-----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, I8Mvm8PNA+q+5AbPfYydHU+DSfSHI5gL1TyNEca2sGJhhc+8QXz9WphxuLB6LUt5 WZqXUe8mJeQrDK7+AbWtLw== 0000935069-08-000175.txt : 20080129 0000935069-08-000175.hdr.sgml : 20080129 20080128185220 ACCESSION NUMBER: 0000935069-08-000175 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20071130 FILED AS OF DATE: 20080129 DATE AS OF CHANGE: 20080128 EFFECTIVENESS DATE: 20080129 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: 08555619 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_44625nq.txt RQ300_44625NQ 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: 11/30/2007 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCKS--40.4% - -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--2.6% - -------------------------------------------------------------------------------- MEDIA--0.8% Cinemark Holdings, Inc. 610,000 $ 10,180,900 - -------------------------------------------------------------------------------- Comcast Corp., Cl. A Special, Non-Vtg. 1 763,000 15,420,230 ----------------- 25,601,130 - -------------------------------------------------------------------------------- SPECIALTY RETAIL--1.8% CSK Auto Corp. 1,2 4,711,750 45,939,563 - -------------------------------------------------------------------------------- Office Depot, Inc. 1 295,000 5,056,300 - -------------------------------------------------------------------------------- OfficeMax, Inc. 157,200 3,918,996 ----------------- 54,914,859 - -------------------------------------------------------------------------------- CONSUMER STAPLES--10.5% - -------------------------------------------------------------------------------- BEVERAGES--0.1% Coca-Cola Co. (The) 3 32,500 2,018,250 - -------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.1% SUPERVALU, Inc. 65,000 2,721,550 - -------------------------------------------------------------------------------- FOOD PRODUCTS--2.5% B&G Foods, Inc. 1,008,750 18,157,500 - -------------------------------------------------------------------------------- B&G Foods, Inc., Cl. A 138,750 1,483,238 - -------------------------------------------------------------------------------- ConAgra Foods, Inc. 210,000 5,254,200 - -------------------------------------------------------------------------------- Kraft Foods, Inc., Cl. A 3 1,500,052 51,826,797 ----------------- 76,721,735 - -------------------------------------------------------------------------------- TOBACCO--7.8% Altria Group, Inc. 1,790,000 138,832,400 - -------------------------------------------------------------------------------- Loews Corp./Carolina Group 3 1,150,000 102,292,500 ----------------- 241,124,900 - -------------------------------------------------------------------------------- ENERGY--9.6% - -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.3% Diamond Offshore Drilling, Inc. 20,000 2,328,600 - -------------------------------------------------------------------------------- Halliburton Co. 15,000 549,150 - -------------------------------------------------------------------------------- Transocean, Inc. 52,705 7,235,869 ----------------- 10,113,619 - -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--9.3% Arlington Tankers Ltd. 20,000 429,200 - -------------------------------------------------------------------------------- BP plc, ADR 575,000 41,825,500 - -------------------------------------------------------------------------------- Capital Product Partners LP 210,000 5,191,200 - -------------------------------------------------------------------------------- Chevron Corp. 3 275,000 24,136,750 - -------------------------------------------------------------------------------- ConocoPhillips 345,000 27,613,800 - -------------------------------------------------------------------------------- Enbridge Energy Management LLC 1 3 - -------------------------------------------------------------------------------- Exxon Mobil Corp. 3 157,500 14,042,700 - -------------------------------------------------------------------------------- Kinder Morgan Management LLC 29,651 148,398,277 - -------------------------------------------------------------------------------- Marathon Oil Corp. 220,000 12,298,000 - -------------------------------------------------------------------------------- Petroleo Brasileiro SA, ADR 3 40,000 3,852,000 - -------------------------------------------------------------------------------- Tortoise Energy Capital Corp. 232,000 5,909,040 - -------------------------------------------------------------------------------- Tsakos Energy Navigation Ltd. 12,000 433,200 ----------------- 284,129,670 1 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCKS CONTINUED - -------------------------------------------------------------------------------- FINANCIALS--7.3% - -------------------------------------------------------------------------------- CAPITAL MARKETS--0.5% UBS AG 282,500 $ 14,260,600 - -------------------------------------------------------------------------------- COMMERCIAL BANKS--0.3% Wachovia Corp. 250,000 10,750,000 - -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.1% Bank of America Corp. 600,000 27,678,000 - -------------------------------------------------------------------------------- Citigroup, Inc. 3 825,000 27,472,500 - -------------------------------------------------------------------------------- JPMorgan Chase & Co. 182,500 8,325,650 ----------------- 63,476,150 - -------------------------------------------------------------------------------- INSURANCE--3.2% ACE Ltd. 500,000 29,915,000 - -------------------------------------------------------------------------------- Everest Re Group Ltd. 580,000 60,859,400 - -------------------------------------------------------------------------------- Fidelity National Title Group, Inc., Cl. A 3 275,000 4,295,500 - -------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The) 30,000 2,859,600 ----------------- 97,929,500 - -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--1.2% Anthracite Capital, Inc. 1,117,000 8,533,880 - -------------------------------------------------------------------------------- Care Investment Trust, Inc. 949,500 9,447,525 - -------------------------------------------------------------------------------- Crystal River Capital, Inc. 849,500 12,003,435 - -------------------------------------------------------------------------------- iStar Financial, Inc. 300,000 8,781,000 ----------------- 38,765,840 - -------------------------------------------------------------------------------- HEALTH CARE--1.8% - -------------------------------------------------------------------------------- PHARMACEUTICALS--1.8% Abbott Laboratories 3 115,000 6,613,650 - -------------------------------------------------------------------------------- Johnson & Johnson 137,500 9,314,250 - -------------------------------------------------------------------------------- Novartis AG, ADR 157,500 8,901,900 - -------------------------------------------------------------------------------- Pfizer, Inc. 3 1,275,000 30,294,000 ----------------- 55,123,800 - -------------------------------------------------------------------------------- INDUSTRIALS--3.5% - -------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.7% Boeing Co. 150,000 13,881,000 - -------------------------------------------------------------------------------- Lockheed Martin Corp. 3 50,000 5,533,500 - -------------------------------------------------------------------------------- Raytheon Co. 3 500,000 30,925,000 - -------------------------------------------------------------------------------- United Technologies Corp. 3 12,500 934,625 ----------------- 51,274,125 - -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.8% 3M Co. 3 10,000 832,600 - -------------------------------------------------------------------------------- General Electric Co. 3 1,327,500 50,829,975 - -------------------------------------------------------------------------------- Siemens AG, Sponsored ADR 26,250 3,983,963 ----------------- 55,646,538 - -------------------------------------------------------------------------------- MARINE--0.0% Seaspan Corp. 52,250 1,465,613 - -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.2% - -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.0% Microchip Technology, Inc. 34,750 1,000,453 - -------------------------------------------------------------------------------- 2 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SHARES VALUE - -------------------------------------------------------------------------------- COMMON STOCKS CONTINUED - -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT CONTINUED Taiwan Semiconductor Manufacturing Co. Ltd., ADR 25,000 $ 248,000 ----------------- 1,248,453 - -------------------------------------------------------------------------------- SOFTWARE--0.2% Microsoft Corp. 150,000 5,040,000 - -------------------------------------------------------------------------------- MATERIALS--0.2% - -------------------------------------------------------------------------------- CHEMICALS--0.2% BASF AG, Sponsored ADR 23,500 3,253,575 - -------------------------------------------------------------------------------- Eastman Chemical Co. 12,500 802,625 - -------------------------------------------------------------------------------- PPG Industries, Inc. 17,500 1,201,200 ----------------- 5,257,400 - -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.1% - -------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--3.1% AT&T, Inc. 3 430,000 16,430,300 - -------------------------------------------------------------------------------- Citizens Communications Co. 1,070,000 13,888,600 - -------------------------------------------------------------------------------- Consolidated Communications Holdings, Inc. 1,262,500 20,301,000 - -------------------------------------------------------------------------------- FairPoint Communications, Inc. 1,387,500 20,701,500 - -------------------------------------------------------------------------------- NTELOS Holdings Corp. 131,251 3,482,089 - -------------------------------------------------------------------------------- Windstream Corp. 1,565,000 20,266,750 ----------------- 95,070,239 - -------------------------------------------------------------------------------- UTILITIES--1.6% - -------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.0% Cleco Corp. 687,500 19,208,750 - -------------------------------------------------------------------------------- FirstEnergy Corp. 187,500 12,855,000 ----------------- 32,063,750 - -------------------------------------------------------------------------------- ENERGY TRADERS--0.1% Constellation Energy Group, Inc. 3 35,500 3,557,455 - -------------------------------------------------------------------------------- GAS UTILITIES--0.1% Southern Union Co. 77,500 2,313,375 - -------------------------------------------------------------------------------- MULTI-UTILITIES--0.4% CenterPoint Energy, Inc. 342,500 6,113,625 - -------------------------------------------------------------------------------- Teco Energy, Inc. 180,000 3,117,600 - -------------------------------------------------------------------------------- Wisconsin Energy Corp. 30,000 1,435,200 ----------------- 10,666,425 ----------------- Total Common Stocks (Cost $810,514,337) 1,241,254,976 - -------------------------------------------------------------------------------- PREFERRED STOCKS--5.6% - -------------------------------------------------------------------------------- AES Trust III, 6.75% Cv. 242,400 11,829,120 - -------------------------------------------------------------------------------- E*TRADE Financial Corp., 6.125% Cum. Cv. 2 1,010,000 7,766,900 - -------------------------------------------------------------------------------- El Paso Corp., 4.99% Cv. 5,750 7,688,469 - -------------------------------------------------------------------------------- Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 650,000 23,887,500 - -------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc., 6.75% Cv., Non-Vtg. 46,750 6,825,500 - -------------------------------------------------------------------------------- Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 39,000 36,582,000 - -------------------------------------------------------------------------------- NRG Energy, Inc., 5.75% Cv. 35,625 13,017,731 - -------------------------------------------------------------------------------- Platinum Underwriters Holdings Ltd., 6% Cv., Series A 2 803,300 26,476,768 - -------------------------------------------------------------------------------- Schering-Plough Corp., 6% Cv. 40,000 10,898,800 - -------------------------------------------------------------------------------- Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity Redeemable Shares, Non-Vtg. 625,000 9,375,000 - -------------------------------------------------------------------------------- 3 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SHARES VALUE - -------------------------------------------------------------------------------- PREFERRED STOCKS CONTINUED - -------------------------------------------------------------------------------- United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 253,569 $ 11,125,340 - -------------------------------------------------------------------------------- XL Capital Ltd., 7% Cv. 374,400 8,019,648 ----------------- Total Preferred Stocks (Cost $193,823,171) 173,492,776 PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--28.8% - -------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2005-3, Cl. A2, 4.501%, 7/10/43 $ 2,670,000 2,647,693 - -------------------------------------------------------------------------------- Banc of America Funding Corp., CMO Pass- Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,742,051 1,773,531 - -------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates: Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 4 3,557,192 3,542,158 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,400,550 1,428,293 Series 2005-F, Cl. 2A3, 4.716%, 7/25/35 4 4,146,088 4,106,754 - -------------------------------------------------------------------------------- Bear Stearns ARM Trust 2006-4, Mtg. Pass- Through Certificates, Series 2006-4, Cl. 2A1, 5.802%, 10/25/36 4 5,192,607 5,223,764 - -------------------------------------------------------------------------------- Chase Mortgage Finance Trust Series 2005-S1, Multi-Class Mtg. Pass-Through Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 1,440,000 1,416,714 - -------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.894%, 7/25/36 4 5,311,010 5,349,212 - -------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 660,000 659,870 - -------------------------------------------------------------------------------- Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3,140,000 3,155,985 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 5,710,000 5,649,182 - -------------------------------------------------------------------------------- CitiMortgage Alternative Loan Trust Series 2006-A5, Real Estate Mgt. Investment Conduit Pass-Through Certificates: Series 2006-A5, Cl. 1A1, 5.183%, 10/25/36 4 4,500,727 4,304,247 Series 2006-A5, Cl. 1A13, 5.233%, 10/25/36 4 2,344,641 2,301,891 - -------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, CMO: Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 3,452,000 3,307,820 Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 3,480,000 3,382,592 Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 3,047,185 3,115,346 Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,693,331 2,703,163 Series 2008-85CB, Cl. 2A3, 5.50%, 2/25/36 2,580,000 2,443,762 - -------------------------------------------------------------------------------- Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates: Series 2003-46, Cl. 1A2, 4.122%, 1/19/34 4 3,018,440 3,052,851 Series 2005-HYB1, Cl. 5A1, 4.995%, 3/25/35 4 3,919,969 3,845,244 Series 2007-HY1, Cl. 1A1, 5.695%, 4/25/37 4 4,137,195 4,148,312 - -------------------------------------------------------------------------------- Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,288,932 1,289,021 Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 403,951 404,600 - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 7,014,086 6,913,157 4.50%, 5/15/19 5 3,275,591 3,225,640 5%, 8/15/33-12/15/34 6,344,267 6,242,885 6%, 5/15/18-3/15/33 4,048,655 4,140,268 4 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - -------------------------------------------------------------------------------- 6.50%, 4/15/18-4/15/34 $ 1,637,321 $ 1,694,297 7%, 9/15/23-3/15/35 7,825,625 8,199,241 8%, 4/15/16 389,941 413,541 9%, 8/15/22-5/15/25 118,158 127,432 - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 7.029%, 3/25/36 4 1,044,077 1,177,405 Series 2034, Cl. Z, 6.50%, 2/15/28 559,378 581,625 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,677,590 1,733,121 Series 2053, Cl. Z, 6.50%, 4/15/28 597,215 619,688 Series 2055, Cl. ZM, 6.50%, 5/15/28 746,042 768,454 Series 2075, Cl. D, 6.50%, 8/15/28 2,062,598 2,139,721 Series 2080, Cl. C, 6.50%, 8/15/28 1,028,497 1,065,053 Series 2080, Cl. Z, 6.50%, 8/15/28 488,376 506,500 Series 2279, Cl. PK, 6.50%, 1/15/31 1,103,563 1,150,570 Series 2326, Cl. ZP, 6.50%, 6/15/31 583,047 606,132 Series 2461, Cl. PZ, 6.50%, 6/15/32 2,135,277 2,219,786 Series 2500, Cl. FD, 5.152%, 3/15/32 4 259,435 258,726 Series 2526, Cl. FE, 5.052%, 6/15/29 4 370,026 368,211 Series 2538, Cl. F, 5.252%, 12/15/32 4 4,746,266 4,743,862 Series 2551, Cl. FD, 5.052%, 1/15/33 4 286,476 287,798 Series 2676, Cl. KY, 5%, 9/15/23 2,768,000 2,737,132 Series 3025, Cl. SJ, 7.693%, 8/15/35 4 396,123 444,757 Series 3094, Cl. HS, 7.326%, 6/15/34 4 678,561 737,177 - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest- Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.118%, 6/1/26 6 477,424 107,237 Series 183, Cl. IO, 9.474%, 4/1/27 6 774,321 187,713 Series 184, Cl. IO, 15.322%, 12/1/26 6 826,910 156,860 Series 192, Cl. IO, 12.718%, 2/1/28 6 250,551 59,536 Series 200, Cl. IO, 11.964%, 1/1/29 6 303,462 57,160 Series 2130, Cl. SC, (2.788)%, 3/15/29 6 572,854 42,178 Series 216, Cl. IO, 11.432%, 12/1/31 6 570,418 125,652 Series 224, Cl. IO, 8.007%, 3/1/33 6 1,751,183 395,691 Series 243, Cl. 6, 15.203%, 12/15/32 6 1,093,144 206,490 Series 2796, Cl. SD, 7.584%, 7/15/26 6 874,753 71,779 Series 2802, Cl. AS, 15.312%, 4/15/33 6 1,714,254 103,320 Series 2920, Cl. S, 5.70%, 1/15/35 6 4,806,703 287,943 Series 3000, Cl. SE, (6.789)%, 7/15/25 6 5,382,176 285,258 Series 3110, Cl. SL, 2.867%, 2/15/26 6 916,978 43,402 - -------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal- Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.829%, 6/1/26 7 227,244 194,622 Series 192, Cl. PO, 6.371%, 2/1/28 7 250,551 199,279 - -------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 5/25/18-8/25/20 30,412,774 30,007,689 5%, 12/25/17-9/25/35 55,387,913 55,131,316 5%, 12/1/21-12/1/36 8 168,784,532 166,405,739 5.50%, 1/25/33-4/25/34 64,988,433 65,284,071 5 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - -------------------------------------------------------------------------------- 5.50%, 12/1/21-12/1/36 8 $ 71,331,795 $ 71,720,749 6%, 8/25/32-11/1/33 17,200,899 17,551,093 6%, 12/18/21-12/1/36 8 52,369,000 53,300,461 6%, 3/25/33 9 13,366,906 13,639,511 6.50%, 5/25/17-11/25/31 14,928,301 15,491,262 6.50%, 12/1/36 8 23,604,000 24,278,933 7%, 11/25/17-7/25/35 7,412,127 7,776,305 7.50%, 1/25/33-3/25/33 10,660,038 11,404,845 8.50%, 7/25/32 33,683 36,288 - -------------------------------------------------------------------------------- Federal National Mortgage Assn. Grantor Trust, CMO, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,686,867 1,775,993 - -------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,544,568 1,618,256 Trust 1998-61, Cl. PL, 6%, 11/25/28 957,338 979,544 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,298,623 1,361,320 Trust 2001-50, Cl. NE, 6%, 8/25/30 20,200 20,122 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,134,233 2,211,735 Trust 2001-70, Cl. LR, 6%, 9/25/30 165,537 166,028 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 860,020 890,616 Trust 2002-9, Cl. PC, 6%, 3/25/17 6,356,617 6,557,659 Trust 2003-130, Cl. CS, 4.534%, 12/25/33 4 902,503 890,665 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,935,580 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,485,000 3,546,402 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,551,580 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,581,491 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 7,371,950 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,409,776 Trust 2005-59, Cl. NQ, 4.917%, 5/25/35 4 1,109,921 1,121,132 Trust 2006-46, Cl. SW, 6.662%, 6/25/36 4 808,774 896,168 Trust 2006-50, Cl. KS, 6.662%, 6/25/36 4 2,708,958 2,935,584 Trust 2006-50, Cl. SA, 6.662%, 6/25/36 4 1,594,176 1,727,540 Trust 2006-50, Cl. SK, 6.662%, 6/25/36 4 212,601 232,805 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 4,755,509 4,787,399 - -------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 16.219%, 3/17/31 6 749,863 104,201 Trust 2001-65, Cl. S, 14.99%, 11/25/31 6 2,482,078 253,053 Trust 2001-81, Cl. S, 7.299%, 1/25/32 6 546,307 50,889 Trust 2002-47, Cl. NS, 6.242%, 4/25/32 6 1,071,737 90,906 Trust 2002-51, Cl. S, 6.412%, 8/25/32 6 984,002 88,773 Trust 2002-52, Cl. SD, 3.679%, 9/25/32 6 1,080,076 94,051 Trust 2002-75, Cl. SA, 16.781%, 11/25/32 6 2,974,533 278,057 Trust 2002-77, Cl. SH, 8.749%, 12/18/32 6 704,917 69,867 Trust 2002-89, Cl. S, 21.007%, 1/25/33 6 2,760,456 260,393 Trust 2002-9, Cl. MS, 7.015%, 3/25/32 6 670,881 65,405 Trust 2003-118, Cl. S, 15.259%, 12/25/33 6 4,479,731 573,372 Trust 2003-33, Cl. SP, 17.859%, 5/25/33 6 2,515,137 296,300 Trust 2003-46, Cl. IH, 7.052%, 6/25/33 6 5,238,153 943,179 6 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - -------------------------------------------------------------------------------- Trust 2004-54, Cl. DS, 3.138%, 11/25/30 6 $ 1,090,195 $ 77,563 Trust 2005-105, Cl. S, 23.913%, 12/25/35 6 4,040,902 281,640 Trust 2005-19, Cl. SA, 7.687%, 3/25/35 6 12,315,858 750,640 Trust 2005-40, Cl. SA, 7.513%, 5/25/35 6 2,816,777 160,878 Trust 2005-6, Cl. SE, 10.548%, 2/25/35 6 3,454,410 200,427 Trust 2005-71, Cl. SA, 13.45%, 8/25/25 6 3,397,672 228,475 Trust 2005-87, Cl. SE, 26.643%, 10/25/35 6 8,163,770 424,819 Trust 2005-87, Cl. SG, 24.406%, 10/25/35 6 7,268,580 477,794 Trust 2006-119, Cl. MS, 9.478%, 12/25/36 6 2,918,866 197,943 Trust 2006-33, Cl. SP, 23.675%, 5/25/36 6 7,306,822 661,782 Trust 222, Cl. 2, 15.614%, 6/1/23 6 1,780,601 316,844 Trust 240, Cl. 2, 18.748%, 9/1/23 6 2,750,527 647,998 Trust 252, Cl. 2, 15.023%, 11/1/23 6 1,329,775 319,374 Trust 273, Cl. 2, 14.926%, 8/1/26 6 366,726 70,862 Trust 303, Cl. IO, 13.389%, 11/1/29 6 457,891 109,214 Trust 308, Cl. 2, 13.048%, 9/1/30 6 1,261,488 300,521 Trust 321, Cl. 2, 7.371%, 4/1/32 6 5,416,709 1,216,536 Trust 322, Cl. 2, 16.409%, 4/1/32 6 2,151,451 490,361 Trust 331, Cl. 9, 16.017%, 2/1/33 6 1,464,412 247,865 Trust 334, Cl. 17, 23.35%, 2/1/33 6 866,638 155,693 Trust 339, Cl. 7, 8.796%, 7/1/33 6 5,396,423 1,244,945 Trust 342, Cl. 2, 11.02%, 9/1/33 6 940,612 211,969 Trust 344, Cl. 2, 8.867%, 12/1/33 6 8,239,859 1,866,830 Trust 345, Cl. 9, 9.024%, 1/1/34 6 2,463,438 579,564 Trust 362, Cl. 12, 9.603%, 8/1/35 6 4,721,726 806,797 Trust 362, Cl. 13, 9.60%, 8/1/35 6 2,617,804 447,119 - -------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal- Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.272%, 9/25/23 7 637,602 561,031 - -------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 1,195,217 1,153,086 - -------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,616,970 1,597,889 - -------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,706,601 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,590,277 - -------------------------------------------------------------------------------- GMAC Mortgage Corp. Loan Trust, Mtg. Pass- Through Certificates: Series 2004-J4, Cl. A7, 5.50%, 9/25/34 2,390,000 2,304,363 Series 2005-AR4, Cl. 2A1, 5.292%, 7/19/35 4 4,562,539 4,571,824 - -------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A2, 5.479%, 11/10/39 4 12,330,000 12,537,234 - -------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.152%, 11/25/35 4 6,636,702 6,620,425 - -------------------------------------------------------------------------------- Government National Mortgage Assn., 8.50%, 8/15/17-12/29/17 166,226 179,300 - -------------------------------------------------------------------------------- Government National Mortgage Assn., Interest- Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, (4.705)%, 1/16/27 6 1,161,895 102,256 Series 2002-15, Cl. SM, (6.766)%, 2/16/32 6 1,118,351 91,397 7 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - -------------------------------------------------------------------------------- Series 2002-41, Cl. GS, 12.575%, 6/16/32 6 $ 606,529 $ 95,852 Series 2002-76, Cl. SY, (2.531)%, 12/16/26 6 2,721,772 225,535 Series 2004-11, Cl. SM, (8.579)%, 1/17/30 6 900,995 68,559 Series 2006-47, Cl. SA, 13.741%, 8/16/36 6 8,722,678 585,879 - -------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,970,689 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,762,581 Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 6,700,000 6,776,777 - -------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 635,662 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,275,275 Series 2006-CB14, Cl. A4, 5.481%, 12/12/44 3,390,000 3,413,039 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 1,530,000 1,570,641 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 1,260,000 1,268,409 - -------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,903,999 Series 2006-C1, Cl. A2, 5.084%, 2/11/31 6,420,000 6,465,338 Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,570,000 7,647,331 Series 2007-C1, Cl. A4, 5.424%, 2/11/40 4,870,000 4,853,662 - -------------------------------------------------------------------------------- Mastr Alternative Loan Trust, CMO Pass- Through Certificates: Series 2004-6, Cl. 10A1, 6%, 7/25/34 2,053,401 2,036,944 Series 2004-9, Cl. A3, 4.70%, 8/25/34 4 91,295 90,999 - -------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 6.007%, 6/25/37 4 5,584,566 5,606,670 - -------------------------------------------------------------------------------- Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 4 1,590,000 1,595,610 - -------------------------------------------------------------------------------- Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 2,380,000 2,559,951 - -------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 981,726 977,434 - -------------------------------------------------------------------------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 1,620,799 1,619,925 - -------------------------------------------------------------------------------- RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 2,237,529 2,207,275 - -------------------------------------------------------------------------------- STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.004%, 8/1/22 4 12,476,870 12,273,634 - -------------------------------------------------------------------------------- WaMu, Mtg. Pass-Through Certificates: Series 2003-AR9, Cl. 2A, 4.047%, 9/25/33 4 2,177,675 2,163,134 Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 4 6,119,401 6,074,012 Series 2006-AR8, Cl. 2A1, 6.133%, 8/25/36 4 6,302,215 6,291,707 Series 2007-HY6, Cl. 2A1, 5.702%, 6/25/37 4 3,902,067 3,862,501 - -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,590,000 3,584,091 - -------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,145,000 2,162,639 - -------------------------------------------------------------------------------- Washington Mutual Mortgage Loan Trust, Mtg. Pass-Through Certificates, 2007-A, Cl. 1A8, 6%, 2/25/37 6,012,650 6,016,737 - -------------------------------------------------------------------------------- 8 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 $ 2,281,549 $ 2,265,625 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.993%, 12/25/34 4 1,346,886 1,325,438 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.54%, 9/25/34 4 1,134,608 1,118,458 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.836%, 10/1/34 4 7,088,700 7,005,644 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.547%, 3/25/35 4 832,074 824,052 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.524%, 4/25/35 4 1,385,317 1,371,937 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 2A1, 5.646%, 7/25/36 4 2,098,194 2,110,321 Series 2006-AR10, Cl. 4A1, 5.56%, 7/25/36 4 2,727,724 2,738,348 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.102%, 9/25/36 4 4,944,970 4,948,931 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates: Series 2006-AR2, Cl. 2A5, 5.10%, 3/25/36 4 5,766,117 5,741,999 Series 2006-AR2. Cl. 2A6, 5.10%, 3/25/36 4 1,119,162 1,118,975 - -------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.093%, 3/25/36 4 1,260,046 1,256,891 ----------------- Total Mortgage-Backed Obligations (Cost $872,648,675) 884,623,603 - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--0.9% - -------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005- 1A, Cl. A2, 4.80%, 4/20/08 4,10 900,000 899,366 - -------------------------------------------------------------------------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 5.269%, 5/25/34 4 2,123,397 2,093,649 - -------------------------------------------------------------------------------- Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 4.672%, 4/15/11 4 7,400,000 7,365,105 - -------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.: Series 2001-A1, Cl. A1, 5.045%, 2/7/10 4 660,000 659,831 Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 410,417 - -------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 5.529%, 2/25/33 4 44,821 43,207 - -------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-11, Asset-Backed Certificates, Series 2005-11, Cl. AF2, 4.657%, 2/25/36 960,000 953,292 - -------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 4 920,000 913,331 - -------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates, Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 4 620,000 616,158 - -------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 1,370,000 1,364,232 - -------------------------------------------------------------------------------- Household Home Equity Loan Trust, Home Equity Loan Pass-Through Certificates, Series 2005-3, Cl. A1, 5.258%, 1/20/35 4 925,416 904,187 - -------------------------------------------------------------------------------- 9 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- ASSET-BACKED SECURITIES CONTINUED - -------------------------------------------------------------------------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 $ 1,012,198 $ 1,014,720 Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 4 792,572 795,150 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 620,930 619,543 - -------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 6.002%, 3/15/16 4 4,080,000 4,004,662 - -------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 4.889%, 7/1/36 4 1,930,000 1,874,938 - -------------------------------------------------------------------------------- RAMP Series 2004-RS7 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2004-RS7, Cl. AI32, 4.45%, 7/25/28 103,923 103,526 - -------------------------------------------------------------------------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 4.829%, 9/25/36 4 1,408,255 1,381,560 - -------------------------------------------------------------------------------- Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 512,685 513,054 ----------------- Total Asset-Backed Securities (Cost $26,943,383) 26,529,928 - -------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--0.1% - -------------------------------------------------------------------------------- U.S. Treasury Bonds, 4.75%, 2/15/37 542,000 574,054 - -------------------------------------------------------------------------------- U.S. Treasury Nts., 4.25%, 9/30/12 3 2,260,000 2,345,105 ----------------- Total U.S. Government Obligations (Cost $2,780,640) 2,919,159 - -------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--13.2% - -------------------------------------------------------------------------------- Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,665,000 2,706,244 - -------------------------------------------------------------------------------- Allied Waste North America, Inc., 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,893,750 - -------------------------------------------------------------------------------- Barclays Bank plc, 6.278% Perpetual Bonds 11 7,680,000 6,514,176 - -------------------------------------------------------------------------------- Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 800,000 608,000 - -------------------------------------------------------------------------------- Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 5,370,000 5,420,451 - -------------------------------------------------------------------------------- Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 3,140,000 3,090,972 - -------------------------------------------------------------------------------- Caesars Entertainment, Inc., 7.50% Sr. Unsec. Nts., 9/1/09 12 3,310,000 3,427,260 - -------------------------------------------------------------------------------- Capmark Financial Group, Inc., 5.875% Nts., 5/10/12 10 5,840,000 4,534,410 - -------------------------------------------------------------------------------- CCH I Holdings LLC: 9.92% Sr. Unsec. Nts., 4/1/14 20,000,000 12,850,000 13.50% Sr. Unsec. Unsub. Nts., 1/15/14 14,000,000 10,780,000 - -------------------------------------------------------------------------------- CCH I Holdings LLC/CCH I Holdings Capital Corp.: 11% Sr. Sec. Nts., 10/1/15 64,075,000 56,065,625 11% Sr. Sec. Nts., 10/1/15 10 29,072,000 25,365,320 - -------------------------------------------------------------------------------- CDX High Yield Index, 7.625% Pass-Through Certificates, Series 8-T1, 6/29/12 72,500,000 70,506,250 - -------------------------------------------------------------------------------- Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 2,320,000 2,197,188 - -------------------------------------------------------------------------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,400,000 2,463,485 - -------------------------------------------------------------------------------- Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 5,530,988 - -------------------------------------------------------------------------------- Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 5,000,000 4,362,500 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 9,250,000 - -------------------------------------------------------------------------------- CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,035,000 1,935,075 - -------------------------------------------------------------------------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,809,099 - -------------------------------------------------------------------------------- Countrywide Home Loans, Inc., 3.25% Nts., Series L, 5/21/08 6,140,000 5,468,094 - -------------------------------------------------------------------------------- Cox Enterprises, Inc., 4.375% Nts., 5/1/08 10 3,255,000 3,238,842 - -------------------------------------------------------------------------------- 10 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - -------------------------------------------------------------------------------- CSC Holdings, Inc.: 7.25% Sr. Unsec. Nts., 7/15/08 $ 2,590,000 $ 2,602,950 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 2,745,000 - -------------------------------------------------------------------------------- D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 1,415,000 1,359,219 - -------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 1,811,000 2,160,661 - -------------------------------------------------------------------------------- Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 12 1,240,000 1,240,000 - -------------------------------------------------------------------------------- Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 2,785,000 2,753,669 - -------------------------------------------------------------------------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 3,890,000 3,894,863 - -------------------------------------------------------------------------------- El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 578,000 584,163 - -------------------------------------------------------------------------------- Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08 10 1,450,000 1,465,353 - -------------------------------------------------------------------------------- Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 6,100,000 5,931,567 - -------------------------------------------------------------------------------- Gap, Inc. (The), 9.80% Unsub. Nts., 12/15/08 4 359,000 372,911 - -------------------------------------------------------------------------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 2,445,000 2,083,463 - -------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 7,520,000 6,713,570 - -------------------------------------------------------------------------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 10,11 8,000,000 6,774,128 - -------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 4 13,500,000 12,265,979 - -------------------------------------------------------------------------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 10 1,645,000 1,648,941 - -------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 4,12 1,410,000 1,438,200 - -------------------------------------------------------------------------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 936,000 - -------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,910,000 2,970,679 - -------------------------------------------------------------------------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,595,000 6,266,411 - -------------------------------------------------------------------------------- Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 10,000,000 9,025,000 - -------------------------------------------------------------------------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 845,000 866,598 - -------------------------------------------------------------------------------- Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 2,950,000 3,018,950 - -------------------------------------------------------------------------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 9 1,980,000 1,597,864 - -------------------------------------------------------------------------------- MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 4 10,060,000 9,296,949 - -------------------------------------------------------------------------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 7,570,000 7,532,150 - -------------------------------------------------------------------------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 3,155,000 3,276,332 - -------------------------------------------------------------------------------- NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 2,630,000 2,727,565 - -------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 640,000 630,997 - -------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 10 772,751 763,109 - -------------------------------------------------------------------------------- Popular North America, Inc., 4.70% Nts., 6/30/09 3,665,000 3,659,393 - -------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 10 3,835,000 4,931,434 - -------------------------------------------------------------------------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 10 3,380,000 4,340,610 - -------------------------------------------------------------------------------- Pulte Homes, Inc., 4.875% Nts., 7/15/09 4,550,000 4,118,628 - -------------------------------------------------------------------------------- Qwest Corp., 5.625% Unsec. Nts., 11/15/08 9 363,000 363,000 - -------------------------------------------------------------------------------- Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 15,000,000 11,775,000 - -------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 442,000 453,050 - -------------------------------------------------------------------------------- SLM Corp.: 3.95% Nts., Series A, 8/15/08 2,665,000 2,608,198 4% Nts., 1/15/09 2,770,000 2,674,848 - -------------------------------------------------------------------------------- Spansion LLC, 11.25% Sr. Nts., 1/15/16 10 2,500,000 2,287,500 - -------------------------------------------------------------------------------- Standard Pacific Corp., 5.125% Sr. Unsec. Unsub. Nts., 4/1/09 1,450,000 1,094,750 - -------------------------------------------------------------------------------- Tenet Healthcare Corp., 9.875% Sr. Nts., 7/1/14 6,000,000 5,685,000 - -------------------------------------------------------------------------------- TEPPCO Partners LP, 6.125% Nts., 2/1/13 1,395,000 1,458,502 - -------------------------------------------------------------------------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 12 2,625,000 2,487,188 - -------------------------------------------------------------------------------- Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 875,000 858,594 - -------------------------------------------------------------------------------- 11 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED - -------------------------------------------------------------------------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 $ 675,000 $ 692,278 - -------------------------------------------------------------------------------- Wachovia Bank NA, 6.60% Sub. Nts., 1/15/38 8 3,470,000 3,470,000 - -------------------------------------------------------------------------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 3,030,000 3,132,562 ----------------- Total Non-Convertible Corporate Bonds and Notes (Cost $430,669,688) 404,051,505 - -------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES--7.6% - -------------------------------------------------------------------------------- Advanced Micro Devices, Inc., 6% Cv. Sr. Nts., 5/1/15 10 3,500,000 2,795,625 - -------------------------------------------------------------------------------- Anthracite Capital, Inc., 11.75% Cv. Sr. Unsec. Nts., 9/1/27 12 5,500,000 5,001,700 - -------------------------------------------------------------------------------- CSK Auto, Inc., 7.25% Cv. Sr. Unsec. Nts., 12/15/25 4,10 11,000,000 10,848,750 - -------------------------------------------------------------------------------- Human Genome Sciences, Inc., 2.25% Cv. Unsec. Sub. Nts., 8/15/12 17,500,000 15,225,000 - -------------------------------------------------------------------------------- Incyte Genomics, Inc., 3.50% Cv. Sr. Unsec. Nts., 2/15/11 12,500,000 11,984,375 - -------------------------------------------------------------------------------- Intel Corp., 2.95% Cv. Unsec. Sub. Debs., 12/15/35 8,000,000 8,560,000 - -------------------------------------------------------------------------------- KKR Financial Holdings LLC, 7% Cv. Sr. Unsec. Nts., 7/15/12 10 18,750,000 16,523,438 - -------------------------------------------------------------------------------- Liberty Media Corp.: 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 35,000,000 37,318,750 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc. Cl. B common stock or cash based on the value thereof) 120,000,000 90,450,000 3.50% Exchangeable Sr. Unsec. Debs., 1/15/31 (exchangeable for Motorola, Inc. common stock or cash based on the value of that stock) 3,546,787 2,700,896 - -------------------------------------------------------------------------------- NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 10,000,000 8,875,000 - -------------------------------------------------------------------------------- Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 25,000,000 22,968,750 ----------------- Total Convertible Corporate Bonds and Notes (Cost $252,899,150) 233,252,284 SHARES/ PRINCIPAL AMOUNT - -------------------------------------------------------------------------------- STRUCTURED SECURITIES--9.1% - -------------------------------------------------------------------------------- Allegro Investment Corp. SA Cv. Equity Linked Nts.: 5.05%, Exp. 3/17/08 (linked to Comcast Corp. common stock) 12 617,700 12,535,233 Series UTX, 4.84%, Exp. 1/2/08 (linked to United Technologies Corp. common stock) 12 238,800 17,152,885 - -------------------------------------------------------------------------------- Bank of America NA Cv. Linked Nts.: Series HES, 8.50%, Exp. 1/30/08 (linked to Hess Corp. common stock) 194,600 11,531,996 Series VNDA, 10.60%, Exp. 5/5/08 (linked to Vanda Pharmaceuticals, Inc. common stock) 696,200 6,975,924 - -------------------------------------------------------------------------------- Bear Stearns Global Asset Holdings Ltd., Cv. Equity Linked Nts., Series 6693, 4.35%, Exp. 6/30/08 (linked to Wal-Mart Stores, Inc.) 12 507,924 24,217,816 - -------------------------------------------------------------------------------- Blue Wings Ltd. Catastrophe Linked Bonds, Series A, 8.403%, 1/10/12 4,12 3,000,000 3,026,700 - -------------------------------------------------------------------------------- Calabash Re II Ltd. Catastrophe Linked Nts., Series A1, 14.094%, 1/8/10 4,12 3,000,000 3,117,450 - -------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (New York) Cv. Equity Linked Nts.: 5.69%, Exp. 4/21/08 (linked to Williams Cos., Inc. (The)) 354,000 11,115,600 8.22%, Exp. 1/23/08 (linked to Corning, Inc.) 644,350 14,929,590 - -------------------------------------------------------------------------------- Deutsche Bank AG Exchangeable Total Return Linked Nts., 4.64%, Exp. 3/19/08 12 22,000 1,788,490 - -------------------------------------------------------------------------------- Fremantle Ltd. Catastrophe Linked Nts., Cl. B, 7.238%, 6/28/10 4,10 1,000,000 1,009,625 - -------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Cv. Equity Linked Nts., 7.10%, Exp. 2/6/08 (linked to Occidental Petroleum Corp. common stock) 12 219,100 11,886,613 Cv. Equity Linked Nts., 8%, Exp. 3/10/08 (linked to XM Satellite Radio, Inc.) 12 700,281 9,563,037 Cv. Linked Nts., 6%, 9/29/08 (linked to Microsoft Corp. common stock) 12 527,100 16,130,841 12 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- SHARES/ PRINCIPAL AMOUNT VALUE - -------------------------------------------------------------------------------- STRUCTURED SECURITIES CONTINUED - -------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Cv. Mandatory Exchangeable Nts., 8.70%, Exp. 5/27/08 (linked to Applied Materials, Inc.) 12 789,500 $ 14,530,748 - -------------------------------------------------------------------------------- Lakeside Re Ltd. Catastrophe Linked Nts., 11.731%, 12/31/09 4,10 3,000,000 3,098,100 - -------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc.: Cv. Equity Linked Nts., 4.42%, Exp. 12/9/07 (linked to Tyco International Ltd.) 257,805 7,582,045 Yield Enhanced Equity Linked Debt Securities, 11.03%, Exp. 1/27/08 (linked to Arch Coal, Inc.) 439,368 14,732,009 Yield Enhanced Equity Linked Debt Securities, Series I, 4%, Exp. 1/12/08 (linked to Texas Instruments, Inc. common stock) 523,926 16,917,572 - -------------------------------------------------------------------------------- Merrill Lynch & Co., Inc.: Cv. Linked Nts., 6%, Exp. 12/5/07 (linked to Corning, Inc.) 12 714,300 17,086,056 Redemption Linked Nts., 6.35%, Exp. 1/4/08 (linked to GlobalSantaFe Corp. common stock) 12 182,983 12,492,249 - -------------------------------------------------------------------------------- Morgan Stanley, Cv. Equity Linked Nts., 18.10%, Exp. 12/6/07 (linked to XM Satellite Radio Holdings, Inc. common stock) 12 696,865 9,916,389 - -------------------------------------------------------------------------------- Morgan Stanley, Performance Equity Linked Redemption Quarterly-pay Securities 8.67%, Exp. 3/7/08 (exchangeable for Vanda Pharmaceutical, Inc. common stock) 12 598,100 5,553,359 - -------------------------------------------------------------------------------- Morgan Stanley, Redemption Linked Nts., Exp. 1/17/08 (linked to the performance of Johnson & Johnson, Lehman Brothers Holdings, Inc. and AES Corp.) 12 15,000 13,363,500 - -------------------------------------------------------------------------------- Successor Euro Wind Ltd. Catastrophe Linked Nts., Series AIII, 11.448%, 12/6/08 4,12 3,000,000 3,041,250 - -------------------------------------------------------------------------------- Wachovia Bank NA, Cv. Linked Nts., Series XMSR, 13.20%, Exp. 12/1/07 (linked to XM Satellite Radio Holdings, Inc. common stock) 12 1,016,777 15,485,514 ----------------- Total Structured Securities (Cost $283,189,788) 278,780,591 SHARES - -------------------------------------------------------------------------------- INVESTMENTS IN AFFILIATED COMPANIES--3.9% - -------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E, 4.98% 2,13 (Cost $118,764,677) 118,764,677 118,764,677 - -------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $2,992,233,509) 109.6% 3,363,669,499 - -------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (9.6) (293,610,926) -------------------------------- NET ASSETS 100.0% $ 3,070,058,573 ================================ FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Non-income producing security. 13 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 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, 2007 ADDITIONS REDUCTIONS NOVEMBER 30, 2007 - --------------------------------------------------------------------------------------------------------------------------- Care Investment Trust, Inc. a 1,175,000 -- 225,500 949,500 CSK Auto Corp. 4,715,000 -- 3,250 4,711,750 E*TRADE Financial Corp., 6.125% Cum. Cv. 1,177,500 397,500 565,000 1,010,000 Oppenheimer Institutional Money Market Fund, Cl. E -- 358,486,936 239,722,259 118,764,677 Platinum Underwriters Holdings Ltd., 6% Cv., Series A 1,005,000 -- 201,700 803,300
DIVIDEND REALIZED VALUE INCOME GAIN (LOSS) - --------------------------------------------------------------------------------------------------------------------------- Care Investment Trust, Inc. a $ -- b $ 178,925 $ (937,585) CSK Auto Corp. 45,939,563 -- 7,611 E*TRADE Financial Corp., 6.125% Cum. Cv. 7,766,900 602,926 (13,299,785) Oppenheimer Institutional Money Market Fund, Cl. E 118,764,677 781,429 -- Platinum Underwriters Holdings Ltd., 6% Cv., Series A 26,476,768 429,875 319,393 ------------------------------------------------- $ 198,947,908 $ 1,993,155 $ (13,910,366) =================================================
a. No longer an affiliate as of November 30, 2007. b. The security is no longer an affiliate, therefore, the value has been excluded from this table. 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 - ------------------------------------------------------------------------------------------------------------------- 3M Co. 100 12/24/07 $ 85.00 $ 9,900 $ 11,000 Abbott Laboratories 420 12/24/07 57.50 20,780 42,000 AT&T, Inc. 175 12/24/07 45.00 5,725 525 Chevron Corp. 335 12/24/07 90.00 226,792 43,550 Chevron Corp. 890 12/24/07 95.00 141,508 17,800 Citigroup, Inc. 250 1/21/08 35.00 32,899 38,250 Coca-Cola Co. (The) 190 12/24/07 60.00 28,710 45,600 Coca-Cola Co. (The) 35 12/24/07 62.50 4,270 3,150 Coca-Cola Co. (The) 25 1/21/08 65.00 1,600 1,625 Constellation Energy Group, Inc. 35 1/21/08 100.00 11,015 14,350 Exxon Mobil Corp. 125 12/24/07 100.00 5,125 625 Fidelity National Title Group, Inc., Cl. A 2,400 12/24/07 30.00 93,599 -- General Electric Co. 7,000 12/24/07 45.00 258,731 -- General Electric Co. 5,525 1/21/08 45.00 153,718 27,625 GlobalSantaFe Corp. 25 12/24/07 85.00 14,225 10,000 GlobalSantaFe Corp. 100 12/24/07 90.00 25,350 14,000 Kraft Foods, Inc., Cl. A 15,000 12/14/07 31.52 7,050,000 4,725,000 Lockheed Martin Corp. 200 12/24/07 110.00 82,169 64,000 Lockheed Martin Corp. 300 12/24/07 115.00 62,699 40,500 Loews Corp./Carolina Group 750 12/24/07 80.00 161,368 682,500 Loews Corp./Carolina Group 3,275 12/24/07 85.00 947,620 1,506,500 Loews Corp./Carolina Group 2,000 12/24/07 90.00 383,994 270,000 Loews Corp./Carolina Group 3,000 1/21/08 85.00 980,985 1,680,000 Petroleo Brasileiro SA, ADR 240 12/24/07 90.00 212,777 232,800 Petroleo Brasileiro SA, ADR 25 12/24/07 95.00 18,725 12,750 Pfizer, Inc. 250 1/21/08 25.00 7,432 11,250 Raytheon Co. 5,000 1/21/08 60.00 2,734,958 1,600,000 United Technologies Corp. 100 12/24/07 75.00 18,800 14,500 ---------------------------- $ 13,695,474 $ 11,109,900 ============================
