-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, NQFev60g+H6kxeXbsCMGKKOzH12GwHuksSUhEs+RdK8asryD8QxFuPvN/lk3UD6I rcxBfJLtRVkAufPLUDzdCg== 0000935069-07-001686.txt : 20070727 0000935069-07-001686.hdr.sgml : 20070727 20070727164316 ACCESSION NUMBER: 0000935069-07-001686 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20070531 FILED AS OF DATE: 20070727 DATE AS OF CHANGE: 20070727 EFFECTIVENESS DATE: 20070727 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER CAPITAL INCOME FUND CENTRAL INDEX KEY: 0000045156 IRS NUMBER: 840578481 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-01512 FILM NUMBER: 071007143 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND DATE OF NAME CHANGE: 19980710 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: CENTENNIAL EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19830428 0000045156 S000006964 OPPENHEIMER CAPITAL INCOME FUND C000018996 A C000018997 B C000018998 C C000018999 N N-Q 1 rq300_40299nq.txt RQ300_40299NQ.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: MAY 31, 2007 ------------ ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - --------------------------------------------------------------------------------
SHARES VALUE - ----------------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--43.8% - ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--3.2% - ----------------------------------------------------------------------------------------------------------------------------------- MEDIA--0.3% Cinemark Holdings, Inc. 1 402,500 $ 7,788,375 - ----------------------------------------------------------------------------------------------------------------------------------- Citadel Broadcasting Corp. 150,000 1,245,000 - ----------------------------------------------------------------------------------------------------------------------------------- Regal Entertainment Group 53,000 1,212,640 ---------------- 10,246,015 - ----------------------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--2.9% Circuit City Stores, Inc. 903,500 14,519,245 - ----------------------------------------------------------------------------------------------------------------------------------- CSK Auto Corp. 1,2 4,755,750 86,554,650 ---------------- 101,073,895 - ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--9.4% - ----------------------------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Costco Wholesale Corp. 135,000 7,623,450 - ----------------------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--2.2% B&G Foods, Inc. 964,000 21,053,760 - ----------------------------------------------------------------------------------------------------------------------------------- B&G Foods, Inc., Cl. A 187,500 2,559,375 - ----------------------------------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., Cl. A 3 1,522,452 51,519,776 ---------------- 75,132,911 - ----------------------------------------------------------------------------------------------------------------------------------- TOBACCO--7.0% Altria Group, Inc. 3 2,200,000 156,420,000 - ----------------------------------------------------------------------------------------------------------------------------------- Loews Corp./Carolina Group 3 1,150,000 89,412,500 ---------------- 245,832,500 - ----------------------------------------------------------------------------------------------------------------------------------- ENERGY--6.9% - ----------------------------------------------------------------------------------------------------------------------------------- OIL & GAS--6.9% Arlington Tankers Ltd. 8,750 235,200 - ----------------------------------------------------------------------------------------------------------------------------------- BP plc, ADR 625,000 41,881,250 - ----------------------------------------------------------------------------------------------------------------------------------- Capital Product Partners LP 1 175,000 4,462,500 - ----------------------------------------------------------------------------------------------------------------------------------- Chevron Corp. 3 98,000 7,986,020 - ----------------------------------------------------------------------------------------------------------------------------------- ConocoPhillips 3 112,750 8,730,233 - ----------------------------------------------------------------------------------------------------------------------------------- Enbridge Energy Management LLC 1 1 3 - ----------------------------------------------------------------------------------------------------------------------------------- Kinder Morgan Management LLC 1 3,245,251 166,254,184 - ----------------------------------------------------------------------------------------------------------------------------------- Tortoise Energy Capital Corp. 345,300 10,410,795 - ----------------------------------------------------------------------------------------------------------------------------------- Tsakos Energy Navigation Ltd. 6,000 385,680 ---------------- 240,345,865 - ----------------------------------------------------------------------------------------------------------------------------------- FINANCIALS--15.1% - ----------------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.3% Oaktree Capital Management LLC 4 181,000 8,733,250 - ----------------------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.4% U.S. Bancorp 3 1,000,000 34,580,000 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Corp. 3 295,000 15,986,050 ---------------- 50,566,050 - ----------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--6.4% Bank of America Corp. 1,875,000 95,081,250 - -----------------------------------------------------------------------------------------------------------------------------------
1 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
SHARES VALUE - ----------------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED Citigroup, Inc. 2,375,000 $ 129,413,750 ---------------- 224,495,000 - ----------------------------------------------------------------------------------------------------------------------------------- INSURANCE--4.9% ACE Ltd. 750,000 46,177,500 - ----------------------------------------------------------------------------------------------------------------------------------- Everest Re Group Ltd. 3 1,097,500 117,684,925 - ----------------------------------------------------------------------------------------------------------------------------------- Fidelity National Title Group, Inc., Cl. A 3 258,500 7,248,340 ---------------- 171,110,765 - ----------------------------------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--0.8% Anthracite Capital, Inc. 1,200,000 14,676,000 - ----------------------------------------------------------------------------------------------------------------------------------- Crystal River Capital, Inc. 500,000 14,005,000 ---------------- 28,681,000 - ----------------------------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--1.3% Washington Mutual, Inc. 3 1,000,000 43,720,000 - ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--1.6% - ----------------------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--1.6% Pfizer, Inc. 3 1,825,000 50,169,250 - ----------------------------------------------------------------------------------------------------------------------------------- Sanofi-Aventis SA, ADR 3 125,000 6,012,500 ---------------- 56,181,750 - ----------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.6% - ----------------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.6% Raytheon Co. 3 1,000,000 55,600,000 - ----------------------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.9% General Electric Co. 1,630,000 61,255,400 - ----------------------------------------------------------------------------------------------------------------------------------- Tyco International Ltd. 3 250,000 8,340,000 ---------------- 69,595,400 - ----------------------------------------------------------------------------------------------------------------------------------- MARINE--0.1% Omega Navigation Enterprises, Inc., Cl. A 5,000 116,900 - ----------------------------------------------------------------------------------------------------------------------------------- Seaspan Corp. 58,200 1,727,376 ---------------- 1,844,276 - ----------------------------------------------------------------------------------------------------------------------------------- MATERIALS--0.5% - ----------------------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.3% Packaging Corp. of America 3 389,900 10,082,814 - ----------------------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.2% Abitibi-Consolidated, Inc. 425,000 1,041,250 - ----------------------------------------------------------------------------------------------------------------------------------- Bowater, Inc. 375,000 7,796,250 ---------------- 8,837,500 - ----------------------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.2% - ----------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.1% AT&T, Inc. 3 105,000 4,340,700 - ----------------------------------------------------------------------------------------------------------------------------------- Citizens Communications Co. 1,350,000 21,397,500 - ----------------------------------------------------------------------------------------------------------------------------------- Consolidated Communications Holdings, Inc. 1,130,000 24,023,800 - ----------------------------------------------------------------------------------------------------------------------------------- FairPoint Communications, Inc. 1,125,000 20,250,000 - ----------------------------------------------------------------------------------------------------------------------------------- NTELOS Holdings Corp. 1 725,000 18,284,500 - -----------------------------------------------------------------------------------------------------------------------------------
2 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
SHARES VALUE - ----------------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES CONTINUED Windstream Corp. 1,400,000 $ 21,028,000 ---------------- 109,324,500 - ----------------------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% Cellcom Israel Ltd. 1 125,000 3,100,000 - ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES--0.3% - ----------------------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--0.3% Cleco Corp. 420,100 11,334,298 - ----------------------------------------------------------------------------------------------------------------------------------- IDACORP, Inc. 25,000 830,250 ---------------- 12,164,548 ---------------- Total Common Stocks (Cost $902,609,791) 1,534,291,489 - ----------------------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--6.0% - ----------------------------------------------------------------------------------------------------------------------------------- AES Trust III, 6.75% Cv. 242,100 12,126,789 - ----------------------------------------------------------------------------------------------------------------------------------- E*TRADE Financial Corp., 6.125% Cum. Cv., Non-Vtg. 1,175,000 35,414,500 - ----------------------------------------------------------------------------------------------------------------------------------- El Paso Corp., 4.99% Cv. 3,000 4,341,000 - ----------------------------------------------------------------------------------------------------------------------------------- Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 627,000 29,694,720 - ----------------------------------------------------------------------------------------------------------------------------------- Ford Motor Co. Capital Trust II, 6.50% Cum. Cv., Non-Vtg. 197,500 7,273,925 - ----------------------------------------------------------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc., 6.75% Cv., Non-Vtg. 1 30,000 3,684,600 - ----------------------------------------------------------------------------------------------------------------------------------- Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 37,925 39,347,188 - ----------------------------------------------------------------------------------------------------------------------------------- Platinum Underwriters Holdings Ltd., 6% Cv., Series A, Non-Vtg. 1,002,500 32,330,625 - ----------------------------------------------------------------------------------------------------------------------------------- Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity Redeemable Shares, Non-Vtg. 1 175,000 4,200,000 - ----------------------------------------------------------------------------------------------------------------------------------- United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 4 378,569 18,644,523 - ----------------------------------------------------------------------------------------------------------------------------------- XL Capital Ltd., 7% Cv. 817,500 23,347,800 ---------------- Total Preferred Stocks (Cost $191,221,499) 210,405,670 PRINCIPAL AMOUNT - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--13.3% - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass- Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 $ 2,670,000 2,603,147 - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,863,838 1,884,397 - ----------------------------------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,438,932 1,447,701 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 660,000 657,332 - ----------------------------------------------------------------------------------------------------------------------------------- Citigroup/Deutsche Bank Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 4 3,140,000 3,155,700 - ----------------------------------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, CMO: Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 3,387,916 3,419,149 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,981,965 3,023,445 - ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 2,045,241 2,041,142 Series 2006-AB3, Cl. A7, 6.36%, 4/25/08 636,679 637,103 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19 7,535,033 7,228,868
3 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- 4.50%, 5/1/19 5 $ 3,509,928 $ 3,364,626 5%, 8/1/33 6,101,908 5,825,088 5%, 6/1/37 6 1,612,000 1,534,171 6%, 5/1/18 3,567,728 3,608,799 6.50%, 4/1/18-4/1/34 1,815,241 1,860,396 7%, 9/1/23-3/1/35 8,887,895 9,210,110 8%, 4/1/16 442,698 466,447 9%, 8/1/22-5/1/25 132,230 141,800 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Multiclass Mtg. Participation Certificates, Series 3094, Cl. HS, 4.877%, 6/15/34 7 715,052 679,621 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., CMO Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 5.06%, 3/25/36 7 1,106,214 1,060,990 Series 2034, Cl. Z, 6.50%, 2/15/28 611,923 622,453 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,810,437 1,817,585 Series 2053, Cl. Z, 6.50%, 4/15/28 662,706 674,376 Series 2055, Cl. ZM, 6.50%, 5/15/28 814,842 825,545 Series 2075, Cl. D, 6.50%, 8/15/28 2,198,911 2,237,082 Series 2080, Cl. C, 6.50%, 8/15/28 1,119,903 1,139,466 Series 2080, Cl. Z, 6.50%, 8/15/28 531,779 540,955 Series 2279, Cl. PK, 6.50%, 1/15/31 1,221,385 1,248,194 Series 2326, Cl. ZP, 6.50%, 6/15/31 649,544 661,678 Series 2387, Cl. PD, 6%, 4/15/30 153,105 152,968 Series 2461, Cl. PZ, 6.50%, 6/15/32 2,067,177 2,140,522 Series 2500, Cl. FD, 5.82%, 3/15/32 7 285,421 287,933 Series 2526, Cl. FE, 5.72%, 6/15/29 7 403,196 404,235 Series 2551, Cl. FD, 5.72%, 1/15/33 7 313,875 316,779 Series 2676, Cl. KY, 5%, 9/15/23 2,768,000 2,627,321 Series 3025, Cl. SJ, 5.243%, 8/15/35 7 423,460 412,292 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.991%, 6/1/26 8 541,333 130,550 Series 183, Cl. IO, 8.801%, 4/1/27 8 840,683 210,741 Series 184, Cl. IO, 14.677%, 12/1/26 8 902,028 223,341 Series 192, Cl. IO, 13.258%, 2/1/28 8 277,429 73,615 Series 200, Cl. IO, 11.679%, 1/1/29 8 328,260 85,464 Series 2003-118, Cl. S, 8.759%, 12/25/33 8 4,776,642 588,444 Series 2005-87, Cl. SE, 5.195%, 10/25/35 8 8,846,076 255,642 Series 2005-87, Cl. SG, 10.793%, 10/25/35 8 7,876,069 387,639 Series 2130, Cl. SC, (3.674)%, 3/15/29 8 622,825 44,871 Series 216, Cl. IO, 11.962%, 12/1/31 8 612,436 144,515 Series 224, Cl. IO, 8.53%, 3/1/33 8 2,837,069 713,001 Series 243, Cl. 6, 8.702%, 12/15/32 8 1,176,588 306,707 Series 2796, Cl. SD, (0.111)%, 7/15/26 8 958,751 72,101 Series 2802, Cl. AS, 1.206%, 4/15/33 8 1,894,989 96,531 Series 2920, Cl. S, (3.257)%, 1/15/35 8 5,314,364 228,268 Series 3000, Cl. SE, (4.106)%, 7/15/25 8 5,865,506 172,314
