-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, RIV0agXGbTduTJw0BN5iwolMEZxJeXdNVKtPzw9rYxcT/SbHhSQpEH8/4dlTDQ0r PEwigqApHwn1XH8fyeLNiw== 0000950123-09-027066.txt : 20090729 0000950123-09-027066.hdr.sgml : 20090729 20090729170749 ACCESSION NUMBER: 0000950123-09-027066 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20090531 FILED AS OF DATE: 20090729 DATE AS OF CHANGE: 20090729 EFFECTIVENESS DATE: 20090729 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER CAPITAL INCOME FUND CENTRAL INDEX KEY: 0000045156 IRS NUMBER: 840578481 STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-01512 FILM NUMBER: 09970936 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 303-768-3200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND DATE OF NAME CHANGE: 19980710 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: CENTENNIAL EQUITY INCOME FUND INC DATE OF NAME CHANGE: 19830428 0000045156 S000006964 OPPENHEIMER CAPITAL INCOME FUND C000018996 A C000018997 B C000018998 C C000018999 N N-Q 1 p14605nvq.txt N-Q 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: 05/31/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Shares Value ------------- -------------- COMMON STOCKS--33.3% CONSUMER DISCRETIONARY--1.8% MEDIA--1.8% Cablevision Systems Corp. New York Group, Cl. A 400,000 $ 7,612,000 Cinemark Holdings, Inc. 700,000 7,434,000 Comcast Corp., Cl. A Special, Non-Vtg. 841,200 10,935,600 -------------- 25,981,600 CONSUMER STAPLES--7.6% BEVERAGES--1.3% Molson Coors Brewing Co., Cl. B 441,000 19,399,590 FOOD & STAPLES RETAILING--1.7% Kroger Co. (The) 565,000 12,882,000 SUPERVALU, Inc. 135,000 2,241,000 Walgreen Co. 300,000 8,937,000 -------------- 24,060,000 FOOD PRODUCTS--1.0% B&G Foods, Inc. 957,500 13,701,825 TOBACCO--3.6% Lorillard, Inc. 262,522 17,938,128 Philip Morris International, Inc. 773,000 32,960,720 -------------- 50,898,848 ENERGY--5.5% OIL, GAS & CONSUMABLE FUELS--5.5% BP plc, ADR 475,000 23,512,500 Chevron Corp. 281,400 18,760,938 Enbridge Energy Management LLC(1) 1 2 Kinder Morgan Management LLC(1) 409,135 18,366,086 Marathon Oil Corp. 316,750 10,097,990 Williams Cos., Inc. (The) 429,500 7,207,010 -------------- 77,944,526 FINANCIALS--3.5% CAPITAL MARKETS--0.2% Bank of New York Mellon Corp. 100,000 2,778,000 COMMERCIAL BANKS--0.1% Wells Fargo & Co. 73,700 1,879,350 INSURANCE--3.2% ACE Ltd. 247,500 10,887,525 Assurant, Inc. 100,000 2,363,000 Everest Re Group Ltd. 473,750 32,797,713 -------------- 46,048,238 HEALTH CARE--4.0% PHARMACEUTICALS--4.0% Abbott Laboratories 180,000 8,110,800 Merck & Co., Inc. 753,000 20,767,740 Pfizer, Inc. 1,275,000 19,367,250 Schering-Plough Corp. 200,000 4,880,000 Wyeth 100,000 4,486,000 -------------- 57,611,790
1 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Shares Value ------------- -------------- COMMON STOCKS CONTINUED INDUSTRIALS--3.4% AEROSPACE & DEFENSE--1.9% Lockheed Martin Corp. 201,500 $ 16,851,445 Raytheon Co. 250,000 11,162,500 -------------- 28,013,945 INDUSTRIAL CONGLOMERATES--1.5% Tyco International Ltd. 767,500 21,190,675 INFORMATION TECHNOLOGY--0.4% SOFTWARE--0.4% Microsoft Corp. 255,000 5,326,950 MATERIALS--1.5% CHEMICALS--1.5% BASF SE, Sponsored ADR 71,250 3,013,875 Lubrizol Corp. (The) 414,450 18,513,482 -------------- 21,527,357 TELECOMMUNICATION SERVICES--4.4% DIVERSIFIED TELECOMMUNICATION SERVICES--4.0% AT&T, Inc.(2) 918,500 22,769,615 Consolidated Communications Holdings, Inc. 1,201,250 12,372,875 Embarq Corp. 95,000 3,991,900 Frontier Communications Corp. 1,325,000 9,646,000 Windstream Corp. 1,000,000 8,410,000 -------------- 57,190,390 WIRELESS TELECOMMUNICATION SERVICES--0.4% American Tower Corp.(1) 161,000 5,131,070 UTILITIES--1.2% ELECTRIC UTILITIES--0.9% Cleco Corp. 292,500 5,984,550 FirstEnergy Corp. 185,500 7,010,045 -------------- 12,994,595 MULTI-UTILITIES--0.3% CenterPoint Energy, Inc. 442,500 4,478,100 -------------- Total Common Stocks (Cost $455,461,062) 476,156,849 PREFERRED STOCKS--2.1% Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 700,000 1,575,000 H.J. Heinz Finance Co., 8% Cum., Series B(3) 40 3,610,000 Mylan, Inc., 6.50% Cv., Non-Vtg. 6,000 6,045,720 PNC Financial Services Group, Inc., 9.875%, Series F 75,000 1,867,500 Schering-Plough Corp., 6% Cv. 24,124 5,280,502 Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity Redeemable Shares, Non-Vtg.(1) 650,000 585,000 SLM Corp., 7.25% Cum. Cv., Series C, Non-Vtg. 19,100 7,262,775 United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred Securities, Non-Vtg. 225,000 3,220,313 -------------- Total Preferred Stocks (Cost $70,269,185) 29,446,810
