0000950123-12-010569.txt : 20120727
0000950123-12-010569.hdr.sgml : 20120727
20120727130511
ACCESSION NUMBER: 0000950123-12-010569
CONFORMED SUBMISSION TYPE: N-Q
PUBLIC DOCUMENT COUNT: 2
CONFORMED PERIOD OF REPORT: 20120531
FILED AS OF DATE: 20120727
DATE AS OF CHANGE: 20120727
EFFECTIVENESS DATE: 20120727
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: 12989776
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
g60502nvq.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: 5/31/2012
---------
================================================================================
ITEM 1. SCHEDULE OF INVESTMENTS.
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
SHARES VALUE
----------- -----------
COMMON STOCKS--27.3%
CONSUMER DISCRETIONARY--2.3%
HOTELS, RESTAURANTS & LEISURE--0.7%
McDonald's Corp. 115,000 $10,274,100
MEDIA--1.5%
Cinemark Holdings, Inc. 428,000 9,869,680
Comcast Corp., Cl. A 264,000 7,632,240
Time Warner Cable, Inc. 72,500 5,466,500
-----------
22,968,420
MULTILINE RETAIL--0.1%
Target Corp. 35,000 2,026,850
CONSUMER STAPLES--3.4%
BEVERAGES--1.0%
Coca-Cola Co. (The) 206,000 15,394,380
FOOD PRODUCTS--0.3%
Adecoagro SA(1) 436,530 4,147,035
HOUSEHOLD PRODUCTS--1.3%
Church & Dwight Co., Inc. 386,000 20,550,640
TOBACCO--0.8%
Philip Morris International, Inc. 156,000 13,183,560
ENERGY--3.4%
ENERGY EQUIPMENT & SERVICES--0.5%
Baker Hughes, Inc. 112,000 4,673,760
Schlumberger Ltd. 63,000 3,984,750
-----------
8,658,510
OIL, GAS & CONSUMABLE FUELS--2.9%
Apache Corp. 46,500 3,784,170
Chevron Corp. 126,100 12,396,891
Enbridge Energy Management LLC(1) 1 3
Exxon Mobil Corp. 165,300 12,997,539
Kinder Morgan Management LLC(1) 1 25
Kinder Morgan, Inc. 97,000 3,316,430
Noble Energy, Inc. 21,500 1,815,890
Royal Dutch Shell plc, ADR 8,000 497,440
Royal Dutch Shell plc, B Shares 305,953 9,869,008
-----------
44,677,396
FINANCIALS--5.0%
CAPITAL MARKETS--0.5%
Bond Street Holdings LLC, Cl. A(1,2) 285,000 5,557,500
Bond Street Holdings LLC, Cl. B(1) 90,000 1,755,000
Goldman Sachs Group, Inc. (The) 3,000 287,100
-----------
7,599,600
COMMERCIAL BANKS--2.2%
M&T Bank Corp. 136,000 11,059,520
PNC Financial Services Group, Inc. 111,000 6,817,620
U.S. Bancorp 128,000 3,982,080
Wells Fargo & Co. 414,000 13,268,700
-----------
35,127,920
1 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
SHARES VALUE
----------- -----------
COMMON STOCKS CONTINUED
DIVERSIFIED FINANCIAL SERVICES--0.2%
Citigroup, Inc. 125,190 $ 3,318,787
INSURANCE--0.8%
ACE Ltd. 55,000 3,978,150
Alleghany Corp.(1) 25,052 8,242,108
-----------
12,220,258
REAL ESTATE INVESTMENT TRUSTS--1.3%
American Assets Trust, Inc. 205,000 4,630,950
General Growth Properties, Inc. 6 101
Macerich Co. (The) 100,000 5,705,000
Starwood Property Trust, Inc. 464,130 9,301,165
-----------
19,637,216
HEALTH CARE--3.5%
BIOTECHNOLOGY--0.1%
NPS Pharmaceuticals, Inc.(1) 242,470 1,913,088
HEALTH CARE EQUIPMENT & SUPPLIES--0.3%
Covidien plc 45,000 2,330,100
Medtronic, Inc. 50,000 1,842,000
-----------
4,172,100
HEALTH CARE PROVIDERS & SERVICES--1.1%
HCA Holdings, Inc. 101,550 2,639,285
Humana, Inc. 72,000 5,500,080
UnitedHealth Group, Inc. 160,000 8,923,200
-----------
17,062,565
PHARMACEUTICALS--2.0%
Merck & Co., Inc. 298,000 11,198,840
Pfizer, Inc. 448,400 9,806,508
Teva Pharmaceutical Industries Ltd., Sponsored ADR 68,440 2,682,164
Watson Pharmaceuticals, Inc.(1) 100,000 7,129,000
-----------
30,816,512
INDUSTRIALS--2.5%
AEROSPACE & DEFENSE--0.3%
Honeywell International, Inc. 75,000 4,174,500
CONSTRUCTION & ENGINEERING--0.3%
Quanta Services, Inc.(1) 220,000 4,967,600
INDUSTRIAL CONGLOMERATES--0.5%
Tyco International Ltd. 140,000 7,442,400
MACHINERY--0.8%
AGCO Corp.(1) 94,410 3,796,226
Navistar International Corp.(1) 171,000 4,777,740
SPX Corp. 64,000 4,597,120
-----------
13,171,086
TRADING COMPANIES & DISTRIBUTORS--0.6%
AerCap Holdings NV(1) 750,000 8,580,000
INFORMATION TECHNOLOGY--4.5%
COMMUNICATIONS EQUIPMENT--1.4%
Ciena Corp.(1) 408,470 5,534,769
2 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
SHARES VALUE
----------- -----------
COMMON STOCKS CONTINUED
COMMUNICATIONS EQUIPMENT CONTINUED
Cisco Systems, Inc. 250,000 $ 4,082,500
Juniper Networks, Inc.(1) 318,000 5,469,600
QUALCOMM, Inc. 126,500 7,249,715
-----------
22,336,584
COMPUTERS & PERIPHERALS--1.1%
Apple, Inc.(1,3) 28,792 16,634,002
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2%
TE Connectivity Ltd. 122,000 3,833,240
INTERNET SOFTWARE & SERVICES--0.4%
VeriSign, Inc.(1) 147,000 5,619,810
IT SERVICES--0.9%
Accenture plc, Cl. A 100,000 5,710,000
International Business Machines Corp. 39,200 7,561,680
-----------
13,271,680
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.3%
Xilinx, Inc. 145,000 4,635,650
SOFTWARE--0.2%
Oracle Corp. 134,000 3,546,980
MATERIALS--1.0%
CHEMICALS--0.6%
Celanese Corp., Series A 5 199
Mosaic Co. (The) 188,070 8,967,178
-----------
8,967,377
CONTAINERS & PACKAGING--0.2%
Rock-Tenn Co., Cl. A 63,469 3,274,366
METALS & MINING--0.2%
Allegheny Technologies, Inc. 79,990 2,569,279
TELECOMMUNICATION SERVICES--0.5%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.5%
AT&T, Inc. 232,500 7,944,525
UTILITIES--1.2%
ELECTRIC UTILITIES--0.4%
Cleco Corp. 147,000 6,003,480
MULTI-UTILITIES--0.8%
CenterPoint Energy, Inc. 281,000 5,684,630
CMS Energy Corp. 285,000 6,640,500
-----------
12,325,130
-----------
Total Common Stocks (Cost $362,723,057) 423,046,626
PREFERRED STOCKS--1.2%
Goldman Sachs Group, Inc. (The), 3.75% Non-Cum.,
Series A, Non-Vtg 123,300 2,319,273
H.J. Heinz Finance Co., 8% Cum., Series B(4) 40 4,290,000
PNC Financial Services Group, Inc., 9.875% Non-Cum.,
Series F, Non-Vtg 75,000 1,977,000
PPL Corp.:
8.75% Cv 100,000 5,240,000
3 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
SHARES VALUE
----------- -----------
PREFERRED STOCKS CONTINUED
9.50% Cv., Non-Vtg.(1) 100,000 $ 5,380,000
-----------
Total Preferred Stocks (Cost $17,817,727) 19,206,273
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) 38,418 772,970
PRINCIPAL
AMOUNT
-----------
MORTGAGE-BACKED OBLIGATIONS--26.9%
GOVERNMENT AGENCY--21.3%
FHLMC/FNMA/FHLB/SPONSORED--21.2%
Federal Home Loan Mortgage Corp.:
4.50%, 5/1/19(3,5) $ 2,227,097 2,367,642
4.50%, 6/1/42(6) 11,925,000 12,737,391
5%, 12/15/34 181,677 196,626
6%, 5/15/18(3) 779,180 837,071
6.50%, 7/1/28-4/1/34 355,582 407,643
7%, 10/1/31 413,741 494,916
8%, 4/1/16 96,882 104,761
9%, 8/1/22-5/1/25 40,353 46,838
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Series 2006-11, Cl. PS, 23.691%, 3/25/36(7) 512,031 770,893
Series 2034, Cl. Z, 6.50%, 2/15/28 212,634 243,961
Series 2043, Cl. ZP, 6.50%, 4/15/28 937,246 1,081,843
Series 2053, Cl. Z, 6.50%, 4/15/28 215,562 247,389
Series 2279, Cl. PK, 6.50%, 1/15/31 401,666 436,373
Series 2326, Cl. ZP, 6.50%, 6/15/31 183,356 211,627
Series 2426, Cl. BG, 6%, 3/15/17 1,094,228 1,178,040
Series 2427, Cl. ZM, 6.50%, 3/15/32 739,901 855,783
Series 2461, Cl. PZ, 6.50%, 6/15/32 1,096,625 1,266,749
Series 2500, Cl. FD, 0.739%, 3/15/32(7) 114,152 115,213
Series 2526, Cl. FE, 0.639%, 6/15/29(7) 137,361 138,121
Series 2538, Cl. F, 0.839%, 12/15/32(7) 1,127,828 1,137,527
Series 2551, Cl. FD, 0.639%, 1/15/33(7) 91,678 92,221
Series 2626, Cl. TB, 5%, 6/1/33 1,477,618 1,629,404
Series 3025, Cl. SJ, 23.875%, 8/15/35(7) 162,764 248,146
Series 3094, Cl. HS, 23.508%, 6/15/34(7) 334,152 462,805
Series 3822, Cl. JA, 5%, 6/1/40 1,595,554 1,702,639
Series 3848, Cl. WL, 4%, 4/1/40 1,969,364 2,087,742
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 183, Cl. IO, 15.478%, 4/1/27(8) 304,709 63,897
Series 192, Cl. IO, 12.47%, 2/1/28(8) 93,369 15,831
Series 2130, Cl. SC, 51.66%, 3/15/29(8) 240,925 48,214
Series 243, Cl. 6, 3.153%, 12/15/32(8) 362,500 73,971
Series 2531, Cl. ST, 99.999%, 2/15/30(8) 130,950 1,893
4 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Series 2639, Cl. SA, 1.14%, 7/15/22(8) $ 1,072,893 $ 70,638
Series 2796, Cl. SD, 65.789%, 7/15/26(8) 355,427 68,615
Series 2802, Cl. AS, 83.208%, 4/15/33(8) 271,673 16,630
Series 2815, Cl. PT, 40.096%, 11/15/32(8) 5,500,475 624,355
Series 2920, Cl. S, 66.239%, 1/15/35(8) 2,003,287 366,439
Series 2937, Cl. SY, 24.258%, 2/15/35(8) 7,783,468 1,437,919
Series 3110, Cl. SL, 99.999%, 2/15/26(8) 337,907 49,012
Series 3450, Cl. BI, 11.956%, 5/15/38(8) 2,497,344 354,479
Series 3662, Cl. SM, 24.71%, 10/15/32(8) 2,029,987 262,939
Federal Home Loan Mortgage Corp., Principal-Only
Stripped Mtg.-Backed Security, Series 176, Cl. PO,
3.846%, 6/1/26(9) 93,418 82,816
Federal National Mortgage Assn.:
2.50%, 7/1/27(6) 4,505,000 4,637,334
3.50%, 7/1/42(6) 5,910,000 6,191,648
4.50%, 6/1/27-6/1/42(6) 30,140,000 32,335,676
5%, 6/1/42(6) 32,864,000 35,600,963
5.50%, 1/1/38-4/1/39 3,817,773 4,165,231
5.50%, 6/1/12-6/1/42(6) 19,886,000 21,675,777
6%, 6/1/42(6) 13,205,000 14,537,882
