0000950123-11-067932.txt : 20110726
0000950123-11-067932.hdr.sgml : 20110726
20110725175037
ACCESSION NUMBER: 0000950123-11-067932
CONFORMED SUBMISSION TYPE: N-Q
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20110531
FILED AS OF DATE: 20110726
DATE AS OF CHANGE: 20110725
EFFECTIVENESS DATE: 20110726
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: 11985582
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
C000096103
Y
N-Q
1
g59275nvq.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: 05/31/2011
===============================================================================
ITEM 1. SCHEDULE OF INVESTMENTS.
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Shares Value
-----------------------------------------------------------------------------------
COMMON STOCKS-31.0%
-----------------------------------------------------------------------------------
CONSUMER DISCRETIONARY-2.5%
-----------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS-0.4%
Mattel, Inc. 270,000 $ 7,126,650
-----------------------------------------------------------------------------------
MEDIA-1.5%
Cinemark Holdings, Inc. 428,000 9,309,000
-----------------------------------------------------------------------------------
Comcast Corp., Cl. A 354,000 8,934,960
-----------------------------------------------------------------------------------
Time Warner Cable, Inc. 102,500 7,915,050
-----------
26,159,010
-----------------------------------------------------------------------------------
MULTILINE RETAIL-0.6%
Target Corp. 200,000 9,906,000
-----------------------------------------------------------------------------------
CONSUMER STAPLES-4.6%
-----------------------------------------------------------------------------------
BEVERAGES-1.1%
Coca-Cola Co. (The) 278,000 18,573,180
-----------------------------------------------------------------------------------
FOOD & STAPLES RETAILING-0.9%
Wal-Mart Stores, Inc. 131,000 7,233,820
-----------------------------------------------------------------------------------
Walgreen Co. 184,000 8,027,920
-----------
15,261,740
-----------------------------------------------------------------------------------
FOOD PRODUCTS-0.8%
Adecoagro SA(1) 458,290 5,788,203
-----------------------------------------------------------------------------------
B&G Foods, Inc., Cl. A 152,500 2,827,350
-----------------------------------------------------------------------------------
Sao Martinho SA 200,900 3,092,924
-----------------------------------------------------------------------------------
SLC Agricola SA 215,000 2,779,908
-----------
14,488,385
-----------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS-1.0%
Church & Dwight Co., Inc. 193,000 16,231,300
-----------------------------------------------------------------------------------
TOBACCO-0.8%
Philip Morris International, Inc. 193,000 13,847,750
-----------------------------------------------------------------------------------
ENERGY-3.6%
-----------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES-0.5%
Nabors Industries Ltd.(1) 146,000 4,071,940
-----------------------------------------------------------------------------------
Schlumberger Ltd. 63,000 5,400,360
-----------
9,472,300
-----------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS-3.1%
Apache Corp. 23,500 2,928,100
-----------------------------------------------------------------------------------
Chevron Corp. 101,400 10,637,874
-----------------------------------------------------------------------------------
Enbridge Energy Management LLC(1) 1 3
-----------------------------------------------------------------------------------
Exxon Mobil Corp. 227,800 19,014,471
-----------------------------------------------------------------------------------
Kinder Morgan Management LLC(1) 1 23
-----------------------------------------------------------------------------------
Kinder Morgan, Inc. 96,390 2,823,263
-----------------------------------------------------------------------------------
Noble Energy, Inc. 33,000 3,075,600
-----------------------------------------------------------------------------------
Royal Dutch Shell plc, ADR 43,000 3,071,490
-----------------------------------------------------------------------------------
Royal Dutch Shell plc, B Shares 305,953 11,119,252
-----------
52,670,076
-----------------------------------------------------------------------------------
FINANCIALS-4.9%
-----------------------------------------------------------------------------------
CAPITAL MARKETS-0.7%
Bond Street Holdings LLC, Cl. A(1,2) 375,000 7,687,500
-----------------------------------------------------------------------------------
1 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Shares Value
----------------------------------------------------------------------------------------------
COMMON STOCKS CONTINUED
----------------------------------------------------------------------------------------------
CAPITAL MARKETS CONTINUED
Goldman Sachs Group, Inc. (The) 33,000 $ 4,644,090
-----------
12,331,590
----------------------------------------------------------------------------------------------
COMMERCIAL BANKS-1.9%
M&T Bank Corp. 88,000 7,770,400
----------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc. 192,000 11,984,640
----------------------------------------------------------------------------------------------
U.S. Bancorp 250,000 6,400,000
----------------------------------------------------------------------------------------------
Wells Fargo & Co. 209,000 5,929,330
-----------
32,084,370
----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES-0.1%
JPMorgan Chase & Co. 17,000 735,080
----------------------------------------------------------------------------------------------
INSURANCE-1.0%
Everest Re Group Ltd. 60,350 5,369,340
----------------------------------------------------------------------------------------------
MetLife, Inc. 153,200 6,756,120
----------------------------------------------------------------------------------------------
UnumProvident Corp. 200,000 5,262,000
-----------
17,387,460
REAL ESTATE INVESTMENT TRUSTS-1.2%
American Assets Trust, Inc. 205,000 4,596,100
----------------------------------------------------------------------------------------------
Apollo Commercial Real Estate Finance, Inc. 40,000 653,200
----------------------------------------------------------------------------------------------
General Growth Properties, Inc. 249,926 4,118,780
----------------------------------------------------------------------------------------------
Public Storage 25,000 2,958,500
----------------------------------------------------------------------------------------------
Starwood Property Trust, Inc. 392,130 8,524,906
-----------
20,851,486
----------------------------------------------------------------------------------------------
HEALTH CARE-4.0%
----------------------------------------------------------------------------------------------
BIOTECHNOLOGY-0.7%
Gilead Sciences, Inc.(1) 245,000 10,226,300
----------------------------------------------------------------------------------------------
NPS Pharmaceuticals, Inc.(1) 242,470 2,320,438
-----------
12,546,738
HEALTH CARE EQUIPMENT & SUPPLIES-0.6%
Medtronic, Inc. 100,000 4,070,000
----------------------------------------------------------------------------------------------
Zimmer Holdings, Inc.(1) 90,000 6,098,400
-----------
10,168,400
----------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES-0.8%
HCA Holdings, Inc.(1) 61,550 2,147,480
----------------------------------------------------------------------------------------------
Humana, Inc.(1) 49,000 3,945,970
----------------------------------------------------------------------------------------------
UnitedHealth Group, Inc. 160,000 7,832,000
-----------
13,925,450
----------------------------------------------------------------------------------------------
PHARMACEUTICALS-1.9%
Mylan, Inc.1 143,998 3,390,433
----------------------------------------------------------------------------------------------
Pfizer, Inc. 1,006,400 21,587,280
----------------------------------------------------------------------------------------------
Watson Pharmaceuticals, Inc.(1) 100,000 6,435,000
-----------
31,412,713
INDUSTRIALS-2.7%
----------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE-1.0%
AerCap Holdings NV1 1,197,280 16,235,117
2 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Shares Value
---------------------------------------------------------------------------------------------
COMMON STOCKS CONTINUED
---------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES-0.3%
Republic Services, Inc. 145,000 $ 4,570,400
---------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT-0.3%
Cooper Industries plc 57,300 3,601,305
---------------------------------------------------------------------------------------------
General Cable Corp.(1) 51,200 2,137,600
-----------
5,738,905
---------------------------------------------------------------------------------------------
MACHINERY-1.1%
Ingersoll-Rand plc 240,000 11,976,000
---------------------------------------------------------------------------------------------
WABCO Holdings, Inc.(1) 97,800 6,704,190
-----------
18,680,190
---------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY-4.7%
---------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT-0.3%
QUALCOMM, Inc. 86,500 5,068,035
---------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS-0.6%
Apple, Inc.(1) 28,600 9,947,938
---------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES-0.3%
VeriSign, Inc. 147,000 5,147,940
---------------------------------------------------------------------------------------------
IT SERVICES-1.2%
Accenture plc, Cl. A 100,000 5,739,000
---------------------------------------------------------------------------------------------
International Business Machines Corp. 86,700 14,646,231
-----------
20,385,231
---------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-0.7%
Atmel Corp.(1) 340,000 5,106,800
---------------------------------------------------------------------------------------------
Xilinx, Inc. 180,000 6,422,400
-----------
11,529,200
---------------------------------------------------------------------------------------------
SOFTWARE-1.6%
Microsoft Corp. 515,000 12,880,150
---------------------------------------------------------------------------------------------
Oracle Corp. 440,000 15,056,800
-----------
27,936,950
---------------------------------------------------------------------------------------------
MATERIALS-1.7%
---------------------------------------------------------------------------------------------
CHEMICALS-1.0%
Celanese Corp., Series A 287,000 14,949,830
---------------------------------------------------------------------------------------------
Mosaic Co. (The) 25,000 1,771,250
-----------
16,721,080
---------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING-0.7%
Rock-Tenn Co., Cl. A 165,469 12,712,983
---------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES-1.0%
---------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES-0.5%
AT&T, Inc. 232,500 7,337,700
---------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES-0.5%
Vodafone Group plc, Sponsored ADR 320,000 8,969,600
---------------------------------------------------------------------------------------------
UTILITIES-1.3%
---------------------------------------------------------------------------------------------
ELECTRIC UTILITIES-0.4%
Cleco Corp. 173,000 6,070,570
---------------------------------------------------------------------------------------------
MULTI-UTILITIES-0.9%
CenterPoint Energy, Inc. 332,500 6,427,225
---------------------------------------------------------------------------------------------
CMS Energy Corp. 285,000 5,682,900
---------------------------------------------------------------------------------------------
3 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Shares Value
---------------------------------------------------------------------------------------------------
COMMON STOCKS CONTINUED
---------------------------------------------------------------------------------------------------
MULTI-UTILITIES CONTINUED
Public Service Enterprise Group, Inc. 96,000 $ 3,216,000
-----------
15,326,125
-----------
Total Common Stocks (Cost $421,886,855) 527,557,642
---------------------------------------------------------------------------------------------------
PREFERRED STOCKS-3.3%
Goldman Sachs Group, Inc. (The),
3.75% Non-Cumulative, Series A, Non-Vtg. 123,300 2,629,989
---------------------------------------------------------------------------------------------------
H.J. Heinz Finance Co., 8% Cum., Series B(3) 40 4,228,750
---------------------------------------------------------------------------------------------------
Lucent Technologies Capital Trust I,
7.75% Cum. Cv., Non-Vtg. 25,000 24,750,000
---------------------------------------------------------------------------------------------------
MetLife, Inc., 5% Cv., Non-Vtg.(1) 138,500 11,455,335
---------------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc.,
9.875% Non-Cum., Series F, Non-Vtg.(4) 75,000 2,140,500
---------------------------------------------------------------------------------------------------
PPL Corp., 8.75% Cv. 50,000 2,735,200
---------------------------------------------------------------------------------------------------
Wells Fargo & Co., 7.50% Cv., Series L, Non-Vtg. 7,000 7,595,000
----------
Total Preferred Stocks (Cost $48,731,667) 55,534,774
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) 38,418 599,321
Principal
Amount
-------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS-27.9%
-------------------------------------------------------------------------------
GOVERNMENT AGENCY-22.0%
-------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED-21.9%
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19(5) $3,138,373 3,339,389
5%, 12/15/34 263,334 282,020
6%, 5/15/18 1,119,211 1,222,936
6.50%, 7/1/28-4/1/34 441,739 501,076
7%, 10/1/31 551,869 636,562
8%, 4/1/16 142,638 157,259
9%, 8/1/22-5/1/25 51,493 58,840
-------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd.