2 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- MORTGAGE-BACKED OBLIGATIONS--29.1% GOVERNMENT AGENCY--24.1% FHLMC/FNMA/SPONSORED--23.2% Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 $ 5,493,225 $ 5,656,012 5%, 12/15/34 454,874 467,123 6%, 5/15/18 2,140,147 2,270,804 6.50%, 7/1/28-4/1/34 691,109 744,436 7%, 10/1/31 777,316 839,173 8%, 4/1/16 264,900 283,990 9%, 8/1/22-5/1/25 80,407 89,178 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.435%, 3/25/36(4) 842,217 1,096,269 Series 2034, Cl. Z, 6.50%, 2/15/28 428,236 461,118 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,400,095 1,494,878 Series 2053, Cl. Z, 6.50%, 4/15/28 427,139 457,628 Series 2279, Cl. PK, 6.50%, 1/15/31 823,265 886,521 Series 2326, Cl. ZP, 6.50%, 6/15/31 417,898 444,687 Series 2461, Cl. PZ, 6.50%, 6/15/32 2,340,027 2,524,549 Series 2500, Cl. FD, 0.844%, 3/15/32(4) 210,345 207,164 Series 2526, Cl. FE, 0.744%, 6/15/29(4) 281,518 275,093 Series 2538, Cl. F, 0.944%, 12/15/32(4) 3,562,038 3,546,569 Series 2551, Cl. FD, 0.744%, 1/15/33(4) 214,940 211,562 Series 3025, Cl. SJ, 23.487%, 8/15/35(4) 319,048 414,566 Series 3094, Cl. HS, 23.121%, 6/15/34(4) 553,627 684,403 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 12.784%, 6/1/26(5) 372,715 52,314 Series 183, Cl. IO, 10.81%, 4/1/27(5) 607,314 84,993 Series 184, Cl. IO, 17.153%, 12/1/26(5) 642,528 90,266 Series 192, Cl. IO, 8.562%, 2/1/28(5) 193,609 29,150 Series 200, Cl. IO, 7.687%, 1/1/29(5) 235,806 35,089 Series 202, Cl. IO, (3.665)%, 4/1/29(5) 5,327,896 836,266 Series 2130, Cl. SC, 50.562%, 3/15/29(5) 450,639 46,278 Series 224, Cl. IO, (1.157)%, 3/1/33(5) 1,345,466 196,312 Series 243, Cl. 6, 1.896%, 12/15/32(5) 826,597 88,334 Series 2527, Cl. SG, 41.386%, 2/15/32(5) 1,222,659 77,922 Series 2531, Cl. ST, 51.221%, 2/15/30(5) 1,492,019 99,408 Series 2796, Cl. SD, 65.088%, 7/15/26(5) 669,222 68,529 Series 2802, Cl. AS, 99.999%, 4/15/33(5) 1,131,129 117,225 Series 2920, Cl. S, 76.79%, 1/15/35(5) 3,743,794 338,044 Series 3000, Cl. SE, 99.999%, 7/15/25(5) 4,025,462 299,946 Series 3110, Cl. SL, 99.999%, 2/15/26(5) 714,121 48,944 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.681%, 6/1/26(6) 177,404 153,592 Series 192, Cl. PO, 8.951%, 2/1/28(6) 193,609 171,880
3 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Federal National Mortgage Assn.: 4.50%, 6/1/24-6/1/39(7) $ 34,205,000 $ 34,844,010 5%, 3/1/39 7,408,269 7,594,711 5%, 6/1/24-6/1/39(7) 50,952,000 52,479,376 5.50%, 1/1/38-4/1/39 7,409,859 7,669,591 5.50%, 6/1/24-6/1/39(7) 47,904,000 49,679,879 5.50%, 1/25/33(8) 1,270,250 1,320,333 6%, 6/1/24-6/1/39(7) 52,156,476 54,715,179 6.50%, 5/25/17-11/25/31 5,551,335 5,928,860 6.50%, 6/1/39(7) 23,419,000 24,952,219 7%, 11/1/17-7/25/35 1,474,231 1,562,504 7.50%, 1/1/33-3/25/33 8,348,071 9,223,664 8.50%, 7/1/32 32,750 36,073 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,171,168 1,266,162 Trust 1998-61, Cl. PL, 6%, 11/25/28 717,108 764,588 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,030,196 1,097,830 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,681,520 1,820,319 Trust 2003-130, Cl. CS, 13.483%, 12/25/33(4) 743,905 766,240 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,957,454 Trust 2003-28, Cl. KG, 5.50%, 4/25/23(8) 3,553,000 3,653,384 Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,701,520 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,898,000 1,935,979 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,504,312 7,772,789 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,471,780 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 1,160,536 1,181,547 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 5,220,520 5,487,463 Trust 2006-46, Cl. SW, 23.067%, 6/25/36(4) 675,111 857,757 Trust 2006-50, Cl. KS, 23.068%, 6/25/36(4) 2,100,004 2,549,366 Trust 2006-50, Cl. SK, 23.068%, 6/25/36(4) 178,490 216,777 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 1,568,828 1,609,574 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 79.232%, 3/17/31(5) 523,219 61,443 Trust 2001-65, Cl. S, 49.111%, 11/25/31(5) 1,832,396 208,958 Trust 2001-81, Cl. S, 36.386%, 1/25/32(5) 407,511 45,783 Trust 2002-47, Cl. NS, 35.177%, 4/25/32(5) 825,196 86,606 Trust 2002-51, Cl. S, 35.546%, 8/25/32(5) 757,643 79,021 Trust 2002-52, Cl. SD, 38.357%, 9/25/32(5) 859,498 90,950 Trust 2002-60, Cl. SM, 52.795%, 8/25/32(5) 1,636,861 144,098 Trust 2002-7, Cl. SK, 52.533%, 1/25/32(5) 507,178 43,437 Trust 2002-75, Cl. SA, 52.524%, 11/25/32(5) 2,233,766 232,855 Trust 2002-77, Cl. BS, 41.83%, 12/18/32(5) 967,331 100,977 Trust 2002-77, Cl. JS, 40.588%, 12/18/32(5) 1,640,260 169,735 Trust 2002-77, Cl. SA, 42.904%, 12/18/32(5) 1,556,361 152,340 Trust 2002-77, Cl. SH, 43.672%, 12/18/32(5) 533,120 63,513
4 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Trust 2002-89, Cl. S, 76.274%, 1/25/33(5) $ 2,165,275 $ 231,826 Trust 2002-9, Cl. MS, 35.835%, 3/25/32(5) 514,499 55,996 Trust 2002-90, Cl. SN, 55.278%, 8/25/32(5) 842,880 73,900 Trust 2002-90, Cl. SY, 56.06%, 9/25/32(5) 353,023 32,811 Trust 2003-117, Cl. KS, 58.235%, 8/25/33(5) 13,375,499 1,141,243 Trust 2003-33, Cl. SP, 24.33%, 5/25/33(5) 1,982,669 209,413 Trust 2003-46, Cl. IH, (6.099)%, 6/1/33(5) 4,297,092 450,288 Trust 2003-89, Cl. XS, 55.399%, 11/25/32(5) 2,556,237 183,892 Trust 2004-54, Cl. DS, 49.926%, 11/25/30(5) 834,163 77,379 Trust 2005-19, Cl. SA, 73.705%, 3/25/35(5) 9,820,176 917,733 Trust 2005-40, Cl. SA, 75.029%, 5/25/35(5) 2,245,244 209,460 Trust 2005-6, Cl. SE, 88.474%, 2/25/35(5) 2,865,693 262,669 Trust 2005-71, Cl. SA, 75.171%, 8/25/25(5) 2,570,269 262,426 Trust 2005-86, Cl. AI, (1.221)%, 10/1/35(5) 6,376,799 770,108 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(5) 6,442,077 523,469 Trust 2005-87, Cl. SG, 99.999%, 10/25/35(5) 5,735,677 542,574 Trust 2006-51, Cl. SA, 36.851%, 6/25/36(5) 26,305,181 2,368,034 Trust 222, Cl. 2, 14.806%, 6/1/23(5) 1,350,140 172,917 Trust 240, Cl. 2, 20.741%, 