-----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, EZCvwaEdUS67UzfQa2G6+d1XgUwaJrVdJCQnRey5vAEP3RpdOeLSvHl9oB9H+Z+5 7seG7tdlCDNfL1H/+1fkLg== 0000950123-11-006021.txt : 20110127 0000950123-11-006021.hdr.sgml : 20110127 20110127152041 ACCESSION NUMBER: 0000950123-11-006021 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20101130 FILED AS OF DATE: 20110127 DATE AS OF CHANGE: 20110127 EFFECTIVENESS DATE: 20110127 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: 11552030 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 g07428nvq.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: 11/30/2010 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------- --------------- COMMON STOCKS--29.3% CONSUMER DISCRETIONARY--2.9% AUTO COMPONENTS--0.2% Lear Corp.(1) 44,000 $ 3,861,880 HOTELS, RESTAURANTS & LEISURE--0.3% Brinker International, Inc. 257,000 5,253,080 LEISURE EQUIPMENT & PRODUCTS--0.2% Mattel, Inc.(1) 115,000 2,971,600 MEDIA--1.2% Cablevision Systems Corp. New York Group, Cl. A 119,000 3,768,730 Cinemark Holdings, Inc. 578,000 10,143,900 Time Warner Cable, Inc. 87,500 5,384,750 --------------- 19,297,380 --------------- MULTILINE RETAIL--0.8% Target Corp. 249,700 14,217,918 SPECIALTY RETAIL--0.2% O'Reilly Automotive, Inc.(1) 50,855 3,060,454 CONSUMER STAPLES--3.6% BEVERAGES--1.2% Coca-Cola Co. (The) 290,000 18,319,300 Molson Coors Brewing Co., Cl. B, Non-Vtg. 50,000 2,382,500 --------------- 20,701,800 --------------- FOOD & STAPLES RETAILING--1.0% Wal-Mart Stores, Inc. 131,000 7,085,790 Walgreen Co. 250,000 8,712,500 --------------- 15,798,290 --------------- FOOD PRODUCTS--0.2% B&G Foods, Inc., Cl. A 302,500 3,865,950 HOUSEHOLD PRODUCTS--0.2% Church & Dwight Co., Inc. 56,550 3,689,888 TOBACCO--1.0% Philip Morris International, Inc. 282,000 16,042,980 ENERGY--2.8% ENERGY EQUIPMENT & SERVICES--0.7% Halliburton Co. 216,000 8,173,440 Schlumberger Ltd. 52,000 4,021,680 --------------- 12,195,120 --------------- OIL, GAS & CONSUMABLE FUELS--2.1% Apache Corp. 47,500 5,112,900 Chevron Corp. 78,400 6,348,048 Enbridge Energy Management LLC(1) 1 6 Exxon Mobil Corp. 211,800 14,732,808 Kinder Morgan Management LLC(1) 1 23 Royal Dutch Shell plc, B Shares 194,510 5,772,672 Ultra Petroleum Corp.(1) 53,500 2,513,965 --------------- 34,480,422 ---------------
1 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------- --------------- COMMON STOCKS CONTINUED FINANCIALS--4.6% CAPITAL MARKETS--0.4% Bond Street Holdings LLC, Cl. A(1,2) 375,000 $ 7,687,500 COMMERCIAL BANKS--1.3% Comerica, Inc. 138,000 5,035,620 PNC Financial Services Group, Inc. 192,000 10,339,200 U.S. Bancorp 250,000 5,945,000 --------------- 21,319,820 --------------- DIVERSIFIED FINANCIAL SERVICES--0.2% JPMorgan Chase & Co. 75,000 2,803,500 INSURANCE--1.8% Aon Corp. 57,000 2,286,840 CNO Financial Group, Inc.(1) 1,400,000 8,190,000 Everest Re Group Ltd. 125,350 10,465,472 MetLife, Inc. 226,200 8,629,530 --------------- 29,571,842 --------------- REAL ESTATE INVESTMENT TRUSTS--0.9% Apollo Commercial Real Estate Finance, Inc. 300,000 4,926,000 General Growth Properties, Inc. 97,370 1,576,420 Public Storage 25,000 2,415,000 Starwood Property Trust, Inc. 308,800 6,163,648 --------------- 15,081,068 --------------- HEALTH CARE--4.2% BIOTECHNOLOGY--0.9% Amgen, Inc.(1) 110,000 5,795,900 Gilead Sciences, Inc.(1) 251,000 9,161,500 --------------- 14,957,400 --------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Zimmer Holdings, Inc.(1) 90,000 4,433,400 HEALTH CARE PROVIDERS & SERVICES--0.6% UnitedHealth Group, Inc. 160,000 5,843,200 WellPoint, Inc.(1) 71,000 3,957,540 --------------- 9,800,740 --------------- PHARMACEUTICALS--2.5% Merck & Co., Inc. 426,604 14,705,040 Mylan, Inc.(1) 351,292 6,873,028 Pfizer, Inc. 618,800 10,080,252 Teva Pharmaceutical Industries Ltd., Sponsored ADR 114,000 5,704,560 Valeant Pharmaceuticals International, Inc. 63,000 1,629,810 Watson Pharmaceuticals, Inc.(1) 50,000 2,437,000 --------------- 41,429,690 --------------- INDUSTRIALS--2.6% AEROSPACE & DEFENSE--0.3% AerCap Holdings NV(1) 129,410 1,681,036 Lockheed Martin Corp. 34,000 2,313,360 --------------- 3,994,396 ---------------
2 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------- --------------- COMMON STOCKS CONTINUED COMMERCIAL SERVICES & SUPPLIES--0.2% Republic Services, Inc. 110,000 $ 3,095,400 ELECTRICAL EQUIPMENT--0.4% Cooper Industries plc 46,500 2,534,250 General Cable Corp.(1) 126,200 4,138,098 --------------- 6,672,348 --------------- INDUSTRIAL CONGLOMERATES--0.4% Tyco International Ltd. 191,000 7,236,990 MACHINERY--1.3% Eaton Corp. 45,000 4,338,000 Ingersoll-Rand plc 218,000 8,938,000 Navistar International Corp.(1) 34,000 1,740,120 WABCO Holdings, Inc.(1) 144,000 7,156,800 --------------- 22,172,920 --------------- INFORMATION TECHNOLOGY--4.4% COMMUNICATIONS EQUIPMENT--0.9% Ciena Corp.(1) 178,000 2,696,700 Harris Corp. 165,000 7,299,600 QUALCOMM, Inc. 86,500 4,043,010 --------------- 14,039,310 --------------- COMPUTERS & PERIPHERALS--0.5% Apple, Inc.(1) 28,600 8,898,890 IT SERVICES--1.4% Accenture plc, Cl. A 100,000 4,332,000 International Business Machines Corp. 111,700 15,801,082 Visa, Inc., Cl. A 45,000 3,323,250 --------------- 23,456,332 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.3% Intel Corp. 240,000 5,068,800 SOFTWARE--1.3% Microsoft Corp. 515,000 12,983,150 Oracle Corp. 292,000 7,895,680 --------------- 20,878,830 --------------- MATERIALS--1.8% CHEMICALS--1.5% Celanese Corp., Series A 427,446 15,815,502 Potash Corp. of Saskatchewan, Inc. 67,520 9,706,000 --------------- 25,521,502 --------------- METALS & MINING--0.3% Allegheny Technologies, Inc. 100,000 5,170,000 TELECOMMUNICATION SERVICES--0.9% DIVERSIFIED TELECOMMUNICATION SERVICES--0.6% AT&T, Inc. 382,500 10,629,675 WIRELESS TELECOMMUNICATION SERVICES--0.3% Vodafone Group plc, Sponsored ADR 160,000 4,009,600
3 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Shares Value ------------- --------------- COMMON STOCKS CONTINUED UTILITIES--1.5% ELECTRIC UTILITIES--0.9% Cleco Corp. 298,000 $ 9,038,340 Entergy Corp. 79,000 5,627,960 --------------- 14,666,300 --------------- MULTI-UTILITIES--0.6% CenterPoint Energy, Inc. 332,500 5,196,975 CMS Energy Corp. 285,000 5,121,450 --------------- 10,318,425 --------------- Total Common Stocks (Cost $415,102,888) 488,351,440 PREFERRED STOCKS--1.1% Bank of America Corp., 7.25% Non-Cum. Cv. 5,000 4,650,000 Dole Food Co., Inc., 7% Cv., Non-Vtg.(3) 35,000 350,546 H.J. Heinz Finance Co., 8% Cum., Series B(3) 40 4,298,750 PNC Financial Services Group, Inc., 9.875% Non-Cum., Series F, Non-Vtg.(4) 75,000 2,083,500 Wells Fargo & Co., 7.50% Cv., Series L, Non-Vtg. 7,000 6,909,000 --------------- Total Preferred Stocks (Cost $13,780,297) 18,291,796 ---------------
Units ------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Charter Communications, Inc., Cl. A Wts., Strike Price $46.86, Exp. 11/30/14(1) (Cost $192,089) 38,418 182,486