Real Estate Mtg. Investment Conduit
Multiclass Pass-Through Certificates:
Series 2006-11, Cl. PS, 23.855%,
3/25/36(4) 639,228 908,840
Series 2034, Cl. Z, 6.50%, 2/15/28 245,750 286,263
Series 2043, Cl. ZP, 6.50%, 4/15/28 1,090,192 1,243,283
Series 2053, Cl. Z, 6.50%, 4/15/28 250,559 288,016
Series 2279, Cl. PK, 6.50%, 1/15/31 495,256 550,941
Series 2326, Cl. ZP, 6.50%, 6/15/31 239,660 280,678
Series 2426, Cl. BG, 6%, 3/15/17 1,569,101 1,702,435
Series 2427, Cl. ZM, 6.50%, 3/15/32 889,515 1,008,007
Series 2461, Cl. PZ, 6.50%, 6/15/32 1,362,400 1,550,227
Series 2500, Cl. FD, 0.698%, 3/15/32(4) 135,170 135,866
Series 2526, Cl. FE, 0.598%, 6/15/29(4) 168,757 169,372
Series 2538, Cl. F, 0.798%, 12/15/32(4) 1,596,613 1,609,305
3 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Series 2551, Cl. FD, 0.598%, 1/15/33(4) $ 116,355 $ 116,786
Series 2626, Cl. TB, 5%, 6/1/33 2,073,738 2,249,798
Series 2638, Cl. KG, 4%, 11/1/27 404,846 404,848
Series 2663, Cl. BA, 4%, 8/1/16 1,029,017 1,042,770
Series 2686, Cl. CD, 4.50%, 2/1/17 1,043,863 1,054,301
Series 2907, Cl. GC, 5%, 6/1/27 424,987 427,726
Series 2929, Cl. PC, 5%, 1/1/28 271,863 273,074
Series 2952, Cl. GJ, 4.50%, 12/1/28 126,642 127,281
Series 3019, Cl. MD, 4.75%, 1/1/31 1,540,425 1,575,564
Series 3025, Cl. SJ, 24.024%, 8/15/35(4) 199,666 285,512
Series 3094, Cl. HS, 23.657%, 6/15/34(4) 402,788 546,945
Series 3242, Cl. QA, 5.50%, 3/1/30 738,487 753,514
Series 3291, Cl. NA, 5.50%, 10/1/27 19,151 19,186
Series 3306, Cl. PA, 5.50%, 10/1/27 12,459 12,456
Series R001, Cl. AE, 4.375%, 4/1/15 495,727 501,373
--------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183, Cl. IO, 19.176%, 4/1/27(6) 390,185 82,356
Series 192, Cl. IO, 15.56%, 2/1/28(6) 122,406 26,888
Series 2130, Cl. SC, 57.04%, 3/15/29(6) 295,261 56,566
Series 243, Cl. 6, 0%, 12/15/32(6,7) 461,829 90,476
Series 2527, Cl. SG, 12.086%, 2/15/32(6) 259,421 8,997
Series 2531, Cl. ST, 32.184%, 2/15/30(6) 439,715 19,149
Series 2639, Cl. SA, 18.364%, 7/15/22(6) 1,863,644 170,959
Series 2796, Cl. SD, 69.795%, 7/15/26(6) 437,242 86,728
Series 2802, Cl. AS, 75.60%, 4/15/33(6) 490,339 43,707
Series 2815, Cl. PT, 31.043%, 11/15/32(6) 7,039,573 909,953
Series 2920, Cl. S, 70.11%, 1/15/35(6) 2,406,672 422,650
Series 2937, Cl. SY, 27.677%, 2/15/35(6) 9,939,578 1,541,382
Series 3110, Cl. SL, 99.999%, 2/15/26(6) 425,052 61,003
Series 3451, Cl. SB, 26.618%, 5/15/38(6) 6,309,473 846,698
--------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only
--------------------------------------------------------------------------------------------------------------------------
Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.543%, 6/1/26(8) 117,822 103,400
Federal National Mortgage Assn.:
4.50%, 6/1/26-7/1/41(9) 43,165,000 44,858,926
5%, 6/1/41(9) 46,499,000 49,499,673
5.50%, 1/1/38-4/1/39 5,286,758 5,738,043
5.50%, 6/1/26-6/1/41(9) 62,771,000 68,058,626
6%, 6/1/41(9) 53,445,000 58,789,500
6.50%, 5/25/17-11/25/31 3,235,634 3,617,056
6.50%, 6/1/41(9) 8,847,000 9,991,581
7%, 11/1/17-7/25/35 671,937 723,583
7.50%, 1/1/33-3/25/33 5,730,120 6,689,483
8.50%, 7/1/32 14,810 16,922
--------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 15 yr.:
3.50%, 6/1/26(9) 19,630,000 20,019,538
4%, 6/1/26(9) 1,680,000 1,751,138
--------------------------------------------------------------------------------------------------------------------------
5 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
-----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Federal National Mortgage Assn., 30 yr., 4%, 6/1/41(9) $15,620,000 $15,734,713
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 740,440 832,117
Trust 1998-61, Cl. PL, 6%, 11/25/28 413,639 465,716
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 633,207 721,511
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 1,074,673 1,245,959
Trust 2003-130, Cl. CS, 13.712%, 12/25/33(4) 707,777 832,973
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,553,000 3,983,173
Trust 2004-101, Cl. BG, 5%, 1/25/20 3,348,831 3,596,714
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 444,194 447,749
Trust 2004-9, Cl. AB, 4%, 7/1/17 613,298 627,643
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,504,312 8,406,695
Trust 2005-12, Cl. JC, 5%, 6/1/28 1,238,876 1,259,206
Trust 2005-22, Cl. EC, 5%, 10/1/28 490,726 499,505
Trust 2005-30, Cl. CU, 5%, 4/1/29 547,395 560,355
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 1,430,000 1,627,023
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 2,969,391 3,176,615
Trust 2006-46, Cl. SW, 23.488%, 6/25/36(4) 517,605 709,977
Trust 2006-50, Cl. KS, 23.489%, 6/25/36(4) 1,135,000 1,534,539
Trust 2006-50, Cl. SK, 23.489%, 6/25/36(4) 126,500 173,823
Trust 2009-36, Cl. FA, 1.134%, 6/25/37(4) 2,630,452 2,668,396
Trust 2009-37, Cl. HA, 4%, 4/1/19 3,850,727 4,076,252
Trust 2009-70, Cl. PA, 5%, 8/1/35 4,453,865 4,696,797
Trust 2011-15, Cl. DA, 4%, 3/1/41 1,558,630 1,618,607
-----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 69.746%, 3/17/31(6) 337,734 69,645
Trust 2001-65, Cl. S, 51.711%, 11/25/31(6) 1,025,419 205,803
Trust 2001-81, Cl. S, 41.902%, 1/25/32(6) 245,542 48,851
Trust 2002-47, Cl. NS, 41.108%, 4/25/32(6) 499,293 99,233
Trust 2002-51, Cl. S, 41.424%, 8/25/32(6) 458,419 96,717
Trust 2002-52, Cl. SD, 49.681%, 9/25/32(6) 574,172 111,981
Trust 2002-60, Cl. SM, 51.078%, 8/25/32(6) 875,957 143,843
Trust 2002-7, Cl. SK, 49.917%, 1/25/32(6) 268,489 47,718
Trust 2002-75, Cl. SA, 51.859%, 11/25/32(6) 1,225,838 260,274
Trust 2002-77, Cl. BS, 46.128%, 12/18/32(6) 530,848 95,917
Trust 2002-77, Cl. JS, 42.765%, 12/18/32(6) 868,318 148,967
Trust 2002-77, Cl. SA, 45.409%, 12/18/32(6) 832,877 145,816
Trust 2002-77, Cl. SH, 52.499%, 12/18/32(6) 335,013 65,629
Trust 2002-89, Cl. S, 76.815%, 1/25/33(6) 1,456,169 289,598
Trust 2002-9, Cl. MS, 40.467%, 3/25/32(6) 305,810 62,714
Trust 2002-90, Cl. SN, 52.673%, 8/25/32(6) 451,062 74,174
Trust 2002-90, Cl. SY, 55.696%, 9/25/32(6) 195,904 33,332
Trust 2003-33, Cl. SP, 52.059%, 5/25/33(6) 1,103,631 172,131
Trust 2003-46, Cl. IH, 2.254%, 6/1/23(6) 2,258,720 300,173
Trust 2003-89, Cl. XS, 82.618%, 11/25/32(6) 925,749 54,691
6 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Trust 2004-54, Cl. DS, 59.48%, 11/25/30(6) $ 546,191 $ 79,355
Trust 2004-56, Cl. SE, 24.631%, 10/25/33(6) 1,349,467 189,787
Trust 2005-19, Cl. SA, 72.348%, 3/25/35(6) 6,343,893 1,145,603
Trust 2005-40, Cl. SA, 71.46%, 5/25/35(6) 1,415,180 273,063
Trust 2005-6, Cl. SE, 85.782%, 2/25/35(6) 1,995,228 267,267
Trust 2005-71, Cl. SA, 64.577%, 8/25/25(6) 1,509,122 207,342
Trust 2005-93, Cl. SI, 23.679%, 10/25/35(6) 2,069,349 323,410
Trust 2006-129, Cl. SM, 23.074%, 1/25/37(6) 4,770,156 669,181
Trust 2006-51, Cl. SA, 45.991%, 6/25/36(6) 15,238,755 2,258,175
Trust 2008-55, Cl. SA, 25.936%, 7/25/38(6) 3,315,743 401,656
Trust 2008-67, Cl. KS, 51.553%, 8/25/34(6) 4,879,020 394,330
Trust 222, Cl. 2, 30.029%, 6/1/23(6) 853,590 193,641
Trust 252, Cl. 2, 39.475%, 11/1/23(6) 707,833 153,458
Trust 303, Cl. IO, 31.746%, 11/1/29(6) 256,698 62,474
Trust 308, Cl. 2, 27.382%, 9/1/30(6) 663,123 147,186
Trust 320, Cl. 2, 18.465%, 4/1/32(6) 2,714,977 614,458
Trust 321, Cl. 2, 6.793%, 4/1/32(6) 2,295,520 575,747
Trust 331, Cl. 9, 14.67%, 2/1/33(6) 717,125 151,329
Trust 334, Cl. 17, 22.649%, 2/1/33(6) 426,520 97,549
Trust 338, Cl. 2, 8.856%, 7/1/33(6) 482,097 101,511
Trust 339, Cl. 12, 2.745%, 7/1/33(6) 1,697,336 339,887
Trust 339, Cl. 7, 0%, 7/1/33(6,7) 2,322,445 412,666
Trust 343, Cl. 13, 4.605%, 9/1/33(6) 1,570,010 331,465
Trust 343, Cl. 18, 1.129%, 5/1/34(6) 506,226 101,145
Trust 345, Cl. 9, 0%, 1/1/34(6,7) 1,243,198 245,481
Trust 351, Cl. 10, 0%, 4/1/34(6,7) 602,695 114,959
Trust 351, Cl. 8, 0%, 4/1/34(6,7) 956,019 183,501
Trust 356, Cl. 10, 0%, 6/1/35(6,7) 790,854 151,299
Trust 356, Cl. 12, 0%, 2/1/35(6,7) 396,121 71,128
Trust 362, Cl. 13, 1.307%, 8/1/35(6) 1,308,590 244,839
Trust 364, Cl. 16, 0%, 9/1/35(6,7) 1,676,334 291,635
Trust 365, Cl. 16, 0.578%, 3/1/36(6) 4,442,424 835,983
--------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 1993-184, Cl. M, 3.721%, 9/25/23(8) 326,659 289,849
------------
373,491,054
--------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED-0.1%
Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 71,991 81,404
--------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 2001-21, Cl. SB, 88.672%, 1/16/27(6) 628,139 106,551
Series 2002-15, Cl. SM, 81.488%, 2/16/32(6) 596,914 105,242
Series 2002-41, Cl. GS, 60.049%, 6/16/32(6) 350,883 78,777
Series 2002-76, Cl. SY, 79.928%, 12/16/26(6) 1,524,200 261,505
7 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
GNMA/GUARANTEED CONTINUED
Series 2004-11, Cl. SM, 76.114%, 1/17/30(6) $ 552,630 $ 113,487
Series 2007-17, Cl. AI, 22.452%, 4/16/37(6) 4,340,418 806,248
----------
1,553,214
--------------------------------------------------------------------------------------------------------------------
NON-AGENCY--5.9%
--------------------------------------------------------------------------------------------------------------------
COMMERCIAL--3.3%
Banc of America Commercial Mortgage Trust 2006-1,
Commercial Mtg. Pass-Through Certificates, Series 2006-1,
Cl. AM, 5.421%, 9/1/45 2,330,000 2,431,701
--------------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-
Through Certificates: Series 2007-1, Cl. A4, 5.451%, 1/1/49 2,525,000 2,734,881
Series 2007-1, Cl. AMFX, 5.482%,1/1/49 3,250,000 3,265,042
--------------------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2007-4, Mtg.
