N-Q 1 rq300_47726nq.txt RQ300_47726NQ.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-1512 -------- Oppenheimer Capital Income Fund ------------------------------- (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 ------------------------------------------------------ (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 --------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 -------------- Date of fiscal year end: AUGUST 31 --------- Date of reporting period: 05/31/2008 ---------- ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Shares Value --------- ---------------- COMMON STOCKS--39.1% CONSUMER DISCRETIONARY--2.0% HOTELS, RESTAURANTS & LEISURE--0.1% Carnival Corp. 39,000 $ 1,562,340 --------- ---------------- MEDIA--0.3% Cinemark Holdings, Inc. 695,600 10,065,332 --------- ---------------- SPECIALTY RETAIL--1.6% CSK Auto Corp. (1,2) 2,907,500 33,523,475 --------- ---------------- OfficeMax, Inc. 515,000 11,165,200 ---------------- 44,688,675 ---------------- CONSUMER STAPLES--7.4% BEVERAGES--0.1% Coca-Cola Co. (The) 65,000 3,721,900 --------- ---------------- FOOD & STAPLES RETAILING--0.1% SUPERVALU, Inc. (3) 100,000 3,507,000 --------- ---------------- FOOD PRODUCTS--0.7% B&G Foods, Inc. (2) 1,025,000 18,040,000 --------- ---------------- TOBACCO--6.5% Altria Group, Inc. 1,400,000 31,164,000 --------- ---------------- Loews Corp./Carolina Group 1,050,000 76,177,500 --------- ---------------- Philip Morris International, Inc. (1) 1,400,000 73,724,000 ---------------- 181,065,500 ---------------- ENERGY--9.3% ENERGY EQUIPMENT & SERVICES--0.7% Diamond Offshore Drilling, Inc. (3) 33,750 4,604,850 --------- ---------------- Halliburton Co. 61,500 2,987,670 --------- ---------------- Transocean, Inc. (3) 76,750 11,527,083 ---------------- 19,119,603 ---------------- OIL, GAS & CONSUMABLE FUELS--8.6% BP plc, ADR 575,000 41,693,250 --------- ---------------- Capital Product Partners LP 212,500 4,318,000 --------- ---------------- Chevron Corp. 320,000 31,728,000 --------- ---------------- ConocoPhillips 422,500 39,334,750 --------- ---------------- Enbridge Energy Management LLC (1) 1 3 --------- ---------------- Kinder Morgan Management LLC (1) 1,744,501 96,209,205 --------- ---------------- Marathon Oil Corp. 425,000 21,840,750 --------- ---------------- Sunoco, Inc. 95,000 4,224,650 ---------------- 239,348,608 ---------------- FINANCIALS--7.3% CAPITAL MARKETS--0.7% Credit Suisse Group, ADR 22,500 1,145,025 --------- ---------------- Goldman Sachs Group, Inc. (The) 2,750 485,128 --------- ---------------- UBS AG (1) 711,375 16,831,133 ---------------- 18,461,286 ---------------- COMMERCIAL BANKS--0.3% Wachovia Corp. (3) 325,000 7,735,000
1 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Shares Value --------- ---------------- COMMON STOCKS CONTINUED DIVERSIFIED FINANCIAL SERVICES--1.8% Bank of America Corp. (3) 587,500 $ 19,980,875 --------- ---------------- Citigroup, Inc. (3) 1,070,300 23,428,867 --------- ---------------- KKR Financial Holdings LLC 550,000 6,688,000 ---------------- 50,097,742 ---------------- INSURANCE--3.7% ACE Ltd. 475,000 28,533,250 --------- ---------------- Everest Re Group Ltd. 623,000 54,649,560 --------- ---------------- Fidelity National Title Group, Inc., Cl. A 355,000 6,070,500 --------- ---------------- Hartford Financial Services Group, Inc. (The) 142,500 10,127,475 --------- ---------------- Loews Corp. 50,000 2,478,500 --------- ---------------- XL Capital Ltd., Cl. A 75,000 2,618,250 ---------------- 104,477,535 ---------------- REAL ESTATE INVESTMENT TRUSTS--0.8% Anthracite Capital, Inc. 1,000,000 9,370,000 --------- ---------------- Crystal River Capital, Inc. 625,000 3,487,500 --------- ---------------- iStar Financial, Inc. 470,000 8,986,400 ---------------- 21,843,900 ---------------- HEALTH CARE--2.0% BIOTECHNOLOGY--0.1% Vanda Pharmaceuticals, Inc. (1) 602,500 2,819,700 --------- ---------------- PHARMACEUTICALS--1.9% Abbott Laboratories 152,500 8,593,375 --------- ---------------- Bristol-Myers Squibb Co. 176,250 4,016,738 --------- ---------------- Merck & Co., Inc. 87,000 3,389,520 --------- ---------------- Novartis AG, ADR (3) 175,000 9,161,250 --------- ---------------- Pfizer, Inc. 1,275,000 24,684,000 --------- ---------------- Schering-Plough Corp. 100,000 2,040,000 ---------------- 51,884,883 ---------------- INDUSTRIALS--3.7% AEROSPACE & DEFENSE--1.5% Lockheed Martin Corp. 68,500 7,496,640 --------- ---------------- Raytheon Co. (3) 425,000 27,140,500 --------- ---------------- United Technologies Corp. 80,000 5,683,200 ---------------- 40,320,340 ---------------- INDUSTRIAL CONGLOMERATES--1.7% General Electric Co. (3) 1,175,000 36,096,000 --------- ---------------- Siemens AG, Sponsored ADR 89,500 10,184,205 ---------------- 46,280,205 ---------------- MACHINERY--0.1% Joy Global, Inc. (3) 30,000 2,526,900 --------- ---------------- MARINE--0.3% Eagle Bulk Shipping, Inc. 175,000 5,834,500 --------- ---------------- Seaspan Corp. 105,000 2,833,950 ---------------- 8,668,450 ---------------- TRADING COMPANIES & DISTRIBUTORS--0.1% Aircastle Ltd. 292,500 3,752,775
2 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Shares Value --------- ---------------- COMMON STOCKS CONTINUED INFORMATION TECHNOLOGY--1.2% COMMUNICATIONS EQUIPMENT--0.4% Corning, Inc. (3) 445,000 $ 12,166,300 --------- ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5% Intel Corp. (3) 215,000 4,983,700 --------- ---------------- Taiwan Semiconductor Manufacturing Co. Ltd., ADR 375,000 4,293,750 --------- ---------------- Texas Instruments, Inc. (3) 175,000 5,684,000 ---------------- 14,961,450 ---------------- SOFTWARE--0.3% Microsoft Corp. 250,000 7,080,000 --------- ---------------- MATERIALS--0.5% CHEMICALS--0.5% BASF SE, Sponsored ADR 37,750 5,669,673 --------- ---------------- Eastman Chemical Co. (3) 42,500 3,255,925 --------- ---------------- Lubrizol Corp. (The) 50,000 2,805,000 --------- ---------------- PPG Industries, Inc. 27,500 1,733,325 ---------------- 13,463,923 ---------------- TELECOMMUNICATION SERVICES--3.8% DIVERSIFIED TELECOMMUNICATION SERVICES--3.8% AT&T, Inc. (4) 825,000 32,917,500 --------- ---------------- Citizens Communications Co. 1,307,500 15,245,450 --------- ---------------- Consolidated Communications Holdings, Inc. 1,292,500 19,387,500 --------- ---------------- FairPoint Communications, Inc. 1,575,000 14,175,000 --------- ---------------- Qwest Communications International, Inc. 110,000 533,500 --------- ---------------- Verizon Communications, Inc. 133,000 5,116,510 --------- ---------------- Windstream Corp. 1,425,000 19,009,500 ---------------- 106,384,960 ---------------- UTILITIES--1.9% ELECTRIC UTILITIES--1.1% Cleco Corp. 695,000 17,361,100 --------- ---------------- FirstEnergy Corp. 185,000 14,561,350 ---------------- 31,922,450 ---------------- ENERGY TRADERS--0.2% Constellation Energy Group, Inc. 58,000 5,001,340 --------- ---------------- GAS UTILITIES--0.3% Southern Union Co. 277,500 7,381,500 --------- ---------------- MULTI-UTILITIES--0.3% CenterPoint Energy, Inc. 432,500 7,326,550 ---------------- Total Common Stocks (Cost $832,438,483) 1,085,676,147 ---------------- PREFERRED STOCKS--5.1% AES Trust III, 6.75% Cv. 118,400 5,824,096 --------- ---------------- American International Group, Inc., 8.50% Cv. (1) 45,000 3,329,550 --------- ---------------- Archer-Daniels-Midland Co., 6.25% Cv. (1) 132,000 6,550,500 --------- ---------------- El Paso Corp., 4.99% Cv. 7,500 11,833,125 --------- ---------------- Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 662,500 16,603,906 --------- ----------------
3 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Shares Value --------- ---------------- PREFERRED STOCKS CONTINUED Freeport-McMoRan Copper & Gold, Inc., 6.75% Cv., Non-Vtg. 47,125 $ 7,795,418 --------- ---------------- Huntington Bancshares, Inc., 8.50% Cv., Series A (1) 2,300 2,295,400 --------- ---------------- Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 39,000 31,200,000 --------- ---------------- NRG Energy, Inc., 5.75% Cv. 43,750 15,579,813 --------- ---------------- Platinum Underwriters Holdings Ltd., 6% Cv., Series A (2) 430,000 13,566,500 --------- ---------------- Schering-Plough Corp., 6% Cv. 55,000 10,751,950 --------- ---------------- Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity Redeemable Shares, Non-Vtg. 650,000 8,352,500 --------- ---------------- United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 253,569 7,924,031 --------- ---------------- Total Preferred Stocks (Cost $163,855,552) 141,606,789
