0000950123-12-001425.txt : 20120127
0000950123-12-001425.hdr.sgml : 20120127
20120126173916
ACCESSION NUMBER: 0000950123-12-001425
CONFORMED SUBMISSION TYPE: N-Q
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20111130
FILED AS OF DATE: 20120127
DATE AS OF CHANGE: 20120126
EFFECTIVENESS DATE: 20120127
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: 12548602
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
g60033nvq.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)
Arthur S. Gabinet
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
---------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
Date of fiscal year end: August 31
Date of reporting period: 11/30/2011
================================================================================
ITEM 1. SCHEDULE OF INVESTMENTS.
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
SHARES VALUE
-------------------------------------------------------------------------------------------------
COMMON STOCKS-26.7%
-------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY-3.2%
-------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE-0.7%
McDonald's Corp. 115,000 $10,984,800
-------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS-0.5%
Mattel, Inc. 270,000 7,778,700
-------------------------------------------------------------------------------------------------
MEDIA-1.7%
Cinemark Holdings, Inc. 428,000 8,384,520
-------------------------------------------------------------------------------------------------
Comcast Corp., Cl. A 264,000 5,984,880
-------------------------------------------------------------------------------------------------
Dish Network Corp., Cl. A 290,000 7,125,300
-------------------------------------------------------------------------------------------------
Time Warner Cable, Inc. 72,500 4,384,800
-----------
25,879,500
-------------------------------------------------------------------------------------------------
MULTILINE RETAIL-0.3%
Target Corp. 100,000 5,270,000
-------------------------------------------------------------------------------------------------
CONSUMER STAPLES-3.0%
-------------------------------------------------------------------------------------------------
BEVERAGES-0.9%
Coca-Cola Co. (The) 206,000 13,849,380
-------------------------------------------------------------------------------------------------
FOOD PRODUCTS-0.2%
Adecoagro SA(1) 458,290 3,909,214
-------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS-1.1%
Church & Dwight Co., Inc. 386,000 17,080,500
-------------------------------------------------------------------------------------------------
TOBACCO-0.8%
Philip Morris International, Inc. 156,000 11,893,440
-------------------------------------------------------------------------------------------------
ENERGY-3.6%
ENERGY EQUIPMENT & SERVICES-0.6%
Nabors Industries Ltd.(1) 210,000 3,767,400
-------------------------------------------------------------------------------------------------
Schlumberger Ltd. 63,000 4,745,790
-----------
8,513,190
-------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS-3.0%
Apache Corp. 46,500 4,623,960
-------------------------------------------------------------------------------------------------
Chevron Corp. 126,100 12,965,602
-------------------------------------------------------------------------------------------------
Enbridge Energy Management LLC(1) 1 3
-------------------------------------------------------------------------------------------------
Exxon Mobil Corp. 165,300 13,296,732
-------------------------------------------------------------------------------------------------
Kinder Morgan Management LLC(1) 1 25
-------------------------------------------------------------------------------------------------
Kinder Morgan, Inc. 96,390 2,843,505
-------------------------------------------------------------------------------------------------
Noble Energy, Inc. 21,500 2,115,385
-------------------------------------------------------------------------------------------------
Royal Dutch Shell plc, ADR 8,000 560,000
-------------------------------------------------------------------------------------------------
Royal Dutch Shell plc, B Shares 305,953 11,021,574
-----------
47,426,786
-------------------------------------------------------------------------------------------------
FINANCIALS-4.4%
-------------------------------------------------------------------------------------------------
CAPITAL MARKETS-0.5%
Bond Street Holdings LLC, Cl. A(1,2) 375,000 6,750,000
-------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The) 13,000 1,246,180
-----------
7,996,180
-------------------------------------------------------------------------------------------------
COMMERCIAL BANKS-2.2%
M&T Bank Corp. 161,000 11,749,780
-------------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc. 111,000 6,017,310
-------------------------------------------------------------------------------------------------
U.S. Bancorp 197,000 5,106,240
-------------------------------------------------------------------------------------------------
1 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
SHARES VALUE
-----------------------------------------------------------------------------------------------------
COMMON STOCKS CONTINUED
-----------------------------------------------------------------------------------------------------
COMMERCIAL BANKS CONTINUED
-----------------------------------------------------------------------------------------------------
Wells Fargo & Co. 414,000 $10,706,040
-----------
33,579,370
-----------------------------------------------------------------------------------------------------
INSURANCE-0.6%
Alleghany Corp.(1) 8,000 2,304,000
-----------------------------------------------------------------------------------------------------
Transatlantic Holdings, Inc. 46,000 2,513,440
-----------------------------------------------------------------------------------------------------
Unum Group 200,000 4,502,000
-----------
9,319,440
-----------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS-1.1%
American Assets Trust, Inc. 205,000 4,231,200
-----------------------------------------------------------------------------------------------------
General Growth Properties, Inc. 144,926 2,040,558
-----------------------------------------------------------------------------------------------------
Public Storage 25,000 3,297,500
-----------------------------------------------------------------------------------------------------
Starwood Property Trust, Inc. 464,130 8,280,079
-----------
17,849,337
-----------------------------------------------------------------------------------------------------
HEALTH CARE-3.4%
-----------------------------------------------------------------------------------------------------
BIOTECHNOLOGY-0.5%
Gilead Sciences, Inc.(1) 178,000 7,093,300
-----------------------------------------------------------------------------------------------------
NPS Pharmaceuticals, Inc.(1) 242,470 1,377,230
-----------
8,470,530
-----------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES-0.4%
Covidien plc 45,000 2,049,750
-----------------------------------------------------------------------------------------------------
Medtronic, Inc. 100,000 3,643,000
-----------
5,692,750
-----------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES-0.9%
HCA Holdings, Inc.(1) 101,550 2,475,789
-----------------------------------------------------------------------------------------------------
Humana, Inc. 49,000 4,345,320
-----------------------------------------------------------------------------------------------------
UnitedHealth Group, Inc. 160,000 7,803,200
-----------
14,624,309
-----------------------------------------------------------------------------------------------------
PHARMACEUTICALS-1.6%
Merck & Co., Inc. 114,000 4,075,500
-----------------------------------------------------------------------------------------------------
Pfizer, Inc. 564,400 11,327,508
-----------------------------------------------------------------------------------------------------
Teva Pharmaceutical Industries Ltd., Sponsored ADR 68,440 2,710,908
-----------------------------------------------------------------------------------------------------
Watson Pharmaceuticals, Inc.(1) 100,000 6,462,000
-----------
24,575,916
-----------------------------------------------------------------------------------------------------
INDUSTRIALS-1.6%
-----------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT-0.5%
Cooper Industries plc 148,300 8,235,099
-----------------------------------------------------------------------------------------------------
MACHINERY-0.3%
AGCO Corp.(1) 86,000 3,934,500
-----------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS-0.8%
AerCap Holdings NV(1) 1,197,280 12,882,733
-----------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY-4.5%
-----------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT-0.9%
Juniper Networks, Inc.(1) 218,000 4,950,780
-----------------------------------------------------------------------------------------------------
QUALCOMM, Inc. 126,500 6,932,200
-----------------------------------------------------------------------------------------------------
2 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
SHARES VALUE
-----------------------------------------------------------------------------------------------------
COMMON STOCKS CONTINUED
-----------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT CONTINUED
-----------------------------------------------------------------------------------------------------
Research in Motion Ltd.(1) 110,000 $ 1,964,600
-----------
13,847,580
-----------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS-0.5%
Apple, Inc.(1) 20,100 7,682,220
-----------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES-0.3%
VeriSign, Inc. 147,000 4,936,260
-----------------------------------------------------------------------------------------------------
IT SERVICES-1.4%
Accenture plc, Cl. A 100,000 5,793,000
-----------------------------------------------------------------------------------------------------
International Business Machines Corp. 86,700 16,299,600
-----------
22,092,600
-----------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-0.5%
Atmel Corp.(1) 170,000 1,507,900
-----------------------------------------------------------------------------------------------------
Broadcom Corp., Cl. A 73,500 2,230,358
-----------------------------------------------------------------------------------------------------
Xilinx, Inc. 145,000 4,742,950
-----------
8,481,208
-----------------------------------------------------------------------------------------------------
SOFTWARE-0.9%
Microsoft Corp. 280,000 7,162,400
-----------------------------------------------------------------------------------------------------
Oracle Corp. 194,000 6,081,900
-----------
13,244,300
-----------------------------------------------------------------------------------------------------
MATERIALS-1.1%
-----------------------------------------------------------------------------------------------------
CHEMICALS-0.9%
Mosaic Co. (The) 254,070 13,404,733
-----------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING-0.2%