Pass-Through Certificates, Series
2007-4, Cl. 22A1, 5.788%, 6/1/47(4) 1,869,738 1,561,548
--------------------------------------------------------------------------------------------------------------------
CFCRE Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(3) 532,489 534,999
--------------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through
Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 1,223,073 1,026,336
--------------------------------------------------------------------------------------------------------------------
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage
Trust, Commercial Mtg. Pass-Through Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 440,000 449,390
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 1,375,000 1,469,918
--------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving,
Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl.
A1, 3.156%, 7/1/46(3) 2,008,002 2,042,897
--------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving,
Commercial Mtg. Pass-Through
Certificates, Interest-Only Stripped
Mtg.-Backed Security, Series 2010-C1,
Cl. XPA, 4.82%, 9/1/20(3,6) 16,087,786 1,374,838
--------------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2007-FA2,
Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%,
4/25/37 71,808 51,400
--------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates,
Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 1,635,000 1,690,432
--------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates,
Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 700,000 757,255
--------------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 1,427,674 1,453,085
--------------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates,
Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 1,640,035 1,658,994
--------------------------------------------------------------------------------------------------------------------
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds,
Series 2005-4, Cl. 1A1A, 0.734%, 5/25/35(4) 1,997,600 1,535,215
--------------------------------------------------------------------------------------------------------------------
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through
Certificates, Series 2005-AR23, Cl. 6 A1, 5.189%, 11/1/35(4) 2,399,365 1,865,947
--------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg.
Pass-Through Certificates: Series 2011-C3, Cl. A1, 1.875%,
2/1/46(3) 1,580,793 1,594,444
--------------------------------------------------------------------------------------------------------------------
8 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
COMMERCIAL CONTINUED
Series 2010-C2, Cl. A2, 3.616%, 11/1/43(3) $ 2,420,000 $ 2,401,738
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 2,590,000 2,698,265
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 590,000 640,598
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 520,000 536,539
----------------------------------------------------------------------------------------------------------------------
JMorgan Chase Commercial Mortgage Securities Trust
2006-LDP7, Commercial Mtg. Pass-Through Certificates,
Series 2006-LDP7, 5.87%, 4/1/45(4) 3,695,000 3,888,184
----------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Trust
2007-CB19, Commercial Mtg. Pass-Through Certificates,
Series 2007-CB19, Cl. AM, 5.742%, 2/1/49(4) 385,000 390,287
----------------------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 2,500,201 2,025,814
----------------------------------------------------------------------------------------------------------------------
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 1,727,997
----------------------------------------------------------------------------------------------------------------------
ML-CFC Commercial Mortgage Trust 2006-3, Commercial
Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM,
5.456%, 7/12/46 3,425,000 3,432,511
----------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust 2007-IQ16, Commercial
Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl.
AM, 6.108%, 12/1/49(4) 1,490,000 1,548,333
----------------------------------------------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage Loan, Trust, Mtg.
Pass-Through Certificates, 5.284%, 7/1/37(4) 2,207,311 1,563,380
----------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2007-C33,
Commercial Mtg. Pass-Through Certificates, Series 2007-
C33, Cl. A4, 6.097%, 2/1/51(4) 1,800,000 1,979,865
----------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2007-C34,
Commercial Mtg. Pass-Through Certificates, Series
2007-C34, Cl. A3, 5.678%, 5/1/46 1,835,000 2,004,824
----------------------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust, Commercial
Mtg. Pass-Through Certificates, Series 2006-C27, Cl.
AM, 5.795%, 7/15/45 540,000 565,745
----------------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14
Trust, Mtg. Pass-Through Certificates, Series 2005-
AR14, Cl. 1A4, 2.67%, 12/1/35(4) 1,185,220 1,029,605
----------------------------------------------------------------------------------------------------------------------
Wells Fargo Commercial Mortgage Trust 2010-C1,
Commercial Mtg. Pass-Through Certificates, Series 2010-
C1, Cl. A1, 3.349%, 11/1/43(3) 1,282,330 1,308,328
----------------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR8, Cl.
A1, 6.094%, 11/1/37(4) 1,745,234 1,440,603
-----------
56,680,938
----------------------------------------------------------------------------------------------------------------------
MULTIFAMILY-0.6%
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through
Certificates, Series 2005-10, Cl. A3, 2.839%, 10/1/35(4) 6,030,000 5,168,382
----------------------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg.
Pass-Through Certificates, Series 2006-AR3, Cl. 1 A2A,
5.696%, 6/1/36(4) 1,574,889 1,428,307
----------------------------------------------------------------------------------------------------------------------
9 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
MULTIFAMILY CONTINUED
GE Capital Commercial Mortgage Corp., Commercial Mtg.
Pass-Through Certificates, Series 2001-3, Cl. A2,
6.07%, 6/1/38 $2,040,435 $2,055,673
------------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through
Certificates, Series 2007-A3, Cl. 3A2M, 5.587%, 5/1/37(4) 639,849 568,247
----------
9,220,609
------------------------------------------------------------------------------------------------------------
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 5,763,902
------------------------------------------------------------------------------------------------------------
RESIDENTIAL-1.7%
Banc of America Funding 2007-C Trust, Mtg. Pass-Through
Certificates, Series 2007-C, Cl. 1A4, 5.589%, 5/1/36(4) 560,000 519,479
------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-
Through Certificates, Series 2005-29, Cl. A1, 5.75%,
12/1/35 951,302 849,944
------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-
Through Certificates, Series 2005-HYB7, Cl. 6A1,
5.391%, 11/1/35(4) 2,105,406 1,606,125
------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-
Through Certificates, Series 2006-6, Cl. A3, 6%,
4/1/36 1,612,008 1,553,438
------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-21CB, Mtg.
Pass-Through Certificates, Series 2005-21CB, Cl. A7,
5.50%, 6/1/35 2,258,261 2,040,565
------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J10, Mtg.
Pass-Through Certificates, Series 2005-J10, Cl. 1A17,
5.50%, 10/1/35 7,681,511 6,640,163
------------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-
Through Certificates, Series 2007-19, Cl. 1A34, 6%,
8/1/37 1,468,430 1,175,100
------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through
Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 1,643,554 1,609,750
------------------------------------------------------------------------------------------------------------
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-
Through Certificates, Series 2006-S4, Cl. A6, 5.71%,
12/1/36 1,401,956 1,270,530
------------------------------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2005-A15, Mtg.
Pass-Through Certificates, Series 2005-A15, Cl. 1A4,
5.75%, 2/1/36 648,101 546,844
------------------------------------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage Loan Trust, Mtg.
Pass-Through Certificates, Series 2004-5, Cl. 3 A1,
2.542%, 5/1/34(4) 3,565,575 3,266,109
------------------------------------------------------------------------------------------------------------
Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-
Through Certificates, Series 2006-6, Cl. A2, 0.363%,
11/25/46(4) 1,710,611 1,683,714
------------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY5, Cl.
3A1, 5.718%, 5/1/37(4) 1,535,563 1,404,586
------------------------------------------------------------------------------------------------------------
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg.
Asset-Backed Pass-Through Certificates, Series 2007-
PA5, Cl. 1A1, 6.25%, 11/1/37 1,330,888 1,151,977
------------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R Trust,
Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1,
2.875%, 9/1/34(4) 1,850,483 1,769,059
------------------------------------------------------------------------------------------------------------
10 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
-------------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
RESIDENTIAL CONTINUED
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR14, Cl.
1A2, 5.693%, 10/1/36(4) $ 1,577,598 $ 1,424,935
------------
28,512,318
------------
Total Mortgage-Backed Obligations (Cost $458,314,886) 475,222,035
ASSET-BACKED SECURITIES-9.4%
AESOP Funding II LLC, Automobile Receivables Nts.,
Series 2011-1A, Cl. A, 1.85%, 11/20/13(3) 870,000 874,302
-------------------------------------------------------------------------------------------------------------------------
Airspeed Ltd., Airplane Receivables:
Series 2007-1A, Cl. G1, 0.468%, 6/15/32(2,4) 37,500,845 31,125,702
Series 2007-1A, Cl. G2, 0.478%, 6/15/32(2,4) 12,811,750 10,633,752
-------------------------------------------------------------------------------------------------------------------------
Ally Auto Receivables Trust 2010-4, Automobile
Receivables Nts., Series 2010-4, Cl. A3, 0.91%,
11/17/14 465,000 465,888
-------------------------------------------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-1, Asset-Backed
Certificates, Series 2010-1, Cl. A, 1.948%, 1/15/15(3,4) 1,710,000 1,744,388
-------------------------------------------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-3, Asset-Backed
Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(3) 1,390,000 1,432,627
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2009-1,
Automobile Receivables-Backed Nts., Series 2009-1, Cl.
