N-Q 1 rq300_37501nq.txt RQ300_37501NQ.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-1512 OPPENHEIMER CAPITAL INCOME FUND (Exact name of registrant as specified in charter) 6803 SOUTH TUCSON WAY, CENTENNIAL, COLORADO 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. TWO WORLD FINANCIAL CENTER, NEW YORK, NEW YORK 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: AUGUST 31 --------- Date of reporting period: NOVEMBER 30, 2006 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Shares Value ----------------------------------------------------------------------------------------------------------- COMMON STOCKS--48.8% CONSUMER DISCRETIONARY--2.8% ----------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.2% Domino's Pizza, Inc. 21,000 $ 576,660 ----------------------------------------------------------------------------------------------------------- Wyndham Worldwide Corp.(1) 115,000 3,650,100 ------------------ 4,226,760 ----------------------------------------------------------------------------------------------------------- MEDIA--0.0% Regal Entertainment Group 28,750 598,288 ----------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--2.6% CSK Auto Corp.(1,2) 5,069,250 84,403,013 ----------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--8.5% ----------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.5% B&G Foods, Inc. 880,000 17,248,000 ----------------------------------------------------------------------------------------------------------- TOBACCO--8.0% Altria Group, Inc.(3) 2,200,000 185,262,000 ----------------------------------------------------------------------------------------------------------- Loews Corp./Carolina Group 1,150,000 71,725,500 ------------------ 256,987,500 ----------------------------------------------------------------------------------------------------------- ENERGY--15.0% ----------------------------------------------------------------------------------------------------------- OIL & GAS--15.0% BP plc, ADR 500,000 34,040,000 ----------------------------------------------------------------------------------------------------------- Chevron Corp. 96,000 6,942,720 ----------------------------------------------------------------------------------------------------------- ConocoPhillips(3) 80,000 5,384,000 ----------------------------------------------------------------------------------------------------------- Enbridge Energy Management LLC(2) 700,278 34,523,695 ----------------------------------------------------------------------------------------------------------- Enbridge Energy Partners LP, Cl. A 62,000 3,103,720 ----------------------------------------------------------------------------------------------------------- Hess Corp. 129,999 6,535,050 ----------------------------------------------------------------------------------------------------------- Kinder Morgan Management LLC 3,687,501 169,625,024 ----------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc.(3) 1,550,750 162,751,213 ----------------------------------------------------------------------------------------------------------- Occidental Petroleum Corp. 217,500 10,948,950 ----------------------------------------------------------------------------------------------------------- Tortoise Energy Capital Corp. 620,000 16,423,800 ----------------------------------------------------------------------------------------------------------- Valero GP Holdings LLC 1,222,500 25,782,525 ----------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The)(3) 304,700 8,458,472 ------------------ 484,519,169 ----------------------------------------------------------------------------------------------------------- FINANCIALS--14.3% ----------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.4% U.S. Bancorp(3) 1,000,000 33,640,000 ----------------------------------------------------------------------------------------------------------- Wachovia Corp.(3) 202,500 10,973,475 ------------------- 44,613,475 ----------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.0% SLM Corp. 16,100 738,024 ----------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--6.5% Bank of America Corp. 1,672,500 90,064,125 ----------------------------------------------------------------------------------------------------------- Citigroup, Inc. 2,407,500 119,387,925 ------------------ 209,452,050 ----------------------------------------------------------------------------------------------------------- INSURANCE--4.4% ACE Ltd.(3) 867,500 49,308,700 ----------------------------------------------------------------------------------------------------------- Everest Re Group Ltd. 900,000 88,569,000
1 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Shares Value ----------------------------------------------------------------------------------------------------------- COMMON STOCKS CONTINUED ----------------------------------------------------------------------------------------------------------- INSURANCE CONTINUED Fidelity National Title Group, Inc., Cl. A 257,500 $ 5,829,800 ------------------- 143,707,500 ----------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--0.6% Anthracite Capital, Inc. 857,200 10,860,724 ----------------------------------------------------------------------------------------------------------- Crystal River Capital, Inc. 435,000 9,991,950 ------------------ 20,852,674 ----------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--1.4% Washington Mutual, Inc. 1,000,000 43,680,000 ----------------------------------------------------------------------------------------------------------- HEALTH CARE--1.4% ----------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--1.4% Pfizer, Inc.(3) 1,500,000 41,235,000 ----------------------------------------------------------------------------------------------------------- Sanofi-Aventis SA, ADR(3) 97,500 4,290,975 ------------------- 45,525,975 ----------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.1% ----------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.6% Raytheon Co.(3) 1,000,000 51,040,000 ----------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.5% General Electric Co. 1,182,500 41,718,600 ----------------------------------------------------------------------------------------------------------- Siemens AG, Sponsored ADR 80,000 7,636,000 ------------------- 49,354,600 ----------------------------------------------------------------------------------------------------------- MARINE--0.0% Seaspan Corp. 55,000 1,214,400 ----------------------------------------------------------------------------------------------------------- MATERIALS--0.3% ----------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.3% Packaging Corp. of America(3) 422,500 9,527,375 ----------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.6% ----------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.6% BellSouth Corp.(3) 100,000 4,459,000 ----------------------------------------------------------------------------------------------------------- Citizens Communications Co. 1,275,000 18,066,750 ----------------------------------------------------------------------------------------------------------- Consolidated Communications Holdings, Inc. 1,125,000 20,835,000 ----------------------------------------------------------------------------------------------------------- Embarq Corp.