. 1,000,000 $ 10,840,000 ------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.7% PMI Group, Inc. (The) 500,000 20,300,000 ------------------------------------------------------------------------------------- HEALTH CARE--1.4% ------------------------------------------------------------------------------------- PHARMACEUTICALS--1.4% Abbott Laboratories 350,600 13,221,126 ------------------------------------------------------------------------------------- Merck & Co., Inc. 2 78,500 2,307,900 ------------------------------------------------------------------------------------- Pfizer, Inc. 1,000,000 21,200,000 ------------------------------------------------------------------------------------- Sanofi-Aventis SA, ADR 132,500 5,327,825 -------------- 42,056,851 ------------------------------------------------------------------------------------- INDUSTRIALS--4.2% ------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.6% Honeywell International, Inc. 2 100,000 3,654,000 ------------------------------------------------------------------------------------- Lockheed Martin Corp. 50,000 3,030,000 ------------------------------------------------------------------------------------- Raytheon Co. 1,155,000 44,375,100 -------------- 51,059,100 ------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.1% Masco Corp. 100,000 2,977,000 ------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.3% Cendant Corp. 2,260,200 40,163,754 ------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.2% General Electric Co. 500,000 17,860,000 ------------------------------------------------------------------------------------- Tyco International Ltd. 2 625,000 17,825,000 -------------- 35,685,000 ------------------------------------------------------------------------------------- MARINE--0.0% Seaspan Corp. 25,000 484,500 ------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.4% ------------------------------------------------------------------------------------- SOFTWARE--0.4% Microsoft Corp. 475,000 13,162,250 ------------------------------------------------------------------------------------- MATERIALS--0.2% ------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.2% Packaging Corp. of America 320,000 7,420,800 ------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.0% ------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.9% AT&T, Inc. 325,000 8,095,750 ------------------------------------------------------------------------------------- Citizens Communications Co. 1,050,000 13,702,500 ------------------------------------------------------------------------------------- Consolidated Communications Holdings, Inc. 1,055,000 13,746,650 ------------------------------------------------------------------------------------- FairPoint Communications, Inc. 1,005,000 12,009,750 ------------------------------------------------------------------------------------- PanAmSat Holding Corp. 375,000 9,093,750 ------------------------------------------------------------------------------------- Verizon Communications, Inc. 100,000 3,198,000 -------------- 59,846,400 ------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% New Skies Satellites Holdings Ltd. 117,500 2,808,250 ------------------------------------------------------------------------------------- UTILITIES--0.7% ------------------------------------------------------------------------------------- GAS UTILITIES--0.7% Sempra Energy 500,000 21,975,000 -------------- Total Common Stocks (Cost $1,063,605,836) 1,539,186,700
2 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED -------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------ PREFERRED STOCKS--7.1% ------------------------------------------------------------------------------------------------------ AES Trust III, 6.75% Cv. 164,200 $ 7,520,360 ------------------------------------------------------------------------------------------------------ Amerada Hess Corp. 7% Cv., Non-Vtg. 30,000 3,121,500 ------------------------------------------------------------------------------------------------------ CenterPoint Energy, Inc., Cv. 125,000 4,313,875 ------------------------------------------------------------------------------------------------------ Citigroup Funding, Inc., Cv., Series GNW 1 400,000 13,299,200 ------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. (New York), 2.32% Cv. Equity Linked Nts. (redemption linked to Comcast Corp., Cl. A common stock) 1,330,200 34,678,314 ------------------------------------------------------------------------------------------------------ El Paso Corp., 4.99% Cv. 4 3,250 3,360,094 ------------------------------------------------------------------------------------------------------ Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 400,000 18,365,000 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 5.375% Cv., Non-Vtg. 150 13,846,463 ------------------------------------------------------------------------------------------------------ General Motors Corp., 4.50% Cv. Sr. Debs., Series A 1,000,000 21,700,000 ------------------------------------------------------------------------------------------------------ Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 17,000 16,428,375 ------------------------------------------------------------------------------------------------------ Travelers Property Casualty Corp., 4.50% Cv. Jr. Unsec. Sub. Nts. 1,875,000 47,362,500 ------------------------------------------------------------------------------------------------------ United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 575,000 23,646,875 ------------------------------------------------------------------------------------------------------ Williams Cos., Inc. (The), 5.50% Cv. Jr. Unsec. Sub. Debs. 65,000 6,792,500 ------------------------------------------------------------------------------------------------------ Xerox Corp., 6.25% Cv. 37,500 4,526,250 ------------------------------------------------------------------------------------------------------ XL Capital Ltd., 6.50% Cv. 200,000 4,414,000 -------------- Total Preferred Stocks (Cost $221,078,202) 223,375,306
PRINCIPAL AMOUNT ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--13.3% ------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2004-6, Cl. A3, 4.512%, 12/10/42 $ 2,310,000 2,230,398 Series 2005-2, Cl. A4, 4.783%, 7/10/43 5 3,240,000 3,168,916 Series 2005-3, Cl. A2, 4.501%, 7/10/43 2,670,000 2,600,855 ------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,678,489 2,678,584 ------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,049,566 2,079,029 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 5 235,136 235,065 ------------------------------------------------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 1,230,000 1,212,569 ------------------------------------------------------------------------------------------------------ Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-CD1, Cl. A4, 5.225%, 9/15/20 3,030,000 3,034,266 ------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, CMO: Series 2004-J9, Cl. 1A1, 4.371%, 10/25/34 5 776,050 776,639 Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 4,998,804 5,081,599 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 4,254,660 4,296,589 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 9,221,124 8,935,204 5%, 12/1/35 6 8,432,000 8,110,530 6%, 5/1/18 5,081,963 5,184,957 6%, 10/1/34 7 6,969,703 7,025,831 6.50%, 4/1/18-4/1/34 2,682,813 2,758,706 7%, 9/1/23-3/1/35 13,417,545 13,986,898 8%, 4/1/16 737,873 786,371 9%, 8/1/22-5/1/25 208,937 226,545