A3, 3.04%, 10/15/13 440,653 446,195
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2010-4,
Automobile Receivables-Backed Nts., Series 2010-4, Cl.
D, 4.20%, 11/8/16 2,740,000 2,846,458
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-1,
Automobile Receivables-Backed Nts., Series 2011-1, Cl.
D, 4.26%, 2/8/17 430,000 446,761
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts., Series 2011-2, Cl.
D, 4.14%, 5/8/17 860,000 880,091
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Prime Automobile Receivables Trust 2010-1,
Automobile Receivables Nts., Series 2010-1, Cl. A2,
0.97%, 1/15/13 133,674 133,702
-------------------------------------------------------------------------------------------------------------------------
AmeriCredit Prime Automobile Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2,
1.22%, 10/8/13 464,519 465,713
-------------------------------------------------------------------------------------------------------------------------
Blade Engine Securitization Ltd., Asset-Backed
Certificates, Series 2006-1A, Cl. B, 3.198%, 9/15/41(2,4) 11,130,422 8,793,033
-------------------------------------------------------------------------------------------------------------------------
CarMax Auto Owner Trust 2010-3, Automobile Asset-
Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 3,350,000 3,352,119
-------------------------------------------------------------------------------------------------------------------------
Carrington Mortgage Loan Trust, Asset-Backed Pass-
Through Certificates, Series 2006-FRE1, Cl. A2, 0.304%,
7/25/36(4) 1,539,177 1,462,081
-------------------------------------------------------------------------------------------------------------------------
Centre Point Funding LLC, Asset-Backed Nts., Series
2010-1A, Cl. 1, 5.43%, 7/20/15(3) 431,623 460,065
-------------------------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card
Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 459,464
-------------------------------------------------------------------------------------------------------------------------
Citibank Omni Master Trust, Credit Card Receivables:
Series 2009-A12, Cl. A12, 3.35%, 8/15/16(3) 1,620,000 1,661,941
11 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES CONTINUED
Series 2009-A13, Cl. A13, 5.35%, 8/15/18(3) $1,520,000 $1,670,187
Series 2009-A17, Cl. A17, 4.90%, 11/15/18(3) 1,520,000 1,657,843
Series 2009-A8, Cl. A8, 2.298%, 5/16/16(3,4) 2,015,000 2,042,029
------------------------------------------------------------------------------------------------------------
CLI Funding LLC, Equipment Asset-Backed
Nts., Series 2006-1A, Cl. A, 0.377%, 8/18/21(3,4) 7,147,319 6,724,020
------------------------------------------------------------------------------------------------------------
CNH Wholesale Master Note Trust 2011-1,
Equipment Nts., Series 2011-1,
Cl. 1A, 0.998%, 1/20/41(4) 1,675,000 1,683,268
------------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Asset-Backed
Certificates:Series 2002-4, Cl. A1,
0.934%, 2/25/33(4) 22,681 21,610
Series 2004-6, Cl. M5, 1.464%, 8/25/34(4) 2,362,066 919,466
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 639,051 529,008
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 361,400 287,693
------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust
2005-4, Asset- Backed Certificates,
Series 2005-4, Cl. MF7, 5.733%, 10/1/35 5,850,000 998,654
------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust
2005-7, Asset-Backed Certificates,
Series 2005-7, Cl. MF7, 5.732%, 10/1/35 3,284,000 724,156
------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust
2006-10, Asset-Backed Certificates:
Series 2006-10, Cl. MF4, 5.899%, 9/1/46(4) 2,550,000 191,770
Series 2006-10, Cl. MF5, 5.899%, 9/1/46(4) 2,465,000 133,047
------------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust
2007-4, Asset-Backed Certificates,
Series 2007-4, Cl. M2, 5.931%, 9/1/37 2,000,000 299,485
------------------------------------------------------------------------------------------------------------
DSC Floorplan Master Owner Trust,
Automobile Receivable Nts.,
Series 2011-1, Cl. A, 3.91%, 3/15/16 1,465,000 1,481,437
------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2009-1, Automobile
Receivable Nts., Series 2009-1,
Cl. A1, 2.98%, 10/15/15(3) 658,555 665,472
------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-1A, Automobile
Receivable Nts., Series 2011-1A,
Cl. C, 3.05%, 8/15/15(2) 2,035,000 2,043,913
------------------------------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-2A, Automobile
Receivable Nts., Series 2011-2A,
Cl. C, 3.05%, 7/15/13(2) 495,000 495,155
------------------------------------------------------------------------------------------------------------
First Investors Auto Owner Trust
2011-1, Automobile Receivable Nts.,
Series 2011-1, Cl. A2, 1.47%, 3/16/15 1,715,000 1,719,065
------------------------------------------------------------------------------------------------------------
Ford Credit Auto Lease Trust, Automobile
Receivable Nts., Series 2010-B,
Cl. A2, 0.75%, 10/15/12(3) 1,730,000 1,731,193
------------------------------------------------------------------------------------------------------------
Ford Credit Auto Owner Trust, Automobile
Receivable Nts., Series 2010-A,
Cl. A4, 2.15%, 6/15/15 2,425,000 2,483,796
------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust
2009-2, Asset-Backed Nts.,
Series 2009-2, Cl. A, 1.748%, 9/15/14(4) 1,700,000 1,727,339
------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust
2010-1, Asset-Backed Nts., Series 2010-1,
Cl. A, 1.848%, 12/15/14(3,4) 1,770,000 1,805,545
------------------------------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust
2011-1, Asset-Backed Nts., Series 2011-1,
Cl. A1, 2.12%, 2/15/16 1,775,000 1,807,658
------------------------------------------------------------------------------------------------------------
GE Capital Credit Card Master Note Trust,
Asset-Backed Nts.,
Series 2009-2, Cl. A, 3.69%, 7/15/15 870,000 899,454
------------------------------------------------------------------------------------------------------------
GE Dealer Floorplan Master Note Trust,
Asset-Backed Securities, Series 2009-2A,
Cl. A, 1.748%, 10/20/14(3,4) 1,705,000 1,732,274
------------------------------------------------------------------------------------------------------------
GMAC Mortgage Servicer Advance Funding Ltd.,
Asset-Backed Nts., Series 2011-1A,
Cl. A, 3.72%, 2/15/23(3) 1,620,000 1,642,216
------------------------------------------------------------------------------------------------------------
12 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
------------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES CONTINUED
------------------------------------------------------------------------------------------------------------
GMACM Home Equity Loan Trust 2007-
HE2, Home Equity Loan-Backed Term
Nts., Series 2007-HE2, Cl. A2,
6.054%, 12/1/37 $ 35,402 $ 23,823
------------------------------------------------------------------------------------------------------------
Hertz Vehicle Financing LLC,
Automobile Receivable Nts., Series
2010-1A, Cl. A1, 2.60%, 2/25/15(3) 1,710,000 1,756,175
------------------------------------------------------------------------------------------------------------
Home Equity Mortgage Trust 2005-HF1,
Home Equity Loan-Backed Nts.:
Series 2005-HF1, Cl. A2B, 0.544%, 2/25/36(4) 1,387,537 963,256
Series 2005-HF1, Cl. A3B, 0.544%, 2/25/36(4) 1,045,081 725,516
------------------------------------------------------------------------------------------------------------
HSBC Home Equity Loan Trust 2005-3,
Closed-End Home Equity Loan Asset-
Backed Certificates, Series 2005-3,
Cl. A1, 0.456%, 1/20/35(4) 557,552 524,171
------------------------------------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust,
Credit Card Receivables, Series 2003-
C7, Cl. C7, 1.548%, 3/15/16(4) 1,800,000 1,821,510
------------------------------------------------------------------------------------------------------------
Morgan Stanley Resecuritization
Trust, Automobile Receivable Nts.,
Series 2010-F, Cl. A, 0.447%, 6/15/13(3,4) 1,315,000 1,313,947
------------------------------------------------------------------------------------------------------------
Navistar Financial Dealer Note Master
Owner Trust, Asset-Backed Nts.,
Series 2010-1, Cl. A, 1.844%, 1/26/15(3,4) 2,850,000 2,870,866
------------------------------------------------------------------------------------------------------------
Nissan Auto Lease Trust 2010-B,
Automobile Asset-Backed Nts., Series
2010-B, Cl. A3, 1.12%, 12/15/13 1,540,000 1,548,509
------------------------------------------------------------------------------------------------------------
Nissan Master Owner Trust, Automobile
Receivable Nts., Series 2010-AA, Cl.
A, 1.348%, 1/15/15(3,4) 1,720,000 1,740,207
------------------------------------------------------------------------------------------------------------
NuCO2 Funding LLC, Asset-Backed Nts.,
Series 2008-1A, Cl. A1, 7.25%, 6/25/38(2) 25,000,000 26,875,000
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2010-2, Automobile Receivables
Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 1,266,691 1,268,152
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2010-3, Automobile Receivables Nts., Series 2010-3,
Cl. C, 3.06%, 11/15/17 1,670,000 1,696,699
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2010-A, Automobile Receivables
Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/13(3) 1,699,403 1,704,568
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2011-1, Automobile Receivables
Nts., Series 2011-1, Cl. D, 4.07%, 2/15/17 1,715,000 1,732,582
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(2) 2,091,652 2,094,267
------------------------------------------------------------------------------------------------------------
Santander Drive Auto Receivables
Trust 2011-S2A, Automobile
Receivables Nts., Series 2011-S2A,
Cl. D, 3.35%, 6/15/17(2) 1,425,000 1,424,963
------------------------------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust 2010-A,
Automobile Receivable Nts., Series
2010-A, Cl. A3, 0.99%, 11/20/13 1,530,000 1,534,215
------------------------------------------------------------------------------------------------------------
Westlake Automobile Receivables Trust
2011-1, Automobile Receivables Nts.,
Series 2011-1, Cl. A3, 1.49%, 6/16/14(2) 760,000 760,471
------------------------------------------------------------------------------------------------------------
World Financial Network Credit Card
Master Note Trust, Credit Card
Receivables, Series 2009-A, Cl. A,
4.60%, 9/15/15 1,130,000 1,149,213
------------
Total Asset-Backed Securities (Cost $156,134,856) 159,329,145
U.S. GOVERNMENT OBLIGATIONS-0.6%
Federal Home Loan Mortgage Corp. Nts.:
1.75%, 9/10/15 590,000 595,967
------------------------------------------------------------------------------------------------------------
13 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS CONTINUED
2.50%, 5/27/16 $ 795,000 $ 820,240
5%, 2/16/17 910,000 1,047,528
5.25%, 4/18/16 1,600,000 1,857,005
5.50%, 7/18/16 910,000 1,068,216
--------------------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts.:
2.375%, 4/11/16 1,540,000 1,576,564
4.875%, 12/15/16 1,315,000 1,503,856
5%, 3/15/16 1,010,000 1,160,790
-----------
Total U.S. Government Obligations (Cost $9,322,767) 9,630,166
--------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES-16.6%
--------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY-2.0%
--------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES-0.1%
Service Corp. International, 6.75% Sr.