Rock-Tenn Co., Cl. A 63,469 3,697,069
-----------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES-0.5%
-----------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES-0.5%
AT&T, Inc. 232,500 6,737,850
-----------------------------------------------------------------------------------------------------
UTILITIES-1.4%
-----------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES-0.4%
Cleco Corp. 173,000 6,252,220
-----------------------------------------------------------------------------------------------------
MULTI-UTILITIES-1.0%
CenterPoint Energy, Inc. 332,500 6,616,750
-----------------------------------------------------------------------------------------------------
CMS Energy Corp. 285,000 5,962,200
-----------------------------------------------------------------------------------------------------
Public Service Enterprise Group, Inc. 96,000 3,162,240
-----------
15,741,190
-----------
Total Common Stocks (Cost $371,017,126) 415,862,904
-----------------------------------------------------------------------------------------------------
PREFERRED STOCKS-2.7%
Goldman Sachs Group, Inc. (The), 3.75% Non-Cum., Series A,
Non-Vtg. 123,300 2,188,575
-----------------------------------------------------------------------------------------------------
H.J. Heinz Finance Co., 8% Cum., Series B(3) 40 4,157,500
-----------------------------------------------------------------------------------------------------
Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-
Vtg. 25,000 15,625,000
-----------------------------------------------------------------------------------------------------
MetLife, Inc., 5% Cv., Non-Vtg. 138,500 8,419,415
-----------------------------------------------------------------------------------------------------
PNC Financial Services Group, Inc., 9.875% Non-Cum., Series
F, Non-Vtg. 75,000 2,051,250
-----------------------------------------------------------------------------------------------------
PPL Corp., 8.75% Cv. 50,000 2,749,000
-----------------------------------------------------------------------------------------------------
3 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
SHARES VALUE
---------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS CONTINUED
Wells Fargo & Co., 7.50% Cv., Series L, Non-Vtg. 7,000 $7,378,000
---------------
Total Preferred Stocks (Cost $48,731,667) 42,568,740
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) 38,418 585,875
Principal
Amount
---------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS-21.6%
---------------------------------------------------------------------------------------------------------------------
GOVERNMENT AGENCY-16.3%
---------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED-16.2%
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19(4,5) $ 2,691,412 2,850,074
5%, 12/15/34 220,742 236,519
6%, 5/15/18(5) 950,896 1,035,203
6.50%, 7/1/28-4/1/34 389,886 444,006
7%, 10/1/31 492,941 563,373
8%, 4/1/16 116,180 127,371
9%, 8/1/22-5/1/25 46,139 52,424
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., 30 yr., 4.50%, 12/1/31(6) 11,925,000 12,558,516
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 2006-11, Cl. PS, 23.624%, 3/25/36(7) 592,328 832,753
Series 2034, Cl. Z, 6.50%, 2/15/28 229,524 255,278
Series 2043, Cl. ZP, 6.50%, 4/15/28 1,028,576 1,180,872
Series 2053, Cl. Z, 6.50%, 4/15/28 232,476 258,559
Series 2279, Cl. PK, 6.50%, 1/15/31 451,916 495,757
Series 2326, Cl. ZP, 6.50%, 6/15/31 208,938 240,759
Series 2426, Cl. BG, 6%, 3/15/17 1,323,890 1,422,544
Series 2427, Cl. ZM, 6.50%, 3/15/32 822,300 916,540
Series 2461, Cl. PZ, 6.50%, 6/15/32 1,235,615 1,411,604
Series 2500, Cl. FD, 0.748%, 3/15/32(7) 125,768 126,482
Series 2526, Cl. FE, 0.648%, 6/15/29(7) 154,417 155,589
Series 2538, Cl. F, 0.848%, 12/15/32(7) 1,368,831 1,380,087
Series 2551, Cl. FD, 0.648%, 1/15/33(7) 104,405 105,149
Series 2626, Cl. TB, 5%, 6/1/33 1,750,908 1,939,102
Series 2663, Cl. BA, 4%, 8/1/16 412,757 414,275
Series 2686, Cl. CD, 4.50%, 2/1/17 198,886 198,965
Series 2907, Cl. GC, 5%, 6/1/27 74,080 74,068
Series 3019, Cl. MD, 4.75%, 1/1/31 813,416 819,692
Series 3025, Cl. SJ, 23.841%, 8/15/35(7) 180,927 256,359
Series 3094, Cl. HS, 23.474%, 6/15/34(7) 367,933 490,209
Series 3242, Cl. QA, 5.50%, 3/1/30 361,805 364,378
Series 3822, Cl. JA, 5%, 6/1/40 1,755,834 1,915,583
Series 3848, Cl. WL, 4%, 4/1/40 2,106,507 2,232,689
Series R001, Cl. AE, 4.375%, 4/1/15 116,873 117,008
---------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 183, Cl. IO, 15.255%, 4/1/27(8) 342,686 60,590
4 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
--------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
--------------------------------------------------------------------------------------------------------------
Series 192, Cl. IO, 12.992%, 2/1/28(8) $ 107,229 $ 19,707
Series 2130, Cl. SC, 50.187%, 3/15/29(8) 263,817 58,395
Series 243, Cl. 6, 22.307%, 12/15/32(8) 409,313 63,860
Series 2527, Cl. SG, 19.556%, 2/15/32(8) 118,415 1,719
Series 2531, Cl. ST, 49.852%, 2/15/30(8) 300,803 11,254
Series 2639, Cl. SA, 0.296%, 7/15/22(8) 1,494,786 129,745
Series 2796, Cl. SD, 61.684%, 7/15/26(8) 392,880 81,306
Series 2802, Cl. AS, 61.922%, 4/15/33(8) 373,048 26,963
Series 2815, Cl. PT, 29.10%, 11/15/32(8) 6,208,012 699,649
Series 2920, Cl. S, 63.091%, 1/15/35(8) 2,210,474 393,918
Series 2937, Cl. SY, 24.411%, 2/15/35(8) 8,890,442 1,454,344
Series 3110, Cl. SL, 99.999%, 2/15/26(8) 386,044 51,207
Series 3451, Cl. SB, 22.025%, 5/15/38(8) 5,495,513 718,677
--------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security, Series 176, Cl. PO, 3.835%, 6/1/26(9) 106,143 96,750
--------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
3.50%, 1/1/27(6) 4,650,000 4,824,375
4%, 1/1/42(6) 3,565,000 3,704,815
4.50%, 1/1/42(6) 1,940,000 2,047,913
5%, 12/1/41(6) 35,559,000 38,225,936
5.50%, 1/1/38-4/1/39 4,585,582 4,984,672
5.50%, 12/1/26-12/1/41(6) 23,116,000 25,090,379
6%, 12/1/41(6) 22,820,000 25,016,432
6.50%, 5/25/17-10/25/19 1,440,966 1,575,381
6.50%, 11/25/31(5) 1,381,279 1,570,061
6.50%, 12/1/41(6) 6,052,000 6,692,190
7%, 11/1/17-7/25/35 552,443 601,809
7.50%, 1/1/33-3/25/33(5) 5,180,395 6,042,424
8.50%, 7/1/32 14,438 16,477
--------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., 15 yr.:
3%, 12/1/26(6) 34,485,000 35,330,962
4%, 12/1/26(6) 1,680,000 1,764,787
--------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 659,145 735,556
Trust 1998-61, Cl. PL, 6%, 11/25/28 361,205 407,660
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 559,339 643,181
Trust 2001-51, Cl. OD, 6.50%, 10/25/31(5) 960,256 1,121,695
Trust 2003-130, Cl. CS, 13.586%, 12/25/33(7) 634,414 744,259
Trust 2003-28, Cl. KG, 5.50%, 4/25/23(5) 3,553,000 3,953,440
Trust 2004-101, Cl. BG, 5%, 1/25/20(5) 2,735,056 2,904,984
Trust 2004-9, Cl. AB, 4%, 7/1/17 340,559 344,270
Trust 2005-104, Cl. MC, 5.50%, 12/25/25(5) 7,504,312 8,324,593
Trust 2005-12, Cl. JC, 5%, 6/1/28 543,618 546,675
Trust 2005-22, Cl. EC, 5%, 10/1/28 235,622 236,854
Trust 2005-30, Cl. CU, 5%, 4/1/29 325,515 328,531
5 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
------------------------------------------------------------------------------------------------------------
Trust 2005-31, Cl. PB, 5.50%, 4/25/35(5) $ 1,430,000 $1,722,588
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 2,339,080 2,464,182
Trust 2006-46, Cl. SW, 23.256%, 6/25/36(7) 468,693 652,636
Trust 2006-50, Cl. KS, 23.257%, 6/25/36(7) 987,930 1,376,984
Trust 2006-50, Cl. SK, 23.257%, 6/25/36(7) 114,127 160,758
Trust 2007-42, Cl. A, 6%, 2/1/33 2,593,834 2,733,760
Trust 2009-36, Cl. FA, 1.197%, 6/25/37(7) 2,345,099 2,382,858
Trust 2009-37, Cl. HA, 4%, 4/1/19 3,193,356 3,382,406
Trust 2009-70, Cl. PA, 5%, 8/1/35 3,878,510 4,014,552
Trust 2011-15, Cl. DA, 4%, 3/1/41 1,350,685 1,421,347
Trust 2011-3, Cl. KA, 5%, 4/1/40 2,044,537 2,235,494
------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-
Backed Security:
Trust 2001-15, Cl. SA, 66.109%, 3/17/31(8) 308,303 66,506
Trust 2001-65, Cl. S, 37.386%, 11/25/31(8) 862,892 169,446
Trust 2001-81, Cl. S, 32.777%, 1/25/32(8) 210,039 44,379
Trust 2002-47, Cl. NS, 34.885%, 4/25/32(8) 446,433 89,918
Trust 2002-51, Cl. S, 35.175%, 8/25/32(8) 409,887 82,227
Trust 2002-52, Cl. SD, 41.075%, 9/25/32(8) 508,434 107,762
Trust 2002-60, Cl. SM, 37.417%, 8/25/32(8) 744,548 135,896
Trust 2002-7, Cl. SK, 37.708%, 1/25/32(8) 232,199 36,879
Trust 2002-75, Cl. SA, 38.264%, 11/25/32(8) 1,042,943 193,721
Trust 2002-77, Cl. BS, 31.874%, 12/18/32(8) 451,646 83,425
Trust 2002-77, Cl. JS, 30.058%, 12/18/32(8) 750,952 130,496
Trust 2002-77, Cl. SA, 31.205%, 12/18/32(8) 707,932 129,484
Trust 2002-77, Cl. SH, 41.569%, 12/18/32(8) 287,237 60,698
Trust 2002-89, Cl. S, 63.994%, 1/25/33(8) 1,294,125 281,639
Trust 2002-9, Cl. MS, 33.492%, 3/25/32(8) 269,942 56,487
Trust 2002-90, Cl. SN, 38.749%, 8/25/32(8) 383,395 69,189
Trust 2002-90, Cl. SY, 43.334%, 9/25/32(8) 171,140 31,374
Trust 2003-33, Cl. SP, 40.142%, 5/25/33(8) 961,625 163,631
Trust 2003-46, Cl. IH, 0%, 6/1/23(8,10) 1,940,084 267,133
Trust 2003-89, Cl. XS, 39.087%, 11/25/32(8) 684,766 39,204
Trust 2004-54, Cl. DS, 51.616%, 11/25/30(8) 495,783 80,143
Trust 2004-56, Cl. SE, 16.324%, 10/25/33(8) 1,194,357 202,352
Trust 2005-19, Cl. SA, 61.381%, 3/25/35(8) 5,707,190 1,090,291
Trust 2005-40, Cl. SA, 60.459%, 5/25/35(8) 1,269,584 236,410
Trust 2005-6, Cl. SE, 74.791%, 2/25/35(8) 1,843,222 312,843
Trust 2005-71, Cl. SA, 62.129%, 8/25/25(8) 1,338,385 187,776
Trust 2005-93, Cl. SI, 18.177%, 10/25/35(8) 1,859,206 287,180
Trust 2006-129,Cl. SM, 28.177%, 1/25/37(8) 4,142,211 672,167
Trust 2006-51, Cl. SA, 37.244%, 6/25/36(8) 13,297,835 2,042,742
Trust 2008-55, Cl. SA, 25.251%, 7/25/38(8) 2,978,764 406,032
Trust 2008-67, Cl. KS, 45.89%, 8/25/34(8) 4,031,410 340,643
Trust 222, Cl. 2, 24.096%, 6/1/23(8) 759,872 144,577
6 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
-----------------------------------------------------------------------------------------------------------------------
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
-----------------------------------------------------------------------------------------------------------------------
Trust 252, Cl. 2, 37.046%, 11/1/23(8) $ 637,056 $120,444
Trust 303, Cl. IO, 29.26%, 11/1/29(8) 235,281 43,687
Trust 308, Cl. 2, 24.781%, 9/1/30(8) 607,046 142,897
Trust 320, Cl. 2, 11.612%, 4/1/32(8) 2,404,134 458,000
Trust 321, Cl. 2, 2.183%, 4/1/32(8) 2,052,494 385,626
Trust 331, Cl. 9, 30.966%, 2/1/33(8) 653,895 112,944
Trust 334, Cl. 17, 39.09%, 2/1/33(8) 388,758 75,843
Trust 338, Cl. 2, 3.573%, 7/1/33(8) 422,914 61,330
Trust 339, Cl. 12, 3.368%, 7/1/33(8) 1,532,984 262,062
Trust 339, Cl. 7, 0%, 7/1/33(8,10) 2,077,693 304,088
Trust 343, Cl. 13, 8.418%, 9/1/33(8) 1,461,377 235,902
Trust 343, Cl. 18, 3.537%, 5/1/34(8) 456,774 69,042
Trust 345, Cl. 9, 13.244%, 1/1/34(8) 1,002,808 143,722
Trust 351, Cl. 10, 4.726%, 4/1/34(8) 543,749 79,701
Trust 351, Cl. 8, 1.563%, 4/1/34(8) 867,942 128,405
Trust 356, Cl. 10, 0%, 6/1/35(8,10) 714,374 106,187
Trust 356, Cl. 12, 0%, 2/1/35(8,10) 357,287 53,033
Trust 362, Cl. 13, 3.799%, 8/1/35(8) 1,181,314 186,440
Trust 364, Cl. 16, 0.001%, 9/1/35(8) 1,501,718 236,661
Trust 365, Cl. 16, 3.625%, 3/1/36(8) 3,996,346 800,302