Principal Amount ------------- MORTGAGE-BACKED OBLIGATIONS--29.9% GOVERNMENT AGENCY--24.5% FHLMC/FNMA/FHLB/SPONSORED--20.9% Federal Home Loan Mortgage Corp.: 4.50%, 5/1/19(5) $ 3,734,126 3,942,986 5%, 12/15/34 316,222 336,159 6%, 5/15/18 1,341,962 1,468,428 6.50%, 7/1/28-4/1/34 480,608 543,296 7%, 10/1/31 587,060 677,702 8%, 4/1/16 167,909 184,037 9%, 8/1/22-5/1/25 57,950 65,295 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.637%, 3/25/36(4) 687,619 998,000 Series 2034, Cl. Z, 6.50%, 2/15/28 296,991 337,176 Series 2043, Cl. ZP, 6.50%, 4/15/28 1,156,241 1,204,857 Series 2053, Cl. Z, 6.50%, 4/15/28 292,328 330,267 Series 2279, Cl. PK, 6.50%, 1/15/31 558,244 615,076 Series 2326, Cl. ZP, 6.50%, 6/15/31 274,861 316,445 Series 2426, Cl. BG, 6%, 3/15/17 1,892,671 2,053,034 Series 2427, Cl. ZM, 6.50%, 3/15/32 1,052,962 1,172,533 Series 2461, Cl. PZ, 6.50%, 6/15/32 1,575,535 1,769,814 Series 2500, Cl. FD, 0.753%, 3/15/32(4) 149,620 150,834
4 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2526, Cl. FE, 0.653%, 6/15/29(4) $ 193,674 $ 194,886 Series 2538, Cl. F, 0.853%, 12/15/32(4) 1,994,961 2,016,389 Series 2551, Cl. FD, 0.653%, 1/15/33(4) 135,717 136,585 Series 2626, Cl. TB, 5%, 6/1/33 2,454,960 2,706,289 Series 2638, Cl. KG, 4%, 11/1/27 4,755,639 4,807,716 Series 2648, Cl. JE, 3%, 2/1/30 1,354,714 1,362,726 Series 2663, Cl. BA, 4%, 8/1/16 1,698,082 1,728,534 Series 2686, Cl. CD, 4.50%, 2/1/17 2,527,167 2,576,459 Series 2907, Cl. GC, 5%, 6/1/27 765,107 783,051 Series 2911, Cl. CU, 5%, 2/1/28 2,048,187 2,092,049 Series 2929, Cl. PC, 5%, 1/1/28 768,326 781,837 Series 2952, Cl. GJ, 4.50%, 12/1/28 446,466 451,994 Series 3019, Cl. MD, 4.75%, 1/1/31 2,170,013 2,236,202 Series 3025, Cl. SJ, 23.821%, 8/15/35(4) 219,000 305,641 Series 3094, Cl. HS, 23.454%, 6/15/34(4) 438,749 594,081 Series 3242, Cl. QA, 5.50%, 3/1/30 1,044,461 1,074,060 Series 3291, Cl. NA, 5.50%, 10/1/27 418,876 422,648 Series 3306, Cl. PA, 5.50%, 10/1/27 1,550,045 1,568,887 Series R001, Cl. AE, 4.375%, 4/1/15 1,018,353 1,036,859 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 11.548%, 4/1/27(6) 436,382 79,939 Series 192, Cl. IO, 8.193%, 2/1/28(6) 137,523 24,216 Series 2130, Cl. SC, 48.007%, 3/15/29(6) 324,648 57,679 Series 243, Cl. 6, 1.026%, 12/15/32(6) 534,670 95,892 Series 2527, Cl. SG, 0%, 2/15/32(6,7) 443,731 17,330 Series 2531, Cl. ST, 26.313%, 2/15/30(6) 666,829 37,078 Series 2639, Cl. SA, 6.584%, 7/15/22(6) 2,464,093 215,250 Series 2796, Cl. SD, 64.662%, 7/15/26(6) 494,277 86,119 Series 2802, Cl. AS, 90.895%, 4/15/33(6) 625,999 60,225 Series 2815, Cl. PT, 10.561%, 11/15/32(6) 7,731,743 865,088 Series 2920, Cl. S, 62.778%, 1/15/35(6) 2,651,781 363,549 Series 2937, Cl. SY, 20.535%, 2/15/35(6) 11,262,420 1,547,756 Series 3110, Cl. SL, 99.999%, 2/15/26(6) 492,382 66,758 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.455%, 6/1/26(8) 130,799 116,149 Federal National Mortgage Assn.: 3.50%, 12/1/25-12/1/40(9) 26,995,000 27,350,586 4%, 12/1/40(9) 32,405,000 32,916,383 4.50%, 12/1/25-12/1/40(9) 19,090,000 19,954,227 5%, 12/1/25-12/1/40(9) 52,096,000 55,272,254 5.50%, 1/25/33-4/1/39 6,836,258 7,359,244 5.50%, 12/1/25-12/1/40(9) 35,724,000 38,431,539 6%, 11/1/34-6/1/35 23,393,037 25,765,074 6%, 12/1/40(9) 6,990,000 7,607,091 6.50%, 5/25/17-11/25/31 3,728,967 4,128,253 6.50%, 12/1/40(9) 9,197,000 10,204,366
5 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED 7%, 11/1/17-7/25/35 $ 857,410 $ 930,331 7.50%, 1/1/33-3/25/33 6,290,996 7,224,054 8.50%, 7/1/32 15,246 17,543 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1993-87, Cl. Z, 6.50%, 6/25/23 830,758 936,823 Trust 1998-61, Cl. PL, 6%, 11/25/28 494,615 555,675 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 707,216 791,935 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,236,046 1,422,553 Trust 2003-130, Cl. CS, 13.593%, 12/25/33(4) 773,572 886,490 Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 2,161,399 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,553,000 3,997,160 Trust 2004-101, Cl. BG, 5%, 1/25/20 3,658,000 3,921,135 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 939,898 957,054 Trust 2004-9, Cl. AB, 4%, 7/1/17 910,127 933,426 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,898,000 2,115,912 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,504,312 8,468,289 Trust 2005-12, Cl. JC, 5%, 6/1/28 1,956,639 2,011,370 Trust 2005-22, Cl. EC, 5%, 10/1/28 754,094 775,815 Trust 2005-30, Cl. CU, 5%, 4/1/29 776,458 802,050 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,634,319 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 3,890,611 4,145,882 Trust 2006-46, Cl. SW, 23.27%, 6/25/36(4) 555,155 777,888 Trust 2006-50, Cl. KS, 23.271%, 6/25/36(4) 1,352,691 1,871,925 Trust 2006-50, Cl. SK, 23.271%, 6/25/36(4) 138,426 195,754 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 413,300 417,881 Trust 2009-37, Cl. HA, 4%, 4/1/19 4,595,122 4,871,213 Trust 2009-70, Cl. PA, 5%, 8/1/35 5,047,801 5,385,841 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-15, Cl. SA, 71.288%, 3/17/31(6) 368,921 65,590 Trust 2001-65, Cl. S, 43.329%, 11/25/31(6) 1,210,446 230,700 Trust 2001-81, Cl. S, 37.417%, 1/25/32(6) 286,157 55,910 Trust 2002-47, Cl. NS, 34.996%, 4/25/32(6) 568,846 112,259 Trust 2002-51, Cl. S, 35.325%, 8/25/32(6) 522,278 99,081 Trust 2002-52, Cl. SD, 39.398%, 9/25/32(6) 631,223 120,128 Trust 2002-60, Cl. SM, 41.821%, 8/25/32(6) 1,024,222 146,451 Trust 2002-7, Cl. SK, 42.041%, 1/25/32(6) 319,367 51,965 Trust 2002-75, Cl. SA, 44.781%, 11/25/32(6) 1,460,373 247,299 Trust 2002-77, Cl. BS, 36.553%, 12/18/32(6) 632,413 107,168 Trust 2002-77, Cl. JS, 39.41%, 12/18/32(6) 1,032,861 167,150 Trust 2002-77, Cl. SA, 34.351%, 12/18/32(6) 973,851 162,335 Trust 2002-77, Cl. SH, 47.779%, 12/18/32(6) 389,698 71,459 Trust 2002-89, Cl. S, 66.981%, 1/25/33(6) 1,579,818 315,776 Trust 2002-9, Cl. MS, 36.053%, 3/25/32(6) 356,894 60,526 Trust 2002-90, Cl. SN, 43.555%, 8/25/32(6) 527,410 75,417 Trust 2002-90, Cl. SY, 47.149%, 9/25/32(6) 229,664 34,832 Trust 2003-33, Cl. SP, 50.50%, 5/25/33(6) 1,290,835 199,769