Unsec. Nts., 4/1/15 1,630,000 1,758,363
--------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE-0.3%
Hyatt Hotels Corp., 5.75% Sr. Unsec.
Unsub. Nts., 8/15/15(3) 2,450,000 2,583,562
--------------------------------------------------------------------------------------------------
Marriott International, Inc., 6.20%
Sr. Unsec. Unsub. Nts., 6/15/16 1,810,000 2,066,258
-----------
4,649,820
--------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES-0.4%
--------------------------------------------------------------------------------------------------
Fortune Brands, Inc., 6.375% Sr.
Unsec. Unsub. Nts., 6/15/14 1,255,000 1,400,644
--------------------------------------------------------------------------------------------------
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 1,695,000 1,711,950
--------------------------------------------------------------------------------------------------
Newell Rubbermaid, Inc., 5.50% Sr.
Unsec. Nts., 4/15/13 1,574,000 1,691,551
--------------------------------------------------------------------------------------------------
Whirlpool Corp.:
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 601,000 639,475
--------------------------------------------------------------------------------------------------
8% Sr. Unsec. Nts., 5/1/12 1,290,000 1,371,187
-----------
6,814,807
--------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS-0.2%
Mattel, Inc.:
5.625% Sr. Unsec. Nts., 3/15/13 1,475,000 1,579,688
6.125% Sr. Unsec. Nts., 6/15/11 1,610,000 1,612,378
-----------
3,192,066
--------------------------------------------------------------------------------------------------
MEDIA-0.7%
Comcast Cable Communications Holdings,
Inc., 9.455% Sr. Unsec. Nts., 11/15/22 995,000 1,401,816
--------------------------------------------------------------------------------------------------
DIRECTV Holdings LLC/DIRECTV Financing
Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 1,289,000 1,383,716
--------------------------------------------------------------------------------------------------
Interpublic Group of Cos., Inc. (The),
10% Sr. Unsec. Nts., 7/15/17 1,390,000 1,664,525
--------------------------------------------------------------------------------------------------
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 1,540,000 1,797,950
--------------------------------------------------------------------------------------------------
Time Warner Cos., Inc., 9.125% Debs., 1/15/13 547,000 612,792
--------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP,
8.375% Sr. Nts., 7/15/33 876,000 1,132,723
--------------------------------------------------------------------------------------------------
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 928,000 1,127,458
--------------------------------------------------------------------------------------------------
Virgin Media Secured Finance plc:
5.25% Sr. Sec. Nts., 1/15/21(3) 895,000 937,840
--------------------------------------------------------------------------------------------------
6.50% Sr. Sec. Nts., 1/15/18 1,981,000 2,191,481
-----------
12,250,301
--------------------------------------------------------------------------------------------------
MULTILINE RETAIL-0.2%
Family Dollar Stores, Inc., 5% Sr.
Unsec. Nts., 2/1/21 1,722,000 1,713,407
--------------------------------------------------------------------------------------------------
14 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
---------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
---------------------------------------------------------------------------------------------------
MULTILINE RETAIL CONTINUED
Macy's Retail Holdings, Inc., 5.90%
Sr. Unsec. Nts., 12/1/16 $ 1,702,000 $ 1,936,025
-----------
3,649,432
---------------------------------------------------------------------------------------------------
SPECIALTY RETAIL-0.1%
Rent-A-Center, Inc., 6.625% Sr. Unsec.
Nts., 11/15/20(3) 1,688,000 1,692,220
---------------------------------------------------------------------------------------------------
CONSUMER STAPLES-1.2%
---------------------------------------------------------------------------------------------------
BEVERAGES-0.1%
Constellation Brands, Inc., 8.375% Sr.
Nts., 12/15/14 1,469,000 1,691,186
---------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING-0.1%
Wal-Mart Stores, Inc., 5.625% Sr.
Unsec. Nts., 4/15/41 1,003,000 1,055,433
---------------------------------------------------------------------------------------------------
FOOD PRODUCTS-0.8%
Bunge Ltd. Finance Corp.:
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 463,000 501,880
8.50% Sr. Unsec. Nts., 6/15/19 900,000 1,107,125
---------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc.,
8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 10,350,000
---------------------------------------------------------------------------------------------------
TreeHouse Foods, Inc., 7.75% Sr.
Unsec. Nts., 3/1/18 1,590,000 1,721,175
-----------
13,680,180
---------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS-0.1%
Energizer Holdings, Inc., 4.70% Sr.
Nts., 5/19/21(3) 1,692,000 1,708,737
---------------------------------------------------------------------------------------------------
TOBACCO-0.1%
Altria Group, Inc., 10.20% Sr. Unsec.
Nts., 2/6/39 1,240,000 1,846,141
---------------------------------------------------------------------------------------------------
Lorillard Tobacco Co., 8.125% Sr.
Unsec. Nts., 5/1/40 985,000 1,152,581
-----------
2,998,722
---------------------------------------------------------------------------------------------------
ENERGY-1.6%
---------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES-0.3%
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 1,330,000 1,362,743
---------------------------------------------------------------------------------------------------
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 1,440,000 1,560,792
---------------------------------------------------------------------------------------------------
Weatherford International Ltd., 6.50%
Sr. Unsec. Bonds, 8/1/36 1,059,000 1,133,668
---------------------------------------------------------------------------------------------------
Weatherford International Ltd.
Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 1,187,000 1,225,868
-----------
5,283,071
---------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS-1.3%
Anadarko Petroleum Corp., 6.20% Sr.
Unsec. Nts., 3/15/40 1,019,000 1,063,157
---------------------------------------------------------------------------------------------------
Cloud Peak Energy Resources LLC, 8.25%
Sr. Unsec. Unsub. Nts., 12/15/17 1,530,000 1,675,350
---------------------------------------------------------------------------------------------------
El Paso Pipeline Partners LP, 6.50%
Sr. Unsec. Nts., 4/1/20 2,344,000 2,702,808
---------------------------------------------------------------------------------------------------
Energy Transfer Partners LP, 5.65% Sr. Unsec.
Unsub. Nts., 8/1/12 698,000 731,089
---------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership
LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,960,000 3,178,587
---------------------------------------------------------------------------------------------------
Kinder Morgan Energy Partners LP,
6.50% Sr. Unsec. Unsub. Nts., 9/1/39 1,295,000 1,400,115
---------------------------------------------------------------------------------------------------
Kinder Morgan Finance Co. LLC, 6% Sr.
Sec. Nts., 1/15/18(2) 1,638,000 1,721,948
---------------------------------------------------------------------------------------------------
Nexen, Inc., 6.40% Sr. Unsec. Unsub.
Bonds, 5/15/37 1,713,000 1,777,176
---------------------------------------------------------------------------------------------------
Range Resources Corp., 8% Sr. Unsec.
Sub. Nts., 5/15/19 1,493,000 1,638,568
---------------------------------------------------------------------------------------------------
Ras Laffan Liquefied Natural Gas Co. Ltd. III,
5.50% Sr. Sec. Nts., 9/30/14(3) 945,000 1,034,775
---------------------------------------------------------------------------------------------------
15 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
---------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
---------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS CONTINUED
---------------------------------------------------------------------------------------------------
Rockies Express Pipeline LLC, 3.90%
Sr. Unsec. Unsub. Nts., 4/15/15(3) $ 2,760,000 $ 2,803,144
---------------------------------------------------------------------------------------------------
Southwestern Energy Co., 7.50% Sr.
Nts., 2/1/18 1,598,000 1,835,703
---------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05%
Nts., 3/15/13 130,000 139,151
---------------------------------------------------------------------------------------------------
Woodside Finance Ltd., 4.60% Sr.
Unsec. Nts., 5/10/21(3) 1,162,000 1,180,792
------------
22,882,363
---------------------------------------------------------------------------------------------------
FINANCIALS-7.3%
---------------------------------------------------------------------------------------------------
CAPITAL MARKETS-1.6%
Blackstone Holdings Finance Co. LLC,
6.625% Sr. Unsec. Nts., 8/15/19(3) 2,840,000 3,082,439
---------------------------------------------------------------------------------------------------
Credit Suisse Guernsey Ltd., 5.86% Jr.
Sub. Perpetual Nts.(10) 2,370,000 2,316,675
---------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The),
6.345% Sub. Bonds, 2/15/34 1,785,000 1,724,490
---------------------------------------------------------------------------------------------------
Macquarie Bank Ltd., 6.625% Unsec.
Sub. Nts., 4/7/21(3) 2,202,000 2,254,157
---------------------------------------------------------------------------------------------------
Mellon Capital IV, 6.244% Perpetual Bonds(10) 6,000,000 5,565,000
---------------------------------------------------------------------------------------------------
Morgan Stanley:
5.50% Sr. Unsec. Unsub. Nts., 7/24/20(3) 709,000 730,773
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 4,020,000 4,351,763
6.25% Sr. Unsec. Nts., 8/28/17 1,000,000 1,117,871
---------------------------------------------------------------------------------------------------
Nomura Holdings, Inc., 4.125% Sr.
Unsec. Unsub. Nts., 1/19/16 1,568,000 1,597,855
---------------------------------------------------------------------------------------------------
TD Ameritrade Holding Corp., 2.95% Sr.
Unsec. Unsub. Nts., 12/1/12 1,620,000 1,661,417
---------------------------------------------------------------------------------------------------
UBS AG Stamford CT, 2.25% Sr. Unsec.
Nts., 8/12/13 667,000 679,345
---------------------------------------------------------------------------------------------------
UBS Preferred Funding Trust V, 6.243%
Jr. Sub. Perpetual Nts.(10) 2,294,000 2,334,145
------------
27,415,930
---------------------------------------------------------------------------------------------------
COMMERCIAL BANKS-1.8%
ANZ National International Ltd.,
2.375% Sr. Unsec. Nts., 12/21/12(3) 1,820,000 1,851,137
---------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bonds(10) 2,500,000 2,218,750
---------------------------------------------------------------------------------------------------
BNP Paribas SA, 5.186% Sub. Perpetual Nts.(3,10) 1,755,000 1,697,963
---------------------------------------------------------------------------------------------------
Fifth Third Cap Trust IV, 6.50% Jr.
Unsec. Sub. Nts., 4/15/37 3,032,000 3,032,000
---------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911%
Nts., 11/30/35(4) 4,290,000 4,139,850
---------------------------------------------------------------------------------------------------
Huntington Bancshares, Inc., 7% Sub.
Nts., 12/15/20 2,722,000 3,143,298
---------------------------------------------------------------------------------------------------
Lloyds TSB Bank plc, 6.50% Unsec. Sub.
Nts., 9/14/20(3) 1,748,000 1,742,128
---------------------------------------------------------------------------------------------------
Sanwa Bank Ltd. (The), 7.40% Sub.
Nts., 6/15/11 1,578,000 1,581,557
---------------------------------------------------------------------------------------------------
Wachovia Capital Trust III, 5.57%
Perpetual Bonds(4,10) 6,000,000 5,575,500
---------------------------------------------------------------------------------------------------
Wells Fargo & Co., 7.98% Jr. Sub.
