-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, FiTJzhn/XSpNTqIprj7xGWvVmi2RjTQCbgM5f3vye2Kagb15TXG2kXQXjf3s7VeK RxJuuvb9thbY5WsNy/KKCw== 0000935069-06-001964.txt : 20060728 0000935069-06-001964.hdr.sgml : 20060728 20060728114816 ACCESSION NUMBER: 0000935069-06-001964 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20060531 FILED AS OF DATE: 20060728 DATE AS OF CHANGE: 20060728 EFFECTIVENESS DATE: 20060728 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER CAPITAL INCOME FUND CENTRAL INDEX KEY: 0000045156 IRS NUMBER: 840578481 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-01512 FILM NUMBER: 06986627 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND DATE OF NAME CHANGE: 19980710 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: CENTENNIAL EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19830428 0000045156 S000006964 OPPENHEIMER CAPITAL INCOME FUND C000018996 A C000018997 B C000018998 C C000018999 N N-Q 1 rq300_33631-nq.txt RQ300_33631-NQ.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 Date of reporting period: 05/31/2006 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------ COMMON STOCKS--49.7% - ------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY--3.2% - ------------------------------------------------------------------------------------------------------ MEDIA--0.8% Clear Channel Communications, Inc. 1 782,500 $ 24,100,993 - ------------------------------------------------------------------------------------------------------ MULTILINE RETAIL--0.1% Target Corp. 50,000 2,446,000 - ------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL--2.3% CSK Auto Corp. 2,3 5,503,377 69,947,922 - ------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--8.1% - ------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--0.8% Wal-Mart Stores, Inc. 500,000 24,225,000 - ------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.5% B&G Foods, Inc. 875,000 13,475,000 - ------------------------------------------------------------------------------------------------------ TOBACCO--6.8% Altria Group, Inc. 4 2,175,000 157,361,250 - ------------------------------------------------------------------------------------------------------ Loews Corp./Carolina Group 1,050,000 48,762,000 -------------- 206,123,250 - ------------------------------------------------------------------------------------------------------ ENERGY--13.8% - ------------------------------------------------------------------------------------------------------ OIL & GAS--13.8% BP plc, ADR 4 500,000 35,350,000 - ------------------------------------------------------------------------------------------------------ Chevron Corp. 75,750 4,529,093 - ------------------------------------------------------------------------------------------------------ Enbridge Energy Management LLC 3 749,501 31,793,819 - ------------------------------------------------------------------------------------------------------ Kinder Morgan Management LLC 3,587,501 155,948,647 - ------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc. 4 1,600,750 160,843,360 - ------------------------------------------------------------------------------------------------------ Occidental Petroleum Corp. 106,250 10,528,313 - ------------------------------------------------------------------------------------------------------ Tortoise Energy Capital Corp. 552,500 12,376,000 - ------------------------------------------------------------------------------------------------------ Williams Cos., Inc. (The) 304,700 6,886,220 -------------- 418,255,452 - ------------------------------------------------------------------------------------------------------ FINANCIALS--14.9% - ------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS--1.2% U.S. Bancorp 4 1,000,000 30,870,000 - ------------------------------------------------------------------------------------------------------ Wachovia Corp. 4 115,000 6,152,500 -------------- 37,022,500 - ------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES--6.5% Bank of America Corp. 1,635,000 79,134,000 - ------------------------------------------------------------------------------------------------------ Citigroup, Inc. 2,375,000 117,087,500 -------------- 196,221,500 - ------------------------------------------------------------------------------------------------------ INSURANCE--4.6% ACE Ltd. 750,000 38,827,500 - ------------------------------------------------------------------------------------------------------ Everest Re Group Ltd. 1,125,000 100,518,750 -------------- 139,346,250 - ------------------------------------------------------------------------------------------------------ REAL ESTATE--0.4% Anthracite Capital, Inc. 1,000,000 11,260,000 - ------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE--2.2% PMI Group, Inc. (The) 489,800 22,285,900
1 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------ COMMON STOCKS CONTINUED - ------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE CONTINUED Washington Mutual, Inc. 4 1,000,000 $ 45,910,000 -------------- 68,195,900 - ------------------------------------------------------------------------------------------------------ HEALTH CARE--0.8% - ------------------------------------------------------------------------------------------------------ PHARMACEUTICALS--0.8% Pfizer, Inc. 1,000,000 23,660,000 - ------------------------------------------------------------------------------------------------------ INDUSTRIALS--4.6% - ------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE--1.5% Raytheon Co. 4 1,000,000 45,850,000 - ------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES--2.0% Cendant Corp. 3,740,200 60,479,034 - ------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES--1.1% General Electric Co. 875,000 29,977,500 - ------------------------------------------------------------------------------------------------------ Siemens AG, Sponsored ADR 42,500 3,658,400 -------------- 33,635,900 - ------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY--0.8% - ------------------------------------------------------------------------------------------------------ SOFTWARE--0.8% Microsoft Corp. 4 1,000,000 22,650,000 - ------------------------------------------------------------------------------------------------------ MATERIALS--0.3% - ------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING--0.3% Packaging Corp. of America 402,500 8,573,250 - ------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES--2.4% - ------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES--2.4% BellSouth Corp. 463,700 15,659,149 - ------------------------------------------------------------------------------------------------------ Citizens Communications Co. 1,250,000 15,850,000 - ------------------------------------------------------------------------------------------------------ Consolidated Communications Holdings, Inc. 1,100,000 18,018,000 - ------------------------------------------------------------------------------------------------------ FairPoint Communications, Inc. 1,000,000 13,480,000 - ------------------------------------------------------------------------------------------------------ Valor Communications Group, Inc. 532,500 6,560,400 - ------------------------------------------------------------------------------------------------------ Verizon Communications, Inc. 100,000 3,121,000 -------------- 72,688,549 - ------------------------------------------------------------------------------------------------------ UTILITIES--0.8% - ------------------------------------------------------------------------------------------------------ ENERGY TRADERS--0.1% TXU Corp. 35,500 2,034,150 - ------------------------------------------------------------------------------------------------------ MULTI-UTILITIES & UNREGULATED POWER--0.7% Sempra Energy 4 500,000 22,485,000 -------------- Total Common Stocks (Cost $1,031,335,703) 1,502,675,650 - ------------------------------------------------------------------------------------------------------ PREFERRED STOCKS--8.1% - ------------------------------------------------------------------------------------------------------ AES Trust III, 6.75% Cv. 187,500 8,793,750 - ------------------------------------------------------------------------------------------------------ Citigroup Funding, Inc., 5.02% Cv., Series GNW 400,000 12,824,000 - ------------------------------------------------------------------------------------------------------ Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 475,000 21,706,550 - ------------------------------------------------------------------------------------------------------ General Motors Corp., 4.50% Cv. Sr. Debs., Series A 1,050,000 25,210,500 - ------------------------------------------------------------------------------------------------------ Hess Corp., 7% Cv., Non-Vtg. 46,500 5,831,100 - ------------------------------------------------------------------------------------------------------ Lehman Brothers Holdings, Inc., 3.60% Cv. Series TYC (linked to Tyco International Ltd.) 3 1,968,811 52,173,492 - ------------------------------------------------------------------------------------------------------ Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 25,500 25,777,313 - ------------------------------------------------------------------------------------------------------ NRG Energy, Inc., 5.75% Cv. 10,000 2,528,000 - ------------------------------------------------------------------------------------------------------ Travelers Property Casualty Corp., 4.50% Cv. Jr. Unsec. Sub. Nts. 1,875,000 46,725,000
2 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
SHARES VALUE - ------------------------------------------------------------------------------------------------------ PREFERRED STOCKS CONTINUED - ------------------------------------------------------------------------------------------------------ United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 575,000 $ 27,671,875 - ------------------------------------------------------------------------------------------------------ XL Capital Ltd., 7% Cv. 650,000 15,847,000 -------------- Total Preferred Stocks (Cost $229,308,346) 245,088,580 PRINCIPAL AMOUNT - ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS--12.0% - ------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 $ 2,670,000 2,562,953 - ------------------------------------------------------------------------------------------------------ Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,332,848 2,295,333 - ------------------------------------------------------------------------------------------------------ Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,813,795 1,813,229 - ------------------------------------------------------------------------------------------------------ Citigroup Mortgage Loan Trust, Inc., CMO, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 660,000 656,019 - ------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust, CMO: Series 2004-J9, Cl. 1A1, 5.261%, 10/25/34 5 74,467 74,517 Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 4,478,066 4,486,463 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,574,178 3,580,725 - ------------------------------------------------------------------------------------------------------ Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, CMO, Series 2006-AB2, Cl. A7, 5.961%, 5/1/36 4,520,000 4,520,452 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 12,713,316 12,050,986 5%, 8/1/33 6,771,405 6,377,272 5%, 6/1/36 6 1,612,000 1,511,250 6%, 5/1/18 4,425,751 4,460,349 6.50%, 4/1/18-4/1/34 2,334,223 2,370,073 7%, 9/1/23-3/1/35 11,363,674 11,663,457 8%, 4/1/16 601,188 636,604 9%, 8/1/22-5/1/25 181,815 195,302 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2034, Cl. Z, 6.50%, 2/15/28 750,546 760,669 Series 2053, Cl. Z, 6.50%, 4/15/28 833,465 845,810 Series 2055, Cl. ZM, 6.50%, 5/15/28 1,001,770 1,013,512 Series 2075, Cl. D, 6.50%, 8/15/28 2,595,879 2,633,212 Series 2080, Cl. Z, 6.50%, 8/15/28 652,227 657,868 Series 2326, Cl. ZP, 6.50%, 6/15/31 814,843 826,671 Series 2387, Cl. PD, 6%, 4/15/30 585,792 587,118 Series 2500, Cl. FD, 5.581%, 3/15/32 5 368,494 370,775 Series 2526, Cl. FE, 5.481%, 6/15/29 5 489,900 494,617 Series 2551, Cl. FD, 5.481%, 1/15/33 5 381,602 386,071 Series 2836, Cl. YE, 5%, 8/15/34 4,688,000 4,199,112 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 13.50%, 6/1/26 7 670,192 160,816 Series 183, Cl. IO, 10.223%, 4/1/27 7 1,036,891 260,642 Series 184, Cl. IO, 16.093%, 12/1/26 7 1,112,690 266,067
3 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED - ------------------------------------------------------------------------------------------------------ Series 192, Cl. IO, 15.982%, 2/1/28 7 $ 338,915 $ 79,036 Series 200, Cl. IO, 14.454%, 1/1/29 7 401,207 98,859 Series 2003-118, Cl. S, 13.058%, 12/25/33 7 5,501,472 568,908 Series 2130, Cl. SC, 0.334%, 3/15/29 7 783,877 47,170 Series 2796, Cl. SD, 3.904%, 7/15/26 7 1,188,502 71,247 Series 2920, Cl. S, 3.06%, 1/15/35 7 6,898,300 267,833 Series 3000, Cl. SE, 2.546%, 7/15/25 7 7,036,402 188,847 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.469%, 6/1/26 8 318,998 251,037 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 5%, 6/1/18-11/1/33 22,127,654 21,041,124 5%, 7/1/36 6 42,330,000 39,684,375 5.50%, 1/1/33-4/1/34 37,899,943 36,662,001 5.50%, 6/1/21-7/1/36 6 33,494,000 32,515,345 6%, 8/1/32-1/1/33 7,739,859 7,673,617 6%, 6/1/21 6 2,700,000 2,716,875 6.50%, 12/1/29-11/1/31 13,547,055 13,740,972 6.50%, 6/1/36-7/1/36 6 14,753,000 14,876,248 7%, 11/1/17-7/1/35 10,716,525 11,009,404 7.50%, 1/1/33-3/1/33 15,222,019 15,815,087 8.50%, 7/1/32 68,328 73,707 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 2,319,508 2,364,242 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 2,063,115 2,097,430 Trust 2001-50, Cl. NE, 6%, 8/25/30 352,736 354,136 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,776,040 2,812,625 Trust 2001-70, Cl. LR, 6%, 9/25/30 431,977 432,642 Trust 2001-72, Cl. NH, 6%, 4/25/30 217,415 217,540 Trust 2001-74, Cl. PD, 6%, 5/25/30 89,683 89,514 Trust 2002-9, Cl. PC, 6%, 3/25/17 8,546,180 8,610,612 Trust 2002-77, Cl. WF, 5.481%, 12/18/32 5 576,364 581,582 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,816,157 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,921,000 1,849,619 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,443,849 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,339,309 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,460,003 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 6,944,549 Trust 2006-44, Cl. OA, 5.50%, 12/25/26 6,190,000 6,153,529 Trust 2006-50, Cl. KS, 5.72%, 6/25/36 5 3,340,000 2,968,664 Trust 2006-50, Cl. SK, 5.94%, 6/25/36 5 270,000 250,444 - ------------------------------------------------------------------------------------------------------ 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, 3.053%, 4/25/32 7 1,422,874 118,951 Trust 2002-51, Cl. S, 3.184%, 8/25/32 7 1,306,393 110,098 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 15.327%, 6/1/23 7 2,378,390 547,418