9/1/23(5) 2,125,235 323,344 Trust 252, Cl. 2, 15.333%, 11/1/23(5) 1,046,053 177,885 Trust 273, Cl. 2, 13.332%, 8/1/26(5) 282,258 39,251 Trust 303, Cl. IO, 13.025%, 11/1/29(5) 368,929 66,945 Trust 308, Cl. 2, 8.203%, 9/1/30(5) 921,927 152,614 Trust 321, Cl. 2, 0.318%, 4/1/32(5) 4,170,657 706,618 Trust 331, Cl. 9, 21.466%, 2/1/33(5) 1,159,029 145,078 Trust 334, Cl. 17, 22.308%, 2/1/33(5) 678,977 74,301 Trust 334, Cl. 3, (8.531)%, 7/1/33(5) 997,399 104,658 Trust 334, Cl. 4, (1.373)%, 7/1/33(5) 12,597,207 1,325,064 Trust 338, Cl. 2, (11.392)%, 7/1/33(5) 879,267 143,537 Trust 339, Cl. 12, 5.761%, 7/1/33(5) 2,827,270 293,773 Trust 339, Cl. 7, (2.177)%, 7/1/33(5) 4,157,800 435,497 Trust 339, Cl. 8, (2.081)%, 8/1/33(5) 562,129 57,426 Trust 343, Cl. 13, 8.171%, 9/1/33(5) 2,309,802 239,591 Trust 343, Cl. 18, 6.447%, 5/1/34(5) 798,916 81,404 Trust 345, Cl. 9, 2.522%, 1/1/34(5) 2,050,661 235,608 Trust 351, Cl. 10, 5.369%, 4/1/34(5) 974,983 99,586 Trust 351, Cl. 11, 3.358%, 11/1/34(5) 502,800 51,541 Trust 351, Cl. 8, 5.79%, 4/1/34(5) 1,531,892 148,665 Trust 355, Cl. 6, 9.165%, 12/1/33(5) 652,277 65,409 Trust 355, Cl. 7, 3.658%, 11/1/33(5) 491,836 48,583 Trust 356, Cl. 10, 2.281%, 6/1/35(5) 1,337,244 130,910 Trust 356, Cl. 12, 1.846%, 2/1/35(5) 688,423 65,876 Trust 356, Cl. 14, 4.188%, 6/1/35(5) 3,844,865 354,795 Trust 362, Cl. 12, 3.856%, 8/1/35(5) 3,737,999 455,516
5 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/SPONSORED CONTINUED Trust 362, Cl. 13, 7.088%, 8/1/35(5) $ 2,066,941 $ 213,358 Trust 364, Cl. 16, 4.471%, 9/1/35(5) 2,904,329 293,179 Trust 365, Cl. 16, 17.586%, 3/1/36(5) 8,039,059 806,110 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.922%, 9/25/23(6) 504,311 462,363 -------------- 330,771,482 GNMA/GUARANTEED--0.9% Government National Mortgage Assn.: 4.50%, 6/1/39(7) 10,820,000 10,918,051 8.50%, 8/1/17-12/15/17 125,489 135,913 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 76.137%, 1/16/27(5) 893,282 101,712 Series 2002-15, Cl. SM, 67.545%, 2/16/32(5) 861,078 99,837 Series 2002-41, Cl. GS, 77.046%, 6/16/32(5) 488,076 61,185 Series 2002-76, Cl. SY, 69.843%, 12/16/26(5) 2,196,034 262,748 Series 2004-11, Cl. SM, 50.304%, 1/17/30(5) 706,384 84,790 Series 2006-47, Cl. SA, 79.085%, 8/16/36(5) 14,039,719 1,410,856 -------------- 13,075,092 NON-AGENCY--5.0% COMMERCIAL--3.5% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 10,720,000 5,680,497 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.096%, 12/1/49(4) 4,850,000 2,424,463 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 2,848,420 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 1,009,167 755,340 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,168,754 837,451 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,167,554 1,164,061 Series 2005-C4, Cl. AM, 5.334%, 11/1/45(4) 2,310,000 1,476,966 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 2,415,000 2,596,002 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 2,775,000 1,750,369 Series 2007-LD11, Cl. A2, 5.804%, 6/15/49(4) 1,765,000 1,625,705 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 1,530,000 1,380,922
6 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED COMMERCIAL CONTINUED 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 $ 12,181,602 Series 2006-C1, Cl. AM, 5.217%, 2/11/31(4) 6,050,000 3,158,482 LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A4, 5.424%, 2/11/40 5,890,000 4,372,003 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,723,274 1,323,959 Merrill Lynch/Countrywide Commercial Mortgage Trust 2007-9, Commercial Mtg. Pass-Through Certificates, Series 2007-9, Cl. A4, 5.70%, 9/1/17 5,795,000 4,178,464 Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 2,145,000 2,016,250 -------------- 49,770,956 MANUFACTURED HOUSING--0.4% Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.072%, 3/25/36(4) 8,510,785 6,042,038 MULTIFAMILY--0.3% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 4.65%, 10/1/35(4) 6,030,000 3,430,001 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.092%, 3/25/36(4) 1,176,860 835,782 -------------- 4,265,783 OTHER--0.3% Greenwich Capital Commercial Mortgage 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.44%, 3/1/39 5,315,000 4,195,261 RESIDENTIAL--0.5% Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.096%, 12/1/49(4) 1,682,593 1,369,811 Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 7,840,000 3,056,019 CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 3,186,863 2,230,522 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 738,670 548,459 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 657,292 644,141 RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS5, Cl. 2A2, 6%, 5/1/36 148,528 142,049 -------------- 7,991,001 -------------- Total Mortgage-Backed Obligations (Cost $436,570,988) 416,111,613