Perpetual Bonds, Series K(10) 3,432,000 3,788,070
---------------------------------------------------------------------------------------------------
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 2,149,000 2,364,764
------------
31,135,017
---------------------------------------------------------------------------------------------------
CONSUMER FINANCE-0.2%
American Express Bank FSB, 5.50% Sr.
Unsec. Nts., 4/16/13 1,577,000 1,695,822
---------------------------------------------------------------------------------------------------
SLM Corp., 6.25% Sr. Nts., 1/25/16 2,208,000 2,315,097
------------
4,010,919
---------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES-1.2%
Bank of America Corp., 5.875% Sr.
Unsec. Unsub. Nts., 1/5/21 600,000 641,020
---------------------------------------------------------------------------------------------------
16 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
-----------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
-----------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES CONTINUED
Citigroup, Inc.:
5.375% Sr. Unsec. Nts., 8/9/20 $ 1,420,000 $ 1,498,922
6.01% Sr. Unsec. Nts., 1/15/15 1,650,000 1,830,734
-----------------------------------------------------------------------------------------------
Glen Meadow Pass-Through Trust, 6.505%
Bonds, 2/12/67(3,4) 1,910,000 1,769,138
-----------------------------------------------------------------------------------------------
ING Groep NV, 5.775% Jr. Unsec. Sub.
Perpetual Bonds(10) 1,835,000 1,715,725
-----------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 7.90% Perpetual
Bonds, Series 1(10) 9,315,000 10,295,050
-----------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 7.75% Jr.
Sub. Bonds, 5/14/38 2,433,000 2,864,597
------------
20,615,186
-----------------------------------------------------------------------------------------------
INSURANCE-2.1%
CNA Financial Corp.:
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 1,361,000 1,446,128
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 1,640,000 1,760,952
-----------------------------------------------------------------------------------------------
Gulf South Pipeline Co. LP, 5.75% Sr.
Unsec. Nts., 8/15/12(3) 1,538,000 1,606,370
-----------------------------------------------------------------------------------------------
Hartford Financial Services Group,
Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 1,510,000 1,535,270
-----------------------------------------------------------------------------------------------
International Lease Finance Corp.:
5.75% Sr. Unsec. Unsub. Nts., 5/15/16 1,594,000 1,608,494
6.25% Sr. Unsec. Nts., 5/15/19 1,424,000 1,431,576
-----------------------------------------------------------------------------------------------
Irish Life & Permanent Group Holdings
plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(3) 2,230,000 1,974,797
-----------------------------------------------------------------------------------------------
Liberty Mutual Group, Inc., 5% Sr.
Nts., 6/1/21(3) 2,406,000 2,369,705
-----------------------------------------------------------------------------------------------
Lincoln National Corp., 6.05% Jr.
Unsec. Sub. Bonds, 4/20/67 3,280,000 3,247,200
-----------------------------------------------------------------------------------------------
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 5,000,000 7,106,665
-----------------------------------------------------------------------------------------------
Prudential Financial, Inc., 3.625% Sr.
Unsec. Unsub. Nts., 9/17/12 1,792,000 1,850,566
-----------------------------------------------------------------------------------------------
Reinsurance Group of America, Inc., 5%
Sr. Unsec. Nts., 6/1/21 2,348,000 2,374,624
-----------------------------------------------------------------------------------------------
Swiss Re Capital I LP, 6.854%
Perpetual Bonds(3,10) 3,212,000 3,230,170
---------------------------------------------------------- ----------- -----------
Willis Group Holdings plc, 4.125% Sr.
Unsec. Unsub. Nts., 3/15/16 1,689,000 1,731,830
-----------------------------------------------------------------------------------------------
ZFS Finance USA Trust V, 6.50% Jr.
Sub. Bonds, 5/9/37(2,4) 1,640,000 1,701,500
------------
34,975,847
-----------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS-0.4%
AvalonBay Communities, Inc., 6.625% Sr. Unsec.
Unsub. Nts., 9/15/11 715,000 726,925
-----------------------------------------------------------------------------------------------
Brandywine Operating Partnership LP,
5.75% Sr. Unsec. Unsub. Nts., 4/1/12 859,000 890,711
-----------------------------------------------------------------------------------------------
CommonWealth REIT, 6.95% Sr. Unsec.
Nts., 4/1/12 382,000 396,085
-----------------------------------------------------------------------------------------------
Mack-Cali Realty LP, 5.25% Sr. Unsec.
Unsub. Nts., 1/15/12 652,000 667,957
-----------------------------------------------------------------------------------------------
Simon Property Group LP, 5% Sr. Unsec.
Unsub. Nts., 3/1/12 1,600,000 1,630,373
-----------------------------------------------------------------------------------------------
WCI Finance LLC/WEA Finance LLC, 5.40%
Sr. Unsec. Unsub. Nts., 10/1/12(3) 1,599,000 1,688,047
------------
6,000,098
-----------------------------------------------------------------------------------------------
HEALTH CARE-0.3%
-----------------------------------------------------------------------------------------------
BIOTECHNOLOGY-0.1%
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 1,053,000 1,058,163
-----------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES-0.1%
McKesson Corp., 6% Sr. Unsec. Unsub.
Nts., 3/1/41 854,000 928,679
-----------------------------------------------------------------------------------------------
17 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
--------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES CONTINUED
Quest Diagnostics, Inc., 5.75% Sr.
Unsec. Nts., 1/30/40 $ 1,028,000 $ 1,044,624
-----------
1,973,303
--------------------------------------------------------------------------------------------------
PHARMACEUTICALS-0.1%
Mylan, Inc., 6% Sr. Nts., 11/15/18(3) 1,730,000 1,786,225
--------------------------------------------------------------------------------------------------
INDUSTRIALS-0.9%
--------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE-0.2%
Alliant Techsystems, Inc., 6.75% Sr.
Sub. Nts., 4/1/16 1,630,000 1,682,975
--------------------------------------------------------------------------------------------------
BE Aerospace, Inc., 8.50% Sr. Unsec.
Nts., 7/1/18 1,458,000 1,618,380
-----------
3,301,355
--------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES-0.2%
Corrections Corp. of America, 7.75%
Sr. Nts., 6/1/17 1,661,000 1,827,100
--------------------------------------------------------------------------------------------------
Republic Services, Inc., 6.75% Sr.
Unsec. Unsub. Nts., 8/15/11 1,240,000 1,253,314
-----------
3,080,414
--------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES-0.3%
General Electric Capital Corp.:
4.25% Sr. Unsec. Nts., Series A, 6/15/12 1,490,000 1,544,987
5.25% Sr. Unsec. Nts., 10/19/12 260,000 275,808
6.375% Unsec. Sub. Bonds, 11/15/67 3,004,000 3,135,425
-----------
4,956,220
--------------------------------------------------------------------------------------------------
MACHINERY-0.1%
SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 1,510,000 1,691,200
--------------------------------------------------------------------------------------------------
PROFESSIONAL SERVICES-0.1%
FTI Consulting, Inc., 6.75% Sr. Nts., 10/1/20(3) 1,682,000 1,724,050
--------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY-0.7%
--------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT-0.3%
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 2,510,000 2,752,679
--------------------------------------------------------------------------------------------------
Juniper Networks, Inc., 5.95% Sr.
Unsec. Unsub. Nts., 3/15/41 655,000 689,422
--------------------------------------------------------------------------------------------------
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 1,555,000 1,600,577
-----------
5,042,678
--------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS-0.1%
Arrow Electronics, Inc., 3.375% Sr.
Unsec. Unsub. Nts., 11/1/15 3,045,000 3,092,426
--------------------------------------------------------------------------------------------------
OFFICE ELECTRONICS-0.1%
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 1,571,000 1,697,398
--------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-0.1%
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 1,108,000 1,274,746
--------------------------------------------------------------------------------------------------
SOFTWARE-0.1%
Symantec Corp., 4.20% Sr. Unsec.
Unsub. Nts., 9/15/20 1,864,000 1,815,627
--------------------------------------------------------------------------------------------------
MATERIALS-1.1%
--------------------------------------------------------------------------------------------------
CHEMICALS-0.4%
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 717,000 778,757
--------------------------------------------------------------------------------------------------
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 1,427,000 1,457,940
--------------------------------------------------------------------------------------------------
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 1,495,000 1,711,775
--------------------------------------------------------------------------------------------------
CF Industries, Inc., 6.875% Sr. Unsec.
Unsub. Nts., 5/1/18 1,641,000 1,889,201
--------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc.,
5.625% Sr. Unsec. Unsub. Nts., 12/1/40 989,000 1,026,120
-----------
6,863,793
18 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
----------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
----------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING-0.3%
Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 $ 1,790,000 $ 1,969,000
----------------------------------------------------------------------------------------------------
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 1,975,000 2,226,967
----------------------------------------------------------------------------------------------------
Sonoco Products Co., 5.75% Sr. Unsec.
Unsub. Nts., 11/1/40 834,000 872,306
------------
5,068,273
----------------------------------------------------------------------------------------------------
METALS & MINING-0.4%
Barrick Gold Corp., 2.90% Sr. Unsec.
Nts., 5/30/16(3,9) 1,070,000 1,074,209
----------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc.,
8.375% Sr. Nts., 4/1/17 2,365,000 2,595,642
----------------------------------------------------------------------------------------------------
Vale Inco Ltd., 5.70% Sr. Unsec.
Unsub. Nts., 10/15/15 97,000 107,159
----------------------------------------------------------------------------------------------------
Xstrata Canada Corp.:
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,190,000 1,306,789
6% Sr. Unsec. Unsub. Nts., 10/15/15 1,071,000 1,207,007
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 95,000 101,112
------------
6,391,918
----------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES-0.7%
----------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES-0.6%
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,275,000 2,441,052
----------------------------------------------------------------------------------------------------
British Telecommunications plc, 9.875%
Bonds, 12/15/30 1,010,000 1,444,698
----------------------------------------------------------------------------------------------------
CenturyLink, Inc., 7.60% Sr. Unsec.
Unsub. Nts., Series P, 9/15/39 577,000 591,888
----------------------------------------------------------------------------------------------------
Frontier Communications Corp., 8.25%
Sr. Unsec. Nts., 4/15/17 1,630,000 1,797,075
----------------------------------------------------------------------------------------------------
Qwest Corp., 7.625% Sr. Unsec. Unsub.
Nts., 6/15/15 1,589,000 1,832,316
----------------------------------------------------------------------------------------------------
Telus Corp., 8% Nts., 6/1/11 830,000 830,000
----------------------------------------------------------------------------------------------------
Verizon Communications, Inc., 6.40%
Sr. Unsec. Nts., 2/15/38 993,000 1,099,335
------------
10,036,364
----------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES-0.1%
American Tower Corp., 7% Sr. Unsec.
Nts., 10/15/17 1,156,000 1,335,180
----------------------------------------------------------------------------------------------------
UTILITIES-0.8%
----------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES-0.7%
Allegheny Energy Supply Co. LLC, 8.25%
Bonds, 4/15/12(3) 1,455,000 1,543,273
----------------------------------------------------------------------------------------------------
FirstEnergy Solutions Corp., 6.80% Sr.