6.50%, 5/25/17-10/25/19 1,225,852 1,326,206
6.50%, 11/25/31(3) 1,241,198 1,427,055
6.50%, 6/1/42(6) 4,207,000 4,734,191
7%, 11/1/17-7/25/35 442,316 486,686
7.50%, 1/1/33-3/25/33(3) 4,746,144 5,784,102
8.50%, 7/1/32 11,647 14,521
Federal National Mortgage Assn., 15 yr.:
3%, 6/1/27(6) 40,455,000 42,351,328
3.50%, 6/1/27(6) 25,205,000 26,603,089
4%, 6/1/26(6) 1,680,000 1,784,737
Federal National Mortgage Assn., 30 yr.:
3.50%, 6/1/42(6) 10,815,000 11,354,060
4%, 6/1/42(6) 29,110,000 30,997,600
Federal National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Multiclass Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 589,213 673,304
Trust 1998-61, Cl. PL, 6%, 11/25/28 307,400 345,110
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 497,678 570,620
Trust 2001-51, Cl. OD, 6.50%, 10/25/31(3) 864,938 1,002,928
Trust 2003-130, Cl. CS, 13.623%, 12/25/33(7) 565,520 683,188
Trust 2003-28, Cl. KG, 5.50%, 4/25/23(3) 3,553,000 3,965,265
Trust 2004-101, Cl. BG, 5%, 1/25/20(3) 2,178,079 2,335,764
Trust 2004-9, Cl. AB, 4%, 7/1/17 99,777 100,024
Trust 2005-104, Cl. MC, 5.50%, 12/25/25(3) 7,504,312 8,347,399
Trust 2005-31, Cl. PB, 5.50%, 4/25/35(3) 1,430,000 1,796,070
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 1,629,766 1,691,758
Trust 2006-46, Cl. SW, 23.324%, 6/25/36(7) 393,948 561,948
5 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Trust 2006-50, Cl. KS, 23.325%, 6/25/36(7) $ 819,985 $ 1,225,857
Trust 2006-50, Cl. SK, 23.325%, 6/25/36(7) 101,983 156,991
Trust 2007-42, Cl. A, 6%, 2/1/33 2,050,137 2,140,939
Trust 2009-36, Cl. FA, 1.179%, 6/25/37(7) 2,028,761 2,060,219
Trust 2009-37, Cl. HA, 4%, 4/1/19 2,589,941 2,751,006
Trust 2009-70, Cl. PA, 5%, 8/1/35 2,871,048 2,926,381
Trust 2011-15, Cl. DA, 4%, 3/1/41 1,114,598 1,192,470
Trust 2011-3, Cl. KA, 5%, 4/1/40 1,911,332 2,083,846
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 60.358%, 3/17/31(8) 276,775 56,000
Trust 2001-65, Cl. S, 35.211%, 11/25/31(8) 731,227 133,232
Trust 2001-81, Cl. S, 29.977%, 1/25/32(8) 176,986 35,227
Trust 2002-47, Cl. NS, 35.74%, 4/25/32(8) 390,495 73,619
Trust 2002-51, Cl. S, 36.02%, 8/25/32(8) 358,528 67,599
Trust 2002-52, Cl. SD, 41.655%, 9/25/32(8) 458,173 96,471
Trust 2002-60, Cl. SM, 33.743%, 8/25/32(8) 631,636 95,821
Trust 2002-7, Cl. SK, 34.003%, 1/25/32(8) 192,433 30,290
Trust 2002-75, Cl. SA, 33.877%, 11/25/32(8) 881,320 154,330
Trust 2002-77, Cl. BS, 27.832%, 12/18/32(8) 381,655 66,321
Trust 2002-77, Cl. JS, 25.493%, 12/18/32(8) 622,346 102,208
Trust 2002-77, Cl. SA, 27.76%, 12/18/32(8) 600,573 98,175
Trust 2002-77, Cl. SH, 43.31%, 12/18/32(8) 257,771 52,329
Trust 2002-89, Cl. S, 61.861%, 1/25/33(8) 1,126,691 231,932
Trust 2002-9, Cl. MS, 32.159%, 3/25/32(8) 233,421 43,477
Trust 2002-90, Cl. SN, 34.943%, 8/25/32(8) 325,253 49,348
Trust 2002-90, Cl. SY, 40.745%, 9/25/32(8) 145,692 22,403
Trust 2003-33, Cl. SP, 37.964%, 5/25/33(8) 818,695 122,682
Trust 2003-46, Cl. IH, 0%, 6/1/23(8,10) 1,615,266 203,262
Trust 2003-89, Cl. XS, 99.999%, 11/25/32(8) 429,867 12,059
Trust 2004-54, Cl. DS, 49.012%, 11/25/30(8) 431,154 81,053
Trust 2004-56, Cl. SE, 17.871%, 10/25/33(8) 1,041,694 151,086
Trust 2005-19, Cl. SA, 62.47%, 3/25/35(8) 5,163,269 1,066,261
Trust 2005-40, Cl. SA, 60.939%, 5/25/35(8) 1,144,728 239,991
Trust 2005-5, Cl. SD, 12.176%, 1/25/35(8) 1,120,264 187,929
Trust 2005-6, Cl. SE, 79.348%, 2/25/35(8) 1,697,083 293,050
Trust 2005-71, Cl. SA, 65.598%, 8/25/25(8) 1,175,359 176,455
Trust 2005-93, Cl. SI, 24.056%, 10/25/35(8) 1,704,138 265,183
Trust 2006-51, Cl. SA, 32.946%, 6/25/36(8) 11,264,998 1,627,600
Trust 2007-84, Cl. DS, 8/25/37(8) 1,607,104 248,894
Trust 2008-46, Cl. EI, 12.159%, 6/25/38(8) 2,546,581 395,346
Trust 2008-55, Cl. SA, 26.961%, 7/25/38(8) 2,630,613 398,203
Trust 2008-67, Cl. KS, 63.072%, 8/25/34(8) 3,376,316 249,565
Trust 2009-8, Cl. BS, 18.422%, 2/25/24(8) 1,978,456 213,654
Trust 222, Cl. 2, 25.476%, 6/1/23(8) 679,254 131,589
6 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- ------------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
FHLMC/FNMA/FHLB/SPONSORED CONTINUED
Trust 252, Cl. 2, 37.814%, 11/1/23(8) $ 568,108 $ 124,925
Trust 303, Cl. IO, 30.38%, 11/1/29(8) 216,269 46,233
Trust 308, Cl. 2, 23.431%, 9/1/30(8) 533,241 109,601
Trust 320, Cl. 2, 11.521%, 4/1/32(8) 2,166,474 355,262
Trust 321, Cl. 2, 1.951%, 4/1/32(8) 1,795,319 336,672
Trust 331, Cl. 9, 13.146%, 2/1/33(8) 596,896 116,526
Trust 334, Cl. 17, 20.631%, 2/1/33(8) 354,590 70,273
Trust 338, Cl. 2, 1.747%, 7/1/33(8) 352,124 53,284
Trust 339, Cl. 12, 3.452%, 7/1/33(8) 1,389,592 260,106
Trust 339, Cl. 7, 0%, 7/1/33(8,10) 1,809,551 281,303
Trust 343, Cl. 13, 0.568%, 9/1/33(8) 1,303,686 179,242
Trust 343, Cl. 18, 0%, 5/1/34(8,10) 408,202 60,560
Trust 345, Cl. 9, 87.12%, 1/1/34(8) 795,898 95,859
Trust 351, Cl. 10, 7.489%, 4/1/34(8) 480,343 66,631
Trust 351, Cl. 8, 2.787%, 4/1/34(8) 778,732 110,246
Trust 356, Cl. 10, 0%, 6/1/35(8,10) 631,643 84,511
Trust 356, Cl. 12, 0%, 2/1/35(8,10) 314,904 42,598
Trust 362, Cl. 13, 5.503%, 8/1/35(8) 1,036,789 144,366
Trust 364, Cl. 16, 13.954%, 9/1/35(8) 1,307,557 189,596
Trust 365, Cl. 16, 5.511%, 3/1/36(8) 3,610,318 549,531
Federal National Mortgage Assn., Principal-Only Stripped
Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.242%,
9/25/23(9) 261,458 245,813
------------
328,251,967
GNMA/GUARANTEED--0.1%
Government National Mortgage Assn., 8.50%,
8/1/17-12/15/17 55,669 59,819
Government National Mortgage Assn., Interest-Only
Stripped Mtg.-Backed Security:
Series 2001-21, Cl. SB, 88.083%, 1/16/27(8) 531,273 96,480
Series 2002-15, Cl. SM, 79.592%, 2/16/32(8) 496,984 95,852
Series 2002-41, Cl. GS, 48.83%, 6/16/32(8) 273,122 59,834
Series 2002-76, Cl. SY, 81.861%, 12/16/26(8) 1,311,650 262,730
Series 2004-11, Cl. SM, 70.953%, 1/17/30(8) 462,451 102,654
Series 2007-17, Cl. AI, 22.033%, 4/16/37(8) 3,717,651 741,753
Series 2011-52, Cl. HS, 9.436%, 4/16/41(8) 4,161,343 1,114,939
------------
2,534,061
NON-AGENCY--5.6%
COMMERCIAL--2.7%
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 2,845,589
Banc of America Commercial Mortgage, Inc., Commercial
Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4,
5.601%, 6/1/49(7) 1,340,000 1,498,519
7 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
COMMERCIAL CONTINUED
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through
Certificates, Series 2007-4, Cl. 22A1, 5.574%,
6/1/47(7) $ 1,602,128 $ 1,179,487
Bear Stearns Commercial Mortgage Securities
Trust2007-PWR17, Commercial Mtg. Pass-Through
Certificates, Series 2007-PWR17, Cl. AM, 5.915%,
6/1/50(7) 1,525,000 1,567,444
CFCRE Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2011-C1, Cl. A1,
1.871%, 4/1/44(4) 445,739 447,375
CHL Mortgage Pass-Through Trust 2007-J3, Mtg.
Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%,
7/1/37 1,006,915 807,073
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial
Mortgage Trust, Commercial Mtg. Pass-Through
Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 110,444 111,429
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 1,375,000 1,515,785
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Interest-Only Stripped
Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.856%,
9/1/20(4,8) 14,796,894 1,030,870
First Horizon Alternative Mortgage Securities Trust
2007-FA2, Mtg. Pass-Through Certificates, Series
2007-FA2, Cl. 1A1, 5.50%, 4/25/37 64,511 40,539
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 2,015,933
GS Mortgage Securities Corp. II, Commercial Mtg.
Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 1,159,161 1,182,756
GS Mortgage Securities Trust 2006-GG6, Commercial Mtg.
Pass-Through Certificates, Series 2006-GG6, Cl. AM,
5.622%, 4/1/38 1,443,915 1,452,456
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through
Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 1,203,871 1,172,134
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg.
Pass-Through Certificates, Series 2005-AR23, Cl. 6A1,
5.013%, 11/1/35(7) 2,095,821 1,521,961
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates:
Series 2011-C3, Cl. A1, 1.875%, 2/1/46(4) 1,332,779 1,344,165
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 2,590,000 2,657,393
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 590,000 650,635
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 478,371 482,321
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through
Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 2,203,431 1,918,419
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 3,475,918
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg.
Pass-Through Certificates, Series 2006-C2, Cl. AM,
5.782%, 8/1/43 1,485,000 1,522,138
Morgan Stanley Capital I Trust 2007-IQ15, Commercial
Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl.