Principal Amount ------------ MORTGAGE-BACKED OBLIGATIONS--37.0% GOVERNMENT AGENCY--21.8% FHLMC/FNMA/SPONSORED--21.7% Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 $ 9,555,846 9,357,769 5%, 8/15/33-12/15/34 6,045,645 5,865,788 6%, 5/15/18-3/15/33 3,615,115 3,715,341 6.50%, 4/15/18-4/1/34 1,492,303 1,551,620 7%, 12/1/23-10/1/31 7,345,254 7,802,787 8%, 4/1/16 348,154 370,014 9%, 8/1/22-5/1/25 106,281 116,592 ------------ ------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 15.794%, 3/25/36 (5) 983,851 1,095,032 Series 2034, Cl. Z, 6.50%, 2/15/28 499,302 522,145 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,577,414 1,649,151 Series 2053, Cl. Z, 6.50%, 4/15/28 520,642 545,848 Series 2055, Cl. ZM, 6.50%, 5/15/28 680,144 707,422 Series 2075, Cl. D, 6.50%, 8/15/28 1,886,639 1,979,369 Series 2080, Cl. C, 6.50%, 8/15/28 948,359 993,049 Series 2080, Cl. Z, 6.50%, 8/15/28 450,322 472,320 Series 2279, Cl. PK, 6.50%, 1/15/31 999,654 1,050,760 Series 2326, Cl. ZP, 6.50%, 6/15/31 521,675 546,383 Series 2461, Cl. PZ, 6.50%, 6/15/32 2,205,620 2,318,877 Series 2500, Cl. FD, 3.014%, 3/15/32 (5) 240,299 237,881 Series 2526, Cl. FE, 2.914%, 6/15/29 (5) 339,049 335,643 Series 2538, Cl. F, 3.114%, 12/15/32 (5) 4,417,199 4,387,771 Series 2551, Cl. FD, 2.914%, 1/15/33 (5) 260,745 259,065 Series 2676, Cl. KY, 5%, 9/15/23 2,768,000 2,711,568 Series 3025, Cl. SJ, 15.531%, 8/15/35 (5) 369,626 414,901 Series 3094, Cl. HS, 15.164%, 6/15/34 (5) 636,415 694,109 ------------ ------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 11.313%, 6/1/26 (6) 429,405 106,714
4 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Series 183, Cl. IO, 10.175%, 4/1/27 (6) $ 708,598 $ 163,702 Series 184, Cl. IO, 16.198%, 12/1/26 (6) 755,146 188,134 Series 192, Cl. IO, 11.433%, 2/1/28 (6) 228,775 60,218 Series 200, Cl. IO, 11.123%, 1/1/29 (6) 281,135 68,840 Series 2130, Cl. SC, 26.864%, 3/15/29 (6) 527,186 60,946 Series 216, Cl. IO, 10.555%, 12/1/31 (6) 525,352 147,809 Series 224, Cl. IO, 7.373%, 3/1/33 (6) 1,630,112 433,136 Series 243, Cl. 6, 8.532%, 12/15/32 (6) 997,449 242,921 Series 2796, Cl. SD, 34.019%, 7/15/26 (6) 783,789 86,915 Series 2802, Cl. AS, 68.512%, 4/15/33 (6) 1,520,037 125,763 Series 2920, Cl. S, 42.058%, 1/15/35 (6) 4,400,620 348,232 Series 3000, Cl. SE, 71.23%, 7/15/25 (6) 4,924,452 344,745 Series 3110, Cl. SL, 99.999%, 2/15/26 (6) 854,399 63,901 ------------ ------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.822%, 6/1/26 (7) 204,388 170,946 Series 192, Cl. PO, 6.745%, 2/1/28 (7) 228,775 178,027 ------------ ------------ Federal National Mortgage Assn.: 4.50%, 11/25/19-8/1/20 3,842,457 3,773,467 4.50%, 6/1/22 (8) 21,610,000 21,029,231 5%, 12/1/17-9/25/35 92,237,862 90,538,525 5%, 6/1/23-6/1/38 (8) 128,714,000 125,327,089 5%, 5/1/18 (9) 1,816,419 1,818,327 5.50%, 1/25/33-1/1/38 46,597,117 46,466,564 5.50%, 6/1/22-6/1/38 (8) 53,804,000 53,704,515 6%, 8/25/32-11/1/33 15,958,065 16,295,450 6%, 6/1/22-6/1/37 (8) 52,369,000 53,274,552 6%, 3/1/33 (9) 12,294,523 12,555,013 6.50%, 5/25/17-11/25/31 13,488,570 14,050,680 6.50%, 6/1/37 (8) 23,604,000 24,337,943 7%, 11/1/17-7/25/35 6,702,208 7,100,534 7.50%, 1/1/33-3/25/33 9,717,817 10,492,050 8.50%, 7/1/32 33,401 36,749 ------------ ------------ Federal National Mortgage Assn. Grantor Trust, Gtd. Trust Mtg. Pass-Through Certificates, Trust 2002-T1, Cl. A2, 7%, 11/25/31 1,539,991 1,547,969 ------------ ------------ Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,424,177 1,477,989 Trust 1998-61, Cl. PL, 6%, 11/25/28 881,286 910,091 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,195,145 1,235,823 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,975,556 2,079,333 Trust 2001-70, Cl. LR, 6%, 9/25/30 89,793 90,294 Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 797,164 834,881 Trust 2002-9, Cl. PC, 6%, 3/25/17 5,620,780 5,826,806 Trust 2003-130, Cl. CS, 9.315%, 12/25/33 (5) 844,920 822,459 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,899,283 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,485,000 3,490,231
5 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Trust 2004-101, Cl. BG, 5%, 1/25/20 $ 2,550,000 $ 2,558,032 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,552,084 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 7,270,217 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,400,316 Trust 2005-59, Cl. NQ, 10.894%, 5/25/35 (5) 1,040,648 1,034,668 Trust 2006-46, Cl. SW, 15.427%, 6/25/36 (5) 761,560 835,679 Trust 2006-50, Cl. KS, 15.428%, 6/25/36 (5) 2,542,789 2,718,567 Trust 2006-50, Cl. SK, 15.428%, 6/25/36 (5) 199,489 212,976 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 4,035,643 4,108,399 ------------ ------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 45.331%, 3/17/31 (6) 664,129 103,166 Trust 2001-65, Cl. S, 36.05%, 11/25/31 (6) 2,246,946 253,989 Trust 2001-81, Cl. S, 22.413%, 1/25/32 (6) 496,534 51,953 Trust 2002-47, Cl. NS, 20.501%, 4/25/32 (6) 977,357 104,599 Trust 2002-51, Cl. S, 20.779%, 8/25/32 (6) 897,347 97,684 Trust 2002-52, Cl. SD, 20.565%, 9/25/32 (6) 993,318 127,156 Trust 2002-75, Cl. SA, 38.719%, 11/25/32 (6) 2,720,285 287,740 Trust 2002-77, Cl. SH, 25.112%, 12/18/32 (6) 638,075 76,094 Trust 2002-89, Cl. S, 49.122%, 1/25/33 (6) 2,526,987 338,582 Trust 2002-9, Cl. MS, 21.223%, 3/25/32 (6) 610,276 64,236 Trust 2003-117, Cl. KS, 35.502%, 8/25/33 (6) 15,782,276 1,300,759 Trust 2003-118, Cl. S, 32.885%, 12/25/33 (6) 4,231,402 501,157 Trust 2003-33, Cl. SP, 38.474%, 5/25/33 (6) 2,343,069 289,602 Trust 2003-46, Cl. IH, 0.739%, 6/1/33 (6) 5,182,618 1,142,659 Trust 2004-54, Cl. DS, 26.339%, 11/25/30 (6) 991,045 101,175 Trust 2005-105, Cl. S, 72.701%, 12/25/35 (6) 3,730,134 394,224 Trust 2005-19, Cl. SA, 39.367%, 3/25/35 (6) 11,332,451 969,841 Trust 2005-40, Cl. SA, 38.658%, 5/25/35 (6) 2,544,375 216,655 Trust 2005-6, Cl. SE, 46.73%, 2/25/35 (6) 3,201,069 271,212 Trust 2005-71, Cl. SA, 50.768%, 8/25/25 (6) 3,081,367 297,007 Trust 2005-86, Cl. AI, 7.566%, 10/1/35 (6) 7,733,507 1,822,235 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(6) 7,539,885 518,366 Trust 2005-87, Cl. SG, 74.902%, 10/25/35 (6) 6,713,107 685,958 Trust 2006-119, Cl. MS, 74.521%, 12/25/36 (6) 2,705,213 282,467 Trust 2006-33, Cl. SP, 57.682%, 5/25/36 (6) 6,864,444 728,989 Trust 2006-42, Cl. CI, 30.887%, 6/25/36 (6) 6,128,404 518,486 Trust 2006-51, Cl. SA, 26.516%, 6/25/36 (6) 30,492,197 2,607,650 Trust 222, Cl. 2, 16.413%, 6/1/23 (6) 1,641,813 423,672 Trust 240, Cl. 2, 21.521%, 9/1/23 (6) 2,533,681 707,129 Trust 252, Cl. 2, 15.537%, 11/1/23 (6) 1,214,098 337,418 Trust 273, Cl. 2, 15.123%, 8/1/26 (6) 337,138 86,266 Trust 303, Cl. IO, 13.832%, 11/1/29 (6) 425,893 118,877 Trust 308, Cl. 2, 10.433%, 9/1/30 (6) 1,090,154 294,375 Trust 321, Cl. 2, 4.436%, 4/1/32 (6) 4,939,697 1,239,984
6 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Trust 322, Cl. 2, 12.133%, 4/1/32 (6) $ 1,967,555 $ 519,652 Trust 331, Cl. 9, 15.438%, 2/1/33 (6) 1,344,589 311,959 Trust 334, Cl. 17, 22.285%, 2/1/33 (6) 789,524 188,769 Trust 334, Cl. 4, 4.999%, 7/1/33 (6) 12,509,705 2,954,003 Trust 339, Cl. 7, 8.174%, 7/1/33 (6) 4,995,831 1,168,411 Trust 342, Cl. 2, 9.846%, 9/1/33 (6) 866,681 233,405 Trust 344, Cl. 2, 8.034%, 12/1/33 (6) 7,636,724 2,058,888 Trust 345, Cl. 9, 8.688%, 1/1/34 (6) 2,326,630 549,786 Trust 356, Cl. 14, 12.503%, 6/1/35 (6) 4,639,010 1,119,110 Trust 362, Cl. 12, 9.048%, 8/1/35 (6) 4,375,357 1,171,292 Trust 362, Cl. 13, 9.023%, 8/1/35 (6) 2,426,448 649,302 Trust 365, Cl. 16, 13.876%, 3/1/36 (6) 9,003,062 2,311,299 ------------ ------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.203%, 9/25/23 (7) 595,351 495,807 ------------ 606,291,985 ------------ GNMA/GUARANTEED--0.1% Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 150,972 164,768 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 40.996%, 1/16/27 (6) 1,060,312 112,218 Series 2002-15, Cl. SM, 35.816%, 2/16/32 (6) 1,027,225 108,840 Series 2002-41, Cl. GS, 39.997%, 6/16/32 (6) 560,232 94,854 Series 2002-76, Cl. SY, 35.545%, 12/16/26 (6) 2,506,887 280,135 Series 2004-11, Cl. SM, 22.918%, 1/17/30 (6) 816,277 89,930 Series 2006-47, Cl. SA, 83.756%, 8/16/36 (6) 7,927,456 769,987 ------------ 1,620,732 ------------ NON-AGENCY--15.2% COMMERCIAL--6.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2005-3, Cl. A2, 4.501%, 7/10/43 2,670,000 2,654,181 Series 2006-1, Cl. AM, 5.421%, 9/1/45 (5) 10,720,000 9,960,069 ------------ ------------ Banc of America Funding Corp., Mtg. Pass-Through Certificates, Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,500,215 1,503,848 ------------ ------------ Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,253,975 1,281,478 ------------ ------------ Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 374,026 373,913 ------------ ------------ 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 3,098,562 ------------ ------------ CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 2006-A5, Cl. 1A1, 2.793%, 10/25/36 (5) 4,245,840 3,619,191 ------------ ------------
