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