Unsec. Nts., 8/15/39 993,000 1,067,622
----------------------------------------------------------------------------------------------------
Great Plains Energy, Inc., 2.75% Sr.
Unsec. Unsub. Nts., 8/15/13 1,659,000 1,698,609
----------------------------------------------------------------------------------------------------
Northeast Utilities, 7.25% Sr. Unsec.
Nts., 4/1/12 1,620,000 1,697,127
----------------------------------------------------------------------------------------------------
Oncor Electric Delivery Co., 7% Debs., 9/1/22 1,407,000 1,703,919
----------------------------------------------------------------------------------------------------
PPL WEM Holdings plc, 3.90% Sr. Unsec.
Nts., 5/1/16(3) 2,405,000 2,484,988
----------------------------------------------------------------------------------------------------
Texas-New Mexico Power Co., 9.50% Sec.
Nts., 4/1/19(3) 1,710,000 2,219,091
------------
12,414,629
----------------------------------------------------------------------------------------------------
MULTI-UTILITIES-0.1%
Puget Energy, Inc., 6% Sr. Sec. Nts., 9/1/21(3,9) 552,000 552,000
------------
Total Non-Convertible Corporate Bonds and
Notes (Cost $265,569,272) 282,615,660
----------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES-6.1%
Advanced Micro Devices, Inc.:
5.75% Cv. Sr. Unsec. Nts., 8/15/12 5,203,000 5,404,616
6% Cv. Sr. Unsec. Nts., 5/1/15 7,007,000 7,313,556
----------------------------------------------------------------------------------------------------
Amylin Pharmaceuticals, Inc., 3% Cv.
Sr. Unsec. Nts., 6/15/14 13,000,000 11,927,500
----------------------------------------------------------------------------------------------------
Carrizo Oil & Gas, Inc., 4.375% Cv.
Sr. Unsec. Nts., 6/1/28 2,412,000 2,433,105
----------------------------------------------------------------------------------------------------
19 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Principal
Amount Value
--------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
--------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc.,
4.25% Cv. Sr. Unsec. Unsub. Nts., 8/15/16 $ 13,600,000 $ 13,957,000
--------------------------------------------------------------------------------------------------
General Cable Corp., 4.50% Cv. Unsec.
Sub. Nts., 11/15/29(4) 4,925,000 6,747,250
--------------------------------------------------------------------------------------------------
Hologic, Inc., 2% Cv. Sr. Unsec.
Unsub. Nts., 12/15/37(4) 12,000,000 11,775,000
--------------------------------------------------------------------------------------------------
LifePoint Hospitals, Inc.:
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 4,000,000 4,205,000
--------------------------------------------------------------------------------------------------
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 5,000,000 5,550,000
--------------------------------------------------------------------------------------------------
NII Holdings, Inc., 3.125% Cv. Sr.
Unsec. Nts., 6/15/12 17,750,000 17,838,750
--------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 3% Cv. Sr. Sub.
Nts., 11/15/12 15,000,000 14,925,000
--------------------------------------------------------------------------------------------------
Standard Chartered plc, 6.409% Cv. Jr.
Unsec. Sub. Bonds, 1/29/49(3) 2,400,000 2,343,024
-------------
Total Convertible Corporate Bonds and Notes
(Cost $92,083,941) 104,419,801
--------------------------------------------------------------------------------------------------
EVENT-LINKED BONDS-0.7%
Calypso Capital Ltd. Catastrophe
Linked Nts., Series 2010-1, Cl. A,
4.697%, 1/10/14(3,4) 2,041,000 EUR 2,961,356
--------------------------------------------------------------------------------------------------
Fhu-Jin Ltd. Catastrophe Linked Nts.,
Cl. B, 4.173%, 8/10/11(3,4) 3,000,000 2,999,400
--------------------------------------------------------------------------------------------------
Foundation Re III Ltd. Catastrophe
Linked Nts., Series 1-A, 5.75%, 2/3/14(3,4) 2,100,000 2,034,060
--------------------------------------------------------------------------------------------------
Longpoint Re Ltd. Catastrophe Linked
Nts., 5.40%, 12/24/12(3,4) 1,606,000 1,588,173
--------------------------------------------------------------------------------------------------
Midori Ltd. Catastrophe Linked Nts.,
3.028%, 10/24/12(3,4) 3,000,000 2,875,500
-------------
Total Event-Linked Bonds (Cost $12,494,768) 12,458,489
Expiration Strike
Date Price Contracts
------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED-0.0%
Euro (EUR) Call(1) 6/15/11 1 4,000,000 -
------------------------------------------------------------------------------------------------------
Standard & Poor's
Depositary Receipts
Trust/Standard &
Poor's 500 Exchange
Traded Funds, Series 1 Put(1) 7/18/11 127 2,000 160,000
-----------
Total Options Purchased (Cost $1,340,169) 160,000
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 BBA LIBOR and
pay 5.28%; terminating 10/19/25(1) 10/15/15 20,000,000 596,712
------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The)
Swap Counterparty, Interest Rate
Swap call option; Swap Terms:
Receive Three-Month BBA LIBOR and
pay 5.445%; terminating 11/9/25(1) 11/5/15 20,000,000 414,910
----------
Total Swaptions Purchased (Cost $1,040,000) 1,011,622
20 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
Shares Value
-------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES-19.4%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%(11,12) 246,751,632 $ 246,751,632
-------------------------------------------------------------------------------------------------
Oppenheimer Master Loan Fund, LLC(11) 6,879,066 82,695,486
------------
Total Investment Companies (Cost $328,901,821) 329,447,118
-------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $1,796,013,091) 115.1% 1,957,985,773
-------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets (15.1) (257,410,268)
--------------------------------
Net Assets 100.0% $ 1,700,575,505
================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
----------------
Principal amount is reported in U.S. Dollars, except for those denoted in the
following currency:
EUR Euro
1. Non-income producing security.
2. Restricted security. The aggregate value of restricted securities as of
May 31, 2011 was $95,357,204, which represents 5.61% of the Fund's net
assets. See accompanying Notes. Information concerning restricted
securities is as follows:
UNREALIZED
ACQUISITION APPRECIATION
SECURITY DATES COST VALUE (DEPRECIATION)
------------------------------------------------------------------------------------------------------------
Airspeed Ltd., Airplane Receivables,
Series 2007-1A, Cl. G1, 0.468%,
6/15/32 7/28/10-10/21/10 $ 29,608,001 $ 31,125,702 $ 1,517,701
Airspeed Ltd., Airplane Receivables,
Series 2007-1A, Cl. G2, 0.478%,
6/15/32 4/8/11 10,645,133 10,633,752 (11,381)
Blade Engine Securitization Ltd.,
Asset-Backed Certificates, Series
2006-1A, Cl. B, 3.198%, 9/15/41 11/10/09 7,084,721 8,793,033 1,708,312
Bond Street Holdings LLC, Cl. A 11/4/09 7,500,000 7,687,500 187,500
DT Auto Owner Trust 2011-1A,
Automobile Receivable Nts., Series
2011-1A, Cl. C, 3.05%, 8/15/15 2/2/11 2,034,758 2,043,913 9,155
DT Auto Owner Trust 2011-2A,
Automobile Receivable Nts., Series
2011-2A, Cl. C, 3.05%, 7/15/13 5/25/11 494,995 495,155 160
Kinder Morgan Finance Co. LLC, 6% Sr.
Sec. Nts., 1/15/18 2/23/11 1,667,765 1,721,948 54,183
NuCO2 Funding LLC, Asset-Backed Nts.,
Series 2008-1A, Cl. A1, 7.25%, 6/25/38 1/25/11 26,866,615 26,875,000 8,385
Santander Drive Auto Receivables Trust
2011-S1A, Automobile Receivables Nts.,
Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11-4/14/11 2,094,772 2,094,267 (505)
Santander Drive Auto Receivables Trust
2011-S2A, Automobile Receivables Nts.,
Series 2011-S2A, Cl. D, 3.35%, 6/15/17 5/19/11 1,424,963 1,424,963 -
Westlake Automobile Receivables Trust
2011-1, Automobile Receivables Nts.,
Series 2011-1, Cl. A3, 1.49%, 6/16/14 5/18/11 759,973 760,471 498
ZFS Finance USA Trust V, 6.50% Jr.
Sub. Bonds, 5/9/37 2/24/11 1,655,846 1,701,500 45,654
-----------------------------------------
$ 91,837,542 $ 95,357,204 $ 3,519,662
=========================================
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 $110,839,102 or 6.52% of the Fund's
net assets as of May 31, 2011.
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 $918,853. 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 $21,371,877 or 1.26% of the Fund's net assets as of May 31, 2011.
21 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 $393,249 or 0.02%
of the Fund's net assets as of May 31, 2011.
9. When-issued security or delayed delivery to be delivered and settled after
May 31, 2011. 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 May 31, 2011, 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 MAY 31, 2011
------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E 323,019,783 561,866,057 638,134,208 246,751,632
Oppenheimer Master Loan Fund, LLC - 6,879,066 - 6,879,066
REALIZED
VALUE INCOME LOSS
----------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E $ 246,751,632 $ 426,692 $ -
Oppenheimer Master Loan Fund, LLC 82,695,486 2,585,611(a) 327,608(a)
-------------------------------------------------
$ 329,447,118 $ 3,012,303 $ 327,608
=================================================
a. Represents the amount allocated to the Fund from Oppenheimer Master Loan
Fund, LLC.
12. Rate shown is the 7-day yield as of May 31, 2011.
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 or liability (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 or liability).
The table below categorizes amounts as of May 31, 2011 based on valuation input
level:
22 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 $ 43,191,660 $ - $ - $ 43,191,660
Consumer Staples 78,402,355 - - 78,402,355
Energy 51,023,124 11,119,252 - 62,142,376
Financials 75,702,486 7,687,500 - 83,389,986
Health Care 68,053,301 - - 68,053,301
Industrials 45,224,612 - - 45,224,612
Information Technology 80,015,294 - - 80,015,294
Materials 29,434,063 - - 29,434,063
Telecommunication Services 16,307,300 - - 16,307,300
Utilities 21,396,695 - - 21,396,695
Preferred Stocks 7,595,000 47,939,774 - 55,534,774
Rights, Warrants and Certificates 599,321 - - 599,321
Mortgage-Backed Obligations - 475,222,035 - 475,222,035
Asset-Backed Securities - 159,329,145 - 159,329,145
U.S. Government Obligations - 9,630,166 - 9,630,166
Non-Convertible Corporate Bonds and Notes - 282,615,660 - 282,615,660
Convertible Corporate Bonds and Notes - 104,419,801 - 104,419,801
Event-Linked Bonds - 12,458,489 - 12,458,489
Options Purchased 160,000 - - 160,000
Swaptions Purchased - 1,011,622 - 1,011,622
Investment Companies 246,751,632 82,695,486 - 329,447,118
--------------------------------------------------------------------------------
Total Investments, at Value 763,856,843 1,194,128,930 - 1,957,985,773
OTHER FINANCIAL INSTRUMENTS:
Futures margins 279,880 - - 279,880
Depreciated swaps, at value - 3,292,244 - 3,292,244
--------------------------------------------------------------------------------
Total Assets $ 764,136,723 $ 1,197,421,174 $ - $ 1,961,557,897
--------------------------------------------------------------------------------
LIABILITIES TABLE
OTHER FINANCIAL INSTRUMENTS:
Foreign currency exchange contracts $ - $ (35,354) $ - $ (35,354)
Futures margins (134,120) - - (134,120)
Appreciated swaps, at value - (1,110,795) - (1,110,795)
----------------------------------------------------------------------------------
Total Liabilities $ (134,120) $ (1,146,149) $ - $ (1,280,269)
----------------------------------------------------------------------------------
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.