7 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED COMMERCIAL CONTINUED Series 2006-A5, Cl. 1A13, 2.843%, 10/25/36 (5) $ 2,211,858 $ 1,847,561 ------------ ------------ Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 862,390 853,755 Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 285,869 280,659 ------------ ------------ First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 1,133,189 1,000,334 ------------ ------------ First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,460,999 1,410,252 ------------ ------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,718,484 Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,591,333 ------------ ------------ Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,977,715 Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,761,058 ------------ ------------ Greenwich Capital Commercial Mortgage 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 9,500,000 9,295,697 ------------ ------------ GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A2, 5.479%, 11/1/39 12,330,000 12,411,938 ------------ ------------ GSR Mortgage Loan Trust 2004-10F, Mtg. Pass-Through Certificates, Series 2004-10F, Cl. 2A4, 5%, 8/1/19 11,692,891 11,114,068 ------------ ------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 637,053 Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,278,981 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 9,920,000 9,791,797 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 1,530,000 1,530,969 Series 2008-C2, Cl. A4, 6.068%, 2/1/51 9,860,000 9,900,032 ------------ ------------ LB-UBS Commercial Mortgage Trust 2005-C5, Commercial Mtg. Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,904,287 ------------ ------------ LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg. Pass-Through Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 2,030,000 2,042,497 ------------ ------------ LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: Series 2006-C1, Cl. A2, 5.084%, 2/11/31 12,480,000 12,517,817 Series 2006-C1, Cl. AM, 5.217%, 2/11/31 (5) 6,050,000 5,550,967 ------------ ------------ LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,570,000 7,507,420 ------------ ------------ Mastr Alternative Loan Trust, CMO Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,916,406 1,742,805 ------------ ------------ Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 2.843%, 10/25/36 (5) 12,229,984 10,727,486 ------------ ------------
8 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED COMMERCIAL CONTINUED Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial Mgt. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 $ 10,690,000 $ 10,432,523 ------------ ------------ 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 2,518,423 ------------ ------------ RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 2,063,983 1,975,768 ------------ ------------ Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg. Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,462,170 3,459,290 ------------ ------------ 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 2,140,209 ------------ ------------ WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg, Pass-Through Certificates, Series 2006-AR8, Cl. 1A4, 5.883%, 8/1/46 (5) 10,462,381 10,192,152 ------------ ------------ WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 1A2, 5.714%, 2/25/37 (5) 2,136,418 1,367,308 ------------ ------------ WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 2A2, 5.662%, 3/1/37 (5) 5,508,822 4,026,118 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.837%, 10/1/34 (5) 6,586,037 6,575,014 ------------ 176,573,012 ------------ MANUFACTURED HOUSING--0.4% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36 (5) 5,279,009 5,087,500 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.109%, 3/25/36 (5) 5,407,064 5,222,336 ------------ ------------ 10,309,836 ------------ MULTIFAMILY--2.8% Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates: Series 2003-E, Cl. 2A2, 4.254%, 6/25/33 (5) 2,733,720 2,732,403 Series 2005-F, Cl. 2A3, 4.714%, 7/25/35 (5) 3,950,725 3,815,710 ------------ ------------ Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series 2006-4, Cl. 2A1, 5.794%, 10/25/36 (5) 4,850,569 4,362,490 ------------ ------------ Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 1A3A, 5.89%, 7/25/36 (5) 5,122,913 4,995,293 ------------ ------------ Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl.2A4, 5.75%, 1/25/35 3,452,000 3,027,076 ------------ ------------
9 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED MULTIFAMILY CONTINUED Countrywide Alternative Loan Trust 2005-85CB, Mtg. Pass-Through Certificates, Series 2005-85CB, Cl.2A3, 5.50%, 2/25/36 $ 2,580,000 $ 2,301,820 ------------ ------------ Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates: Series 2003-46, Cl. 1A2, 4.13%, 1/19/34 (5) 2,636,187 2,656,664 Series 2005-HYB1, Cl. 5A1, 4.995%, 3/25/35 (5) 3,792,662 3,547,917 Series 2007-HY1, Cl. 1A1, 5.694%, 4/25/37 (5) 3,804,226 3,626,309 ------------ ------------ GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates: Series 2005-AR4, Cl. 2A1, 5.296%, 7/19/35 (5) 4,090,267 3,531,599 Series 2004-J4, Cl. A7, 5.50%, 9/25/34 2,390,000 2,176,474 ------------ ------------ GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 3A1, 5.149%, 11/25/35 (5) 6,292,271 5,983,117 ------------ ------------ Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through Certificates, Series 2007-2, Cl. 2A1, 6.001%, 6/25/37 (5) 4,944,461 4,785,200 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.994%, 12/25/34 (5) 1,282,314 1,255,345 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.542%, 9/25/34 (5) 1,088,483 1,023,868 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg. Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.545%, 3/25/35 (5) 783,869 754,267 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.523%, 4/25/35 (5) 10,144,954 9,646,181 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 4A1, 5.561%, 7/25/36 (5) 11,991,040 11,630,923 Series 2006-AR10, Cl. 2A1, 5.65%, 7/25/36 (5) 1,994,935 1,937,018 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A6, 5.109%, 3/25/36 (5) 1,049,472 969,848 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-AR5, Cl. 2A1, 5.537%, 4/1/36 (5) 2,521,417 2,454,302 ------------ ------------ Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36 (5) 1,182,482 1,139,575 ------------ 78,353,399 ------------ OTHER--0.2% Greenwich Capital Commercial Mortgage 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.44%, 3/1/39 5,315,000 5,120,317 ------------ ------------
10 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------ MORTGAGE-BACKED OBLIGATIONS CONTINUED RESIDENTIAL--5.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. A4, 5.745%, 7/1/17 (5) $ 4,940,000 $ 4,867,427 ------------ ------------ Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 1,440,000 1,326,559 ------------ ------------ CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 1A1, 6.10%, 9/25/47 (5) 10,528,509 9,752,032 ------------ ------------ CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment Conduit Pass-ThroughCertificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 3,563,039 3,440,202 ------------ ------------ CitiMortgage Alternative Loan Trust 2007-A2, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2007-A2, Cl. 1A5, 6%, 2/25/37 11,473,855 10,905,358 ------------ ------------ Countrywide Alternative Loan Trust 2004-24CB, Mtg. Pass-Through Certificates, Series 2004-24CB, Cl.1A1, 6%, 11/1/34 4,095,017 3,828,134 ------------ ------------ Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through Certificates, Series 2004-28CB, Cl.3A1, 6%, 1/1/35 3,311,863 3,029,775 ------------ ------------ Countrywide Alternative Loan Trust 2005-18CB, Mtg. Pass-Through Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 3,480,000 2,955,356 ------------ ------------ Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 3,715,549 3,394,906 ------------ ------------ Countrywide Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 2,776,445 2,450,598 ------------ ------------ Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 7,840,000 6,299,420 ------------ ------------ Countrywide Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates, Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,344,644 2,297,060 ------------ ------------ Countrywide Alternative Loan Trust, CMO, Series 2007-41CB, Cl. 1A10, 6%, 1/1/37 10,852,571 10,217,051 ------------ ------------ GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1, 5.831%, 3/1/37 (5) 5,797,019 5,324,938 ------------ ------------ LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. A3, 5.866%, 9/11/45 10,695,000 10,562,850 ------------ ------------ Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 890,648 870,708 ------------ ------------ Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.077%, 10/25/36 (5) 8,012,053 7,798,179 ------------ ------------ Merrill Lynch Mortgage Investors Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 1A1, 5.809%, 9/1/37 (5,10) 4,477,895 4,119,664 ------------ ------------ Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through Certificates, Series 2006-AR, Cl. 5A3, 5.425%, 6/25/36 (5) 1,590,000 1,507,972 ------------ ------------