3 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1669, Cl. G, 6.50%, 2/15/23 $ 54,927 $ 54,862 Series 2034, Cl. Z, 6.50%, 2/15/28 839,760 865,805 Series 2053, Cl. Z, 6.50%, 4/15/28 927,255 955,371 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,153,362 1,183,486 Series 2075, Cl. D, 6.50%, 8/15/28 7 2,932,058 3,018,810 Series 2080, Cl. Z, 6.50%, 8/15/28 721,254 738,615 Series 2326, Cl. ZP, 6.50%, 6/15/31 946,761 974,896 Series 2387, Cl. PD, 6%, 4/15/30 925,108 935,043 Series 2498, Cl. PC, 5.50%, 10/15/14 16,911 16,896 Series 2500, Cl. FD, 4.615%, 3/15/32 5 443,191 446,696 Series 2526, Cl. FE, 4.515%, 6/15/29 5 558,630 560,857 Series 2551, Cl. FD, 4.515%, 1/15/33 5 432,875 437,163 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 12.845%, 6/1/26 8 761,712 171,878 Series 183, Cl. IO, 10.79%, 4/1/27 8 1,220,288 268,245 Series 184, Cl. IO, 16.05%, 12/1/26 8 1,281,445 273,865 Series 192, Cl. IO, 15.677%, 2/1/28 8 382,169 82,373 Series 200, Cl. IO, 14.366%, 1/1/29 8 455,395 109,538 Series 2003-118, Cl. S, 23.355%, 12/25/33 8 6,043,754 653,651 Series 2130, Cl. SC, 9.297%, 3/15/29 8 912,070 66,876 Series 2796, Cl. SD, 14.293%, 7/15/26 8 1,360,687 106,664 Series 2920, Cl. S, 14.014%, 1/15/35 8 7,927,765 370,805 Series 3000, Cl. SE, 25.555%, 7/15/25 8 7,755,163 282,938 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.612%, 6/1/26 9 362,559 301,790 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 4.50%, 12/1/20 6 9,371,000 9,060,586 5%, 6/1/18-7/1/18 7,842,509 7,743,462 5%, 12/1/34 6 47,451,000 45,656,783 5.50%, 1/1/33-4/1/34 29,771,977 29,411,016 5.50%, 12/1/20-12/1/35 6 74,111,000 73,131,434 6%, 7/1/17-1/1/33 22,903,489 23,282,088 6%, 12/1/35 6 3,692,000 3,713,923 6.50%, 10/1/30-11/1/31 4,903,329 5,043,120 6.50%, 12/1/35 6 27,688,000 28,354,229 7%, 11/1/17 3,382,851 3,521,197 7.50%, 8/1/29-3/1/30 2,800,483 2,946,290 8.50%, 7/1/32 84,722 91,758 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 2,669,740 2,763,750 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 2,295,616 2,369,906 Trust 1998-63, Cl. PG, 6%, 3/25/27 94,884 94,686 Trust 2001-50, Cl. NE, 6%, 8/25/30 528,459 532,141 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 3,079,405 3,178,086
4 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED ------------------------------------------------------------------------------------------------------ Trust 2001-70, Cl. LR, 6%, 9/25/30 $ 569,945 $ 576,203 Trust 2001-72, Cl. NH, 6%, 4/25/30 351,414 354,254 Trust 2001-74, Cl. PD, 6%, 5/25/30 142,018 142,529 Trust 2002-77, Cl. WF, 4.54%, 12/18/32 5 673,565 678,860 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,899,804 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,921,000 1,936,905 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,502,853 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2002-47, Cl. NS, 10.922%, 4/25/32 8 1,634,570 131,453 Trust 2002-51, Cl. S,11.104%, 8/25/32 8 1,500,759 127,824 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 11.914%, 6/1/23 8 2,646,421 633,698 Trust 240, Cl. 2, 15.701%, 9/1/23 8 4,010,576 879,742 Trust 252, Cl. 2, 5.577%, 11/1/23 8 2,000,338 462,928 Trust 273, Cl. 2, 14.089%, 8/1/26 8 563,192 121,391 Trust 303, Cl. IO, 12.946%, 11/1/29 8 757,486 170,532 Trust 308, Cl. 2, 16.319%, 9/1/30 8 2,251,763 482,549 Trust 321, Cl. 2, 8.578%, 3/1/32 8 8,261,343 1,984,753 Trust 322, Cl. 2, 16.773%, 4/1/32 8 2,991,562 686,256 Trust 329, Cl. 2, 11.078%, 1/1/33 8 3,825,043 873,968 Trust 331, Cl. 9, (12.424)%, 2/1/33 8 2,311,699 543,325 Trust 333, Cl. 2, 11.938%, 3/1/33 8 7,203,919 1,713,255 Trust 334, Cl. 17, (3.853)%, 2/1/33 8 1,355,869 322,025 Trust 346, Cl. 2, 11.534%, 12/1/33 8 7,459,016 1,761,238 Trust 350, Cl. 2, 13.404%, 2/1/34 8 7,854,374 1,858,446 Trust 352, Cl. 2, 9.866%, 7/1/34 8 9,639,433 2,355,691 Trust 2001-65, Cl. S, 23.658%, 11/25/31 8 3,561,102 325,496 Trust 2001-81, Cl. S, 13.205%, 1/25/32 8 846,947 76,054 Trust 2002-9, Cl. MS, 11.624%, 3/25/32 8 1,017,864 82,616 Trust 2002-52, Cl. SD, 5.67%, 9/25/32 8 1,824,219 151,376 Trust 2002-75, Cl. SA, 24.381%, 11/25/32 8 4,136,047 333,516 Trust 2002-77, Cl. SH, 14.857%, 12/18/32 8 1,062,768 102,315 Trust 2004-54, Cl. DS, 8.312%, 11/25/30 8 1,732,694 99,114 Trust 2005-6, Cl. SE, 15.649%, 2/25/35 8 5,534,141 290,074 Trust 2005-19, Cl. SA, 13.476%, 3/25/35 8 20,640,741 1,088,413 Trust 2005-40, Cl. SA, 14.852%, 5/25/35 8 4,883,142 248,829 Trust 2005-71, Cl. SA, 23.862%, 8/25/25 8 4,997,321 273,509 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 352, Cl. 1, 4.163%, 7/1/34 9 18,785,194 14,025,511 Trust 1993-184, Cl. M, 6.028%, 9/25/23 9 889,344 739,073 ------------------------------------------------------------------------------------------------------ First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.688%, 4/29/39 4,5 1,970,000 1,974,925
5 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED ------------------------------------------------------------------------------------------------------ First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 $ 1,578,225 $ 1,624,927 ------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,688,238 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,576,289 Series 2005-CA, Cl. A3, 4.578%, 6/10/48 1,000,000 970,017 ------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,043,834 1,068,836 Series 2004-C3, Cl. A4, 4.547%, 12/10/41 1,480,000 1,428,547 ------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., 8.50%, 8/15/17-12/15/17 268,582 289,907 ------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 4.791%, 1/16/27 8 1,837,717 125,838 Series 2002-15, Cl. SM, 1.835%, 2/16/32 8 1,729,841 95,104 Series 2002-76, Cl. SY, 5.702%, 12/16/26 8 4,050,252 240,683 Series 2004-11, Cl. SM, 0.712%, 1/17/30 8 1,489,374 66,990 ------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,935,344 Series 2005-G G5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,747,582 ------------------------------------------------------------------------------------------------------ GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates: Series 2004-C1, Cl. A1, 3.659%, 10/10/28 1,651,779 1,598,764 Series 2004-GG2, Cl. A3, 4.602%, 8/10/38 1,080,000 1,065,222 ------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 625,855 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,245,176 ------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/40 1,900,000 1,883,855 ------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 3,265,429 3,274,074 Series 2004-9, Cl. A3, 4.70%, 8/25/34 5 2,470,000 2,458,743 ------------------------------------------------------------------------------------------------------ Mastr Seasoned Securities Trust, Mtg. Pass-Through Certificates, Series 2004-2, Cl. A1, 6.50%, 8/25/32 4,817,580 4,858,228 ------------------------------------------------------------------------------------------------------ Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,950,000 2,018,280 ------------------------------------------------------------------------------------------------------ Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 2,380,000 2,600,061 ------------------------------------------------------------------------------------------------------ Residential Accredit Loans, Inc., Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,710,935 1,713,727 ------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,590,000 3,544,588 Series 2005-C20, Cl. A5, 5.087%, 7/15/42 5 1,910,000 1,891,529 ------------------------------------------------------------------------------------------------------ Washington Mutual Mortgage Securities Corp., CMO Pass-Through Certificates, Series 2005-AR5, Cl. A1, 4.682%, 5/25/35 5 2,994,613 2,992,924 ------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities Trust, CMO: Series 2004-DD, Cl. 2A1, 4.524%, 1/25/35 5 2,113,662 2,107,388