-----------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.302%, 9/25/23(9) 293,181 262,257
-----------
252,178,970
-----------------------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED-0.1%
Government National Mortgage Assn., 8.50%, 8/1/17-
12/15/17 63,134 71,368
-----------------------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 2001-21, Cl. SB, 90.412%, 1/16/27(8) 582,553 116,612
Series 2002-15, Cl. SM, 81.582%, 2/16/32(8) 549,570 114,057
Series 2002-41, Cl. GS, 45.319%, 6/16/32(8) 309,826 72,776
Series 2002-76, Cl. SY, 82.325%, 12/16/26(8) 1,413,434 297,693
Series 2004-11, Cl. SM, 81.285%, 1/17/30(8) 525,519 131,153
Series 2007-17, Cl. AI, 20.299%, 4/16/37(8) 4,022,887 760,979
------------
1,564,638
-----------------------------------------------------------------------------------------------------------------------
NON-AGENCY-5.3%
-----------------------------------------------------------------------------------------------------------------------
COMMERCIAL-2.9%
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 2,700,941
-----------------------------------------------------------------------------------------------------------------------
Banc of America Commercial Mortgage, Inc., Commercial
Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.801%,
6/1/49(7) 1,340,000 1,420,343
-----------------------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through
Certificates, Series 2007-4, Cl. 22A1, 5.682%, 6/1/47(7) 1,741,724 1,219,510
-----------------------------------------------------------------------------------------------------------------------
7 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
---------------------------------------------------------------------------------------------------------------------
COMMERCIAL CONTINUED
---------------------------------------------------------------------------------------------------------------------
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-
Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(3) $ 491,643 $ 490,539
---------------------------------------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-
Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 1,114,125 883,250
---------------------------------------------------------------------------------------------------------------------
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial
Mortgage Trust, Commercial Mtg. Pass-Through Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 439,716 444,574
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 1,375,000 1,427,115
---------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%,
7/1/46(3) 1,987,010 2,042,877
---------------------------------------------------------------------------------------------------------------------
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Interest-Only Stripped Mtg.-
Backed Security, Series 2010-C1, Cl. XPA, 4.858%, 9/1/20(3,8) 15,646,392 1,204,631
---------------------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2007-
FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl.
1A1, 5.50%, 4/25/37 68,638 45,215
---------------------------------------------------------------------------------------------------------------------
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 1,840,000 1,932,531
---------------------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp./Commercial
Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through
Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 1,720,000 1,575,101
---------------------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg.
Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 1,300,282 1,330,440
---------------------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through
Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 1,397,366 1,290,552
---------------------------------------------------------------------------------------------------------------------
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed
Bonds, Series 2005-4, Cl. 1A1A, 0.797%, 5/25/35(7) 1,912,472 1,353,809
---------------------------------------------------------------------------------------------------------------------
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-
Through Certificates, Series 2005-AR23, Cl. 6 A1, 5.124%,
11/1/35(7) 2,267,457 1,547,740
---------------------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2011-C3, Cl. A1, 1.875%, 2/1/46(3) 1,463,660 1,471,394
Series 2010-C2, Cl. A2, 3.616%, 11/1/43(3) 2,420,000 2,490,919
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 2,590,000 2,670,927
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 590,000 625,440
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 515,845 525,936
---------------------------------------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 2,330,530 1,963,312
---------------------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial
Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4,
5.858%, 7/11/40 3,055,000 3,283,792
---------------------------------------------------------------------------------------------------------------------
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg.
Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.08%,
6/1/49(7) 1,700,000 1,575,914
---------------------------------------------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-
Through Certificates, Series 2007-6, Cl. 3A1, 5.139%, 7/1/37(7) 2,155,677 1,305,902
8 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
----------------------------------------------------------------------------------------
COMMERCIAL CONTINUED
----------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2007-C33,
Commercial Mtg. Pass-Through Certificates, Series 2007-
C33, Cl. A4, 6.096%, 2/1/51(7) $ 1,800,000 $1,916,673
----------------------------------------------------------------------------------------
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 1,984,203
----------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2005-AR14
Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl.
1A4, 2.479%, 12/1/35(7) 1,115,022 900,350
----------------------------------------------------------------------------------------
Wells Fargo Commercial Mortgage Trust 2010-C1,
Commercial Mtg. Pass-Through Certificates, Series 2010-C1,
Cl. A1, 3.349%, 11/1/43(3) 1,241,163 1,282,865
----------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4,
5.777%, 4/1/37(7) 100,902 81,677
----------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1,
6.05%, 11/1/37(7) 1,572,226 1,172,286
----------------------------------------------------------------------------------------
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only
Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl.
XA, 7.82%, 3/1/44(8) 20,102,770 1,797,047
----------
45,957,805
----------------------------------------------------------------------------------------
MULTIFAMILY -- 0.4%
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through
Certificates, Series 2005-10, Cl. A3, 2.709%, 10/1/35(7) 6,029,992 4,873,798
----------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-
Through Certificates, Series 2006-AR3, Cl. 1 A2A, 5.662%,
6/1/36(7) 1,454,027 1,188,756
----------------------------------------------------------------------------------------
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through
Certificates, Series 2007-A3, Cl. 3A2M, 5.322%, 5/1/37(7) 574,322 468,800
---------
6,531,354
----------------------------------------------------------------------------------------
OTHER -- 0.4%
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 5,632,258
----------------------------------------------------------------------------------------
RESIDENTIAL -- 1.6%
Banc of America Funding 2007-C Trust, Mtg. Pass-Through
Certificates, Series 2007-C, Cl. 1A4, 5.548%, 5/1/36(7) 560,000 495,975
----------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-
Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 908,824 763,244
----------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-
Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.338%,
11/1/35(7) 2,027,879 1,381,815
----------------------------------------------------------------------------------------
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-
Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 1,262,919 1,208,524
----------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-
Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 2,100,509 1,770,032
----------------------------------------------------------------------------------------
9 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
-----------------------------------------------------------------------------------------
RESIDENTIAL CONTINUED
-----------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J10, Mtg.
Pass-Through Certificates, Series 2005-J10, Cl. 1A17,
5.50%, 10/1/35 $7,525,734 $6,134,899
-----------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2007-19, Mtg.
Pass-Through Certificates, Series 2007-19, Cl. 1A34,
6%, 8/1/37 1,393,949 1,017,731
-----------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through
Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 1,297,492 1,271,646
-----------------------------------------------------------------------------------------
JPMorgan Alternative Loan Trust 2006-S4, Mtg.
Pass-Through Certificates, Series 2006-S4, Cl. A6,
5.71%, 12/1/36 1,371,772 1,178,222
-----------------------------------------------------------------------------------------
Residential Asset Securitization Trust 2005-A15, Mtg.
Pass-Through Certificates, Series 2005-A15, Cl. 1A4,
5.75%, 2/1/36 603,935 470,712
-----------------------------------------------------------------------------------------
Structured Adjustable Rate Mortgage Loan Trust, Mtg.
Pass-Through Certificates, Series 2004-5, Cl. 3A1,
2.505%, 5/1/34(7) 3,381,772 3,111,912
-----------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates 2007-HY5
Trust, Mtg. Pass-Through Certificates, Series
2007-HY5, Cl. 3A1, 5.504%, 5/1/37(7) 1,444,015 1,206,487
-----------------------------------------------------------------------------------------
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg.
Asset-Backed Pass-Through Certificates, Series
2007-PA5, Cl. 1A1, 6.25%, 11/1/37 1,242,919 967,989
-----------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-R
Trust, Mtg. Pass-Through Certificates, Series 2004-R,
Cl. 2A1, 2.625%, 9/1/34(7) 1,674,053 1,595,823
-----------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-9 Trust,
Mtg. Pass-Through Certificates, Series 2005-9, Cl.
2A6, 5.25%, 10/25/35 1,102,642 1,060,298
-----------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR14
Trust, Mtg. Pass-Through Certificates, Series
2006-AR14, Cl. 1A2, 5.678%, 10/1/36(7) 1,406,014 1,184,808
-----------
24,820,117
-----------
Total Mortgage-Backed Obligations (Cost $326,892,069) 336,685,142
-----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 9.7%
ABFC Asset-Backed Certificates, Asset-Back Certificates,
Series 2005-HE2, Cl. M3, 0.777%, 6/25/35(7) 4,000,000 1,199,818
-----------------------------------------------------------------------------------------
AESOP Funding II LLC, Automobile
Receivables Nts., Series 2011-1A, Cl.
