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
OFI Global Asset Management, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: August 31
Date of reporting period: 5/31/2013
Item 1. Schedule of Investments.
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Shares | Value | |||||||
Common Stocks28.2% |
||||||||
Consumer Discretionary2.8% |
||||||||
Hotels, Restaurants & Leisure0.8% |
||||||||
McDonalds Corp. |
145,000 | $ | 14,002,650 | |||||
|
|
|||||||
Media1.6% |
||||||||
Cinemark Holdings, Inc. |
528,000 | 15,491,502 | ||||||
Comcast Corp., Cl. A |
201,500 | 8,090,225 | ||||||
Time Warner Cable, Inc. |
49,500 | 4,727,745 | ||||||
|
|
|||||||
28,309,472 | ||||||||
|
|
|||||||
Multiline Retail0.3% |
||||||||
Macys, Inc. |
115,000 | 5,559,100 | ||||||
|
|
|||||||
Specialty Retail0.1% |
||||||||
Tiffany & Co. |
40,000 | 3,111,200 | ||||||
|
|
|||||||
Consumer Staples1.8% |
||||||||
Beverages0.9% |
||||||||
Coca-Cola Co. (The) |
412,000 | 16,475,880 | ||||||
|
|
|||||||
Tobacco0.9% |
||||||||
Philip Morris International, Inc., Cl. A |
184,000 | 16,727,440 | ||||||
|
|
|||||||
Energy3.3% |
||||||||
Energy Equipment & Services0.6% |
||||||||
Baker Hughes, Inc. |
111,300 | 5,061,924 | ||||||
Schlumberger Ltd. |
63,000 | 4,600,890 | ||||||
|
|
|||||||
9,662,814 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels2.7% |
||||||||
Apache Corp. |
46,500 | 3,819,045 | ||||||
Chevron Corp. |
126,100 | 15,478,775 | ||||||
Enbridge Energy Management LLC1 |
1 | 3 | ||||||
EOG Resources, Inc. |
40,000 | 5,164,000 | ||||||
Exxon Mobil Corp. |
137,000 | 12,394,390 | ||||||
Kinder Morgan Management LLC1 |
1 | 29 | ||||||
Kinder Morgan, Inc. |
97,000 | 3,684,060 | ||||||
Noble Energy, Inc.1 |
43,000 | 2,478,950 | ||||||
Royal Dutch Shell plc, B Shares |
175,953 | 6,078,972 | ||||||
|
|
|||||||
49,098,224 | ||||||||
|
|
|||||||
Financials4.6% |
||||||||
Capital Markets0.1% |
||||||||
Goldman Sachs Group, Inc. (The) |
13,000 | 2,107,040 | ||||||
|
|
|||||||
Commercial Banks1.2% |
||||||||
Bond Street Holdings LLC, Cl. A1,2 |
285,000 | 3,990,000 | ||||||
Bond Street Holdings LLC, Cl. B, Non-Vtg.1 |
90,000 | 1,260,000 | ||||||
M&T Bank Corp. |
136,000 | 14,266,400 | ||||||
Wells Fargo & Co. |
40,630 | 1,647,547 | ||||||
|
|
|||||||
21,163,947 | ||||||||
|
|
|||||||
Diversified Financial Services0.7% |
||||||||
Citigroup, Inc. |
230,000 | 11,957,700 | ||||||
|
|
|||||||
Insurance0.8% |
||||||||
ACE Ltd. |
85,000 | 7,622,800 | ||||||
|
|
1 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Shares | Value | |||||||
Common Stocks Continued |
||||||||
Insurance Continued |
||||||||
Alleghany Corp.1 |
20,052 | $ | 7,820,280 | |||||
|
|
|||||||
15,443,080 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs)1.8% |
||||||||
American Assets Trust, Inc. |
205,000 | 6,601,000 | ||||||
Blackstone Mortgage Trust, Inc., Cl. A1 |
75,000 | 1,977,750 | ||||||
Macerich Co. (The) |
100,000 | 6,491,000 | ||||||
Starwood Property Trust, Inc. |
655,130 | 16,620,648 | ||||||
|
|
|||||||
31,690,398 | ||||||||
|
|
|||||||
Health Care3.6% |
||||||||
Health Care Equipment & Supplies0.3% |
||||||||
Baxter International, Inc. |
35,000 | 2,461,550 | ||||||
Covidien plc |
45,000 | 2,862,000 | ||||||
|
|
|||||||
5,323,550 | ||||||||
|
|
|||||||
Health Care Providers & Services1.2% |
||||||||
HCA Holdings, Inc. |
121,550 | 4,747,743 | ||||||
UnitedHealth Group, Inc. |
185,000 | 11,586,550 | ||||||
Universal Health Services, Inc., Cl. B |
61,000 | 4,217,540 | ||||||
|
|
|||||||
20,551,833 | ||||||||
|
|
|||||||
Pharmaceuticals2.1% |
||||||||
Actavis, Inc.1 |
89,000 | 10,972,810 | ||||||
Medicines Co. (The)1 |
50,000 | 1,610,500 | ||||||
Merck & Co., Inc. |
337,000 | 15,737,900 | ||||||
Novartis AG, ADR |
78,000 | 5,597,280 | ||||||
Pfizer, Inc. |
151,400 | 4,122,622 | ||||||
|
|
|||||||
38,041,112 | ||||||||
|
|
|||||||
Industrials3.4% |
||||||||
Aerospace & Defense0.8% |
||||||||
Honeywell International, Inc. |
118,000 | 9,258,280 | ||||||
Northrop Grumman Corp. |
70,000 | 5,767,300 | ||||||
|
|
|||||||
15,025,580 | ||||||||
|
|
|||||||
Airlines0.3% |
||||||||
United Continental Holdings, Inc.1 |
180,000 | 5,842,800 | ||||||
|
|
|||||||
Commercial Services & Supplies0.5% |
||||||||
Tyco International Ltd. |
265,000 | 8,959,650 | ||||||
|
|
|||||||
Construction & Engineering0.4% |
||||||||
Quanta Services, Inc.1 |
220,000 | 6,241,400 | ||||||
|
|
|||||||
Electrical Equipment0.1% |
||||||||
Hubbell, Inc., Cl. B |
9,500 | 954,085 | ||||||
|
|
|||||||
Machinery0.3% |
||||||||
AGCO Corp. |
94,410 | 5,236,923 | ||||||
|
|
|||||||
Trading Companies & Distributors1.0% |
||||||||
AerCap Holdings NV1 |
750,000 | 12,997,500 | ||||||
Wesco International, Inc.1 |
74,000 | 5,495,240 | ||||||
|
|
|||||||
18,492,740 | ||||||||
|
|
2 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Shares | Value | |||||||
Common Stocks Continued |
||||||||