6 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED ------------------------------------------------------------------------------------------------------ Series 2004-N, Cl. A10, 3.803%, 8/25/34 5 $ 138,131 $ 138,167 -------------- Total Mortgage-Backed Obligations (Cost $421,935,410) 419,067,315 ------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--2.4% ------------------------------------------------------------------------------------------------------ Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2002-HE7, Cl. A2B, 4.35%, 11/25/35 5 1,310,000 1,310,000 ------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 4.219%, 4/20/08 5 900,000 900,624 ------------------------------------------------------------------------------------------------------ BMW Vehicle Owner Trust, Automobile Loan Certificates, Series 2005-A, Cl. A2, 3.66%, 12/26/07 3,074,790 3,065,570 ------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,990,000 2,928,846 ------------------------------------------------------------------------------------------------------ Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-D, Cl. AF1, 2.98%, 4/25/20 344,239 342,617 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 610,643 606,825 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 1,613,159 1,604,777 Series 2005-D, Cl. AF1, 5.04%, 10/25/35 2,941,587 2,935,041 Series 2005-D, Cl. AV2, 4.461%, 10/25/35 5 2,550,000 2,551,395 ------------------------------------------------------------------------------------------------------ Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations, Series 2004-1, Cl. 1A2, 2.427%, 6/25/19 370,451 369,505 ------------------------------------------------------------------------------------------------------ Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A2, 3.72%, 12/15/07 2,580,000 2,567,978 ------------------------------------------------------------------------------------------------------ CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 1,361,893 1,357,142 ------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 419,447 ------------------------------------------------------------------------------------------------------ Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 4 2,890,000 2,887,127 ------------------------------------------------------------------------------------------------------ Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates: Series 2002-4, Cl. A1, 4.561%, 2/25/33 5 44,821 45,280 Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 5 1,924,743 1,914,927 ------------------------------------------------------------------------------------------------------ DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2002-A, Cl. A4, 4.49%, 10/6/08 514,546 514,864 Series 2004-B, Cl. A2, 2.48%, 2/8/07 297,547 297,514 Series 2004-C, Cl. A2, 2.62%, 6/8/07 1,743,793 1,738,547 Series 2005-A, Cl. A2, 3.17%, 9/8/07 2,367,892 2,360,422 Series 2005-B, Cl. A2, 3.75%, 12/8/07 2,707,067 2,700,698 ------------------------------------------------------------------------------------------------------ Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 5 2,710,000 2,698,616 ------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity Receivables, Series 2005-FF10, Cl. A3, 4.401%, 11/25/35 5 3,800,000 3,802,079 ------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2004-A, Cl. A2, 2.13%, 10/15/06 327,177 327,037 Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,200,000 2,171,860 Series 2005-B, Cl. A2, 3.78%, 9/15/07 2,250,801 2,246,235 ------------------------------------------------------------------------------------------------------ Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 89,433 89,373
7 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES CONTINUED ------------------------------------------------------------------------------------------------------ Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-1, Cl. A2, 3.21%, 5/21/07 $ 1,054,701 $ 1,051,613 ------------------------------------------------------------------------------------------------------ Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 4.42%, 1/20/35 5 2,090,000 2,091,009 ------------------------------------------------------------------------------------------------------ Lehman XS Trust, Home Equity Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 3,145,041 3,147,528 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 2,080,058 2,084,092 ------------------------------------------------------------------------------------------------------ MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 5.47%, 3/15/16 5 4,080,000 4,330,734 ------------------------------------------------------------------------------------------------------ Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A, Cl. A2, 2.55%, 1/15/07 444,282 443,766 ------------------------------------------------------------------------------------------------------ Onyx Acceptance Owner Trust, Automobile Receivable Obligations, Series 2005-B, Cl. A2, 4.03%, 4/15/08 1,990,000 1,982,991 ------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 5 800,000 789,058 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 5 600,000 591,041 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 5 1,040,000 1,029,148 ------------------------------------------------------------------------------------------------------ Residential Asset Mortgage Products, Inc., Home Equity Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI3, 4.45%, 7/25/28 1,910,000 1,894,634 ------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., CMO Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 3,921,169 3,920,708 ------------------------------------------------------------------------------------------------------ USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2004-2, Cl. A2, 2.41%, 2/15/07 312,022 311,832 Series 2004-3, Cl. A2, 2.79%, 6/15/07 868,333 866,448 ------------------------------------------------------------------------------------------------------ Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities: Series 2004-A, Cl. A2, 2.47%, 1/22/07 918,842 916,773 Series 2005-A, Cl. A2, 3.52%, 4/20/07 2,580,000 2,571,817 ------------------------------------------------------------------------------------------------------ Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 482,951 481,944 ------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 5 1,513,353 1,501,733 ------------------------------------------------------------------------------------------------------ Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2004-1, Cl. A2A, 2.59%, 5/15/07 1,174,726 1,169,982 -------------- Total Asset-Backed Securities (Cost $76,317,083) 75,931,197 ------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--1.9% ------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.69%, 10/5/07 10 2,255,000 2,071,317 ------------------------------------------------------------------------------------------------------ Federal Home Loan Bank Unsec. Bonds, 3.50%, 11/15/07 2,100,000 2,053,244 ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts.: 3.625%, 9/15/06 1,890,000 1,875,717 4.125%, 7/12/10 2,560,000 2,493,440 6.625%, 9/15/09 2,340,000 2,492,376 ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 4%, 2/28/07 4,755,000 4,717,022 4.25%, 7/15/07 7 2,990,000 2,970,580 4.75%, 12/15/10 3,405,000 3,398,091 6%, 5/15/11 2,855,000 3,016,447 6.625%, 9/15/09 7 3,555,000 3,787,764