A, 1.85%, 11/20/13(3) 870,000 871,420
-----------------------------------------------------------------------------------------
Airspeed Ltd., Airplane Receivables:
Series 2007-1A, Cl. G1, 0.518%, 6/15/32(2,7) 36,492,494 29,011,532
-----------------------------------------------------------------------------------------
Series 2007-1A, Cl. G2, 0.528%, 6/15/32(2,7) 12,467,257 9,973,806
-----------------------------------------------------------------------------------------
Ally Auto Receivables Trust 2010-4,
Automobile Receivables Nts., Series
2010-4, Cl. A3, 0.91%, 11/17/14 465,000 465,964
-----------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-1, Asset-Backed Certificates,
Series 2010-1, Cl. A, 1.999%, 1/15/15(3,7) 155,000 157,072
-----------------------------------------------------------------------------------------
Ally Master Owner Trust 2010-3, Asset-Backed Certificates,
Series 2010-3, Cl. A, 2.88%, 4/15/15(3) 1,390,000 1,415,462
-----------------------------------------------------------------------------------------
Ally Master Owner Trust, Automobile Receivables Nts.,
Series 2011-4, Cl. A2, 1.54%, 9/15/16 1,805,000 1,801,376
-----------------------------------------------------------------------------------------
10 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES CONTINUED
-----------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2009-1,
Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3,
3.04%, 10/15/13 $ 231,082 $ 232,552
-----------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-1,
Automobile Receivables-Backed Nts., Series 2011-1, Cl. D,
4.26%, 2/8/17 430,000 435,665
-----------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts.:
Series 2011-2, Cl. A3, 1.61%, 10/8/15 240,000 241,372
Series 2011-2, Cl. D, 4%, 5/8/17 860,000 858,597
-----------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-4,
Automobile Receivables-Backed Nts., Series 2011-4, Cl. D,
4.08%, 7/10/17 2,355,000 2,348,906
-----------------------------------------------------------------------------------------
AmeriCredit Automobile Receivables Trust 2011-5,
Automobile Receivable Nts., Series 2011-5, Cl. D, 4.72%,
12/8/17 1,500,000 1,530,645
-----------------------------------------------------------------------------------------
AmeriCredit Prime Automobile Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%,
10/8/13 167,670 167,790
-----------------------------------------------------------------------------------------
Blade Engine Securitization Ltd., Asset-Backed Certificates,
Series 2006-1A, Cl. B, 3.249%, 9/15/41(2,7) 9,960,140 7,470,105
-----------------------------------------------------------------------------------------
CarMax Auto Owner Trust 2010-3, Automobile Asset-
Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 3,350,000 3,358,637
-----------------------------------------------------------------------------------------
Carrington Mortgage Loan Trust, Asset-Backed Pass-
Through Certificates, Series 2006-FRE1, Cl. A2, 0.367%,
7/25/36(7) 1,259,530 1,160,252
-----------------------------------------------------------------------------------------
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-
1A, Cl. 1, 5.43%, 7/20/15(3) 370,647 388,998
-----------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable
Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 451,003
-----------------------------------------------------------------------------------------
Citibank Omni Master Trust, Credit Card Receivables:
Series 2009-A13, Cl. A13, 5.35%, 8/15/18(3) 3,315,000 3,629,474
Series 2009-A17, Cl. A17, 4.90%, 11/15/18(3) 2,590,000 2,821,675
Series 2009-A8, Cl. A8, 2.349%, 5/16/16(3,7) 2,015,000 2,030,673
-----------------------------------------------------------------------------------------
CLI Funding LLC, Equipment Asset-Backed Nts.,
Series 2006- 1A, Cl. A, 0.432%, 8/18/21(3,7) 6,466,622 5,922,892
-----------------------------------------------------------------------------------------
CNH Wholesale Master Note Trust 2011-1, Equipment Nts.,
Series 2011-1, Cl. 1A, 1.049%, 1/20/41(7) 1,675,000 1,677,177
-----------------------------------------------------------------------------------------
Countrywide Home Loans, Asset-Backed Certificates:
Series 2002-4, Cl. A1, 0.997%, 2/25/33(7) 19,714 18,944
Series 2004-6, Cl. M5, 1.527%, 8/25/34(7) 2,362,066 555,949
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 581,174 448,340
-----------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-4, Asset-
Backed Certificates, Series 2005-4, Cl. MF7, 5.733%, 10/1/35 5,850,000 759,277
-----------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-7, Asset-
Backed Certificates, Series 2005-7, Cl. MF7, 5.732%, 10/1/35 3,284,000 430,342
-----------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-BC5, Asset-
Backed Certificates, Series 2005-BC5, Cl. M2, 0.737%, 1/25/36(7) 6,000,000 1,527,099
-----------------------------------------------------------------------------------------
11 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES CONTINUED
CWABS Asset-Backed Certificates Trust 2006-10, Asset-Backed
Certificates:
Series 2006-10, Cl. MF4, 5.829%, 9/1/46(7) $2,550,000 $171,448
Series 2006-10, Cl. MF5, 5.829%, 9/1/46(7) 2,465,000 111,392
-----------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2007-4, Asset-
Backed Certificates, Series 2007-4, Cl. M2, 5.931%, 9/1/37 2,000,000 283,661
-----------------------------------------------------------------------------------------
DSC Floorplan Master Owner Trust, Automobile Receivable
Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 1,465,000 1,487,305
-----------------------------------------------------------------------------------------
DT Auto Owner Trust 2009-1, Automobile Receivable Nts.,
Series 2009-1, Cl. A1, 2.98%, 10/15/15(3) 859,058 863,916
-----------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/15(3) 2,035,000 2,040,831
-----------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts.,
Series 2011-2A, Cl. C, 3.05%, 7/15/13(3) 495,000 493,813
-----------------------------------------------------------------------------------------
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts.,
Series 2011-3A, Cl. C, 4.03%, 12/15/41(2) 1,491,000 1,491,000
-----------------------------------------------------------------------------------------
First Investors Auto Owner Trust 2011-1, Automobile
Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 1,166,406 1,160,784
-----------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-
Backed Nts., Series 2009-2, Cl. A, 1.799%, 9/15/14(7) 1,700,000 1,715,414
-----------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-
Backed Nts., Series 2010-1, Cl. A, 1.899%, 12/15/14(3,7) 1,770,000 1,790,105
-----------------------------------------------------------------------------------------
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-
Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 1,775,000 1,802,625
-----------------------------------------------------------------------------------------
GE Dealer Floorplan Master Note Trust, Asset-Backed
Securities, Series 2009-2A, Cl. A, 1.805%, 10/20/14(3,7) 1,705,000 1,720,771
-----------------------------------------------------------------------------------------
GMAC Mortgage Servicer Advance Funding Ltd., Asset-
Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23(3) 1,620,000 1,623,951
-----------------------------------------------------------------------------------------
GMACM Home Equity Loan Trust 2007-HE2, Home Equity
Loan-Backed Term Nts., Series 2007-HE2, Cl. A2, 6.054%, 12/1/37 32,134 20,811
-----------------------------------------------------------------------------------------
Hertz Vehicle Financing LLC, Automobile Receivable Nts.,
Series 2010-1A, Cl. A1, 2.60%, 2/25/15(3) 2,700,000 2,725,513
-----------------------------------------------------------------------------------------
Home Equity Mortgage Trust 2005-HF1, Home Equity
Loan-Backed Nts.:
Series 2005-HF1, Cl. A2B, 0.607%, 2/25/36(7) 1,232,512 847,797
Series 2005-HF1, Cl. A3B, 0.607%, 2/25/36(7) 928,317 638,553
-----------------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust, Credit Card
Receivables, Series 2003-C7, Cl. C7, 1.599%, 3/15/16(5,7) 1,800,000 1,808,384
-----------------------------------------------------------------------------------------
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed
Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 1,540,000 1,545,331
-----------------------------------------------------------------------------------------
Nissan Master Owner Trust, Automobile Receivable Nts.,
Series 2010-AA, Cl. A, 1.399%, 1/15/15(3,7) 1,720,000 1,735,105
-----------------------------------------------------------------------------------------
NuCO2 Funding LLC, Asset-Backed Nts., Series 2008-1A, Cl.
A1, 7.25%, 6/25/382 25,000,000 26,000,000
-----------------------------------------------------------------------------------------
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW2, Cl. M4, 0.907%, 7/25/35(7) 4,000,000 633,262
-----------------------------------------------------------------------------------------
12 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES CONTINUED
-----------------------------------------------------------------------------------------
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-NC3, Cl. A3, 0.527%, 3/25/36(7) $16,698,000 $4,335,677
-----------------------------------------------------------------------------------------
Rental Car Finance Corp., Automobile Receivable Nts., Series
2011-1A, Cl. A1, 2.51%, 2/25/16(3) 1,290,000 1,288,145
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-2, Automobile
Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 698,960 699,049
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-3, Automobile
Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 1,670,000 1,671,759
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2010-A,
Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%,
8/15/13(3) 924,598 925,567
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 1,715,000 1,712,326
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(2) 1,650,282 1,643,516
-----------------------------------------------------------------------------------------
Santander Drive Auto Receivables Trust 2011-S2A, Automobile
Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17(3) 1,357,329 1,336,969
-----------------------------------------------------------------------------------------
Volkswagen Auto Lease Trust 2010-A, Automobile
Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 1,530,000 1,533,606
-----------------------------------------------------------------------------------------
Westlake Automobile Receivables Trust 2011-1, Automobile
Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(3) 760,000 759,809
-----------
Total Asset-Backed Securities (Cost $153,918,916) 151,981,009
-----------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 6.4%
Federal Home Loan Mortgage Corp. Nts.:
2%, 8/25/16 560,000 577,573
2.50%, 5/27/16 795,000 838,343
5%, 2/16/17 910,000 1,070,276
5.25%, 4/18/16 1,600,000 1,881,054
5.50%, 7/18/16 910,000 1,082,749
-----------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
3.50%, 12/1/26(6) 5,195,000 5,398,741
4%, 12/1/41(6) 24,955,000 26,011,687
4.50%, 12/1/26-12/1/41(6) 46,495,000 49,233,531
-----------------------------------------------------------------------------------------
Federal National Mortgage Assn. Nts.:
0.75%, 12/19/14 2,446,000 2,443,811
0.875%, 8/28/14 6,555,000 6,585,481
2.375%, 4/11/16 1,540,000 1,614,474
4.875%, 12/15/16 1,315,000 1,539,321
5%, 3/15/16 1,010,000 1,171,033
-----------
Total U.S. Government Obligations (Cost $98,831,925) 99,448,074
-----------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES -- 18.0%
-----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.6%
-----------------------------------------------------------------------------------------
AUTOMOBILES -- 0.1%
Daimler Finance North America LLC, 1.875%
Sr. Unsec. Nts., 9/15/14(3) 1,145,000 1,127,983
-----------------------------------------------------------------------------------------
13 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
----------------------------------------------------------------------------------------------------
AUTOMOBILES CONTINUED
----------------------------------------------------------------------------------------------------
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 $ 660,000 $ 890,626
----------
2,018,609
----------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES -- 0.1%
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 1,630,000 1,740,025
---------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE -- 0.3%
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(3) 2,591,000 2,768,898
---------------------------------------------------------------------------------------------------
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 1,810,000 2,029,792
----------
4,798,690
---------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES -- 0.3%
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 226,000 228,825
---------------------------------------------------------------------------------------------------
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 1,574,000 1,655,568
---------------------------------------------------------------------------------------------------
Whirlpool Corp.:
5.50% Sr. Unsec. Unsub. Nts., 3/1/13 601,000 626,344
8% Sr. Unsec. Nts., 5/1/12 1,290,000 1,326,023
---------
3,836,760
---------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS -- 0.1%
Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 1,475,000 1,555,103
---------------------------------------------------------------------------------------------------
MEDIA -- 1.1%
Comcast Cable Communications Holdings, Inc., 9.455% Sr.