AM, 5.88%, 6/1/49(7) 1,700,000 1,633,349
8 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
COMMERCIAL CONTINUED
Structured Adjustable Rate Mortgage Loan Trust, Mtg.
Pass-Through Certificates, Series 2007-6, Cl. 3A1,
4.91%, 7/1/37(7) $ 2,110,239 $ 1,385,916
Wachovia Bank Commercial Mortgage Trust 2007-C33,
Commercial Mtg. Pass-Through Certificates, Series
2007-C33, Cl. A4, 5.90%, 2/1/51(7) 1,800,000 2,008,382
Wachovia Bank Commercial Mortgage Trust 2007-C34,
Commercial Mtg. Pass-Through Certificates, Series
2007-C34, Cl. A3, 5.678%, 5/1/46 1,835,000 2,097,155
WaMu Mortgage Pass-Through Certificates 2005-AR14
Trust, Mtg. Pass-Through Certificates, Series
2005-AR14, Cl. 1A4, 2.458%, 12/1/35(7) 1,048,329 909,380
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR3, Cl.
A4, 5.754%, 4/1/37(7) 91,682 79,294
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR8, Cl.
A1, 6.03%, 11/1/37(7) 1,441,035 1,176,039
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only
Commercial Mtg. Pass-Through Certificates, Series
2011-C3, Cl. XA, 8.956%, 3/1/44(8) 19,940,340 1,744,780
-----------
41,474,634
MULTIFAMILY--0.1%
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg.
Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A,
5.641%, 6/1/36(7) 1,334,862 1,157,675
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through
Certificates, Series 2007-A3, Cl. 3A2M, 5.145%,
5/1/37(7) 537,567 460,399
-----------
1,618,074
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 5,725,000 6,265,640
RESIDENTIAL--2.4%
ABFC Asset-Backed Certificates, Asset-Back
Certificates, Series 2005-HE2, Cl. M3, 0.759%,
6/25/35(7) 4,000,000 1,348,070
Banc of America Commercial Mortgage, Inc., Commercial
Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM,
5.793%, 2/1/51(7) 1,635,000 1,576,462
Banc of America Funding 2007-C Trust, Mtg.
Pass-Through Certificates, Series 2007-C, Cl. 1A4,
5.536%, 5/1/36(7) 560,000 497,230
Banc of America Mortgage 2007-1 Trust, Mtg.
Pass-Through Certificates, Series 2007-1, Cl. 1A24,
6%, 3/1/37 1,907,784 1,779,224
Carrington Mortgage Loan Trust, Asset-Backed
Pass-Through Certificates, Series 2006-FRE1, Cl. A2,
0.349%, 7/25/36(7) 1,090,778 1,010,543
CHL Mortgage Pass-Through Trust 2005-29, Mtg.
Pass-Through Certificates, Series 2005-29, Cl. A1,
5.75%, 12/1/35 835,365 733,330
9 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
RESIDENTIAL CONTINUED
CHL Mortgage Pass-Through Trust 2006-17, Mtg.
Pass-Through Certificates, Series 2006-17, Cl. A2, 6%,
12/1/36 $ 3,170,172 $ 2,629,347
CHL Mortgage Pass-Through Trust 2006-6, Mtg.
Pass-Through Certificates, Series 2006-6, Cl. A3, 6%,
4/1/36 894,790 841,963
Countrywide Alternative Loan Trust 2005-21CB, Mtg.
Pass-Through Certificates, Series 2005-21CB, Cl. A7,
5.50%, 6/1/35 1,906,912 1,585,608
Countrywide Alternative Loan Trust 2005-J10, Mtg.
Pass-Through Certificates, Series 2005-J10, Cl. 1A17,
5.50%, 10/1/35 7,285,103 6,089,155
Countrywide Alternative Loan Trust 2007-19, Mtg.
Pass-Through Certificates, Series 2007-19, Cl. 1A34,
6%, 8/1/37 1,307,171 926,733
Countrywide Home Loans, Asset-Backed Certificates:
Series 2002-4, Cl. A1, 0.979%, 2/25/33(7) 11,721 11,456
Series 2004-6, Cl. M5, 1.509%, 8/25/34(7) 2,362,066 873,683
Series 2005-16, Cl. 2AF2, 5.34%, 5/1/36(7) 504,922 387,838
CWABS Asset-Backed Certificates Trust 2005-4,
Asset-Backed Certificates, Series 2005-4, Cl. MF7,
5.733%, 10/1/35 5,850,000 639,923
CWABS Asset-Backed Certificates Trust 2005-7,
Asset-Backed Certificates, Series 2005-7, Cl. MF7,
5.732%, 10/1/35 3,284,000 341,107
CWABS Asset-Backed Certificates Trust 2005-BC5,
Asset-Backed Certificates, Series 2005-BC5, Cl. M2,
0.719%, 1/25/36(7) 6,000,000 1,606,401
CWABS Asset-Backed Certificates Trust 2006-10,
Asset-Backed Certificates:
Series 2006-10, Cl. MF4, 5.77%, 9/1/46(7) 2,550,000 51,779
Series 2006-10, Cl. MF5, 5.77%, 9/1/46(7) 1,166,778 3,048
CWABS Asset-Backed Certificates Trust 2007-4,
Asset-Backed Certificates, Series 2007-4, Cl. M2,
5.931%, 9/1/37 2,000,000 249,481
GMACM Home Equity Loan Trust 2007-HE2, Home Equity
Loan-Backed Term Nts., Series 2007-HE2, Cl. A2,
6.054%, 12/1/37 29,323 19,004
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through
Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 964,166 882,058
Home Equity Mortgage Trust 2005-HF1, Home Equity
Loan-Backed Nts.:
Series 2005-HF1, Cl. A2B, 0.589%, 2/25/36(7) 1,093,468 840,047
Series 2005-HF1, Cl. A3B, 0.589%, 2/25/36(7) 823,591 632,716
JPMorgan Alternative Loan Trust 2006-S4, Mtg.
Pass-Through Certificates, Series 2006-S4, Cl. A6,
5.71%, 12/1/36 1,311,691 1,140,347
Park Place Securities, Inc., Asset-Backed Pass-Through
Certificates, Series 2005-WCW2, Cl. M4, 0.889%,
7/25/35(7) 4,000,000 578,046
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-NC3, Cl. A3,
0.509%, 3/25/36(7) 16,698,000 5,026,065
Residential Asset Securitization Trust 2005-A15, Mtg.
Pass-Through Certificates, Series 2005-A15, Cl. 1A4,
5.75%, 2/1/36 575,621 453,772
WaMu Mortgage Pass-Through Certificates 2007-HY5
Trust, Mtg. Pass-Through Certificates, Series
2007-HY5, Cl. 3A1, 5.343%, 5/1/37(7) 1,296,562 1,149,353
10 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
------------ -----------
MORTGAGE-BACKED OBLIGATIONS CONTINUED
RESIDENTIAL CONTINUED
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg.
Asset-Backed Pass-Through Certificates, Series
2007-PA5, Cl. 1A1, 6.25%, 11/1/37 $ 1,174,787 $ 1,069,672
Wells Fargo Mortgage-Backed Securities 2005-9 Trust,
Mtg. Pass-Through Certificates, Series 2005-9, Cl.
2A6, 5.25%, 10/25/35 1,018,610 1,030,819
Wells Fargo Mortgage-Backed Securities 2006-AR14
Trust, Mtg. Pass-Through Certificates, Series
2006-AR14, Cl. 1A2, 5.658%, 10/1/36(7) 1,282,895 1,151,730
-----------
37,156,010
-----------
Total Mortgage-Backed Obligations (Cost $408,223,325) 417,300,386
ASSET-BACKED SECURITIES--9.4%
AESOP Funding II LLC, Automobile Receivables Nts.,
Series 2011-1A, Cl. A, 1.85%, 11/20/13(4) 870,000 871,744
Airspeed Ltd., Airplane Receivables:
Series 2007-1 A, Cl. G1, 0.509%, 6/15/32(2,7) 35,475,131 27,670,602
Series 2007-1A, Cl. G2, 0.519%, 6/15/32(2,7) 12,119,687 9,513,954
Ally Master Owner Trust 2010-1, Asset-Backed
Certificates, Series 2010-1, Cl. A, 1.989%,
1/15/15(4,7) 155,000 156,448
Ally Master Owner Trust, Asset-Backed Nts.,
Series 2012-2, Cl. A, 0.739%, 3/15/16(7) 1,780,000 1,780,794
Ally Master Owner Trust, Automobile Receivables Nts.,
Series 2011-4, Cl. A2, 1.54%, 9/15/16 1,805,000 1,821,083
American Credit Acceptance Receivables Trust 2012-1,
Automobile Receivables Nts., Series 2012-1, Cl. A1,
1.96%, 1/5/14(4) 1,214,738 1,214,689
AmeriCredit Automobile Receivables Trust 2009-1,
Automobile Receivables-Backed Nts., Series 2009-1,
Cl. A3, 3.04%, 10/15/13 54,155 54,265
AmeriCredit Automobile Receivables Trust 2010-1,
Automobile Receivables-Backed Nts., Series 2010-1,
Cl. D, 6.65%, 7/17/17 1,055,000 1,142,337
AmeriCredit Automobile Receivables Trust 2010-2,
Automobile Receivables-Backed Nts.:
Series 2010-2, Cl. C, 4.52%, 10/8/15 1,480,000 1,547,433
Series 2010-2, Cl. D, 6.24%, 6/8/16 2,015,000 2,182,926
AmeriCredit Automobile Receivables Trust 2011-1,
Automobile Receivables-Backed Nts., Series 2011-1,
Cl. D, 4.26%, 2/8/17 430,000 456,616
AmeriCredit Automobile Receivables Trust 2011-2,
Automobile Receivables-Backed Nts.:
Series 2011-2, Cl. A3, 1.61%, 10/8/15 240,000 241,823
Series 2011-2, Cl. B, 2.33%, 3/8/16 1,495,000 1,517,552
Series 2011-2, Cl. D, 4%, 5/8/17 1,450,000 1,515,967
AmeriCredit Automobile Receivables Trust 2011-4,
Automobile Receivables-Backed Nts., Series 2011-4,
Cl. D, 4.08%, 7/10/17 2,355,000 2,367,269
11 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
ASSET-BACKED SECURITIES CONTINUED
AmeriCredit Automobile Receivables Trust
2011-5, Automobile Receivables-Backed Nts.:
Series 2011-5, Cl. D, 1.55%, 7/8/16 $ 35,000 $ 35,387
Series 2011-5, Cl. D, 5.05%, 12/8/17 1,500,000 1,565,645
AmeriCredit Automobile Receivables Trust 2012-1,
Automobile Receivables-Backed Nts., Series 2012-1,
Cl. D, 4.72%, 3/8/18 1,405,000 1,483,416
AmeriCredit Automobile Receivables Trust 2012-2,
Automobile Receivables-Backed Nts., Series 2012-2,
Cl. D, 3.38%, 4/9/18 2,345,000 2,356,063
Avis Budget Rental Car Funding AESOP LLC, Automobile
Receivable Nts.:
Series 2011-2A, Cl. A, 2.37%, 11/20/14(4) 1,570,000 1,596,459
Series 2012-1A, Cl. A, 2.044%, 8/20/16(4) 1,185,000 1,191,724
Blade Engine Securitization Ltd., Asset-Backed
Certificates, Series 2006-1A, Cl. B, 3.239%,
9/15/41(2,7) 9,442,046 7,175,955
Centre Point Funding LLC, Asset-Backed Nts., Series
2010-1A, Cl. 1, 5.43%, 7/20/15(4) 321,825 337,303
Citibank Credit Card Issuance Trust, Credit Card
Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 445,484
Citibank Omni Master Trust, Credit Card Receivables:
Series 2009-A13, Cl. A13, 5.35%, 8/15/18(4) 3,315,000 3,625,413
Series 2009-A17, Cl. A17, 4.90%, 11/15/18(4) 1,905,000 2,083,288
CLI Funding LLC, Equipment Asset-Backed Nts., Series
2006-1A, Cl. A, 0.42%, 8/18/21(4,7) 5,785,925 5,518,297
CNH Wholesale Master Note Trust 2011-1, Equipment
Nts., Series 2011-1, Cl. 1A, 1.039%, 1/20/41(7) 1,675,000 1,679,383
Credit Acceptance Auto Loan Trust, Automobile
Receivable Nts., Series 2012-1A, Cl. A, 2.20%,
9/16/19(4) 890,000 891,814
DSC Floorplan Master Owner Trust, Automobile
Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 1,465,000 1,500,095
DT Auto Owner Trust 2009-1, Automobile Receivable
Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(4) 233,269 233,717
DT Auto Owner Trust 2011-1A, Automobile Receivable
Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(4) 2,035,000 2,039,466
DT Auto Owner Trust 2011-2A, Automobile Receivable
Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/13(4) 495,000 494,449
DT Auto Owner Trust 2011-3A, Automobile Receivable
Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41(4) 1,491,000 1,513,095
DT Auto Owner Trust 2012-1A, Automobile Receivable
Nts., Series 2012-1A, Cl. A, 1.06%, 1/15/15(4) 1,362,841 1,362,595
Exeter Automobile Receivables Trust, Automobile
Receivable Nts., Series 2012-1A, Cl. A, 2.02%,
8/15/16(4) 1,137,625 1,137,499
First Investors Auto Owner Trust 2011-1, Automobile
Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 694,154 693,665
Ford Credit Floorplan Master Owner Trust, Automobile
Receivable Nts., Series 2012-1, Cl. A, 0.709%,
1/15/16(7) 2,370,000 2,377,102
Hertz Vehicle Financing LLC, Automobile Receivable
Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(4) 2,700,000 2,742,172
12 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
------------ -----------
ASSET-BACKED SECURITIES CONTINUED
MBNA Credit Card Master Note Trust, Credit Card
Receivables, Series 2003-C7, Cl. C7, 1.589%,
3/15/16(3,7) $ 1,800,000 $ 1,812,292
NuCO2 Funding LLC, Asset-Backed Nts., Series 2008-1A,
Cl. A1, 7.25%, 6/25/38(2) 25,000,000 26,125,000
Rental Car Finance Corp., Automobile Receivable Nts.,
Series 2011-1A, Cl. A1, 2.51%, 2/25/16(4) 1,290,000 1,310,139
Santander Drive Auto Receivables Trust 2010-2,
Automobile Receivables Nts., Series 2010-2, Cl. A2,
0.95%, 8/15/13 194,285 194,305
Santander Drive Auto Receivables Trust 2010-3,
Automobile Receivables Nts., Series 2010-3, Cl. C,
3.06%, 11/15/17 1,670,000 1,690,341
Santander Drive Auto Receivables Trust 2010-A,
Automobile Receivables Nts.:
Series 2010-A, Cl. A2, 1.37%, 8/15/13(4) 250,701 250,904
Series 2010-A, Cl. A3, 1.83%, 11/17/14(4) 1,000,000 1,008,047
Santander Drive Auto Receivables Trust 2011-1,
Automobile Receivables Nts., Series 2011-1, Cl. D,
4.01%, 2/15/17 1,715,000 1,746,683
Santander Drive Auto Receivables Trust 2011-S1A,
Automobile Receivables Nts., Series 2011-S1A, Cl. D,
3.10%, 5/15/17(2) 1,421,922 1,418,594
Santander Drive Auto Receivables Trust 2011-S2A,
Automobile Receivables Nts., Series 2011-S2A, Cl. D,
3.35%, 6/15/17(4) 1,074,240 1,074,240
Santander Drive Auto Receivables Trust 2012-1,
Automobile Receivables Nts., Series 2012-1, Cl. A2,
1.25%, 4/15/15 1,180,000 1,184,512
Santander Drive Auto Receivables Trust 2012-2,
Automobile Receivables Nts., Series 2012-2, Cl. D, 5%,
2/15/18 1,775,000 1,791,112
Structured Asset Securities Corp., Mtg. Loan
Asset-Backed Certificates, Series 2007-GEL2, Cl. A2,
0.559%, 5/25/37(7) 10,000,000 5,701,915
Westlake Automobile Receivables Trust 2011-1,
Automobile Receivables Nts., Series 2011-1, Cl. A3,
1.49%, 6/16/14(4) 760,000 761,181
Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl.
A2, 1.47%, 3/20/21(4) 885,000 884,408
-----------
Total Asset-Backed Securities (Cost $145,526,560) 145,088,661
U.S. GOVERNMENT OBLIGATIONS--1.4%
Federal Home Loan Mortgage Corp. Nts.:
0.50%, 4/17/15 5,136,000 5,136,673
1.25%, 5/12/17 760,000 771,275
1.75%, 5/30/19 1,095,000 1,124,581
2.375%, 1/13/22 3,075,000 3,174,030
5.25%, 4/18/16 1,600,000 1,879,653
5.50%, 7/18/16 910,000 1,085,615
Federal National Mortgage Assn. Nts.:
0.50%, 5/27/15-7/2/15 3,922,000 3,916,297
1.125%, 4/27/17 2,683,000 2,705,003
5.375%, 6/12/17 1,049,000 1,275,698
-----------
Total U.S. Government Obligations (Cost $20,625,369) 21,068,825
13 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES--20.0%
CONSUMER DISCRETIONARY--2.8%
AUTO COMPONENTS--0.1%
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 $ 1,451,000 $ 1,559,825
AUTOMOBILES--0.3%
DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 830,000 1,273,205
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 3,163,000 3,602,028
-----------
4,875,233
DIVERSIFIED CONSUMER SERVICES--0.1%
Service Corp. International, 6.75% Sr. Unsec. Nts.,
4/1/15 1,738,000 1,885,730
HOTELS, RESTAURANTS & LEISURE--0.3%
Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts.,
10/15/21 821,000 878,237
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts.,
8/15/15(4) 2,591,000 2,854,344
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr.
Unsec. Unsub. Nts., 12/1/19 400,000 484,446
-----------
4,217,027
HOUSEHOLD DURABLES--0.3%
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 1,637,000 1,710,665
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 1,574,000 1,633,988
Whirlpool Corp., 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 601,000 619,213
-----------
3,963,866
MEDIA--1.0%
CBS Corp., 3.375% Sr. Unsec. Unsub. Nts., 3/1/22 961,000 959,385
Comcast Cable Communications Holdings, Inc., 9.455% Sr.
Unsec. Nts., 11/15/22 995,000 1,455,180
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 1,505,000 1,632,925
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15%
Sr. Unsec. Nts., 3/15/42 922,000 924,431
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 1,607,000 1,667,263
Historic TW, Inc., 9.125% Debs., 1/15/13 547,000 573,334
Interpublic Group of Cos., Inc. (The):
4% Sr. Nts., 3/15/22 487,000 487,947
6.25% Sr. Unsec. Nts., 11/15/14 586,000 634,345
10% Sr. Unsec. Nts., 7/15/17 1,669,000 1,890,143
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 553,000 637,935
Time Warner Entertainment Co. LP, 8.375% Sr. Nts.,
7/15/33 876,000 1,215,432
Virgin Media Secured Finance plc:
5.25% Sr. Sec. Nts., 1/15/21 895,000 1,003,828
6.50% Sr. Sec. Nts., 1/15/18 1,981,000 2,169,195
-----------
15,251,343
MULTILINE RETAIL--0.2%
Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 914,000 993,862
Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts.,
7/15/14 2,550,000 2,780,415
-----------
3,774,277
SPECIALTY RETAIL--0.4%
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 1,592,000 1,715,380
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 1,772,000 1,869,460
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr.
Unsec. Nts., 11/15/19(4) 1,636,000 1,750,520
14 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
SPECIALTY RETAIL CONTINUED
Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 $ 1,373,000 $ 1,546,907
-----------
6,882,267
TEXTILES, APPAREL & LUXURY GOODS--0.1%
Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub.
Nts., 5/15/20 1,400,000 1,536,500
CONSUMER STAPLES--1.3%
BEVERAGES--0.4%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec.
Unsub. Nts., 1/15/39 632,000 1,041,698
Constellation Brands, Inc., 6% Sr. Unsec. Unsub. Nts.,
5/1/22 1,619,000 1,724,235
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts.,
6/15/14 440,000 484,721
Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/22(4) 1,550,000 1,582,556
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 1,042,000 1,154,404
-----------
5,987,614
FOOD & STAPLES RETAILING--0.1%
Delhaize Group:
5.70% Sr. Unsec. Nts., 10/1/40 464,000 423,864
5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 1,403,000 1,484,182
-----------
1,908,046
FOOD PRODUCTS--0.4%
Bunge Ltd. Finance Corp.:
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 1,471,000 1,565,537
8.50% Sr. Unsec. Nts., 6/15/19 1,008,000 1,285,268
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42(4,6) 397,000 415,263
Kraft Foods, Inc., 6.50% Sr. Unsec. Unsub. Nts., 2/9/40 986,000 1,264,251
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 1,694,000 1,833,755
-----------
6,364,074
TOBACCO--0.4%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 1,240,000 2,019,377
BAT International Finance plc, 2.125% Sr. Unsec. Nts.,
6/7/17(4,6) 840,000 838,690
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 1,083,000 1,224,332
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 1,594,000 1,691,934
-----------
5,774,333
ENERGY--2.2%
ENERGY EQUIPMENT & SERVICES--0.6%
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 1,742,000 1,898,038
Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts.,
2/15/18 2,079,000 2,414,987
Noble Holding International Ltd., 7.375% Sr. Unsec.
Bonds, 3/15/14 1,388,000 1,522,968
Precision Drilling Corp.:
6.50% Sr. Unsec. Nts., 12/15/21 751,000 760,388
6.625% Sr. Unsec. Nts., 11/15/20 717,000 731,340
Rowan Cos., Inc., 4.875% Sr. Unsec. Nts., 6/1/22 1,053,000 1,069,335
-----------
8,397,056
OIL, GAS & CONSUMABLE FUELS--1.6%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 604,000 695,912
Apache Corp., 4.75% Sr. Unsec. Unsub. Nts., 4/15/43 539,000 595,299
15 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
OIL, GAS & CONSUMABLE FUELS CONTINUED
Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts.,
8/15/13(4) $ 1,584,000 $ 1,660,016
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts.,
4/1/20 2,344,000 2,725,369
Energy Transfer Partners LP:
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 1,287,000 1,322,701
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 465,000 492,837
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr.
Unsec. Nts., 6/1/13 2,761,000 2,858,828
Kinder Morgan Energy Partners LP, 3.95% Sr. Unsec.
Unsub. Nts., 9/1/22 835,000 845,675
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts.,
2/1/20 1,560,000 1,661,400
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 1,713,000 1,892,978
Phillips 66, 4.30% Unsec. Nts., 4/1/22(4) 1,086,000 1,134,166
Plains All American Pipeline LP/PAA Finance Corp., 5.15%
Sr. Unsec. Unsub. Nts., 6/1/42 427,000 447,435
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 1,578,000 1,727,910
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr.
Sec. Nts., 9/30/14(2) 1,466,000 1,585,113
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub.
Nts., 4/15/15(4) 1,643,000 1,577,280
Southwestern Energy Co., 4.10% Sr. Unsec. Nts.,
3/15/22(4) 809,000 822,329
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 130,000 134,073
Woodside Finance Ltd.:
4.60% Sr. Unsec. Nts., 5/10/21(4) 1,223,000 1,322,951
5% Sr. Unsec. Nts., 11/15/13(4) 1,569,000 1,641,610
-----------
25,143,882
FINANCIALS--8.2%
CAPITAL MARKETS--1.7%
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec.