11 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED RESIDENTIAL CONTINUED RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 $ 842,783 $ 822,173 ------------ ------------- RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 1,054,246 1,016,514 ------------ ------------- STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates, Series 2007-S1, Cl. 3A1, 5.01%, 8/1/22 (5) 11,833,360 11,461,083 ------------ ------------- WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 4.043%, 9/25/33 (5) 1,932,254 1,845,846 ------------ ------------- WaMu Mortgage Pass-Through Certificates 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 (5) 5,616,004 5,248,900 ------------ ------------- WaMu Mortgage Pass-Through Certificates 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 6.13%, 8/25/36 (5) 5,470,968 5,372,400 ------------ ------------- WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.698%, 6/25/37 (5) 3,692,577 3,454,666 ------------ ------------- Washington Mutual Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A8, 6%, 2/25/37 5,760,493 5,585,005 ------------ ------------- Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 2,091,643 2,034,845 ------------ ------------- Wells Fargo Mortgage-Backed Securities 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2005-AR12, Cl. 2A6, 4.328%, 7/1/35 (5) 3,192,243 3,032,766 ------------ ------------- Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.943%, 10/1/35 (5) 4,274,569 4,093,459 ------------ ------------- Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 5A3, 5.597%, 7/1/36 (5) 1,919,169 1,876,751 Series 2006-AR10, Cl. 5A6, 5.597%, 7/1/36 (5) 7,641,869 7,405,107 ------------ ------------- Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through Certificates, Series 2006-A R5, Cl. 2A2, 5.537%, 4/1/36 (5,10) 4,454,622 3,140,509 ------------- 151,338,213 ------------- Total Mortgage-Backed Obligations (Cost $1,035,162,659) 1,029,607,494 ------------- ASSET-BACKED SECURITIES--1.0% Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-ASP5, Cl. M1, 2.673%, 10/25/36 (5) 3,400,000 505,455 ------------ ------------- Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 2.873%, 5/25/34 (5) 2,123,397 1,892,643 ------------ -------------
12 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------ ------------- ASSET-BACKED SECURITIES CONTINUED Bear Stearns Asset Backed Securities I Trust 2006-HE7, Asset -Backed Certificates, Series 2006-HE7, Cl. 1M1, 2.793%, 9/25/36 (5) $ 4,062,000 $ 1,129,869 ------------ ------------- Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 2.534%, 4/15/11 (5) 6,670,766 6,643,364 ------------ ------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 374,742 ------------ ------------- CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates, Series 2002-4, Cl. A1, 3.133%, 2/25/33 (5) 44,821 39,442 ------------ ------------- CWABS Asset-Backed Certificates Trust 2005-11, Asset-Backed Certificates, Series 2005-11, Cl. AF2, 4.657%, 2/25/36 798,947 797,352 ------------ ------------- CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 (5) 920,000 823,646 ------------ ------------- CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates, Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 (5) 620,000 576,522 ------------ ------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations, Series 2005-2, Cl. A4, 4.15%, 10/15/10 1,024,117 1,026,408 ------------ ------------- HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 2.739%, 1/20/35 (5) 834,852 747,762 ------------ ------------- Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 (5) 541,171 543,928 ------------ ------------- Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 494,631 493,102 ------------ ------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 3.864%, 3/15/16 (5) 4,080,000 3,585,378 ------------ ------------- Morgan Stanley ABS Capital I, Inc. Trust 2006-NC4, Mtg. Pass-Through Certificates, Series 2006-NC4, Cl. M2, 2.693%, 6/25/36 (5) 2,500,000 664,722 ------------ ------------- Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 2.493%, 7/1/36 (5) 1,930,000 1,841,940 ------------ ------------- RASC Series 2006-EMX4 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-EMX4, Cl. M1, 2.673%, 6/25/36 (5) 4,000,000 1,966,338 ------------ ------------- RASC Series 2006-EMX7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-EMX7, Cl. M2, 2.703%, 8/25/36 (5) 3,500,000 708,207 ------------ ------------- RASC Series 2006-EMX9 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-EMX9, Cl. M1, 2.703%, 11/25/36 (5) 3,400,000 976,770 ------------ ------------- RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A1, 2.443%, 9/25/36 (5) 399,234 396,806 ------------ ------------- Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 2.433%, 9/25/36 (5) 1,067,380 1,049,733 ------------ ------------- Total Asset-Backed Securities (Cost $34,304,899) 26,784,129
13 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------- ------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--18.3% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 $ 2,665,000 $ 2,700,956 ------------- ------------- Allied Waste North America, Inc., 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,918,750 ------------- ------------- American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 790,000 633,445 ------------- ------------- Axa SA, 6.379% Sub. Perpetual Bonds (11,12) 12,900,000 10,784,697 ------------- ------------- Bank of America Corp.: 8% Unsec. Perpetual Nts., Series K (12) 8,130,000 8,065,749 ------------- ------------- 8.125% Perpetual Bonds, Series M (12) 1,235,000 1,236,037 ------------- ------------- Barclays Bank plc, 6.278% Perpetual Bonds (12) 14,930,000 12,423,253 ------------- ------------- Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 800,000 708,000 ------------- ------------- Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 (10) 7,130,000 7,192,388 ------------- ------------- Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 3,030,000 2,882,078 ------------- ------------- Capmark Financial Group, Inc.: 3.366% Sr. Unsec. Nts., 5/10/10 (5) 2,135,000 1,805,578 ------------- ------------- 5.875% Sr. Unsec. Nts., 5/10/12 6,110,000 4,923,829 ------------- ------------- CCH I Holdings LLC: 9.92% Sr. Unsec. Nts., 4/1/14 20,000,000 12,700,000 ------------- ------------- 13.50% Sr. Unsec. Unsub. Nts., 1/15/14 14,000,000 10,990,000 ------------- ------------- CCH I Holdings LLC/CCH I Holdings Capital Corp., 11% Sr. Sec. Nts., 10/1/15 64,075,000 54,784,125 ------------- ------------- CCH I LLC, 11% Sr. Sec. Nts., 10/1/15 29,072,000 24,783,880 ------------- ------------- CDX High Yield Index, 7.625% Pass-Through Certificates, Series 8-T1, 6/29/12 71,775,000 68,993,719 ------------- ------------- Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 (10) 3,100,000 3,022,500 ------------- ------------- Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,400,000 2,444,995 ------------- ------------- 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 4,450,000 ------------- ------------- 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 9,300,000 ------------- ------------- CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,035,000 1,774,304 ------------- ------------- Citigroup, Inc.: 8.30% Jr. Sub. Bonds, 12/21/57 (5) 11,330,000 11,362,789 ------------- ------------- 8.40% Perpetual Bonds, Series E (12) 4,550,000 4,516,057 ------------- ------------- Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,671,262 ------------- ------------- Comcast Corp., 6.40% Bonds, 5/15/38 600,000 570,687 ------------- ------------- CSC Holdings, Inc.: 7.25% Sr. Unsec. Nts., 7/15/08 2,590,000 2,596,475 ------------- ------------- 7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 2,835,000 ------------- ------------- D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 3,615,000 3,633,075 ------------- ------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 721,000 867,684 ------------- ------------- Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 (10) 1,240,000 1,246,200 ------------- ------------- EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 3,890,000 3,899,725 ------------- ------------- El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 578,000 578,000 ------------- ------------- Energy Transfer Partners LP, 5.65% Sr. Unsec. Unsub. Nts., 8/1/12 1,150,000 1,146,329 ------------- ------------- Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08 (11) 1,450,000 1,460,639 ------------- ------------- FairPoint Communications, Inc., 13.125% Sr. Nts., 4/1/18 10,000,000 10,300,000 ------------- -------------