4 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED - ------------------------------------------------------------------------------------------------------ Trust 240, Cl. 2, 18.737%, 9/1/23 7 $ 3,574,934 $ 902,219 Trust 252, Cl. 2, 11.261%, 11/1/23 7 1,762,525 426,964 Trust 273, Cl. 2, 16.457%, 8/1/26 7 505,599 119,990 Trust 303, Cl. IO, 13.709%, 11/1/29 7 650,338 173,484 Trust 308, Cl. 2, 15.512%, 9/1/30 7 1,871,158 447,781 Trust 321, Cl. 2, 7.906%, 4/1/32 7 7,191,400 1,925,210 Trust 322, Cl. 2, 17.203%, 4/1/32 7 2,717,035 711,601 Trust 329, Cl. 2, 11.042%, 1/1/33 7 3,528,699 928,150 Trust 331, Cl. 9, 2.112%, 2/1/33 7 2,019,167 508,232 Trust 334, Cl. 17, 17.582%, 2/1/33 7 1,182,316 294,049 Trust 344, Cl. 2, 9.323%, 12/1/33 7 2,091,699 550,249 Trust 2001-65, Cl. S, 13.371%, 11/25/31 7 3,209,810 281,437 Trust 2001-81, Cl. S, 6.414%, 1/25/32 7 741,890 57,118 Trust 2002-9, Cl. MS, 3.933%, 3/25/32 7 893,678 78,089 Trust 2002-52, Cl. SD, 0.832%, 9/25/32 7 1,560,969 122,230 Trust 2002-75, Cl. SA, 14.44%, 11/25/32 7 3,756,494 328,787 Trust 2002-77, Cl. SH, 6.824%, 12/18/32 7 924,058 79,628 Trust 2003-33, Cl. SP, 16.043%, 5/25/33 7 3,176,456 339,381 Trust 2003-46, Cl. IH, 8.154%, 6/25/33 7 6,596,429 1,433,587 Trust 2004-54, Cl. DS, (0.677)%, 11/25/30 7 1,480,062 68,923 Trust 2005-6, Cl. SE, 2.643%, 2/25/35 7 4,670,031 181,610 Trust 2005-19, Cl. SA, 1.837%, 3/25/35 7 17,608,937 707,416 Trust 2005-40, Cl. SA, 2.042%, 5/25/35 7 4,109,213 158,828 Trust 2005-71, Cl. SA, 8.342%, 8/25/25 7 4,488,297 195,398 Trust 2006-33, CL. SP, 18.266%, 5/25/36 7 8,859,698 595,261 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.393%, 9/25/23 8 806,851 629,179 - ------------------------------------------------------------------------------------------------------ First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, Cl. D, 7.619%, 4/29/39 5,9 796,864 797,900 - ------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,667,909 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,550,642 - ------------------------------------------------------------------------------------------------------ GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 762,190 770,379 - ------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., 8.50%, 8/15/17-12/15/17 236,449 252,624 - ------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (3.251)%, 1/16/27 7 1,581,811 81,533 Series 2002-15, Cl. SM, (6.02)%, 2/16/32 7 1,460,944 72,954 Series 2002-76, Cl. SY, (2.376)%, 12/16/26 7 3,531,994 191,337 Series 2004-11, Cl. SM, (5.169)%, 1/17/30 7 1,292,105 69,441 - ------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,911,892 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,717,789
5 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED - ------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 $ 640,000 $ 616,285 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,208,171 - ------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,853,566 - ------------------------------------------------------------------------------------------------------ Lehman XS Trust, Home Equity Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2-A3B, 5.55%, 1/25/36 1,585,074 1,566,104 - ------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,888,492 2,856,244 Series 2004-9, Cl. A3, 4.70%, 8/25/34 5 2,102,739 2,083,658 - ------------------------------------------------------------------------------------------------------ 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 2,532,498 - ------------------------------------------------------------------------------------------------------ Residential Accredit Loans, Inc., CMO Asset-Backed Pass-Through Certificates: Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,439,885 1,426,591 Series 2006-QS5, Cl. A2, 6%, 4/25/08 5,010,000 5,003,933 - ------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,590,000 3,491,560 - ------------------------------------------------------------------------------------------------------ Washington Mutual Mortgage Securities Corp., CMO Pass-Through Certificates, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 5 2,018,183 2,014,277 - ------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities Trust, CMO, Series 2004-DD, Cl. 2A1, 4.514%, 1/25/35 5 1,008,677 1,003,716 -------------- Total Mortgage-Backed Obligations (Cost $367,896,686) 361,648,353 - ------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--1.9% - ------------------------------------------------------------------------------------------------------ Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2002-HE7, Cl. A2B, 5.261%, 11/25/35 5 1,310,000 1,311,531 - ------------------------------------------------------------------------------------------------------ Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.141%, 4/20/08 5 900,000 900,668 - ------------------------------------------------------------------------------------------------------ Argent Securities, Inc., Home Equity Asset-Backed Securities: Series 2004-W8, Cl. A2, 5.561%, 5/25/34 5 4,500,000 4,529,604 Series 2006-W5, Cl. A2B, 5.181%, 5/26/36 5 1,810,000 1,810,000 - ------------------------------------------------------------------------------------------------------ Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,990,000 2,928,301 - ------------------------------------------------------------------------------------------------------ Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2005-B, Cl. AF1, 4.05%, 3/26/35 218,780 217,737 Series 2005-C, Cl. AF1, 4.196%, 6/25/35 798,002 793,588 Series 2005-D, Cl. AF1, 5.04%, 10/25/35 1,934,609 1,921,284 Series 2005-D, Cl. AV2, 5.351%, 10/25/35 5 2,550,000 2,552,664 Series 2006-A, Cl. AV2, 5.20%, 5/16/36 5 2,270,000 2,271,380 - ------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 406,174 - ------------------------------------------------------------------------------------------------------ Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07 9 2,890,000 2,952,119 - ------------------------------------------------------------------------------------------------------ Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates: Series 2002-4, Cl. A1, 5.451%, 2/25/33 5 44,821 44,905 Series 2005-7, Cl. AF1B, 4.317%, 11/25/35 5 954,124 948,487 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 5 920,000 911,775 Series 2005-17, Cl. 1AF1, 5.281%, 5/25/36 5 1,738,255 1,740,580 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 5 620,000 614,265