Information Technology4.1% |
||||||||
Communications Equipment1.0% |
||||||||
Cisco Systems, Inc. |
250,000 | $ | 6,020,000 | |||||
Juniper Networks, Inc.1 |
318,000 | 5,638,140 | ||||||
QUALCOMM, Inc. |
88,300 | 5,605,284 | ||||||
|
|
|||||||
17,263,424 | ||||||||
|
|
|||||||
Computers & Peripherals1.2% |
||||||||
Apple, Inc. |
36,879 | 16,583,749 | ||||||
SanDisk Corp.1 |
100,000 | 5,902,000 | ||||||
|
|
|||||||
22,485,749 | ||||||||
|
|
|||||||
Internet Software & Services0.3% |
||||||||
Yahoo!, Inc.1 |
186,500 | 4,904,950 | ||||||
|
|
|||||||
IT Services0.9% |
||||||||
Accenture plc, Cl. A |
100,000 | 8,211,000 | ||||||
International Business Machines Corp. |
39,200 | 8,154,384 | ||||||
|
|
|||||||
16,365,384 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment0.3% |
||||||||
Xilinx, Inc. |
145,000 | 5,894,250 | ||||||
|
|
|||||||
Software0.4% |
||||||||
Oracle Corp. |
189,000 | 6,380,640 | ||||||
|
|
|||||||
Materials2.3% |
||||||||
Chemicals2.3% |
||||||||
Celanese Corp., Series A |
314,000 | 15,495,900 | ||||||
Lyondellbasell Industries NV, Cl. A |
142,900 | 9,524,285 | ||||||
Mosaic Co. (The) |
280,134 | 17,037,750 | ||||||
|
|
|||||||
42,057,935 | ||||||||
|
|
|||||||
Telecommunication Services1.1% |
||||||||
Diversified Telecommunication Services1.1% |
||||||||
AT&T, Inc. |
116,250 | 4,067,588 | ||||||
BCE, Inc. |
202,000 | 9,025,360 | ||||||
Verizon Communications, Inc. |
150,000 | 7,272,000 | ||||||
|
|
|||||||
20,364,948 | ||||||||
|
|
|||||||
Utilities1.2% |
||||||||
Electric Utilities0.4% |
||||||||
Cleco Corp. |
147,000 | 6,689,970 | ||||||
|
|
|||||||
Multi-Utilities0.8% |
||||||||
CenterPoint Energy, Inc. |
281,000 | 6,513,580 | ||||||
CMS Energy Corp. |
285,000 | 7,680,750 | ||||||
|
|
|||||||
14,194,330 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $383,906,417) |
506,580,198 | |||||||
|
|
|||||||
Preferred Stocks3.1% |
||||||||
Goldman Sachs Group, Inc. (The), 3.75% Non-Cum., Series A, Non-Vtg. |
123,300 | 2,891,385 | ||||||
H.J. Heinz Finance Co., 8% Cum., Series B3,4 |
295 | 29,960,938 | ||||||
M&T Bank Corp.: |
||||||||
5% Cum., Series A, Non-Vtg. |
1,833 | 1,906,320 | ||||||
5% Cum., Series C, Non-Vtg. |
4,500 | 4,725,360 |
3 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Shares | Value | |||||||
Preferred Stocks Continued |
||||||||
M&T Capital Trust IV, 8.50% Cum., Non-Vtg. |
8,124 | $ | 210,818 | |||||
PPL Corp.: |
||||||||
8.75% Cv. |
147,000 | 7,902,720 | ||||||
9.50% Cv., Non-Vtg. |
147,000 | 7,713,090 | ||||||
|
|
|||||||
Total Preferred Stocks (Cost $55,598,265) |
55,310,631 | |||||||
|
|
|||||||
Units | ||||||||
Rights, Warrants and Certificates0.1% |
||||||||
Charter Communications, Inc., Cl. A Wts., Strike Price $46.86, Exp. 11/30/141 (Cost $192,089) |
38,418 | 2,564,402 | ||||||
Principal Amount |
||||||||
Mortgage-Backed Obligations18.9% |
||||||||
Government Agency12.8% |
||||||||
FHLMC/FNMA/FHLB/Sponsored10.6% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
3.50%, 6/1/435 |
$ | 4,765,000 | 4,922,841 | |||||
4.50%, 5/1/196 |
1,473,104 | 1,556,178 | ||||||
5%, 12/1/34 |
108,728 | 117,034 | ||||||
6%, 5/15/18 |
491,449 | 521,607 | ||||||
6.50%, 7/1/28-4/1/34 |
297,639 | 343,237 | ||||||
7%, 10/1/31 |
322,154 | 379,530 | ||||||
8%, 4/1/16 |
58,674 | 61,831 | ||||||
9%, 8/1/22-5/1/25 |
29,869 | 33,503 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
164,360 | 187,164 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
740,930 | 848,673 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
171,855 | 195,751 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 |
296,832 | 328,662 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
138,629 | 158,835 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 |
703,973 | 750,317 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/1/32 |
538,819 | 617,743 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/1/32 |
815,319 | 935,044 | ||||||
Series 2500, Cl. FD, 0.699%, 3/15/327 |
91,705 | 92,676 | ||||||
Series 2526, Cl. FE, 0.599%, 6/15/297 |
102,682 | 103,338 | ||||||
Series 2538, Cl. F, 0.799%, 12/15/327 |
706,043 | 713,849 | ||||||
Series 2551, Cl. FD, 0.599%, 1/15/337 |
68,397 | 68,872 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 |
1,050,709 | 1,148,767 | ||||||
Series 3025, Cl. SJ, 24.02%, 8/15/357 |
103,940 | 150,535 | ||||||
Series 3030, Cl. FL, 0.599%, 9/15/357 |
1,383,544 | 1,393,899 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
814,771 | 849,863 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
1,504,898 | 1,587,795 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 17.191%, 4/1/278 |
237,646 | 29,309 | ||||||
Series 192, Cl. IO, 11.086%, 2/1/288 |
68,569 | 10,836 | ||||||
Series 2130, Cl. SC, 52.843%, 3/15/298 |
195,498 | 43,979 | ||||||
Series 243, Cl. 6, 0%, 12/15/328,9 |
265,309 | 41,911 |
4 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Series 2639, Cl. SA, 0%, 7/15/228,9 |