Nts., 8/15/19(4) 2,840,000 3,129,248
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds,
2/15/34 1,639,000 1,507,601
Goldman Sachs Group, Inc. (The):
5.25% Sr. Unsec. Nts., 7/27/21 1,367,000 1,355,657
6.25% Sr. Nts., 2/1/41 1,534,000 1,553,976
Macquarie Bank Ltd.:
5% Sr. Nts., 2/22/17(4) 518,000 528,702
6.625% Unsec. Sub. Nts., 4/7/21(4) 2,342,000 2,358,834
Mellon Capital IV, 6.244% Perpetual Bonds(11) 6,000,000 4,845,000
Morgan Stanley:
5.50% Sr. Unsec. Unsub. Nts., 7/24/20(4) 1,063,000 998,151
5.625% Sr. Unsec. Nts., 9/23/19 3,798,000 3,631,249
6.25% Sr. Unsec. Nts., 8/28/17 1,000,000 1,006,204
Nomura Holdings, Inc.:
4.125% Sr. Unsec. Unsub. Nts., 1/19/16 1,568,000 1,593,696
6.70% Sr. Unsec. Nts., 3/4/20 144,000 159,599
Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24 1,582,000 1,677,293
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub.
Nts., 12/1/12 1,765,000 1,781,360
16 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
CAPITAL MARKETS CONTINUED
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 $ 667,000 $ 670,961
-----------
26,797,531
COMMERCIAL BANKS--2.2%
ANZ National International Ltd., 2.375% Sr. Unsec. Nts.,
12/21/12(4) 1,820,000 1,837,681
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts.,
4/15/37 3,032,000 2,986,520
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(7) 4,160,000 3,848,000
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(4) 2,824,000 2,652,614
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts.,
Series B, 4/15/13 1,067,000 1,097,695
Nordea Bank AB, 3.125% Sr. Nts., 3/20/17(4) 2,960,000 2,984,213
Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts.,
6/15/12 1,634,000 1,636,565
Wachovia Capital Trust III, 5.57% Perpetual Bonds(7,11) 11,000,000 10,271,250
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds,
Series K(11) 3,296,000 3,600,880
Zions Bancorp, 4.50% Sr. Unsec. Unsub. Nts., 3/27/17 2,805,000 2,818,453
-----------
33,733,871
CONSUMER FINANCE--0.4%
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 1,577,000 1,638,716
Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 2,295,000 2,933,859
SLM Corp., 6.25% Sr. Nts., 1/25/16 2,431,000 2,473,543
-----------
7,046,118
DIVERSIFIED FINANCIAL SERVICES--1.3%
Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts.,
1/24/22 1,694,000 1,804,356
Citigroup, Inc.:
4.45% Sr. Unsec. Unsub. Nts., 1/10/17 1,757,000 1,814,661
6.125% Sr. Unsec. Unsub. Nts., 11/21/17 2,619,000 2,837,865
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series
1(11) 9,712,000 10,568,462
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 2,285,000 2,611,629
-----------
19,636,973
INSURANCE--2.1%
American International Group, Inc.:
3.80% Unsec. Nts., 3/22/17 1,238,000 1,258,220
6.25% Jr. Sub. Bonds, 3/15/37 760,000 668,800
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec.
Bonds, 5/1/40 489,000 589,821
CNA Financial Corp.:
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 1,361,000 1,493,756
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 851,000 933,752
Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts.,
8/15/12(4) 1,538,000 1,550,103
Irish Life & Permanent Group Holdings plc, 3.60% Sr.
Unsec. Unsub. Nts., 1/14/13(4) 1,130,000 1,100,793
Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(4) 2,406,000 2,486,033
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds,
4/20/67 3,280,000 2,993,000
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 5,000,000 6,875,000
Prudential Covered Trust 2012-1, 2.997% Sec. Nts.,
9/30/15(4) 2,078,000 2,112,453
17 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
INSURANCE CONTINUED
Swiss Re Capital I LP, 6.854% Perpetual Bonds(4,11) $ 3,339,000 $ 3,077,573
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 2,650,000 2,902,823
Willis Group Holdings plc, 5.75% Sr. Unsec. Unsub. Nts.,
3/15/21 1,530,000 1,697,163
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds,
5/9/37(2,7) 2,966,000 2,869,605
-----------
32,608,895
REAL ESTATE INVESTMENT TRUSTS--0.5%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 440,000 463,442
7% Sr. Unsec. Nts., 10/15/17 1,409,000 1,649,054
CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 1,482,000 1,526,903
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 1,625,000 1,682,216
National Retail Properties, Inc., 6.25% Sr. Unsec.
Unsub. Nts., 6/15/14 1,115,000 1,193,934
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr.
Unsec. Nts., 6/2/14(4) 1,426,000 1,564,533
-----------
8,080,082
HEALTH CARE--0.6%
BIOTECHNOLOGY--0.3%
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22 1,562,000 1,597,978
Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 1,053,000 1,196,801
Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41 840,000 980,130
-----------
3,774,909
HEALTH CARE PROVIDERS & SERVICES--0.2%
Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/22(4) 1,110,000 1,154,996
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 854,000 1,133,101
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 1,086,000 1,233,528
-----------
3,521,625
PHARMACEUTICALS--0.1%
Mylan, Inc., 6% Sr. Nts., 11/15/18(4) 1,791,000 1,858,163
INDUSTRIALS--1.2%
AEROSPACE & DEFENSE--0.1%
United Technologies Corp., 3.10% Sr. Unsec. Unsub. Nts.,
6/1/22(6) 1,075,000 1,119,609
COMMERCIAL SERVICES & SUPPLIES--0.1%
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 1,691,000 1,830,508
INDUSTRIAL CONGLOMERATES--0.3%
General Electric Capital Corp.:
4.25% Sr. Unsec. Nts., Series A, 6/15/12 1,490,000 1,491,480
5.25% Sr. Unsec. Nts., 10/19/12 260,000 264,656
6.375% Unsec. Sub. Bonds, 11/15/67 3,251,000 3,352,594
-----------
5,108,730
MACHINERY--0.4%
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(4) 1,707,000 1,788,083
ITT Corp., 7.375% Unsec. Debs., 11/15/15 1,093,000 1,255,577
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 826,000 918,030
Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 1,184,000 1,234,448
18 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
MACHINERY CONTINUED
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/17(4) $1,426,000 $ 1,561,470
-----------
6,757,608
PROFESSIONAL SERVICES--0.1%
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 1,480,000 1,565,100
ROAD & RAIL--0.2%
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 513,000 584,354
Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub.
Nts., 2/1/18 1,501,000 1,681,120
-----------
2,265,474
INFORMATION TECHNOLOGY--0.7%
COMMUNICATIONS EQUIPMENT--0.1%
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts.,
3/15/41 686,000 817,773
COMPUTERS & PERIPHERALS--0.1%
Hewlett-Packard Co., 4.65% Sr. Unsec. Nts., 12/9/21 1,253,000 1,302,314
ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts.,
3/1/21 1,717,000 1,809,572
Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 634,000 655,345
-----------
2,464,917
OFFICE ELECTRONICS--0.1%
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 1,571,000 1,634,305
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.1%
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts.,
8/1/20 1,411,000 1,520,353
SOFTWARE--0.2%
BMC Software, Inc., 4.25% Sr. Unsec. Nts., 2/15/22 1,329,000 1,363,482
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 1,956,000 2,061,489
-----------
3,424,971
MATERIALS--1.3%
CHEMICALS--0.3%
Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 787,000 970,739
Airgas, Inc., 3.25% Sr. Nts., 10/1/15 2,867,000 2,998,257
Mosaic Co. (The), 4.875% Sr. Unsec. Unsub. Nts., 11/15/41 1,043,000 1,116,757
-----------
5,085,753
CONTAINERS & PACKAGING--0.3%
Crown Americas LLC/Crown Americas Capital Corp. II I,
6.25% Sr. Unsec. Nts., 2/1/21 1,562,000 1,698,675
Rock-Tenn Co., 4.90% Sr. Unsec. Nts., 3/1/22(4) 563,000 585,285
Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/21(4) 1,355,000 1,497,275
-----------
3,781,235
METALS & MINING--0.6%
ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22 870,000 865,840
Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub.
Nts., 10/1/40 431,000 458,899
Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec.
Nts., 3/1/22 1,149,000 1,142,852
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 2,519,000 2,871,471
Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 1,625,000 1,651,117
19 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- -----------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
METALS & MINING CONTINUED
Xstrata Canada Corp.:
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 $ 1,190,000 $ 1,292,486
6% Sr. Unsec. Unsub. Nts., 10/15/15 1,317,000 1,469,826
7.25% Sr. Unsec. Unsub. Nts., 7/15/12 168,000 169,228
-----------
9,921,719
PAPER & FOREST PRODUCTS--0.1%
International Paper Co., 6% Sr. Unsec. Unsub. Nts.,
11/15/41 696,000 770,770
TELECOMMUNICATION SERVICES--1.0%
DIVERSIFIED TELECOMMUNICATION SERVICES--0.9%
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 2,067,000 2,573,616
British Telecommunications plc, 9.875% Bonds, 12/15/30 1,010,000 1,533,892
CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42 1,236,000 1,183,947
Frontier Communications Corp., 8.25% Sr. Unsec. Nts.,
4/15/17 1,732,000 1,796,950
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub.
Nts., 6/4/38 1,973,000 1,746,105
Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts.,
2/16/21 2,361,000 2,113,655
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts.,
2/15/38 982,000 1,269,395
Vivendi SA, 4.75% Sr. Unsec. Nts., 4/12/22(4) 150,000 147,051
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 1,536,000 1,643,520
-----------
14,008,131
WIRELESS TELECOMMUNICATION SERVICES--0.1%
America Movil SAB de CV, 6.125% Sr. Unsec. Unsub. Nts.,
3/30/40 748,000 900,601
UTILITIES--0.7%
ELECTRIC UTILITIES--0.5%
Edison International, 3.75% Sr. Unsec. Unsub. Nts.,
9/15/17 2,254,000 2,388,196
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts.,
8/15/13 1,659,000 1,686,588
Oncor Electric Delivery Co., 7% Debs., 9/1/22 280,000 344,807
Oncor Electric Delivery Co. LLC, 4.10% Sr. Sec. Nts.,
6/1/22(4) 314,000 319,796
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(4) 2,585,000 2,843,916
-----------
7,583,303
ENERGY TRADERS--0.1%
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 1,575,000 1,664,868
GAS UTILITIES--0.1%
Southwest Gas Corp., 3.875% Sr. Unsec. Unsub. Nts.,
4/1/22 1,110,000 1,181,239
-----------
Total Non-Convertible Corporate Bonds and Notes
(Cost $295,960,949) 309,288,521
CONVERTIBLE CORPORATE BONDS AND NOTES--4.3%
Advanced Micro Devices, Inc., 6% Cv. Sr. Unsec. Nts.,
5/1/15 12,210,000 12,347,355
Alcatel-Lucent USA, Inc., 2.75% Cv. Sr. Unsec. Unsub.
