-----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, JlrSJGA2pGkoFf3UDTexQK85VehCECSz2WfWEEo9Qki4/n3suHqvTIYCvmHmFK2A 9fiBW+oJJqUKZqqV1UjvLQ== 0000950123-10-005583.txt : 20100127 0000950123-10-005583.hdr.sgml : 20100127 20100127122128 ACCESSION NUMBER: 0000950123-10-005583 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20091130 FILED AS OF DATE: 20100127 DATE AS OF CHANGE: 20100127 EFFECTIVENESS DATE: 20100127 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: 10549757 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 p16036nvq.txt FORM 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: 11/30/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
SHARES VALUE -------------- --------------- COMMON STOCKS--28.5% CONSUMER DISCRETIONARY--3.0% HOTELS, RESTAURANTS & LEISURE--0.8% Brinker International, Inc. 385,000 $ 5,313,000 Burger King Holdings, Inc. 460,000 7,820,000 --------------- 13,133,000 MEDIA--2.2% Cablevision Systems Corp. New York Group, Cl. A 295,000 7,380,900 Cinemark Holdings, Inc. 1,250,000 15,812,491 Comcast Corp., Cl. A Special, Non-Vtg. 632,100 8,729,301 Time Warner Cable, Inc. 150,000 6,283,500 --------------- 38,206,192 MULTILINE RETAIL--0.0% Dollar General Corp.(1) 33,550 771,650 CONSUMER STAPLES--3.8% BEVERAGES--0.8% Molson Coors Brewing Co., Cl. B, Non-Vtg. 293,000 13,246,530 FOOD & STAPLES RETAILING--1.5% Kroger Co. (The) 565,000 12,848,100 Walgreen Co. 350,000 13,611,500 --------------- 26,459,600 FOOD PRODUCTS--0.2% B&G Foods, Inc., Cl. A 502,500 4,301,400 TOBACCO--1.3% Philip Morris International, Inc. 473,000 22,746,570 ENERGY--2.7% OIL, GAS & CONSUMABLE FUELS--2.7% BP plc, ADR 375,000 21,442,500 Chevron Corp. 203,900 15,912,356 Enbridge Energy Management LLC(1) 1 5 Kinder Morgan Management LLC(1) 1 18 Marathon Oil Corp. 316,750 10,332,385 --------------- 47,687,264 FINANCIALS--4.5% CAPITAL MARKETS--0.8% Bond Street Holdings LLC, Cl. A(1,2) 375,000 7,500,000 Goldman Sachs Group, Inc. (The) 41,000 6,956,060 --------------- 14,456,060 DIVERSIFIED FINANCIAL SERVICES--0.8% JPMorgan Chase & Co.(3) 339,450 14,423,231 INSURANCE--2.5% Everest Re Group Ltd. 306,350 26,073,449 MetLife, Inc. 242,500 8,291,075 Transatlantic Holdings, Inc. 156,000 8,430,240 --------------- 42,794,764 REAL ESTATE INVESTMENT TRUSTS--0.4% Apollo Commercial Real Estate Finance, Inc.(1) 150,000 2,592,000
1 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
SHARES VALUE -------------- --------------- COMMON STOCKS CONTINUED REAL ESTATE INVESTMENT TRUSTS CONTINUED Starwood Property Trust, Inc. 249,900 $ 4,848,060 --------------- 7,440,060 HEALTH CARE--2.9% HEALTH CARE PROVIDERS & SERVICES--0.2% Aetna, Inc. 149,000 4,337,390 PHARMACEUTICALS--2.7% Biovail Corp. 363,000 5,238,090 Merck & Co., Inc. 621,604 22,508,281 Pfizer, Inc. 1,073,500 19,505,495 --------------- 47,251,866 INDUSTRIALS--3.1% AEROSPACE & DEFENSE--1.0% Lockheed Martin Corp. 234,500 18,110,435 ELECTRICAL EQUIPMENT--0.5% General Cable Corp.(1) 321,000 9,424,560 INDUSTRIAL CONGLOMERATES--1.1% Tyco International Ltd. 509,500 18,275,765 MACHINERY--0.5% Navistar International Corp.(1) 245,000 8,087,450 SystemOne Technologies, Inc.(1,2) 197,142 1,183 --------------- 8,088,633 INFORMATION TECHNOLOGY--3.5% COMMUNICATIONS EQUIPMENT--1.1% QUALCOMM, Inc. 315,000 14,175,000 Research in Motion Ltd.(1) 92,000 5,325,880 --------------- 19,500,880 COMPUTERS & PERIPHERALS--0.3% International Business Machines Corp. 42,000 5,306,700 IT SERVICES--0.8% Accenture plc, Cl. A 361,500 14,835,960 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.7% Intel Corp. 265,000 5,088,000 Teradyne, Inc.(1) 755,000 6,689,300 --------------- 11,777,300 SOFTWARE--0.6% Microsoft Corp. 155,000 4,558,550 Oracle Corp. 227,000 5,012,160 --------------- 9,570,710 MATERIALS--1.8% CHEMICALS--1.8% Celanese Corp., Series A 520,000 15,475,200 Lubrizol Corp. (The) 66,775 4,842,523 Potash Corp. of Saskatchewan, Inc. 95,000 10,679,900 --------------- 30,997,623
2 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
SHARES VALUE -------------- --------------- COMMON STOCKS CONTINUED TELECOMMUNICATION SERVICES--1.5% DIVERSIFIED TELECOMMUNICATION SERVICES--1.5% AT&T, Inc. 822,500 $ 22,158,150 Consolidated Communications Holdings, Inc. 346,250 5,263,000 --------------- 27,421,150 UTILITIES--1.7% ELECTRIC UTILITIES--1.0% Cleco Corp. 194,500 4,963,640 FirstEnergy Corp. 300,500 12,945,540 --------------- 17,909,180 MULTI-UTILITIES--0.7% CenterPoint Energy, Inc. 442,500 5,871,975 CMS Energy Corp. 380,000 5,411,200 --------------- 11,283,175 --------------- Total Common Stocks (Cost $441,689,943) 499,757,648 PREFERRED STOCKS--2.5% Affiliated Managers Group, Inc., 5.10% Cv.(4) 120,000 4,695,000 Bank of America Corp., 7.25% Non-Cum. Cv. 5,000 4,262,500 Dole Food Co., Inc., 7% Cv., Non-Vtg.(1,2) 360,000 4,125,600 Freeport-McMoRan Copper & Gold, Inc., 6.75% Cv., Non-Vtg. 50,000 5,912,500 H.J. Heinz Finance Co., 8% Cum., Series B(4) 40 4,160,000 Mylan, Inc., 6.50% Cv., Non-Vtg. 6,000 6,673,260 PNC Financial Services Group, Inc., 9.875%, Series F 75,000 2,118,750 SLM Corp., 7.25% Cum. Cv., Series C, Non-Vtg. 9,000 5,436,000 Wells Fargo & Co., 7.50% Cv., Series L 7,000 6,244,000 --------------- Total Preferred Stocks (Cost $34,622,612) 43,627,610
PRINCIPAL AMOUNT -------------- MORTGAGE-BACKED OBLIGATIONS--31.2% GOVERNMENT AGENCY--27.7% FHLMC/FNMA/FHLB/SPONSORED--26.0% Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 $ 1,783,105 1,885,634 Federal Home Loan Mortgage Corp.: 4.50%, 5/15/19 4,892,559 5,222,226 5%, 12/15/34 420,663 442,854 6%, 5/15/18 1,823,227 1,977,651 6.50%, 7/1/28-4/1/34 597,936 651,990 7%, 10/1/31 696,683 780,066 8%, 4/1/16 232,592 254,078 9%, 8/1/22-5/1/25 71,720 79,835 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.702%, 3/25/36(5) 789,064 1,093,570 Series 2034, Cl. Z, 6.50%, 2/15/28 388,922 425,019 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,318,581 1,413,569