7 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- ASSET-BACKED SECURITIES--3.8% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.789%, 5/25/34(4) $ 2,123,397 $ 1,255,280 Babcock & Brown Air Funding Ltd., Asset-Backed Certificates, Series 2007-1A, Cl. G1, 0.649%, 10/14/33(4, 9) 62,115,657 33,231,877 Capital One Prime Auto Receivables Trust, Automobile Asset-Backed Certificates, Series 2005-1, Cl. A4, 0.364%, 4/15/11(4) 2,533,402 2,507,377 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 5,455,000 5,663,727 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 344,121 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 1.049%, 2/25/33(4) 44,821 20,194 Series 2005-11, Cl. AF2, 4.657%, 2/25/36 514 509 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(4) 905,841 705,814 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(4) 534,886 356,005 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Nts., Series 2005-3, Cl. A1, 0.576%, 1/20/35(4) 725,057 498,985 Lehman XS Trust, Mtg. Pass-Through Certificates: Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35(4) 106,031 104,418 Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 250,346 234,987 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.694%, 3/15/16(4) 4,080,000 2,868,785 Series 2005-A6, Cl. A6, 4.50%, 1/15/13 5,475,000 5,636,383 Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.409%, 7/1/36(4) 1,400,709 916,000 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.349%, 9/25/36(4) 344,068 327,245 -------------- Total Asset-Backed Securities (Cost $57,598,320) 54,671,707 U.S. GOVERNMENT OBLIGATIONS--0.8% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 6,265,000 6,204,912 Federal National Mortgage Assn. Nts., 2.50%, 5/15/14 5,170,000 5,110,612 -------------- Total U.S. Government Obligations (Cost $11,414,638) 11,315,524 NON-CONVERTIBLE CORPORATE BONDS AND NOTES--12.0% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 1,205,000 1,375,317 American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 1,280,000 1,229,292 American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 3,275,000 769,625 Anheuser-Busch InBev Worldwide, Inc.: 8% Sr. Nts., 11/15/39(3) 545,000 570,350 8.20% Sr. Unsec. Unsub. Nts., 1/15/39(3) 830,000 887,699 AT&T Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 3,025,000 2,852,847 Axa SA, 6.379% Sub. Perpetual Bonds(3, 10) 1,845,000 1,147,313
8 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Barclays Bank plc, 6.278% Perpetual Bonds(9, 10) $ 1,070,000 $ 577,800 Bunge Ltd. Finance Corp., 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 2,110,000 1,963,718 CCH I Holdings LLC, 9.92% Sr. Unsec. Nts., 4/1/14(11) 15,000,000 206,250 Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09(9) 1,960,000 1,962,450 CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 1,045,000 1,081,924 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 4,858,868 Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 5,000,000 4,175,000 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 8,550,000 CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,565,000 2,283,748 Citigroup, Inc.: 5.50% Unsec. Sub. Nts., 2/15/17 1,720,000 1,417,495 5.625% Unsec. Sub. Nts., 8/27/12 1,155,000 1,081,160 8.30% Jr. Sub. Bonds, 12/21/57(4) 660,000 589,439 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 920,000 1,060,364 Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 1,635,000 1,842,022 ConAgra Foods, Inc., 7% Nts., 4/15/19 1,320,000 1,424,742 ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 560,000 580,665 Covidien International Finance SA, 6.55% Sr. Unsec. Unsub. Nts., 10/15/37 1,405,000 1,454,625 Credit Suisse New York, 6% Unsec. Sub. Nts., 2/15/18 1,720,000 1,603,262 CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 2,145,000 2,227,128 Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 1,425,000 1,429,014 Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 785,000 864,901 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(4) 510,000 540,333 Duke Energy Carolinas LLC, 6.10% Sr. Unsec. Unsub. Nts., 6/1/37 1,360,000 1,387,445 Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 1,065,000 1,004,567 Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 4,505,000 4,266,803 Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 1,575,000 1,381,623 General Electric Capital Corp.: 5.45% Sr. Unsec. Nts., Series A, 1/15/13 2,310,000 2,341,474 5.875% Unsec. Unsub. Nts., 1/14/38 540,000 438,519 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 2,593,000 2,092,372 Goldman Sachs Group, Inc. (The): 1.461% Sr. Unsec. Nts., Series B, 3/2/10(4) 2,500,000 2,482,875 5.45% Sr. Unsec. Nts., 11/1/12 860,000 882,127 6.75% Unsec. Sub. Nts., 10/1/37 5,000,000 4,203,465 Home Depot, Inc. (The), 5.40% Sr. Nts., 3/1/16 885,000 869,856 Hospira, Inc., 6.40% Sr. Unsec. Unsub. Nts., 5/15/15 270,000 274,887 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(4) 3,290,000 1,783,121 John Deere Capital Corp., 5.75% Sr. Nts., 9/10/18 1,335,000 1,346,809