6 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2003-46, Cl. IH, 0%, 6/1/33(6, 7) $ 2,734,870 $ 371,145 Trust 2003-89, Cl. XS, 44.561%, 11/25/32(6) 1,287,273 85,984 Trust 2004-54, Cl. DS, 47.696%, 11/25/30(6) 591,225 79,104 Trust 2004-56, Cl. SE, 13.546%, 10/25/33(6) 1,550,049 219,058 Trust 2005-19, Cl. SA, 64.64%, 3/25/35(6) 7,063,861 1,012,960 Trust 2005-40, Cl. SA, 61.981%, 5/25/35(6) 1,552,051 247,405 Trust 2005-6, Cl. SE, 82.426%, 2/25/35(6) 2,246,658 349,879 Trust 2005-71, Cl. SA, 66.563%, 8/25/25(6) 1,739,031 226,695 Trust 2005-93, Cl. SI, 12.171%, 10/25/35(6) 2,254,490 317,813 Trust 2006-51, Cl. SA, 39.084%, 6/25/36(6) 17,915,486 2,363,848 Trust 2008-67, Cl. KS, 29.93%, 8/25/34(6) 6,008,518 462,721 Trust 222, Cl. 2, 18.146%, 6/1/23(6) 957,710 176,955 Trust 252, Cl. 2, 32.111%, 11/1/23(6) 777,783 156,513 Trust 303, Cl. IO, 26.188%, 11/1/29(6) 283,603 70,311 Trust 308, Cl. 2, 21.056%, 9/1/30(6) 719,874 154,336 Trust 320, Cl. 2, 7.401%, 4/1/32(6) 2,984,743 837,415 Trust 321, Cl. 2, 0.513%, 4/1/32(6) 2,615,293 666,801 Trust 331, Cl. 9, 14.752%, 2/1/33(6) 787,482 150,851 Trust 334, Cl. 17, 16.357%, 2/1/33(6) 470,730 88,559 Trust 338, Cl. 2, 1.763%, 7/1/33(6) 576,327 102,349 Trust 339, Cl. 12, 0%, 7/1/33(6, 7) 1,881,192 339,103 Trust 339, Cl. 7, 0%, 7/1/33(6, 7) 2,698,872 456,601 Trust 343, Cl. 13, 0%, 9/1/33(6, 7) 1,724,423 323,458 Trust 343, Cl. 18, 0%, 5/1/34(6, 7) 567,058 102,004 Trust 345, Cl. 9, 0%, 1/1/34(6, 7) 1,489,683 282,697 Trust 351, Cl. 10, 0%, 4/1/34(6, 7) 677,470 118,780 Trust 351, Cl. 8, 0%, 4/1/34(6, 7) 1,082,515 207,922 Trust 356, Cl. 10, 0%, 6/1/35(6, 7) 906,977 150,279 Trust 356, Cl. 12, 0%, 2/1/35(6, 7) 456,872 78,900 Trust 362, Cl. 13, 0%, 8/1/35(6, 7) 1,462,247 261,813 Trust 364, Cl. 16, 0%, 9/1/35(6, 7) 1,933,944 302,547 Trust 365, Cl. 16, 0%, 3/1/36(6, 7) 5,058,891 1,013,686 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.029%, 9/25/23(8) 365,043 308,362 --------------- 348,285,263 --------------- GNMA/GUARANTEED--3.6% Government National Mortgage Assn.: 4%, 12/1/40(9) 22,845,000 23,426,839 4.50%, 12/1/40(9) 33,230,000 34,912,269 8.50%, 8/1/17-12/15/17 81,928 91,772 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 86.646%, 1/16/27(6) 691,142 128,447 Series 2002-15, Cl. SM, 75.782%, 2/16/32(6) 638,551 114,461
7 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED GNMA/GUARANTEED CONTINUED Series 2002-41, Cl. GS, 64.918%, 6/16/32(6) $ 382,867 $ 73,959 Series 2002-76, Cl. SY, 79.495%, 12/16/26(6) 1,704,822 304,188 Series 2004-11, Cl. SM, 67.422%, 1/17/30(6) 576,056 110,104 --------------- 59,162,039 --------------- NON-AGENCY--5.4% COMMERCIAL--3.2% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2006-1, Cl. AM, 5.421%, 9/1/45 2,330,000 2,352,379 Series 2007-1, Cl. A4, 5.451%, 1/1/17 2,525,000 2,658,656 Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 3,250,000 3,095,429 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.293%, 12/1/49(4) 3,635,000 3,567,510 Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 440,000 452,720 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 1,375,000 1,417,010 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/46(3) 2,030,000 2,065,758 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg. Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/20(2, 6) 16,200,000 1,518,750 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 76,090 54,551 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 254,292 256,206 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16(3) 2,415,000 2,418,502 Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.793%, 5/25/35(4) 2,091,210 1,582,003 IndyMac INDX Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.261%, 11/1/35(4) 2,659,667 2,112,841 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2010-C2, Cl. A2, 3.616%, 11/1/43(3) 2,420,000 2,409,323 Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 2,590,000 2,663,346 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 590,000 616,460 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 520,000 541,399 JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 6.062%, 4/1/45(4) 3,695,000 3,759,019 JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 2,672,230 2,066,745
8 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED COMMERCIAL CONTINUED LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 $ 1,787,650 $ 1,796,035 LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AM, 5.712%, 3/11/39 1,670,000 1,662,867 Merrill Lynch Mortgage Investors Trust 2005-A5, Mtg. Pass-Through Certificates, Series 2005-A5, Cl. A9, 2.752%, 6/1/35(4) 2,171,729 1,953,290 ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.465%, 7/12/46 3,425,000 3,395,773 Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 6.10%, 2/1/51(4) 1,800,000 1,886,919 Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 7/1/17 1,835,000 1,913,582 Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-C27, Cl. AM, 5.795%, 7/15/45 540,000 537,809 WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.751%, 12/1/35(4) 1,261,146 1,071,096 Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 10/1/57(3) 1,325,000 1,353,713 Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.149%, 11/1/37(4) 1,924,331 1,590,166 --------------- 52,769,857 --------------- MULTIFAMILY--0.5% Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 2.871%, 10/1/35(4) 6,030,000 5,173,619 Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1 A2A, 5.77%, 6/1/36(4) 1,800,705 1,647,980 GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 2,305,000 2,373,362 --------------- 9,194,961 --------------- OTHER--0.3% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 5,315,000 5,568,482 RESIDENTIAL--1.4% CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 2,039,352 1,872,037 Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 2,454,936 2,138,355
9 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- MORTGAGE-BACKED OBLIGATIONS CONTINUED RESIDENTIAL CONTINUED Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 $ 7,774,227 $ 6,826,491 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 2,072,487 1,999,970 JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 1,445,404 1,327,240 Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3 A1, 2.602%, 5/1/34(4) 3,696,815 3,571,602 WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.772%, 5/1/37(4) 1,720,144 1,605,139 Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, CL. 1A1, 6.25%, 11/1/37 1,489,685 1,294,526 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.872%, 9/1/34(4) 2,015,916 1,962,580 --------------- 22,597,940 --------------- Total Mortgage-Backed Obligations (Cost $483,704,367) 497,578,542 --------------- ASSET-BACKED SECURITIES--8.0% Airspeed Ltd., Airplane Receivables, Series 2007-1 A, Cl. G1, 0.523%, 6/15/32(2,4) 38,370,812 31,080,358 Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.89%, 9/17/12 1,670,000 1,672,757 Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 465,000 462,568 Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.003%, 1/15/13(3,4) 1,710,000 1,743,218 Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/13(3) 1,390,000 1,427,429 AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 510,000 519,985 AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 840,000 838,031 AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 540,308 540,474 AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 690,000 691,322 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.213%, 5/25/34(4) 2,123,397 1,885,333 Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 1,070,000 1,071,846