3 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2053, Cl. Z, 6.50%, 4/15/28 $ 369,660 $ 401,930 Series 2279, Cl. PK, 6.50%, 1/15/31 702,623 769,612 Series 2326, Cl. ZP, 6.50%, 6/15/31 341,308 370,343 Series 2426, Cl. BG, 6%, 3/15/17 2,587,425 2,806,733 Series 2427, Cl. ZM, 6.50%, 3/15/32 1,429,459 1,551,300 Series 2461, Cl. PZ, 6.50%, 6/15/32 2,044,392 2,249,400 Series 2500, Cl. FD, 0.739%, 3/15/32(5) 191,249 190,004 Series 2526, Cl. FE, 0.639%, 6/15/29(5) 246,089 242,640 Series 2538, Cl. F, 0.839%, 12/15/32(5) 2,899,638 2,893,569 Series 2551, Cl. FD, 0.639%, 1/15/33(5) 182,226 181,147 Series 2626, Cl. TB, 5%, 6/1/33 2,764,000 2,997,943 Series 2638, Cl. KG, 4%, 11/1/27(6) 7,000,000 7,222,676 Series 2648, Cl. JE, 3%, 2/1/30 4,553,994 4,620,981 Series 2663, Cl. BA, 4%, 8/1/16 3,164,332 3,260,407 Series 2686, Cl. CD, 4.50%, 2/1/17 5,288,692 5,467,187 Series 2907, Cl. GC, 5%, 6/1/27 1,445,000 1,507,035 Series 2929, Cl. PC, 5%, 1/1/28 1,270,000 1,327,440 Series 3019, Cl. MD, 4.75%, 1/1/31 3,489,741 3,634,155 Series 3025, Cl. SJ, 23.875%, 8/15/35(5) 259,529 352,877 Series 3094, Cl. HS, 23.508%, 6/15/34(5) 514,713 666,456 Series 3157, Cl. MC, 5.50%, 2/1/26 4,533,587 4,643,721 Series 3279, Cl. PH, 6%, 2/1/27 5,525,000 5,718,863 Series 3306, Cl. PA, 5.50%, 10/1/27 2,973,672 3,078,999 Series R001, Cl. AE, 4.375%, 4/1/15 2,184,453 2,246,733 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 15.056%, 6/1/26(7) 343,468 80,696 Series 183, Cl. IO, 11.167%, 4/1/27(7) 538,120 125,220 Series 184, Cl. IO, 18.828%, 12/1/26(7) 582,859 136,982 Series 192, Cl. IO, 8.824%, 2/1/28(7) 170,927 29,154 Series 202, Cl. IO, 0%, 4/1/29(7,8) 1,523,905 247,715 Series 2130, Cl. SC, 52.754%, 3/15/29(7) 410,554 70,423 Series 224, Cl. IO, 0.962%, 3/1/33(7) 1,143,248 208,716 Series 243, Cl. 6, 0%, 12/15/32(7,8) 679,840 103,360 Series 2527, Cl. SG, 40.848%, 2/15/32(7) 901,229 41,986 Series 2531, Cl. ST, 53.766%, 2/15/30(7) 1,165,946 72,040 Series 2796, Cl. SD, 67.485%, 7/15/26(7) 599,168 93,798 Series 2802, Cl. AS, 99.999%, 4/15/33(7) 954,329 82,913 Series 2920, Cl. S, 78.941%, 1/15/35(7) 3,489,466 361,203 Series 3000, Cl. SE, 99.999%, 7/15/25(7) 3,473,013 368,458 Series 3045, Cl. DI, 41.306%, 10/15/35(7) 25,453,763 2,957,862 Series 3110, Cl. SL, 99.999%, 2/15/26(7) 646,063 63,790 Series 3399, Cl. SC, 25.231%, 12/15/37(7) 22,265,254 2,484,132 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.413%, 6/1/26(9) 163,484 142,547 Federal National Mortgage Assn.: 4.50%, 12/1/24-12/1/39(10) 17,800,000 18,397,515
4 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED 5%, 12/1/24-12/1/39(10) $ 66,307,000 $ 69,740,200 5.50%, 1/25/33-4/1/39 7,893,371 8,410,816 5.50%, 12/1/23-12/1/39(10) 67,654,000 71,982,466 6%, 12/18/24-12/1/39(10) 82,952,000 89,055,857 6.50%, 5/25/17-11/25/31 4,920,847 5,367,455 6.50%, 12/1/38(10) 23,397,000 25,276,083 7%, 11/1/17-7/25/35 1,281,562 1,380,371 7.50%, 1/1/33-3/25/33 7,648,996 8,711,015 8.50%, 7/1/32 32,225 36,143 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,024,819 1,136,448 Trust 1998-61, Cl. PL, 6%, 11/25/28 613,577 670,982 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 879,594 961,436 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,487,494 1,614,483 Trust 2003-130, Cl. CS, 13.628%, 12/25/33(5) 680,166 745,506 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 2,072,333 Trust 2003-28, Cl. KG, 5.50%, 4/25/23(11) 3,553,000 3,818,107 Trust 2004-101, Cl. BG, 5%, 1/25/20 3,658,000 3,926,271 Trust 2004-81, Cl. KC, 4.50%, 4/1/17(11) 2,090,548 2,162,491 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,898,000 2,034,735 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,504,312 8,134,869 Trust 2005-12, Cl. JC, 5%, 6/1/28 3,340,000 3,494,084 Trust 2005-14, Cl. PC, 5%, 3/1/29 2,154,776 2,259,567 Trust 2005-22, Cl. EC, 5%, 10/1/28 1,210,000 1,268,073 Trust 2005-30, Cl. CU, 5%, 4/1/29 1,257,047 1,318,480 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,527,775 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 698,153 707,408 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 4,776,483 5,081,269 Trust 2006-46, Cl. SW, 23.334%, 6/25/36(5) 633,871 841,495 Trust 2006-50, Cl. KS, 23.335%, 6/25/36(5) 1,806,131 2,331,163 Trust 2006-50, Cl. SK, 23.335%, 6/25/36(5) 166,228 212,859 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 1,171,570 1,208,077 Trust 2009-37, Cl. HA, 4%, 4/1/19 6,029,430 6,306,776 Trust 2009-70, Cl. PA, 5%, 8/1/35 6,293,774 6,712,159 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 72.077%, 3/17/31(7) 461,554 90,154 Trust 2001-65, Cl. S, 48.711%, 11/25/31(7) 1,561,545 214,825 Trust 2001-81, Cl. S, 36.611%, 1/25/32(7) 363,598 55,437 Trust 2002-47, Cl. NS, 34.753%, 4/25/32(7) 729,467 99,407 Trust 2002-51, Cl. S, 35.107%, 8/25/32(7) 669,750 91,859 Trust 2002-52, Cl. SD, 41.72%, 9/25/32(7) 787,332 102,081 Trust 2002-60, Cl. SM, 50.823%, 8/25/32(7) 1,374,375 114,589 Trust 2002-7, Cl. SK, 51.715%, 1/25/32(7) 431,567 59,044 Trust 2002-75, Cl. SA, 51.717%, 11/25/32(7) 1,904,547 227,147 Trust 2002-77, Cl. BS, 42.167%, 12/18/32(7) 824,763 97,009 Trust 2002-77, Cl. JS, 40.891%, 12/18/32(7) 1,395,728 175,737
5 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-77, Cl. SA, 41.967%, 12/18/32(7) $ 1,306,784 $ 153,981 Trust 2002-77, Cl. SH, 44.237%, 12/18/32(7) 477,829 80,788 Trust 2002-89, Cl. S, 78.097%, 1/25/33(7) 2,002,583 275,300 Trust 2002-9, Cl. MS, 35.464%, 3/25/32(7) 455,365 65,273 Trust 2002-90, Cl. SN, 52.976%, 8/25/32(7) 707,717 61,511 Trust 2002-90, Cl. SY, 53.907%, 9/25/32(7) 297,370 24,711 Trust 2003-117, Cl. KS, 60.905%, 8/25/33(7) 11,685,361 1,395,698 Trust 2003-33, Cl. SP, 55.691%, 5/25/33(7) 1,701,821 222,461 Trust 2003-46, Cl. IH, 0%, 6/1/33(7,8) 3,666,170 477,252 Trust 2003-89, Cl. XS, 63.305%, 11/25/32(7) 2,181,864 141,003 Trust 2004-54, Cl. DS, 52.815%, 11/25/30(7) 753,624 115,662 Trust 2005-19, Cl. SA, 74.967%, 3/25/35(7) 8,981,180 1,014,597 Trust 2005-40, Cl. SA, 75.198%, 5/25/35(7) 2,035,675 216,520 Trust 2005-6, Cl. SE, 87.762%, 2/25/35(7) 2,623,604 268,907 Trust 2005-71, Cl. SA, 75.059%, 8/25/25(7) 2,247,388 232,801 Trust 2005-87, Cl. SE, 99.999%, 10/25/35(7) 5,697,062 523,639 Trust 2005-87, Cl. SG, 68.083%, 10/25/35(7) 10,523,677 1,014,735 Trust 2006-51, Cl. SA, 42.256%, 6/25/36(7) 23,231,287 2,288,716 Trust 222, Cl. 2, 15.989%, 6/1/23(7) 1,181,426 203,463 Trust 240, Cl. 2, 23.522%, 9/1/23(7) 1,912,253 410,496 Trust 252, Cl. 2, 23.02%, 11/1/23(7) 946,057 169,597 Trust 273, Cl. 2, 16.047%, 8/1/26(7) 257,193 60,732 Trust 303, Cl. IO, 19.328%, 11/1/29(7) 341,521 61,576 Trust 308, Cl. 2, 14.587%, 9/1/30(7) 863,255 144,522 Trust 320, Cl. 2, 8.548%, 4/1/32(7) 3,722,904 709,560 Trust 321, Cl. 2, 0.068%, 4/1/32(7) 3,353,754 685,099 Trust 331, Cl. 9, 8.773%, 2/1/33(7) 1,031,813 162,547 Trust 334, Cl. 17, 15.927%, 2/1/33(7) 607,430 88,827 Trust 338, Cl. 2, 3.587%, 7/1/33(7) 760,323 137,036 Trust 339, Cl. 12, 0%, 7/1/33(7,8) 2,477,539 347,973 Trust 339, Cl. 7, 0%, 7/1/33(7,8) 3,562,335 472,855 Trust 343, Cl. 13, 8.397%, 9/1/33(7) 2,149,701 318,820 Trust 343, Cl. 18, 3.584%, 5/1/34(7) 721,017 95,404 Trust 345, Cl. 9, 0%, 1/1/34(7,8) 1,838,817 263,349 Trust 351, Cl. 10, 0%, 4/1/34(7,8,11) 867,362 113,285 Trust 351, Cl. 8, 0.28%, 4/1/34(7) 1,372,464 179,618 Trust 356, Cl. 10, 0%, 6/1/35(7,8) 1,186,192 158,625 Trust 356, Cl. 12, 0%, 2/1/35(7,8) 603,007 70,678 Trust 362, Cl. 12, 0%, 8/1/35(7,8) 3,303,541 482,058 Trust 362, Cl. 13, 0%, 8/1/35(7,8) 1,813,255 263,644 Trust 364, Cl. 16, 0%, 9/1/35(7,8) 2,534,329 369,056 Trust 365, Cl. 16, 10.001%, 3/1/36(7) 7,357,369 990,761 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.225%, 9/25/23(9) 447,295 396,657