9 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED JPMorgan Chase & Co.: 5.125% Unsec. Sub. Nts., 9/15/14 $ 1,260,000 $ 1,249,604 7.90% Perpetual Bonds, Series 1(10) 2,700,000 2,260,556 K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 736,000 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,910,000 2,719,436 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 1,260,000 1,424,913 Kraft Foods, Inc., 6.875% Sr. Unsec. Unsub. Nts., 2/1/38 1,095,000 1,111,417 Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 10,000,000 7,862,500 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38(12) 5,245,000 4,643,771 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(4) 1,290,000 918,292 Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 2,725,000 2,769,946 Morgan Stanley: 3.006% Sr. Unsec. Nts., Series F, 5/14/10(4) 5,000,000 4,962,990 5.25% Sr. Nts., Series F, 11/2/12 1,515,000 1,518,847 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 670,000 615,079 6.25% Sr. Unsec. Nts., 8/28/17 5,000,000 4,784,290 7.30% Sr. Unsec. Nts., 5/13/19 2,220,000 2,281,252 National City Bank, 4.15% Sr. Unsec. Unsub. Nts., 8/1/09 1,500,000 1,498,278 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,405,000 1,204,788 Noble Energy, Inc., 8.25% Sr. Unsec. Nts., 3/1/19 1,540,000 1,682,584 Nokia Corp., 5.375% Sr. Unsec. Nts., 5/15/19 1,420,000 1,414,510 Oncor Electric Delivery Co., 5.95% Sec. Bonds, 9/1/13(3) 915,000 934,120 Pacific Gas & Electric Co., 6.25% Sr. Unsec. Unsub. Nts., 3/1/39 940,000 972,176 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 800,000 590,837 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(3) 589,691 613,427 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 1,340,000 1,298,172 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 1,020,000 891,608 Popular North America, Inc., 4.70% Nts., 6/30/09 3,665,000 3,655,555 Pride International, Inc., 8.50% Sr. Nts., 6/15/19(7) 1,630,000 1,650,375 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(3) 1,485,000 1,354,166 Prudential Insurance Co. of America, 8.30% Nts., 7/1/25(3) 1,930,000 1,693,421 R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 1,565,000 1,480,811 Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 2,000,000 1,300,000 Schering-Plough Corp., 6% Sr. Unsec. Nts., 9/15/17 1,365,000 1,411,710 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 825,000 843,418 9.80% Sr. Unsec. Nts., 2/15/19 1,205,000 1,408,903 Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 442,000 289,510 Target Corp., 7% Bonds, 1/15/38 1,120,000 1,176,435 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 1,400,000 1,418,257 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 1,331,574 Time Warner Cable, Inc., 7.30% Sr. Nts., 7/1/38 545,000 554,837 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 2,050,000 2,228,266 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 805,000 838,601
10 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Travelers Cos., Inc. (The), 5.80% Sr. Unsec. Nts., 5/15/18 $ 970,000 $ 998,981 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 1,290,000 1,228,157 Union Pacific Corp.: 5.75% Sr. Unsec. Unsub. Nts., 11/15/17 805,000 779,886 6.125% Sr. Unsec. Nts., 2/15/20 1,490,000 1,485,032 United Health Group, Inc., 6% Sr. Unsec. Nts., 2/15/18 670,000 627,842 Vale Overseas Ltd., 6.25% Nts., 1/23/17 1,105,000 1,123,512 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 572,000 547,341 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 2,330,000 2,255,230 Viacom, Inc., 6.25% Sr. Unsec. Nts., 4/30/16 605,000 579,094 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 755,000 645,665 Washington Mutual Bank NV, Sr. Unsec. Nts., 5/1/09(11) 5,745,000 1,335,713 Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 2,370,000 1,740,921 Xstrata Canada Corp., 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,490,000 1,252,521 XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 535,000 563,116 Total Non-Convertible Corporate Bonds and Notes (Cost $196,461,465) 170,654,037 -------------- CONVERTIBLE CORPORATE BONDS AND NOTES--9.7% Advanced Micro Devices, Inc., 5.75% Cv. Sr. Unsec. Nts., 8/15/12 4,000,000 2,505,000 Carrizo Oil & Gas, Inc., 4.375% Cv. Sr. Unsec. Nts., 6/1/28 10,000,000 7,062,500 CSK Auto, Inc., 6.75% Cv. Sr. Unsec. Nts., 12/15/25(4,9) 11,000,000 12,854,160 Liberty Media Corp., 3.125% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 30,500,000 26,115,625 Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) 27,000,000 10,530,000 Lucent Technologies, Inc., 2.875% Cv. Sr. Unsec. Debs., Series B, 6/15/25 11,000,000 7,095,000 National City Corp., 4% Cv. Sr. Unsec. Nts., 2/1/11 26,300,000 25,149,375 National Financial Partners Corp., 0.75% Cv. Sr. Unsec. Nts., 2/1/12 5,000,000 2,100,000 NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 22,750,000 17,119,375 Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 22,000,000 17,627,500 Peabody Energy Corp., 4.75% Cv. Jr. Unsec. Sub. Debs., 12/15/66 9,595,000 7,376,150 United Rentals North America, Inc., 1.875% Cv. Sr. Unsec. Sub. Nts., 10/15/23 3,300,000 2,986,500 -------------- Total Convertible Corporate Bonds and Notes (Cost $152,380,243) 138,521,185 STRUCTURED SECURITIES--0.5% Goldman Sachs Group, Inc. (The), Cv. Linked Nts., 7%, 6/1/09 (linked to Applied Materials, Inc. common stock)(9) (Cost $12,478,020) 649,660 7,315,172 EVENT-LINKED BONDS--0.3% Calabash Re II Ltd. Catastrophe Linked Nts., Series A1, 9.72%, 1/8/10(4,9) 3,000,000 2,880,300
11 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
Principal Amount Value ------------- -------------- EVENT-LINKED BONDS CONTINUED Fremantle Ltd. Catastrophe Linked Nts., Cl. B, 3.227%, 6/28/10(3,4) $ 1,000,000 $ 999,100 -------------- Total Event-Linked Bonds (Cost $4,000,000) 3,879,400