Unsec. Nts., 11/15/22 995,000 1,380,004
---------------------------------------------------------------------------------------------------
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 1,398,000 1,516,830
---------------------------------------------------------------------------------------------------
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375%
Sr. Unsec. Nts., 3/1/41 1,289,000 1,418,271
---------------------------------------------------------------------------------------------------
Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 1,492,000 1,462,160
---------------------------------------------------------------------------------------------------
Historic TW, Inc., 9.125% Debs., 1/15/13 547,000 591,035
---------------------------------------------------------------------------------------------------
Interpublic Group of Cos., Inc. (The):
6.25% Sr. Unsec. Nts., 11/15/14 586,000 629,218
10% Sr. Unsec. Nts., 7/15/17 1,883,000 2,167,804
---------------------------------------------------------------------------------------------------
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 1,540,000 1,690,150
---------------------------------------------------------------------------------------------------
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 972,000 1,044,221
---------------------------------------------------------------------------------------------------
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 876,000 1,159,945
---------------------------------------------------------------------------------------------------
Time Warner, Inc., 4% Sr. Unsec. Unsub. Nts., 1/15/22 768,000 760,136
---------------------------------------------------------------------------------------------------
Virgin Media Secured Finance plc:
5.25% Sr. Sec. Nts., 1/15/21 895,000 937,517
6.50% Sr. Sec. Nts., 1/15/18 1,981,000 2,099,860
---------
16,857,151
---------------------------------------------------------------------------------------------------
MULTILINE RETAIL -- 0.3%
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 914,000 924,992
---------------------------------------------------------------------------------------------------
Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 2,550,000 2,750,025
---------------------------------------------------------------------------------------------------
Target Corp., 7% Bonds, 1/15/38 350,000 455,234
----------
4,130,251
---------------------------------------------------------------------------------------------------
SPECIALTY RETAIL -- 0.3%
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 1,474,000 1,544,015
---------------------------------------------------------------------------------------------------
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 1,688,000 1,696,440
---------------------------------------------------------------------------------------------------
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19(3) 1,584,000 1,627,560
----------
4,868,015
14 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
-------------------------------------------------------------------------------------------------------
CONSUMER STAPLES -- 1.0%
-------------------------------------------------------------------------------------------------------
BEVERAGES -- 0.2%
Anheuser-Busch Inbev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/19 $ 837,000 $1,079,000
-------------------------------------------------------------------------------------------------------
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 405,000 443,510
-------------------------------------------------------------------------------------------------------
Pernod-Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/22(3) 1,579,000 1,584,776
----------
3,107,286
-------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING -- 0.1%
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40 464,000 458,906
-------------------------------------------------------------------------------------------------------
Kroger Co.(The), 5% Sr. Nts., 4/15/13 1,477,000 1,541,566
----------
2,000,472
-------------------------------------------------------------------------------------------------------
FOOD PRODUCTS -- 0.3%
Bunge Ltd. Finance Corp.:
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 463,000 487,053
8.50% Sr. Unsec. Nts., 6/15/19 900,000 1,080,871
-------------------------------------------------------------------------------------------------------
Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 1,495,000 1,577,340
-------------------------------------------------------------------------------------------------------
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 1,590,000 1,707,263
----------
4,852,527
-------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.1%
Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/21(3) 1,692,000 1,756,758
-------------------------------------------------------------------------------------------------------
TOBACCO -- 0.3%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 1,240,000 1,786,056
-------------------------------------------------------------------------------------------------------
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 1,083,000 1,087,178
-------------------------------------------------------------------------------------------------------
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 1,594,000 1,710,466
----------
4,583,700
-------------------------------------------------------------------------------------------------------
ENERGY -- 2.3%
-------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES -- 0.6%
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 1,742,000 1,770,060
-------------------------------------------------------------------------------------------------------
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 2,079,000 2,321,355
-------------------------------------------------------------------------------------------------------
Precision Drilling Corp.:
6.50% Sr. Unsec. Nts., 12/15/21(3) 751,000 754,755
6.625% Sr. Unsec. Nts., 11/15/20 717,000 724,170
-------------------------------------------------------------------------------------------------------
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 1,765,000 1,855,433
-------------------------------------------------------------------------------------------------------
Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 1,746,000 1,798,109
----------
9,223,882
-------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS -- 1.7%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 1,019,000 1,117,817
-------------------------------------------------------------------------------------------------------
BG Energy Capital plc, 4% Sr. Unsec. Nts., 10/15/21(3) 1,137,000 1,146,649
-------------------------------------------------------------------------------------------------------
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 1,479,000 1,530,765
-------------------------------------------------------------------------------------------------------
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(3) 1,584,000 1,693,823
-------------------------------------------------------------------------------------------------------
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 1,530,000 1,621,800
-------------------------------------------------------------------------------------------------------
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 2,344,000 2,587,469
-------------------------------------------------------------------------------------------------------
Encana Corp., 3.90% Sr. Unsec. Unsub. Nts., 11/15/21 584,000 571,957
-------------------------------------------------------------------------------------------------------
Energy Transfer Partners LP, 4.65% Sr. Unsec. Unsub. Nts., 6/1/21 845,000 816,362
-------------------------------------------------------------------------------------------------------
EQT Corp., 4.875% Sr. Unsec. Unsub. Nts., 11/15/21 965,000 956,705
-------------------------------------------------------------------------------------------------------
15 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
--------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS CONTINUED
--------------------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 $ 2,761,000 $2,919,230
--------------------------------------------------------------------------------------------------------------------
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 1,452,000 1,531,860
--------------------------------------------------------------------------------------------------------------------
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,713,000 1,754,715
--------------------------------------------------------------------------------------------------------------------
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 1,493,000 1,664,695
--------------------------------------------------------------------------------------------------------------------
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(3) 945,000 1,020,600
--------------------------------------------------------------------------------------------------------------------
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(3) 2,760,000 2,717,962
--------------------------------------------------------------------------------------------------------------------
Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 1,549,000 1,566,437
--------------------------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 130,000 136,743
--------------------------------------------------------------------------------------------------------------------
Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/21(3) 1,162,000 1,188,307
----------
26,543,896
--------------------------------------------------------------------------------------------------------------------
FINANCIALS -- 6.7%
--------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS -- 1.6%
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(3) 2,840,000 2,973,596
--------------------------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 1,639,000 1,403,033
--------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The):
5.25% Sr. Unsec. Nts., 7/27/21 2,430,000 2,246,632
6.25% Sr. Nts., 2/1/41 1,534,000 1,388,422
--------------------------------------------------------------------------------------------------------------------
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/21(3) 2,202,000 2,059,273
--------------------------------------------------------------------------------------------------------------------
Mellon Capital IV, 6.244% Perpetual Bonds(11) 6,000,000 4,800,000
--------------------------------------------------------------------------------------------------------------------
Morgan Stanley:
5.50% Sr. Unsec. Unsub. Nts., 7/24/20(3) 1,063,000 914,017
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 4,260,000 3,942,626
6.25% Sr. Unsec. Nts., 8/28/17 1,000,000 949,563
Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 1,568,000 1,507,166
--------------------------------------------------------------------------------------------------------------------
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 1,765,000 1,794,149
--------------------------------------------------------------------------------------------------------------------
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 667,000 660,629
----------
24,639,106
--------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS -- 1.3%
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(3) 1,820,000 1,836,944
--------------------------------------------------------------------------------------------------------------------
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 3,032,000 2,941,040
--------------------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(7) 3,660,000 2,928,000
--------------------------------------------------------------------------------------------------------------------
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(3) 1,279,000 1,080,366
--------------------------------------------------------------------------------------------------------------------
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 1,067,000 1,101,825
--------------------------------------------------------------------------------------------------------------------
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 1,634,000 1,682,018
--------------------------------------------------------------------------------------------------------------------
Wachovia Capital Trust III, 5.57% Perpetual Bonds(7,11) 6,000,000 5,092,500
--------------------------------------------------------------------------------------------------------------------
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(11) 1,204,000 1,282,260
--------------------------------------------------------------------------------------------------------------------
Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 2,149,000 2,281,623
----------
20,226,576
16 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
-----------------------------------------------------------------------------------------------------------
CONSUMER FINANCE -- 0.4%
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 $ 1,577,000 $1,650,137
-----------------------------------------------------------------------------------------------------------
American Express Credit Corp., 2.80% Sr. Unsec. Unsub. Nts., 9/19/16 1,560,000 1,544,695
-----------------------------------------------------------------------------------------------------------
Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 1,522,000 1,556,729
-----------------------------------------------------------------------------------------------------------
SLM Corp., 6.25% Sr. Nts., 1/25/16 2,208,000 2,100,492
----------
6,852,053
-----------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES -- 1.3%
Bank of America Corp., 3.75% Sr. Unsec. Unsub. Nts., 7/12/16 1,720,000 1,497,551
-----------------------------------------------------------------------------------------------------------
Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 5,016,000 5,227,364
-----------------------------------------------------------------------------------------------------------
Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67(3,7) 2,258,000 1,668,098
-----------------------------------------------------------------------------------------------------------
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(11) 2,025,000 1,366,875
-----------------------------------------------------------------------------------------------------------
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(3) 1,130,000 1,004,112
-----------------------------------------------------------------------------------------------------------
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(11) 7,338,000 7,787,937
-----------------------------------------------------------------------------------------------------------
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 1,434,000 1,284,602
----------
19,836,539
-----------------------------------------------------------------------------------------------------------
INSURANCE -- 1.7%
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 437,000 495,958
-----------------------------------------------------------------------------------------------------------
CNA Financial Corp.:
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 1,361,000 1,355,376
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 851,000 854,938
-----------------------------------------------------------------------------------------------------------
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(3) 1,538,000 1,577,273
-----------------------------------------------------------------------------------------------------------
International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 1,594,000 1,443,660
-----------------------------------------------------------------------------------------------------------
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(3) 2,406,000 2,283,008
-----------------------------------------------------------------------------------------------------------
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 3,280,000 2,697,800
-----------------------------------------------------------------------------------------------------------
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 5,000,000 6,478,535
-----------------------------------------------------------------------------------------------------------
Prudential Financial, Inc., 5.375% Sr. Unsec. Unsub. Nts., 6/21/20 2,870,000 2,973,291
-----------------------------------------------------------------------------------------------------------
Swiss Re Capital I LP, 6.854% Perpetual Bonds(3,11) 3,212,000 2,807,259
-----------------------------------------------------------------------------------------------------------
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 1,689,000 1,717,684
-----------------------------------------------------------------------------------------------------------
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(2,7) 1,640,000 1,467,800
----------
26,152,582
-----------------------------------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 859,000 866,369
-----------------------------------------------------------------------------------------------------------
CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 382,000 385,435
-----------------------------------------------------------------------------------------------------------
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 1,609,000 1,682,975
-----------------------------------------------------------------------------------------------------------
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 652,000 653,833
-----------------------------------------------------------------------------------------------------------
Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 1,600,000 1,600,000
-----------------------------------------------------------------------------------------------------------
WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(3) 1,599,000 1,642,816
----------
6,831,428
17 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
------------------------------------------------------------------------------------------
HEALTH CARE -- 0.3%
------------------------------------------------------------------------------------------