6 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED --------------- $ 456,461,487 GNMA/GUARANTEED--1.7% Government National Mortgage Assn.: 4.50%, 12/1/39(10) $ 27,225,000 27,999,225 8.50%, 8/1/17-12/15/17 109,304 119,573 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 80.706%, 1/16/27(7) 813,075 125,548 Series 2002-15, Cl. SM, 70.204%, 2/16/32(7) 768,604 116,917 Series 2002-41, Cl. GS, 61.14%, 6/16/32(7) 440,292 91,616 Series 2002-76, Cl. SY, 77.737%, 12/16/26(7) 2,047,654 328,610 Series 2004-11, Cl. SM, 58.22%, 1/17/30(7) 663,170 115,314 Series 2006-47, Cl. SA, 78.027%, 8/16/36(7) 12,395,566 1,303,881 --------------- 30,200,684 NON-AGENCY--3.5% COMMERCIAL--1.8% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 10,720,000 9,146,857 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.095%, 12/1/49(5) 4,850,000 3,628,536 Citigroup, Inc., 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 3,158,349 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations: Series 2004-C3, Cl. A2, 4.433%, 7/10/39 853,463 858,527 Series 2005-C4, Cl. AM, 5.334%, 11/1/45(5) 2,310,000 1,944,324 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 2,415,000 2,574,755 JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 3,103,446 2,419,680 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 3,200,000 2,781,438 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 520,000 530,495 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 3,345,000 3,364,260 Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.902%, 2/1/51(5) 1,800,000 1,539,114 --------------- 31,946,335 MULTIFAMILY--0.3% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 4.507%, 10/1/35(5) 6,030,000 4,516,904
7 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED MULTIFAMILY CONTINUED Wells Fargo Mortgage Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 5A1, 5.592%, 7/1/36(5) $ 888,794 $ 669,139 --------------- 5,186,043 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 4,549,484 RESIDENTIAL--1.1% CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 2,839,599 2,445,411 Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 7,840,000 6,107,981 CWALT Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 2,874,059 2,345,794 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 2,840,031 2,472,832 Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3 A1, 3.81%, 5/1/34(5) 4,023,203 3,462,473 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 3.005%, 9/1/34(5) 2,413,389 2,242,200 --------------- 19,076,691 --------------- Total Mortgage-Backed Obligations (Cost $537,370,915) 547,420,724 ASSET-BACKED SECURITIES--5.8% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.716%, 5/25/34(5) 2,123,397 1,565,369 Babcock & Brown Air Funding Ltd., Asset-Backed Certificates, Series 2007-1A, Cl. G1, 0.539%, 10/14/33(2,5) 42,214,260 30,183,196 Bank of America Auto Trust, Automobile Asset-Backed Certificates, Series 2009-2A, Cl. A4, 3.03%, 10/15/16(4) 7,375,000 7,583,970 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 5,650,000 5,841,165 Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.239%, 9/15/41(2,5) 13,815,554 8,703,799 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 5,455,000 5,637,310 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 420,890 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 3,325,000 3,384,867 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.976%, 2/25/33(5) 44,821 30,958 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(5) 843,756 692,989 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(5) 483,638 399,862
8 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- ASSET-BACKED SECURITIES CONTINUED CWHEQ Home Equity Loan Trust, Home Equity Loan Asset-Backed Certificates: Series 2006-S2, Cl. A2, 5.627%, 7/1/27 $ 8,931,329 $ 6,716,092 Series 2006-S5, Cl. A2, 5.681%, 6/1/35 17,053,935 9,476,079 Ford Credit Auto Owner Trust, Automobile Receivables Nts.: Series 2009-B, Cl. A2, 2.10%, 11/15/11 1,665,000 1,677,410 Series 2009-E, Cl. A2, 0.8%, 3/15/12 3,535,000 3,535,280 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 4,210,000 4,243,296 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11(2) 1,850,000 1,860,987 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.505%, 1/20/35(5) 689,712 597,111 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.589%, 3/15/16(5) 4,080,000 3,575,500 Series 2005-A6, Cl. A6, 4.50%, 1/15/13 5,475,000 5,601,609 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.336%, 7/1/36(5) 1,229,064 923,649 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.276%, 9/25/36(5) 153,140 151,646 --------------- Total Asset-Backed Securities (Cost $96,303,939) 102,803,034 U.S. GOVERNMENT OBLIGATIONS--0.7% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 6,265,000 6,382,826 Federal National Mortgage Assn. Nts., 3%, 9/16/14 4,945,000 5,141,188 --------------- Total U.S. Government Obligations (Cost $11,228,651) 11,524,014 NON-CONVERTIBLE CORPORATE BONDS AND NOTES--15.1% CONSUMER DISCRETIONARY--1.5% AUTOMOBILES--0.3% Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 1,425,000 1,575,121 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 3,270,000 3,361,184 --------------- 4,936,305 HOTELS, RESTAURANTS & LEISURE--0.1% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(4) 1,730,000 1,795,539 HOUSEHOLD DURABLES--0.1% Fortune Brands, Inc., 3% Sr. Unsec. Unsub. Bonds, 6/1/12 1,767,000 1,771,366 LEISURE EQUIPMENT & PRODUCTS--0.1% Mattel, Inc., 6.125% Sr. Unsec. Nts., 6/15/11 1,610,000 1,702,441 MEDIA--0.7% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 1,580,000 1,839,965 CCH I Holdings LLC, 9.92% Sr. Unsec. Nts., 4/1/14(12) 15,000,000 300,000 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 920,000 1,203,627 DirecTV Holdings LLC/DirecTV Financing Co., Inc.: 5.875% Sr. Unsec. Unsub. Nts., 10/1/19(4) 1,390,000 1,442,190 7.625% Sr. Unsec. Unsub. Nts., 5/15/16(2) 1,275,000 1,375,568