6 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES CONTINUED - ------------------------------------------------------------------------------------------------------ Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 5 $ 264,516 $ 263,698 - ------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Asset-Backed Certificates, Home Equity Receivables: Series 2005-FF10, Cl. A3, 5.291%, 11/25/35 5 3,800,000 3,804,368 Series 2006-FF5, Cl. 2A1, 5.131%, 5/15/36 5 1,414,737 1,415,588 - ------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2005-A, Cl. A3, 3.48%, 11/17/08 2,200,000 2,177,465 Series 2005-B, Cl. A2, 3.78%, 9/15/07 750,535 749,494 - ------------------------------------------------------------------------------------------------------ Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.341%, 1/20/35 5 1,576,017 1,578,418 - ------------------------------------------------------------------------------------------------------ Lehman XS Trust, Home Equity Asset-Backed Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 3.63%, 8/25/35 5 2,290,771 2,281,258 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,668,336 1,659,856 - ------------------------------------------------------------------------------------------------------ MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.431%, 3/15/16 5 4,080,000 4,345,566 - ------------------------------------------------------------------------------------------------------ Morgan Stanley ABS Capital I, Home Equity Receivables, Series 2005-WMC6, Cl. A2B, 5.341%, 7/25/35 5 1,100,000 1,103,129 - ------------------------------------------------------------------------------------------------------ Onyx Acceptance Owner Trust, Automobile Receivable Obligations, Series 2005-B, Cl. A2, 4.03%, 4/15/08 1,017,505 1,015,287 - ------------------------------------------------------------------------------------------------------ Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. AF2, 3.735%, 11/10/34 5 800,000 792,828 Series 2005-1, Cl. AF2, 3.914%, 5/25/35 5 600,000 591,986 Series 2005-2, Cl. AF2, 4.415%, 4/25/35 5 1,040,000 1,026,877 - ------------------------------------------------------------------------------------------------------ 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 1,892,475 - ------------------------------------------------------------------------------------------------------ Structured Asset Investment Loan Trust, Home Equity Asset-Backed Securities, Series 2006-2, Cl. A1, 5.141%, 4/25/36 5 1,643,415 1,644,524 - ------------------------------------------------------------------------------------------------------ Structured Asset Securities Corp., CMO Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 2,884,928 2,874,674 - ------------------------------------------------------------------------------------------------------ Wells Fargo Home Equity Trust, Home Equity Asset-Backed Certificates, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 5 470,289 468,740 - ------------------------------------------------------------------------------------------------------ Whole Auto Loan Trust, Automobile Loan Receivable Certificates, Series 2004-1, Cl. A2A, 2.59%, 5/15/07 109,056 109,001 -------------- Total Asset-Backed Securities (Cost $56,843,270) 56,650,294 - ------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--1.2% - ------------------------------------------------------------------------------------------------------ Fannie Mae Unsec. Nts., 3.69%, 10/5/07 10 2,255,000 2,101,186 - ------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. Unsec. Nts.: 4.125%, 7/12/10 1,210,000 1,156,299 5.125%, 4/18/11 1,310,000 1,296,284 6.625%, 9/15/09 2,340,000 2,431,438 - ------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Unsec. Nts.: 4.75%, 12/15/10 3,405,000 3,321,932 6%, 5/15/11 2,855,000 2,930,672
7 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS CONTINUED - ------------------------------------------------------------------------------------------------------ 6.625%, 9/15/09 $ 3,555,000 $ 3,694,363 - ------------------------------------------------------------------------------------------------------ Tennessee Valley Authority Bonds, Series A, 6.79%, 5/23/12 10,194,000 10,920,679 - ------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds, 5.375%, 2/15/31 5,814,000 5,882,134 - ------------------------------------------------------------------------------------------------------ U.S. Treasury Nts.: 4.50%, 11/15/15-2/15/16 384,000 365,681 4.25%, 3/31/08 1,360,000 1,350,385 4.75%, 3/31/11 552,000 545,230 4.875%, 4/30/11 273,000 271,070 5.125%, 5/15/16 855,000 855,935 -------------- Total U.S. Government Obligations (Cost $38,329,679) 37,123,288 - ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES--10.1% - ------------------------------------------------------------------------------------------------------ Ahold Finance USA, Inc., 6.25% Sr. Unsec. Unsub. Nts., 5/1/09 2,315,000 2,323,681 - ------------------------------------------------------------------------------------------------------ Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,495,000 2,286,248 - ------------------------------------------------------------------------------------------------------ Allied Waste North America, Inc.: 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,750,000 8.50% Sr. Sub. Nts., 12/1/08 2,500,000 2,634,375 8.875% Sr. Nts., Series B, 4/1/08 1,420,000 1,505,429 - ------------------------------------------------------------------------------------------------------ AT&T Wireless Services, Inc.: 7.50% Sr. Unsec. Nts., 5/1/07 11 770,000 783,283 8.125% Sr. Unsec. Nts., 5/1/12 2,115,000 2,347,735 - ------------------------------------------------------------------------------------------------------ Bank Plus Corp., 12% Sr. Nts., 7/18/07 12 2,500,000 2,687,500 - ------------------------------------------------------------------------------------------------------ Barclays Bank plc, 6.278% Perpetual Bonds 13 2,500,000 2,228,250 - ------------------------------------------------------------------------------------------------------ Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 1,515,000 1,439,250 8.375% Sr. Nts., 4/15/12 800,000 827,000 - ------------------------------------------------------------------------------------------------------ British Telecommunications plc, 8.875% Bonds, 12/15/30 1,335,000 1,647,279 - ------------------------------------------------------------------------------------------------------ Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 2,950,000 3,090,414 - ------------------------------------------------------------------------------------------------------ CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 2,770,000 2,902,076 - ------------------------------------------------------------------------------------------------------ Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 1,440,000 1,507,268 - ------------------------------------------------------------------------------------------------------ Charter Communications Holdings I LLC, 11% Sr. Sec. Nts., 10/1/15 57,500,000 49,737,500 - ------------------------------------------------------------------------------------------------------ Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: 9.92% Sr. Unsec. Disc. Nts., 4/1/11 24,629,000 14,900,545 13.50% Sr. Unsec. Disc. Nts., 1/15/11 4,250,000 2,783,750 - ------------------------------------------------------------------------------------------------------ Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 