14 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------- ------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 $ 10,340,000 $ 10,065,504 ------------- ------------- Gap, Inc. (The), 10.05% Unsub. Nts., 12/15/08 (5,10) 359,000 367,526 ------------- ------------- General Motors Acceptance Corp., 8% Bonds, 11/1/31 8,360,000 6,418,716 ------------- ------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 10,020,000 8,675,556 ------------- ------------- HBOS plc, 6.413% Sub. Perpetual Bonds, Series A (11,12) 17,900,000 13,844,254 ------------- ------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 (5) 15,290,000 12,934,468 ------------- ------------- Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts., 12/19/08 (11) 1,645,000 1,643,291 ------------- ------------- JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1 (12) 9,200,000 9,188,178 ------------- ------------- K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 1,256,000 ------------- ------------- Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,910,000 2,795,797 ------------- ------------- Lehman Brothers Holdings, Inc., 7.50% Sub. Nts., 5/11/38 11,990,000 11,027,251 ------------- ------------- Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,630,000 6,563,700 ------------- ------------- Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 10,000,000 9,400,000 ------------- ------------- Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 4,045,000 4,131,563 ------------- ------------- Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 2,950,000 3,009,227 ------------- ------------- MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 (9) 1,980,000 1,268,309 ------------- ------------- Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 10,845,000 10,262,960 ------------- ------------- MetLife Capital Trust X, 9.25% Sec. Bonds, 4/8/68 (5) 1,800,000 2,037,348 ------------- ------------- MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 (5) 10,060,000 8,867,991 ------------- ------------- MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 7,570,000 7,560,538 ------------- ------------- Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 3,155,000 3,317,432 ------------- ------------- NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 3,255,000 3,304,268 ------------- ------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 (11) 713,087 707,790 ------------- ------------- Popular North America, Inc.: 3.875% Sr. Bonds, Series E, 10/1/08 3,420,000 3,410,694 ------------- ------------- 4.70% Nts., 6/30/09 3,665,000 3,629,933 ------------- ------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 (11) 4,100,000 4,865,737 ------------- ------------- Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 (11) 3,380,000 3,646,848 ------------- ------------- Qwest Corp.: 5.625% Unsec. Nts., 11/15/08 (10) 363,000 364,361 ------------- ------------- 8.875% Unsec. Unsub. Nts., 3/15/12 10,130,000 10,661,825 ------------- ------------- Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 16,000,000 11,200,000 ------------- ------------- Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 442,000 451,945 ------------- ------------- SLM Corp.: 3.95% Nts., Series A, 8/15/08 2,665,000 2,631,799 ------------- ------------- 4% Nts., 1/15/09 3,015,000 2,969,082 ------------- ------------- Spansion LLC, 11.25% Sr. Nts., 1/15/16 (11) 3,000,000 1,875,000 ------------- ------------- Tenet Healthcare Corp., 9.875% Sr. Nts., 7/1/14 6,500,000 6,532,500 ------------- ------------- TEPPCO Partners LP, 6.125% Nts., 2/1/13 1,395,000 1,380,436 ------------- ------------- Tribune Co., 5.50% Nts., Series E, 10/6/08 (10) 2,625,000 2,533,125 ------------- ------------- Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 875,000 867,344 ------------- ------------- Valero Logistics Operations LP, 6.05% Nts., 3/15/13 2,692,000 2,622,694 ------------- ------------- Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 3,030,000 3,132,066 ------------- -------------
15 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Principal Amount Value ------------- ------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 $ 4,475,000 $ 4,340,750 ------------- Total Non-Convertible Corporate Bonds and Notes (Cost $545,515,466) 509,496,999 ------------- CONVERTIBLE CORPORATE BONDS AND NOTES--7.0% Advanced Micro Devices, Inc., 5.75% Cv. Sr. Unsec. Nts., 8/15/12 3,500,000 2,747,500 ------------- ------------- Anthracite Capital, Inc., 11.75% Cv. Sr. Unsec. Nts., 9/1/27 (11) 5,500,000 5,658,125 ------------- ------------- CSK Auto, Inc., 7.25% Cv. Sr. Unsec. Nts., 12/15/2 (5,11) 11,000,000 11,770,000 ------------- ------------- Human Genome Sciences, Inc., 2.25% Cv. Unsec. Sub. Nts., 8/15/12 18,500,000 13,713,125 ------------- ------------- KKR Financial Holdings LLC, 7% Cv. Sr. Unsec. Nts., 7/15/12 (11) 20,000,000 16,950,000 ------------- ------------- Liberty Media Corp., 3.125% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 14,500,000 15,660,000 ------------- ------------- Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) 110,000,000 74,937,500 ------------- ------------- Liberty Media Corp., 3.50% Exchangeable Sr. Unsec. Debs., 1/15/31 (exchangeable for Motorola, Inc., common stock or cash based on the value of that stock) 3,534,480 1,832,522 ------------- ------------- National Financial Partners Corp., 0.75% Cv. Sr. Unsec. Nts., 2/1/12 3,500,000 2,520,000 ------------- ------------- NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 22,500,000 19,546,876 ------------- ------------- Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 27,500,000 19,284,375 ------------- ------------- Rite Aid Corp., 8.50% Cv. Sr. Unsec. Unsub. Nts., 5/15/15 8,125,000 9,008,594 ------------- Total Convertible Corporate Bonds and Notes (Cost $227,243,482) 193,628,617 ------------- STRUCTURED SECURITIES--2.6% Allegro Investment Corp. SA, Cv. Equity Linked Nts., 9.85%, Exp. 9/12/08 (linked to Comcast Corp. common stock) (10) 617,700 13,288,704 ------------- ------------- Bear Stearns Global Asset Holdings Ltd., Cv. Equity Linked Nts., Series 6693, 4.35%, Exp. 6/30/08 (linked to Wal-Mart Stores, Inc.) (10) 325,000 17,943,250 ------------- ------------- Blue Wings Ltd. Catastrophe Linked Bonds, Series A, 5.86%, 1/10/12 (5,10) 3,000,000 3,030,450 ------------- ------------- Calabash Re II Ltd. Catastrophe Linked Nts., Series A1, 11.20%, 1/8/10 (5,10) 3,000,000 3,025,200 ------------- ------------- Fremantle Ltd. Catastrophe Linked Nts., Cl. B, 4.599%, 6/28/10 (5,11) 1,000,000 1,003,025 ------------- ------------- Goldman Sachs Group, Inc. (The): Cv. Linked Nts., 6%, 9/29/08 (linked to Microsoft Corp. common stock) (10) 527,100 15,119,336 ------------- ------------- Cv. Linked Nts., 7%, 6/1/09 (linked to Applied Materials, Inc. common stock) (10) 649,660 12,629,390 ------------- ------------- Lakeside Re Ltd. Catastrophe Linked Nts., 9.196%, 12/31/09 (5,11) 3,000,000 3,101,100 ------------- ------------- Successor Euro Wind Ltd. Catastrophe Linked Nts., Series AIII, 8.758%, 12/6/08 (5,10) 3,000,000 3,031,200 ------------- Total Structured Securities (Cost $68,242,971) 72,171,655 -------------
16 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited
Units Value ------------ ---------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% UBS AG Rts., Exp. 6/17/08 (1) (Cost $0) 711,375 $ 846,536
Shares ------------ INVESTMENT COMPANY--0.7% Oppenheimer Institutional Money Market Fund, Cl. E, 2.70% (2,13) (Cost $19,263,598) 19,263,598 19,263,598 Total Investments, at Value (Cost $2,926,027,110) 110.8% 3,079,081,964 Liabilities in Excess of Other Assets (10.8) (298,882,512) ------------ ---------------- Net Assets 100.0% $ 2,780,199,452 ============ ================
Footnotes to Statement of Investments ---------- 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended May 31, 2008, 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 adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES AUGUST 31, 2007 ADDITIONS REDUCTIONS MAY 31, 2008 --------------- ----------- ----------- ------------ B&G Foods, Inc. 1,000,000 25,000 - 1,025,000 Care Investment Trust, Inc. 1,175,000 - 1,175,000 - CSK Auto Corp. 4,715,000 - 1,807,500 2,907,500 E*TRADE Financial Corp., 6.125% Cum. Cv. 1,177,500 397,500 1,575,000 - Oppenheimer Institutional Money Market Fund, Cl. E - 907,910,408 888,646,810 19,263,598 Platinum Underwriters Holdings Ltd., 6% Cv., Series A 1,005,000 - 575,000 430,000
DIVIDEND REALIZED VALUE INCOME GAIN (LOSS) ------------ ----------- ------------- B&G Foods, Inc. $ 18,040,000 $ 1,298,693 $ - Care Investment Trust, Inc. - 291,185 (4,764,051) CSK Auto Corp. 33,523,475 - 8,597,343 Oppenheimer Institutional Money Market Fund, Cl. E 19,263,598 1,657,564 - E*TRADE Financial Corp., 6.125% Cum. Cv. - 602,926 (32,262,977) Platinum Underwriters Holdings Ltd., 6% Cv., Series A 13,566,500 873,325 781,657 ------------ ----------- ------------- $ 84,393,573 $ 4,723,693 $ (27,648,028) ============ =========== =============