Expiration Strike Date Price Contracts ---------- ------ --------- OPTIONS PURCHASED--0.1% BB&T Corp. Put(1) 9/21/09 $20.00 3,000 585,000 New York Community Bancorp(1) 10/19/09 12.50 5,000 1,150,000 --------- Total Options Purchased (Cost $2,656,200) 1,735,000
Shares ------------- INVESTMENT COMPANY--23.3% Oppenheimer Institutional Money Market Fund, Cl. E, 0.60% (13,14) (Cost $332,285,479) 332,285,479 332,285,479 Total Investments, at Value (Cost $1,731,575,600) 115.0% 1,642,092,776 Liabilities in Excess of Other Assets (15.0) (213,610,307) ------------- -------------- Net Assets 100.0% $1,428,482,469
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) A sufficient amount of liquid assets has been designated to cover outstanding written call options. See accompanying Notes. (3.) 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 $11,809,596 or 0.83% of the Fund's net assets as of May 31, 2009. (4.) Represents the current interest rate for a variable or increasing rate security. (5.) 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 $21,832,124 or 1.53% of the Fund's net assets as of May 31, 2009. 12 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited (6.) 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 $787,835 or 0.06% of the Fund's net assets as of May 31, 2009. (7.) When-issued security or delayed delivery to be delivered and settled after May 31, 2009. See accompanying Notes. (8.) 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 $3,258,590. See accompanying Notes. (9.) Illiquid security. The aggregate value of illiquid securities as of May 31, 2009 was $58,821,759, which represents 4.12% of the Fund's net assets. See accompanying Notes. (10.) 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. (11.) Issue is in default. See accompanying Notes. (12.) A sufficient amount of liquid assets has been designated to cover outstanding written put options. See accompanying Notes. (13.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended May 31, 2009, 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 AUGUST 31, GROSS GROSS SHARES 2008 ADDITIONS REDUCTIONS MAY 31, 2009 ---------- ----------- ----------- ------------ OFI Liquid Assets Fund, LLC 84,913,640 29,972,133 114,885,773 -- Oppenheimer Institutional Money Market Fund, Cl. E 17,293,828 799,240,122 484,248,471 332,285,479
VALUE INCOME ------------ -------- OFI Liquid Assets Fund, LLC $ -- $121,165(a) Oppenheimer Institutional Money Market Fund, Cl. E 332,285,479 568,692 ------------ -------- $332,285,479 $689,857 ============ ========
A. Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. (14.) Rate shown is the 7-day yield as of May 31, 2009. 13 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than quoted prices that are observable for the asset (such as quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The market value of the Fund's investment was determined based on the following inputs as of May 31, 2009:
INVESTMENTS IN OTHER FINANCIAL VALUATION DESCRIPTION SECURITIES INSTRUMENTS* - -------------------------------------------- -------------- --------------- Level 1--Quoted Prices $ 816,223,048 $ (341,080) Level 2--Other Significant Observable Inputs 792,637,851 (691,542) Level 3--Significant Unobservable Inputs 33,231,877 -- -------------- ----------- Total $1,642,092,776 $(1,032,622) ============== ===========
* Other financial instruments include options written, currency contracts, futures, forwards and swap contracts. Currency contracts and forwards are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. Options written and swaps are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FUTURES CONTRACTS AS OF MAY 31, 2009 ARE AS FOLLOWS:
UNREALIZED BUY/ NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION SELL CONTRACTS DATE VALUE (DEPRECIATION) - ----------------------------- ---- --------- ---------- ----------- -------------- U.S. Treasury Long Bonds Buy 247 9/21/09 $29,061,094 $(418,644) U.S. Treasury Long Bonds Sell 3 6/19/09 357,281 (5,387)
14 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited U.S. Treasury Nts., 2 yr. Buy 91 9/30/09 19,729,938 19,431 U.S. Treasury Nts., 5 yr. Sell 44 6/30/09 5,122,563 76,622 U.S. Treasury Nts., 5 yr. Sell 565 9/30/09 65,239,844 378,568 U.S. Treasury Nts., 10 yr. Buy 568 9/21/09 66,456,000 (175,575) --------- $(124,985) =========
WRITTEN OPTIONS AS OF MAY 31, 2009 ARE AS FOLLOWS:
NUMBER OF EXERCISE EXPIRATION PREMIUMS DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE - -------------------- ---- --------- -------- ---------- ---------- ----------- AT&T, Inc. Call 130 $30.00 7/20/09 $ 7,800 $ (390) Comcast Corp., Cl. A Put 909 20.00 7/20/09 501,311 (572,670) Merck & Co., Inc. Put 500 20.00 10/19/09 109,749 (20,000) Pfizer, Inc. Put 4,800 15.00 9/21/09 1,003,869 (552,000) ---------- ----------- $1,622,729 $(1,145,060) ========== ===========
CREDIT DEFAULT SWAP CONTRACTS AS OF MAY 31, 2009 ARE AS FOLLOWS:
BUY/SELL NOTIONAL RECEIVE SWAP CREDIT AMOUNT FIXED TERMINATION REFERENCE ENTITY COUNTERPARTY PROTECTION (000S) RATE DATE VALUE - -------------------- ---------------- ---------- -------- ------- ----------- ----------- Erste Group Bank AG: Goldman Sachs Bank USA Buy $10,000 3.60% 6/20/14 $ (658,130) Goldman Sachs Bank USA Buy 10,000 3.60 6/20/14 (666,125) ------- ----------- Total 20,000 (1,324,255) Inco Ltd.: Morgan Stanley & Co. International Ltd. Buy 1,605 0.70 3/20/17 29,806 Morgan Stanley & Co. International Ltd. Buy 1,615 0.63 3/20/17 37,762 ------- ----------- Total 3,220 67,568 Vale Overseas: Morgan Stanley & Co. International Ltd. Sell 1,605 1.17 3/20/17 (125,228)