10 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- ASSET-BACKED SECURITIES CONTINUED Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.555%, 2/28/41(4) $ 1,978,082 $ 1,634,174 Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.253%, 9/15/41(2,4) 12,879,764 9,659,823 Capital One Multi-Asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2008-A5, Cl. A5, 4.85%, 2/18/14 1,870,000 1,899,507 CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 3,350,000 3,335,540 Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(3) 493,689 518,881 Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/11(3) 1,233,627 1,235,732 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 453,292 Citibank Omni Master Trust, Credit Card Receivables, Series 2009-A8, Cl. A8, 2.353%, 5/16/16(3,4) 2,015,000 2,043,694 CNH Equipment Trust, Asset-Backed Certificates: Series 2009-B, Cl. A3, 2.97%, 3/15/13 746,635 750,927 Series 2010-A, Cl. A2, 0.81%, 3/25/15 2,110,000 2,111,495 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.993%, 2/25/33(4) 33,827 30,740 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36(4) 708,358 573,999 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36(4) 407,031 328,538 CWABS Asset-Backed Certificates Trust 2005-4, Asset-Backed Certificates, Series 2005-4, Cl. MF7, 5.733%, 10/1/35 5,850,000 1,327,380 CWABS Asset-Backed Certificates Trust 2006-10, Asset-Backed Certificates: Series 2006-10, Cl. MF4, 6.116%, 9/1/46(4) 2,550,000 380,619 Series 2006-10, Cl. MF5, 6.116%, 9/1/46(4) 2,465,000 331,168 CWABS Asset-Backed Certificates Trust 2007-4, Asset-Backed Certificates, Series 2007-4, Cl. M2, 5.931%, 9/1/37 2,000,000 332,007 CWHEQ Home Equity Loan Trust, Home Equity Loan Asset-Backed Certificates: Series 2006-S2, Cl. A2, 5.627%, 7/1/27 25,153 22,799 Series 2006-S5, Cl. A2, 5.681%, 6/1/35 12,919,171 9,782,881 DaimlerChrysler Auto Trust 2007-A, Automobile Receivable Nts., Series 2007-A, Cl. A4, 5.28%, 3/8/13 1,912,408 1,961,092 DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(3) 1,034,263 1,038,071 Ford Credit Auto Lease Trust, Automobile Receivable Nts.: Series 2010-A, Cl. A, 1.04%, 3/15/13(3) 1,041,691 1,042,934 Series 2010-B, Cl. A2, 0.75%, 10/15/12(2) 1,730,000 1,727,607 Ford Credit Auto Owner Trust, Automobile Receivable Nts.: Series 2009-E, Cl. A2, 0.80%, 3/15/12 2,121,621 2,122,664 Series 2010-A, Cl. A4, 2.15%, 6/15/15 2,425,000 2,488,972 Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.803%, 9/15/12(4) 1,700,000 1,726,803
11 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- ASSET-BACKED SECURITIES CONTINUED Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.903%, 12/15/14(3, 4) $ 1,770,000 $ 1,804,642 GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 870,000 904,252 GMACM Home Equity Loan Trust 2007-HE2, GMACM Home Equity Loan-Backed Term Nts.: Series 2007-HE2, Cl. A2, 6.054%, 12/1/37 16,596,904 9,996,672 Series 2007-HE2, Cl. A4, 6.424%, 12/1/37(4) 11,795,234 6,689,130 Harley-Davidson Motorcycle Trust 2006-3, Motorcycle Contract-Backed Nts., Series 2006-3, Cl. A4, 5.22%, 6/15/13 815,325 831,262 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 447,180 447,501 Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Class A1, 2.60%, 2/15/14(3) 1,710,000 1,735,638 Home Equity Mortgage Trust 2005-HF1, Home Equity Loan-Backed Nts.: Series 2005-HF1, Cl. A2B, 0.603%, 2/25/36(4) 1,592,278 942,781 Series 2005-HF1, Cl. A2B, 0.603%, 2/25/36(4) 1,199,290 710,094 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 77,998 78,032 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.513%, 1/20/35(4) 610,635 586,226 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.603%, 3/15/16(4) 1,800,000 1,774,514 Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.313%, 12/15/13(4) 1,181,110 1,178,045 Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.506%, 6/17/11(3, 4) 1,315,000 1,311,512 Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.903%, 1/26/15(3, 4) 2,850,000 2,857,384 Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1%, 12/15/13 1,540,000 1,538,249 Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.403%, 1/15/13(3, 4) 1,720,000 1,741,031 Santander Drive Auto Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 1,635,000 1,635,133 Santander Drive Auto Receivables Trust 2010-3, Automobile Receivable Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 1,670,000 1,665,955 Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 1,300,000 1,301,184 Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 1,530,000 1,526,502 World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 1,680,000 1,728,356 --------------- Total Asset-Backed Securities (Cost $127,518,849) 133,778,755 --------------- U.S. GOVERNMENT OBLIGATIONS--0.6% Federal Home Loan Mortgage Corp. Nts.: 1.75%, 9/10/15 2,125,000 2,134,981
12 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- U.S. GOVERNMENT OBLIGATIONS CONTINUED 2.875%, 2/9/15 $ 435,000 $ 462,097 5%, 2/16/17 910,000 1,058,373 5.25%, 4/18/16 1,600,000 1,880,482 Federal National Mortgage Assn. Nts.: 1.625%, 10/26/15 2,370,000 2,368,827 4.875%, 12/15/16 760,000 881,467 5%, 3/15/16 1,010,000 1,172,373 --------------- Total U.S. Government Obligations (Cost $9,679,034) 9,958,600 --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--16.2% CONSUMER DISCRETIONARY--2.2% AUTO COMPONENTS--0.1% BorgWarner, Inc., 4.625% Sr. Unsec. Unsub. Nts., 9/15/20 1,484,000 1,523,891 AUTOMOBILES--0.1% DaimlerChrysler North America Holding Corp./Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 1,518,000 1,735,086 DIVERSIFIED CONSUMER SERVICES--0.1% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 1,630,000 1,687,050 HOTELS, RESTAURANTS & LEISURE--0.3% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(3) 2,450,000 2,616,198 Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 1,810,000 2,031,524 --------------- 4,647,722 --------------- HOUSEHOLD DURABLES--0.3% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 1,255,000 1,362,452 Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 1,695,000 1,654,744 Whirlpool Corp., 8% Sr. Unsec. Nts., 5/1/12 1,290,000 1,399,284 --------------- 4,416,480 --------------- LEISURE EQUIPMENT & PRODUCTS--0.2% Mattel, Inc.: 5.625% Sr. Unsec. Nts., 3/15/13 1,475,000 1,595,736 6.125% Sr. Unsec. Nts., 6/15/11 1,610,000 1,651,198 --------------- 3,246,934 --------------- MEDIA--0.9% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 1,580,000 2,031,137 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 995,000 1,407,394 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 2,915,000 3,253,886 Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 1,313,000 1,456,605 Interpublic Group of Co., Inc. (The), 10% Sr. Unsec. Nts., 7/15/17 1,390,000 1,626,300 Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 1,540,000 1,767,150 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 876,000 1,109,881 Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 928,000 1,083,794 Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/18 1,620,000 1,719,225 --------------- 15,455,372 --------------- SPECIALTY RETAIL--0.2% Limited Brands, Inc., 7% Sr. Unsec. Unsub. Nts., 5/1/20 1,682,000 1,799,740