BIOTECHNOLOGY -- 0.1%
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 $1,053,000 $1,144,817
------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES -- 0.1%
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 854,000 1,034,388
------------------------------------------------------------------------------------------
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 1,044,000 1,093,685
----------
2,128,073
------------------------------------------------------------------------------------------
PHARMACEUTICALS -- 0.1%
Mylan, Inc., 6% Sr. Nts., 11/15/18(3) 1,730,000 1,734,325
------------------------------------------------------------------------------------------
INDUSTRIALS -- 1.1%
------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE -- 0.2%
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 1,630,000 1,666,675
------------------------------------------------------------------------------------------
BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 1,458,000 1,581,930
----------
3,248,605
------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES -- 0.2%
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 1,661,000 1,810,490
------------------------------------------------------------------------------------------
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 1,505,000 1,512,525
----------
3,323,015
------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES -- 0.4%
General Electric Capital Corp.:
3.35% Sr. Unsec. Unsub. Nts., 10/17/16 1,566,000 1,585,572
4.25% Sr. Unsec. Nts., Series A, 6/15/12 1,490,000 1,512,727
5.25% Sr. Unsec. Nts., 10/19/12 260,000 270,369
6.375% Unsec. Sub. Bonds, 11/15/67 3,004,000 2,904,493
----------
6,273,161
------------------------------------------------------------------------------------------
MACHINERY -- 0.2%
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(3) 1,580,000 1,583,950
------------------------------------------------------------------------------------------
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 727,000 769,055
------------------------------------------------------------------------------------------
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/17(3) 1,426,000 1,504,430
----------
3,857,435
------------------------------------------------------------------------------------------
ROAD & RAIL -- 0.1%
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 452,000 496,357
------------------------------------------------------------------------------------------
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 525,000 577,500
----------
1,073,857
------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.8%
------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT -- 0.1%
Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 510,000 572,389
------------------------------------------------------------------------------------------
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 655,000 695,795
----------
1,268,184
------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS -- 0.2%
Hewlett-Packard Co., 2.35% Sr. Unsec. Unsub. Nts., 3/15/15 2,861,000 2,898,862
------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS -- 0.2%
Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 3,045,000 3,037,646
------------------------------------------------------------------------------------------
OFFICE ELECTRONICS -- 0.1%
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 1,571,000 1,653,074
18 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-0.1%
KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 $ 1,108,000 $ 1,250,889
------------------------------------------------------------------------------------------------------------------------
SOFTWARE-0.1%
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 1,864,000 1,863,221
------------------------------------------------------------------------------------------------------------------------
MATERIALS-1.1%
------------------------------------------------------------------------------------------------------------------------
CHEMICALS-0.4%
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 717,000 869,254
------------------------------------------------------------------------------------------------------------------------
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 2,786,000 2,867,713
------------------------------------------------------------------------------------------------------------------------
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 1,495,000 1,666,925
------------------------------------------------------------------------------------------------------------------------
Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 989,000 1,173,960
-----------
6,577,852
------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING-0.1%
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 1,279,000 1,337,658
------------------------------------------------------------------------------------------------------------------------
METALS & MINING-0.5%
BHP Billiton Finance USA Ltd., 3.25% Sr. Unsec. Nts., 11/21/21 1,263,000 1,272,100
------------------------------------------------------------------------------------------------------------------------
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 2,365,000 2,518,467
------------------------------------------------------------------------------------------------------------------------
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 1,609,000 1,678,552
------------------------------------------------------------------------------------------------------------------------
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 97,000 106,507
------------------------------------------------------------------------------------------------------------------------
Xstrata Canada Corp.:
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 1,190,000 1,285,374
6% Sr. Unsec. Unsub. Nts., 10/15/15 1,267,000 1,361,870
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 168,000 173,949
-----------
8,396,819
------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS-0.1%
International Paper Co., 4.75% Sr. Unsec. Unsub. Nts., 2/15/22 1,262,000 1,281,610
------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATION SERVICES-0.9%
------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES-0.6%
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 1,780,000 2,078,248
------------------------------------------------------------------------------------------------------------------------
British Telecommunications plc, 9.875% Bonds, 12/15/30 1,010,000 1,404,989
------------------------------------------------------------------------------------------------------------------------
CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 577,000 544,112
------------------------------------------------------------------------------------------------------------------------
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 1,630,000 1,595,363
------------------------------------------------------------------------------------------------------------------------
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 1,589,000 1,739,955
------------------------------------------------------------------------------------------------------------------------
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 982,000 1,178,521
------------------------------------------------------------------------------------------------------------------------
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 1,426,000 1,497,300
-----------
10,038,488
------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES-0.3%
America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 2,583,000 2,534,192
------------------------------------------------------------------------------------------------------------------------
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 1,156,000 1,329,600
-----------
3,863,792
------------------------------------------------------------------------------------------------------------------------
UTILITIES-1.2%
------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES-1.0%
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(3) 1,474,000 1,509,463
------------------------------------------------------------------------------------------------------------------------
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 1,140,000 1,167,286
------------------------------------------------------------------------------------------------------------------------
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 993,000 1,104,155
------------------------------------------------------------------------------------------------------------------------
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 1,659,000 1,682,851
------------------------------------------------------------------------------------------------------------------------
Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 896,000 949,164
------------------------------------------------------------------------------------------------------------------------
19 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
PRINCIPAL
AMOUNT VALUE
-----------------------------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
-----------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES CONTINUED
-----------------------------------------------------------------------------------------------------------------------------
Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 $ 1,620,000 $ 1,650,668
-----------------------------------------------------------------------------------------------------------------------------
Oncor Electric Delivery Co., 7% Debs., 9/1/22 1,453,000 1,836,955
-----------------------------------------------------------------------------------------------------------------------------
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(3) 2,320,000 2,374,912
-----------------------------------------------------------------------------------------------------------------------------
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(3) 1,710,000 2,244,016
---------------
14,519,470
-----------------------------------------------------------------------------------------------------------------------------
ENERGY TRADERS-0.1%
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 1,575,000 1,692,341
-----------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES-0.1%
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 1,454,000 1,505,076
-----------------------------------------------------------------------------------------------------------------------------
Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41(6) 398,000 394,234
---------------
1,899,310
---------------
Total Non-Convertible Corporate Bonds and Notes (Cost $278,004,327) 280,773,913
-----------------------------------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES-3.9%
Advanced Micro Devices, Inc., 6% Cv. Sr. Unsec. Nts., 5/1/15 12,210,000 11,996,325
-----------------------------------------------------------------------------------------------------------------------------
Amylin Pharmaceuticals, Inc., 3% Cv. Sr. Unsec. Nts., 6/15/14 13,000,000 11,440,000
-----------------------------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec. Unsub.
Nts., 8/15/16 13,600,000 11,730,000
-----------------------------------------------------------------------------------------------------------------------------
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/29(7) 4,925,000 4,844,969
-----------------------------------------------------------------------------------------------------------------------------
Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/37(7) 12,000,000 11,400,000
-----------------------------------------------------------------------------------------------------------------------------
LifePoint Hospitals, Inc.:
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 4,000,000 4,125,000
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 5,000,000 5,206,250
---------------
Total Convertible Corporate Bonds and Notes (Cost $59,000,907) 60,742,544
-----------------------------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES-0.6%
Barclays Bank plc, Apple, Inc. Yield Enhanced Equity Linked
Debt Securities 12,582 4,778,518
-----------------------------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The), Celanese Corp. Yield
Enhanced Equity Linked Debt Securities, Series A(3) 87,035 4,105,963
---------------
Total Structured Securities (Cost $10,000,248) 8,884,481
-----------------------------------------------------------------------------------------------------------------------------
EVENT-LINKED BONDS-0.6%
Calypso Capital Ltd. Catastrophe Linked Nts., Series 2010-1,
Cl. A, 5.035%, 1/10/14(3,7) 2,041,000 EUR 2,757,246
-----------------------------------------------------------------------------------------------------------------------------
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A,
5.75%, 2/3/14(3,7) 2,100,000 2,112,180
-----------------------------------------------------------------------------------------------------------------------------
Longpoint Re Ltd. Catastrophe Linked Nts., 5.40%, 12/24/12(3,7) 1,606,000 1,618,848
-----------------------------------------------------------------------------------------------------------------------------
Midori Ltd. Catastrophe Linked Nts., 3.153%, 10/24/12(3,7) 3,000,000 2,977,800
---------------
Total Event-Linked Bonds (Cost $9,513,421) 9,466,074
EXPIRATION STRIKE
DATE PRICE CONTRACTS
-----------------------------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED-0.2%
Celanese Corp., Series A Call(1) 12/19/11 $ 37.500 800 704,000
-----------------------------------------------------------------------------------------------------------------------------
Chicago Board Options Exchange Volatility Index Call(1) 12/21/11 40.000 2,000 120,000
-----------------------------------------------------------------------------------------------------------------------------
20 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
EXPIRATION STRIKE
DATE PRICE CONTRACTS VALUE
---------------------------------------------------------------------------------------------------------
OPTIONS PURCHASED CONTINUED
---------------------------------------------------------------------------------------------------------
Chicago Board Options Exchange
Volatility Index Call(1) 3/21/12 $ 40.000 1,000 $ 285,000
---------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The)
Call(1) 12/19/11 95.000 200 86,000
---------------------------------------------------------------------------------------------------------
Rock-Tenn Co., Cl. A Call(1) 1/23/12 55.000 750 525,000
---------------------------------------------------------------------------------------------------------
U.S. Long Bond Futures, 3/21/12
Call(1) 1/30/12 149.000 57 53,438
---------------------------------------------------------------------------------------------------------
U.S. Treasury Nts. Futures, 10 yr.,
3/21/12 Call(1) 1/30/12 128.000 170 393,125
---------------------------------------------------------------------------------------------------------
U.S. Treasury Nts. Futures, 10 yr.,
3/21/12 Call(1) 1/30/12 129.000 256 436,000
---------------------------------------------------------------------------------------------------------
U.S. Treasury Nts. Futures, 10 yr.,
3/21/12 Call(1) 1/30/12 132.000 57 29,391
------------
Total Options Purchased (Cost $2,955,970) 2,631,954
EXERCISE NOTIONAL
DATE AMOUNT
---------------------------------------------------------------------------------------------------------
SWAPTIONS PURCHASED-0.1%
Goldman Sachs Group, Inc. (The),
Swap Counterparty; Interest Rate Swap
call option; SwapTerms: Receive Three-
Month BBA LIBOR and pay 4%;
terminating 11/28/24(1) 11/26/14 $ 50,000,000 1,665,858
---------------------------------------------------------------------------------------------------------
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) 10/16/15 11,666,666 253,211
---------------------------------------------------------------------------------------------------------
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) 11/6/15 11,666,666 237,361
----------
Total Swaptions Purchased (Cost $2,690,000) 2,156,430
SHARES
---------------------------------------------------------------------------------------------------------
INVESTMENT COMPANIES-24.0%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%(12,13) 283,288,897 283,288,897
---------------------------------------------------------------------------------------------------------
Oppenheimer Master Loan Fund, LLC(12) 6,879,066 81,232,892
---------------------------------------------------------------------------------------------------------
Oppenheimer Short Duration Fund, Cl. Y(12) 1,000,814 10,008,139
-----------
Total Investment Companies (Cost $377,733,620) 374,529,928
21 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
VALUE
-------------------------------------------------------------------------------------------
Total Investments, at Value (Cost $1,739,482,285) 114.5% $ 1,786,317,068
-------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (14.5) (226,745,816)
-------------------------------
NET ASSETS 100.0% $ 1,559,571,252
===============================
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
November 30, 2011 was $83,807,759, which represents 5.37% 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, 0.518%, 6/15/32 7/28/10-10/21/10 $ 28,962,968 $ 29,011,532 $ 48,564
Airspeed Ltd., Airplane Receivables, Series 2007-1A,
Cl. G2, 0.528%, 6/15/32 4/8/11 10,401,896 9,973,806 (428,090)
Blade Engine Securitization Ltd., Asset-Backed
Certificates, Series 2006-1A, Cl. B, 3.249%, 9/15/41 11/10/09 6,362,066 7,470,105 1,108,039
Bond Street Holdings LLC, Cl. A 11/4/09 7,500,000 6,750,000 (750,000)
DT Auto Owner Trust 2011-3A, Automobile
Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41 11/2/11 1,490,881 1,491,000 119
NuCO2 Funding LLC, Asset-Backed Nts., Series 2008-
1A, Cl. A1, 7.25%, 6/25/38 1/25/11 26,854,139 26,000,000 (854,139)
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 1,652,547 1,643,516 (9,031)
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 2/24/11 1,654,729 1,467,800 (186,929)
---------------------------------------------------
$ 84,879,226 $ 83,807,759 $ (1,071,467)
===================================================
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 $109,440,852 or 7.02% of the Fund's
net assets as of November 30, 2011.