3. A sufficient amount of liquid assets has been designated to cover outstanding written call options. 4. A sufficient amount of liquid assets has been designated to cover outstanding written put options. 5. Represents the current interest rate for a variable or increasing rate security. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $34,495,178 or 1.24% of the Fund's net assets as of May 31, 2008. 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 $844,780 or 0.03% of the Fund's net assets as of May 31, 2008. 8. When-issued security or delayed delivery to be delivered and settled after May 31, 2008. 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 $4,383,005. See accompanying Notes. 10. Illiquid security. The aggregate value of illiquid securities as of May 31, 2008 was $90,053,803, which represents 3.24% of the Fund's net assets. See accompanying Notes. 11. 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 $77,310,506 or 2.78% of the Fund's net assets as of May 31, 2008. 12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 13. Rate shown is the 7-day yield as of May 31, 2008. 17 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited FUTURES CONTRACTS AS OF MAY 31, 2008 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATES VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ------------ -------------- U.S. Long Bonds Buy 541 9/19/08 $ 61,403,500 $ (827,576) U.S. Treasury Nts., 2 yr. Sell 885 9/30/08 186,403,125 454,176 U.S. Treasury Nts., 5 yr. Sell 454 9/30/08 49,911,625 411,051 U.S. Treasury Nts., 10 yr. Sell 709 9/19/08 79,696,031 1,135,562 -------------- $ 1,173,213 ==============
WRITTEN OPTIONS AS OF MAY 31, 2008 ARE AS FOLLOWS:
NUMBER OF EXERCISE EXPIRATION PREMIUMS DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE ----------- ---- --------- -------- --------- ------------ ----------- Altria Group, Inc. Put 1,000 $70.00 6/23/08 $ 328,146 $ 6,000 AT&T, Inc. Put 5,250 40.00 7/21/08 2,382,252 750,750 Bank of America Corp. Call 5,875 37.50 6/23/08 558,002 70,500 BJ Services Co. Put 975 27.50 6/23/08 134,266 24,375 Citigroup, Inc. Call 7,500 25.00 6/23/08 138,867 75,000 Coca-Cola Co. (The) Put 500 57.50 6/23/08 62,250 57,500 Coca-Cola Co. (The) Put 500 57.50 7/21/08 90,199 66,500 Comcast Corp., Cl. A Special, Non-Vtg. Put 5,131 20.00 1/19/09 1,617,612 564,410 Comcast Corp., Cl. A Special, Non-Vtg. Put 3,901 22.50 1/19/09 1,906,008 819,210 Comcast Corp., Cl. A Special, Non-Vtg. Put 750 17.50 7/21/08 138,623 - Comcast Corp., Cl. A Special, Non-Vtg. Put 750 20.00 7/21/08 231,036 11,250 Corning, Inc. Call 4,450 25.00 8/18/08 1,338,393 1,424,000 Diamond Offshore Drilling, Inc. Call 150 135.00 6/23/08 124,049 99,000 Diamond Offshore Drilling, Inc. Call 180 140.00 6/23/08 102,059 73,080 Eastman Chemical Co. Call 425 75.00 9/22/08 219,307 225,250 General Electric Co. Call 875 34.00 6/23/08 13,500 3,500 Hercules Offshore, Inc. Put 2,500 25.00 6/23/08 175,924 - Intel Corp. Call 2,150 23.00 6/23/08 304,548 150,500 Joy Global, Inc. Call 300 75.00 6/23/08 194,099 291,000 Loews Corp./Carolina Group Put 750 70.00 9/22/08 327,801 277,500 Marathon Oil Corp. Put 500 50.00 7/21/08 137,249 105,000 Marathon Oil Corp. Put 2,500 55.00 7/21/08 1,617,475 1,175,000 Novartis AG, ADR Call 1,600 55.00 6/23/08 48,542 40,000 Novartis AG, ADR Put 1,527 55.00 7/21/08 734,676 473,370 Raytheon Co. Call 2,250 62.50 6/23/08 599,377 510,750 Raytheon Co. Call 2,000 65.00 6/23/08 327,148 160,000 SUPERVALU, Inc. Call 1,000 35.00 6/23/08 74,680 75,000 Texas Instruments, Inc. Call 1,750 30.00 6/23/08 294,296 451,500 Time Warner, Inc. Put 733 16.00 7/21/08 164,461 47,645 Transocean, Inc. Call 250 155.00 6/23/08 232,999 85,000 Transocean, Inc. Call 200 160.00 6/23/08 134,399 40,000 Transocean, Inc. Call 300 175.00 6/23/08 74,850 9,900 United Technologies Corp. Put 700 75.00 6/23/08 148,399 280,000 Wachovia Corp. Call 3,250 27.50 6/23/08 427,748 48,750 XL Capital Ltd., Cl. A Put 1,500 30.00 7/21/08 331,437 135,000 ------------ ----------- $ 15,734,677 $ 8,626,240 ============ ===========
18 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited CREDIT DEFAULT SWAP CONTRACTS AS OF MAY 31, 2008 ARE AS FOLLOWS:
BUY/SELL NOTIONAL CREDIT AMOUNT PAY/RECEIVE TERMINATION PREMIUM PAID/ COUNTERPARTY REFERENCE ENTITY PROTECTION (000S) FIXED RATE DATES (RECEIVED) VALUE ------------ ---------------- ---------- -------- ----------- ----------- ------------- ------------ Barclays Bank plc: American International Group, Inc. Sell $ 11,165 1.850% 9/20/08 $ - $ 32,937 Beazer Homes USA, Inc. Sell 825 2.100 6/20/08 - (1,381) Capmark Financial Group, Inc. Sell 1,570 1.000 6/20/12 - (338,627) Countrywide Home Loans, Inc. Sell 1,980 0.750 9/20/08 - (81,451) Dillard's, Inc. Sell 4,290 1.900 12/20/08 - (15,963) HCP, Inc. Sell 2,670 4.600 3/20/09 - 23,400 iStar Financial, Inc. Sell 6,305 4.400 12/20/12 - (63) Kohl's Corp. Buy 1,710 1.180 6/20/18 - 18,170 Kohl's Corp. Sell 1,710 1.080 6/20/13 - (8,998) Kohl's Corp. Sell 1,700 0.900 6/20/13 - (22,607) Kohl's Corp. Buy 1,700 1.040 6/20/18 - 35,851 Lehman Brothers Holdings, Inc. Sell 3,335 0.490 9/20/10 - (173,647) Merrill Lynch & Co., Inc. Sell 6,235 0.680 9/20/08 - 7,975 Morgan Stanley Sell 9,890 2.150 9/20/08 - 78,675 Six Flags, Inc. Sell 1,560 8.250 12/20/08 - 242 Toys "R" Us, Inc. Sell 1,695 1.450 9/20/08 - (33,458) -------- ---------- ------------- ------------ Credit Suisse International: ArvinMeritor, Inc. Sell 2,660 1.550 9/20/08 - (35,599) CenturyTel, Inc. Buy 1,565 1.300 3/20/13 - (34,169) CenturyTel, Inc. Buy 825 1.740 3/20/13 - (34,271) Intelsat Ltd. Sell 1,705 3.450 9/20/08 - 18,689 iStar Financial, Inc. Sell 960 12.000 3/20/09 - 58,401 iStar Financial, Inc. Sell 615 4.000 12/20/12 - (9,274) Morgan Stanley Sell 10,640 2.150 9/20/08 - 84,641 Rite Aid Corp. Sell 815 7.500 3/20/09 - 21,597 Rite Aid Corp. Sell 2,660 0.875 6/20/08 - (10,361) Saks, Inc. Sell 2,680 2.000 9/20/08 - 12,253 Sprint Nextel Corp. Sell 7,690 6.300 3/20/09 - 249,464 The Bear Stearns Cos., Inc. Sell 4,000 2.088 12/20/08 - 10,680 The Goodyear Tire & Rubber Co. Sell 2,520 1.550 9/20/08 - 6,552 TXU Corp. Sell 1,055 5.910 12/20/12 - 36,951 TXU Corp. Sell 1,000 6.050 12/20/12 - 40,196 TXU Corp. Sell 1,050 6.000 12/20/12 - 40,267 Vornado Realty LP Sell 1,760 3.600 3/20/09 - 57,018 Wachovia Corp. Sell 3,525 1.000 3/20/09 - 6,113 Washington Mutual, Inc. Sell 1,900 6.500 12/20/08 - 4,045 Washington Mutual, Inc. Sell 6,595 6.800 6/20/09 - (15,903) -------- ---------- ------------- ------------ Deutsche Bank AG: ABX.HE.AA.06-2 Index Sell 710 0.170 5/25/46 (85,193) (469,800) Allied Waste North America, Inc. Sell 920 2.000 9/20/09 - (2,080) Allied Waste North America, Inc. Sell 1,440 2.000 9/20/09 - (3,256) Ambac Assurance Corp. Sell 1,960 8.450 12/20/08 - 22,350 Ambac Financial Group, Inc. Sell 3,665 4.550 9/20/08 - (26,883) Ambac Financial Group, Inc. Sell 4,635 4.550 9/20/08 - (33,998) CDX.NA.IG.10 Index Buy 13,270 1.550 6/20/13 (294,445) (345,428) Cemex, Sociedad Anonima Bursatil De Capital Variable Sell 1,775 2.000 3/20/09 - 6,321 Centex Corp. Sell 310 1.550 9/20/09 - (7,650) CenturyTel, Inc. Buy 1,530 1.300 3/20/13 - (33,404) CenturyTel, Inc. Buy 2,350 1.980 3/20/13 - (122,879) Citigroup, Inc. Sell 3,450 5.000 12/20/08 - (53,692) Countrywide Home Loans, Inc. Sell 1,190 3.250 9/20/08 - (34,184) Dillard's, Inc. Sell 720 0.750 9/20/08 - (8,686)