$ | 433,310 | $ | 19,136 | ||||
Series 2796, Cl. SD, 55.091%, 7/15/268 |
283,310 | 57,523 | ||||||
Series 2802, Cl. AS, 0%, 4/15/338,9 |
108,443 | 3,649 | ||||||
Series 2815, Cl. PT, 18.112%, 11/15/328 |
4,094,922 | 533,379 | ||||||
Series 2920, Cl. S, 55.092%, 1/15/358 |
1,635,268 | 326,823 | ||||||
Series 2922, Cl. SE, 8.859%, 2/15/358 |
400,836 | 72,305 | ||||||
Series 2937, Cl. SY, 21.875%, 2/15/358 |
5,894,214 | 970,063 | ||||||
Series 3201, Cl. SG, 6.182%, 8/15/368 |
1,425,871 | 282,488 | ||||||
Series 3397, Cl. GS, 16.803%, 12/15/378 |
902,593 | 163,698 | ||||||
Series 3424, Cl. EI, 4.077%, 4/15/388 |
696,083 | 106,014 | ||||||
Series 3450, Cl. BI, 16.501%, 5/15/388 |
2,036,810 | 384,630 | ||||||
Series 3606, Cl. SN, 9.241%, 12/15/398 |
842,909 | 125,939 | ||||||
Series 3662, Cl. SM, 28.613%, 10/15/328 |
2,023,554 | 232,301 | ||||||
Series 3736, Cl. SN, 10.508%, 10/15/408 |
4,422,046 | 632,302 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.595%, 6/1/2610 |
74,757 | 68,728 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 6/1/285 |
8,925,000 | 9,109,427 | ||||||
4.50%, 6/1/28-6/1/435 |
34,345,000 | 36,699,603 | ||||||
5%, 6/1/435 |
3,380,000 | 3,645,780 | ||||||
5.50%, 2/1/35-4/1/39 |
3,928,175 | 4,275,628 | ||||||
6%, 6/1/435 |
6,075,000 | 6,612,259 | ||||||
6.50%, 5/1/17-11/1/31 |
1,773,806 | 1,977,521 | ||||||
7%, 11/1/17-7/25/35 |
235,961 | 259,292 | ||||||
7.50%, 1/1/33-3/25/33 |
3,787,359 | 4,548,211 | ||||||
8.50%, 7/1/32 |
11,035 | 12,952 | ||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 6/1/285 |
6,395,000 | 6,655,796 | ||||||
3.50%, 6/1/285 |
4,530,000 | 4,766,409 | ||||||
Federal National Mortgage Assn., 30 yr.: |
||||||||
3.50%, 6/1/435 |
23,315,000 | 24,150,150 | ||||||
4%, 6/1/435 |
26,870,000 | 28,328,958 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 |
445,734 | 505,781 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 |
219,765 | 246,995 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
355,087 | 399,583 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
632,033 | 726,075 | ||||||
Trust 2003-130, Cl. CS, 13.713%, 12/25/337 |
417,918 | 500,237 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
2,845,707 | 3,131,929 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
1,318,119 | 1,399,118 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 |
5,900,071 | 6,502,043 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
1,430,000 | 1,708,202 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
406,525 | 412,499 | ||||||
Trust 2005-73, Cl. DF, 0.443%, 8/25/357 |
3,263,599 | 3,270,068 | ||||||
Trust 2006-11, Cl. PS, 23.858%, 3/25/367 |
312,461 | 434,427 | ||||||
Trust 2006-46, Cl. SW, 23.491%, 6/25/367 |
252,132 | 360,643 |
5 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2006-50, Cl. KS, 23.491%, 6/25/367 |
$ | 539,835 | $ | 775,076 | ||||
Trust 2006-50, Cl. SK, 23.491%, 6/25/367 |
74,171 | 105,364 | ||||||
Trust 2007-109, Cl. NF, 0.743%, 12/25/377 |
1,306,887 | 1,324,394 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
362,409 | 366,344 | ||||||
Trust 2009-36, Cl. FA, 1.133%, 6/25/377 |
1,202,045 | 1,218,510 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 |
1,622,360 | 1,716,815 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 |
308,843 | 309,760 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
586,105 | 622,644 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
1,604,915 | 1,745,705 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-15, Cl. SA, 49.01%, 3/17/318 |
204,749 | 33,682 | ||||||
Trust 2001-65, Cl. S, 24.739%, 11/25/318 |
478,408 | 104,920 | ||||||
Trust 2001-81, Cl. S, 23.228%, 1/25/328 |
119,308 | 23,898 | ||||||
Trust 2002-47, Cl. NS, 30.21%, 4/25/328 |
292,427 | 64,161 | ||||||
Trust 2002-51, Cl. S, 30.408%, 8/25/328 |
268,488 | 57,154 | ||||||
Trust 2002-52, Cl. SD, 35.992%, 9/25/328 |
353,331 | 80,331 | ||||||
Trust 2002-60, Cl. SM, 26.183%, 8/25/328 |
411,202 | 75,716 | ||||||
Trust 2002-7, Cl. SK, 22.568%, 1/25/328 |
123,181 | 22,789 | ||||||
Trust 2002-75, Cl. SA, 27.575%, 11/25/328 |
581,748 | 118,128 | ||||||
Trust 2002-77, Cl. BS, 22.416%, 12/18/328 |
251,925 | 55,293 | ||||||
Trust 2002-77, Cl. SA, 21.126%, 12/18/328 |
390,979 | 74,223 | ||||||
Trust 2002-77, Cl. SH, 35.522%, 12/18/328 |
182,920 | 42,991 | ||||||
Trust 2002-89, Cl. S, 49.858%, 1/25/338 |
856,523 | 197,660 | ||||||
Trust 2002-9, Cl. MS, 25.039%, 3/25/328 |
161,144 | 39,894 | ||||||
Trust 2002-90, Cl. SN, 27.16%, 8/25/328 |
211,743 | 38,986 | ||||||
Trust 2002-90, Cl. SY, 33.528%, 9/25/328 |
101,748 | 18,581 | ||||||
Trust 2003-33, Cl. SP, 26.428%, 5/25/338 |
545,961 | 126,702 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/238,9 |
1,099,794 | 140,190 | ||||||
Trust 2004-54, Cl. DS, 40.425%, 11/25/308 |
326,988 | 64,225 | ||||||
Trust 2004-56, Cl. SE, 9.685%, 10/25/338 |
739,400 | 142,767 | ||||||