5,474,978 - ------------------------------------------------------------------------------------------------------ CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 2,700,000 2,952,142 - ------------------------------------------------------------------------------------------------------ Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 1,205,000 1,242,995 - ------------------------------------------------------------------------------------------------------ Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,945,965 - ------------------------------------------------------------------------------------------------------ Continental Airlines, Inc., 7.568% Pass-Through Certificates, Series D, 12/1/06 10,250,000 10,229,200 - ------------------------------------------------------------------------------------------------------ Cox Communications, Inc., 4.625% Unsec. Nts., 1/15/10 3,160,000 3,022,085 - ------------------------------------------------------------------------------------------------------ Credit Suisse First Boston, Inc. (USA), 5.25% Nts., 3/2/11 3,015,000 2,961,728 - ------------------------------------------------------------------------------------------------------ CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 3,000,000 - ------------------------------------------------------------------------------------------------------ D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 1,790,000 1,684,360 6.125% Nts., 1/15/14 1,315,000 1,262,057 - ------------------------------------------------------------------------------------------------------ DaimlerChrysler North America Holdings Corp., 7.30% Nts., 1/15/12 2,760,000 2,899,446 - ------------------------------------------------------------------------------------------------------ Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,980,000 2,229,543 - ------------------------------------------------------------------------------------------------------ Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 2,730,000 2,946,194
8 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ------------------------------------------------------------------------------------------------------ DTE Energy Co.: 6.35% Nts., 6/1/16 $ 1,805,000 $ 1,802,343 6.45% Sr. Unsub. Nts., 6/1/06 1,430,000 1,430,000 - ------------------------------------------------------------------------------------------------------ EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 2,720,000 2,944,240 - ------------------------------------------------------------------------------------------------------ Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,945,000 1,981,681 - ------------------------------------------------------------------------------------------------------ FirstEnergy Corp.: 5.50% Sr. Unsub. Nts., Series A, 11/15/06 1,230,000 1,229,151 7.375% Sr. Unsub. Nts., Series C, 11/15/31 2,720,000 2,926,568 - ------------------------------------------------------------------------------------------------------ Ford Motor Credit Co.: 5.80% Sr. Unsec. Nts., 1/12/09 914,000 835,808 6.625% Nts., 6/16/08 5,422,000 5,137,464 - ------------------------------------------------------------------------------------------------------ Gap, Inc. (The): 6.90% Nts., 9/15/07 2,130,000 2,151,815 9.55% Unsub. Nts., 12/15/08 5 359,000 388,104 - ------------------------------------------------------------------------------------------------------ General Motors Acceptance Corp.: 6.15% Nts., 4/5/07 2,885,000 2,845,998 8% Bonds, 11/1/31 2,355,000 2,217,798 - ------------------------------------------------------------------------------------------------------ Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,020,000 2,844,925 - ------------------------------------------------------------------------------------------------------ HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 9,13 3,200,000 2,899,126 - ------------------------------------------------------------------------------------------------------ HCA, Inc., 7.125% Sr. Unsec. Nts., 6/1/06 1,445,000 1,445,000 - ------------------------------------------------------------------------------------------------------ Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 1,775,000 1,894,978 - ------------------------------------------------------------------------------------------------------ HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 5 3,000,000 2,894,781 - ------------------------------------------------------------------------------------------------------ Hyatt Equities LLC, 6.875% Nts., 6/15/07 9 2,670,000 2,695,370 - ------------------------------------------------------------------------------------------------------ Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 9 1,645,000 1,618,698 - ------------------------------------------------------------------------------------------------------ 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 1,060,000 - ------------------------------------------------------------------------------------------------------ iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 3,125,000 2,981,663 - ------------------------------------------------------------------------------------------------------ JPMorgan Chase & Co., 5.15% Sub. Nts., 10/1/15 3,050,000 2,871,160 - ------------------------------------------------------------------------------------------------------ K. Hovnanian Enterprises, Inc.: 6.50% Sr. Nts., 1/15/14 1,580,000 1,459,179 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,656,000 - ------------------------------------------------------------------------------------------------------ KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 1,915,000 1,733,374 - ------------------------------------------------------------------------------------------------------ Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,670,000 1,618,925 - ------------------------------------------------------------------------------------------------------ Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 2,970,000 2,867,900 - ------------------------------------------------------------------------------------------------------ Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 2,170,000 2,257,273 - ------------------------------------------------------------------------------------------------------ Liberty Media Corp.: 5.70% Sr. Unsec. Nts., 5/15/13 1,580,000 1,459,906 7.875% Sr. Nts., 7/15/09 845,000 883,940 - ------------------------------------------------------------------------------------------------------ Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,490,000 1,440,092 - ------------------------------------------------------------------------------------------------------ Lucent Technologies, Inc., 6.45% Unsec. Debs., 3/15/29 17,500,000 15,334,375 - ------------------------------------------------------------------------------------------------------ Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 2,010,000 1,761,839 7.125% Sr. Unsec. Nts., 6/15/09 1,660,000 1,717,215 - ------------------------------------------------------------------------------------------------------ May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 1,050,000 1,073,033 - ------------------------------------------------------------------------------------------------------ MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 1,008,000 895,671 - ------------------------------------------------------------------------------------------------------ MeadWestvaco Corp., 6.85% Unsec. Unsub. Nts., 4/1/12 2,290,000 2,334,513 - ------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 1,565,000 1,472,972 - ------------------------------------------------------------------------------------------------------ MetLife, Inc., 5.70% Sr. Unsec. Nts., 6/15/35 1,555,000 1,399,755 - ------------------------------------------------------------------------------------------------------ MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 2,370,000 2,349,263