19 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited Georgia-Pacific Corp. Sell 2,535 1.750 9/20/08 - (7,111) Intelsat Ltd. Sell 690 2.850 9/20/08 - 5,467 iStar Financial, Inc. Sell 2,370 12.000 3/20/09 - 144,177 iStar Financial, Inc. Sell 1,765 3.000 12/20/08 - (59,740) iStar Financial, Inc. Sell 1,025 4.320 12/20/12 - (3,100) iStar Financial, Inc. Sell 360 4.500 12/20/12 - 1,353 iStar Financial, Inc. Sell 3,030 2.925 12/20/08 - (104,214) Jones Apparel Group, Inc. Sell 1,750 2.720 6/20/13 - (34,783) Jones Apparel Group, Inc. Buy 1,750 2.635 6/20/18 - 53,188 Kohl's Corp. Sell 1,705 1.180 6/20/13 - (1,272) Kohl's Corp. Buy 1,705 1.300 6/20/18 - 2,747 Lehman Brothers Holdings, Inc. Sell 5,220 2.070 3/20/09 - 24,263 Lehman Brothers Holdings, Inc. Sell 2,985 1.410 9/20/08 - (42,050) Levi Strauss & Co. Sell 1,155 0.900 9/20/08 - 1,336 Levi Strauss & Co. Sell 1,545 1.000 9/20/08 - 2,571 Liz Claiborne, Inc. Sell 6,565 3.250 6/20/09 - 20,824 MBIA, Inc. Sell 3,420 4.900 12/20/12 - (643,593) MBIA, Inc. Sell 1,680 0.520 9/20/08 - (75,338) MBIA, Inc. Sell 1,665 0.600 9/20/08 - (74,001) MBIA Insurance Corp. Sell 6,225 8.850 12/20/08 - 33,136 Merrill Lynch & Co., Inc. Sell 3,615 1.850 6/20/08 - 15,588 Owens-Illinois, Inc. Sell 1,410 1.250 9/20/08 - 3,263 Prudential Financial, Inc. Sell 6,265 2.050 6/20/09 - 16,126 Tenet Healthcare Corp. Sell 2,695 1.600 3/20/09 - (22,150) The Bear Stearns Cos., Inc. Sell 6,195 2.350 9/20/08 - 14,595 Vornado Realty LP Sell 3,575 3.875 6/20/09 - 125,805 Wachovia Corp. Sell 7,845 1.000 3/20/09 - 13,605 Washington Mutual, Inc. Sell 3,670 4.500 12/20/08 - (32,365) Washington Mutual, Inc. Sell 745 4.500 12/20/08 - (6,570) --------- ---------- ------------- ------------ Goldman Sachs Capital Markets LP: ABX.HE.AA.06-2 Index Sell 570 0.170 5/25/46 - (377,617) ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (20,598) (165,621) Capmark Financial Group, Inc. Sell 1,710 0.950 6/20/12 - (371,477) Dole Food Co., Inc. Sell 2,540 3.880 9/20/08 - (8,011) First Data Corp. Sell 1,690 1.150 9/20/08 - (9,454) K. Hovnanian Enterprises, Inc. Sell 905 6.750 9/20/08 - 8,228 --------- ---------- ------------- ------------ Goldman Sachs International: Amkor Technology, Inc. Sell 240 2.650 9/20/08 - 1,334 Citigroup, Inc. Sell 1,835 1.250 9/20/08 - (74,316) D.R. Horton, Inc. Sell 1,190 4.210 12/20/08 - 10,302 First Data Corp. Sell 1,900 4.700 3/20/09 - 58,271 General Mills, Inc. Sell 4,090 0.380 12/20/12 - (331) iStar Financial, Inc. Sell 700 3.950 12/20/12 - (11,874) Merrill Lynch & Co., Inc. Sell 8,260 1.850 6/20/08 - 35,617 Morgan Stanley Sell 5,390 1.500 9/20/08 - 27,990 Pulte Homes, Inc. Sell 2,315 2.750 9/20/09 - (17,140) R.H. Donnelley Corp. Sell 3,925 9.000 3/20/09 - 161,035 Sara Lee Corp. Buy 2,055 0.419 9/20/12 - 2,840 Six Flags, Inc. Sell 1,500 10.850 12/20/08 - 28,628 Smurfit-Stone Container Enterprises, Inc. Sell 2,515 1.450 9/20/08 - 6,428 Sprint Nextel Corp. Sell 2,765 6.300 3/20/09 - 89,697 Univision Communications, Inc. Sell 170 5.000 6/20/09 (18,700) (2,322) Univision Communications, Inc. Sell 470 5.000 6/20/09 (28,200) (5,247) Univision Communications, Inc. Sell 415 5.000 6/20/09 (41,500) (6,474) --------- ---------- ------------- ------------
20 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited Lehman Brothers Special Financing, Inc.: ABX.HE.AA.06-2 Index Sell 4,510 0.170 5/25/46 (2,919,863) (2,975,875) ABX.HE.AA.06-2 Index Sell 350 0.170 5/25/46 (85,730) (230,944) Ambac Assurance Corp. Sell 1,645 8.500 12/20/08 - 19,699 Ambac Assurance Corp. Sell 1,945 4.650 9/20/08 - (13,290) Cemex, Sociedad Anonima Bursatil De Capital Variable Sell 3,660 1.950 3/20/09 - 8,056 Centex Corp. Sell 3,400 3.750 6/20/09 - 2,033 CenturyTel, Inc. Buy 1,840 1.430 3/20/13 - (50,887) Companhia Vale Do Rio Doce Sell 2,630 1.590 3/20/17 - 29,006 CVRD Inco Ltd. Buy 2,630 0.710 3/20/17 - (7,517) D.R. Horton, Inc. Sell 2,125 4.200 12/20/08 - 18,237 Dillard's, Inc. Sell 1,560 2.250 12/20/08 - 19,523 Dillard's, Inc. Sell 4,530 2.250 12/20/08 - 56,693 Dole Food Co., Inc. Sell 2,390 3.450 9/20/08 - (12,698) General Mills, Inc. Sell 4,955 0.400 12/20/12 - 3,914 Genworth Financial, Inc. Sell 5,390 3.250 3/20/09 - 36,857 Harrah's Operating Co., Inc. Sell 4,480 2.600 12/20/08 - (92,808) Harrah'S Operating Co., Inc. Sell 855 5.000 3/20/10 (42,750) (65,155) Levi Strauss & Co. Sell 2,200 1.750 9/20/08 - 12,030 Limited Brands, Inc. Sell 1,710 2.900 6/20/13 - 123 Limited Brands, Inc. Buy 1,710 2.930 6/20/18 - (85,098) Liz Claiborne, Inc. Buy 2,545 2.920 6/20/18 - 32,876 Liz Claiborne, Inc. Sell 2,545 3.150 6/20/13 - 7,034 Liz Claiborne, Inc. Sell 870 2.750 6/20/13 - (12,476) Liz Claiborne, Inc. Buy 870 2.600 6/20/18 - 29,925 Macy's, Inc. Buy 3,400 2.540 6/20/18 - (46,111) Macy's, Inc. Sell 1,700 2.570 6/20/13 - 43,534 Macy's, Inc. Buy 1,700 2.500 6/20/18 - (18,352) Macy's, Inc. Sell 3,400 2.610 6/20/13 - 92,942 Merrill Lynch & Co., Inc. Sell 1,910 3.000 9/20/08 - 23,663 Morgan Stanley Sell 6,310 0.640 9/20/08 - 5,225 Nortel Networks Corp. Sell 410 1.850 9/20/08 - 1,374 Prudential Financial, Inc. Sell 6,425 2.100 6/20/09 - 20,785 Residential Capital LLC Sell 4,410 5.000 6/20/08 (573,300) 23,139 R.H. Donnelley Corp. Sell 485 5.000 3/20/09 (48,500) (16,713) Rite Aid Corp. Sell 2,250 3.300 9/20/08 - (36,578) Saks, Inc. Sell 2,300 2.200 12/20/08 - 15,083 Sprint Nextel Corp. Sell 5,205 6.300 3/20/09 - 168,850 The Bear Stearns Cos., Inc. Sell 6,200 2.100 9/20/08 - 6,770 The Hartford Financial Services Group, Inc. Sell 1,780 2.350 3/20/09 - 26,700 The Hartford Financial Services Group, Inc. Sell 1,840 2.350 3/20/09 - 27,600 Toys "R" Us, Inc. Sell 765 8.610 3/20/09 - 34,505 Toys "R" Us, Inc. Sell 350 8.610 3/20/09 - 15,786 Toys "R" Us, Inc. Sell 2,200 3.300 9/20/08 - (23,032) Tribune Co. Sell 2,910 7.350 12/20/08 - (159,922) Univision Communications, Inc. Sell 370 5.000 3/20/09 (31,450) (10,424) Univision Communications, Inc. Sell 590 3.000 12/20/08 - (21,989) Univision Communications, Inc. Sell 5,120 3.000 12/20/08 - (190,820) Washington Mutual, Inc. Sell 1,730 4.400 12/20/08 - (16,531) Washington Mutual, Inc. Sell 1,910 6.800 6/20/09 - (4,606) --------- ---------- ------------- ------------
21 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited Morgan Stanley & Co. International plc: Beazer Homes USA, Inc. Sell 1,825 2.150 6/20/08 - (2,823) Capmark Financial Group, Inc. Sell 530 5.000 6/20/12 (143,100) (48,898) Countrywide Home Loans, Inc. Sell 4,905 0.420 6/20/09 - (281,699) Countrywide Home Loans, Inc. Sell 1,275 0.750 9/20/08 - (52,450) First Data Corp. Sell 995 1.350 9/20/08 - (4,561) Ford Motor Co. Sell 1,455 7.050 12/20/16 - (108,018) Ford Motor Co. Sell 3,060 7.150 12/20/16 - (200,075) General Motors Corp. Sell 1,525 5.800 12/20/16 - (265,077) General Motors Corp. Sell 1,480 5.750 12/20/16 - (260,274) Harrah's Operating Co., Inc. Sell 1,430 2.200 9/20/08 - (14,888) Inco Ltd. Buy 1,615 0.630 3/20/17 - 17,117 Inco Ltd. Buy 1,605 0.700 3/20/17 - (3,423) J.C. Penney Co., Inc. Sell 1,585 1.300 12/20/17 - (45,331) J.C. Penney Co., Inc. Sell 1,540 1.070 12/20/17 - (69,349) Jones Apparel Group, Inc. Sell 3,470 3.200 6/20/13 - 2,644 Jones Apparel Group, Inc. Buy 3,470 2.970 6/20/18 - 26,313 K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 - (4,518) K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 - (4,518) Kohl's Corp. Buy 2,375 0.870 12/20/17 - 22,430 Kohl's Corp. Buy 2,310 0.660 12/20/17 - 58,272 Liz Claiborne, Inc. Sell 3,400 3.100 6/20/13 - 2,356 Liz Claiborne, Inc. Buy 3,400 2.900 6/20/18 - 48,379 Merrill Lynch & Co., Inc. Sell 9,320 3.000 9/20/08 - 115,465 Merrill Lynch & Co., Inc. Sell 2,970 3.250 9/20/08 - 42,542 Residential Capital LLC Sell 3,845 6.120 9/20/08 - (185,675) Residential Capital LLC Sell 965 5.000 6/20/08 (130,275) 5,063 Residential Capital LLC Sell 1,345 5.000 6/20/08 (195,025) 7,057 Residential Capital LLC Sell 2,475 5.000 6/20/08 (358,875) 12,986 Sara Lee Corp. Buy 4,345 0.390 9/20/12 - 11,227 Sara Lee Corp. Buy 2,645 0.418 9/20/12 - 3,764 The Hartford Financial Services Group, Inc. Sell 1,770 2.400 3/20/09 - 27,431 Toys "R" Us, Inc. Sell 1,000 2.550 9/20/08 - (14,227) Tribune Co. Sell 1,595 1.000 6/20/08 - (25,726) Vale Overseas Ltd. Sell 1,615 1.100 3/20/17 - (25,998) Vale Overseas Ltd. Sell 1,605 1.170 3/20/17 - (18,092) -------- ---------- ------------- ------------ Morgan Stanley Capital Services Inc.: ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (19,973) (164,960) ABX.HE.AA.06-2 Index Sell 480 0.170 5/25/46 (47,998) (316,723) Lennar Corp. Sell 1,700 2.900 12/20/08 - (27,868) ------------- ------------ $ (5,085,475) $ (7,384,670) ============= ============
INTEREST RATE SWAP CONTRACTS AS OF MAY 31, 2008 ARE AS FOLLOWS:
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION COUNTERPARTY AMOUNT THE FUND THE FUND DATES VALUE ------------- ----------- -------------- ----------- ----------- --------- Credit Suisse Three-Month International $ 6,910,000 USD BBA LIBOR 5.428% 8/7/17 $ 486,360 ----------- -------------- ----------- ----------- --------- Three-Month Deutsche Bank AG 5,830,000 USD BBA LIBOR 5.445 8/8/17 417,848 --------- $ 904,208 =========
Abbreviation is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate 22 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited TOTAL RETURN SWAP CONTRACTS AS OF MAY 31, 2008 ARE AS FOLLOWS:
NOTIONAL TERMINATION SWAP COUNTERPARTY AMOUNT PAID BY THE FUND RECEIVED BY THE FUND DATES VALUE ----------------- ------------ ---------------- -------------------- ----------- ----------- If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 20 Barclays Bank plc $ 19,330,000 Index basis points 6/1/08 $ 307,931 ------------ ----------- If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. Citibank NA 19,200,000 CMBS AAA Index CMBS AAA Index 2/1/09 359,432 ------------ ----------- Goldman Sachs Group, Inc. (The): If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ 14,500,000 Index Index 3/1/09 305,877 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 200 8,520,000 Index basis points 3/1/09 320,177 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 50 22,360,000 Index basis points 12/1/08 56,018 ------------ ----------- If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 145 JP Morgan Chase 35,650,000 Index basis points 11/1/08 342,336 ------------ ----------- Lehman Brothers Holdings, Inc.: If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 30 3,600,000 Index basis points 8/1/08 56,872 If negative, the Total Return If positive, of the Lehman the Total Return Brothers U.S. of the Lehman CMBS AAA Index Brothers U.S. plus 25 basis 19,300,000 CMBS AAA Index points 2/1/09 347,272 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 40 22,700,000 Index basis points 6/1/08 356,847 If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 15 Index minus 15 49,500,000 basis points basis points 8/1/09 787,771 If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ 4,560,000 Index Index 3/1/09 73,102 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 250 6,390,000 Index basis points 3/1/09 114,865 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 200 8,520,000 Index basis points 3/1/09 149,840
23 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ 12,600,000 Index Index 5/1/09 201,994 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 20 25,200,000 Index basis points 5/1/09 400,066 ------------ ----------- Morgan Stanley: If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 40 16,100,000 Index basis points 6/1/08 255,948 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 90 19,330,000 Index basis points 6/1/08 328,236 If positive, If negative, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. 36,500,000 CMBS AAA Index CMBS AAA Index 3/1/09 785,864 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 250 15,820,000 Index basis points 3/1/09 905,316 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index plus 350 14,140,000 Index basis points 3/1/09 925,703 If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 50 43,860,000 Index basis points 12/1/08 - If negative, If positive, the Total Return the Total Return of the Lehman of the Lehman Brothers U.S. Brothers U.S. CMBS AAA 8.5+ CMBS AAA 8.5+ Index minus 65 11,200,000 Index basis points 12/1/08 - ----------- $ 7,381,467 ===========
Abbreviation is as follows: CMBS Commercial Mortgage Backed Securities 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 trading. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities traded on a registered U.S. securities exchange 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 whose principal exchange is NASDAQ(R) are valued based on the closing price reported 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, collateralized mortgage obligations and other asset-backed securities will be valued at the mean between the "bid" and "asked" prices. Securities for which market quotations are not readily available are valued at 24 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited their fair value. 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. Shares of a registered investment company that are not traded on an exchange are valued at the acquired investment company's net asset value per share. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. 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 note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of May 31, 2008, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $ 280,154,156
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. 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. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. 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 Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities 25 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited 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 appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies 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. INVESTMENTS 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") to seek current income while preserving liquidity. 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 adviser of IMMF. The Fund's investment in IMMF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENTS WITH OFF-BALANCE SHEET RISK. The Fund enters into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected in the Fund's Statement of Assets and Liabilities in the annual and semiannual reports. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. 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. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. 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. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual 26 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities 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 that there may be an illiquid market where the Fund is unable to close the contract. Written option activity for the period ended May 31, 2008 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 289,729 38,056,122 102,592 26,240,124 Options closed or expired (271,368) (35,660,254) (66,324) (16,989,957) Options exercised (24,690) (10,732,708) (17,117) (4,736,949) --------- ------------- --------- ------------- Options outstanding as of May 31, 2008 34,505 $ 5,206,861 29,467 $ 10,527,816 ========= ============= ========= =============
SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. 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. 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. Risks of entering into swap contracts include credit, market and liquidity risk. 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 payments that the Fund has not yet received. Market risk is the risk that the value of the contract will depreciate due to unfavorable changes in the reference asset. If there is an illiquid market for the agreement, the Fund may be unable to close the contract prior to contract termination. 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 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. In 27 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2008 / Unaudited the event that the credit default swap is exercised due to a credit event, the difference between the value of the underlying security and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. Risks of credit default swaps include, but are not limited to, the cost of paying for credit protection if there are no credit events, or the cost of selling protection (paying the notional amount) when a credit event occurs, pricing transparency when assessing the cost of a credit default swap, and the need to fund the delivery obligation (either cash or defaulted securities). INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic interest payments on the notional amount of the contract. One cash flow stream will typically be a floating rate payment based upon a specified index while the other is typically a fixed rate. Interest rate swap agreements include interest rate risk. There is a risk, based on future movements of interest rates where the payments made by the Fund under a swap agreement will be greater than the payments it received. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange a set of future cash flows on the notional amount of the contract. One cash flow is typically 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. ILLIQUID SECURITIES As of May 31, 2008, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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 an applicable footnote on the Statement of Investments. RECENT ACCOUNTING PRONOUNCEMENT In September 2006, Financial Accounting Standards Board ("FASB") issued Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE MEASUREMENTS. This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and expands disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. As of May 31, 2008, the Manager does not believe the adoption of SFAS No. 157 will materially impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. FEDERAL TAX. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of May 31, 2008 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $ 2,939,923,523 Federal tax cost of other investments (276,600,647) ---------------- Total federal tax cost $ 2,663,322,876 ================ Gross unrealized appreciation $ 374,793,424 Gross unrealized depreciation (221,366,852) ---------------- Net unrealized appreciation $ 153,426,572 ================
28 | Oppenheimer Capital Income Fund ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 05/31/2008, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Capital Income Fund By: /s/ John V. Murphy --------------------------- John V. Murphy Principal Executive Officer Date: 07/08/2008 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: 07/08/2008 By: /s/ Brian W. Wixted --------------------------- Brian W. Wixted Principal Financial Officer Date: 07/08/2008