13 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED SPECIALTY RETAIL CONTINUED Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 $ 2,120,000 $ 2,167,193 --------------- 3,966,933 --------------- CONSUMER STAPLES--1.3% BEVERAGES--0.3% Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(3) 2,405,000 3,091,178 Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 1,469,000 1,625,081 --------------- 4,716,259 --------------- FOOD & STAPLES RETAILING--0.1% Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40(3) 1,045,000 1,030,911 FOOD PRODUCTS--0.7% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 463,000 493,194 8.50% Sr. Unsec. Nts., 6/15/19 900,000 1,076,651 Chiquita Brands International, Inc., 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 10,150,000 --------------- 11,719,845 --------------- TOBACCO--0.2% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 1,798,000 2,597,862 Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 985,000 1,039,928 --------------- 3,637,790 --------------- ENERGY--1.5% ENERGY EQUIPMENT & SERVICES--0.2% Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 2,789,000 2,886,930 Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 1,059,000 1,076,844 --------------- 3,963,774 --------------- OIL, GAS & CONSUMABLE FUELS--1.3% Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 1,530,000 1,675,350 Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 1,175,000 1,345,525 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 1,595,000 1,611,488 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,960,000 3,228,232 Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,430,000 1,535,332 ONEOK Partners LP, 7.10% Sr. Unsec. Nts., 3/15/11 700,000 711,450 Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 1,057,000 1,157,415 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(3) 945,000 1,036,386 Rockies Express Pipeline LLC: 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(3) 1,845,000 1,860,059 5.625% Sr. Unsec. Unsub. Nts., 4/15/20(3) 1,135,000 1,125,961 Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 1,598,000 1,809,735 Valero Logistics Operations LP, 6.05% Nts., 3/15/13 130,000 139,068 Williams Partners LP, 4.125% Sr. Unsec. Nts., 11/15/20 1,135,000 1,118,583
14 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED OIL, GAS & CONSUMABLE FUELS CONTINUED Woodside Finance Ltd., 4.50% Nts., 11/10/14(3) $ 2,385,000 $ 2,550,605 --------------- 20,905,189 --------------- FINANCIALS--6.3% CAPITAL MARKETS--1.1% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(3) 2,410,000 2,511,488 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 1,785,000 1,666,078 Goldman Sachs Group, Inc. (The), 5.375% Sr. Unsec. Unsub. Nts., 3/15/20 1,752,000 1,798,731 Macquarie Group Ltd., 4.875% Sr. Unsec. Nts., 8/10/17(3) 2,678,000 2,669,361 Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(3) 709,000 725,820 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 4,020,000 4,247,440 6.25% Sr. Unsec. Nts., 8/28/17 1,000,000 1,086,552 TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 1,620,000 1,661,877 UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 1,664,000 1,688,526 --------------- 18,055,873 --------------- COMMERCIAL BANKS--1.1% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(3) 1,635,000 1,665,364 Barclays Bank plc, 6.278% Perpetual Bonds(10) 3,630,000 3,139,950 BNP Paribas SA, 5.186% Sub. Perpetual Nts.(3,10) 1,755,000 1,627,763 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(4) 4,290,000 3,993,990 Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(3) 1,675,000 1,545,404 Royal Bank of Scotland (The) plc, 5.625% Sr. Unsec. Unsub. Nts., 8/24/20 1,635,000 1,603,695 Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 1,578,000 1,613,816 Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(10) 3,432,000 3,620,760 --------------- 18,810,742 --------------- CONSUMER FINANCE--0.4% American Express Bank FSB, 5.55% Sr. Unsec. Nts., 10/17/12 1,435,000 1,537,684 Capital One Capital IV, 6.745% Sub. Bonds, 2/17/37(4) 2,660,000 2,653,350 Discover Bank, 7% Sub. Nts., 4/15/20 1,620,000 1,760,807 --------------- 5,951,841 --------------- DIVERSIFIED FINANCIAL SERVICES--1.2% Bank of America Corp., 8% Unsec. Perpetual Bonds, Series K(10) 1,643,000 1,643,728 Citigroup, Inc.: 5.375% Sr. Unsec. Nts., 8/9/20 3,220,000 3,295,606 6.01% Sr. Unsec. Nts., 1/15/15 1,650,000 1,801,406 ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(10) 1,835,000 1,550,575 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(10) 9,315,000 9,943,651 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 2,433,000 2,577,019 --------------- 20,811,985 ---------------
15 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED INSURANCE--2.1% American International Group, Inc.: 5.85% Sr. Unsec. Nts., Series G, 1/16/18 $ 3,127,000 $ 3,158,270 6.40% Sr. Unsec. Unsub. Nts., 12/15/20(9) 1,633,000 1,628,771 Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 1,247,000 1,311,840 Genworth Financial, Inc., 8.625% Sr. Unsec. Unsub. Nts., 12/15/16 2,800,000 3,117,671 Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(3) 1,538,000 1,632,633 Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 1,685,000 1,739,562 Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(3) 2,230,000 2,019,205 Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 3,235,000 3,016,638 MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 5,000,000 6,754,885 PartnerRe Finance B LLC, 5.50% Sr. Unsec. Nts., 6/1/20 1,545,000 1,603,415 Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 1,608,000 1,672,873 RenRe North America Holdings, Inc., 5.75% Sr. Unsec. Nts., 3/15/20 1,670,000 1,744,940 Swiss Re Capital I LP, 6.854% Perpetual Bonds(3,10) 3,171,000 3,137,026 ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/32(3) 1,895,000 1,819,357 --------------- 34,357,086 --------------- REAL ESTATE INVESTMENT TRUSTS--0.4% AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 715,000 745,282 Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 859,000 886,571 Liberty Property LP, 7.25% Sr. Unsec. Unsub. Nts., 3/15/11 1,670,000 1,695,249 Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 652,000 671,114 Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 1,600,000 1,649,667 WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(3) 751,000 800,275 --------------- 6,448,158 --------------- HEALTH CARE--0.6% BIOTECHNOLOGY--0.2% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 1,675,000 1,676,022 Genzyme Corp., 5% Sr. Unsec. Nts., 6/15/20 1,600,000 1,747,646 --------------- 3,423,668 --------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.1% Hospira, Inc., 5.60% Sr. Unsec. Unsub. Nts., 9/15/40 1,335,000 1,328,165 HEALTH CARE PROVIDERS & SERVICES--0.2% Laboratory Corp. of America Holdings, 4.625% Nts., 11/15/20 1,233,000 1,252,659 Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 1,786,000 1,749,982 WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 1,360,000 1,366,763 --------------- 4,369,404 --------------- PHARMACEUTICALS--0.1% Mylan, Inc., 6% Sr. Nts., 11/15/18(3) 1,730,000 1,691,075