4 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Series 3110, Cl. SL, 4.353%, 2/15/26 8 $ 992,231 $ 28,755 - ----------------------------------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.707%, 6/1/26 9 257,663 202,645 Series 224, Cl. PO, 4.974%, 3/1/33 9 956,089 718,568 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 5/1/18-8/1/20 32,812,745 31,483,413 5%, 12/1/17-11/1/33 60,126,535 58,282,514 5%, 6/1/22-6/1/37 6 28,665,556 27,727,440 5.50%, 1/1/33-1/1/34 16,377,206 16,038,316 5.50%, 4/1/34 5 4,710,692 4,623,578 5.50%, 6/1/22-6/1/37 6 61,978,000 60,702,580 6%, 8/1/32-11/1/33 26,571,841 26,632,135 6%, 6/1/22-6/1/37 6 30,440,000 30,661,377 6.50%, 5/1/17-11/1/31 16,426,256 16,838,592 7%, 11/1/17-7/1/35 8,297,484 8,620,155 7.50%, 1/1/33-3/1/33 11,976,745 12,556,884 8.50%, 7/1/32 48,174 51,896 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,864,365 1,908,565 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., CMO Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,683,389 1,720,437 Trust 1998-61, Cl. PL, 6%, 11/25/28 1,041,068 1,047,488 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,438,615 1,472,610 Trust 2001-50, Cl. NE, 6%, 8/25/30 116,681 116,553 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,299,041 2,353,123 Trust 2001-70, Cl. LR, 6%, 9/25/30 239,428 239,452 Trust 2001-74, Cl. PD, 6%, 5/25/30 8,735 8,710 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 948,453 973,081 Trust 2002-9, Cl. PC, 6%, 3/25/17 6,821,839 6,875,456 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,824,986 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,485,000 3,376,720 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,474,589 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,503,817 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 7,024,361 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,391,319 Trust 2006-46, Cl. SW, 4.693%, 6/25/36 7 853,577 803,641 Trust 2006-50, Cl. KS, 4.693%, 6/25/36 7 2,900,429 2,617,309 Trust 2006-50, Cl. SA, 4.693%, 6/25/36 7 1,704,875 1,534,321 Trust 2006-50, Cl. SK, 4.693%, 6/25/36 7 229,010 210,757 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 5,461,223 5,449,660 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 6.328%, 3/17/31 8 830,824 93,745 Trust 2001-65, Cl. S, 8.771%, 11/25/31 8 2,703,802 273,748 Trust 2001-81, Cl. S, 1.237%, 1/25/32 8 599,430 57,704 Trust 2002-47, Cl. NS, 0.389%, 4/25/32 8 1,167,615 110,394 Trust 2002-51, Cl. S, 0.523%, 8/25/32 8 1,072,031 101,057 Trust 2002-52, Cl. SD, (1.825)%, 9/25/32 8 1,206,753 102,488
5 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Trust 2002-75, Cl. SA, 10.099%, 11/25/32 8 $ 3,193,836 $ 341,388 Trust 2002-77, Cl. SH, 2.157%, 12/18/32 8 763,080 74,598 Trust 2002-89, Cl. S, 13.261%, 1/25/33 8 3,063,558 283,501 Trust 2002-9, Cl. MS, 1.286%, 3/25/32 8 735,240 71,901 Trust 2003-33, Cl. SP, 11.27%, 5/25/33 8 2,685,005 337,548 Trust 2003-46, Cl. IH, 6.915%, 6/25/33 8 5,643,537 1,249,052 Trust 2004-54, Cl. DS, (5.146)%, 11/25/30 8 1,186,091 67,882 Trust 2005-105, Cl. S, 10.195%, 12/25/35 8 4,343,718 204,701 Trust 2005-19, Cl. SA, (2.406)%, 3/25/35 8 13,633,237 604,367 Trust 2005-40, Cl. SA, (2.444)%, 5/25/35 8 3,169,116 135,002 Trust 2005-6, Cl. SE, (0.697)%, 2/25/35 8 3,812,988 167,701 Trust 2005-71, Cl. SA, 3.033%, 8/25/25 8 3,716,092 174,148 Trust 2006-119, Cl. MS, 9.51%, 12/25/36 8 3,148,768 153,012 Trust 2006-33, Cl. SP, 12.514%, 5/25/36 8 7,749,881 634,796 Trust 222, Cl. 2, 14.413%, 6/1/23 8 1,940,636 466,233 Trust 240, Cl. 2, 18.927%, 9/1/23 8 2,988,741 751,568 Trust 252, Cl. 2, 11.106%, 11/1/23 8 1,444,922 362,658 Trust 273, Cl. 2, 14.137%, 8/1/26 8 400,002 95,987 Trust 303, Cl. IO, 11.324%, 11/1/29 8 514,090 135,749 Trust 308, Cl. 2, 11.163%, 9/1/30 8 1,416,241 353,317 Trust 321, Cl. 2, 6.547%, 4/1/32 8 5,901,288 1,577,940 Trust 322, Cl. 2, 15.292%, 4/1/32 8 2,310,070 588,929 Trust 331, Cl. 9, 9.426%, 2/1/33 8 1,625,539 386,570 Trust 334, Cl. 17, 24.053%, 2/1/33 8 949,219 263,140 Trust 339, Cl. 7, 8.058%, 7/1/33 8 3,109,691 703,599 Trust 342, Cl. 2, 10.117%, 9/1/33 8 4,583,595 1,154,820 Trust 344, Cl. 2, 8.654%, 12/1/33 8 8,888,864 2,238,505 Trust 346, Cl. 2, 12.16%, 12/1/33 8 3,457,818 876,018 Trust 350, Cl. 2, 10.329%, 3/1/34 8 5,356,771 1,357,912 Trust 362, Cl. 12, 7.145%, 8/1/35 8 5,085,177 1,169,314 Trust 362, Cl. 13, 7.188%, 8/1/35 8 2,821,293 648,360 - ----------------------------------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.528%, 9/25/23 9 684,575 552,429 - ----------------------------------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,686,887 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,566,257 - ----------------------------------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass- Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 61,370 61,265 - ----------------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., 8.50%, 8/15/17-12/15/17 187,626 199,859 - ----------------------------------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (3.257)%, 1/16/27 8 1,287,358 91,605 Series 2002-15, Cl. SM, (6.147)%, 2/16/32 8 1,208,903 85,681 Series 2002-41, Cl. GS, 5.165%, 6/16/32 8 683,536 71,396 Series 2002-76, Cl. SY, (3.889)%, 12/16/26 8 2,956,127 229,480 Series 2004-11, Cl. SM, (6.242)%, 1/17/30 8 1,025,255 68,156
6 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Series 2006-47, Cl. SA, 14.941%, 8/16/36 8 $ 9,609,082 $ 527,421 - ----------------------------------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass- Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,939,889 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,734,718 Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 4 2,440,000 2,424,653 - ----------------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 625,205 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,238,584 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 1,260,000 1,245,512 - ----------------------------------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,875,897 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 2,710,000 2,688,501 - ----------------------------------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass-Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,266,948 2,258,026 Series 2004-9, Cl. A3, 4.70%, 8/25/34 7 561,016 558,564 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 4 2,380,000 2,533,956 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 1,127,623 1,123,543 - ----------------------------------------------------------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 2,450,226 2,445,842 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Obligations, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,590,000 3,531,011 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Asset-Backed Securities, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 735,000 727,076 - ----------------------------------------------------------------------------------------------------------------------------------- WAMU Mortgage Pass-Through Certificates, Series 2005-AR5 Trust, Series 2005-AR5, Cl. A1, 4.675%, 5/25/35 7 340,693 340,578 ---------------- Total Mortgage-Backed Obligations (Cost $469,289,674) 465,590,306 - ----------------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--0.5% - ----------------------------------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005- 1A, Cl. A2, 5.38%, 4/20/08 7 900,000 900,376 - ----------------------------------------------------------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.80%, 5/25/34 7 2,123,397 2,132,154 - ----------------------------------------------------------------------------------------------------------------------------------- Centex Home Equity Loan Trust 2005-D, Asset-Backed Certificates, Series 2005-D, Cl. AF1, 5.04%, 10/25/35 33,205 33,096 - ----------------------------------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 413,722 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 6.06%, 2/25/33 7 44,821 44,888 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 7 920,000 915,014 - ----------------------------------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates, Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 7 620,000 616,858 - ----------------------------------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2005-A, Cl. A3, 3.48%, 11/17/08 554,005 552,230 - -----------------------------------------------------------------------------------------------------------------------------------