9 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ------------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ------------------------------------------------------------------------------------------------------ National City Bank, 6.20% Sub. Nts., 12/15/11 $ 213,000 $ 218,242 - ------------------------------------------------------------------------------------------------------ Nationwide Financial Services, Inc.: 5.90% Nts., 7/1/12 1,600,000 1,602,616 6.25% Sr. Unsec. Nts., 11/15/11 40,000 40,795 - ------------------------------------------------------------------------------------------------------ NiSource Finance Corp.: 3.20% Nts., 11/1/06 440,000 435,927 7.875% Sr. Unsec. Nts., 11/15/10 2,150,000 2,312,011 - ------------------------------------------------------------------------------------------------------ Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 4,125,000 4,296,188 - ------------------------------------------------------------------------------------------------------ Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 9 4,337,833 4,253,324 - ------------------------------------------------------------------------------------------------------ PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 9 944,002 875,557 - ------------------------------------------------------------------------------------------------------ Popular North America, Inc., 4.70% Nts., 6/30/09 3,665,000 3,552,664 - ------------------------------------------------------------------------------------------------------ Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 9 2,910,000 3,474,104 - ------------------------------------------------------------------------------------------------------ Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 2,890,000 3,458,787 - ------------------------------------------------------------------------------------------------------ PSEG Funding Trust I, 5.381% Nts., 11/16/07 1,735,000 1,727,069 - ------------------------------------------------------------------------------------------------------ Pulte Homes, Inc., 4.875% Nts., 7/15/09 1,350,000 1,309,343 - ------------------------------------------------------------------------------------------------------ Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 1,235,000 1,146,512 - ------------------------------------------------------------------------------------------------------ Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 13,500,000 11,880,000 - ------------------------------------------------------------------------------------------------------ Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 2,850,000 2,906,806 - ------------------------------------------------------------------------------------------------------ Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,000,000 1,028,750 - ------------------------------------------------------------------------------------------------------ TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,755,000 3,207,575 - ------------------------------------------------------------------------------------------------------ Telus Corp., 8% Nts., 6/1/11 350,000 382,831 - ------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 2,560,000 2,893,965 - ------------------------------------------------------------------------------------------------------ TXU Energy Co., 6.125% Nts., 3/15/08 1,955,000 1,965,966 - ------------------------------------------------------------------------------------------------------ Tyco International Group SA: 6.125% Unsec. Unsub. Nts., 11/1/08 2,590,000 2,614,051 6.125% Unsec. Unsub. Nts., 1/15/09 351,000 354,064 - ------------------------------------------------------------------------------------------------------ Tyson Foods, Inc., 7.25% Sr. Unsec. Nts., 10/1/06 570,000 572,853 - ------------------------------------------------------------------------------------------------------ Univision Communications, Inc., 3.50% Sr. Unsec. Nts., 10/15/07 2,425,000 2,347,201 - ------------------------------------------------------------------------------------------------------ Verizon Global Funding Corp.: 5.85% Nts., 9/15/35 1,535,000 1,330,535 7.25% Sr. Unsec. Unsub. Nts., 12/1/10 1,400,000 1,474,869 - ------------------------------------------------------------------------------------------------------ Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,990,000 2,985,201 - ------------------------------------------------------------------------------------------------------ Wachovia Bank NA, 5.60% Sub. Nts., 3/15/16 1,530,000 1,490,231 - ------------------------------------------------------------------------------------------------------ Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 2,010,000 2,183,363 - ------------------------------------------------------------------------------------------------------ Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 1,890,000 2,041,657 -------------- Total Non-Convertible Corporate Bonds and Notes (Cost $317,834,157) 306,880,679 - ------------------------------------------------------------------------------------------------------ CONVERTIBLE CORPORATE BONDS AND NOTES--11.9% - ------------------------------------------------------------------------------------------------------ Charter Communications, Inc.: 5.875% Cv. Sr. Nts., 11/16/09 9 5,000,000 3,643,750 5.875% Cv. Sr. Nts., 11/16/09 5,000,000 3,643,750 - ------------------------------------------------------------------------------------------------------ CSK Auto, Inc.: 3.375% Cv. Sr. Nts., 8/15/25 9 27,000,000 26,966,250 4.625% Cv. Sr. Unsec. Nts., 12/15/25 5,9 11,000,000 11,096,250 - ------------------------------------------------------------------------------------------------------ Liberty Media Corp.: 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 56,000,000 59,500,000 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) 70,000,000 44,712,500