Debs., Series B, 6/15/25 15,662,000 15,485,803
Amylin Pharmaceuticals, Inc., 3% Cv. Sr. Unsec. Nts.,
6/15/14 13,000,000 13,211,250
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/29 4,925,000 5,152,781
Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/37(7) 12,000,000 11,835,000
LifePoint Hospitals, Inc.:
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 4,000,000 4,020,000
20 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
PRINCIPAL
AMOUNT VALUE
----------- ------------
CONVERTIBLE CORPORATE BONDS AND NOTES CONTINUED
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 $ 5,000,000 $ 5,125,000
-----------
Total Convertible Corporate Bonds and Notes
(Cost $61,262,287) 67,177,189
STRUCTURED SECURITIES--0.9%
Barclays Bank plc, Hewlett-Packard Co. Equity Linked Nts. 408,497 9,238,160
Deutsche Bank AG, London Branch, Allegheny Technologies,
Inc. Equity Linked Nts.(2) 92,064 4,450,374
-----------
Total Structured Securities (Cost $14,966,860) 13,688,534
EVENT-LINKED BONDS--0.6%
Calypso Capital Ltd. Catastrophe Linked Nts., Series
2010-1, Cl. A, 4.30%, 1/10/14(4,7) 2,041,000 2,533,616
Foundation Re III Ltd. Catastrophe Linked Nts., Series
1-A, 5.75%, 2/3/14(4,7) 2,100,000 2,045,820
Longpoint Re Ltd. Catastrophe Linked Nts., 5.481%,
12/24/12(4,7) 1,606,000 1,568,580
Midori Ltd. Catastrophe Linked Nts., 3.217%,
10/24/12(4,7) 3,000,000 2,994,600
-----------
Total Event-Linked Bonds (Cost $9,525,422) 9,142,616
EXPIRATION STRIKE
DATE PRICE CONTRACTS
---------- -------- ---------
OPTIONS PURCHASED--0.0%
Apple, Inc. Call(1) 6/18/12 $610.000 100 30,000
Goldman Sachs Group, Inc. (The)
Call(1) 7/23/12 115.000 200 10,000
Standard & Poor's Depositary
Receipts Trust/Standard & Poor's
500 Exchange Traded Funds,
Series 1 Call(1) 6/18/12 145.000 2,750 5,500
U.S. Treasury Nts., 10 yr.
Futures 9/19/12 Call(1) 6/25/12 133.000 100 132,813
U.S. Treasury Nts., 10 yr.
Futures, 9/19/12 Call(1) 6/25/12 134.000 250 183,594
U.S. Treasury Nts., 10 yr.
Futures, 9/19/12 Call(1) 7/30/12 133.000 75 127,734
U.S. Treasury Nts., 10 yr.
Futures, 9/19/12 Call(1) 7/30/12 134.000 150 168,750
--------
Total Options Purchased (Cost $1,360,818) 658,391
SWAPTION NOTIONAL
EXPIRATION DATE AMOUNT
--------------- ------------
SWAPTIONS PURCHASED--0.3%
Goldman Sachs Group, Inc. (The),
Swap Counterparty, Interest Rate
Swaption (European); Swap Terms:
Paid: 4%; Received: Three-Month
BBA LIBOR; Termination Date:
11/28/24(1) 11/26/14 $ 50,000,000 729,892
21 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
SWAPTION NOTIONAL
EXPIRATION DATE AMOUNT VALUE
--------------- ------------ ----------
SWAPTIONS PURCHASED CONTINUED
Goldman Sachs Group, Inc. (The),
Swap Counterparty, Interest Rate
Swaption (European); Swap Terms:
Paid: 5.28%; Received:
Three-Month BBA LIBOR;
Termination Date: 10/19/25(1) 10/16/15 $ 11,666,666 $ 131,188
Goldman Sachs Group, Inc. (The),
Swap Counterparty, Interest Rate
Swaption (European); Swap Terms:
Paid: 5.445%; Received:
Three-Month BBA LIBOR;
Termination Date: 11/9/25(1) 11/6/15 11,666,666 123,773
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate
Swaption (European); Swap Terms:
Paid: 4%; Received: Three-Month
BBA LIBOR; Termination Date:
2/26/25(1) 2/25/15 50,000,000 896,531
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate
Swaption (European); Swap Terms:
Paid: 4.50%: Received:
Three-Month BBA LIBOR;
Termination Date: 2/28/27(1) 2/27/17 50,000,000 1,298,448
JPMorgan Chase Bank NA, Swap
Counterparty, Interest Rate
Swaption; Paid: 4%; Received:
Three-Month BBA LIBOR;
Termination Date: 12/3/24(1) 12/2/14 50,000,000 740,654
----------
Total Swaptions Purchased (Cost $7,992,500) 3,920,486
SHARES
-----------
INVESTMENT COMPANIES--22.8%
Oppenheimer Institutional Money Market Fund, Cl. E,
0.21%(12,13) 195,880,901 195,880,901
Oppenheimer Master Loan Fund, LLC(12) 11,000,141 136,565,148
Oppenheimer Short Duration Fund, Cl. Y(12) 2,006,944 20,109,577
---------------
Total Investment Companies (Cost $353,200,232) 352,555,626
TOTAL INVESTMENTS, AT VALUE (COST $1,699,377,195) 115.1% 1,782,915,104
LIABILITIES IN EXCESS OF OTHER ASSETS (15.1) (233,436,640)
----------- ---------------
NET ASSETS 100.0% $ 1,549,478,464
=========== ===============
Footnotes to Statement of Investments
1. Non-income producing security.
22 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
2. Restricted security. The aggregate value of restricted securities as of May
31, 2012 was $86,366,697, which represents 5.57% 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 2007-1 A,
Cl. G1, 0.509%, 6/15/32 7/28/10-10/21/10 $ 28,304,440 $27,670,602 $ (633,838)
Airspeed Ltd., Airplane Receivables, Series 2007-1A,
Cl. G2, 0.519%, 6/15/32 4/8/11 10,154,216 9,513,954 (640,262)
Blade Engine Securitization Ltd., Asset-Backed
Certificates, Series 2006-1A, Cl. B, 3.239%, 9/15/41 11/10/09 6,052,960 7,175,955 1,122,995
Bond Street Holdings LLC, Cl. A 11/4/09 5,700,000 5,557,500 (142,500)
Deutsche Bank AG, London Branch, Allegheny
Technologies, Inc. Equity Linked Nts. 1/5/12 4,966,853 4,450,374 (516,479)
NuCO2 Funding LLC, Asset-Backed Nts., Series 2008-1A,
Cl. A1, 7.25%, 6/25/38 1/25/11 26,841,130 26,125,000 (716,130)
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50%
Sr. Sec. Nts., 9/30/14 7/16/09-2/16/12 1,502,561 1,585,113 82,552
Santander Drive Auto Receivables Trust 2011-S1A,
Automobile Receivables Nts., Series 2011-S1A, Cl. D,
3.10%, 5/15/17 2/4/11-2/9/12 1,423,498 1,418,594 (4,904)
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 2/24/11-2/23/12 2,908,304 2,869,605 (38,699)
------------ ----------- --------------
$ 87,853,962 $86,366,697 $ (1,487,265)
============ =========== ==============
3. All or a portion of the security position is held in segregated accounts and
pledged to cover margin requirements with respect to outstanding written
options. The aggregate market value of such securities is $25,508,015. See
accompanying Notes.
4. Represents securities sold under Rule 144A, which are exempt from
registration under the Securities Act of 1933, as amended. These securities have
been determined to be liquid under guidelines established by the Board of
Trustees. These securities amount to $102,290,808 or 6.60% of the Fund's net
assets as of May 31, 2012.
5. All or a portion of the security position is held in accounts at a futures
clearing merchant and pledged to cover margin requirements on open futures
contracts and written options on futures, if applicable. The aggregate market
value of such securities is $651,471. See accompanying Notes.
6. All or a portion of the security position is when-issued or delayed delivery
to be delivered and settled after May 31, 2012. 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
$19,454,693 or 1.26% of the Fund's net assets as of May 31, 2012.
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 $328,629 or 0.02% of the Fund's net assets as of May
31, 2012.
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.
23 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
12. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended May 31, 2012, 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 MAY 31, 2012
------------------- ------------- ------------- ---------------
Oppenheimer Institutional Money Market Fund, Cl. E 286,727,498 321,449,732 412,296,329 195,880,901
Oppenheimer Master Loan Fund, LLC. 6,879,066 4,121,075 - 11,000,141
Oppenheimer Short Duration Fund, Cl. Y 1,000,000 1,006,944 - 2,006,944
REALIZED
VALUE INCOME LOSS
------------- ------------- ---------------
Oppenheimer Institutional Money Market Fund, Cl. E $ 195,880,901 $ 348,167 $ -
Oppenheimer Master Loan Fund, LLC. 136,565,148 5,813,644(a) 1,768,941(a)
Oppenheimer Short Duration Fund, Cl. Y 20,109,577 80,979 -
------------- ------------- ---------------
$ 352,555,626 $ 6,242,790 $ 1,768,941
============= ============= ===============
a. Represents the amount allocated to the Fund from Oppenheimer Master Loan
Fund, LLC.
13. Rate shown is the 7-day yield as of May 31, 2012.
Foreign Currency Exchange Contracts as of May 31, 2012 are as follows:
COUNTERPARTY/ CONTRACT AMOUNT EXPIRATION UNREALIZED
CONTRACT DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION
--------------------- ------------ ------------------- ------------ ------------ --------------
Bank of America
Euro (EUR) Sell 2,555 EUR 8/17/12 $ 3,161,284 $ 110,184
FUTURES CONTRACTS AS OF MAY 31, 2012 ARE AS FOLLOWS:
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
-------------------------------- ------------ ------------- -------------- ------------- ------------------
Euro-BTP Sell 20 6/7/12 $ 2,461,637 $ 131,723
Euro-OAT Sell 20 6/7/12 3,280,452 (206,998)
U.S. Treasury Long Bonds Buy 282 9/19/12 42,220,688 720,940
U.S. Treasury Nts., 2 yr. Sell 333 9/28/12 73,395,281 (39,593)
U.S. Treasury Nts., 5 yr. Sell 390 9/28/12 48,433,125 (177,764)
U.S. Treasury Nts., 10 yr. Buy 388 9/19/12 51,967,750 320,588
U.S. Treasury Ultra Bonds Buy 201 9/19/12 33,969,000 942,265
------------------
$ 1,691,161
==================
WRITTEN OPTIONS AS OF MAY 31, 2012 ARE AS FOLLOWS:
UNREALIZED
NUMBER OF EXERCISE EXPIRATION PREMIUMS APPRECIATION/
DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE (DEPRECIATION)
-------------------------------- -------- ----------- ---------- ------------ ---------- --------- --------------
Apple, Inc. Call 100 $ 670.000 6/18/12 $ 144,319 $ (2,100) $ 142,219
Apple, Inc. Put 50 610.000 6/18/12 174,860 (176,750) (1,890)
Goldman Sachs Group, Inc. (The) Call 200 125.000 7/23/12 65,394 (3,400) 61,994
Goldman Sachs Group, Inc. (The) Put 100 115.000 7/23/12 69,696 (200,000) (130,304)
---------- --------- -------------
$ 454,269 $(382,250) $ 72,019
========== ========= =============
24 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
CREDIT DEFAULT SWAP CONTRACTS AS OF MAY 31, 2012 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)
-------------------------------- ----------- --------- ------- ----------- ----------- ---------- --------------
GERMANY (FEDERAL REPUBLIC OF):
Goldman Sachs International Buy $ 50,000 0.25% 9/20/15 $ (596,126) $ 716,549 $ 120,423
Goldman Sachs International Buy 25,000 0.25 12/20/16 (815,797) 770,518 (45,279)
--------- ----------- ---------- -------------
Total 75,000 (1,411,923) 1,487,067 75,144
ITRAXX EUROPE SUB FINANCIALS,
SERIES 14
Barclays Bank plc Buy 24,000 EUR 1.00 12/20/15 (2,393,070) 3,664,129 1,271,059
--------- ----------- ---------- -------------
Total 24,000 EUR (2,393,070) 3,664,129 1,271,059
----------- ---------- -------------
Grand Total Buys (3,804,993) 5,151,196 1,346,203
Grand Total Sells - - -
----------- ---------- -------------
Total Credit Default Swaps $(3,804,993) $5,151,196 $ 1,346,203
=========== ========== =============
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 MAY 31, 2012 IS AS FOLLOWS:
NOTIONAL
SWAP TYPE FROM AMOUNT
SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE
-------------------------- ------------------------------ -------- -------------
Barclays Bank plc Credit Default Buy Protection 24,000 EUR $ 3,664,129
Goldman Sachs International Credit Default Buy Protection 75,000 1,487,067
-------------
Total Swaps $ 5,151,196
=============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in
the following currency:
EUR Euro
NOTES TO STATEMENT OF INVESTMENTS
STRUCTURED SECURITIES. The Fund invests in structured securities whose market
values, interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured securities are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations in the annual and semiannual reports. The
Fund records a realized gain or loss when a structured security is sold or
matures.