Trust 2005-12, Cl. SC, 10.951%, 3/25/358 |
198,113 | 39,384 | ||||||
Trust 2005-19, Cl. SA, 49.894%, 3/25/358 |
3,998,342 | 823,136 | ||||||
Trust 2005-40, Cl. SA, 50.467%, 5/25/358 |
887,533 | 171,043 | ||||||
Trust 2005-52, Cl. JH, 6.40%, 5/25/358 |
1,853,577 | 374,707 | ||||||
Trust 2005-6, Cl. SE, 57.853%, 2/25/358 |
1,345,355 | 221,810 | ||||||
Trust 2005-71, Cl. SA, 52.319%, 8/25/258 |
866,202 | 125,874 | ||||||
Trust 2005-93, Cl. SI, 12.803%, 10/25/358 |
1,155,690 | 185,818 | ||||||
Trust 2006-51, Cl. SA, 23.339%, 6/25/368 |
7,166,844 | 1,251,289 | ||||||
Trust 2007-75, Cl. BI, 3.365%, 8/25/378 |
5,379,608 | 981,301 | ||||||
Trust 2008-46, Cl. EI, 13.42%, 6/25/388 |
2,089,643 | 300,417 | ||||||
Trust 2008-55, Cl. SA, 5.526%, 7/25/388 |
1,162,825 | 123,187 | ||||||
Trust 2009-8, Cl. BS, 0.91%, 2/25/248 |
1,311,205 | 115,997 | ||||||
Trust 2012-40, Cl. PI, 25.481%, 4/1/418 |
5,522,546 | 1,057,568 | ||||||
Trust 222, Cl. 2, 26.172%, 6/1/238 |
513,849 | 78,255 |
6 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 252, Cl. 2, 42.788%, 11/1/238 |
$ | 454,133 | $ | 75,376 | ||||
Trust 303, Cl. IO, 32.113%, 11/1/298 |
173,001 | 25,970 | ||||||
Trust 308, Cl. 2, 26.79%, 9/1/308 |
439,470 | 67,416 | ||||||
Trust 320, Cl. 2, 10.174%, 4/1/328 |
1,670,726 | 230,956 | ||||||
Trust 321, Cl. 2, 1.142%, 4/1/328 |
1,344,446 | 222,943 | ||||||
Trust 331, Cl. 9, 6.657%, 2/1/338 |
468,791 | 79,372 | ||||||
Trust 334, Cl. 17, 14.001%, 2/1/338 |
280,049 | 50,584 | ||||||
Trust 339, Cl. 12, 18.875%, 6/1/338 |
1,041,876 | 154,560 | ||||||
Trust 339, Cl. 7, 53.967%, 8/1/338 |
1,270,257 | 184,500 | ||||||
Trust 343, Cl. 13, 25.983%, 9/1/338 |
960,234 | 140,655 | ||||||
Trust 343, Cl. 18, 27.229%, 5/1/348 |
295,693 | 42,990 | ||||||
Trust 345, Cl. 9, 99.999%, 1/1/348 |
439,432 | 60,890 | ||||||
Trust 351, Cl. 10, 26.57%, 4/1/348 |
349,415 | 50,956 | ||||||
Trust 351, Cl. 8, 25.915%, 4/1/348 |
575,522 | 83,167 | ||||||
Trust 356, Cl. 10, 53.98%, 6/1/358 |
433,729 | 60,891 | ||||||
Trust 356, Cl. 12, 57.005%, 2/1/358 |
213,464 | 30,101 | ||||||
Trust 362, Cl. 13, 31.971%, 8/1/358 |
742,199 | 107,614 | ||||||
Trust 364, Cl. 16, 69.637%, 9/1/358 |
864,565 | 114,905 | ||||||
Trust 365, Cl. 16, 0%, 3/1/368,9 |
2,384,739 | 334,985 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, |
||||||||
Trust 1993-184, Cl. M, 4.182%, 9/25/2310 |
199,620 | 190,868 | ||||||
|
|
|||||||
190,678,531 | ||||||||
|
|
|||||||
GNMA/Guaranteed2.2% |
||||||||
Government National Mortgage Assn.: |
||||||||
3.50%, 6/1/435 |
35,690,000 | 37,527,478 | ||||||
8.50%, 8/1/17-12/15/17 |
39,092 | 41,621 | ||||||
|
|
|||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2001-21, Cl. SB, 78.522%, 1/16/278 |
440,957 | 87,233 | ||||||
Series 2002-15, Cl. SM, 69.886%, 2/16/328 |
405,389 | 92,736 | ||||||
Series 2002-41, Cl. GS, 51.828%, 6/16/328 |
220,369 | 48,174 | ||||||
Series 2002-76, Cl. SY, 76.234%, 12/16/268 |
1,111,482 | 259,994 | ||||||
Series 2004-11, Cl. SM, 67.428%, 1/17/308 |
392,733 | 72,905 | ||||||
Series 2007-17, Cl. AI, 22.821%, 4/16/378 |
3,087,158 | 627,114 | ||||||
Series 2011-52, Cl. HS, 13.703%, 4/16/418 |
3,538,058 | 880,329 | ||||||
|
|
|||||||
39,637,584 | ||||||||
|
|
|||||||
Non-Agency6.1% |
||||||||
Commercial3.2% |
||||||||
Banc of America Commercial Mortgage Trust 2006-6, Commercial Mtg. Pass-Through Certificates, |
||||||||
Series 2006-6, Cl. AM, 5.39%, 10/1/45 |
1,490,000 | 1,630,844 | ||||||
|
|
|||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, |
||||||||
Series 2007-4, Cl. 22A1, 5.341%, 6/1/477 |
1,193,480 | 1,111,349 | ||||||
|
|
|||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
725,772 | 618,866 |
7 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
Commercial Continued |
||||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.135%, 12/1/497 |
$ | 1,560,000 | $ | 1,779,473 | ||||
Citigroup Commercial Mortgage Trust 2013-GC11, Commercial Mtg. Pass-Through Certificates, Series 2013-GC11, Cl. D, 4.459%, 4/1/233,7 |
675,000 | 629,044 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 |
91,896 | 92,718 | ||||||
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2012-CR5, Cl. E, 4.335%, 12/1/457 |
280,000 | 260,488 | ||||||
Series 2013-CR7, Cl. D, 4.361%, 3/1/463,7 |
735,000 | 671,728 | ||||||
Series 2012-CR4, Cl. D, 4.731%, 10/1/453,7 |
180,000 | 170,301 | ||||||
Countrywide Alternative Loan Trust 2006-J2, Mtg. Pass-Through Certificates, Series 2006-J2, |
175,600 | 169,095 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C6, Cl. AJ, 5.23%, 12/1/40 |
1,600,000 | 1,711,578 | ||||||
CSMC Mortgage-Backed Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. 1A4, 6%, 7/1/36 |
2,281,374 | 1,819,914 | ||||||
CSMC Mortgage-Backed Trust 2006-C1, Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.404%, 2/1/397 |
1,000,000 | 1,084,213 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.557%, 11/1/463,7 |