9 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED MEDIA CONTINUED DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 $ 1,490,000 $ 1,508,625 Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40(2) 1,413,000 1,397,485 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 1,180,000 1,386,671 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 805,000 969,502 Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 951,000 997,773 --------------- 12,421,406 SPECIALTY RETAIL--0.2% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 1,520,000 1,501,702 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 2,120,000 2,287,953 --------------- 3,789,655 CONSUMER STAPLES--1.9% BEVERAGES--0.2% Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(4) 2,628,000 3,159,240 FOOD & STAPLES RETAILING--0.2% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 785,000 1,025,784 Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 1,610,000 1,638,175 --------------- 2,663,959 FOOD PRODUCTS--1.3% B&G Foods, Inc., 12% Sr. Unsec. Sub. Bonds, 10/30/16 2,189,377 2,263,359 Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 1,593,000 1,649,588 8.50% Sr. Unsec. Nts., 6/15/19 975,000 1,139,073 Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 5,000,000 4,925,000 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 10,200,000 Heinz (H.J.) Finance Co., 7.125% Sr. Unsec. Nts., 8/1/39(4) 1,265,000 1,469,790 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 1,330,000 1,432,975 --------------- 23,079,785 TOBACCO--0.2% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 2,910,000 3,608,499 ENERGY--2.0% ENERGY EQUIPMENT & SERVICES--0.2% Pride International, Inc., 8.50% Sr. Nts., 6/15/19 1,960,000 2,180,500 Weatherford International, Inc., 6.625% Sr. Unsec. Unsub. Nts., Series B, 11/15/11 296,000 320,077 --------------- 2,500,577 OIL, GAS & CONSUMABLE FUELS--1.8% Anadarko Petroleum Corp., 6.45% Sr. Unsec. Nts., 9/15/36 1,420,000 1,497,616 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 6,936,000 6,693,240 Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 1,320,000 1,379,387 El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 1,775,000 1,846,000 Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 662,000 746,014 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 1,595,000 1,693,689
10 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED OIL, GAS & CONSUMABLE FUELS CONTINUED Hess Corp., 6.65% Sr. Unsec. Unsub. Nts., 8/15/11 $ 815,000 $ 883,412 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,960,000 3,123,756 Kerr-McGee Corp., 6.875% Sr. Unsec. Unsub. Nts., 9/15/11 1,058,000 1,146,198 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 1,445,000 1,785,683 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,665,000 1,669,858 Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 1,635,000 1,659,525 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 800,000 793,030 Pipeline Funding Co. LLC, 7.50% Sr. Sec. Nts., 1/15/30(4) 1,181,000 1,166,728 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 1,925,000 2,112,185 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(4) 845,000 891,767 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 130,000 137,236 Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 1,150,000 1,350,895 Woodside Finance Ltd., 4.50% Nts., 11/10/14(4) 1,465,000 1,501,706 --------------- 32,077,925 FINANCIALS--5.1% CAPITAL MARKETS--1.4% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(4) 1,490,000 1,526,213 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 2,720,000 2,544,748 Goldman Sachs Group, Inc. (The), 6.75% Unsec. Sub. Nts., 10/1/37 5,000,000 5,169,115 Morgan Stanley: 2.373% Sr. Unsec. Nts., Series F, 5/14/10(5) 5,000,000 5,035,820 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 670,000 682,802 6.25% Sr. Unsec. Nts., 8/28/17 5,000,000 5,363,940 7.30% Sr. Unsec. Nts., 5/13/19 4,355,000 4,921,006 --------------- 25,243,644 COMMERCIAL BANKS--0.7% Barclays Bank plc, 6.278% Perpetual Bonds(2,13) 3,810,000 2,876,550 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(5) 2,670,000 2,122,650 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 1,885,000 1,985,646 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 755,000 793,056 Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(13) 5,260,000 4,904,950 --------------- 12,682,852 CONSUMER FINANCE--0.3% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 1,280,000 1,374,328 Capital One Capital IV, 8.875% Jr. Sub. Nts., 5/15/40 2,935,000 2,926,166 --------------- 4,300,494 DIVERSIFIED FINANCIAL SERVICES--1.4% Citigroup, Inc.: 6.125% Sub. Nts., 8/25/36 1,510,000 1,287,702 8.125% Sr. Unsec. Nts., 7/15/39 4,410,000 4,868,459 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(13) 11,585,000 11,364,352
11 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 $ 6,395,000 $ 7,090,367 --------------- 24,610,880 INSURANCE--1.1% Axa SA, 6.379% Sub. Perpetual Bonds(4,13) 2,340,000 1,912,950 Hartford Financial Services Group, Inc. (The): 5.375% Sr. Unsec. Nts., 3/15/17 1,480,000 1,459,589 6% Sr. Unsec. Nts., 1/15/19 1,985,000 1,978,644 Lincoln National Corp.: 7% Jr. Sub. Bonds, 5/17/66(5) 2,200,000 1,716,000 8.75% Sr. Unsec. Nts., 7/1/19 1,000,000 1,169,323 Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 1,668,000 1,702,149 MetLife, Inc.: 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(5) 320,000 271,200 10.75% Jr. Sub. Nts., 8/1/39 5,000,000 6,016,785 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(4) 1,660,000 1,680,614 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(4) 1,485,000 1,663,133 --------------- 19,570,387 REAL ESTATE INVESTMENT TRUSTS--0.2% Simon Property Group LP, 5.375% Sr. Unsec. Unsub. Nts., 6/1/11 1,664,000 1,741,371 WEA Finance LLC/WT Finance Aust Pty Ltd., 5.75% Nts., 9/2/15(4) 1,780,000 1,857,010 --------------- 3,598,381 HEALTH CARE--0.3% HEALTH CARE PROVIDERS & SERVICES--0.1% WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 1,360,000 1,412,151 LIFE SCIENCES TOOLS & SERVICES--0.1% Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 2,605,000 2,703,068 PHARMACEUTICALS--0.1% Watson Pharmaceuticals, Inc., 6.125% Sr. Unsec. Nts., 8/15/19 1,695,000 1,804,490 INDUSTRIALS--1.2% AEROSPACE & DEFENSE--0.4% BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(4) 1,650,000 1,837,650 L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 1,785,000 1,758,225 Meccanica Holdings USA, Inc.: 6.25% Sr. Unsec. Unsub. Nts., 7/15/19(4) 810,000 888,642 6.25% Sr. Nts., 1/15/40(4) 830,000 841,592 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(4) 1,345,000 1,556,554 --------------- 6,882,663 COMMERCIAL SERVICES & SUPPLIES--0.1% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 1,195,000 1,375,320 Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 1,240,000 1,321,506 --------------- 2,696,826 ELECTRICAL EQUIPMENT--0.1% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 1,753,000 1,877,616