8 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS CONTINUED ------------------------------------------------------------------------------------------------------ 7.25%, 5/15/30 $ 1,625,000 $ 2,109,702 ------------------------------------------------------------------------------------------------------ Tennessee Valley Authority Bonds: 4.65%, 6/15/35 2,985,000 2,773,808 5.375%, 11/13/08 238,000 242,511 Series A, 6.79%, 5/23/12 22,112,000 24,479,974 ------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds, 5.375%, 2/15/31 72,000 79,133 -------------- Total U.S. Government Obligations (Cost $59,827,446) 58,561,126 ------------------------------------------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS--0.1% ------------------------------------------------------------------------------------------------------ United Mexican States Nts., 7.50%, 1/14/12 (Cost $2,918,162) 2,720,000 3,032,800 ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES--10.6% ------------------------------------------------------------------------------------------------------ Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 11 3,060,000 3,079,244 ------------------------------------------------------------------------------------------------------ Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 1,815,000 1,638,776 ------------------------------------------------------------------------------------------------------ Allied Waste North America, Inc.: 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,787,500 8.50% Sr. Sub. Nts., 12/1/08 2,500,000 2,643,750 8.875% Sr. Nts., Series B, 4/1/08 1,420,000 1,501,650 ------------------------------------------------------------------------------------------------------ Allstate Financial Global Funding II, 4.25% Nts., 9/10/08 4 625,000 614,060 ------------------------------------------------------------------------------------------------------ AOL Time Warner, Inc., 7.70% Debs., 5/1/32 1,755,000 2,017,278 ------------------------------------------------------------------------------------------------------ Archer Daniels Midland Co., 5.375% Nts., 9/15/35 1,585,000 1,495,243 ------------------------------------------------------------------------------------------------------ ASIF Global Financing XXIII, 3.90% Nts., 10/22/08 4 1,865,000 1,812,347 ------------------------------------------------------------------------------------------------------ AT&T Wireless Services, Inc.: 7.50% Sr. Unsec. Nts., 5/1/07 11 770,000 797,734 8.125% Sr. Unsec. Nts., 5/1/12 2,115,000 2,437,906 ------------------------------------------------------------------------------------------------------ Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 40,000 39,388 ------------------------------------------------------------------------------------------------------ Bank Plus Corp., 12% Sr. Nts., 7/18/07 12 2,500,000 2,762,500 ------------------------------------------------------------------------------------------------------ Bankers Trust Corp., 7.375% Unsec. Sub. Nts., 5/1/08 250,000 263,631 ------------------------------------------------------------------------------------------------------ Barclays Bank plc, 6.278% Perpetual Bonds 13 2,460,000 2,413,580 ------------------------------------------------------------------------------------------------------ Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 1,515,000 1,424,100 8.375% Sr. Nts., 4/15/12 800,000 828,000 ------------------------------------------------------------------------------------------------------ British Telecommunications plc, 8.875% Bonds, 12/15/30 1,335,000 1,767,771 ------------------------------------------------------------------------------------------------------ Calpine Canada Energy Finance ULC, 8.50% Sr. Unsec. Nts., 5/1/08 22,750,000 6,483,750 ------------------------------------------------------------------------------------------------------ Canadian National Railway Co., 4.25% Nts., 8/1/09 433,000 422,939 ------------------------------------------------------------------------------------------------------ CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 1,655,000 1,774,117 ------------------------------------------------------------------------------------------------------ Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,810,000 2,990,169 ------------------------------------------------------------------------------------------------------ Charter Communications Holdings I LLC, 11% Sr. Sec. Nts., 10/1/15 4 57,500,000 49,593,750 ------------------------------------------------------------------------------------------------------ Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: 0%/13.50% Sr. Sub. Disc. Nts., 1/15/11 14 4,250,000 2,953,750 9.92% Sr. Unsec. Disc. Nts., 4/1/11 24,629,000 14,407,965 ------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 5,657,010 ------------------------------------------------------------------------------------------------------ CIGNA Corp.: 7% Sr. Unsec. Nts., 1/15/11 1,030,000 1,109,335 7.40% Unsec. Nts., 5/15/07 2,083,000 2,151,168 ------------------------------------------------------------------------------------------------------ CIT Group, Inc.: 4.75% Sr. Nts., 8/15/08 395,000 393,315 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,260,000 1,429,057 ------------------------------------------------------------------------------------------------------ Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 1,205,000 1,332,637 ------------------------------------------------------------------------------------------------------ ConAgra Foods, Inc., 6% Nts., 9/15/06 1,585,000 1,598,189
9 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ------------------------------------------------------------------------------------------------------ Constellation Energy Group, Inc., 7% Unsec. Nts., 4/1/12 $ 2,395,000 $ 2,590,645 ------------------------------------------------------------------------------------------------------ Countrywide Financial Corp., 4.50% Nts., Series A, 6/15/10 1,585,000 1,534,684 ------------------------------------------------------------------------------------------------------ Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 3,160,000 3,055,376 ------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. (USA), 5.50% Nts., 8/15/13 3,105,000 3,155,053 ------------------------------------------------------------------------------------------------------ CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 2,865,000 ------------------------------------------------------------------------------------------------------ CSX Corp., 6.25% Unsec. Nts., 10/15/08 1,765,000 1,822,412 ------------------------------------------------------------------------------------------------------ D.R. Horton, Inc., 6.125% Nts., 1/15/14 1,315,000 1,309,652 ------------------------------------------------------------------------------------------------------ DaimlerChrysler NA Holdings Corp.: 7.20% Unsec. Nts., 9/1/09 1,670,000 1,767,455 8% Nts., 6/15/10 1,018,000 1,113,863 ------------------------------------------------------------------------------------------------------ Dana Corp., 6.50% Unsec. Nts., 3/1/09 2,015,000 1,622,075 ------------------------------------------------------------------------------------------------------ Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,980,000 2,262,002 ------------------------------------------------------------------------------------------------------ Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 1,850,000 2,061,379 ------------------------------------------------------------------------------------------------------ Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 2,165,000 2,408,210 ------------------------------------------------------------------------------------------------------ DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 1,430,000 1,441,633 ------------------------------------------------------------------------------------------------------ EOP Operating LP: 6.763% Sr. Unsec. Nts., 6/15/07 275,000 281,178 8.10% Unsec. Nts., 8/1/10 2,160,000 2,383,772 ------------------------------------------------------------------------------------------------------ Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,945,000 2,017,247 ------------------------------------------------------------------------------------------------------ FedEx Corp., 2.65% Unsec. Nts., 4/1/07 3,155,000 3,061,994 ------------------------------------------------------------------------------------------------------ FirstEnergy Corp.: 5.50% Sr. Unsub. Nts., Series A, 11/15/06 1,230,000 1,235,857 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,530,000 1,765,430 ------------------------------------------------------------------------------------------------------ Ford Motor Credit Co.: 5.80% Sr. Unsec. Nts., 1/12/09 2,580,000 2,303,200 6.25% Unsec. Nts., 12/8/05 636,000 635,760 7.375% Nts., 10/28/09 615,000 565,791 ------------------------------------------------------------------------------------------------------ France Telecom SA: 7.75% Sr. Unsec. Nts., 3/1/11 5 1,435,000 1,606,270 8.50% Sr. Unsec. Nts., 3/1/31 5 460,000 608,708 ------------------------------------------------------------------------------------------------------ Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,025,000 998,180 ------------------------------------------------------------------------------------------------------ Gap, Inc. (The): 6.90% Nts., 9/15/07 2,130,000 2,179,697 9.55% Unsub. Nts., 12/15/08 5 359,000 399,869 ------------------------------------------------------------------------------------------------------ General Mills, Inc., 3.875% Nts., 11/30/07 2,270,000 2,224,986 ------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp.: 6.125% Unsec. Unsub. Nts., 2/1/07 4,170,000 4,003,534 8% Bonds, 11/1/31 2,200,000 2,163,190 ------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The), 5.70% Sr. Unsec. Nts., 9/1/12 2,845,000 2,912,512 ------------------------------------------------------------------------------------------------------ Harrah's Operating Co., Inc., 5.625% Bonds, 6/1/15 4 1,565,000 1,525,748 ------------------------------------------------------------------------------------------------------ HCA, Inc., 7.125% Sr. Unsec. Nts., 6/1/06 1,445,000 1,466,343 ------------------------------------------------------------------------------------------------------ Hertz Corp. (The), 6.35% Nts., 6/15/10 664,000 644,710 ------------------------------------------------------------------------------------------------------ Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 1,335,000 1,454,333 ------------------------------------------------------------------------------------------------------ HSBC Finance Corp., 4.75% Sr. Unsec. Nts., 7/15/13 3,075,000 2,958,255 ------------------------------------------------------------------------------------------------------ IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 5 1,410,000 1,473,450 ------------------------------------------------------------------------------------------------------ Isle of Capri Casinos, Inc., 9% Sr. Sub. Nts., 3/15/12 1,000,000 1,062,500 ------------------------------------------------------------------------------------------------------ iStar Financial, Inc.: 5.125% Sr. Unsec. Nts., Series B, 4/1/11 960,000 933,813 5.15% Sr. Unsec. Nts., 3/1/12 1,175,000 1,129,750 ------------------------------------------------------------------------------------------------------ J.C. Penney Co., Inc. (Holding Co.), 7.40% Nts., 4/1/37 2,720,000 2,917,020
10 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ------------------------------------------------------------------------------------------------------ JPMorgan Capital XV, 5.875% Nts., 3/15/35 $ 2,105,000 $ 2,021,937 ------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc.: 6.50% Sr. Nts., 1/15/14 1,515,000 1,423,052 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,652,000 ------------------------------------------------------------------------------------------------------ KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 1,915,000 1,783,351 ------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,670,000 1,767,354 ------------------------------------------------------------------------------------------------------ Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,720,000 3,740,839 ------------------------------------------------------------------------------------------------------ Kroger Co. (The), 6.80% Sr. Unsec. Nts., 4/1/11 2,165,000 2,249,823 ------------------------------------------------------------------------------------------------------ Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,560,000 2,416,627 ------------------------------------------------------------------------------------------------------ Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 325,000 336,755 ------------------------------------------------------------------------------------------------------ Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,505,000 1,508,078 ------------------------------------------------------------------------------------------------------ Liberty Media Corp., 5.70% Sr. Unsec. Nts., 5/15/13 1,580,000 1,448,991 ------------------------------------------------------------------------------------------------------ Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,490,000 1,501,020 ------------------------------------------------------------------------------------------------------ Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 27,000,000 23,422,500 ------------------------------------------------------------------------------------------------------ Marsh & McLennan Cos., Inc., 5.875% Sr. Unsec. Bonds, 8/1/33 1,860,000 1,728,292 ------------------------------------------------------------------------------------------------------ May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 1,050,000 1,095,733 ------------------------------------------------------------------------------------------------------ MBNA Corp., 7.50% Sr. Nts., Series F, 3/15/12 2,315,000 2,600,849 ------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 3,095,000 3,042,945 ------------------------------------------------------------------------------------------------------ MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 1,555,000 1,522,115 ------------------------------------------------------------------------------------------------------ MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 2,580,000 2,652,934 ------------------------------------------------------------------------------------------------------ Morgan Stanley, 6.60% Nts., 4/1/12 1,450,000 1,551,965 ------------------------------------------------------------------------------------------------------ National City Bank, 6.20% Sub. Nts., 12/15/11 213,000 224,549 ------------------------------------------------------------------------------------------------------ Nationwide Financial Services, Inc.: 5.90% Nts., 7/1/12 1,410,000 1,462,477 6.25% Sr. Unsec. Nts., 11/15/11 40,000 42,508 ------------------------------------------------------------------------------------------------------ NiSource Finance Corp.: 3.20% Nts., 11/1/06 440,000 433,226 7.875% Sr. Unsec. Nts., 11/15/10 1,820,000 2,015,947 ------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust, 5.75% Unsec. Unsub. Nts., Series 12, 12/15/15 4 2,455,000 2,415,106 ------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 4 4,593,000 4,550,694 ------------------------------------------------------------------------------------------------------ PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 4 998,638 935,369 ------------------------------------------------------------------------------------------------------ Portland General Electric Co., 8.125% First Mortgage Nts., 2/1/10 4 1,465,000 1,617,108 ------------------------------------------------------------------------------------------------------ Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 4 2,740,000 3,455,573 ------------------------------------------------------------------------------------------------------ Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 2,740,000 3,498,344 ------------------------------------------------------------------------------------------------------ PSE&G Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1,390,000 1,424,750 ------------------------------------------------------------------------------------------------------ PSE&G Power LLC, 6.875% Sr. Unsec. Nts., 4/15/06 1,272,000 1,281,189 ------------------------------------------------------------------------------------------------------ Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 13,500,000 10,867,500 ------------------------------------------------------------------------------------------------------ Safeway, Inc., 7.50% Sr. Unsec. Nts., 9/15/09 2,030,000 2,164,354 ------------------------------------------------------------------------------------------------------ SBC Communications, Inc., 5.30% Nts., 11/15/10 2,290,000 2,293,767 ------------------------------------------------------------------------------------------------------ Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 2,240,000 2,460,577 ------------------------------------------------------------------------------------------------------ Simon Property Group LP, 5.375% Nts., 6/1/11 4 2,305,000 2,302,594 ------------------------------------------------------------------------------------------------------ Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,000,000 1,035,000 ------------------------------------------------------------------------------------------------------ Sprint Capital Corp., 8.75% Nts., 3/15/32 1,845,000 2,425,398 ------------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 2,225,000 2,294,531 ------------------------------------------------------------------------------------------------------ SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,655,000 1,615,497 7.75% Unsec. Sub. Nts., 5/1/10 149,000 165,090 ------------------------------------------------------------------------------------------------------ TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,755,000 3,325,866 ------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 651,000 802,892
11 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ------------------------------------------------------------------------------------------------------ Travelers Property Casualty Corp., 3.75% Sr. Unsec. Nts., 3/15/08 $ 2,240,000 $ 2,179,643 ------------------------------------------------------------------------------------------------------ TXU Energy Co., 6.125% Nts., 3/15/08 1,955,000 1,986,225 ------------------------------------------------------------------------------------------------------ Tyco International Group SA, 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 1,905,000 1,908,800 ------------------------------------------------------------------------------------------------------ Univision Communications, Inc., 3.50% Sr. Unsec. Nts., 10/15/07 2,445,000 2,369,846 ------------------------------------------------------------------------------------------------------ Verizon Global Funding Corp., 5.85% Nts., 9/15/35 1,535,000 1,458,853 ------------------------------------------------------------------------------------------------------ Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,990,000 3,014,805 ------------------------------------------------------------------------------------------------------ Waste Management, Inc., 6.875% Sr. Unsec. Nts., 5/15/09 1,710,000 1,804,175 ------------------------------------------------------------------------------------------------------ Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 3,145,000 3,186,209 -------------- Total Non-Convertible Corporate Bonds and Notes (Cost $349,799,449) 333,029,767 ------------------------------------------------------------------------------------------------------ CONVERTIBLE CORPORATE BONDS AND NOTES--16.7% ------------------------------------------------------------------------------------------------------ Agere Systems, Inc., 6.50% Cv. Unsec. Unsub. Nts., 12/15/09 (cv. into Agere Systems, Inc., Cl. A common stock) 18,000,000 17,887,500 ------------------------------------------------------------------------------------------------------ Allied Waste Industries, Inc., 4.25% Cv. Sr. Unsec. Sub. Debs., 4/15/34 14,500,000 12,615,000 ------------------------------------------------------------------------------------------------------ Calpine Corp.: 4.75% Cv. Sr. Unsec. Nts., 11/15/23 4 14,750,000 3,632,188 4.75% Cv. Sr. Unsec. Nts., 11/15/23 5,250,000 1,292,813 ------------------------------------------------------------------------------------------------------ Charter Communications, Inc.: 5.875% Cv. Sr. Nts., 11/16/09 4 5,000,000 3,718,750 5.875% Cv. Sr. Nts., 11/16/09 3,000,000 2,231,250 ------------------------------------------------------------------------------------------------------ CMS Energy Corp., 2.875% Cv. Sr. Nts., 12/1/24 3,000,000 3,412,500 ------------------------------------------------------------------------------------------------------ Continental Airlines, Inc., 4.50% Cv. Sr. Unsec. Unsub. Nts., 2/1/07 10,250,000 9,430,000 ------------------------------------------------------------------------------------------------------ CSK Auto Corp., 3.375% Cv. Sr. Nts., 8/15/25 4 4,000,000 3,935,000 ------------------------------------------------------------------------------------------------------ Curagen Corp., 6% Cv. Jr. Unsec. Sub. Debs., 2/2/07 16,000,000 15,680,000 ------------------------------------------------------------------------------------------------------ Dobson Communications Corp., 1.50% Cv. Bonds, 10/1/25 4 4,000,000 3,680,000 ------------------------------------------------------------------------------------------------------ Enzon Pharmaceuticals, Inc., 4.50% Cv. Unsec. Sub. Nts., 7/1/08 22,500,000 20,362,500 ------------------------------------------------------------------------------------------------------ Level 3 Communications, Inc., 6% Cv. Unsec. Sub. Nts., 3/15/10 14,660,000 8,997,575 ------------------------------------------------------------------------------------------------------ Liberty Media Corp.: 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 54,150,000 59,497,313 4% Exchangeable Sr. Unsec. Debs., 11/15/29 (exchangeable for Sprint Corp. PCS, Series 1 common stock or cash based on the value of that stock) 50,000,000 29,562,500 ------------------------------------------------------------------------------------------------------ Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) 142,500,000 109,190,625 ------------------------------------------------------------------------------------------------------ Lucent Technologies, Inc., 2.75% Cv. Sr. Unsec. Debs., Series A, 6/15/23 18,250,000 18,865,938 ------------------------------------------------------------------------------------------------------ Nortel Networks Corp., 4.25% Cv. Sr. Unsec. Nts., 9/1/08 18,000,000 16,965,000 ------------------------------------------------------------------------------------------------------ Novell, Inc.: 0.50% Cv. Sr. Unsec. Debs., 7/15/24 4 11,000,000 9,803,750 0.50% Cv. Sr. Unsec. Debs., 7/15/24 14,500,000 12,923,125 ------------------------------------------------------------------------------------------------------ Pride International, Inc., 3.25% Cv. Sr. Nts., 5/1/33 18,750,000 24,304,688 ------------------------------------------------------------------------------------------------------ Reliant Energy, Inc., 5% Cv. Sr. Sub. Bonds, 8/15/10 3,000,000 3,465,000 ------------------------------------------------------------------------------------------------------ Solectron Corp., 0.50% Cv. Sr. Unsec. Nts., Series B, 2/15/34 10,500,000 7,796,250 ------------------------------------------------------------------------------------------------------ Tyco International Group SA, 2.75% Cv. Sr. Unsec. Unsub. Debs., Series A, 1/15/18 85,000,000 106,781,250 ------------------------------------------------------------------------------------------------------ XM Satellite Radio Holdings, Inc., 1.75% Cv. Sr. Nts., 12/1/09 5,750,000 5,074,375 ------------------------------------------------------------------------------------------------------ XM Satellite Radio, Inc., 1.75% Cv. Sr. Nts., 12/1/09 4 14,250,000 12,575,625 -------------- Total Convertible Corporate Bonds and Notes (Cost $548,312,376) 523,680,515