(3) 60,000 3,087,000 ----------------------------------------------------------------------------------------------------------- FairPoint Communications, Inc. 1,000,000 18,470,000 ----------------------------------------------------------------------------------------------------------- Windstream Corp. 1,250,000 17,425,000 ------------------- 82,342,750 ----------------------------------------------------------------------------------------------------------- UTILITIES--0.8% ----------------------------------------------------------------------------------------------------------- MULTI-UTILITIES & UNREGULATED POWER--0.8% Sempra Energy(3) 500,000 27,250,000 ------------------- Total Common Stocks (Cost $930,280,037) 1,577,281,553 ----------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--6.7% AES Trust III, 6.75% Cv. 190,000 9,357,500 ----------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp., 6.125% Cum. Cv., Non-Vtg. 217,500 6,668,550 ----------------------------------------------------------------------------------------------------------- El Paso Corp., 4.99% Cv. 1,500 1,943,063 ----------------------------------------------------------------------------------------------------------- Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg.(3) 497,100 20,008,275 ----------------------------------------------------------------------------------------------------------- General Motors Corp., 4.50% Cv. Sr. Debs., Series A 1,050,000 26,418,000 ----------------------------------------------------------------------------------------------------------- Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 37,925 38,930,013
2 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Shares Value ----------------------------------------------------------------------------------------------------------- PREFERRED STOCKS CONTINUED ----------------------------------------------------------------------------------------------------------- NRG Energy, Inc., 5.75% Cv. 22,500 $ 6,206,400 ----------------------------------------------------------------------------------------------------------- Platinum Underwriters Holdings Ltd., 6% Cv., Series A, Non-Vtg. 750,000 22,687,500 ----------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., 4.50% Cv. Jr. Unsec. Sub. Nts. 1,775,000 46,576,000 ----------------------------------------------------------------------------------------------------------- United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities 378,569 18,549,881 ----------------------------------------------------------------------------------------------------------- XL Capital Ltd., 7% Cv. 775,000 20,196,500 ------------------- Total Preferred Stocks (Cost $201,757,383) 217,541,682 Principal Amount ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--12.2% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 $ 2,670,000 2,629,339 ----------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 2,061,719 2,100,836 ----------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,676,360 1,694,172 ----------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 660,000 659,461 ----------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 4,002,008 4,053,286 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 3,292,998 3,389,741 ----------------------------------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 3,193,494 3,189,255 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 1,022,806 1,023,477 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 11,860,196 11,556,571 5%, 8/1/33 6,398,667 6,270,262 5%, 12/1/36(4) 1,612,000 1,575,730 6%, 5/1/18 3,985,001 4,057,975 6.50%, 4/1/18-4/1/34 2,036,017 2,087,988 7%, 9/1/23-3/1/35 9,941,617 10,252,144 8%, 4/1/16 522,177 552,929 9%, 8/1/22-5/1/25 157,304 168,660 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2034, Cl. Z, 6.50%, 2/15/28 661,009 680,747 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,972,030 2,024,590 Series 2053, Cl. Z, 6.50%, 4/15/28 733,874 755,238 Series 2055, Cl. ZM, 6.50%, 5/15/28 895,729 915,121 Series 2075, Cl. D, 6.50%, 8/15/28 2,380,002 2,446,810 Series 2080, Cl. Z, 6.50%, 8/15/28 582,538 596,108 Series 2326, Cl. ZP, 6.50%, 6/15/31 726,950 748,185 Series 2387, Cl. PD, 6%, 4/15/30 375,313 375,755 Series 2500, Cl. FD, 5.82%, 3/15/32(5) 324,138 326,421 Series 2526, Cl. FE, 5.72%, 6/15/29(5) 439,093 438,624 Series 2551, Cl. FD, 5.72%, 1/15/33(5) 342,763 346,219 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 13.174%, 6/1/26(6) 602,633 121,176 Series 183, Cl. IO, 9.842%, 4/1/27(6) 930,827 187,921
3 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED Series 184, Cl. IO, 15.245%, 12/1/26(6) $ 989,290 $ 199,660 Series 192, Cl. IO, 13.219%, 2/1/28(6) 300,894 57,655 Series 200, Cl. IO, 12.287%, 1/1/29(6) 362,319 72,717 Series 2003-118, Cl. S, 9.27%, 12/25/33(6) 5,080,190 622,401 Series 2005-87, Cl. S G, 10.013%, 10/25/35(6) 8,608,619 500,670 Series 2130, Cl. SC, (2.182)%, 3/15/29(6) 705,159 49,212 Series 2796, Cl. SD, 0.672%, 7/15/26(6) 1,055,320 79,359 Series 2920, Cl. S, (1.787)%, 1/15/35(6) 6,011,332 285,286 Series 3000, Cl. SE, (2.753)%, 7/15/25(6) 6,437,794 242,721 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.507%, 6/1/26(7) 286,841 240,143 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 9/1/18-12/1/21(4) 13,008,237 12,689,973 5%, 3/1/18-11/1/33 36,652,226 36,118,698 5%, 12/1/21-12/1/36(4) 41,145,000 40,535,493 5.50%, 1/1/33-4/1/34 20,236,366 20,220,836 5.50%, 12/1/21-12/1/36(4) 25,990,000 26,006,919 6%, 8/1/32-11/1/33 12,950,068 13,134,363 6%, 12/18/21-4/1/33(4) 24,998,188 25,435,930 6.50%, 5/1/17-11/1/31 18,111,957 18,615,870 6.50%, 12/1/36(4) 18,625,000 19,009,141 7%, 11/1/17-7/1/35 9,390,895 9,702,983 7.50%, 1/1/33-3/1/33 13,256,593 13,869,231 8.50%, 7/1/32 48,491 52,312 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 2,037,170 2,106,964 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,842,583 1,907,883 Trust 2001-50, Cl. NE, 6%, 8/25/30 208,197 207,981 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,523,629 2,591,511 Trust 2001-70, Cl. LR, 6%, 9/25/30 326,179 326,645 Trust 2001-72, Cl. NH, 6%, 4/25/30 81,213 81,155 Trust 2001-74, Cl. PD, 6%, 5/25/30 47,600 47,491 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 1,043,206 1,078,423 Trust 2002-77, Cl. WF, 5.72%, 12/18/32(5) 509,317 513,486 Trust 2002-9, Cl. PC, 6%, 3/25/17 7,598,876 7,743,501 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,896,654 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 1,921,000 1,926,710 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,517,062 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,528,234 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 7,240,457 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,434,376 Trust 2006-46, Cl. SW, 4.693%, 6/25/36(5) 900,424 920,229 Trust 2006-50, Cl. KS, 4.693%, 6/25/36(5) 3,093,841 3,137,962 Trust 2006-50, Cl. SA, 4.693%, 6/25/36(5) 1,834,716 1,853,006 Trust 2006-50, Cl. SK, 4.693%, 6/25/36(5) 245,886 247,920 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 6,113,722 6,143,453