15 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited Morgan Stanley & Co. International Ltd. Sell 1,615 1.10 3/20/17 (133,097) ------- ----------- Total 3,220 (258,325) ----------- Grand Total Buys (1,256,687) Grand Total Sells (258,325) ----------- Total Credit Default Swaps $(1,515,012) ===========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL TYPE OF REFERENCE ASSET ON PAYMENTS FOR SELLING WHICH THE FUND CREDIT PROTECTION AMOUNT REFERENCE ASSET SOLD PROTECTION (UNDISCOUNTED) RECOVERABLE* RATING RANGE** - ---------------------------- ----------------------- ------------ --------------- Investment Grade Single Name Corporate Debt $3,220,000 $-- BBB+
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. INTEREST RATE SWAP CONTRACTS AS OF MAY 31, 2009 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE - ----------------- -------- ------------- ----------- ----------- -------- USD BBA LIBOR Three-Month Deutsche Bank AG $5,830 USD BBA LIBOR 5.445% 8/8/17 $823,470
Abbreviation/Definition is as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate SWAP SUMMARY AS OF MAY 31, 2009 IS AS FOLLOWS: The following table aggregates, as of period, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables. 16 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited
NOTIONAL SWAP AMOUNT SWAP COUNTERPARTY TYPE FROM FUND PERSPECTIVE (000'S) VALUE - ---------------------------------------- ------------------------------ -------- ----------- Deutsche Bank AG Interest Rate $ 5,830 $ 823,470 Goldman Sachs Bank USA Credit Default Buy Protection 20,000 (1,324,255) Morgan Stanley & Co. International Ltd.: Credit Default Buy Protection 3,220 67,568 Credit Default Sell Protection 3,220 (258,325) ----------- (190,757) ----------- Total Swaps $ (691,542) ===========
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. Effective for fiscal periods beginning after November 15, 2007, FASB Statement of Financial Accounting Standards No. 157, FAIR VALUE MEASUREMENTS, establishes a hierarchy for measuring fair value of assets and liabilities. As required by the standard, each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Quoted prices in active markets for identical securities are classified as "Level 1," inputs other than quoted prices for an asset that are observable are classified as "Level 2" and unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. These securities are typically classified within Level 1 or 2; however, they may be designated as Level 3 if the dealer or portfolio pricing service values a security through an internal model with significant unobservable inputs. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported by NASDAQ prior to the time when the Fund's assets are valued. In the 17 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. 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 are valued at the mean between the "bid" and "asked" prices. "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. These securities are typically designated as Level 2. In the absence of a readily available quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Fair valued securities may be classified as "Level 3" if the Manager's own assumptions about the inputs that market participants would use in valuing such securities are significant to the fair value. There have been no significant changes to the fair valuation methodologies during the period. 18 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited STRUCTURED SECURITIES. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each 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. EVENT-LINKED BONDS. The Fund may invest in "event-linked" bonds. Event-linked bonds, which are sometimes referred to as "catastrophe" bonds, are fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market value of event-linked bonds on the Statement of Operations in the annual and semiannual reports as a change in unrealized appreciation or depreciation on investments. The Fund records a realized gain or loss on the Statement of Operations in the annual and semiannual reports upon the sale or maturity of such securities. 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. 19 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited As of May 31, 2009, 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 $264,382,349 Sold securities 35,743,206