4. 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 $784,215. See accompanying Notes.
5. All or a portion of the security position is held in collateralized
accounts to cover potential obligations with respect to outstanding written
options. See accompanying Notes.
6. When-issued security or delayed delivery to be delivered and settled after
November 30, 2011. See accompanying Notes.
7. Represents the current interest rate for a variable or increasing rate
security.
8. Interest-Only Strips represent the right to receive the monthly interest
payments on an underlying pool of mortgage loans or other receivables.
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 or asset-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 $20,515,248 or 1.32% of the Fund's net
assets as of November 30, 2011.
9. Principal-Only Strips represent the right to receive the monthly principal
payments on an underlying pool of mortgage loans. The value of these
securities generally increases as interest rates decline and prepayment
rates rise. The price of these securities is typically more volatile than
that of coupon-bearing bonds of the same maturity. Interest rates disclosed
represent current yields based upon the current cost basis and estimated
timing of future cash flows. These securities amount to $359,007 or 0.02%
of the Fund's net assets as of November 30, 2011.
10. 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.
11. 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.
22 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
12. Is or was an affiliate, as defined in the Investment Company Act of 1940,
at or during the period ended November 30, 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, 2011 ADDITIONS REDUCTIONS NOVEMBER 30, 2011
-----------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E 286,727,498 114,668,031 118,106,632 283,288,897
Oppenheimer Master Loan Fund, LLC 6,879,066 - - 6,879,066
Oppenheimer Short Duration Fund, Cl. Y 1,000,000 814 - 1,000,814
REALIZED
VALUE INCOME LOSS
-------------------------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E $ 283,288,897 $ 122,672 $ -
Oppenheimer Master Loan Fund, LLC 81,232,892 1,468,730 (a) 267,498(a)
Oppenheimer Short Duration Fund, Cl. Y 10,008,139 12,592 -
----------------------------------------------------------------------
$ 374,529,928 $ 1,603,994 $ 267,498
======================================================================
a. Represents the amount allocated to the Fund from Oppenheimer Master Loan
Fund, LLC.
13. Rate shown is the 7-day yield as of November 30, 2011.
23 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
VALUATION INPUTS
Various data inputs are used in determining the value of each of the Fund's
investments as of the reporting period end. These data inputs are categorized
in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical
assets or liabilities (including securities actively traded on a
securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are
observable for the asset 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 November 30, 2011 based on valuation
input level:
LEVEL 3 --
LEVEL 1 -- LEVEL 2 -- SIGNIFICANT
UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE
QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE
----------------------------------------------------------------------------------------------------------------------
ASSETS TABLE
INVESTMENTS, AT VALUE:
Common Stocks
Consumer Discretionary $ 49,913,000 $ -- $ -- $ 49,913,000
Consumer Staples 46,732,534 -- -- 46,732,534
Energy 44,918,402 11,021,574 -- 55,939,976
Financials 61,994,327 6,750,000 -- 68,744,327
Health Care 53,363,505 -- -- 53,363,505
Industrials 25,052,332 -- -- 25,052,332
Information Technology 70,284,168 -- -- 70,284,168
Materials 17,101,802 -- -- 17,101,802
Telecommunication Services 6,737,850 -- -- 6,737,850
Utilities 21,993,410 -- -- 21,993,410
Preferred Stocks 7,378,000 35,190,740 -- 42,568,740
Rights, Warrants and Certificates 585,875 -- -- 585,875
Mortgage-Backed Obligations -- 336,685,142 -- 336,685,142
Asset-Backed Securities -- 151,981,009 -- 151,981,009
U.S. Government Obligations -- 99,448,074 -- 99,448,074
Non-Convertible Corporate Bonds and Notes -- 280,773,913 -- 280,773,913
Convertible Corporate Bonds and Notes -- 60,742,544 -- 60,742,544
Structured Securities -- 8,884,481 -- 8,884,481
Event-Linked Bonds -- 9,466,074 -- 9,466,074
Options Purchased 2,631,954 -- -- 2,631,954
Swaptions Purchased -- 2,156,430 -- 2,156,430
Investment Companies 293,297,036 81,232,892 -- 374,529,928
-----------------------------------------------------------------------
Total Investments, at Value 701,984,195 1,084,332,873 -- 1,786,317,068
OTHER FINANCIAL INSTRUMENTS:
Foreign currency exchange contracts -- 25,049 -- 25,049
Futures margins 38,355 -- -- 38,355
Appreciated swaps, at value -- 8,793,106 -- 8,793,106
Depreciated swaps, at value -- 764,338 -- 764,338
-----------------------------------------------------------------------
Total Assets $ 702,022,550 $ 1,093,915,366 $ -- $ 1,795,937,916
-----------------------------------------------------------------------
LIABILITIES TABLE
OTHER FINANCIAL INSTRUMENTS:
Futures margins $ (1,334,614) $ -- $ -- $ (1,334,614)
Appreciated options written, at value (130,625) -- -- (130,625)
24 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
LEVEL 3 --
LEVEL 1 -- LEVEL 2 -- SIGNIFICANT
UNADJUSTED OTHER SIGNIFICANT OBSERVABLE
QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE
----------------------------------------------------------------------------------------------------------------------
Depreciated options written, at value (499,350) -- -- (499,350)
-----------------------------------------------------------------------
Total Liabilities $ (1,964,589) $ -- $ -- $ (1,964,589)
-----------------------------------------------------------------------
Currency contracts and forwards, if any, are reported at their unrealized
appreciation/depreciation at measurement date, which represents the change in
the contract's value from trade date. Futures, if any, are reported at their
variation margin at measurement date, which represents the amount due to/from
the Fund at that date. All additional assets and liabilities included in the
above table are reported at their market value at measurement date.
See the accompanying Notes for further discussion of the methods used in
determining value of the Fund's investments, and a summary of changes to the
valuation methodologies, if any, during the reporting period.
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF NOVEMBER 30, 2011 ARE AS FOLLOWS:
COUNTERPARTY/CONTRACT CONTRACT AMOUNT EXPIRATION UNREALIZED
DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION
---------------------------------------------------------------------------------------------------------------------------
RBS GREENWICH CAPITAL
Euro (EUR) Sell 2,555 EUR 2/17/12 $ 3,435,875 $ 25,049
FUTURES CONTRACTS AS OF NOVEMBER 30, 2011 ARE AS FOLLOWS:
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
------------------------------------------------------------------------------------------------------
U.S. Long Bond Buy 387 3/21/12 $ 54,712,125 $ (585,399)
U.S. Treasury Nts., 2 yr. Sell 461 3/30/12 101,650,500 (12,337)
U.S. Treasury Nts., 5 yr. Sell 384 3/30/12 47,094,000 48,258
U.S. Treasury Nts., 10 yr. Sell 19 12/20/11 2,472,969 14,053
U.S. Treasury Nts., 10 yr. Buy 337 3/21/12 43,588,844 13,555
U.S. Treasury Ultra Bonds Buy 201 3/21/12 31,242,938 (711,833)
-------------
$ (1,233,703)
=============
WRITTEN OPTIONS AS OF NOVEMBER 30, 2011 ARE AS FOLLOWS:
UNREALIZED
NUMBER OF EXERCISE EXPIRATION PREMIUMS APPRECIATION/
DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE (DEPRECIATION)
---------------------------------------------------------------------------------------------------------------------------
Celanese Corp., Series A Call 800 $ 42.500 12/19/11 $ 121,580 $(345,600) $ (224,020)
Celanese Corp., Series A Put 425 37.500 12/19/11 168,712 (4,250) 164,462
Goldman Sachs Group, Inc. (The) Call 200 105.000 12/19/11 73,202 (16,000) 57,202
Goldman Sachs Group, Inc. (The) Put 100 95.000 12/19/11 71,196 (33,500) 37,696
Rock-Tenn Co., Cl. A Call 750 60.000 1/23/12 181,480 (183,750) (2,270)
Rock-Tenn Co., Cl. A Put 375 50.000 1/23/12 145,114 (46,875) 98,239
------------------------------------
$ 761,284 $(629,975) $ 131,309
====================================
CREDIT DEFAULT SWAP CONTRACTS AS OF NOVEMBER 30, 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)
------------------------------------------------------------------------------------------------------------------------------------
BNP PARIBAS SA
Goldman Sachs International Buy 7,000 EUR 3.00% 9/20/16 $ (199,968) $ 817,399 $ 617,431
-------- ------------------------------------------
Total 7,000 EUR (199,968) 817,399 617,431
------------------------------------------------------------------------------------------------
FEDERAL REPUBLIC OF GERMANY:
Goldman Sachs International Buy 50,000 0.25 9/20/15 (596,126) 1,482,114 885,988
Goldman Sachs International Buy 25,000 0.25 12/20/16 (815,797) 764,338 (51,459)
-------- -----------------------------------------
Total 75,000 (1,411,923) 2,246,452 834,529
25 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
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 SUB
FINANCIALS
SERIES 14
Barclays Bank plc Buy 34,000 EUR 1.00 12/20/15 (3,390,182) 6,493,593 3,103,411
------- -----------------------------------------
Total 34,000 EUR (3,390,182) 6,493,593 3,103,411
-----------------------------------------
Grand Total Buys (5,002,073) 9,557,444 4,555,371
-----------------------------------------
Grand Total Sells - - -
-----------------------------------------
Total Credit Default Swaps $ (5,002,073) $ 9,557,444 $ 4,555,371
=========================================
Notional amount is reported in U.S.Dollars (USD), except for those denoted in
the following currency:
EUR Euro
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 NOVEMBER 30, 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 EUR $ 6,493,593
Goldman Sachs International:
Credit Default Buy Protection 7,000 EUR 817,399
Credit Default Buy Protection 75,000 2,246,452
------------
3,063,851
------------
Total Swaps $ 9,557,444
============
Notional amount is reported in U.S.Dollars (USD), except for those denoted in
the following currency:
EUR Euro
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
26 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
service used by the Manager, prior to the time when the
Fund's assets are valued. In the absence of a sale, the security is valued at
the most recent official closing price on the principal exchange on which it is
traded.