16 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED INDUSTRIALS--1.0% AEROSPACE & DEFENSE--0.2% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 $ 1,630,000 $ 1,662,600 BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 1,458,000 1,589,220 --------------- 3,251,820 --------------- COMMERCIAL SERVICES & SUPPLIES--0.3% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 560,000 672,844 Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 1,661,000 1,818,795 R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 1,615,000 1,658,867 Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 1,240,000 1,287,032 --------------- 5,437,538 --------------- INDUSTRIAL CONGLOMERATES--0.2% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 1,490,000 1,553,748 5.25% Sr. Unsec. Nts., 10/19/12 100,000 107,348 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 1,370,000 1,690,487 --------------- 3,351,583 --------------- MACHINERY--0.1% SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 1,510,000 1,647,788 PROFESSIONAL SERVICES--0.1% FTI Consulting, Inc., 6.75% Sr. Nts., 10/1/20(3) 1,682,000 1,707,230 ROAD & RAIL--0.1% CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 1,710,000 1,711,163 INFORMATION TECHNOLOGY--0.8% COMMUNICATIONS EQUIPMENT--0.3% Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40(9) 3,025,000 3,027,908 Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 1,555,000 1,648,501 --------------- 4,676,409 --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.4% Agilent Technologies, Inc., 5% Sr. Unsec. Unsub. Nts., 7/15/20 2,894,000 3,046,233 Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 3,045,000 3,002,888 --------------- 6,049,121 --------------- SOFTWARE--0.1% Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 2,142,000 2,044,882 MATERIALS--1.0% CHEMICALS--0.4% Airgas, Inc., 3.25% Sr. Nts., 10/1/15 1,427,000 1,430,443 Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 1,495,000 1,722,988 CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 1,641,000 1,805,100 Potash Corp., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 989,000 998,471 --------------- 5,957,002 --------------- CONTAINERS & PACKAGING--0.3% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 1,790,000 1,946,625 Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 1,975,000 2,169,263 Sonoco Products Co., 5.75% Sr. Unsec. Unsub. Nts., 11/1/40 834,000 833,359 --------------- 4,949,247 ---------------
17 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED METALS & MINING--0.3% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 $ 2,365,000 $ 2,644,990 Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 97,000 107,039 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,190,000 1,295,417 6% Sr. Unsec. Unsub. Nts., 10/15/15 1,071,000 1,197,376 --------------- 5,244,822 --------------- TELECOMMUNICATION SERVICES--0.8% DIVERSIFIED TELECOMMUNICATION SERVICES--0.7% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 1,513,000 1,613,695 British Telecommunications plc, 9.875% Bonds, 12/15/30 1,010,000 1,347,174 Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 1,590,000 1,734,582 Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 1,630,000 1,801,150 Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 1,517,000 1,755,928 Telus Corp., 8% Nts., 6/1/11 830,000 857,373 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 993,000 1,106,310 Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 1,550,000 1,615,875 --------------- 11,832,087 --------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,156,000 1,346,740 UTILITIES--0.7% ELECTRIC UTILITIES--0.4% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(3) 1,455,000 1,571,042 FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 993,000 992,989 Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 1,100,000 1,116,305 Northeast Utilities, 7.25% Sr. Unsec. Nts., 4/1/12 1,620,000 1,743,389 Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(3) 1,710,000 2,223,949 --------------- 7,647,674 --------------- GAS UTILITIES--0.1% AmeriGas Partners LP, 7.25% Sr. Unsec. Nts., 5/20/15 1,585,000 1,624,625 MULTI-UTILITIES--0.2% NiSource Finance Corp., 10.75% Sr. Unsec. Nts., 3/15/16 2,048,000 2,709,010 --------------- Total Non-Convertible Corporate Bonds and Notes (Cost $255,498,610) 269,089,974 --------------- CONVERTIBLE CORPORATE BONDS AND NOTES--11.0% CONSUMER DISCRETIONARY--0.6% MEDIA--0.6% Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 13,500,000 9,095,625 CONSUMER STAPLES--1.8% FOOD & STAPLES RETAILING--0.9% Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 15,000,000 14,662,500 FOOD PRODUCTS--0.9% Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec. Unsub. Nts., 8/15/16 17,600,000 15,884,000
18 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED ENERGY--0.8% ENERGY EQUIPMENT & SERVICES--0.7% Transocean, Inc., 1.625% Cv. Sr. Unsec. Unsub. Nts., Series A, 12/15/37 $ 11,000,000 $ 10,917,500 OIL, GAS & CONSUMABLE FUELS--0.1% Carrizo Oil & Gas, Inc., 4.375% Cv. Sr. Unsec. Nts., 6/1/28 2,412,000 2,333,610 FINANCIALS--0.6% COMMERCIAL BANKS--0.6% PNC Financial Services Group, Inc., 4% Cv. Sr. Unsec. Nts., 2/1/11 9,500,000 9,571,250 HEALTH CARE--3.0% BIOTECHNOLOGY--1.3% Amylin Pharmaceuticals, Inc.: 2.50% Cv. Sr. Unsec. Nts., 4/15/11 10,103,000 10,090,371 3% Cv. Sr. Unsec. Nts., 6/15/14 13,000,000 11,261,250 --------------- 21,351,621 --------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.7% Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/37(4) 12,000,000 11,190,000 HEALTH CARE PROVIDERS & SERVICES--0.5% LifePoint Hospitals, Inc.: 3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 4,000,000 4,015,000 3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 5,000,000 5,056,250 --------------- 9,071,250 --------------- PHARMACEUTICALS--0.5% Biovail Corp., 5.375% Cv. Sr. Unsec. Nts., 8/1/14(3) 4,200,000 8,116,500 INDUSTRIALS--0.9% ELECTRICAL EQUIPMENT--0.3% General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/29(4) 4,925,000 5,645,281 MACHINERY--0.6% Navistar International Corp., 3% Cv. Sr. Sub. Nts., 10/15/14 7,550,000 9,352,563 INFORMATION TECHNOLOGY--2.3% COMMUNICATIONS EQUIPMENT--1.6% Alcatel-Lucent USA, Inc., 2.875% Cv. Sr. Unsec. Unsub. Debs., Series B, 6/15/25 22,210,000 21,182,788 Ciena Corp., 3.75% Cv. Sr. Unsec. Nts., 10/15/18(3) 5,083,000 5,178,306 --------------- 26,361,094 --------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.7% Advanced Micro Devices, Inc.: 5.75% Cv. Sr. Unsec. Nts., 8/15/12 5,203,000 5,307,060 6% Cv. Sr. Unsec. Nts., 5/1/15 7,007,000 7,050,794 --------------- 12,357,854 --------------- TELECOMMUNICATION SERVICES--1.0% WIRELESS TELECOMMUNICATION SERVICES--1.0% NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 17,750,000 17,328,424 --------------- Total Convertible Corporate Bonds and Notes (Cost $163,906,114) 183,239,072 ---------------