260,000 | 275,560 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2012-CR5, Cl. XA, 3.862%, 12/1/458 |
6,136,309 | 734,648 | ||||||
Series 2010-C1, Cl. XPA, 5.012%, 7/1/463,8 |
13,854,890 | 722,747 | ||||||
EverBank Mortgage Loan Trust, Commercial Mtg. Pass-Through Certificates, Series 2013-1, |
3,431,924 | 3,357,036 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8, Mtg. Pass-Through Certificates, Series 2005-FA8, Cl. 1A6, 0.843%, 11/25/357 |
1,244,500 | 986,020 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA9, Mtg. Pass-Through Certificates, Series 2005-FA9, Cl. A4A, 5.50%, 12/1/35 |
123,943 | 122,071 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/1/37 |
205,514 | 165,960 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4, Mtg. Pass-Through Certificates, Series 2007-FA4, Cl. 1A6, 6.25%, 8/1/377 |
1,399,912 | 1,257,801 | ||||||
FREMF Mortgage Trust 2013-K25, Commerical Mtg. Pass-Through Certificates, Series 2013-K25, Cl. C, 3.812%, 11/1/457 |
350,000 | 323,018 |
8 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
Commercial Continued |
||||||||
FREMF Mortgage Trust 2013-K26, Commerical Mtg. Pass-Through Certificates, Series 2013-K26, Cl. C, 3.723%, 12/1/403,7 |
$ | 255,000 | $ | 240,075 | ||||
FREMF Mortgage Trust 2013-K27, Commerical Mtg. Pass-Through Certificates, Series 2013-K27, Cl. C, 3.616%, 1/1/463,7 |
400,000 | 363,531 | ||||||
FREMF Mortgage Trust 2013-K712, Commerical Mtg. Pass-Through Certificates, |
650,000 | 628,173 | ||||||
GE Commercial Mortgage Corp., Commercial Mtg. Pass-Throuh Certificates, Series 2005-C4, |
1,595,000 | 1,585,400 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
710,684 | 723,100 | ||||||
GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, |
1,443,915 | 1,576,294 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
940,354 | 945,515 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, |
1,818,452 | 1,569,400 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/463 |
752,389 | 759,709 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 |
2,590,000 | 2,647,933 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 |
203,324 | 208,107 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 |
1,750,000 | 1,773,923 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 |
1,838,410 | 1,753,563 | ||||||
JPMorgan, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.597%, 7/1/363,7 |
1,420,783 | 1,072,390 | ||||||
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, |
1,485,000 | 1,645,034 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commerical Mtg. Pass-Through Certificates, Series 2012-C6, Cl. E, 4.665%, 11/1/453,7 |
545,000 | 526,187 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commerical Mtg. Pass-Through Certificates, Series 2013-C7, Cl. D, 4.31%, 2/1/467 |
645,000 | 593,038 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, Commerical Mtg. Pass-Through Certificates, Series 2013-C8, Cl. D, 4.173%, 12/1/487 |
485,000 | 439,463 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13, Commercial Mtg. Pass-Through Certificates, |
2,740,000 | 3,013,048 |
9 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
Commercial Continued |
||||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, |
$ | 1,700,000 | $ | 1,884,714 | ||||
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1B, 2.385%, 11/1/362,7 |
2,048,839 | 1,095,230 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.28%, 5/1/367 |
462,267 | 407,207 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, |
1,843,055 | 1,570,673 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2, Commerical Mtg. Pass-Through Certificates, Series 2012-C2, Cl. E, 4.892%, 5/1/633,7 |
240,000 | 232,801 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. AM, 5.603%, 10/1/487 |
1,580,000 | 1,758,627 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.521%, 12/1/357 |
917,475 | 861,151 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A6, 2.613%, 9/1/357 |
1,113,851 | 1,062,971 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-16 Trust, Mtg. Pass-Through Certificates, |
1,536,245 | 1,649,735 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, |
69,545 | 67,340 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, |
1,621,335 | 1,471,053 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 12.688%, 3/1/448 |
19,597,913 | 1,510,156 | ||||||
WFRBS Commercial Mortgage Trust 2012-C10, Commercial Mtg. Pass-Through Certificates, Series 2012-C10, Cl. D, 4.61%, 12/1/453,7 |
280,000 | 262,850 | ||||||
WFRBS Commercial Mortgage Trust 2012-C7, Commercial Mtg. Pass-Through Certificates, Series 2012-C7, Cl. E, 4.849%, 6/1/453,7 |
500,000 | 487,261 | ||||||
WFRBS Commercial Mortgage Trust 2012-C8, Commercial Mtg. Pass-Through Certificates, Series 2012-C8, Cl. D, 5.042%, 8/1/453,7 |
545,000 | 533,285 |
10 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
Commercial Continued |