7 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.58%, 1/20/35 7 $ 1,054,556 $ 1,054,754 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 1,136,993 1,130,083 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 7 1,063,510 1,061,352 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 890,268 887,583 - ----------------------------------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.67%, 3/15/16 7 4,080,000 4,293,918 - ----------------------------------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. A F2, 4.415%, 4/25/35 7 656,428 653,189 - ----------------------------------------------------------------------------------------------------------------------------------- RAMP, Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 791,693 786,948 - ----------------------------------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates,Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 1,370,438 1,370,672 ---------------- Total Asset-Backed Securities (Cost $16,884,848) 16,846,837 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--1.0% - ----------------------------------------------------------------------------------------------------------------------------------- Fannie Mae Unsec. Nts., 3.69%, 10/5/07 10 2,255,000 2,215,556 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds: 4.50%, 5/15/17-2/15/36 5,964,000 5,607,976 8.875%, 8/15/17 285,000 373,729 - ----------------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 3.875%, 2/15/13 11 2,989,000 2,847,725 4.50%, 5/15/10-4/30/12 16,596,000 16,348,708 4.75%, 2/28/09-2/15/10 9,122,000 9,092,998 ---------------- Total U.S. Government Obligations (Cost $36,816,126) 36,486,692 - ----------------------------------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--12.5% - ----------------------------------------------------------------------------------------------------------------------------------- Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,665,000 2,817,475 - ----------------------------------------------------------------------------------------------------------------------------------- Allied Waste North America, Inc., 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,943,750 - ----------------------------------------------------------------------------------------------------------------------------------- Bank Plus Corp., 12% Sr. Nts., 7/18/07 4 2,500,000 2,518,750 - ----------------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds 12 5,750,000 5,443,640 - ----------------------------------------------------------------------------------------------------------------------------------- Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 800,000 806,000 - ----------------------------------------------------------------------------------------------------------------------------------- Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 2,050,000 2,109,503 - ----------------------------------------------------------------------------------------------------------------------------------- British Sky Broadcasting Group plc, 8.20% Sr. Unsec. Nts., 7/15/09 1,860,000 1,953,350 - ----------------------------------------------------------------------------------------------------------------------------------- Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 3,620,000 3,394,894 - ----------------------------------------------------------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 4 3,310,000 3,427,604 - ----------------------------------------------------------------------------------------------------------------------------------- Capmark Financial Group, Inc., 5.875% Nts., 5/10/12 13 1,790,000 1,779,224 - ----------------------------------------------------------------------------------------------------------------------------------- CCH I Holdings LLC, 9.92% Sr. Unsec. Nts., 4/1/14 10,000,000 9,625,000 - ----------------------------------------------------------------------------------------------------------------------------------- CDX High Yield Index, 7.625% Pass-Through Certificates, Series 8-T1, 6/29/12 50,000,000 49,465,000 - ----------------------------------------------------------------------------------------------------------------------------------- CenterPoint Energy, Inc., 7.25% Sr. Nts., Series B, 9/1/10 2,980,000 3,123,627 - ----------------------------------------------------------------------------------------------------------------------------------- Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 610,000 610,895 - ----------------------------------------------------------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,400,000 2,468,129 - ----------------------------------------------------------------------------------------------------------------------------------- Charter Communications Holdings I LLC: 11% Sr. Sec. Nts., 10/1/15 64,075,000 70,001,938 11% Sr. Sec. Nts., 10/1/15 13 29,072,000 31,688,480 13.50% Sr. Unsec. Unsub. Nts., 1/15/14 14,000,000 14,577,500 - -----------------------------------------------------------------------------------------------------------------------------------
8 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 $ 5,601,000 $ 5,713,020 - ----------------------------------------------------------------------------------------------------------------------------------- Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 5,000,000 4,687,500 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 9,900,000 - ----------------------------------------------------------------------------------------------------------------------------------- CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,035,000 1,979,013 - ----------------------------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,913,767 - ----------------------------------------------------------------------------------------------------------------------------------- Comcast Corp., 6.45% Unsec. Nts., 3/15/37 4,270,000 4,202,837 - ----------------------------------------------------------------------------------------------------------------------------------- Cox Enterprises, Inc., 4.375% Nts., 5/1/08 13 3,255,000 3,221,099 - ----------------------------------------------------------------------------------------------------------------------------------- CSC Holdings, Inc.: 7.25% Sr. Unsec. Nts., 7/15/08 1,795,000 1,821,925 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 3,030,000 - ----------------------------------------------------------------------------------------------------------------------------------- D.R. Horton, Inc.: 5.375% Sr. Unsec. Nts., 6/15/12 1,790,000 1,711,795 6.125% Nts., 1/15/14 1,315,000 1,293,989 8% Sr. Nts., 2/1/09 1,415,000 1,461,937 - ----------------------------------------------------------------------------------------------------------------------------------- DaimlerChrysler North America Holding Corp.: 5.69% Nts., Series E, 3/13/09 7 1,200,000 1,202,588 7.30% Nts., 1/15/12 2,760,000 2,948,709 - ----------------------------------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,960,000 2,435,712 - ----------------------------------------------------------------------------------------------------------------------------------- Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 4 820,000 826,150 - ----------------------------------------------------------------------------------------------------------------------------------- Earthgrains Co. (The), 6.50% Nts., 4/15/09 990,000 1,001,752 - ----------------------------------------------------------------------------------------------------------------------------------- Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 4 360,000 351,000 - ----------------------------------------------------------------------------------------------------------------------------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 3,890,000 3,899,725 - ----------------------------------------------------------------------------------------------------------------------------------- El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 578,000 584,103 - ----------------------------------------------------------------------------------------------------------------------------------- FirstEnergy Corp., 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,145,000 1,285,038 - ----------------------------------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 6,100,000 6,470,410 - ----------------------------------------------------------------------------------------------------------------------------------- Gap, Inc. (The): 6.90% Nts., 9/15/07 3,065,000 3,087,126 9.445% Unsub. Nts., 12/15/08 7 359,000 381,889 - ----------------------------------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 2,445,000 2,693,652 - ----------------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 3,170,000 3,133,459 - ----------------------------------------------------------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 12,13 5,600,000 5,383,437 - ----------------------------------------------------------------------------------------------------------------------------------- HCA, Inc., 8.75% Sr. Nts., 9/1/10 1,495,000 1,592,175 - ----------------------------------------------------------------------------------------------------------------------------------- Heinz (H.J.) Co., 