19 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited)
Principal Amount Value ------------- --------------- EVENT-LINKED BONDS--0.7% Calypso Capital Ltd. Catastrophe Linked Nts., Series 2010-1, Cl. A, 4.394%, 1/10/14(3, 4) $ 2,041,000 $ 2,649,440 Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.186%, 8/10/11(3, 4) 2,000,000 2,029,800 Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.75%, 2/3/14(3, 4) 2,100,000 2,102,520 Longpoint Re Ltd. Catastrophe Linked Nts., 5.40%, 12/24/12(3, 4) 1,606,000 1,635,872 Midori Ltd. Catastrophe Linked Nts., 3.039%, 10/24/12(3, 4) 3,000,000 2,997,000 --------------- Total Event-Linked Bonds (Cost $11,452,867) 11,414,632 ---------------
Expiration Strike Date Price Contracts ---------- ------ --------- OPTIONS PURCHASED--0.0% Euro (EUR) Call(1) 4/25/11 $1.10 2,000,000 277,948 Euro (EUR) Call(1) 6/15/11 1.00 4,000,000 311,145 ------- Total Options Purchased (Cost $1,365,000) 589,093 -------
Exercise Notional Date Amount -------- ----------- SWAPTIONS PURCHASED--0.1% Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swap call option; Swap Terms-Receive Three-Month USD BBA LIBOR and pay 5.28%; terminating 10/19/25(1) 10/15/15 $20,000,000 553,908 Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swap call option; Swap Terms-Receive Three-Month USD BBA LIBOR and pay 5.445%; terminating 11/9/25(1) 11/5/15 20,000,000 446,287 --------- Total Swaptions Purchased (Cost $1,040,000) 1,000,195 ---------
SHARES ----------- INVESTMENT COMPANY--17.9% Oppenheimer Institutional Money Market Fund, Cl. E, 0.21% (11,12) (Cost $297,358,247) 297,358,247 297,358,247 TOTAL INVESTMENTS, AT VALUE (COST $1,780,598,362) 114.8% 1,910,832,832 LIABILITIES IN EXCESS OF OTHER ASSETS (14.8) (246,464,037) ----------- -------------- NET ASSETS 100.0% $1,664,368,795 =========== ==============
FOOTNOTES TO STATEMENT OF INVESTMENTS (1.) Non-income producing security. 20 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) (2.) Restricted security. The aggregate value of restricted securities as of November 30, 2010 was $51,674,038, which represents 3.10% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATE COST VALUE (DEPRECIATION) - -------- ----------- ----------- ----------- -------------- Airspeed Ltd., Airplane Receivables, Series 2007-1A, Cl. G1, 7/28/10- 0.523%, 6/15/32 10/21/10 $30,136,597 $31,080,358 $ 943,761 Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.253%, 9/15/41 11/10/09 8,170,105 9,659,823 1,489,718 Bond Street Holdings LLC, Cl. A 11/4/09 7,500,000 7,687,500 187,500 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.- Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/20 10/27/10 1,504,945 1,518,750 13,805 Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/12 10/21/10 1,729,966 1,727,607 (2,359) ----------- ----------- ---------- $49,041,613 $51,674,038 $2,632,425 =========== =========== ==========
(3.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $96,764,486 or 5.81% of the Fund's net assets as of November 30, 2010. (4.) Represents the current interest rate for a variable or increasing rate security. (5.) All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,084,937. See accompanying Notes. (6.) Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $19,869,095 or 1.19% of the Fund's net assets as of November 30, 2010. (7.) 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. (8.) 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 $424,511 or 0.03% of the Fund's net assets as of November 30, 2010. (9.) When-issued security or delayed delivery to be delivered and settled after November 30, 2010. See accompanying Notes. (10.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (11.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 30, 2010, 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, 2010 ADDITIONS REDUCTIONS NOVEMBER 30, 2010 --------------- ----------- ----------- ----------------- Oppenheimer Institutional Money Market Fund, Cl. E 323,019,783 183,165,661 208,827,197 297,358,247
VALUE INCOME ------------ -------- Oppenheimer Institutional Money Market Fund, Cl. E $297,358,247 $190,970
(12.) Rate shown is the 7-day yield as of November 30, 2010. 21 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (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, 2010 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 48,662,312 $ -- $ -- $ 48,662,312 Consumer Staples 60,098,908 -- -- 60,098,908 Energy 46,675,542 -- -- 46,675,542 Financials 68,776,230 7,687,500 -- 76,463,730 Health Care 70,621,230 -- -- 70,621,230 Industrials 43,172,054 -- -- 43,172,054 Information Technology 72,342,162 -- -- 72,342,162 Materials 30,691,502 -- -- 30,691,502 Telecommunication Services 14,639,275 -- -- 14,639,275 Utilities 24,984,725 -- -- 24,984,725 Preferred Stocks 6,909,000 11,382,796 -- 18,291,796 Rights, Warrants and Certificates 182,486 -- -- 182,486 Mortgage-Backed Obligations -- 496,224,829 1,353,713 497,578,542 Asset-Backed Securities -- 133,778,755 -- 133,778,755 U.S. Government Obligations -- 9,958,600 -- 9,958,600 Non-Convertible Corporate Bonds and Notes -- 269,089,974 -- 269,089,974 Convertible Corporate Bonds and Notes -- 183,239,072 -- 183,239,072 Event-Linked Bonds -- 11,414,632 -- 11,414,632 Options Purchased -- 589,093 -- 589,093 Swaptions Purchased -- 1,000,195 -- 1,000,195 Investment Company 297,358,247 -- -- 297,358,247 ------------ -------------- ---------- -------------- Total Investments, at Value 785,113,673 1,124,365,446 1,353,713 1,910,832,832 OTHER FINANCIAL INSTRUMENTS: Foreign currency exchange contracts -- 131,380 -- 131,380 Futures margins 260,552 -- -- 260,552 Depreciated swaps, at value -- 439,900 -- 439,900 ------------ -------------- ---------- -------------- Total Assets $785,374,225 $1,124,936,726 $1,353,713 $1,911,664,664 ------------ -------------- ---------- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Futures margins $ (114,699) $ -- $ -- $ (114,699) Depreciated swaps, at value -- (731,601) -- (731,601) ------------ -------------- ---------- -------------- Total Liabilities $ (114,699) $ (731,601) $ -- $ (846,300) ------------ -------------- ---------- --------------
22 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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 METHODOLOGIES, IF ANY, DURING THE REPORTING PERIOD. FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF NOVEMBER 30, 2010 ARE AS FOLLOWS:
COUNTERPARTY/CONTRACT CONTRACT AMOUNT EXPIRATION UNREALIZED DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION - --------------------- -------- --------------- ---------- ---------- ------------ ABN AMRO Euro (EUR) Sell 2,041 EUR 2/17/11 $2,648,462 $131,380
FUTURES CONTRACTS AS OF NOVEMBER 30, 2010 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) - -------------------- -------- --------- ---------- ----------- -------------- U.S. Long Bonds Buy 348 3/22/11 $44,293,875 $237,707 U.S. Treasury Nts., 2 yr. Sell 342 3/31/11 75,026,250 (92,171) U.S. Treasury Nts., 5 yr. Sell 165 3/31/11 19,775,508 (15,827) U.S. Treasury Nts., 10 yr. Buy 372 3/22/11 46,168,688 59,944 US Ultra Bonds Buy 7 3/22/11 924,875 20,281 -------- $209,934 ========
CREDIT DEFAULT SWAP CONTRACTS AS OF NOVMEBER 30, 2010 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT REFERENCE ENTITY/ CREDIT AMOUNT FIXED RECEIVED/ UNREALIZED SWAP COUNTERPARTY PROTECTION (000'S) RATE TERMINATION DATE (PAID) VALUE DEPRECIATION - ----------------- ---------- -------- ------- ---------------- --------- --------- ------------ REPUBLIC OF GERMANY Goldman Sachs International Buy $50,000 0.25% 9/20/15 $(596,126) $ 439,900 $156,226 ------- --------- --------- -------- Total 50,000 (596,126) 439,900 156,226 ------- --------- --------- -------- STARWOOD HOTELS & RESORTS (ITT) Goldman Sachs International Buy 5,000 5.00 9/20/14 290,566 (731,601) 441,035 ------- --------- --------- -------- Total 5,000 290,566 (731,601) 441,035 ------- --------- --------- -------- Grand Total Buys (305,560) (291,701) 597,261 Grand Total Sells -- -- -- --------- --------- -------- Total Credit Default Swaps $(305,560) $(291,701) $597,261 ========= ========= ========
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 23 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. Event-linked bonds are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Prices are determined based upon information obtained from market participants including reported trade data and broker-dealer price quotations. Swap contracts are valued utilizing price quotations obtained from broker-dealer counterparties or independent pricing services. Values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from independent pricing services. "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 of the Fund during the period. 24 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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 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, 2010, 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 $299,913,944 Sold securities 44,644,090
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. 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, 25 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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. 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. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. 26 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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, 2010, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $2,160,568, 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. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, 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 $1,297,587 as of November 30, 2010. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. 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, 2010 the Fund has required certain counterparties to post collateral of $541,699. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into foreign currency exchange contracts ("forward contracts") for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the 27 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. During the period ended November 30, 2010, the Fund had average contract amounts on forward foreign currency contracts to buy and sell of $39,963 and $896,071, respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. 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. 28 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) During the period ended November 30, 2010, the Fund had an average market value of $130,865,746 and $73,947,602 on futures contracts purchased and sold, respectively. 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. Options written, if any, 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. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. The Fund has purchased call options on currencies to increase exposure to foreign exchange rate 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. During the period ended November 30, 2010, the Fund had an average market value of $530,764 and $69,000 on purchased call options and purchased put options, respectively. 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. 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 29 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes. The Fund has 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. For the period ended November 30, 2010, the Fund had average notional amounts of $56,610,000 and $1,610,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively. 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 30 | Oppenheimer Capital Income Fund Oppenheimer Capital Income Fund STATEMENT OF INVESTMENTS November 30, 2010 (Unaudited) 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 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 purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate. During the period ended November 30, 2010, the Fund had an average market value of $375,540 on purchased call swaptions. RESTRICTED SECURITIES As of November 30, 2010, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. FEDERAL TAXES. 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, 2010 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 $1,784,642,606 Federal tax cost of other investments (3,318,694) -------------- Total federal tax cost $1,781,323,912 ============== Gross unrealized appreciation $ 141,299,317 Gross unrealized depreciation (15,496,418) -------------- Net unrealized appreciation $ 125,802,899 ==============
31 | 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 11/30/2010, 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, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 01/11/2011 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, Jr. --------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 01/11/2011 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 01/11/2011 EX-99.CERT 2 g07428exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, William F. Glavin, Jr., 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, Jr. - ------------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 01/11/2011 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: 01/11/2011 -----END PRIVACY-ENHANCED MESSAGE-----