||||||||
WFRBS Commercial Mortgage Trust 2013-C11, Commercial Mtg. Pass-Through Certificates, Series 2013-C11, Cl. D, 4.185%, 3/1/453,7 |
$ | 278,000 | $ | 256,001 | ||||
|
|
|||||||
56,869,410 | ||||||||
|
|
|||||||
Multifamily0.3% |
||||||||
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, |
1,681,608 | 1,535,196 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.629%, 6/1/367 |
1,116,543 | 1,038,372 | ||||||
Countrywide Alternative Loan Trust 2005-86CB, Mtg. Pass-Through Certificates, |
298,238 | 290,124 | ||||||
Countrywide Alternative Loan Trust 2005-J14, Mtg. Pass-Through Certificates, Series 2005-J14, Cl. A7, 5.50%, 12/1/35 |
755,718 | 680,902 | ||||||
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, |
367,520 | 317,462 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 4.916%, 5/1/377 |
440,933 | 427,256 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, |
686,454 | 680,486 | ||||||
|
|
|||||||
4,969,798 | ||||||||
|
|
|||||||
Residential2.6% |
||||||||
ABFC Asset-Backed Certificates, Asset-Back Certificates, Series 2005-HE2, Cl. M3, |
4,000,000 | 3,420,142 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-4, Cl. AM, 5.811%, 2/1/517 |
1,635,000 | 1,846,686 | ||||||
Series 2007-1, Cl. 1A3, 6%, 1/1/37 |
483,589 | 439,909 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.438%, 5/1/367 |
479,907 | 470,985 | ||||||
Banc of America Mortgage 2007-1 Trust, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A24, 6%, 3/1/37 |
1,708,562 | 1,731,507 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, |
888,668 | 858,805 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, |
1,641,414 | 1,632,183 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, |
1,239,826 | 1,189,889 | ||||||
CHL Mortgage Pass-Through Trust 2006-17, Mtg. Pass-Through Certificates, Series 2006-17, |
2,515,354 | 2,346,955 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
702,931 | 678,522 | ||||||
CHL Mortgage Pass-Through Trust 2007-15, Mtg. Pass-Through Certificates, Series 2007-15, |
2,994,376 | 2,923,557 |
11 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations Continued |
||||||||
Residential Continued |
||||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 |
$ | 1,500,000 | $ | 1,593,710 | ||||
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, |
1,602,677 | 1,521,885 | ||||||
Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, |
6,617,206 | 6,334,274 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 |
1,754,457 | 1,484,108 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2004-6, Cl. M5, 1.463%, 8/25/347 |
2,362,066 | 1,955,049 | ||||||
Series 2005-16, Cl. 2AF2, 5.15%, 5/1/367 |
339,771 | 334,622 | ||||||
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, |
460,709 | 413,815 | ||||||
GMACM Home Equity Loan Trust 2007-HE2, Home Equity Loan-Backed Term Nts., |
23,889 | 23,265 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
627,625 | 630,849 | ||||||
Home Equity Mortgage Trust 2005-HF1, Home Equity Loan-Backed Nts.: |
||||||||
Series 2005-HF1, Cl. A2B, 0.893%, 2/25/367 |
797,980 | 738,489 | ||||||
Series 2005-HF1, Cl. A3B, 0.893%, 2/25/367 |
601,031 | 556,224 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
1,180,742 | 1,139,775 | ||||||
RAMP Series 2006-NC3 Trust, Mtg. Asset-Backed Pass-Through Certificates, |
16,698,000 | 7,784,583 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, |
483,734 | 453,749 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 4.999%, 5/1/377 |
1,051,265 | 1,038,770 | ||||||
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, |
251,798 | 225,176 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 |
1,319,903 | 1,286,138 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, |
853,263 | 911,640 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.642%, 10/1/367 |
1,048,740 | 1,017,519 | ||||||
|
|
|||||||
46,982,780 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $325,580,164) |
339,138,103 | |||||||
|
|
12 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Asset-Backed Securities10.8% |
||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/143 |
$ | 870,000 | $ | 874,313 | ||||
Aircraft Lease Securitisation Ltd., Airplane Asset-Backed Securities, Series 2007-1A, Cl. G3, 0.46%, 5/10/322,7 |
14,975,301 | 14,488,604 | ||||||
Airspeed Ltd., Airplane Receivables: |
||||||||
Series 2007-1 A, Cl. G1, 0.469%, 6/15/322,7 |
32,819,775 | 25,599,425 | ||||||
Series 2007-1 A, Cl. G2, 0.479%, 6/15/322,7 |
11,212,514 | 8,857,886 | ||||||
Ally Master Owner Trust, Asset-Backed Nts., Series 2012-2, Cl. A, 0.699%, 3/15/167 |
1,780,000 | 1,781,305 | ||||||
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. A, 1.89%, 7/15/163 |
1,090,416 | 1,096,848 | ||||||
American Credit Acceptance Receivables Trust 2012-3, Automobile Receivable Nts.: |
||||||||
Series 2012-3, Cl. A, 1.64%, 11/15/163 |
487,419 | 487,559 | ||||||