6.428% Bonds, 12/1/08 13 435,000 439,979 - ----------------------------------------------------------------------------------------------------------------------------------- Hilton Hotels Corp., 8.25% Sr. Unsec. Nts., 2/15/11 4 2,205,000 2,373,131 - ----------------------------------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 7 4,900,000 4,837,069 - ----------------------------------------------------------------------------------------------------------------------------------- Hyatt Equities LLC, 6.875% Nts., 6/15/07 13 2,855,000 2,855,682 - ----------------------------------------------------------------------------------------------------------------------------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 13 1,645,000 1,626,135 - ----------------------------------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 7 1,410,000 1,462,875 - ----------------------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 9% Sr. Sub. Nts., 3/15/12 1,000,000 1,050,000 - ----------------------------------------------------------------------------------------------------------------------------------- iStar Financial, Inc., 5.15% Sr. Unsec. Nts., 3/1/12 1,210,000 1,169,085 - ----------------------------------------------------------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,598,000 - ----------------------------------------------------------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP: 5.875% Sr. Unsec. Nts., 6/1/13 2,500,000 2,497,470 7.75% Sr. Unsec. Nts., 2/15/12 280,000 301,707 - ----------------------------------------------------------------------------------------------------------------------------------- Kinder Morgan Energy Partners LP, 7.30% Sr. Unsec. Nts., 8/15/33 3,065,000 3,268,446 - ----------------------------------------------------------------------------------------------------------------------------------- Kroger Co. (The), 5.50% Unsec. Unsub. Nts., 2/1/13 2,970,000 2,903,814 - ----------------------------------------------------------------------------------------------------------------------------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 2,870,000 2,956,508 - -----------------------------------------------------------------------------------------------------------------------------------
9 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Level 3 Financing, Inc., 9.25% Sr. Nts., 11/1/14 13 $ 5,000,000 $ 5,243,750 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 845,000 882,180 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 2,950,000 3,072,425 - ----------------------------------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc.: 5.875% Sr. Unsec. Bonds, 8/1/33 1,930,000 1,690,666 7.125% Sr. Unsec. Nts., 6/15/09 2,095,000 2,148,913 - ----------------------------------------------------------------------------------------------------------------------------------- May Department Stores Co., 7.90% Unsec. Debs., 10/15/07 1,050,000 1,057,336 - ----------------------------------------------------------------------------------------------------------------------------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 1,685,000 1,574,454 - ----------------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 4,020,000 4,020,000 - ----------------------------------------------------------------------------------------------------------------------------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 3,155,000 3,290,334 - ----------------------------------------------------------------------------------------------------------------------------------- NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 2,630,000 2,684,594 - ----------------------------------------------------------------------------------------------------------------------------------- Petroleum Export Ltd. Cayman SPV, 4.623% Sr. Nts., Cl. A1, 6/15/10 13 3,317,167 3,272,076 - ----------------------------------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 13 831,115 775,310 - ----------------------------------------------------------------------------------------------------------------------------------- Popular North America, Inc., 4.70% Nts., 6/30/09 3,665,000 3,601,005 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 13 3,835,000 4,697,564 - ----------------------------------------------------------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 3,210,000 3,956,412 - ----------------------------------------------------------------------------------------------------------------------------------- PSEG Funding Trust I, 5.381% Nts., 11/16/07 1,945,000 1,941,647 - ----------------------------------------------------------------------------------------------------------------------------------- Pulte Homes, Inc., 4.875% Nts., 7/15/09 4,965,000 4,880,188 - ----------------------------------------------------------------------------------------------------------------------------------- Qwest Corp., 5.625% Unsec. Nts., 11/15/08 4,11 363,000 364,815 - ----------------------------------------------------------------------------------------------------------------------------------- Reed Elsevier Capital, Inc., 4.625% Nts., 6/15/12 1,235,000 1,181,026 - ----------------------------------------------------------------------------------------------------------------------------------- Reynolds American, Inc., 6.50% Sr. Sec. Nts., 6/1/07 1,938,000 1,940,423 - ----------------------------------------------------------------------------------------------------------------------------------- Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 15,000,000 13,593,750 - ----------------------------------------------------------------------------------------------------------------------------------- Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 2,945,000 3,335,124 - ----------------------------------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd., 7% Sr. Unsec. Unsub. Nts., 10/15/07 800,000 808,000 - ----------------------------------------------------------------------------------------------------------------------------------- Ryder System, Inc., 5.95% Nts., 5/2/11 780,000 785,921 - ----------------------------------------------------------------------------------------------------------------------------------- Sara Lee Corp., 2.75% Unsec. Nts., 6/15/08 1,260,000 1,222,631 - ----------------------------------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,000,000 1,042,500 - ----------------------------------------------------------------------------------------------------------------------------------- SLM Corp., 4% Nts., 1/15/09 2,770,000 2,680,033 - ----------------------------------------------------------------------------------------------------------------------------------- Standard Pacific Corp., 5.125% Sr. Unsec. Unsub. Nts., 4/1/09 1,450,000 1,406,500 - ----------------------------------------------------------------------------------------------------------------------------------- Telecom Italia Capital SpA, 4% Unsec. Unsub. Nts., 1/15/10 2,810,000 2,706,789 - ----------------------------------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.50% Nts., 11/19/08 1,420,000 1,406,003 - ----------------------------------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp., 9.875% Sr. Nts., 7/1/14 5,000,000 5,150,000 - ----------------------------------------------------------------------------------------------------------------------------------- TEPPCO Partners LP: 6.125% Nts., 2/1/13 1,395,000 1,408,559 7.625% Sr. Unsec. Nts., 2/15/12 995,000 1,071,318 - ----------------------------------------------------------------------------------------------------------------------------------- Textron Financial Corp., 6% Jr. Unsec. Sub. Nts., 2/15/67 7,13 2,395,000 2,281,987 - ----------------------------------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 3,485,000 4,160,668 - ----------------------------------------------------------------------------------------------------------------------------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 2,255,000 2,244,677 - ----------------------------------------------------------------------------------------------------------------------------------- TXU Energy Co., 6.125% Nts., 3/15/08 1,955,000 1,960,144 - ----------------------------------------------------------------------------------------------------------------------------------- TXU Energy Co. LLC, 5.85% Sr. Nts., 9/16/08 7,13 2,940,000 2,941,664 - ----------------------------------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 3.50% Sr. Unsec. Nts., 10/15/07 1,880,000 1,868,250 3.875% Sr. Unsec. Nts., 10/15/08 4 875,000 853,125 - ----------------------------------------------------------------------------------------------------------------------------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 675,000 677,954 - ----------------------------------------------------------------------------------------------------------------------------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 3,030,000 3,116,279 - ----------------------------------------------------------------------------------------------------------------------------------- Williams Cos., Inc. (The), Credit Linked Certificate Trust, 6.75% Nts., 4/15/09 4 3,650,000 3,727,563 - -----------------------------------------------------------------------------------------------------------------------------------