4. Represents the current interest rate for a variable or increasing rate security. 14 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 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. 950 12/24/07 $ 27.50 $ 208,047 $ 275,500 Citigroup, Inc. 250 1/21/08 30.00 28,455 30,250 Comcast Corp., Cl. A Special 1,696 1/21/08 25.00 358,971 780,160 CVS Corp. 1,000 1/21/08 40.00 101,998 130,000 Hess Corp. 2,500 1/21/08 60.00 519,992 162,500 Johnson & Johnson 1,000 1/21/08 65.00 163,997 45,000 Marathon Oil Corp. 1,500 12/24/07 55.00 406,244 252,000 Novartis AG, ADR 1,500 1/21/08 55.00 249,806 142,500 OfficeMax, Inc. 31 1/21/08 42.50 27,187 54,250 -------------------------- $ 2,064,697 $ 1,872,160 ==========================
6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $18,962,596 or 0.62% of the Fund's net assets as of November 30, 2007. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $954,932 or 0.03% of the Fund's net assets as of November 30, 2007. 8. When-issued security or forward commitment to be delivered and settled after November 30, 2007. See accompanying Notes. 9. 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 $4,548,807. See accompanying Notes. 10. 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 $90,524,551 or 2.95% of the Fund's net assets as of November 30, 2007. 11. 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. 12. Illiquid security. The aggregate value of illiquid securities as of November 30, 2007 was $204,482,478, which represents 6.66% of the Fund's net assets. See accompanying Notes. 13. Rate shown is the 7-day yield as of November 30, 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. 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 registered investment companies that are not traded on an exchange 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). 15 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- STRUCTURED SECURITIES. The Fund invests in structured securities 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 securities are often leveraged, increasing the volatility of each securities' 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 security is sold, matures or expires. 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 November 30, 2007, the Fund had purchased $455,941,924 of securities issued on a when-issued basis or forward commitment and sold $169,346,857 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. 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, if applicable. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will 16 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 November 30, 2007, the Fund had outstanding futures contracts as follows:
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS NOVEMBER 30, 2007 (DEPRECIATION) - ----------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 3/19/08 1,222 $ 143,203,125 $ 207,827 U.S. Treasury Nts., 10 yr. 3/19/08 13 1,471,641 (3,487) --------------- 204,340 --------------- CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 12/31/07 100 21,003,125 (10,238) U.S. Treasury Nts., 2 yr. 3/31/08 243 51,056,578 58,992 U.S. Treasury Nts., 5 yr. 12/31/07 22 2,428,250 (36,697) U.S. Treasury Nts., 5 yr. 3/31/08 89 9,799,734 (16,045) --------------- (3,988) --------------- $ 200,352 ===============
17 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 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 November 30, 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, 2007 40,834 $ 13,543,701 10,316 $ 6,014,598 Options written 64,535 8,961,529 41,200 6,480,524 Options closed or expired (52,375) (6,892,149) (28,349) (7,819,183) Options exercised (5,224) (1,917,607) (12,740) (2,611,242) ---------------------------------------------------- Options outstanding as of November 30, 2007 47,770 $ 13,695,474 10,427 $ 2,064,697 ==================================================== 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 gain (loss) upon payment. In the event that the credit default swap is exercised due to a credit event, the difference between the value 18 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- 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 November 30, 2007 is as follows:
BUY/SELL NOTIONAL PAY/ PREMIUM CREDIT AMOUNT RECEIVE TERMINATION PAID/ COUNTERPARTY REFERENCE ENTITY PROTECTION (000) FIXED RATE DATES (RECEIVED) VALUE - ----------------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: Beazer Homes USA, Inc. Sell $ 825 2.100% 6/20/08 $ -- $ (55,020) Capmark Financial Group, Inc. Sell 1,570 1.000 6/20/12 -- (305,708) Countrywide Home Loans, Inc. Sell 1,980 0.750 9/20/08 -- (162,073) Dillard's, Inc. Sell 4,290 1.900 12/20/08 -- (40,003) Istar Financial, Inc. Sell 6,305 4.400 12/20/12 -- 45,968 Lehman Brothers Holdings, Inc. Sell 3,335 0.490 9/20/10 -- (84,412) Merrill Lynch & Co., Inc. Sell 6,235 0.680 9/20/08 -- (49,907) Six Flags, Inc. Sell 1,560 8.250 12/20/08 -- (13,678) Toys "R" Us, Inc. Sell 1,695 1.450 9/20/08 -- (28,055) - ----------------------------------------------------------------------------------------------------------------------------------- Credit Suisse International: ArvinMeritor, Inc. Sell 2,660 1.550 9/20/08 -- (27,961) CDX.NA.HY.8 Index Sell 1,400 2.750 6/20/12 (111,990) (66,737) CDX.NA.HY.9 Index Sell 2,700 3.750 12/20/12 (94,500) (108,811) Freescale Semiconductor, Inc. Sell 1,555 0.600 3/20/08 -- (4,013) Freescale Semiconductor, Inc. Sell 1,665 0.750 3/20/08 -- (3,043) Intelsat Ltd. Sell 1,705 3.450 9/20/08 -- 2,249 Quebecor World, Inc. Sell 1,685 2.600 9/20/08 -- (31,098) Rite Aid Corp. Sell 2,660 0.875 6/20/08 -- (51,576) Saks, Inc. Sell 2,680 2.000 9/20/08 -- (4,880) The Goodyear Tire & Rubber Co. Sell 2,520 1.550 9/20/08 -- 18,459 TXU Corp. Sell 1,055 5.910 12/20/12 -- (6,919) TXU Corp. Sell 1,000 6.050 12/20/12 -- (1,410) TXU Corp. Sell 1,050 6.000 12/20/12 -- (6,889) Univision Communications, Inc. Sell 760 0.750 3/20/08 -- (3,170) - ----------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: ABX.HE.AA.06-2 Index Sell 710 0.170 5/25/46 (85,193) (266,830) Allied Waste North America, Inc. Sell 920 2.000 9/20/09 -- (1,348) Allied Waste North America, Inc. Sell 1,440 2.000 9/20/09 -- (2,109) Capital One Bank Buy 1,930 1.800 12/20/12 -- (95) CDX.NA.HY.8 Index Sell 1,405 2.750 6/20/12 (121,942) (65,738) CDX.NA.HY.8 Index Sell 1,405 2.750 6/20/12 (85,061) (65,738) CDX.NA.HY.8 Index Sell 685 2.750 6/20/12 (55,119) (32,050) CDX.NA.HY.8 Index Sell 1,255 2.750 6/20/12 (86,386) (58,720)
19 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Centex Corp. Sell 310 1.550 9/20/09 -- (14,943) Citigroup, Inc. Sell 3,450 5.000 12/20/08 -- 39,581 Countrywide Home Loans, Inc. Sell 1,190 3.250 9/20/08 -- (114,171) Dillard's, Inc. Sell 720 0.750 9/20/08 -- (15,711) Georgia-Pacific Corp. Sell 2,535 1.750 9/20/08 -- 20,489 Intelsat Ltd. Sell 690 2.850 9/20/08 -- (3,488) Istar Financial, Inc. Sell 3,030 2.925 12/20/08 -- (91,623) Istar Financial, Inc. Sell 1,765 3.000 12/20/08 -- (52,041) Istar Financial, Inc. Sell 1,025 4.320 12/20/12 -- 710 Istar Financial, Inc. Sell 360 4.500 12/20/12 -- 2,211 Lehman Brothers Holdings, Inc. Sell 2,985 1.410 9/20/08 -- 6,609 Levi Strauss & Co. Sell 1,545 1.000 9/20/08 -- (5,229) Levi Strauss & Co. Sell 1,155 0.900 9/20/08 -- (5,060) MBIA, Inc. Sell 1,680 0.520 9/20/08 -- (70,448) MBIA, Inc. Sell 1,665 0.600 9/20/08 -- (68,614) MBIA, Inc. Sell 3,420 4.900 12/20/12 -- 64,561 Merrill Lynch & Co., Inc. Sell 3,615 1.850 6/20/08 -- 5,691 Owens-Illinois, Inc. Sell 1,410 1.250 9/20/08 -- 3,777 Tenet Healthcare Corp. Sell 2,695 1.600 3/20/09 -- (83,940) The Bear Stearns Cos., Inc. Sell 6,195 2.350 9/20/08 -- 34,400 Washington Mutual, Inc. Sell 745 4.500 12/20/08 -- 1,414 Washington Mutual, Inc. Sell 3,670 4.500 12/20/08 -- 6,509 - ----------------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 570 0.170 5/25/46 (225,137) (219,439) ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (20,598) (96,245) Capmark Financial Group, Inc. Sell 1,710 0.950 6/20/12 -- (327,207) Dole Food Co., Inc. Sell 2,540 3.880 9/20/08 -- 492 First Data Corp. Sell 1,690 1.150 9/20/08 -- (11,692) K. Hovnanian Enterprises, Inc. Sell 905 6.750 9/20/08 -- (39,783) Quebecor World, Inc. Sell 765 3.000 9/20/08 -- (15,130) Standard Pacific Corp. Sell 1,215 6.625 9/20/08 -- (120,288) - ----------------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: Amkor Technology, Inc. Sell 240 2.650 9/20/08 -- 2,681 Citigroup, Inc. Sell 1,835 1.250 9/20/08 -- (32,104) D.R. Horton, Inc. Sell 1,190 4.210 12/20/08 -- 2,660 General Mills, Inc. Sell 4,090 0.380 12/20/12 -- 85 Merrill Lynch & Co., Inc. Sell 8,260 1.850 6/20/08 -- 16,960 Pulte Homes, Inc. Sell 2,315 2.750 9/20/09 -- (75,970) Sara Lee Corp. Buy 2,055 0.419 9/20/12 -- (10,466) Smurfit-Stone Container Enterprises, Inc. Sell 2,515 1.450 9/20/08 -- 285 - ----------------------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: ABX.HE.AA.06-2 Index Sell 350 0.170 5/25/46 (85,730) (137,002) D.R. Horton, Inc. Sell 2,125 4.200 12/20/08 -- (1,612) Dillard's, Inc. Sell 1,560 2.250 12/20/08 -- 2,862 Dillard's, Inc. Sell 4,530 2.250 12/20/08 -- 8,312 Morgan Stanley Sell 6,310 0.640 9/20/08 -- (19,704) Nortel Networks Corp. Sell 410 1.850 9/20/08 -- 565 Residential Capital LLC Sell 4,410 5.000 6/20/08 (573,300) (739,453) Tribune Co. Sell 2,910 7.350 12/20/08 -- (39,851) Univision Communications, Inc. Sell 5,120 3.000 12/20/08 -- (7,018) Univision Communications, Inc. Sell 590 3.000 12/20/08 -- (595) Washington Mutual, Inc. Sell 1,730 4.400 12/20/08 -- 3,632 - -----------------------------------------------------------------------------------------------------------------------------------