4 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 5.789%, 3/17/31(6) $ 870,171 $ 119,086 Trust 2002-47, Cl. NS, 0.413%, 4/25/32(6) 1,281,955 112,406 Trust 2002-51, Cl. S, 0.532%, 8/25/32(6) 1,177,010 103,204 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-65, Cl. S, 8.699%, 11/25/31(6) 2,924,183 281,719 Trust 2001-81, Cl. S, 1.984%, 1/25/32(6) 668,656 56,375 Trust 2002-52, Cl. SD, (2.64)%, 9/25/32(6) 1,379,386 112,886 Trust 2002-75, Cl. SA, 9.864%, 11/25/32(6) 3,435,926 331,621 Trust 2002-77, Cl. SH, 2.025%, 12/18/32(6) 822,924 74,842 Trust 2002-89, Cl. S, 10.724%, 1/25/33(6) 3,452,461 291,280 Trust 2002-9, Cl. MS, 1.502%, 3/25/32(6) 801,032 71,495 Trust 2003-33, Cl. SP, 11.283%, 5/25/33(6) 2,892,429 364,146 Trust 2003-46, Cl. IH, 6.736%, 6/25/33(6) 6,088,587 1,196,281 Trust 2004-54, Cl. DS, (5.271)%, 11/25/30(6) 1,310,227 81,438 Trust 2005-19, Cl. SA, (3.159)%, 3/25/35(6) 15,360,990 820,060 Trust 2005-40, Cl. SA, (3.22)%, 5/25/35(6) 3,566,270 191,491 Trust 2005-6, Cl. SE, (2.285)%, 2/25/35(6) 4,220,944 229,797 Trust 2005-71, Cl. SA, 3.302%, 8/25/25(6) 4,068,686 255,662 Trust 2006-119, Cl. MS, 8.866%, 12/25/36(6) 3,456,000 195,313 Trust 2006-33, Cl. SP, 13.485%, 5/25/36(6) 8,275,765 754,253 Trust 222, Cl. 2, 13.528%, 6/1/23(6) 2,124,158 433,805 Trust 240, Cl. 2, 17.708%, 9/1/23(6) 3,259,305 667,030 Trust 252, Cl. 2, 11.983%, 11/1/23(6) 1,581,560 351,457 Trust 273, Cl. 2, 14.326%, 8/1/26(6) 446,151 88,944 Trust 303, Cl. IO, 13.372%, 11/1/29(6) 571,094 127,875 Trust 308, Cl. 2, 14.114%, 9/1/30(6) 1,607,832 350,339 Trust 321, Cl. 2, 6.981%, 4/1/32(6) 6,479,176 1,364,456 Trust 322, Cl. 2, 14.944%, 4/1/32(6) 2,485,171 507,067 Trust 329, Cl. 2, 10.042%, 1/1/33(6) 3,281,289 713,168 Trust 331, Cl. 9, 8.237%, 2/1/33(6) 1,805,576 407,719 Trust 334, Cl. 17, 16.577%, 2/1/33(6) 1,047,988 226,268 Trust 340, Cl. 2, 7.009%, 9/1/33(6) 1,993,450 456,802 Trust 342, Cl. 2, 10.90%, 9/1/33(6) 2,868,725 598,649 Trust 344, Cl. 2, 7.236%, 12/1/33(6) 1,311,782 272,529 Trust 362, Cl. 12, 4.191%, 8/1/35(6) 5,506,270 1,089,473 Trust 362, Cl. 13, 4.212%, 8/1/35(6) 3,057,131 607,315 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.676%, 9/25/23(7) 737,599 613,054 Trust 340, Cl. 1, 5.539%, 9/1/33(7) 1,993,450 1,502,073 ----------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,699,291
5 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED ----------------------------------------------------------------------------------------------------------- Series 2005-C3, Cl. A2, 4.853%, 7/10/45 $ 1,590,000 $ 1,584,538 ----------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 589,374 592,440 ----------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., 8.50%, 8/15/17-12/15/17 207,489 221,405 ----------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (5.129)%, 1/16/27(6) 1,436,036 98,821 Series 2002-15, Cl. SM, (8.507)%, 2/16/32(6) 1,293,971 86,556 Series 2002-41, Cl. GS, 2.906%, 6/16/32(6) 755,230 120,269 Series 2002-76, Cl. SY, (4.957)%, 12/16/26(6) 3,179,141 229,995 Series 2004-11, Cl. SM, (7.941)%, 1/17/30(6) 1,115,973 76,961 Series 2006-47, Cl. SA, 14.403%, 8/16/36(6) 10,679,941 582,959 ----------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,952,293 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,759,016 ----------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 631,858 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,264,582 ----------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,897,642 ----------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,561,523 2,562,062 Series 2004-9, Cl. A3, 4.70%, 8/25/34(5) 1,261,231 1,253,138 ----------------------------------------------------------------------------------------------------------- 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 2,564,277 ----------------------------------------------------------------------------------------------------------- RALI: Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,294,553 1,296,497 Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 3,814,758 3,809,982 ----------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,590,000 3,570,291 ----------------------------------------------------------------------------------------------------------- WAMU Mortgage Pass-Through Certificates, Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.672%, 5/25/35(5) 1,239,476 1,236,870 ------------------- Total Mortgage-Backed Obligations (Cost $394,479,059) 394,530,538 ----------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--1.7% Ace Securities Corp., Home Equity Loan Pass-Through Certificates, Series 2005-HE7, Cl. A2B, 5.50%, 11/25/35(5) 1,310,000 1,311,283 ----------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 5.38%, 4/20/08(5) 900,000 900,850 ----------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.80%, 5/25/34(5) 4,500,000 4,516,615 ----------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-W5, Asset-Backed Pass-Through Certificates, Series 2006-W5, Cl. A2B, 5.42%, 5/26/36(5) 1,810,000 1,811,327 ----------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust 2004-2, Automobile Asset-Backed Securities, Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,990,000 2,956,514
6 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES CONTINUED Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates: Series 2005-D, Cl. AF1, 5.04%, 10/25/35 $ 748,963 $ 746,023 Series 2005-D, Cl. AV2, 5.59%, 10/25/35(5) 2,550,000 2,552,549 ----------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 5.42%, 5/16/36(5) 2,270,000 2,271,688 ----------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 423,825 ----------------------------------------------------------------------------------------------------------- Consumer Credit Reference Index Securities Program, Credit Card Asset-Backed Certificates, Series 2002-B, Cl. FX, 10.421%, 3/22/07(8) 2,890,000 2,919,242 ----------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 5.69% 2/25/33(5) 44,821 44,874 ----------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(5) 920,000 919,853 ----------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates: Series 2005-17, Cl. 1AF1, 5.52%, 5/25/36(5) 1,163,737 1,165,028 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(5) 620,000 619,595 ----------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2005-FF10, Mtg. Pass-Through Certificates, Series 2005-FF10, Cl. A3, 5.53%, 11/25/35(5) 3,800,000 3,803,711 ----------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 5.42%, 7/25/36(5) 1,790,000 1,791,074 ----------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF5, Mtg. Pass-Through Certificates, Series 2006-FF5, Cl. 2A1, 5.37%, 5/15/36(5) 1,044,477 1,045,167 ----------------------------------------------------------------------------------------------------------- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 5.43%, 7/7/36(5) 920,000 920,552 ----------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 1,331,282 1,323,225 ----------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.58%, 1/20/35(5) 1,277,600 1,279,520 ----------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,370,870 1,362,256 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35(5) 1,545,444 1,540,915 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 1,216,539 1,212,490 ----------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.67%, 3/15/16(5) 4,080,000 4,331,193 ----------------------------------------------------------------------------------------------------------- Morgan Stanley ABS Capital I, Mtg. Pass-Through Certificates, Series 2005-WMC6, Cl. A2B, 5.58%, 7/25/35(5) 1,100,000 1,102,216 ----------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 5.42%, 7/1/36(5) 3,010,000 3,011,808 ----------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. A F2, 3.735%, 11/10/34(5) 178,509 177,844 ----------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. A F2, 3.914%, 5/25/35(5) 299,704 298,548 ----------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. A F2, 4.415%, 4/25/35(5) 1,040,000 1,031,696 ----------------------------------------------------------------------------------------------------------- RAMP: Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32 4.45%, 7/25/28 1,393,892 1,383,543