10 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Xerox Corp., 9.75% Sr. Unsec. Nts., 1/15/09 $ 4,505,000 $ 4,803,740 ---------------- Total Non-Convertible Corporate Bonds and Notes (Cost $419,767,551) 435,836,764 - ----------------------------------------------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES--8.3% - ----------------------------------------------------------------------------------------------------------------------------------- Conseco, Inc., 3.50% Cv. Sr. Unsec. Bonds, 9/30/35 7 12,000,000 11,835,000 - ----------------------------------------------------------------------------------------------------------------------------------- CSK Auto, Inc., 7.25% Cv. Sr. Unsec. Nts., 12/15/25 7,13 11,000,000 15,015,000 - ----------------------------------------------------------------------------------------------------------------------------------- Human Genome Sciences, Inc., 2.25% Cv. Unsec. Sub. Nts., 8/15/12 1,500,000 1,310,625 - ----------------------------------------------------------------------------------------------------------------------------------- Incyte Genomics, Inc., 3.50% Cv. Sr. Unsec. Nts., 2/15/11 5,750,000 5,175,000 - ----------------------------------------------------------------------------------------------------------------------------------- Intel Corp., 2.95% Cv. Unsec. Sub. Debs., 12/15/35 7,750,000 7,197,813 - ----------------------------------------------------------------------------------------------------------------------------------- JDS Uniphase Corp., 1% Cv. Sr. Nts., 5/15/26 2,500,000 2,009,375 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 47,500,000 59,315,625 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) 150,000,000 131,437,500 - ----------------------------------------------------------------------------------------------------------------------------------- Liberty Media Corp., 3.50% Exchangeable Sr. Unsec. Debs., 1/15/31 (exchangeable for Motorola, Inc., common stock or cash based on the value of that stock) 4,250,000 3,558,228 - ----------------------------------------------------------------------------------------------------------------------------------- Nortel Networks Corp., 4.25% Cv. Sr. Unsec. Nts., 9/1/08 5,000,000 4,900,000 - ----------------------------------------------------------------------------------------------------------------------------------- Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 14,500,000 16,312,500 - ----------------------------------------------------------------------------------------------------------------------------------- Pride International, Inc., 3.25% Cv. Sr. Nts., 5/1/33 21,250,000 30,732,813 ---------------- Total Convertible Corporate Bonds and Notes (Cost $271,117,485) 288,799,479 - ----------------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES--15.7% - ----------------------------------------------------------------------------------------------------------------------------------- Allegro Investment Corp. SA: Cv. Equity Linked Nts., 5.05%, 3/17/08 617,700 16,209,930 Cv. Equity Linked Nts., 8.35%, 3/11/08 (linked to Pulte Homes, Inc.) 265,762 7,462,703 Cv. Equity Linked Nts., Series COF, 3.81%, 1/18/08 (linked to Capital One Financial Corp. common stock) 4 197,538 15,516,965 Cv. Equity Linked Nts., Series UTX, 4.84%, 1/2/08 (linked to United Technologies Corp. common stock) 238,800 16,319,425 - ----------------------------------------------------------------------------------------------------------------------------------- Bank of America: Cv. Linked Nts., Series HES, 8.50%, 1/30/08 194,600 10,852,842 Cv. Linked Nts., Series VNDA, 10.60%, 5/5/08 696,200 14,223,366 - ----------------------------------------------------------------------------------------------------------------------------------- Bear Stearns Global Asset Holdings Ltd., Cv. Linked Premium Equity Redemption Cumulative Securities, 2.10%, 6/21/07 (redemption linked to Wal-Mart Stores, Inc., common stock) 4 546,807 25,896,780 - ----------------------------------------------------------------------------------------------------------------------------------- Blue Wings Ltd., 8.498% Bonds, 1/10/12 4,7 3,000,000 3,000,750 - ----------------------------------------------------------------------------------------------------------------------------------- Calabash Re II Ltd. Nts., Series A1, 13.755%, 1/8/10 4,7 3,000,000 3,024,750 - ----------------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc., (New York), Cv. Equity Linked Nts., 8.22%, 1/23/08 (linked to Corning, Inc.) 644,350 14,584,862 - ----------------------------------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (New York), Cv. Equity Linked Nts., 5.69%, 4/21/08 (linked to Williams Cos, Inc. (The)) 354,000 10,476,630 - ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: 3M Co. Exchangeable Total Return Linked Nts., 4.64%, 3/19/08 4 218,000 17,995,900 Basket of Cv. Linked Nts., 23.40%, 11/27/07 (linked to the common stock of Staples, Inc., Office Depot, Inc. and OfficeMax, Inc.) 25,000,000 25,170,000 - ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG/London, Cv. Equity Linked Nts., 4.38%, 9/21/07 (linked to United Technologies Corp. common stock) 242,000 16,620,560 - ----------------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Applied Materials, Inc. Cv. Linked Nts., 8.70%, 5/27/08 789,500 14,975,236
11 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE - ----------------------------------------------------------------------------------------------------------------------------------- STRUCTURED NOTES CONTINUED - ----------------------------------------------------------------------------------------------------------------------------------- Cv. Equity Linked Nts., 4%, 3/10/08 (linked to Office Depot, Inc. common stock) $ 582,735 $ 20,600,265 Cv. Equity Linked Nts., 7.10%, 2/6/08 (linked to Occidental Petroleum Corp. common stock) 219,100 11,239,611 Cv. Linked Nts., 8%, 3/10/08 (linked to XM Satellite Radio Inc.) 700,281 8,535,025 Cv. Mandatory Exchangeable Linked Nts., 7.45%, 10/16/07 (linked to GlobalSantaFe Corp.) 4 431,007 25,821,629 Nortel Networks Corp. Cv. Linked Nts., 12.90%, 12/13/07 4 400,000 9,506,400 - ----------------------------------------------------------------------------------------------------------------------------------- Lakeside Re Ltd. Catastrophe Linked Nts., 11.849%, 12/31/09 7,13 3,000,000 3,084,600 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc.: Cv. Equity Linked Nts., 11.03%, 1/27/08 (linked to Arch Coal, Inc.) 439,368 14,604,592 Cv. Equity Linked Nts., 4.42%, 12/9/07 (linked to Tyco International Ltd.) 1,658,755 53,279,211 Cv. Yield Enhanced Equity Linked Debt Securities, Series I, 4%, 1/12/08 (linked to Texas Instruments, Inc.) 523,926 17,210,969 - ----------------------------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc.: Cv. Linked Nts., 6%, 12/5/07 (linked to Corning, Inc.) 4 714,300 17,300,346 Equity Linked Nts., 6.35%, 1/4/08 (linked to Global SantaFe Corp.) 4 182,983 11,418,139 - ----------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley: Cv. Linked Nts., 18.10%, 12/6/07 (linked to XM Satellite Radio Holdings, Inc. common stock) 4 696,865 9,923,358 Cv. Linked Nts., 6.20%, 2/6/08 (linked to XM Satellite Radio Holdings, Inc. common stock) 715,100 9,256,970 Cv. Mandatory Exchangeable Linked Nts., 4.50%, 7/6/07 (linked to Clear Channel Communications common stock) 4 759,622 26,932,398 Cv. Performance Equity Linked Redemption Quarterly-pay Nts., 15.50%, 1/22/08 (linked to the common stock of XM Satellite Radio Holdings, Inc. 4 639,800 8,202,236 Cv. Performance Equity Linked Redemption Quarterly-pay Nts., 6.10%, 9/20/07 (linked to Microsoft Corp.) 4 930,461 28,393,017 - ----------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Cv. Linked Nts., 3.60%, 3/13/08 (linked