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. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and 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. CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. As of May 31, 2009, securities with an aggregate market value of $1,541,963, representing 0.11% of the Fund's net assets, were in default. 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 20 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited 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 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. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") 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. When applicable, 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. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS 21 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES 22 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of May 31, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $2,558,470, which represents the gross unrealized appreciation on these derivative contracts. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $2,558,470 as of May 31, 2009. CREDIT RELATED CONTINGENT FEATURES The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its 23 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of May 31, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $2,660,071. If a contingent feature would have been triggered as of May 31, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. 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. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. 24 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated 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 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. Options contracts are exposed to the market risk factor of the specific underlying financial instrument. The Fund has written covered call options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A written covered call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. 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. 25 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited Additional associated risks to the Fund include counterparty credit risk for over-thecounter options and liquidity risk. Written option activity for the period ended May 31, 2009 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, 2008 28,025 $ 1,725,404 31,190 $ 14,962,368 Options written 152,185 13,293,734 35,333 16,187,345 Options closed or expired (168,530) (13,452,697) (29,534) (10,881,456) Options exercised (11,550) (1,558,641) (30,780) (18,653,328) -------- ------------ ------- ------------ Options outstanding as of May 31, 2009 130 $ 7,800 6,209 $ 1,614,929 ======== ============ ======= ============
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. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. 26 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited Additional associated risks to the Fund include counterparty credit risk and liquidity risk. Counterparty 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. 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 on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. 27 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 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. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. If interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Risks of interest rate swaps include credit, market and liquidity risk. Additional risks include but are not limited to, interest rate risk. There is a risk, based on future movements of interest rates that the payments made by the Fund under a swap agreement will be greater than the payments it received. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 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. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument, or instruments. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include 28 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS May 31, 2009 / Unaudited multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of May 31, 2009, the Fund had no such total return swap agreements outstanding. ILLIQUID SECURITIES As of May 31, 2009, 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. 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, 2009 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 $1,756,820,210 Federal tax cost of other investments 43,029,600 -------------- Total federal tax cost $1,799,849,810 ============== Gross unrealized appreciation $ 121,535,905 Gross unrealized depreciation (236,602,197) -------------- Net unrealized depreciation $ (115,066,292) ==============
29 | 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 05/31/2009, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in the registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Exhibits attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Capital Income Fund By: /s/ John V. Murphy --------------------------------------- John V. Murphy Principal Executive Officer Date: 07/13/2009 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy --------------------------------------- John V. Murphy Principal Executive Officer Date: 07/13/2009 By: /s/ Brian W. Wixted --------------------------------------- Brian W. Wixted Principal Financial Officer Date: 07/13/2009 EX-99.CERT 2 p14605exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, John V. Murphy, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ John V. Murphy - ---------------------------- John V. Murphy Principal Executive Officer Date: 07/13/2009 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ---------------------------- Brian W. Wixted Principal Financial Officer Date: 07/13/2009 -----END PRIVACY-ENHANCED MESSAGE-----