7 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES CONTINUED ----------------------------------------------------------------------------------------------------------- Series 2006-RS4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-RS4, Cl. A1, 5.40%, 7/25/36(5) $ 1,011,625 $ 1,012,305 ----------------------------------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1, 5.38%, 4/25/36(5) 1,011,202 1,011,866 ----------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 2,089,200 2,083,790 ----------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 5.42%, 7/25/36(5) 1,790,000 1,791,074 ------------------- Total Asset-Backed Securities (Cost $54,727,166) 54,674,059 ----------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--1.0% Fannie Mae Unsec. Nts., 3.69%, 10/5/07(9) 2,255,000 2,159,609 ----------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 4.125%, 7/12/10 1,210,000 1,187,875 5.25%, 7/18/11 1,310,000 1,339,523 6.625%, 9/15/09 2,340,000 2,456,923 ----------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 4.75%, 12/15/10 3,405,000 3,411,800 5%, 10/15/11 1,300,000 1,317,524 6%, 5/15/11 1,455,000 1,530,775 7.25%, 1/15/10 3,420,000 3,668,477 ----------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 4.50%, 2/15/36 3,668,000 3,632,754 8.875%, 8/15/17 285,000 389,270 ----------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 4.625%, 10/31/11-11/15/16 9,359,000 9,446,858 4.875%, 10/31/08 1,749,000 1,757,199 ------------------ Total U.S. Government Obligations (Cost $32,028,090) 32,298,587 ----------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--11.3% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,425,000 2,486,476 ----------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc.: 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,875,000 8.50% Sr. Sub. Nts., 12/1/08 2,500,000 2,650,000 ----------------------------------------------------------------------------------------------------------- AT&T Wireless Services, Inc., 7.50% Sr. Unsec. Nts., 5/1/07(10) 770,000 776,624 ----------------------------------------------------------------------------------------------------------- BAE Systems Holdings, Inc., 5.20% Nts., 8/15/15(8) 3,115,000 3,022,594 ----------------------------------------------------------------------------------------------------------- Bank Plus Corp., 12% Sr. Nts., 7/18/07(11) 2,500,000 2,600,000 ----------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds(12) 3,150,000 3,147,858 ----------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 1,515,000 1,469,550 8.375% Sr. Nts., 4/15/12 800,000 824,000 ----------------------------------------------------------------------------------------------------------- British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 1,860,000 1,997,638 ----------------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 3,310,000 3,414,364 ----------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 3,690,000 3,927,396 ----------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,400,000 2,507,750 ----------------------------------------------------------------------------------------------------------- Charter Communications Holdings I LLC: 11% Sr. Sec. Nts., 10/1/15(13) 64,075,000 63,113,875 11% Sr. Sec. Nts., 10/1/15(11) 29,072,000 28,490,560
8 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ----------------------------------------------------------------------------------------------------------- 13.50% Sr. Unsec. Unsub. Nts., 1/15/14 $ 14,000,000 $ 13,230,000 ----------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 5,636,006 ----------------------------------------------------------------------------------------------------------- CIT Group, Inc., 5.40% Sr. Nts., 3/7/13 2,960,000 2,975,371 ----------------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.125% Sub. Nts., 8/25/36 1,220,000 1,314,887 ----------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,907,824 ----------------------------------------------------------------------------------------------------------- Comcast Corp., 6.45% Unsec. Nts., 3/15/37 3,590,000 3,708,527 ----------------------------------------------------------------------------------------------------------- Continental Airlines, Inc., 7.568% Pass-Through Certificates, Series D, 12/1/06(11) 10,250,000 10,256,406 ----------------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 2,977,500 ----------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 1,790,000 1,746,283 6.125% Nts., 1/15/14 1,315,000 1,321,467 ----------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp., 7.30% Nts., 1/15/12 2,760,000 2,960,605 ----------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,820,000 2,216,855 ----------------------------------------------------------------------------------------------------------- Earthgrains Co. (The), 6.50% Nts., 4/15/09 590,000 601,538 ----------------------------------------------------------------------------------------------------------- Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 360,000 352,245 ----------------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 1,810,000 1,805,475 ----------------------------------------------------------------------------------------------------------- El Paso Corp.: 6.50% Sr. Unsec. Nts., 6/1/08 578,000 583,058 7.625% Sr. Unsec. Nts., 9/1/08(11) 2,170,000 2,226,963 ----------------------------------------------------------------------------------------------------------- Enbridge Energy Partners LP, 5.95% Sr. Unsec. Nts., Series B, 6/1/33 780,000 746,391 ----------------------------------------------------------------------------------------------------------- Energy Transfer Partners LP: 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 575,000 580,350 6.625% Sr. Nts., 10/15/36 1,250,000 1,329,748 ----------------------------------------------------------------------------------------------------------- Enterprise Products Operating LP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 2,780,000 2,990,693 ----------------------------------------------------------------------------------------------------------- EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 3,780,000 4,182,922 ----------------------------------------------------------------------------------------------------------- Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,945,000 1,986,938 ----------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,145,000 1,354,632 ----------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10(8) 5,600,000 5,950,134 ----------------------------------------------------------------------------------------------------------- Gap, Inc. (The): 6.90% Nts., 9/15/07 2,130,000 2,147,956 9.393% Unsub. Nts., 12/15/08(5) 359,000 385,836 ----------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 2,355,000 2,647,166 ----------------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,055,000 3,196,343 ----------------------------------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A(8,12) 3,200,000 3,275,328 ----------------------------------------------------------------------------------------------------------- HCA, Inc., 8.75% Sr. Nts., 9/1/10 2,985,000 3,096,938 ----------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 2,135,000 2,295,125 ----------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(5) 4,500,000 4,586,589 ----------------------------------------------------------------------------------------------------------- Hyatt Equities LLC, 6.875% Nts., 6/15/07(8) 2,855,000 2,869,986 ----------------------------------------------------------------------------------------------------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08(8) 1,645,000 1,640,225 ----------------------------------------------------------------------------------------------------------- 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 1,051,250 ----------------------------------------------------------------------------------------------------------- iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 3,135,000 3,083,978 ----------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co., 5.15% Sub. Nts., 10/1/15 2,960,000 2,942,178 ----------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc.: 6.50% Sr. Nts., 1/15/14 2,525,000 2,436,625 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,630,000
9 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Kaneb Pipe Line Operating Partnership LP: 5.875% Sr. Unsec. Nts., 6/1/13 $ 500,000 $ 509,157 7.75% Sr. Unsec. Nts., 2/15/12 280,000 309,178 ----------------------------------------------------------------------------------------------------------- KB Home, 5.75% Sr. Unsec. Unsub. Nts., 2/1/14 1,915,000 1,780,257 ----------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 2,705,000 3,023,617 ----------------------------------------------------------------------------------------------------------- Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 2,970,000 2,974,601 ----------------------------------------------------------------------------------------------------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 2,760,000 2,883,869 ----------------------------------------------------------------------------------------------------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 845,000 887,471 ----------------------------------------------------------------------------------------------------------- Limited Brands, Inc., 6.125% Sr. Unsec. Nts., 12/1/12 2,965,000 3,040,972 ----------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 1,930,000 1,840,068 7.125% Sr. Unsec. Nts., 6/15/09 1,660,000 1,727,474 ----------------------------------------------------------------------------------------------------------- May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 1,050,000 1,068,628 ----------------------------------------------------------------------------------------------------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 3,160,000 3,162,158 ----------------------------------------------------------------------------------------------------------- MeadWestvaco Corp., 6.85% Unsec. Unsub. Nts., 4/1/12 2,815,000 2,982,028 ----------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 2,960,000 2,967,400 ----------------------------------------------------------------------------------------------------------- Mission Energy Holding Co., 13.50% Sr. Sec. Nts., 7/15/08 2,630,000 2,932,450 ----------------------------------------------------------------------------------------------------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 1,975,000 2,083,902 ----------------------------------------------------------------------------------------------------------- Morgan Stanley, 4.75% Sub. Nts., 4/1/14 3,080,000 2,983,889 ----------------------------------------------------------------------------------------------------------- NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 4,060,000 4,420,865 ----------------------------------------------------------------------------------------------------------- ONEOK Partners LP, 6.65% Nts., 10/1/36 1,480,000 1,566,510 ----------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 4,260,000 4,479,390 ----------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10(8) 3,827,500 3,786,220 ----------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(8) 888,180 840,294 ----------------------------------------------------------------------------------------------------------- Popular North America, Inc., 4.70% Nts., 6/30/09 3,665,000 3,608,072 ----------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(8) 2,910,000 3,641,324 ----------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 2,970,000 3,812,856 ----------------------------------------------------------------------------------------------------------- PSEG Funding Trust I, 5.381% Nts., 11/16/07 1,945,000 1,944,490 ----------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 4.875% Nts., 7/15/09 2,975,000 2,948,766 ----------------------------------------------------------------------------------------------------------- Qwest Corp., 5.625% Unsec. Nts., 11/15/08(10) 363,000 364,815 ----------------------------------------------------------------------------------------------------------- R.J. Reynolds Tobacco Holdings, Inc., 6.50% Unsec. Nts., 6/1/07 90,000 90,479 ----------------------------------------------------------------------------------------------------------- Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 1,235,000 1,193,839 ----------------------------------------------------------------------------------------------------------- Reynolds American, Inc., 6.50% Sr. Sec. Nts., 6/1/07(8) 1,848,000 1,857,839 ----------------------------------------------------------------------------------------------------------- Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 13,500,000 11,559,375 ----------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 800,000 812,334 ----------------------------------------------------------------------------------------------------------- Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 4,385,000 4,569,753 ----------------------------------------------------------------------------------------------------------- Sara Lee Corp., 2.75% Unsec. Nts., 6/15/08 1,260,000 1,210,638 ----------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,000,000 1,035,000 ----------------------------------------------------------------------------------------------------------- Telecom Italia Capital SpA, 4% Unsec. Unsub. Nts., 1/15/10 1,610,000 1,544,740 ----------------------------------------------------------------------------------------------------------- Telecom Italia Capital SpA, 4% Sr. Unsec. Nts., 11/15/08 1,470,000 1,435,725 ----------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 3,020,000 2,986,807 ----------------------------------------------------------------------------------------------------------- Telus Corp., 8% Nts., 6/1/11 2,715,000 3,002,605 ----------------------------------------------------------------------------------------------------------- TEPPCO Partners LP: 6.125% Nts., 2/1/13 1,395,000 1,415,289 7.625% Sr. Unsec. Nts., 2/15/12 115,000 124,290 ----------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 2,400,000 2,988,790 ----------------------------------------------------------------------------------------------------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 1,615,000 1,603,753 ----------------------------------------------------------------------------------------------------------- TXU Energy Co., 6.125% Nts., 3/15/08 1,955,000 1,973,377 ----------------------------------------------------------------------------------------------------------- United States Steel Corp., 10.75% Sr. Nts., 8/1/08(11) 545,000 594,050