to Tyco International Ltd.) 4 1,004,400 32,115,690 Cv. Linked Nts., 8.67%, 3/7/08 (linked to Vanda Pharmaceutical, Inc.) 598,100 12,467,391 - ----------------------------------------------------------------------------------------------------------------------------------- Successor Europe Windstorm Ltd. Catastrophe Linked Nts., Series AIII, 11.096%, 12/6/08 7 3,000,000 3,076,050 - ----------------------------------------------------------------------------------------------------------------------------------- Wachovia Bank NA, Cv. Linked Nts., Series XMSR, 13.20%, 12/1/07 (linked to XM Satellite Radio Holdings, Inc., common stock) 4 1,016,777 14,402,646 ---------------- Total Structured Notes (Cost $520,367,215) 549,701,242 SHARES - ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENTS IN AFFILIATED COMPANIES--3.5% - ----------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 5.29% 2,14 (Cost $122,510,275) 122,510,275 122,510,275 - ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $2,950,584,464) 104.6% 3,660,468,754 - ----------------------------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (4.6) (161,881,826) ---------------------------------- NET ASSETS 100.0% $ 3,498,586,928 ==================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Non-income producing security. 12 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended May 31, 2007, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment advisor. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2006 ADDITIONS REDUCTIONS MAY 31, 2007 - ----------------------------------------------------------------------------------------------------------------------- CSK Auto Corp. 5,502,500 -- 746,750 4,755,750 Enbridge Energy Management LLC 747,702 30,984 a 778,686 -- Oppenheimer Institutional Money Market Fund, Cl. E -- 680,037,790 557,527,515 122,510,275
DIVIDEND REALIZED VALUE INCOME GAIN - ----------------------------------------------------------------------------------------------------------------------- CSK Auto Corp. $ 86,554,650 $ -- $ 2,993,633 Enbridge Energy Management LLC -- -- 20,010,336 Oppenheimer Institutional Money Market Fund, Cl. E 122,510,275 815,067 -- ----------------------------------------------- $ 209,064,925 $ 815,067 $ 23,003,969 ===============================================
a. All or a portion is the result of a corporate action. 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 - ------------------------------------------------------------------------------------------------------------------- Altria Group, Inc. 6,000 6/18/07 $ 75.00 $ 311,590 $ 60,000 Altra Group, Inc. 1,000 9/24/07 80.00 31,249 35,000 AT&T, Inc. 40 6/18/07 40.00 2,160 6,200 Chevron Corp. 200 7/23/07 80.00 66,275 72,000 Chevron Corp. 600 9/24/07 75.00 466,193 522,000 Chevron Corp. 100 9/24/07 80.00 44,699 48,800 Chevron Corp. 65 9/24/07 85.00 15,600 17,875 ConocoPhillips 500 7/23/07 85.00 19,500 25,000 Everest Re Group Ltd. 10,750 7/23/07 110.00 853,637 1,075,000 Fidelity National Title Group, Inc., Cl. A 2,585 12/24/07 30.00 100,813 232,650 Kraft Foods, Inc., Cl. A 15,000 7/9/07 30.76 3,585,000 4,740,000 Kraft Foods, Inc., Cl. A 224 9/24/07 32.50 41,887 53,760 Loews Corp./Carolina Group 1,400 6/18/07 80.00 265,871 63,000 Loews Corp./Carolina Group 4,350 7/23/07 75.00 1,969,273 1,740,000 Loews Corp./Carolina Group 1,100 7/23/07 80.00 158,398 154,000 Loews Corp./Carolina Group 5,000 9/24/07 80.00 1,378,019 1,300,000 Packaging Corp. of America 1,624 7/23/07 25.00 222,485 186,760 Pfizer, Inc. 4,500 6/18/07 27.50 106,873 180,000 Raytheon Co. 8,000 6/18/07 52.50 1,971,206 2,560,000 Raytheon Co. 569 6/18/07 55.00 54,752 56,900 Raytheon Co. 1,350 7/23/07 52.50 392,944 486,000 Raytheon Co. 81 7/23/07 55.00 10,212 13,770 Sanofi-Aventis SA, ADR 1,250 6/18/07 50.00 33,437 43,750 Tyco International Ltd. 2,500 6/18/07 32.50 172,497 300,000 U.S. Bancorp 10,000 6/18/07 35.00 2,128,059 200,000 Wachovia Corp. 100 7/23/07 57.50 2,900 3,000 Washington Mutual, Inc. 7,000 7/23/07 47.50 203,389 175,000 Washington Mutual, Inc. 3,000 7/23/07 50.00 98,562 -- ---------------------------- $ 14,707,480 $ 14,350,465 ============================
4. Illiquid security. The aggregate value of illiquid securities as of May 31, 2007 was $299,385,224, which represents 8.56% of the Fund's net assets. See accompanying Notes. 13 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 5. A sufficient amount of liquid assets has been designated to cover outstanding written put options, as follows:
CONTRACTS EXPIRATION EXERCISE PREMIUM SUBJECT TO PUT DATES PRICE RECEIVED VALUE - -------------------------------------------------------------------------------------------------- BJ Services Co. 1,500 6/18/07 $ 27.50 $ 79,874 $ 22,500 BJ Services Co. 2,625 7/23/07 27.50 163,247 131,250 Boston Scientific Corp. 350 1/21/08 20.00 145,945 150,500 Capital One Financial Corp. 8,000 6/18/07 75.00 2,564,462 200,000 Capital One Financial Corp. 2,750 7/23/07 75.00 467,737 275,000 Capital One Financial Corp. 1,000 9/24/07 75.00 589,042 200,000 Circuit City Stores, Inc. 1,844 10/22/07 22.50 755,174 1,161,720 Circuit City Stores, Inc. 221 7/23/07 22.50 74,697 139,230 Costco Wholesale Corp. 3,500 6/18/07 55.00 478,942 140,000 Costco Wholesale Corp. 1,000 7/23/07 55.00 101,998 75,000 El Paso Corp. 3,250 6/18/07 15.00 139,248 -- Office Depot, Inc. 4,575 6/18/07 35.00 467,359 91,500 OfficeMax, Inc. 1,250 6/18/07 42.50 121,248 75,000 SLM Corp. 475 7/23/07 45.00 221,822 9,500 Sun Microsystems, Inc. 6,000 10/22/07 5.00 195,847 186,000 Tenet Healthcare Corp. 40 11/19/07 8.00 5,020 4,800 Tenet Healthcare Corp. 2,075 8/20/07 8.00 153,548 228,250 -------------------------- $ 6,725,210 $ 3,090,250 ==========================
6. When-issued security or forward commitment to be delivered and settled after May 31, 2007. See accompanying Notes. 7. Represents the current interest rate for a variable or increasing rate security. 8. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $23,205,590 or 0.66% of the Fund's net assets as of May 31, 2007. 9. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,473,642 or 0.04% of the Fund's net assets as of May 31, 2007. 10. Zero coupon bond reflects effective yield on the date of purchase. 11. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $491,644. 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. 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 $84,305,987 or 2.41% of the Fund's net assets as of May 31, 2007. 14. Rate shown is the 7-day yield as of May 31, 2007. 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 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. 14 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 take place generally at least ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of May 31, 2007, the Fund had purchased $127,530,843 of securities issued on a when-issued basis or forward commitment and sold $5,726,346 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 of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. 15 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") which seeks current income and stability of principal. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment advisor of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 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. As of May 31, 2007, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MAY 31, 2007 (DEPRECIATION) - --------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Treasury Nts., 30 yr. 9/19/07 824 $ 89,919,000 $ (283,813) --------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 9/28/07 665 135,524,922 229,375 U.S. Treasury Nts., 5 yr. 9/28/07 230 24,020,625 50,259 U.S. Treasury Nts., 10 yr. 6/20/07 175 18,618,359 366,372 U.S. Treasury Nts., 10 yr. 9/19/07 368 39,146,000 180,051 --------------- 826,057 --------------- $ 542,244 ===============
16 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. Written option activity for the period ended May 31, 2007 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 308,621 50,074,395 198,076 37,286,477 Options closed or expired (270,194) (37,192,655) (189,790) (48,622,129) Options exercised (16,789) (4,518,433) (6,499) (3,126,309) ------------------------------------------------------ Options outstanding as of May 31, 2007 88,888 $ 14,707,480 40,455 $ 6,725,210 ======================================================
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 primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. 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. The net change in this amount during the period 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 17 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 May 31, 2007, the Fund had entered into the following total return swap agreements:
NOTIONAL PAID BY THE RECEIVED BY THE TERMINATION SWAP COUNTERPARTY AMOUNT FUND FUND DATES VALUE - ------------------------------------------------------------------------------------------------------------------------ If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman CMBS Index plus 275 Deutsche Bank AG $ 8,900,000 CMBS Index. basis points. 11/1/07 $ 13,403 - ------------------------------------------------------------------------------------------------------------------------ If negative, the If positive, the absolute value of absolute value of Lehman Brothers Lehman Brothers U.S. U.S. CMBS CMBS Index: Aggregate Index:Aggregate AAA plus 15 basis Goldman Sachs Capital Markets 6,430,000 AAA. points. 9/1/07 7,128 - ------------------------------------------------------------------------------------------------------------------------ If negative, the If positive, the Total absolute value of Return of the Lehman Lehman Brothers Special the Lehman CMBS Index plus 325 Financing, Inc. 7,260,000 CMBS Index. basis points. 11/1/07 11,075 --------- $ 31,606 =========
Abbreviations are as follows: CMBS Commercial Mortgage Backed Securities CREDIT DEFAULT SWAP CONTRACTS A credit default swap is a bilateral contract that enables an investor to buy or sell protection against a defined-issuer credit event. The Fund may enter into credit default swaps to hedge an existing position or to obtain exposure to a security or market by purchasing or selling credit protection. The Fund may enter into credit default swaps on a single security, or a basket of securities. In a credit default swap contract, the purchaser of the contract will pay a periodic interest fee, similar to an insurance premium, on the notional amount of the swap contract to the counterparty (the seller of the contract). If there is a credit event (for example, bankruptcy or a failure to timely pay interest or principal), the purchaser will exercise the contract and will receive a payment from the seller of the contract equal to the notional value of the credit default swap contract less the value of the underlying security. The periodic interest fees are accrued daily as a component of unrealized appreciation (depreciation) and are recorded as realized loss (gain) upon payment. In the event that the credit default swap is exercised due to a credit event, the difference between the value of the underlying security and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. Credit default swaps are marked to market daily using primarily quotations from counterparties and brokers. The value of the contracts is separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. 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, adverse pricing when purchasing bonds to satisfy its delivery obligation, and the need to fund the delivery obligation (either cash or defaulted securities depending on whether the Fund is the purchaser or seller of the credit default swap contract, respectively). Information regarding such credit default swaps as of May 31, 2007 is as follows: 18 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - --------------------------------------------------------------------------------
PAY/ BUY/SELL NOTIONAL RECEIVE PREMIUM CREDIT AMOUNT FIXED TERMINATION PAID/ COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) RATE DATE (RECEIVED) VALUE - ----------------------------------------------------------------------------------------------------------------------------- Barclays Bank: Beazer Homes USA, Inc. Sell $ 825 2.100% 6/20/08 $ -- $ 874 Capmark Financial Group, Inc. Sell 1,570 1.000 6/20/12 10,060 - ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse Group: Belo Corp. Buy 5,050 0.900 6/20/13 -- (14,736) CDX North America High Yield Index Buy 3,925 2.750 6/20/12 (41,540) (38,788) CDX North America High Yield Index Buy 7,790 2.750 6/20/14 141,140 103,203 CDX North America High Yield Index Buy 1,560 2.750 6/20/12 3,088 (15,416) CDX North America High Yield Index Sell 7,790 2.750 6/20/12 43,873 76,982 Ford Motor Credit Co. Sell 3,525 0.500 6/20/07 -- 3,923 Freescale Semiconductor, Inc. Sell 1,555 0.600 3/20/08 -- (56) Freescale Semiconductor, Inc. Sell 1,665 0.750 3/20/08 -- 2,377 Rite Aid Corp. Sell 2,660 0.875 6/20/08 -- 731 Univision Communications, Inc. Sell 760 0.750 3/20/08 -- 856 - ----------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Abitibi-Consolidated Co. of Canada Sell 2,385 1.520 9/20/07 -- 2,410 Allied Waste North America, Inc. Sell 920 2.000 9/20/09 -- 24,360 Allied Waste North America, Inc. Sell 1,440 2.000 9/20/09 -- 38,129 Bombardier, Inc. Sell 735 0.900 9/20/07 -- 2,758 CDX North America High Yield Index Buy 7,835 2.750 6/20/14 131,563 87,737 CDX North America High Yield Index Buy 7,790 2.750 6/20/14 120,475 87,233 CDX North America High Yield Index Buy 3,860 2.750 6/20/12 4,637 (42,502) CDX North America High Yield Index Buy 7,785 2.750 6/20/14 152,564 87,177 CDX North America High Yield Index Sell 7,835 2.750 6/20/12 49,622 86,271 CDX North America High Yield Index Sell 7,790 2.750 6/20/12 54,800 85,775 CDX North America High Yield Index Sell 7,785 2.750 6/20/12 37,195 85,720 Dow Jones CDX North America Crossover Index Buy 3,140 2.750 6/20/12 (29,307) (34,574) Dow Jones CDX North America High Yield Index Buy 5,495 2.750 6/20/12 (54,721) (60,505) Eastman Kodak Co. Sell 2,055 1.000 12/20/08 -- 20,588 GMAC LLC Sell 825 2.300 6/20/07 -- 4,592 Weyerhaeuser Co. Buy 2,910 0.580 9/20/11 -- (31,629) - ----------------------------------------------------------------------------------------------------------------------------- Morgan Stanley: ArvinMeritor, Inc. Sell 675 1.100 9/20/07 -- 2,838 ArvinMeritor, Inc. Sell 50 1.200 9/20/07 -- 236 ArvinMeritor, Inc. Sell 820 1.050 9/20/07 -- 3,239 Beazer Homes USA, Inc. Sell 1,825 2.150 6/20/08 -- (2,680) Bombardier, Inc. Sell 820 1.000 9/20/07 -- 3,696 Bombardier, Inc. Sell 820 1.050 9/20/07 -- 3,905 CDX North America High Yield Index Buy 7,735 2.750 6/20/14 111,244 90,722 CDX North America High Yield Index Sell 7,735 2.750 6/20/12 62,793 81,443 Countrywide Home Loans, Inc. Sell 4,905 0.420 6/20/09 -- 15,695 El Paso Corp. Sell 3,205 0.520 3/20/10 -- 1,388 Ford Motor Co. Buy 3,060 5.400 12/20/08 -- (173,768) Ford Motor Co. Buy 1,455 5.300 12/20/08 -- (80,192) Ford Motor Co. Sell 3,060 7.150 12/20/16 -- 272,642 Ford Motor Co. Sell 1,455 7.050 12/20/16 -- 121,823 General Motors Corp. Buy 1,525 4.000 12/20/08 -- (53,552) General Motors Corp. Buy 1,480 3.950 12/20/08 -- (50,734) General Motors Corp. Sell 1,525 5.800 12/20/16 -- 110,141 General Motors Corp. Sell 1,480 5.750 12/20/16 -- 102,652 GMAC LLC Sell 1,875 3.150 6/20/07 -- 14,722 Hyundai Motor Manufacturing Alabama LLC Sell 1,280 0.400 6/20/07 -- 1,126 Inco Ltd. Buy 1,615 0.630 3/20/17 -- (20,042) Inco Ltd. Buy 1,605 0.700 3/20/17 -- (28,592) J.C. Penney Co., Inc. Sell 2,910 0.610 6/20/13 -- 13,832 K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- 3,119 K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- 2,994 Kroger Co. (The) Buy 2,970 0.478 6/20/12 -- (6,357) Tribune Co. Sell 1,595 1.000 6/20/08 -- (2,504) Vale Overseas Ltd. Sell 1,615 1.100 3/20/17 -- 28,060 Vale Overseas Ltd. Sell 1,605 1.170 3/20/17 -- 36,381 ----------------------- $ 787,426 $1,065,783 =======================
19 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS MAY 31, 2007 / UNAUDITED - -------------------------------------------------------------------------------- ILLIQUID SECURITIES As of May 31, 2007, 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 May 31, 2007, 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 May 31, 2007 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 $ 2,969,826,437 Federal tax cost of other investments (148,452,847) ---------------- Total federal tax cost $ 2,821,373,590 ================ Gross unrealized appreciation $ 727,783,135 Gross unrealized depreciation (32,422,203) ---------------- Net unrealized appreciation $ 695,360,932 ================ 20 | 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 May 31, 2007, 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: July 12, 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: July 12, 2007 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: July 12, 2007 EX-99.CERT 2 rq300_40299cert302.txt RQ300_40299CERT302.TXT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: July 12, 2007 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: July 12, 2007 -----END PRIVACY-ENHANCED MESSAGE-----