Shares of a registered investment company that are not traded on an exchange are
valued at that investment company's net asset value per share.
U.S. domestic and international debt instruments (including corporate,
government, municipal, mortgage-backed, collateralized mortgage obligations and
asset-backed securities) and "money market-type" debt instruments with a
remaining maturity in excess of sixty days are valued at the mean between the
"bid" and "asked" prices utilizing price quotations obtained from independent
pricing services or broker-dealers. Such prices are typically determined based
upon information obtained from market participants including reported trade
data, broker-dealer price quotations and inputs such as benchmark yields and
issuer spreads from identical or similar securities.
Structured securities are valued utilizing price quotations obtained from
broker-dealers or independent pricing services. Values are determined based upon
market inputs which typically include the price of underlying financial
instruments, stock market indices, foreign currencies, interest rate spreads,
commodities, or the occurrence of other specific events.
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.
STRUCTURED SECURITIES. The Fund invests in structured securities whose market
values, interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured securities are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations in the annual and semiannual reports. The
Fund records a realized gain or loss when a structured security is sold or
matures.
27 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
EVENT-LINKED BONDS. The Fund may invest in "event-linked" bonds. Event-linked
bonds, which are sometimes referred to as "catastrophe" bonds, are fixed income
securities for which the return of principal and payment of interest is
contingent on the non-occurrence of a specific trigger event, such as a
hurricane, earthquake, or other occurrence that leads to physical or economic
loss. If the trigger event occurs prior to maturity, the Fund may lose all or a
portion of its principal in addition to interest otherwise due from the
security. Event-linked bonds may expose the Fund to certain other risks,
including issuer default, adverse regulatory or jurisdictional interpretations,
liquidity risk and adverse tax consequences. The Fund records the net change in
market value of event-linked bonds on the Statement of Operations in the annual
and semiannual reports as a change in unrealized appreciation or depreciation on
investments. The Fund records a realized gain or loss on the Statement of
Operations in the annual and semiannual reports upon the sale or maturity of
such securities.
SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase
securities on a "when-issued" basis, and may purchase or sell securities on a
"delayed delivery" basis. "When-issued" or "delayed delivery" refers to
securities whose terms and indenture are available and for which a market
exists, but which are not available for immediate delivery. Delivery and payment
for securities that have been purchased by the Fund on a when-issued basis
normally takes place within six months and possibly as long as two years or more
after the trade date. During this period, such securities do not earn interest,
are subject to market fluctuation and may increase or decrease in value prior to
their delivery. The purchase of securities on a when-issued basis may increase
the volatility of the Fund's net asset value to the extent the Fund executes
such transactions while remaining substantially fully invested. When the Fund
engages in when-issued or delayed delivery transactions, it relies on the buyer
or seller, as the case may be, to complete the transaction. Their failure to do
so may cause the Fund to lose the opportunity to obtain or dispose of the
security at a price and yield it considers advantageous. The Fund may also sell
securities that it purchased on a when-issued basis or forward commitment prior
to settlement of the original purchase.
As of November 30, 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 $ 258,406,943
Sold securities 22,426,078
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,
28 | OPPENHEIMER CAPITAL INCOME FUND
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
including its management fee. The Manager will waive fees and/or reimburse Fund
expenses in an amount equal to the indirect management fees incurred through the
Fund's investment in IMMF.
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 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.
29 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
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 counterparty credit risk, which is the risk that the counterparty
will not fulfill its obligation to the Fund. Associated risks can be different
for each type of derivative and are discussed by each derivative type in the
notes that follow.
COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to
counterparty credit risk, which is the risk that the counterparty will not
fulfill its obligation to the Fund. The Fund's derivative counterparties
are financial institutions who are subject to market conditions that may
weaken their financial position. The Fund intends to enter into financial
transactions with counterparties that the Manager believes to be
creditworthy at the time of the transaction. As of November 30, 2011, the
maximum amount of loss that the Fund would incur if the counterparties to
its derivative transactions failed to perform would be $11,738,923 , 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 $11,713,874 as of
November 30, 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 November 30, 2011 the Fund has required certain counterparties to
post collateral of $10,567,297.
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.
30 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
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 or
sell currencies to acquire related foreign securities purchase and sale
transactions, respectively, or to convert foreign currencies to U.S. dollars
from related foreign securities 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 sell specified foreign currencies in the future at a currently
negotiated forward rate in order to decrease exposure to foreign exchange rate
risk associated with foreign currency denominated securities held by the Fund.
During the period ended November 30, 2011, the Fund had daily average contract
amounts on forward foreign currency contracts to buy and sell of $192,738 and
$6,733,482, 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, or currency, 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.
31 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
During the period ended November 30, 2011, the Fund had an ending monthly
average market value of $148,711,047 and $126,426,094 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.
The Fund has purchased call options on individual equity securities and, or,
equity indexes to increase exposure to equity risk. A purchased call option
becomes more valuable as the price of the underlying financial instrument
appreciates relative to the strike price.
The Fund has purchased put options on individual equity securities and, or,
equity indexes to decrease exposure to equity risk. A purchased put option
becomes more valuable as the price of the underlying financial instrument
depreciates relative to the strike price.
The Fund has purchased call options on treasury futures to increase exposure to
interest rate risk. A purchased call option becomes more valuable as the price
of the underlying financial instrument appreciates relative to the strike price.
During the period ended November 30, 2011, the Fund had an ending monthly
average market value of $2,035,648 and $364,500 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.
The Fund has written put options on individual equity securities and, or, equity
indexes to increase exposure to equity risk. A written put option becomes more
valuable as the price of the underlying financial instrument appreciates
relative to the strike price.
The Fund has written call options on individual equity securities and, or,
equity indexes to decrease exposure to equity risk. A written call option
becomes more valuable as the price of the underlying financial instrument
depreciates relative to the strike price.
During the period ended November 30, 2011, the Fund had an ending monthly
average market value of $355,663 and $231,100 on written call options and
written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk for
over-the-counter options and liquidity risk.
Written option activity for the period ended November 30, 2011 was as follows:
32 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
CALL OPTIONS PUT OPTIONS
------------------------ -------------------------
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
-----------------------------------------------------
Options outstanding as of
August 31, 2011 - $ - - $ -
Options written 1,750 376,261 1,900 647,000
Options closed or expired - - (1,000) (261,977)
-----------------------------------------------------
Options outstanding as of
November 30, 2011 1,750 $ 376,261 900 $ 385,023
=====================================================
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").
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.
33 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
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
Operation s in the annual and semiannual reports.
The Fund has purchased credit protection through credit default swaps to
decrease exposure to the credit risk of individual securities and/or,
indexes.
For the period ended November 30, 2011, the Fund had ending monthly average
notional amounts of $112,662,368 on credit default swaps to buy protection.
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. When the Fund purchases a swaption it only risks losing the amount of
the premium it paid if the swaption expires unexercised. However, when the Fund
exercises a purchased swaption there is a risk that the counterparty will fail
to perform or otherwise default on its obligations under the swaption contract.
The Fund purchased swaptions which gives it the option to enter into an interest
rate swap in which it pays a floating interest rate and receives a fixed
interest rate in order to increase exposure to interest rate risk. A purchased
swaption of this type becomes more valuable as the reference interest rate
depreciates relative to the preset interest rate.
During the period ended November 30, 2011, the Fund had an ending monthly
average market value of $1,046,828 on purchased swaptions.
RESTRICTED SECURITIES
As of November 30, 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 November
30, 2011 are noted below. The
34 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS November 30, 2011 (Unaudited)
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 $1,745,703,919
Federal tax cost of other investments (16,199,071)
--------------
Total federal tax cost $1,729,504,848
==============
Gross unrealized appreciation $ 99,887,366
Gross unrealized depreciation (55,821,240)
--------------
Net unrealized appreciation $ 44,066,126
==============
35 | Oppenheimer Capital Income Fund
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based on their evaluation of the registrant's disclosure controls and
procedures (as defined in rule 30a-3(c) under the Investment Company
Act of 1940 (17 CFR 270.30a-3(c)) as of 11/30/2011, 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: 1/10/2012
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: 1/10/2012
By: -s- Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: 1/10/2012
EX-99.CERT
2
g60033exv99wcert.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: 1/10/2012
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian W. Wixted, certify that:
1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income
Fund;
2. Based on my knowledge, this report does not contain any untrue statement
of a material fact or omit to state a material fact necessary to make the
statements made, in light of the circumstances under which such statements
were made, not misleading with respect to the period covered by this
report;
3. Based on my knowledge, the schedules of investments included in this
report fairly present in all material respects the investments of the
registrant as of the end of the fiscal quarter for which the report is
filed;
4. The registrant's other certifying officer and I are responsible for
establishing and maintaining disclosure controls and procedures (as defined
in Rule 30a-3(c) under the Investment Company Act of 1940) and internal
control over financial reporting (as defined in Rule 30a-3(d) under the
Investment Company Act of 1940) for the registrant and have:
(a) Designed such disclosure controls and procedures, or caused such
disclosure controls and procedures to be designed under our
supervision, to ensure that material information relating to the
registrant, including its consolidated subsidiaries, is made known to
us by others within those entities, particularly during the period in
which this report is being prepared;
(b) Designed such internal control over financial reporting, or caused
such internal control over financial reporting to be designed under
our supervision, to provide reasonable assurance regarding the
reliability of financial reporting and the preparation of financial
statements for external purposes in accordance with generally accepted
accounting principles;
(c) Evaluated the effectiveness of the registrant's disclosure controls
and procedures and presented in this report our conclusions about the
effectiveness of the disclosure controls and procedures, as of a date
within 90 days prior to the filing date of this report, based on such
evaluation; and
(d) Disclosed in this report any change in the registrant's internal
control over financial reporting that occurred during the registrant's
most recent fiscal quarter that has materially affected, or is
reasonably likely to materially affect, the registrant's internal
control over financial reporting; and
5. The registrant's other certifying officer and I have disclosed to the
registrant's auditors and the audit committee of the registrant's board of
Trustees (or persons performing the equivalent functions):
(a) All significant deficiencies and material weaknesses in the design or
operation of internal control over financial reporting which are
reasonably likely to adversely affect the registrant's ability to
record, process, summarize, and report financial information; and
(b) Any fraud, whether or not material, that involves management or other
employees who have a significant role in the registrant's internal
control over financial reporting.
-s- Brian W. Wixted
----------------------------
Brian W. Wixted
Principal Financial Officer
Date: 1/10/2012