10 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Univision Communications, Inc.: 3.50% Sr. Unsec. Nts., 10/15/07 $ 1,880,000 $ 1,836,967 3.875% Sr. Unsec. Nts., 10/15/08 875,000 836,168 ----------------------------------------------------------------------------------------------------------- Vale Overseas Ltd., 6.875% Bonds, 11/21/36 825,000 837,251 ----------------------------------------------------------------------------------------------------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 700,000 715,637 ----------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,990,000 2,988,702 ----------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 2,230,000 2,329,998 ----------------------------------------------------------------------------------------------------------- Williams Cos., Inc. Credit Linked Certificate Trust (The), 6.75% Nts., 4/15/09(11) 2,885,000 2,935,488 ----------------------------------------------------------------------------------------------------------- Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 2,750,000 3,003,193 ----------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 7.70% Sr. Nts., 7/1/12 1,890,000 2,086,416 ------------------- Total Non-Convertible Corporate Bonds and Notes (Cost $357,723,110) 365,144,700 ----------------------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES--9.1% CSK Auto, Inc., 4.625% Cv. Sr. Unsec. Nts., 12/15/25(5,8) 11,000,000 14,423,750 ----------------------------------------------------------------------------------------------------------- EMC Corp., 1.75% Cv. Sr. Nts., 12/1/11(11) 2,000,000 2,067,050 ----------------------------------------------------------------------------------------------------------- Level 3 Communications, Inc., 6% Cv. Unsec. Sub. Nts., 3/15/10 15,000,000 13,725,000 ----------------------------------------------------------------------------------------------------------- Liberty Media Corp.: 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for 56,000,000 66,780,000 Viacom, Inc. Cl. B common stock or cash based on the value thereof) 125,000,000 100,781,250 ----------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc., 2.75% Cv. Sr. Unsec. Debs., Series A, 6/15/23 7,500,000 7,725,000 ----------------------------------------------------------------------------------------------------------- Nortel Networks Corp., 4.25% Cv. Sr. Unsec. Nts., 9/1/08 22,500,000 21,740,625 ----------------------------------------------------------------------------------------------------------- Pride International, Inc., 3.25% Cv. Sr. Nts., 5/1/33 21,750,000 29,172,188 ----------------------------------------------------------------------------------------------------------- Sirius Satellite Radio, Inc., 2.50% Cv. Sr. Nts., 2/15/09 26,500,000 30,243,125 ----------------------------------------------------------------------------------------------------------- XM Satellite Radio Holdings, Inc., 1.75% Cv. Sr. Nts., 12/1/09 11,000,000 9,226,250 ------------------- Total Convertible Corporate Bonds and Notes (Cost $289,573,431) 295,884,238 ----------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--12.9% Bear Stearns Global Asset Holdings Ltd., Cv. Linked Premium Equity Redemption Cumulative Securities, 2.10%, 6/21/07 (redemption linked to the common shares of Wal-Mart Stores, Inc.)(11) 546,807 25,191,398 ----------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Pulte Homes, Inc. Cv. Equity Linked Nts., 7.55%, 3/14/07 259,673 9,093,203 Tyco International Ltd. Cv. Equity Linked Nts., 2.87%, 12/15/06 1,170,961 35,480,118 ----------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (New York): Cv. Equity Linked Nts., 1.60%, 12/29/06 (linked to Comcast Corp., Cl. A common stock) 1,724,340 58,584,452 Cv. Equity Linked Nts., 6%, 5/21/07 (linked to Circuit City Stores, Inc.) 612,500 15,257,375 ----------------------------------------------------------------------------------------------------------- Deutsche Bank AG, Cv. Mandatory Exchangeable Nts., Series S, 3.73%, 6/27/07 (linked to the common stock of Sprint Nextel Corp.) 572,000 10,850,840 ----------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Cv. Equity Linked Nts., 4.70%, 5/3/07 (linked to Boston Scientific Corp.)(11) 566,560 9,089,889 Cv. Mandatory Exchangeable Linked Nts., 3.40%, 1/2/07 (linked to the common stock of EchoStar Communications Corp.) 595,400 19,657,131 Cv. Mandatory Exchangeable Linked Nts., 7.45%, 10/16/07 (linked to GlobalSantaFe Corp.)(11) 431,007 23,877,788
11 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
Principal Amount Value ----------------------------------------------------------------------------------------------------------- STRUCTURED NOTES CONTINUED Lehman Brothers Holdings, Inc.: Cv. Medium-Term Linked Nts., Series TYC, 3.60%, 3/10/07 (linked to the common stock of Tyco International Ltd.) $ 1,968,811 $ 58,414,622 Cv. Yield Enhanced Equity Linked Debt Securities, Series H, 7%, 12/20/06 (linked to CarMax, Inc.) 764,498 24,081,684 ----------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., Cv. Linked Nts., 6%, 12/5/07 (linked to Corning, Inc.)(11) 714,300 15,286,020 ----------------------------------------------------------------------------------------------------------- Morgan Stanley: Cv. Linked Nts., 18.10%, 12/6/07 (linked to Satellite Radio Holdings, Inc.)(11) 696,865 10,153,323 Cv. Linked Nts., 3.42%, 3/16/07 (linked to Tyco International Ltd.)(11) 1,171,000 35,007,045 Cv. Mandatory Exchangeable Linked Nts., 4.50%, 7/6/07 (linked to the common stock of Clear Channel Communications)(11) 759,622 25,815,754 Cv. Performance Equity Linked Redemption Quarterly-pay Nts., 2.50%, 12/20/06 (linked to common stock of Microsoft Corp.) 1,000,000 25,805,000 ----------------------------------------------------------------------------------------------------------- Wachovia Bank NA, 13.20% Cv. Linked Nts., Series X MSR (linked to 1,016,777 15,068,635 XM Satellite Radio)(11) ------------------- Total Structured Notes (Cost $367,066,460) 416,714,277 ----------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $2,627,634,736) 103.7% 3,354,069,634 ----------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (3.7) (118,991,433) ----------------------------------- Net Assets 100.0% $ 3,235,078,201 ===================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Represents ownership of at least 5% of the voting securities of the issuer, and is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 2006. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2006 ADDITIONS REDUCTIONS NOVEMBER 30, 2006 ------------------------------------------------------------------------------------------------------- CSK Auto Corp. 5,502,500 -- 433,250 5,069,250 Enbridge Energy Management LLC 747,702 13,530* 60,954** 700,278