EVENT-LINKED BONDS. The Fund may invest in "event-linked" bonds. Event-linked
bonds, which are sometimes referred to as "catastrophe" bonds, are fixed income
securities for which the return of principal and payment of interest is
contingent on the non-occurrence of a specific trigger event, such as a
hurricane, earthquake, or other occurrence that leads to physical or economic
loss. If the trigger event occurs prior to maturity, the Fund may lose all or a
portion of its principal in addition to interest otherwise due from the
security. Event-linked bonds may expose the Fund to certain other risks,
including issuer default, adverse regulatory or jurisdictional interpretations,
liquidity risk and adverse tax consequences. The Fund records the net change in
market value of event-linked bonds on the Statement of Operations in the annual
and semiannual reports as a change in unrealized appreciation or depreciation on
investments. The Fund records a realized gain or loss on the Statement of
Operations in the annual and semiannual reports upon the sale or maturity of
such securities.
25 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
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 May 31, 2012, 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 $261,858,773
Sold securities 14,239,341
The Fund may enter into "forward roll" transactions with respect to
mortgage-related securities. In this type of transaction, the Fund sells a
mortgage-related security to a buyer and simultaneously agrees to repurchase a
similar security (same type, coupon and maturity) at a later date at a set
price. During the period between the sale and the repurchase, the Fund will not
be entitled to receive interest and principal payments on the securities that
have been sold. The Fund records the incremental difference between the forward
purchase and sale of each forward roll as realized gain (loss) on investments or
as fee income in the case of such transactions that have an associated fee in
lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the
Fund purchases mortgage-related securities with extended settlement dates rather
than paying for the securities under a normal settlement cycle. This embedded
leverage increases the Fund's market value of investments relative to its net
assets which can incrementally increase the volatility of the Fund's
performance. Forward roll transactions can be replicated over multiple
settlement periods.
Risks of entering into forward roll transactions include the potential inability
of the counterparty to meet the terms of the agreement; the potential of the
Fund to receive inferior securities at redelivery as compared to the securities
sold to the counterparty; and counterparty credit risk.
INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted
to invest daily available cash balances in an affiliated money market fund. The
Fund may invest the available cash in Class E shares of Oppenheimer
Institutional Money Market Fund ("IMMF") to seek current income while preserving
liquidity. IMMF is a registered open-end management investment company,
regulated as a money market fund under the Investment Company Act of 1940, as
amended. The Manager is also the investment adviser of IMMF. When applicable,
the Fund's investment in IMMF is included in the Statement of Investments.
Shares of IMMF are valued at their net asset value per share. As a shareholder,
the Fund is subject to its proportional share of IMMF's Class E expenses,
including its management fee. The Manager will waive fees and/or reimburse Fund
expenses in an amount equal to the indirect management fees incurred through the
Fund's investment in IMMF.
INVESTMENT IN OPPENHEIMER MASTER FUND. The Fund is permitted to invest in
entities sponsored and/or advised by the Manager or an affiliate. Certain of
these entities in which the Fund invests are mutual funds registered under the
Investment Company Act of 1940 that expect to be treated as partnerships for tax
purposes, specifically Oppenheimer Master Loan Fund, LLC (the "Master Fund").
The Master Fund has its own investment risks, and those risks can affect the
value of the Fund's investments and therefore the value of the Fund's shares. To
the extent that the Fund invests more of its assets in the Master Fund, the Fund
will have greater exposure to the risks of the Master Fund.
26 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
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.
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.
The Fund's Board has adopted procedures for the valuation of the Fund's
securities and has delegated the day-to-day responsibility for valuation
determinations under those procedures to the Manager. The Manager has
established a Valuation Committee which is responsible for determining a "fair
valuation" for any security for which market quotations are not "readily
available." The Valuation Committee's fair valuation determinations are subject
to review, approval and ratification by the Fund's Board at its next regularly
scheduled meeting covering the calendar quarter in which the fair valuation was
determined.
Valuation Methods and inputs
Securities are valued using unadjusted quoted market prices, when available, as
supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair
value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including
exchange-traded derivatives other than futures and futures options) 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. 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
security of a foreign issuer traded on a foreign exchange but not listed on a
registered U.S. securities exchange is valued based on the last sale price on
the principal exchange on which the security is traded, as identified by the
third party pricing service used by the Manager, prior to the time when the
Fund's assets are valued. If the last sale price is unavailable, the security is
valued at the most recent official closing price on the principal exchange on
which it is traded. If the last sales price or official closing price for a
foreign security is not available, the security is valued at the mean between
the bid and asked price per the exchange or, if not available from the exchange,
obtained from two dealers. If bid and asked prices are not available from either
the exchange or two dealers, the security is valued by using one of the
following methodologies (listed in order of priority); (1) using a bid from the
exchange, (2) the mean between the bid and asked price as provided by a single
dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are
valued at that investment company's net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and
municipal debt securities, event-linked bonds, loans, mortgage-backed
securities, collateralized mortgage obligations, and asset-backed securities are
valued at the mean between the "bid" and "asked" prices utilizing evaluated
prices obtained from third party pricing services or broker-dealers who may use
matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity 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.
Short-term debt securities
27 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
with a remaining maturity in excess of sixty days are valued at the mean between
the "bid" and "asked" prices utilizing evaluated prices obtained from third
party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives
are valued utilizing evaluated prices obtained from third party pricing services
or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and
forward currency rates obtained from third party pricing services. When the
settlement date of a contract is an interim date for which a quotation is not
available, interpolated values are derived using the nearest dated forward
currency rate.
Futures contracts and futures options 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.
A description of the standard inputs that may generally be considered by the
third party pricing vendors in determining their evaluated prices is provided
below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS
-------------------------------- -------------------------------------------------------------------
Corporate debt, government debt, Reported trade data, broker-dealer price quotations, benchmark
municipal, mortgage-backed and yields, issuer spreads on comparable securities, the credit
asset-backed securities quality, yield, maturity, and other appropriate factors.
Loans Information obtained from market participants regarding reported
trade data and broker-dealer price quotations.
Event-linked bonds Information obtained from market participants regarding reported
trade data and broker-dealer price quotations.
Structured securities Relevant market information such as the price of underlying
financial instruments, stock market indices, foreign currencies,
interest rate spreads, commodities, or the occurrence of other
specific events.
Swaps Relevant market information, including underlying reference
assets such as credit spreads, credit event probabilities, index
values, individual security values, forward interest rates,
variable interest rates, volatility measures, and forward
currency rates.
If a market value or price cannot be determined for a security using the
methodologies described above, or if, in the "good faith" opinion of the
Manager, the market value or price obtained does not constitute a "readily
available market quotation," or a significant event has occurred that would
materially affect the value of the security the security is fair valued either
(i) by a standardized fair valuation methodology applicable to the security type
or the significant event as previously approved by the Valuation Committee and
the Fund's Board or (ii) as determined in good faith by the Manager's Valuation
Committee. The Valuation Committee considers all relevant facts that are
reasonably available, through either public information or information available
to the Manager, when determining the fair value of a security. Fair value
determinations by the Manager are subject to review, approval and ratification
by the Fund's Board at its next regularly scheduled meeting covering the
calendar quarter in which the fair valuation was determined. Those fair
valuation standardized methodologies include, but are not limited to, valuing
securities at the last sale price or 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 further adjusted for any discounts related to
security-specific 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 nor can it be assured that the
Fund can obtain the fair value assigned to a security if it were to sell the
security.
To assess the continuing appropriateness of security valuations, the Manager, or
its third party service provider who is subject to oversight by the Manager,
regularly compares prior day prices, prices on comparable securities, and sale
prices to the current day
28 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
prices and challenges those prices exceeding certain tolerance levels with the
third party pricing service or broker source. For those securities valued by
fair valuations, whether through a standardized fair valuation methodology or a
fair valuation determination, the Valuation Committee reviews and affirms the
reasonableness of the valuations based on such methodologies and fair valuation
determinations on a regular basis after considering all relevant information
that is reasonably available.
Classifications
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. 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 inputs used for valuing securities are not necessarily an indication of the
risks associated with investing in those securities.
The table below categorizes amounts as of May 31, 2012 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 $ 35,269,370 $ -- $ -- $ 35,269,370
Consumer Staples 53,275,615 -- -- 53,275,615
Energy 43,466,898 9,869,008 -- 53,335,906
Financials 70,591,281 7,312,500 -- 77,903,781
Health Care 53,964,265 -- -- 53,964,265
Industrials 38,335,586 -- -- 38,335,586
Information Technology 69,877,946 -- -- 69,877,946
Materials 14,811,022 -- -- 14,811,022
Telecommunication Services 7,944,525 -- -- 7,944,525
Utilities 18,328,610 -- -- 18,328,610
Preferred Stocks -- 19,206,273 -- 19,206,273
Rights, Warrants and Certificates 772,970 -- -- 772,970
Mortgage-Backed Obligations -- 417,300,386 -- 417,300,386
Asset-Backed Securities -- 145,088,661 -- 145,088,661
U.S. Government Obligations -- 21,068,825 -- 21,068,825
Non-Convertible Corporate Bonds and Notes -- 309,288,521 -- 309,288,521
Convertible Corporate Bonds and Notes -- 67,177,189 -- 67,177,189
Structured Securities -- 13,688,534 -- 13,688,534
Event-Linked Bonds -- 9,142,616 -- 9,142,616
Options Purchased 658,391 -- -- 658,391
Swaptions Purchased -- 3,920,486 -- 3,920,486
Investment Companies 215,990,478 136,565,148 -- 352,555,626
--------------- ------------------- -------------- ---------------
Total Investments, at Value 623,286,957 1,159,628,147 -- 1,782,915,104
29 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
OTHER FINANCIAL INSTRUMENTS:
Foreign currency exchange contracts -- 110,184 -- 110,184
Futures margins 447,581 -- -- 447,581
Appreciated swaps, at value -- 4,380,678 -- 4,380,678
Depreciated swaps, at value -- 770,518 770,518
--------------- ------------------- -------------- ---------------
Total Assets $ 623,734,538 $ 1,164,889,527 $ -- $ 1,788,624,065
--------------- ------------------- -------------- ---------------
LIABILITIES TABLE
OTHER FINANCIAL INSTRUMENTS:
Futures margins $ (90,062) $ -- $ -- $ (90,062)
Appreciated options written, at value (5,500) -- -- (5,500)
Depreciated options written, at value (376,750) -- -- (376,750)
--------------- ------------------- -------------- ---------------
Total Liabilities $ (472,312) $ -- $ -- $ (472,312)
--------------- ------------------- -------------- ---------------
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 in the annual and
semiannual reports included in the above table are reported at their market
value at measurement date.
The table below shows the significant transfers between Level 1 and Level 2. The
Fund's policy is to recognize transfers in and transfers out as of the beginning
of the reporting period.
TRANSFERS OUT OF LEVEL 1* TRANSFERS INTO LEVEL 2*
-------------------------- ----------------------------- ---------------------------
ASSETS TABLE
INVESTMENTS, AT VALUE:
Common Stocks
Energy $ (10,327,894) $ 10,327,894
----------------------------- ---------------------------
Total Assets $ (10,327,894) $ 10,327,894
----------------------------- ---------------------------
* Transferred from Level 1 to Level 2 because of the absence of a readily
available unadjusted quoted market price due to a significant event
occurring before the Fund's assets were valued but after the close of the
securities' respective exchanges.
There have been no significant changes to the fair valuation methodologies of
the Fund during the period.
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:
30 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
COMMODITY RISK. Commodity risk relates to the change in value of
commodities or commodity indexes as they relate to increases or decreases
in the commodities market. Commodities are physical assets that have
tangible properties. Examples of these types of assets are crude oil,
heating oil, metals, livestock, and agricultural products.