12 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED INDUSTRIAL CONGLOMERATES--0.3% General Electric Capital Corp., 5.875% Unsec. Unsub. Nts., 1/14/38 $ 1,095,000 $ 1,021,043 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 3,005,000 3,495,650 --------------- 4,516,693 MACHINERY--0.1% SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 1,360,000 1,394,000 ROAD & RAIL--0.2% CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 2,540,000 3,021,028 INFORMATION TECHNOLOGY--0.4% COMMUNICATIONS EQUIPMENT--0.1% Cisco Systems, Inc., 5.50% Sr. Unsec. Unsub. Nts., 1/15/40 1,762,000 1,760,800 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 2,744,000 2,900,496 SOFTWARE--0.1% CA, Inc., 5.375% Sr. Unsec. Unsub. Nts., 12/1/19 2,055,000 2,112,458 MATERIALS--0.8% CHEMICALS--0.2% Airgas, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/14 885,000 918,680 Terra Capital, Inc., 7.75% Sr. Nts., 11/1/19(4) 645,000 686,925 Yara International ASA, 7.875% Nts., 6/11/19(4) 1,495,000 1,761,889 --------------- 3,367,494 CONTAINERS & PACKAGING--0.1% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 1,790,000 1,843,700 METALS & MINING--0.5% Freeport-McMoRan Copper & Gold, Inc., 8.25% Sr. Unsec. Nts., 4/1/15 2,615,000 2,807,613 Teck Resources Ltd., 9.75% Sr. Sec. Nts., 5/15/14 1,390,000 1,568,963 Vale Overseas Ltd., 6.875% Sr. Unsec. Nts., 11/10/39 1,755,000 1,824,451 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,190,000 1,237,487 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,071,000 1,147,489 Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/37(4) 753,000 746,787 --------------- 9,332,790 TELECOMMUNICATION SERVICES--1.1% DIVERSIFIED TELECOMMUNICATION SERVICES--1.0% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 1,980,000 2,066,407 British Telecommunications plc, 9.625% Bonds, 12/15/30 1,071,000 1,375,686 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 1,635,000 1,614,563 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(5) 1,356,000 1,409,378 Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 1,565,000 1,718,110 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 2,795,000 2,874,322 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 1,320,000 1,389,705 Telus Corp., 8% Nts., 6/1/11 2,160,000 2,366,649 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 1,285,000 1,384,333
13 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 $ 1,390,000 $ 1,407,375 --------------- 17,606,528 WIRELESS TELECOMMUNICATION SERVICES--0.1% American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,301,000 1,437,605 Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 645,000 713,916 --------------- 2,151,521 UTILITIES--0.8% ELECTRIC UTILITIES--0.2% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(4) 1,263,000 1,395,586 Exelon Corp., 5.625% Sr. Unsec. Bonds, 6/15/35 1,015,000 976,185 --------------- 2,371,771 ENERGY TRADERS--0.3% Constellation Energy Group, Inc., 7.60% Unsec. Nts., 4/1/32 1,675,000 1,875,992 NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 1,625,000 1,620,938 Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 2,119,000 2,372,958 --------------- 5,869,888 MULTI-UTILITIES--0.3% CMS Energy Corp., 6.55% Sr. Unsec. Unsub. Nts., 7/17/17 1,385,000 1,357,671 NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 1,355,000 1,425,690 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 825,000 921,602 9.80% Sr. Unsec. Nts., 2/15/19 1,435,000 1,867,506 --------------- 5,572,469 --------------- Total Non-Convertible Corporate Bonds and Notes (Cost $260,571,547) 264,711,785 CONVERTIBLE CORPORATE BONDS AND NOTES--13.7% CONSUMER DISCRETIONARY--1.6% LEISURE EQUIPMENT & PRODUCTS--0.1% Smith & Wesson Holding Corp., 4% Cv. Sr. Unsec. Nts., 12/15/26 1,500,000 1,419,375 MEDIA--0.7% Liberty Media Corp., 3.125% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 5,000,000 5,018,750 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) 13,500,000 7,880,625 --------------- 12,899,375 SPECIALTY RETAIL--0.8% CSK Auto, Inc., 6.75% Cv. Sr. Unsec. Nts., 12/15/25(2,5) 11,000,000 13,233,220 CONSUMER STAPLES--1.2% FOOD & STAPLES RETAILING--1.1% Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 23,000,000 19,348,750 FOOD PRODUCTS--0.1% Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec. Unsub. Nts., 8/15/16 2,000,000 2,030,000 ENERGY--2.2% ENERGY EQUIPMENT & SERVICES--0.8% SESI LLC, 1.50% Cv. Sr. Unsec. Unsub. Nts., 12/15/26(5) 3,000,000 2,711,250
14 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ENERGY EQUIPMENT & SERVICES CONTINUED Transocean, Inc., 1.50% Cv. Sr. Unsec. Unsub. Nts., Series B, 12/15/37 $ 12,000,000 $ 11,910,000 --------------- 14,621,250 OIL, GAS & CONSUMABLE FUELS--1.3% Carrizo Oil & Gas, Inc., 4.375% Cv. Sr. Unsec. Nts., 6/1/28 14,500,000 12,325,000 Peabody Energy Corp., 4.75% Cv. Jr. Unsec. Sub. Debs., 12/15/66 6,000,000 5,910,000 Pioneer Natural Resources Co., 2.875% Cv. Sr. Unsec. Nts., 1/15/38 5,000,000 5,112,500 --------------- 23,347,500 FINANCIALS--1.1% COMMERCIAL BANKS--1.1% National City Corp., 4% Cv. Sr. Unsec. Nts., 2/1/11 19,500,000 19,743,750 HEALTH CARE--1.9% BIOTECHNOLOGY--0.5% Amylin Pharmaceuticals, Inc., 2.50% Cv. Sr. Unsec. Nts., 4/15/11 10,103,000 9,610,479 HEALTH CARE EQUIPMENT & SUPPLIES--0.6% Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/37(5) 12,000,000 9,780,000 HEALTH CARE PROVIDERS & SERVICES--0.5% LifePoint Hospitals, Inc.: 3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 4,000,000 3,635,000 