VALUE DIVIDEND REALIZED SEE NOTE 1 INCOME GAIN ------------------------------------------------------------------------------------------------------- CSK Auto Corp. $ 84,403,013 $-- $ 662,005 Enbridge Energy Management LLC 34,523,695 -- 865,162 -------------------------------------------------------------- $118,926,708 $-- $1,527,167 ==============================================================
* All or portion of the transactions were the result of a stock split or dividend. ** Result of a corporate action. 12 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited 3. 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 ---------------------------------------------------------------------------------------------------------------- ACE Ltd. 75 12/18/06 $60.00 $8,100 $ -- Altria Group, Inc. 6,750 12/18/06 90.00 415,112 33,750 BellSouth Corp. 1,000 12/18/06 45.00 28,999 50,000 ConocoPhillips 800 1/22/07 75.00 23,869 32,000 Embarq Corp. 600 1/22/07 55.00 26,399 12,000 Kinder Morgan, Inc. 9,500 1/22/07 105.00 1,918,940 1,425,000 Kraft Foods, Inc., Cl.A 15,000 3/16/07 30.53 7,800,000 6,901,350 Packaging Corp. of America 450 1/22/07 22.50 43,667 24,750 Pfizer, Inc. 250 12/18/06 27.50 6,625 10,000 Pfizer, Inc. 400 12/18/06 30.00 11,350 -- Raytheon Co. 10,000 12/18/06 50.00 1,019,968 1,300,000 Sanofi-Aventis SA, ADR 150 12/18/06 45.00 3,980 6,750 Sempra Energy 5,000 1/22/07 50.00 2,152,436 2,600,000 U.S. Bancorp 10,000 12/18/06 32.50 1,423,768 1,250,000 Wachovia Corp. 50 1/22/07 57.50 700 1,000 Williams Cos., Inc. (The) 2,850 1/22/07 30.00 61,494 128,250 ---------------------------------- $14,945,407 $13,774,850 ==================================
4. When-issued security or forward commitment to be delivered and settled after November 30, 2006. See accompanying Notes. 5. Represents the current interest rate for a variable or increasing rate security. 6. 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 $17,520,590 or 0.54% of the Fund's net assets as of November 30, 2006. 7. 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 $2,355,270 or 0.07% of the Fund's net assets as of November 30, 2006. 8. 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 $44,226,936 or 1.37% of the Fund's net assets as of November 30, 2006. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. 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 $887,174. See accompanying Notes. 13 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited 11. Illiquid security. The aggregate value of illiquid securities as of November 30, 2006 was $208,660,369, which represents 6.45% of the Fund's net assets. See accompanying Notes. 12. 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. 13. A sufficient amount of securities has been designated to cover outstanding written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO PUT DATES PRICE RECEIVED VALUE ---------------------------------------------------------------------------------------------------------------- Altria Group, Inc. 375 12/18/06 $ 80.00 $ 45,749 $ 7,500 Boston Scientific Corp. 350 1/21/08 20.00 145,945 143,500 Capital One Financial Corp. 250 1/22/07 75.00 51,748 46,250 Capital One Financial Corp. 1,000 3/19/07 75.00 288,991 290,000 Caremark Rx, Inc. 1,654 12/18/06 50.00 482,953 529,280 Caremark Rx, Inc. 175 1/22/07 50.00 80,148 61,250 Caremark Rx, Inc. 2,189 3/19/07 50.00 1,122,122 919,380 Corning, Inc. 10,000 1/22/07 20.00 993,519 350,000 CVS Corp. 1,000 2/19/07 27.50 106,997 80,000 Diamond Offshore Drilling, Inc. 2,250 12/18/06 70.00 566,982 45,000 Domino's Pizza, Inc. 1,000 3/19/07 25.00 53,998 55,000 ENSCO International, Inc. 982 12/18/06 50.00 726,692 68,740 General Electric Co. 1,250 1/22/07 35.00 76,873 62,500 GlobalSantaFe Corp. 6,350 1/22/07 57.50 6,160,936 1,066,800 PMI Group, Inc. (The) 1,057 12/18/06 45.00 336,232 174,405 PMI Group, Inc. (The) 225 1/22/07 45.00 43,649 42,750 SLM Corp. 500 1/22/07 45.00 53,998 47,500 Sun Microsystems, Inc. 2,500 1/22/07 5.00 78,748 12,500 Take-Two Interactive Software, Inc. 8,350 12/18/06 15.00 2,815,237 167,000 Tenet Healthcare Corp. 2,500 2/19/07 8.00 247,598 250,000 Transocean, Inc. 3,000 12/18/06 80.00 1,695,338 900,000 Wyndham Worldwide Corp. 1,000 1/22/07 30.00 45,559 25,000 Yahoo!, Inc. 2,500 1/22/07 22.50 294,991 37,500 ----------------------------- $16,515,003 $ 5,381,855 =============================
NOTES TO 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 14 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities listed or traded on National Stock Exchanges or other domestic exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ(R) 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. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. 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. Investments in open-end registered investment companies (including affiliated funds) are valued at that fund's net asset value. 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. 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 15 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of November 30, 2006, the Fund had purchased $141,486,047 of securities issued on a when-issued basis or forward commitment and sold $31,906,714 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. 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 16 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations. INVESTMENTS WITH OFF BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities 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 at the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. 17 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited As of November 30, 2006, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS NOVEMBER 30, 2006 (DEPRECIATION) ------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 3/21/07 527 $60,275,625 $ 753,255 U.S. Treasury Nts., 10 yr. 3/21/07 64 6,988,000 45,425 ------------ 798,680 ------------ CONTRACTS TO SELL Euro-Bundesobligation, 10 yr. 12/7/06 157 24,634,626 (239,903) U.S. Treasury Nts., 2 yr. 3/30/07 583 119,515,000 (267,199) U.S. Treasury Nts., 5 yr. 3/30/07 241 25,583,656 (118,233) ------------ $ (625,335) ------------ 173,345 ============
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 or put options are noted in the Statement of Investments where applicable. Contracts subject to call or put, 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 18 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited 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 year ended November 30, 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, 2006 67,250 $6,344,173 38,668 $ 21,187,171 Options written 80,325 16,610,019 59,525 15,192,385 Options closed or expired (84,700) (8,008,785) (45,322) (18,105,443) Options exercised -- -- (2,414) (1,759,110) ----------------------------------------------------------------- Options outstanding as of November 30, 2006 62,875 $14,945,407 50,457 $16,515,003 =================================================================