CREDIT RISK. Credit risk relates to the ability of the issuer to meet
interest and principal payments, or both, as they come due. In general,
lower-grade, higher-yield bonds are subject to credit risk to a greater
extent than lower-yield, higher-quality bonds.
EQUITY RISK. Equity risk relates to the change in value of equity
securities as they relate to increases or decreases in the general market.
FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the
change in the U.S. dollar value of a security held that is denominated in a
foreign currency. The U.S. dollar value of a foreign currency denominated
security will decrease as the dollar appreciates against the currency,
while the U.S. dollar value will increase as the dollar depreciates against
the currency.
INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value
of fixed-income securities resulting from the inverse relationship between
price and yield. For example, an increase in general interest rates will
tend to reduce the market value of already issued fixed-income investments,
and a decline in general interest rates will tend to increase their value.
In addition, debt securities with longer maturities, which tend to have
higher yields, are subject to potentially greater fluctuations in value
from changes in interest rates than obligations with shorter maturities.
VOLATILITY RISK. Volatility risk refers to the magnitude of the movement,
but not the direction of the movement, in a financial instrument's price
over a defined time period. Large increases or decreases in a financial
instrument's price over a relative time period typically indicate greater
volatility risk, while small increases or decreases in its price typically
indicate lower volatility risk.
The Fund's actual exposures to these market risk factors during the period are
discussed in further detail, by derivative type, below.
RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in
losses due to unanticipated changes in the market risk factors and the overall
market. In instances where the Fund is using derivatives to decrease, or hedge,
exposures to market risk factors for securities held by the Fund, there are also
risks that those derivatives may not perform as expected resulting in losses for
the combined or hedged positions.
Derivatives may have little or no initial cash investment relative to their
market value exposure and therefore can produce significant gains or losses in
excess of their cost. This use of embedded leverage allows the Fund to increase
its market value exposure relative to its net assets and can substantially
increase the volatility of the Fund's performance.
Additional associated risks from investing in derivatives also exist and
potentially could have significant effects on the valuation of the derivative
and the Fund. Typically, the associated risks are not the risks that the Fund is
attempting to increase or decrease exposure to, per its investment objectives,
but are the additional risks from investing in derivatives. Examples of these
associated risks are liquidity risk, which is the risk that the Fund will not be
able to sell the derivative in the open market in a timely manner, and
counterparty credit risk, which is the risk that the counterparty will not
fulfill its obligation to the Fund. Associated risks can be different for each
type of derivative and are discussed by each derivative type in the notes that
follow.
COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to
counterparty credit risk, which is the risk that the counterparty will not
fulfill its obligation to the Fund. The Fund's derivative counterparties
are financial institutions who are subject to market conditions that may
weaken their financial position. The Fund intends to enter into financial
transactions with counterparties that the Manager believes to be
creditworthy at the time of the transaction. As of May 31, 2012, the
maximum amount of loss that the Fund would incur if the counterparties to
its derivative transactions failed to perform would be $9,181,866, 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 $9,181,866 as of May 31,
2012. 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
31 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
contracts subject to International Swap and Derivatives Association, Inc.
master agreements. If the counterparty fails to perform under these
contracts and agreements, the cash and/or securities will be made available
to the Fund.
As of May 31, 2012 the Fund has required certain counterparties to post
collateral of $9,379,698.
CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative
counterparties have several credit related contingent features that if
triggered would allow its derivatives counterparties to close out and
demand payment or additional collateral to cover their exposure from the
Fund. Credit related contingent features are established between the Fund
and its derivatives counterparties to reduce the risk that the Fund will
not fulfill its payment obligations to its counterparties. These triggering
features include, but are not limited to, a percentage decrease in the
Fund's net assets and or a percentage decrease in the Fund's Net Asset
Value or NAV. The contingent features are established within the Fund's
International Swap and Derivatives Association, Inc. master agreements
which govern certain positions in swaps, over-the-counter options and
swaptions, and forward currency exchange contracts for each individual
counterparty.
FOREIGN CURRENCY EXCHANGE CONTRACTS
The Fund may enter into foreign currency exchange contracts ("forward
contracts") for the purchase or sale of a foreign currency at a negotiated rate
at a future date.
Forward contracts are reported on a schedule following the Statement of
Investments. The 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 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 purchase specified foreign currencies in the future at a currently
negotiated forward rate in order to take a positive investment perspective on
the related currency. These forward foreign currency exchange contracts seek to
increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange contracts with the
obligation to sell specified foreign currencies in the future at a currently
negotiated forward rate in order to take a negative investment perspective on
the related currency. These forward foreign currency exchange contracts seek to
increase exposure to foreign exchange rate risk.
During the period ended May 31, 2012, the Fund had daily average contract
amounts on forward foreign currency contracts to buy and sell of $112,244 and
$4,501,239, 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.
32 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Upon entering into a futures contract, the Fund is required to deposit either
cash or securities (initial margin) in an amount equal to a certain percentage
of the contract value. Subsequent payments (variation margin) are made or
received by the Fund each day. The variation margin payments are equal to the
daily changes in the contract value and are recorded as unrealized gains and
losses.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker to cover initial margin requirements on
open futures contracts and the receivable and/or payable for the daily mark to
market for the variation margin are noted in the Statement of Assets and
Liabilities in the annual and semiannual reports. The net change in unrealized
appreciation and depreciation is reported in the Statement of Operations in the
annual and semiannual reports. Realized gains (losses) are reported in the
Statement of Operations in the annual and semiannual reports at the closing or
expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase
exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease
exposure to interest rate risk.
During the period ended May 31, 2012, the Fund had an ending monthly average
market value of $128,786,797 and $141,649,221 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 and/or euro 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.
The Fund has purchased call options on volatility indexes to increase exposure
to volatility risk. A purchased call option becomes more valuable as the level
of the underlying volatility index increases relative to the strike price.
During the period ended May 31, 2012, the Fund had an ending monthly average
market value of $1,431,495 and $145,800 on purchased call options and purchased
put options, respectively.
33 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
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.
The Fund has written put options on volatility indexes to increase exposure to
volatility risk. A written put option becomes more valuable as the level of the
underlying volatility index increases relative to the strike price.
During the period ended May 31, 2012, the Fund had an ending monthly average
market value of $158,898 and $168,313 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 May 31, 2012 was as follows:
CALL OPTIONS PUT OPTIONS
--------------------------- ----------------------------
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
------------------------------------------- ------------ ------------- ------------- -------------
Options outstanding as of August 31, 2011 -- $ -- -- $ --
Options written 3,050 628,949 2,650 985,739
Options closed or expired (2,000) (237,756) (2,400) (669,987)
Options exercised (750) (181,480) (100) (71,196)
------------ ------------- ------------- -------------
Options outstanding as of May 31, 2012 300 $ 209,713 150 $ 244,556
============ ============= ============= =============
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
34 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
and semiannual reports. The Fund also records any periodic payments received
from (paid to) the counterparty, including at termination, under such contracts
as realized gain (loss) on the Statement of Operations in the annual and
semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific
underlying reference asset. Swap contracts are typically more attractively
priced compared to similar investments in related cash securities because they
isolate the risk to one market risk factor and eliminate the other market risk
factors. Investments in cash securities (for instance bonds) have exposure to
multiple risk factors (credit and interest rate risk). Because swaps require
little or no initial cash investment, they can expose the Fund to substantial
risk in the isolated market risk factor.
CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral
contract that enables an investor to buy or sell protection on a debt
security against a defined-issuer credit event, such as the issuer's
failure to make timely payments of interest or principal on the debt
security, bankruptcy or restructuring. The Fund may enter into credit
default swaps either by buying or selling protection on a single security
or a basket of securities (the "reference asset").
The buyer of protection pays a periodic fee to the seller of protection
based on the notional amount of debt securities underlying the swap
contract. The seller of protection agrees to compensate the buyer of
protection for future potential losses as a result of a credit event on the
reference asset. The contract effectively transfers the credit event risk
of the reference asset from the buyer of protection to the seller of
protection.
The ongoing value of the contract will fluctuate throughout the term of the
contract based primarily on the credit risk of the reference asset. If the
credit quality of the reference asset improves relative to the credit
quality at contract initiation, the buyer of protection may have an
unrealized loss greater than the anticipated periodic fee owed. This
unrealized loss would be the result of current credit protection being
cheaper than the cost of credit protection at contract initiation. If the
buyer elects to terminate the contract prior to its maturity, and there has
been no credit event, this unrealized loss will become realized. If the
contract is held to maturity, and there has been no credit event, the
realized loss will be equal to the periodic fee paid over the life of the
contract.
If there is a credit event, the buyer of protection can exercise its rights
under the contract and receive a payment from the seller of protection
equal to the notional amount of the reference asset less the market value
of the reference asset. Upon exercise of the contract the difference
between the value of the underlying reference asset and the notional amount
is recorded as realized gain (loss) and is included on the Statement of
Operations in the annual and semiannual reports.
The Fund has purchased credit protection through credit default swaps to
decrease exposure to the credit risk of individual securities and/or,
indexes.
For the period ended May 31, 2012, the Fund had ending monthly average
notional amounts of $112,841,903 on credit default swaps to buy protection.
Additional associated risks to the Fund include counterparty credit risk
and liquidity risk.
TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between
counterparties to exchange periodic payments based on asset or non-asset
references. One cash flow is typically based on a non-asset reference (such
as an interest rate or index) and the other on the total return of a
reference asset (such as a security or a basket of securities). The total
return of the reference asset typically includes appreciation or
depreciation on the reference asset, plus any interest or dividend
payments.
Total return swap contracts are exposed to the market risk factor of the
specific underlying financial instrument or index. Total return swaps are
less standard in structure than other types of swaps and can isolate
and/or, include multiple types of market risk factors including equity
risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities
or indexes to increase exposure to equity risk. These equity risk related
total return swaps require the Fund to pay a floating reference interest
rate, or an amount equal to
35 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
the negative price movement of securities or an index multiplied by the
notional amount of the contract. The Fund will receive payments equal to
the positive price movement of the same securities or index multiplied by
the notional amount of the contract.
For the period ended May 31, 2012, the Fund had ending monthly average
notional amounts of $1,407,294 on total return swaps which are long the
reference asset.
Additional associated risks to the Fund include counterparty credit risk
and liquidity risk.
As of May 31, 2012, the Fund had no such total return swaps outstanding.
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 May 31, 2012, the Fund had an ending monthly average
market value of $3,306,493 on purchased swaptions.
RESTRICTED SECURITIES
As of May 31, 2012, investments in securities included issues that are
restricted. A restricted security may have a contractual restriction on its
resale and is valued under methods approved by the Board of Trustees as
reflecting fair value. Securities that are restricted are marked with an
applicable footnote on the Statement of Investments. Restricted securities are
reported on a schedule following the Statement of Investments.
FEDERAL TAXES. The approximate aggregate cost of securities and other
investments and the composition of unrealized appreciation and depreciation of
securities and other investments for federal income tax purposes as of May 31,
2012 are noted below. The primary difference between book and tax appreciation
or depreciation of securities and other investments, if applicable, is
attributable to the tax deferral of losses.
36 | Oppenheimer Capital Income Fund
Oppenheimer Capital Income Fund
STATEMENT OF INVESTMENTS May 31, 2012 (Unaudited)
Federal tax cost of securities $ 1,705,956,292
Federal tax cost of other investments 2,246,506
----------------
Total federal tax cost $ 1,708,202,798
================
Gross unrealized appreciation $ 125,306,168
Gross unrealized depreciation (45,237,973)
----------------
Net unrealized appreciation $ 80,068,195
================
37 | 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 5/31/2012, 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: 7/10/2012
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: 7/10/2012
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: 7/10/2012
EX-99.CERT
2
g60502exv99wcert.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: 7/10/2012
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: 7/10/2012