3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 5,000,000 4,493,750 --------------- 8,128,750 PHARMACEUTICALS--0.3% Biovail Corp., 5.375% Cv. Sr. Unsec. Nts., 8/1/14(4) 2,100,000 2,485,875 Medicis Pharmaceutical Corp., 2.50% Cv. Sr. Unsec. Nts., 6/4/32 3,500,000 3,456,250 --------------- 5,942,125 INDUSTRIALS--1.0% COMMERCIAL SERVICES & SUPPLIES--0.3% Covanta Holding Corp., 1% Cv. Unsec. Debs., 2/1/27 5,000,000 4,612,500 ELECTRICAL EQUIPMENT--0.3% General Cable Corp.: 1% Cv. Sr. Nts., 10/15/12(4) 4,000,000 3,715,000 1% Cv. Sr. Unsec. Unsub. Nts., 10/15/12 1,000,000 928,750 --------------- 4,643,750 MACHINERY--0.3% Navistar International Corp., 3% Cv. Sr. Sub. Nts., 10/15/14 6,050,000 5,732,375 SystemOne Technologies, Inc.: 2.888% Cv. Sub. Nts., 12/31/06(1,2,12,14) 5,010,702 50,107 8.25% Cv. Sub. Nts., 12/31/06(1,2,12,14) 4,093,771 40,938 --------------- 5,823,420 TRADING COMPANIES & DISTRIBUTORS--0.1% United Rentals North America, Inc., 1.875% Cv. Sr. Unsec. Sub. Nts., 10/15/23 2,300,000 2,248,250
15 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE -------------- --------------- CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED INFORMATION TECHNOLOGY--3.5% COMMUNICATIONS EQUIPMENT--1.2% Lucent Technologies, Inc.: 2.875% Cv. Sr. Unsec. Debs., Series A, 6/15/23 $ 3,000,000 $ 2,981,250 2.875% Cv. Sr. Unsec. Debs., Series B, 6/15/25 22,210,000 18,656,400 --------------- 21,637,650 IT SERVICES--0.2% VeriFone Holdings, Inc., 1.375% Cv. Sr. Unsec. Nts., 6/15/12 4,000,000 3,445,000 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.1% Advanced Micro Devices, Inc.: 5.75% Cv. Sr. Unsec. Nts., 8/15/12 20,000,000 19,675,000 6% Cv. Sr. Unsec. Nts., 5/1/15 11,700,000 10,325,250 Teradyne, Inc., 4.50% Cv. Sr. Unsec. Nts., 3/15/14 4,000,000 7,190,000 --------------- 37,190,250 TELECOMMUNICATION SERVICES--1.2% WIRELESS TELECOMMUNICATION SERVICES--1.2% NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 22,750,000 20,674,063 --------------- Total Convertible Corporate Bonds and Notes (Cost $228,588,650) 240,379,457 STRUCTURED SECURITIES--0.5% Barclays Bank plc, Celanese Corp. Cv. Yield Enhanced Equity Linked Debt Securities, 5.75%, 4/27/10 (Cost $9,000,016) 335,446 9,620,591 EVENT-LINKED BONDS--0.7% Calabash Re II Ltd. Catastrophe Linked Nts., Series A1, 8.699%, 1/8/10(4,5) 3,000,000 3,016,379 Eurus II Ltd. Catastrophe Linked Bonds, Series 09-1, Cl. A, 7.478%, 4/6/12(4,5) 1,923,000 2,929,198 Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.181%, 8/10/11(4,5) 2,000,000 1,994,800 Fremantle Ltd. Catastrophe Linked Nts., Cl. B, 2.292%, 6/28/10(4,5) 1,000,000 992,500 Midori Ltd. Catastrophe Linked Nts., 3.034%, 10/24/12(4,5) 3,000,000 2,923,200 --------------- Total Event-Linked Bonds (Cost $11,577,913) 11,856,077
EXPIRATION STRIKE DATE PRICE CONTRACTS ---------- -------- --------- OPTIONS PURCHASED--0.2% JPMorgan Chase & Co. Call(1) 12/21/09 $ 39.00 2,600 1,001,000 New York Community Bancorp Put(1) 1/18/10 12.50 1,800 171,000 Standard and Poor's 500 Index (The) Put(1) 3/22/10 1025.00 643 2,121,900 --------- Total Options Purchased (Cost $3,942,989) 3,293,900
SHARES -------------- INVESTMENT COMPANY--17.2% Oppenheimer Institutional Money Market Fund, Cl. E, 0.31%(15,16) (Cost $302,906,998) 302,906,998 302,906,998
16 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED
VALUE --------------- TOTAL INVESTMENTS, AT VALUE (COST $1,937,804,173) 116.0% $ 2,037,901,838 Liabilities in Excess of Other Assets (16.0) (281,822,809) -------------- --------------- Net Assets 100.0% $ 1,756,079,029 ============== ===============
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Illiquid security. The aggregate value of illiquid securities as of November 30, 2009 was $71,348,633, which represents 4.06% of the Fund's net assets. See accompanying Notes. (3.) A sufficient amount of liquid assets has been designated to cover outstanding written call options. See accompanying Notes. (4.) 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 $64,278,427 or 3.66% of the Fund's net assets as of November 30, 2009. (5.) Represents the current interest rate for a variable or increasing rate security. (6.) A sufficient amount of liquid assets has been designated to cover outstanding swaptions. See accompanying Notes. (7.) 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 $26,470,759 or 1.51% of the Fund's net assets as of November 30, 2009. (8.) The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. (9.) Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $539,204 or 0.03% of the Fund's net assets as of November 30, 2009. (10.) When-issued security or delayed delivery to be delivered and settled after November 30, 2009. See accompanying Notes. (11.) All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $2,398,273. See accompanying Notes. (12.) Issue is in default. See accompanying Notes. (13.) 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. (14.) Interest or dividend is paid-in-kind, when applicable. (15.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 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 GROSS GROSS SHARES AUGUST 31, 2009 ADDITIONS REDUCTIONS NOVEMBER 30, 2009 --------------- ----------- ----------- ----------------- Oppenheimer Institutional Money Market Fund, Cl. E 365,623,670 142,987,483 205,704,155 302,906,998
VALUE INCOME -------------- --------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 302,906,998 $ 221,614