Series 2012-3, Cl. C, 2.78%, 9/17/183 |
325,000 | 324,427 | ||||||
AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 |
1,055,000 | 1,107,973 | ||||||
AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2010-2, Cl. C, 4.52%, 10/8/15 |
1,480,000 | 1,509,730 | ||||||
Series 2010-2, Cl. D, 6.24%, 6/8/16 |
2,015,000 | 2,142,571 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 |
430,000 | 452,622 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-2, Cl. B, 2.33%, 3/8/16 |
1,495,000 | 1,511,742 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 |
1,450,000 | 1,515,215 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 9/8/17 |
2,355,000 | 2,468,788 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts., Series 2011-5, Cl. D, 5.05%, 12/8/17 |
1,500,000 | 1,612,810 | ||||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 |
2,955,000 | 3,179,584 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. D, 3.38%, 4/9/18 |
2,345,000 | 2,428,357 | ||||||
AmeriCredit Automobile Receivables Trust 2012-4, Automobile Receivables-Backed Nts., Series 2012-4, Cl. D, 2.68%, 10/9/18 |
2,345,000 | 2,392,886 | ||||||
AmeriCredit Automobile Receivables Trust 2012-5, Automobile Receivables-Backed Nts.: |
||||||||
Series 2012-5, Cl. C, 1.69%, 11/8/18 |
940,000 | 945,172 | ||||||
Series 2012-5, Cl. D, 2.35%, 12/10/18 |
1,280,000 | 1,286,686 |
13 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Asset-Backed Securities Continued |
||||||||
AmeriCredit Automobile Receivables Trust 2013-1, Automobile Receivables-Backed Nts.: |
||||||||
Series 2013-1, Cl. C, 1.57%, 1/8/19 |
$ | 1,610,000 | $ | 1,596,420 | ||||
Series 2013-1, Cl. D, 2.09%, 2/8/19 |
1,115,000 | 1,098,090 | ||||||
AmeriCredit Automobile Receivables Trust 2013-2, Automobile Receivables-Backed Nts., |
1,815,000 | 1,806,740 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.: |
||||||||
Series 2010-3A, Cl. A, 4.64%, 5/20/163 |
700,000 | 746,856 | ||||||
Series 2011-2A, Cl. A, 2.37%, 11/20/143 |
2,185,000 | 2,229,410 | ||||||
Series 2011-3A, Cl. B, 4.74%, 11/20/173 |
890,000 | 958,827 | ||||||
Series 2012-1A, Cl. A, 2.054%, 8/20/163 |
2,130,000 | 2,173,665 | ||||||
Blade Engine Securitization Ltd., Airplane Receivables, Series 2006-1AW, Cl. A1, |
24,240,640 | 17,938,074 | ||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates: |
||||||||
Series 2006-1A, Cl. A1, 1.20%, 9/15/415,7 |
1,762,956 | 1,357,476 | ||||||
Series 2006-1A, Cl. B, 3.199%, 9/15/412,7 |
9,077,173 | 6,807,880 | ||||||
Capital Auto Receivables Asset Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.19%, 9/20/21 |
725,000 | 720,538 | ||||||
CarMax Auto Owner Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, |
650,000 | 647,723 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/163 |
218,153 | 228,884 | ||||||
CFC LLC, Automobile Receivable Nts., Series 2013-1A, Cl. A, 1.65%, 7/17/173 |
725,000 | 725,855 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, |
430,000 | 430,471 | ||||||
CPS Auto Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-B, Cl. A, 2.52%, 9/16/193 |
1,416,045 | 1,437,227 | ||||||
Series 2012-C, Cl. A, 1.82%, 12/16/193 |
501,129 | 505,019 | ||||||
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/193 |
890,000 | 902,395 | ||||||
Series 2012-2A, Cl. A, 1.52%, 3/16/203 |
535,000 | 537,970 | ||||||
Series 2012-2A, Cl. B, 2.21%, 9/15/203 |
270,000 | 272,125 | ||||||
Series 2013-1A, Cl. B, 1.83%, 4/15/213 |
980,000 | 975,536 | ||||||
DT Auto Owner Trust 2010-1A, Automobile Receivable Nts., Series 2010-1A, Cl. D, |
697,461 | 699,122 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, |
601,772 | 603,319 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, |
166,386 | 166,556 | ||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, |
1,491,000 | 1,505,243 | ||||||
DT Auto Owner Trust 2012-1A, Automobile Receivable Nts., Series 2012-1A, Cl. A, |
230,653 | 230,795 |
14 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Asset-Backed Securities Continued |
||||||||
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: |
||||||||
Series 2012-2, Cl. C, 2.72%, 4/17/173 |
$ | 345,000 | $ | 349,153 | ||||
Series 2012-2, Cl. D, 4.35%, 3/15/193 |
430,000 | 443,588 | ||||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.02%, 8/15/163 |
3,327,284 | 3,346,804 | ||||||
Series 2012-2A, Cl. A, 1.30%, 6/15/173 |
601,098 | 602,760 | ||||||
Series 2012-2A, Cl. B, 2.22%, 12/15/173 |
750,000 | 757,798 | ||||||
Series 2012-2A, Cl. C, 3.06%, 7/16/183 |
185,000 | 186,922 | ||||||
Series 2013-1A, Cl. A, 1.29%, 10/16/173 |
1,425,000 | 1,424,396 | ||||||
First Investors Auto Owner Trust 2012-1A, Automobile Receivables Nts., Series 2012-1A, Cl. D, 5.65%, 4/15/183 |
770,000 | 821,013 | ||||||
Ford Credit Auto Owner Trust 2013-A, Automobile Receivables Nts., Series 2013-A, Cl. D, |
1,180,000 | 1,177,643 | ||||||