10 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ---------------------------------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ---------------------------------------------------------------------------------------------------------------------- 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 $ 106,696,875 - ---------------------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc., 2.75% Cv. Sr. Unsec. Debs., Series A, 6/15/23 20,000,000 19,925,000 - ---------------------------------------------------------------------------------------------------------------------- Nortel Networks Corp., 4.25% Cv. Sr. Unsec. Nts., 9/1/08 15,000,000 14,268,750 - ---------------------------------------------------------------------------------------------------------------------- Pride International, Inc., 3.25% Cv. Sr. Nts., 5/1/33 20,500,000 28,213,125 - ---------------------------------------------------------------------------------------------------------------------- Sirius Satellite Radio, Inc., 2.50% Cv. Sr. Nts., 2/15/09 10,250,000 12,248,750 - ---------------------------------------------------------------------------------------------------------------------- XM Satellite Radio Holdings, Inc.: 1.75% Cv. Sr. Nts., 12/1/09 9 14,250,000 11,257,500 1.75% Cv. Sr. Nts., 12/1/09 23,250,000 18,367,500 ----------------- Total Convertible Corporate Bonds and Notes (Cost $383,110,997) 360,540,000 - ---------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--8.3% - ---------------------------------------------------------------------------------------------------------------------- Bank of America NA, Boston Scientific Corp. Cv. Linked Nts., 2.25%, 11/6/06 15,000,000 12,895,500 - ---------------------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Echostar Communications Corp. Cv. Equity-Linked Nts., 3.79%, 10/31/06 2 381,113 11,456,714 Pulte Homes, Inc. Cv. Equity-Linked Nts., 7.55%, 3/14/07 2 259,673 9,801,305 Tyco International Ltd. Cv. Equity-Linked Nts., 2.87%, 12/15/06 2 1,170,961 31,774,261 - ---------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc., (New York), Cv. Equity Linked Nts., 1.60%, 12/29/06 (redemption linked to Comcast Corp., Cl. A common stock) 1,724,340 52,738,939 - ---------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Boston Scientific Corp. Cv. Medium Term Linked Nts., 1.20%, 9/7/06 568,180 11,730,076 Cisco Systems, Inc. Cv. Linked Nts., 4%, 9/25/06 694,213 13,453,848 EchoStar Communications Corp. Cv. Linked Nts., 3.40%, 1/2/07 595,400 17,426,167 GlobalSantaFe Corp. Cv. Linked Nts., 7%, 6/30/08 431,460 23,009,330 - ---------------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., Cv. Yield Enhanced Equity Linked Debt Securities, Series H, 7%, 12/20/06 (linked to CarMax, Inc.) 764,498 21,956,383 - ---------------------------------------------------------------------------------------------------------------------- Morgan Stanley: Cv. Nts., 3.42%, 3/16/07 (linked to Tyco International Ltd.) 12 1,171,000 31,095,905 Cv. Performance Equity Linked Redemption Quarterly-pay Nts., 2.55%, 12/29/06 (linked to Dollar Tree Stores, Inc.) 12 605,830 15,597,093 ----------------- Total Structured Notes (Cost $239,963,424) 252,935,521 - ---------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $2,664,622,262) 103.2% 3,123,542,365 - ---------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (3.2) (97,810,964) ---------------------------------- NET ASSETS 100.0% $ 3,025,731,401 ==================================
11 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- FOOTNOTES TO STATEMENT OF INVESTMENTS 1. A sufficient amount of securities has been designated to cover outstanding written put options, as follows
CONTRACTS SUBJECT TO EXPIRATION EXERCISE PREMIUM PUT DATES PRICE RECEIVED VALUE - --------------------------------------------------------------------------------------------------------------------- Abbott Laboratories 620 6/19/06 $ 42.50 $ 63,238 $ 40,300 Abbott Laboratories 380 8/21/06 45.00 126,206 104,500 Altria Group, Inc. 1,500 9/18/06 70.00 520,484 510,000 BellSouth Corp. 1,363 10/23/06 35.00 343,465 286,230 Boston Scientific Corp. 1,500 7/24/06 22.50 319,490 337,500 Boston Scientific Corp. 222 1/22/07 30.00 120,768 204,240 Cendant Corp. 8,050 8/21/06 17.50 842,724 1,207,500 Chevron Corp. 5,000 6/19/06 60.00 989,239 650,000 Comcast Corp., Cl. A Special, Non-Vtg. 2,904 7/24/06 27.50 468,123 43,560 ENSCO International, Inc. 1,000 6/19/06 50.00 96,997 295,000 Exxon Mobil Corp. 5,000 7/24/06 60.00 1,476,440 775,000 GlobalSantaFe Corp. 6,500 7/24/06 57.50 996,079 1,462,500 Kinder Morgan, Inc. 1,000 8/21/06 95.00 756,977 95,000 Phelps Dodge Corp. 2,000 7/24/06 90.00 1,253,961 1,680,000 Sanofi-Aventis SA, ADR 200 6/19/06 45.00 79,398 10,000 Take-Two Interactive Software, Inc. 11,375 9/18/06 15.00 1,554,889 1,421,875 Transocean, Inc. 3,000 8/21/06 80.00 1,248,211 1,470,000 Tyco International Ltd. 7,250 7/24/06 27.50 1,623,104 797,500 Wal-Mart Stores, Inc. 750 6/19/06 47.50 177,742 30,000 Williams Cos., Inc. (The) 1,000 6/19/06 22.50 159,495 65,000 Williams Cos., Inc. (The) 3,928 8/21/06 22.50 814,351 491,000 ------------------------------ $ 14,031,381 $ 11,976,705 ==============================
2. Non-income producing security. 3. 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 May 31, 2006. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2005 ADDITIONS REDUCTIONS MAY 31, 2006 - ---------------------------------------------------------------------------------------------------------------------------- CSK Auto Corp. 6,488,750 94,627 1,080,000 5,503,377 Enbridge Energy Management LLC 700,000 56,724* 7,223 749,501 Lehman Brothers Holdings, Inc., 3.60% Cv. Series TYC (linked to Tyco International Ltd.) -- 1,968,811 -- 1,968,811 DIVIDEND REALIZED VALUE INCOME GAIN (LOSS) - ---------------------------------------------------------------------------------------------------------------------------- CSK Auto Corp. $ 69,947,922 $ -- $ (7,952,442) Enbridge Energy Management LLC 31,793,819 -- 16,554 Lehman Brothers Holdings, Inc., 3.60% Cv. Series TYC (linked to Tyco International Ltd.) 52,173,492 454,500 -- --------------------------------------------------------- $ 153,915,233 $ 454,500 $ (7,935,888) =========================================================
* A portion of the transactions (42,272) was the result of a stock dividend. 12 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- 4. A sufficient amount of liquid assets has been designated to cover outstanding written call options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO CALL DATES PRICE RECEIVED VALUE - ---------------------------------------------------------------------------------------------------------------- BP plc, ADR 5,000 6/19/06 $ 80.00 $ 257,492 $ -- Kinder Morgan, Inc. 2,500 8/21/06 105.00 190,359 212,500 Kraft Foods, Inc., Cl. A 15,000 10/6/06 30.25 1,602,338 5,161,800 Microsoft Corp. 250 6/19/06 25.00 4,750 1,250 Raytheon Co. 1,750 6/19/06 45.00 292,241 218,750 Raytheon Co. 1,000 6/19/06 47.50 28,239 15,000 Sempra Energy 2,125 7/24/06 50.00 132,466 -- U.S. Bancorp 10,000 6/19/06 32.50 269,761 -- Wachovia Corp. 1,000 6/19/06 57.50 33,999 -- Washington Mutual, Inc. 5,000 7/24/06 45.00 959,970 1,100,000 Washington Mutual, Inc. 5,000 6/19/06 45.00 609,981 700,000 ------------------------------ $ 4,381,596 $ 7,409,300 ==============================