(16.) Rate shown is the 7-day yield as of November 30, 2009. 17 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 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-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts as of November 30, 2009 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 52,110,842 $ -- $ -- $ 52,110,842 Consumer Staples 66,754,100 -- -- 66,754,100 Energy 47,687,264 -- -- 47,687,264 Financials 71,614,115 7,500,000 -- 79,114,115 Health Care 51,589,256 -- -- 51,589,256 Industrials 53,899,393 -- -- 53,899,393 Information Technology 60,991,550 -- -- 60,991,550 Materials 30,997,623 -- -- 30,997,623 Telecommunication Services 27,421,150 -- -- 27,421,150 Utilities 29,192,355 -- -- 29,192,355 Preferred Stocks 12,917,260 30,710,350 -- 43,627,610 Mortgage-Backed Obligations -- 547,420,724 -- 547,420,724 Asset-Backed Securities -- 72,619,838 30,183,196 102,803,034 U.S. Government Obligations -- 11,524,014 -- 11,524,014 Non-Convertible Corporate Bonds and Notes -- 264,711,785 -- 264,711,785 Convertible Corporate Bonds and Notes -- 240,288,412 91,045 240,379,457 Structured Securities -- 9,620,591 -- 9,620,591 Event-Linked Bonds -- 11,856,077 -- 11,856,077 Options Purchased 3,293,900 -- -- 3,293,900 Investment Company 302,906,998 -- -- 302,906,998 ------------ -------------- ----------- -------------- Total Investments, at Value 811,375,806 1,196,251,791 30,274,241 2,037,901,838 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 8,099,271 -- 8,099,271 Depreciated swaps, at value -- 43,195 -- 43,195 Futures margins 83,481 -- -- 83,481 ------------ -------------- ----------- -------------- Total Assets $811,459,287 $1,204,394,257 $30,274,241 $2,046,127,785 ------------ -------------- ----------- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- $ (1,796,071) $ -- $ (1,796,071) Options written, at value (174,200) -- -- (174,200) Futures margins (235,006) -- -- (235,006)
18 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED Depreciated swaptions written, at value -- (3,055,072) -- (3,055,072) ------------ -------------- ----------- -------------- TOTAL LIABILITIES $ (409,206) $ (4,851,143) $ -- $ (5,260,349) ------------ -------------- ----------- --------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table 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 NOVEMBER 30, 2009 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) - -------------------- -------- --------- ---------- ------------ -------------- U.S. Treasury Long Bonds Buy 190 3/22/10 $ 23,316,563 $ 466,024 U.S. Treasury Nts., 2 yr. Sell 338 3/31/10 73,647,032 (139,177) U.S. Treasury Nts., 5 yr. Sell 675 3/31/10 79,154,297 (625,610) U.S. Treasury Nts., 10 yr. Buy 982 3/22/10 117,778,625 1,401,494 ---------- $1,102,731 ==========
WRITTEN OPTIONS AS OF NOVEMBER 30, 2009 ARE AS FOLLOWS:
NUMBER OF EXERCISE EXPIRATION PREMIUMS DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE - ----------- ---- --------- -------- ---------- -------- --------- JPMorgan Chase & Co. Call 1,300 $45.00 12/21/09 $198,895 $ (45,500) JPMorgan Chase & Co. Call 1,300 43.00 12/21/09 275,593 (128,700) -------- --------- $474,488 $(174,200) ======== =========
CREDIT DEFAULT SWAP CONTRACTS AS OF NOVEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT UNREALIZED REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION RECEIVED/ APPRECIATION SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE (PAID) VALUE (DEPRECIATION) - ----------------- ---------- -------- ------- ----------- ----------- ------------ -------------- ERSTE GROUP BANK AG Goldman Sachs International Buy $10,000 3.60% 6/20/14 $ -- $(1,044,414) $(1,044,414) ------- ----------- ----------- ----------- Total 10,000 -- (1,044,414) (1,044,414) MARKIT CMBX AJ, SERIES 1 Goldman Sachs International Buy 15,000 0.35 10/12/52 (6,108,125) 8,099,271 1,991,146 ------- ----------- ----------- ----------- Total 15,000 (6,108,125) 8,099,271 1,991,146 MARRIOTT INTERNATIONAL, INC. Goldman Sachs International Buy 5,000 1.00 6/20/14 (154,291) (9,803) (164,094) ------- ----------- ----------- ----------- Total 5,000 (154,291) (9,803) (164,094) NORDSTROM, INC. Goldman Sachs International Buy 5,000 1.00 6/20/14 (217,805) 43,195 (174,610) ------- ----------- ----------- ----------- Total 5,000 (217,805) 43,195 (174,610) STARWOOD HOTELS & RESORTS (ITT) Goldman Sachs International Buy 5,000 5.00 9/20/14 290,566 (627,967) (337,401) ------- ----------- ----------- ----------- Total 5,000 290,566 (627,967) (337,401) VALE INCO LTD.:
19 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED Morgan Stanley & Co. International Ltd. Buy 1,605 0.70 3/20/17 -- (45,177) (45,177) Morgan Stanley & Co. International Ltd. Buy 1,615 0.63 3/20/17 -- (37,670) (37,670) ------- ----------- ----------- ----------- Total 3,220 -- (82,847) (82,847) VALE OVERSEAS: Morgan Stanley & Co. International Ltd. Sell 1,605 1.17 3/20/17 -- (11,821) (11,821) Morgan Stanley & Co. International Ltd. Sell 1,615 1.10 3/20/17 -- (19,219) (19,219) ------- ----------- ----------- ----------- Total 3,220 -- (31,040) (31,040) ----------- ----------- ----------- Grand Total Buys (6,189,655) 6,377,435 187,780 Grand Total Sells -- (31,040) (31,040) ----------- ----------- ----------- Total Credit Default Swaps $(6,189,655) $ 6,346,395 $ 156,740 =========== =========== ===========
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 REFERENCE TYPE OF REFERENCE ASSET ON WHICH PAYMENTS FOR SELLING CREDIT ASSET RATING THE FUND SOLD PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* 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. SWAP SUMMARY AS OF NOVEMBER 30, 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.
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE - ----------------- ------------------- -------- ---------- Goldman Sachs International Credit Default Buy Protection $40,000 $6,460,282 Morgan Stanley & Co. International Ltd.: Credit Default Buy Protection 3,220 (82,847) Credit Default Sell Protection 3,220 (31,040) ---------- (113,887) ---------- Total Swaps $6,346,395 ==========
AS OF NOVEMBER 30, 2009, THE FUND HAD ENTERED INTO THE FOLLOWING WRITTEN SWAPTION CONTRACTS:
UNDERLYING SWAP TYPE NOTIONAL REFERENCE FROM FUND AMOUNT STRIKE EXPIRATION PREMIUM UNREALIZED ENTITY PERSPECTIVE (000'S) RATE DATE RECEIVED VALUE DEPRECIATION - --------- --------------- -------- ------ ---------- ---------- ----------- ------------ CDX North America Investment Grade Index, Credit Default Series 13 Sell Protection $250,000 1.20% 3/20/10 $1,150,000 $(1,527,536) $(377,536) CDX North America Investment Grade Index, Credit Default Series 13 Sell Protection 250,000 1.20 3/22/10 1,225,000 (1,527,536) (302,536) ---------- ----------- --------- $2,375,000 $(3,055,072) $(680,072) ========== =========== =========