12 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--4.2% ------------------------------------------------------------------------------------------------------- Bank of America NA, Boston Scientific Corp. Cv. Linked Nts., 2.25%, 11/6/06 $ 15,000,000 $ 15,979,500 ------------------------------------------------------------------------------------------------------ Citigroup Global Markets Holdings, Inc., Echostar Communications Corp. Cv. Equity-Linked Nts., 2.87%, 5/1/06 381,113 9,968,544 ------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Boston Scientific Corp. Cv. Medium Term Linked Nts., 1.20%, 9/7/06 568,180 15,035,747 Cisco Systems, Inc. Cv. Linked Nts., 4%, 12/30/05 694,213 12,326,446 EchoStar Communications Corp. Cv. Linked Nts., 4%, 12/30/05 595,780 15,537,942 GlobalSantaFe Corp. Cv. Linked Nts., 7%, 10/2/06 431,460 19,856,221 ------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc.: Cv. Yield Enhanced Equity Linked Debt Securities, 12%, 12/29/05 (linked to CarMax, Inc.) 764,498 21,501,506 Cv. Yield Enhanced Equity Linked Debt Securities, Series G, 5%, 12/14/05 (linked to EchoStar Communications Corp. Cl. A common stock) 310,753 8,001,879 ------------------------------------------------------------------------------------------------------- Morgan Stanley, Cv. Performance Equity Linked Redemption Quarterly- pay Nts., 5%, 12/30/05 (linked to Dollar Tree Stores, Inc.) 12 605,830 14,094,635 --------------- Total Structured Notes (Cost $144,579,622) 132,302,420 ------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--0.1% ------------------------------------------------------------------------------------------------------- Undivided interest of 0.19% in joint repurchase agreement (Principal Amount/Value $1,178,834,000, with a maturity value of $1,178,963,344) with UBS Warburg LLC, 3.95%, dated 11/30/05, to be repurchased at $2,214,243 on 12/1/05, collateralized by Federal National Mortgage Assn., 4%--5.50%, 10/1/18--1/1/35, with a value of $1,204,738,816 (Cost $2,214,000) 2,214,000 2,214,000 ------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $2,890,587,586) 105.5% 3,310,381,146 ------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (5.5) (173,452,683) ---------------------------------- Net Assets 100.0% $3,136,928,463 ==================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows: 13 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO CALL DATES PRICE RECEIVED VALUE ----------------------------------------------------------------------------------------------------------- ACE Ltd. 450 1/23/06 $ 60.000 $ 17,549 $ 18,000 ACE Ltd. 2,300 1/23/06 55.000 484,280 506,000 Cablevision Systems New York Group, Cl. A 3,750 1/23/06 30.000 744,282 18,750 Everest Re Group Ltd. 6,500 12/19/05 110.000 567,101 97,500 Everest Re Group Ltd. 4,500 12/19/05 105.000 598,122 742,500 GlobalSantaFe Corp. 1,000 12/19/05 50.000 61,498 5,000 GlobalSantaFe Corp. 500 1/23/06 47.500 48,068 55,000 GlobalSantaFe Corp. 1,000 1/23/06 45.000 305,877 205,000 Honeywell International, Inc. 750 12/19/05 40.000 19,874 7,500 Merck & Co., Inc. 785 12/19/05 30.000 64,575 35,325 Tyco International Ltd. 2,500 12/19/05 30.000 83,326 12,500 U.S. Bancorp 5,000 1/23/06 32.500 67,512 50,000 U.S. Bancorp 2,000 3/20/06 32.500 74,237 40,000 Washington Mutual, Inc. 1,000 12/19/05 42.500 41,498 25,000 XL Capital Ltd., Cl. A 1,231 12/19/05 70.000 222,770 61,550 --------------------------- $ 3,400,569 $ 1,879,625 ===========================
3. 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 November 30, 2005. The aggregate fair value of securities of affiliated companies held by the Fund as of November 30, 2005 amounts to $133,912,053. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2005 ADDITIONS REDUCTIONS NOVEMBER 30, 2005 ---------------------------------------------------------------------------------------------------------- CSK Auto Corp. 6,488,750 11,250 37,800 6,462,200 Enbridge Energy Management LLC 700,000 15,749* 750 714,999 DIVIDEND REALIZED VALUE INCOME GAIN (LOSS) ---------------------------------------------------------------------------------------------------------- CSK Auto Corp. $100,164,100 $ -- $ (445,372) Enbridge Energy Management LLC 33,747,953 -- 2,158 --------------------------------------------------- $133,912,053 $ -- $ (443,214) ===================================================
* A portion of the transactions (12,613) was a result of a stock dividend. 4. 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 $114,389,808 or 3.65% of the Fund's net assets as of November 30, 2005. 5. Represents the current interest rate for a variable or increasing rate security. 6. When-issued security or forward commitment to be delivered and settled after November 30, 2005. See accompanying Notes to Quarterly Statement of Investments . 7. A sufficient amount of securities has been designated to cover outstanding written put options, as follows: 14 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO PUT DATES PRICE RECEIVED VALUE ---------------------------------------------------------------------------------------------------------------------------------- Abbott Laboratories 1,494 5/22/06 $ 47.500 $ 802,244 $ 1,449,180 Altria Group, Inc. 600 1/23/06 70.000 82,197 90,000 Boston Scientific Corp. 182 1/23/06 32.500 74,981 109,200 Boston Scientific Corp. 1,595 1/22/07 30.000 820,315 733,700 Boston Scientific Corp. 5 2/20/06 32.500 2,485 3,000 CarMax, Inc. 2,175 1/23/06 30.000 1,070,881 652,500 Cendant Corp. 12,106 1/23/06 22.500 2,844,072 5,689,820 Cendant Corp. 2,559 1/23/06 20.000 246,584 562,980 Cendant Corp. 9,250 1/23/06 17.500 730,811 416,250 Citigroup, Inc. 522 1/23/06 47.500 196,786 28,710 Comcast Corp., Cl. A Special, Non- Vtg. 10,000 1/23/06 27.500 1,207,448 1,550,000 Exxon Mobil Corp. 3,500 12/19/05 60.000 958,410 787,500 First Data Corp. 1,000 1/23/06 40.000 131,994 35,000 Honeywell International, Inc. 1,000 12/19/05 37.500 125,495 95,000 Morgan Stanley 500 12/19/05 55.000 100,996 25,000 Pfizer, Inc. 445 12/19/05 27.500 87,661 275,900 Pfizer, Inc. 4,305 1/23/06 22.500 561,236 710,325 PMI Group, Inc. (The) 1,250 12/19/05 40.000 442,896 75,000 Take-Two Interactive Software, Inc. 14,000 1/23/06 17.500 1,765,012 1,400,000 Tyco International Ltd. 5,350 1/23/06 27.500 559,624 214,000 Wal-Mart Stores, Inc. 894 1/23/06 47.500 50,509 89,400 ------------------------------ $12,862,637 $14,992,465 ==============================