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 May 31, 2006. See accompanying Notes. 7. 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 $14,816,779 or 0.49% of the Fund's net assets as of May 31, 2006. 8. 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 $880,216 or 0.03% of the Fund's net assets as of May 31, 2006. 9. 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 $72,529,948 or 2.40% of the Fund's net assets as of May 31, 2006. 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 $783,283. See accompanying Notes. 12. Illiquid security. The aggregate value of illiquid securities as of May 31, 2006 was $49,380,498, which represents 1.63% of the Fund's net assets. See accompanying Notes. 13. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 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 May 31, 2006 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 $2,680,979,055 Federal tax cost of other investments (73,675,882) --------------- Total federal tax cost $2,607,303,173 =============== Gross unrealized appreciation $ 552,901,419 Gross unrealized depreciation (110,792,091) --------------- Net unrealized appreciation $ 442,109,328 =============== 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 13 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- 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, as 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 May 31, 2006, the market value of these securities comprised 8.3% of the Fund's net assets and resulted in unrealized cumulative gains of $12,972,097. 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 May 31, 2006, the Fund had purchased $135,321,812 of securities issued on a when-issued basis or forward commitment and sold $54,097,310 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. 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. 14 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- 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. 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. As of May 31, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MAY 31, 2006 (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 9/20/06 378 $ 40,150,688 $ (162,868) U.S. Treasury Nts., 10 yr. 9/20/06 236 24,761,563 (17,593) ---------------- (180,461) ---------------- CONTRACTS TO SELL Euro-Bundesobligation, 10 yr. 6/8/06 168 24,982,573 529,075 U.S. Treasury Nts., 2 yr. 9/29/06 350 71,126,563 112,736
15 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- U.S. Treasury Nts., 5 yr. 9/29/06 227 23,519,328 124,563 ---------------- 766,374 ---------------- $ 585,913 ================
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 May 31, 2006 was as follows:
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 170,002 12,973,270 316,741 53,949,169 Options closed or expired (139,208) (11,064,888) (275,590) (43,433,768) Options exercised (12,732) (1,880,836) (42,543) (11,570,323) ------------------------------------------------------------------------- Options outstanding as of May 31, 2006 48,625 $ 4,381,596 64,542 $ 14,031,381 =========================================================================
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 unrealized gain (loss) related to the daily change in the valuation of the notional amount of the swap, as well as the amount due to (owed by) the Fund at termination or settlement, is combined and separately disclosed as an asset (liability). The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss). Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of May 31, 2006, the Fund had entered into the following total return swap agreements: 16 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - --------------------------------------------------------------------------------
SWAP NOTIONAL TERMINATION UNREALIZED COUNTERPARTY SWAP DESCRIPTION AMOUNT DATE DEPRECIATION - ----------------------------------------------------------------------------------------------------------------------------------- Received or paid monthly. If the sum of the Lehman Brothers CMBS Index Payer Payment Amount and the Floating Rate Payer Payment Amount is positive, the Counterparty will pay such amount to the Fund. If the sums are negative, then the Fund shall pay the absolute value of such amount to the Goldman Sachs Group, Inc. (The) Counterparty. $ 12,530,000 6/1/06 $ 26,546 Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities
CREDIT DEFAULT SWAP CONTRACTS The Fund may enter into a credit default swap contract to seek to maintain a total return on a particular investment or portion of its portfolio, or for other non-speculative purposes. Credit default swap contracts are subject to credit risks (for example if the counterparty fails to meet its obligations). As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized loss upon payment. The Fund also records an increase or decrease to unrealized gain (loss) in an amount equal to the daily valuation. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as realized gain. Information regarding such credit default swaps as of May 31, 2006 is as follows:
NOTIONAL AMOUNT ANNUAL RECEIVED BY INTEREST UNREALIZED THE FUND UPON RATE PAID APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------- Barclays Bank plc Whirlpool Corp. $2,220,000 0.430% $ (2,270) - --------------------------------------------------------------------------------------------------------------- Deutsche Bank: Barclays Bank plc Kohl's Corp. 1,480,000 0.260 (1,743) Kohl's Corp. 1,500,000 0.270 (2,415) Vornado Realty LP 1,490,000 0.320 4,715 Vornado Realty LP 1,490,000 0.330 3,973 Whirlpool Corp. 2,230,000 0.430 (2,255) - --------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: Eastman Chemical Co. 1,850,000 0.550 (6,143) Tribune Co. 2,220,000 0.640 9,589 - --------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Belo Corp. 1,675,000 0.650 3,764 Belo Corp. 925,000 0.670 994 Belo Corp. 1,870,000 0.675 1,719 Eastman Chemical Co. 2,600,000 0.560 (11,854) Marriott International, Inc. 1,490,000 0.300 (835) Marriott International, Inc. 1,490,000 0.290 (100) Tribune Co. 2,230,000 0.640 7,927 ----------- $ 5,066 ===========
17 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2006 / Unaudited - -------------------------------------------------------------------------------- As a seller of a credit default swap contract, the Fund receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt. The Fund also records an increase or decrease to unrealized gain (loss) in an amount equal to the daily valuation. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as realized loss. Information regarding such credit default swaps as of May 31, 2006 is as follows:
ANNUAL NOTIONAL AMOUNT INTEREST RATE UNREALIZED PAID BY THE FUND RECEIVED BY APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION UPON CREDIT EVENT THE FUND (DEPRECIATION) - -------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Countrywide Home Loans, Inc. $1,830,000 0.400% $ (1,180) Countrywide Home Loans, Inc. 1,100,000 0.420 191 General Motors Acceptance Corp. 1,875,000 3.150 4,139 J.C. Penney Co. 2,960,000 0.370 (9,318) -------------- $ (6,168) ==============
ILLIQUID SECURITIES As of May 31, 2006, 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. 18 | 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 05/31/2006, 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: 07/13/2006 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: 07/13/2006 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: 07/13/2006 EX-99.CERT 2 rq300_33631-302.txt RQ300_33631-302.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Principal Executive Officer Date: 07/13/2006 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Principal Financial Officer Date: 07/13/2006 -----END PRIVACY-ENHANCED MESSAGE-----