20 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED 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. 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. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant 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 unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. 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 it is 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 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. In the absence of a readily available unadjusted 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 unadjusted 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. There have been no significant changes to the fair valuation methodologies during the period. 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, 21 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED 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. As of November 30, 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 $329,211,410 Sold securities 30,578,027 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. 22 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED 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. Information concerning securities in default as of November 30, 2009 is as follows: Cost $21,735,385 Market Value $ 391,045 Market Value as a % of Net Assets 0.02%
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 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. Shares of IMMF are valued at their net asset value per share. 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. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS 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 23 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED 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. 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 November 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $11,436,366, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. 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 $6,524,910 as of November 30, 2009 In addition, the Fund may require that certain counterparties post cash and/or securities in collaterial accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund. As of November 30, 2009 the Fund has required certain counterparties to post collateral of $6,332,203. 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 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 November 30, 2009, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $113,887 for which collateral was not posted by the Fund. If a contingent feature would have been triggered as of November 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the Counterparty. Cash posted as collateral for these contracts is reported on the Statement of Assets and Liabilities in the annual and semiannual reports; securities posted as collateral are reported on the Statement of Investments. 24 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED 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. 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. 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. 25 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED The Fund has purchased call options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has purchased put options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A purchased put 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. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the period ended November 30, 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, 2009 2,600 $474,488 1,300 $ 535,586 Options closed or expired -- -- (1,300) (535,586) ----- -------- ------ --------- Options outstanding as of November 30, 2009 2,600 $474,488 -- $ -- ===== ======== ====== =========
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 values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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 NOVEMBER 30, 2009 / UNAUDITED 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 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. 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 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. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. SWAPTION TRANSACTIONS. The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap. Swaptions are marked to market daily using primarily portfolio pricing services or quotations from counterparties and brokers. Purchased swaptions are reported as a component of investments in the Statement of Investments, the Statement of Assets and Liabilities in the annual and semiannual reports and the Statement of Operations in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received. The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption 27 | OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS NOVEMBER 30, 2009 / UNAUDITED contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract. The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual securities and, or, indexes. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases. Written swaption activity for the period ended November 30, 2009 was as follows:
CALL SWAPTIONS ------------------------- NOTIONAL AMOUNT OF AMOUNT PREMIUMS ------------ ---------- Swaptions outstanding as of August 31, 2009 $ -- $ -- Swaptions written 500,000,000 2,375,000 ------------ ---------- Swaptions outstanding as of November 30, 2009 $500,000,000 $2,375,000 ============ ==========
ILLIQUID SECURITIES As of November 30, 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 November 30, 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 $1,947,810,284 Federal tax cost of other investments (9,468,695) -------------- Total federal tax cost $1,938,341,589 ============== Gross unrealized appreciation $ 166,619,171 Gross unrealized depreciation (75,647,940) -------------- Net unrealized appreciation $ 90,971,231 ==============
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 11/30/2009, 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/ William F. Glavin --------------------------------- William F. Glavin Principal Executive Officer Date: 01/06/2010 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/ William F. Glavin --------------------------------- William F. Glavin Principal Executive Officer Date: 01/06/2010 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 01/06/2010 EX-99.CERT 2 p16036exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, William F. Glavin, 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/ William F. Glavin - ------------------------------------- William F. Glavin Principal Executive Officer Date: 01/06/2010 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted - ------------------------------------- Brian W. Wixted Principal Financial Officer Date: 01/06/2010 -----END PRIVACY-ENHANCED MESSAGE-----