TOTAL RETURN SWAP CONTRACTS A total return swap is an agreement under which a set of future cash flows is exchanged between two counterparties. One cash flow stream will typically be based on a reference interest rate or index and the other on the total return of a reference asset such as a security, a basket of securities, or an index. The total return includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Payments under the swap are based on an agreed upon principal amount but since this principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. Total return swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in this amount is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the agreement or unfavorable changes occur in the reference asset). As of November 30, 2006, the Fund had entered into the following total return swap agreements: 19 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited
SWAP NOTIONAL TERMINATION UNREALIZED COUNTERPARTY AMOUNT PAID BY THE FUND RECEIVED BY THE FUND DATES DEPRECIATION ----------------------------------------------------------------------------------------------------------------------- If negative, the Lehman Brothers CMBS 12/1/06 absolute value of the Spread plus Total Total Return Amount for Return Amount value for Deutsche Bank AG $5,560,000 a given Index Period. a given Index Period. $ 8,414 ----------------------------------------------------------------------------------------------------------------------- If positive, receive 12/1/06 If negative, the the Spread on the absolute value of the Lehman Brothers CMBS Lehman Brothers Lehman Brothers CMBS AAA 8.5 plus Index Special Financing, AAA 8.5 plus Index Spread Return Amount Inc. 6,170,000 Spread Return Amount. and Carry Amount. 9,370 ---------------- $17,784 ===============
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities CREDIT DEFAULT SWAP CONTRACTS Credit default swaps are designed to transfer the credit exposure of fixed income products between counterparties. The Fund may enter into credit default swaps, both directly ("unfunded swaps") and indirectly in the form of a swap embedded within a structured note ("funded swaps"), to protect against the risk that a security will default. Unfunded and funded credit default swaps may be on a single security, or a basket of securities. The Fund may take a short position (purchaser of credit protection) or a long position (seller of credit protection) in the credit default swap. Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, pricing transparency when assessing the cost of a credit default swap, counterparty risk, and the need to fund the delivery obligation (either cash or defaulted bonds depending on whether the Fund is long or short the swap, respectively). The Fund would take a short position in a credit default swap (the "unfunded swap") against a long portfolio position to decrease exposure to specific high yield issuers. As a purchaser of credit protection under a 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. 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 and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities in the annual 20 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited and semiannual reports. The net change in this amount is included on the Statement of Operations in the annual and semiannual reports. Information regarding such credit default swaps as of November 30, 2006 is as follows:
NOTIONAL AMOUNT ANNUAL RECEIVED BY THE INTEREST UNREALIZED FUND UPON RATE PAID TERMINATION APPRECIATION COUNTERPARTY REFERENCED DEBT OBLIGATION CREDIT EVENT BY THE FUND DATES (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG Weyerhaeuser Co. $2,910,000 0.580% 9/20/11 $(18,213) ----------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Arrow Electronics, Inc. 2,910,000 0.790 9/20/11 (58,230) Arrow Electronics, Inc. 1,470,000 0.770 9/20/11 (28,043) Belo Corp. 1,675,000 0.650 6/20/11 3,559 Belo Corp. 925,000 0.670 6/20/11 1,145 Belo Corp. 1,870,000 0.675 6/20/11 1,901 Ford Motor Co. 1,455,000 5.300 12/20/08 (84,606) Ford Motor Co. 3,060,000 5.400 12/20/08 (185,747) General Motors Corp. 1,525,000 4.000 12/20/08 (61,637) General Motors Corp. 1,480,000 3.950 12/20/08 (57,825) International Paper Co. 3,055,000 0.409 12/20/11 (9,651) -------------- $(497,347) ==============
The Fund would take a long position in the credit default swap note (the "funded swap") to increase the exposure to specific high yield corporate issuers. As a seller of credit protection under a 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. 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 21 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as realized loss and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using different sources, including quotations from counterparties, pricing services, brokers or market makers. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the amount due to (owed by) the Fund at termination or settlement and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in this amount is included on the Statement of Operations in the annual and semiannual reports. Information regarding such credit default swaps as of November 30, 2006 is as follows:
ANNUAL INTEREST NOTIONAL AMOUNT RATE PAID BY THE FUND RECEIVED BY TERMINATION UNREALIZED COUNTERPARTY REFERENCED DEBT OBLIGATION UPON CREDIT EVENT THE FUND DATES APPRECIATION ------------------------------------------------------------------------------------------------------------------------------------ Deutsche Bank AG: Abitibi-Consolidated Co. of Canada $2,385,000 1.52% 9/20/07 $3,045 Allied Waste North America, Inc. 920,000 2.00 9/20/09 22,081 Allied Waste North America, Inc. 1,440,000 2.00 9/20/09 34,562 Bombardier, Inc. 735,000 0.90 9/20/07 2,777 Eastman Kodak Co. 2,055,000 1.00 12/20/08 15,471 General Motors Corp. 920,000 6.40 12/20/06 14,317 General Motors Corp. 560,000 6.40 12/20/06 8,715 General Motors Acceptance Corp. 825,000 2.30 6/20/07 11,683 ------------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital Services, Inc.: ArvinMeritor, Inc. 820,000 1.05 9/20/07 2,759 ArvinMeritor, Inc. 675,000 1.10 9/20/07 2,638 ArvinMeritor, Inc. 50,000 1.20 9/20/07 239 Bombardier, Inc. 820,000 1.00 9/20/07 6,553
22 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2006 / Unaudited Bombardier, Inc. 820,000 1.05 9/20/07 7,247 Ford Motor Co. 1,455,000 7.05 12/20/16 138,116 Ford Motor Co. 3,060,000 7.15 12/20/16 308,951 General Motors Corp. 1,525,000 5.80 12/20/16 130,818 General Motors Corp. 1,480,000 5.75 12/20/16 122,005 General Motors Acceptance Corp. 1,875,000 3.15 6/20/07 49,065 Hyundai Motor Manufacturing Alabama LLC 1,280,000 0.40 6/20/07 2,844 J.C. Penney Co., Inc. 2,910,000 0.61 6/20/13 26,470 ------------ $910,356 ============
ILLIQUID SECURITIES As of November 30, 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. RECENT ACCOUNTING PRONOUNCEMENTS In September 2006, the Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of November 30, 2006, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of November 30, 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 $ 2,645,427,655 Federal tax cost of other investments (134,103,412) ------------------ Total federal tax cost $ 2,511,324,243 ================== Gross unrealized appreciation $ 747,413,616 Gross unrealized depreciation (25,899,364) ------------------ Net unrealized appreciation $ 721,514,252 ================== 23 | Oppenheimer Capital Income Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of November 30, 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: January 9, 2007 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /S/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: January 9, 2007 By: /S/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: January 9, 2007