23 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF MAY 31, 2011 ARE AS FOLLOWS:
CONTRACT AMOUNT EXPIRATION UNREALIZED
COUNTERPARTY/CONTRACT DESCRIPTION BUY/SELL (000'S) DATE VALUE DEPRECIATION
--------------------------------------------------------------------------------------------------------------------
RBS GREENWICH CAPITAL
Euro (EUR) Sell 2,055 EUR 8/17/11 $ 2,951,399 $ 35,354
FUTURES CONTRACTS AS OF MAY 31, 2011 ARE AS FOLLOWS:
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------------------
U.S. Treasury Long Bonds Buy 714 9/21/11 $89,138,438 $ 377,399
U.S. Treasury Nts., 2 yr. Sell 366 9/30/11 80,222,625 (41,464)
U.S. Treasury Nts., 5 yr. Sell 268 9/30/11 31,929,688 (129,384)
U.S. Treasury Nts., 10 yr. Buy 197 9/21/11 24,154,047 25,855
U.S. Treasury Nts., 10 yr. Sell 43 6/21/11 5,333,344 (41,424)
U.S. Treasury Nts., 10 yr. Sell 301 9/21/11 36,905,422 (112,437)
U.S. Treasury Ultra Bonds Buy 20 9/21/11 2,581,250 13,474
--------------
$ 92,019
==============
CREDIT DEFAULT SWAP CONTRACTS AS OF MAY 31, 2011 ARE AS FOLLOWS:
PAY/ UPFRONT
BUY/SELL NOTIONAL RECEIVE PAYMENT UNREALIZED
REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION RECEIVED/ APPRECIATION
SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE (PAID) VALUE (DEPRECIATION)
-----------------------------------------------------------------------------------------------------------------------------------
ITRAXX EUROPE SENIOR FINANCIALS, SERIES 14
Barclays Bank plc Sell $ 34,000 1.00% 12/20/15 $ 1,204,701 $(1,110,795) $ 93,906
-------- ---------------------------------------------
Total 34,000 1,204,701 (1,110,795) 93,906
-----------------------------------------------------------------------------------------------------------------------------------
ITRAXX EUROPE SUB FINANCIALS, SERIES 14
Barclays Bank plc Buy 34,000 1.00 12/20/15 (3,390,182) 3,043,844 (346,338)
-------- ---------------------------------------------
Total 34,000 (3,390,182) 3,043,844 (346,338)
-----------------------------------------------------------------------------------------------------------------------------------
REPUBLIC OF GERMANY
Goldman Sachs International Buy 50,000 0.25 9/20/15 (596,126) 248,400 (347,726)
-------- ---------------------------------------------
Total 50,000 (596,126) 248,400 (347,726)
---------------------------------------------
Grand Total Buys (3,986,308) 3,292,244 (694,064)
Grand Total Sells 1,204,701 (1,110,795) 93,906
---------------------------------------------
Total Credit Default Swaps $(2,781,607) $ 2,181,449 $ (600,158)
=============================================
The table that follows shows the undiscounted maximum potential payment by the
Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL
PAYMENTS FOR SELLING CREDIT REFERENCE ASSET RATING
TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RANGE**
------------------------------------------------------------------------------------------------------------------------------------
Investment Grade Corporate Debt Indexes $ 34,000,000 $ - A
----------------
* The Fund has no amounts recoverable from related purchased protection. In
addition, the Fund has no recourse provisions under the credit derivatives
and holds no collateral which can offset or reduce potential payments under
a triggering event.
24 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
** The period end reference asset security ratings, as rated by any rating
organization, are included in the equivalent Standard & Poor's rating
category. The reference asset rating represents the likelihood of a
potential credit event on the reference asset which would result in a
related payment by the Fund.
The following table aggregates, as of period end, the amount receivable
from/(payable to) each counterparty with
whom the Fund has entered into a swap agreement. Swaps are individually
disclosed in the preceding tables.
SWAP SUMMARY AS OF MAY 31, 2011 IS AS FOLLOWS:
NOTIONAL
SWAP TYPE FROM AMOUNT
SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE
---------------------------------------------------------------------------------------------------------------------------
Barclays Bank plc:
Credit Default Buy Protection $ 34,000 $ 3,043,844
Credit Default Sell Protection 34,000 (1,110,795)
---------------
1,933,049
---------------------------------------------------------------------------------------------------------------------------
Goldman Sachs International Credit Default Buy Protection 50,000 248,400
---------------
Total Swaps $ 2,181,449
===============
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," observable market inputs other than unadjusted
quoted prices are classified as "Level 2" and significant unobservable inputs,
including the Manager's judgment about the assumptions that a market participant
would use in pricing an asset or liability, are classified as "Level 3." The
inputs used for valuing securities are not necessarily an indication of the
risks associated with investing in those securities. A table summarizing the
Fund's investments under these levels of classification is included following
the Statement of Investments.
Securities are valued using unadjusted quoted market prices, when available, as
supplied primarily 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
25 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 current price quotation obtained from an independent pricing
service or broker-dealer, 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.
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
26 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 May 31, 2011, 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 $ 336,331,616
Sold securities 68,220,316
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,
including its management fee. The Manager will waive fees and/or reimburse Fund
expenses in an amount equal to the indirect management fees incurred through the
Fund's investment in IMMF.
INVESTMENT IN OPPENHEIMER MASTER FUND. The Fund is permitted to invest in
entities sponsored and/or advised by the Manager or an affiliate. Certain of
these entities in which the Fund invests are mutual funds registered under the
Investment Company Act of 1940 that expect to be treated as partnerships for tax
purposes, specifically Oppenheimer Master Loan Fund, LLC (the "Master Fund").
The Master Fund has its own investment risks, and those risks can affect the
value of the Fund's investments and therefore the value of the Fund's shares. To
the extent that the Fund invests more of its assets in the Master Fund, the Fund
will have greater exposure to the risks of the Master Fund.
The investment objective of the Master Fund is to seek as high a level of
current income and preservation of capital as is consistent with investing
primarily in loans and other debt securities. The Fund's investment in the
Master Fund is included in the Statement of Investments. The Fund recognizes
income and gain/(loss) on its investment in the master fund according to its
allocated pro-rata share, based on its relative proportion of total outstanding
Master Fund shares held, of the total net income earned and the net gain/(loss)
realized on investments sold by the Master Fund. As a shareholder, the Fund is
subject to its proportional share of the Master Fund's expenses, including its
management fee.
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
27 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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.
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.
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
28 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
counterparty credit risk, which is the risk that the counterparty will not
fulfill its obligation to the Fund. Associated risks can be different for each
type of derivative and are discussed by each derivative type in the notes that
follow.
COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to
counterparty credit risk, which is the risk that the counterparty will not
fulfill its obligation to the Fund. The Fund's derivative counterparties
are financial institutions who are subject to market conditions that may
weaken their financial position. The Fund intends to enter into financial
transactions with counterparties that the Manager believes to be
creditworthy at the time of the transaction. As of May 31, 2011, the
maximum amount of loss that the Fund would incur if the counterparties to
its derivative transactions failed to perform would be $3,292,244, 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 $2,181,449 as of May 31,
2011. 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 May 31, 2011 the Fund has required certain counterparties to post
collateral of $3,060,547.
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 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 take a positive investment perspective on
the related currency. These forward foreign currency exchange contracts seek to
increase exposure to foreign exchange rate risk.
29 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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.
During the period ended May 31, 2011, the Fund had daily average contract
amounts on forward foreign currency contracts to buy and sell of $345,891 and
$3,203,958, 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.
During the period ended May 31, 2011, the Fund had an ending monthly average
market value of $108,717,455 and $106,502,381 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 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.
30 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 May 31, 2011, the Fund had an ending monthly average
market value of $243,887 and $95,200 on purchased call options and purchased put
options, respectively.
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 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.
During the period ended May 31, 2011, the Fund did not have any outstanding
written options.
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 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").
31 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
The buyer of protection pays a periodic fee to the seller of protection
based on the notional amount of debt securities underlying the swap
contract. The seller of protection agrees to compensate the buyer of
protection for future potential losses as a result of a credit event on the
reference asset. The contract effectively transfers the credit event risk
of the reference asset from the buyer of protection to the seller of
protection.
The ongoing value of the contract will fluctuate throughout the term of the
contract based primarily on the credit risk of the reference asset. If the
credit quality of the reference asset improves relative to the credit
quality at contract initiation, the buyer of protection may have an
unrealized loss greater than the anticipated periodic fee owed. This
unrealized loss would be the result of current credit protection being
cheaper than the cost of credit protection at contract initiation. If the
buyer elects to terminate the contract prior to its maturity, and there has
been no credit event, this unrealized loss will become realized. If the
contract is held to maturity, and there has been no credit event, the
realized loss will be equal to the periodic fee paid over the life of the
contract.
If there is a credit event, the buyer of protection can exercise its rights
under the contract and receive a payment from the seller of protection
equal to the notional amount of the reference asset less the market value
of the reference asset. Upon exercise of the contract the difference
between the value of the underlying reference asset and the notional amount
is recorded as realized gain (loss) and is included on the Statement of
Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to
increase exposure to the credit risk of individual securities and/or,
indexes that are either unavailable or considered to be less attractive in
the bond market.
The Fund has purchased credit protection through credit default swaps to
decrease exposure to the credit risk of individual securities and/or,
indexes.
The Fund has 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 May 31, 2011, the Fund had ending monthly average
notional amounts of $72,083,162 and $20,083,162 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 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.
32 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2011 (Unaudited)
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 receives a floating interest rate and pays a fixed
interest rate in order to decrease 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 May 31, 2011, the Fund had an ending monthly average
market value of $614,771 on purchased swaptions.
RESTRICTED SECURITIES
As of May 31, 2011, 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 May 31,
2011 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 $ 1,807,268,523
Federal tax cost of other investments (35,827,756)
-------------------
Total federal tax cost $ 1,771,440,767
===================
Gross unrealized appreciation $ 160,964,428
Gross unrealized depreciation (10,755,317)
-------------------
Net unrealized appreciation $ 150,209,111
===================
33 | OPPENHEIMER CAPITAL INCOME FUND
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in rule 30a-3(c) under the Investment Company
Act of 1940 (17 CFR 270.30a-3(c)) as of 05/31/2011, 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: 07/12/2011
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: 07/12/2011
By: /s/ Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: 07/12/2011
EX-99.CERT
2
g59275exv99wcert.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: 07/12/2011
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
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Brian W. Wixted
Principal Financial Officer
Date: 07/12/2011