8. 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. These securities amount to $21,095,834 or 0.67% of the Fund's net assets as of November 30, 2005. 9. 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. These securities amount to $15,066,374 or 0.48% of the Fund's net assets as of November 30, 2005. 10. Zero coupon bond reflects effective yield on the date of purchase. 11. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts. The aggregate market value of such securities is $2,234,647. See accompanying Notes to Quarterly Statement of Investments. 12. Illiquid security. The aggregate value of illiquid securities as of November 30, 2005 was $16,857,135, which represents 0.54% of the Fund's net assets. See accompanying Notes to Quarterly Statement of Investments. 13. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. 14. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. FEDERAL TAX. 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 November 30, 2005 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 $2,898,844,348 Federal tax cost of other investments (185,480,276) --------------- Total federal tax cost $2,713,364,072 =============== Gross unrealized appreciation $ 545,299,569 Gross unrealized depreciation (132,855,844) --------------- Net unrealized appreciation $ 412,443,725 =============== 15 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED -------------------------------------------------------------------------------- NOTES TO QUARTERLY STATEMENT OF INVESTMENTS 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 business. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ 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 closing "bid" and "asked" prices, and if not, at the closing bid price. Securities traded on foreign exchanges are valued based on the last sale price on the principal exchange on which the security is traded, in the country that is identified by the portfolio pricing service, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the official closing price on the principal exchange. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign and domestic securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). STRUCTURED NOTES. The Fund invests in structured notes whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured notes are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured note is sold or matures. As of November 30, 2005, the market value of these securities comprised 4.2% of the Fund's net assets and resulted in unrealized cumulative losses of $12,277,202. SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months 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 internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of November 30, 2005, the Fund had purchased $211,944,880 of securities issued on a when-issued basis or forward commitment and sold $44,609,688 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. 16 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED -------------------------------------------------------------------------------- Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage-related pools. 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 New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Foreign exchange rates may be valued primarily using dealer supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. 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 in the annual and semiannual reports. JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying 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 recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities in the annual and semiannual reports. 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 in the annual and semiannual reports reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations in the annual and semiannual reports as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. 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. 17 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED -------------------------------------------------------------------------------- As of November 30, 2005, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS NOVEMBER 30, 2005 (DEPRECIATION) -------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 3/22/06 324 $ 36,298,125 $ (80,239) U.S. Long Bonds 12/20/05 191 21,445,719 73,911 ------------- (6,328) ------------- CONTRACTS TO SELL Euro-Bundesobligation, 10 yr. 12/8/05 83 11,769,212 14,457 U.S. Treasury Nts., 2 yr. 3/31/06 374 76,705,063 98,831 U.S. Treasury Nts., 2 yr. 12/30/05 188 38,587,000 432,804 U.S. Treasury Nts., 5 yr. 3/22/06 377 39,938,438 114,912 U.S. Treasury Nts., 5 yr. 12/20/05 118 12,520,906 174,825 U.S. Treasury Nts., 10 yr. 3/22/06 224 24,311,000 75,794 U.S. Treasury Nts., 10 yr. 12/20/05 199 21,638,141 588,016 ------------- 1,499,639 ------------- $ 1,493,311 =============
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. Contracts 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 in the annual and semiannual reports. Realized gains and losses are reported in the Statement of Operations in the annual and semiannual reports. 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 period ended November 30, 2005 was as follows: 18 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2005/UNAUDITED --------------------------------------------------------------------------------
CALL OPTIONS PUT OPTIONS ------------------------------ --------------------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS -------------------------------------------------------------------------------------------------- Options outstanding as of August 31, 2005 30,563 $ 4,354,050 65,934 $ 15,086,303 Options written 47,551 3,729,184 95,420 12,809,212 Options closed or expired (39,541) (3,363,062) (86,572) (14,609,046) Options exercised (5,307) (1,319,603) (2,050) (423,832) -------------------------------------------------------------------- Options outstanding as of November 30, 2005 33,266 $3,400,569 72,732 $ 12,862,637 ====================================================================
TOTAL RETURN SWAP CONTRACTS The Fund may enter into a total return swap transaction to maintain a total return on a particular investment, or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of November 30, 2005, the Fund had entered into the following total return swap agreements:
SWAP NOTIONAL TERMINATION UNREALIZED COUNTERPARTY SWAP DESCRIPTION AMOUNT DATES APPRECIATION ----------------------------------------------------------------------------------------------------------------------------------- Received or paid monthly. If the sum of the Lehman Brothers CMBS Index Payer Payment Amount and the Floating Rate Payer Payment Goldman Sachs Amount is positive, the Counterparty will pay such amount to the Group, Inc. Fund. If the sums are negative, then the Fund shall pay the (The) absolute value of such amount to the Counterparty. $ 12,530,000 6/1/06 $ -- ----------------------------------------------------------------------------------------------------------------------------------- Received or paid monthly. The Fund pays the Counterparty the One-Month LIBOR minus 0.25% on the Notional Amount. In addition, if the Lehman Brothers CMBS Index (Index Return) is negative, the Fund will pay the Counterparty the absolute value of the product of the Index Return and the Notional Amount in addition to the Fund payment described herein. The Counterparty pays the Fund the UBS AG Index Return times the Notional Amount, if this amount is positive. 12,530,000 12/1/05 24,657 -------- $ 24,657 ======== Abbreviations are as follows: LIBOR London-Interbank Offered Rate CMBS Commercial Mortgage Backed Securities
ILLIQUID SECURITIES As of November 30, 2005, investments in securities included issues that are illiquid. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with the applicable footnote on the Statement of Investments. 19 | OPPENHEIMER CAPITAL INCOME 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 November 30, 2005, 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 Income Fund By: /s/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: January 18, 2006 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/ John V. Murphy ------------------ John V. Murphy Principal Executive Officer Date: January 18, 2006 By: /s/ Brian W. Wixted ------------------- Brian W. Wixted Principal Financial Officer Date: January 18, 2006