20 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Morgan Stanley & Co. International plc: Beazer Homes USA, Inc. Sell 1,825 2.150 6/20/08 -- (217,280) Countrywide Home Loans, Inc. Sell 4,905 0.420 6/20/09 -- (903,941) Countrywide Home Loans, Inc. Sell 1,275 0.750 9/20/08 -- (162,945) First Data Corp. Sell 995 1.350 9/20/08 -- (4,878) Ford Motor Co. Sell 3,060 7.150 12/20/16 -- 21,189 Ford Motor Co. Sell 1,455 7.050 12/20/16 -- 2,832 General Motors Corp. Sell 1,525 5.800 12/20/16 -- (76,860) General Motors Corp. Sell 1,480 5.750 12/20/16 -- (78,341) Harrah'S Operating Co., Inc. Sell 1,430 2.200 9/20/08 -- 1,490 Inco Ltd. Buy 1,605 0.700 3/20/17 -- (17,415) Inco Ltd. Buy 1,615 0.630 3/20/17 -- (8,811) J. C. Penney Co., Inc. Sell 1,585 1.300 12/20/17 -- (40,350) J. C. Penney Co., Inc. Sell 1,540 1.070 12/20/17 -- (70,557) K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- (106,878) K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- (106,878) Kohl's Corp. Buy 2,310 0.660 12/20/17 -- 78,534 Kohl's Corp. Buy 2,375 0.870 12/20/17 -- 40,095 Residential Capital LLC Sell 965 5.000 6/20/08 (130,275) (151,457) Residential Capital LLC Sell 1,345 5.000 6/20/08 (195,025) (211,843) Residential Capital LLC Sell 2,475 5.000 6/20/08 (358,875) (390,165) Residential Capital LLC Sell 3,845 6.120 9/20/08 -- (690,535) Sara Lee Corp. Buy 2,645 0.418 9/20/12 -- (12,159) Sara Lee Corp. Buy 4,345 0.390 9/20/12 -- (11,166) Toys "R" Us, Inc. Sell 1,000 2.550 9/20/08 -- (5,643) Tribune Co. Sell 1,595 1.000 6/20/08 -- (64,874) Vale Overseas Ltd. Sell 1,605 1.170 3/20/17 -- 8,694 Vale Overseas Ltd. Sell 1,615 1.100 3/20/17 -- 381 - ----------------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (19,973) (97,859) ABX.HE.AA.06-2 Index Sell 480 0.170 5/25/46 (47,998) (185,733) Lennar Corp. Sell 1,700 2.900 12/20/08 -- (53,920) -------------------------- $(2,297,102) $(7,192,929) ==========================
INTEREST RATE SWAP CONTRACTS An interest rate swap is an agreement under which a set of future cash flows is exchanged between two counterparties. Interest rate swaps involve the exchange of rights to receive or commitments to pay interest. One cash flow stream will typically be a floating rate payment based upon a specified index while the other is typically a fixed rate. 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. Interest rate 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 counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap agreements entail both interest rate risk and credit risk. There is a risk, based on movements of interest rates in the future, the payments made by the Fund under a swap agreement will be greater than the payments it received. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual interest payments that the Fund has not yet received. The Manager will monitor the creditworthiness of counterparties to the Fund's interest rate swap transactions on an ongoing basis. As of November 30, 2007, the Fund had entered into the following interest rate swap agreements: 21 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE Three- Credit Suisse Month USD International $ 6,910,000 BBA LIBOR 0.0543% 8/7/17 $ 548,304 - ------------------------------------------------------------------------------------- Three- Month USD Deutsche Bank AG 5,830,000 BBA LIBOR 0.0545 8/8/17 467,334 ------------ $ 1,015,638 ============
Index abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate 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 counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. The primary risks associated with total return swaps are credit risks (if the counterparty fails to meet its obligations) and market risk (if there is no liquid market for the agreement or unfavorable changes occur in the reference asset). As of November 30, 2007, the Fund had entered into the following total return swap agreements:
NOTIONAL TERMINATION SWAP COUNTERPARTY AMOUNT PAID BY THE FUND RECEIVED BY THE FUND DATES VALUE - -------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus $ 19,330,000 AAA 8.5+ Index 20 basis points 6/1/08 $ (401,032) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 28,100,000 AAA 8.5+ Index 25 basis points 5/1/08 (1,130,517) - -------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 6,840,000 AAA 8.5+ Index 45 basis points 2/1/08 (269,695) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 19,800,000 AAA 8.5+ Index 60 basis points 2/1/08 (763,371)
22 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 1,830,000 AAA 8.5+ Index 25 basis points 2/1/08 (71,088) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 1,000,000 AAA 8.5+ Index 55 basis points 5/1/08 (34,745) - -------------------------------------------------------------------------------------------------------------------- Lehman Brothers Special Financing, Inc.: If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 22,700,000 AAA 8.5+ Index 40 basis points 6/1/08 (385,482) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 20,000,000 AAA 8.5+ Index 25 basis points 5/1/08 (719,272) If negative, the absolute value of If positive, the Total the Lehman Return of the Lehman Brothers U.S. CMBS Brothers U.S. CMBS 8,450,000 AAA 8.5+ Index AAA 8.5+ Index 2/1/08 (332,271) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 9,500,000 AAA 8.5+ Index 20 basis points 5/1/08 (371,811) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 7,201,000 AAA 8.5+ Index 60 basis points 2/1/08 (279,797) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 19,283,000 AAA 8.5+ Index 55 basis points 5/1/08 (670,716) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 4,560,000 AAA 8.5+ Index 25 basis points 3/1/08 (180,195) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 25,562,000 AAA 8.5+ Index 45 basis points 5/1/08 (890,679) - -------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.:
23 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 16,100,000 AAA 8.5+ Index 40 basis points 6/1/08 (200,722) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 19,330,000 AAA 8.5+ Index 90 basis points 6/1/08 (64,526) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 20,000,000 AAA 8.5+ Index 25 basis points 5/1/08 (631,963) - -------------------------------------------------------------------------------------------------------------------- UBS AG: If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index minus 6,700,000 AAA 8.5+ Index 20 basis points 5/1/08 (262,779) If negative, the If positive, the Total absolute value of Return of the Lehman the Lehman Brothers U.S. CMBS Brothers U.S. CMBS AAA 8.5+ Index plus 9,001,000 AAA 8.5+ Index 60 basis points 2/1/08 (347,025) ------------- $ (8,007,686) =============
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities ILLIQUID SECURITIES As of November 30, 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 PRONOUNCEMENT In September 2006, Financial Accounting Standards Board issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of November 30, 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 November 30, 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. 24 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2007 / UNAUDITED - -------------------------------------------------------------------------------- Federal tax cost of securities $ 3,003,094,446 Federal tax cost of other investments 42,129,453 ----------------- Total federal tax cost $ 3,045,223,899 ================= Gross unrealized appreciation $ 503,142,792 Gross unrealized depreciation (151,477,151) ----------------- Net unrealized appreciation $ 351,665,641 ================= 25 | 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 11/30/2007, 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: 01/14/2008 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: 01/14/2008 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 01/14/2008 EX-99.CERT 2 rq300_44625cert302.txt RQ300_44625CERT302 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS -------------- I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Mruphy - --------------------------- John V. Murphy Principal Executive Officer Date: 01/14/2008 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS -------------- I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - --------------------------- Brian W. Wixted Principal Financial Officer Date: 01/14/2008 -----END PRIVACY-ENHANCED MESSAGE-----