Ford Credit Floorplan Master Owner Trust A, Automobile Receivable Nts., Series 2012-2, Cl. C, 2.86%, 1/15/19 |
1,490,000 | 1,552,850 | ||||||
Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2012-1, Cl. C, 1.699%, 1/15/167 |
605,000 | 608,164 | ||||||
FRS LLC, Sec. Railcar Equipment Nts., Series 2013-1A, Cl. A1, 1.80%, 4/15/433 |
474,373 | 474,646 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, |
2,700,000 | 2,729,755 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, |
1,800,000 | 1,806,566 | ||||||
New Century Home Equity Loan Trust 2005-2, Asset-Backed Nts., Series 2005-2, Cl. M3, |
5,500,000 | 4,276,099 | ||||||
Prestige Auto Receivables Trust, Automobile Receivable Nts., Series 2011-1A, Cl. D., |
585,000 | 611,729 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, |
1,670,000 | 1,715,856 | ||||||
Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, |
1,540,000 | 1,559,868 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, |
1,715,000 | 1,790,950 | ||||||
Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, |
820,000 | 836,090 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/172 |
393,762 | 394,701 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/172 |
947,102 | 953,637 | ||||||
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts.: |
||||||||
Series 2012-2, Cl. C, 3.20%, 2/15/18 |
3,010,000 | 3,109,268 | ||||||
Series 2012-2, Cl. D, 3.87%, 2/15/18 |
1,875,000 | 1,965,212 | ||||||
Santander Drive Auto Receivables Trust 2012-4, Automobile Receivables Nts.: |
||||||||
Series 2012-4, Cl. A3, 1.04%, 8/15/16 |
1,410,000 | 1,417,108 |
15 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Asset-Backed Securities Continued |
||||||||
Series 2012-4, Cl. B, 1.83%, 3/15/17 |
$ | 2,710,000 | $ | 2,751,971 | ||||
Series 2012-4, Cl. D, 3.50%, 6/15/18 |
2,785,000 | 2,895,289 | ||||||
Santander Drive Auto Receivables Trust 2012-5, Automobile Receivables Nts.: |
||||||||
Series 2012-5, Cl. C, 2.70%, 8/15/18 |
805,000 | 824,620 | ||||||
Series 2012-5, Cl. D, 3.30%, 9/17/18 |
3,110,000 | 3,186,576 | ||||||
Santander Drive Auto Receivables Trust 2012-6, Automobile Receivables Nts., Series 2012-6, Cl. D, 2.52%, 9/17/18 |
3,340,000 | 3,347,902 | ||||||
Santander Drive Auto Receivables Trust 2012-AA, Automobile Receivables Nts., Series 2012-AA, Cl. D, 2.46%, 12/17/183 |
955,000 | 956,039 | ||||||
Santander Drive Auto Receivables Trust 2013-1, Automobile Receivables Nts.: |
||||||||
Series 2013-1, Cl. C, 1.76%, 1/15/19 |
2,070,000 | 2,076,086 | ||||||
Series 2013-1, Cl. D, 2.80%, 1/15/19 |
895,000 | 885,428 | ||||||
Santander Drive Auto Receivables Trust 2013-2, Automobile Receivables Nts., Series 2013-2, Cl. D, 2.70%, 3/15/19 |
1,260,000 | 1,252,122 | ||||||
Santander Drive Auto Receivables Trust 2013-3, Automobile Receivables Nts., Series 2013-3, Cl. D, 2.42%, 4/15/19 |
905,000 | 896,554 | ||||||
SNAAC Auto Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 1.78%, 6/15/163 |
455,029 | 457,820 | ||||||
Series 2012-1A, Cl. C, 4.38%, 6/15/173 |
715,000 | 739,829 | ||||||
SNAAC Auto Receivables Trust, Automobile Receivables Nts.: |
||||||||
Series 2013-1A, Cl. B, 2.09%, 7/16/18 |
540,000 | 538,780 | ||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/18 |
600,000 | 597,861 | ||||||
Structured Asset Securities Corp., Mtg. Loan Asset-Backed Certificates, Series 2007-GEL2, Cl. A2, 0.513%, 5/25/377 |
10,000,000 | 8,606,430 | ||||||
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: |
||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/15 |
478,184 | 478,354 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/15 |
910,000 | 910,511 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/16 |
660,000 | 660,241 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/18 |
565,000 | 565,243 | ||||||
Series 2013-1, Cl. D, 2.90%, 12/15/173 |
110,000 | 109,799 | ||||||
United Auto Credit Securitization Trust 2013-1, Automobile Receivables Nts.: |
||||||||
Series 2013-1, Cl. B, 1.74%, 4/15/163 |
975,000 | 974,325 | ||||||
Series 2013-1, Cl. C, 2.22%, 12/15/173 |
620,000 | 619,669 | ||||||
Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 3/15/163 |
501,244 | 502,166 | ||||||
Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl. A2, 1.19%, 3/20/213 |
726,087 | 730,005 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, |
625,000 | 631,321 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $191,222,454) |
194,474,236 | |||||||
|
|
|||||||
U.S. Government Obligations1.1% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
0.875%, 3/7/18 |
2,284,000 | 2,261,377 | ||||||
1.375%, 5/1/20 |
2,126,000 | 2,078,631 | ||||||
2.375%, 1/13/22 |
3,075,000 | 3,137,361 |
16 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
U.S. Government Obligations Continued |
||||||||
5.25%, 4/18/16 |
$ | 1,600,000 | $ | 1,814,491 | ||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.50%, 3/30/16 |
6,712,000 | 6,705,550 | ||||||
0.875%, 5/21/18 |
2,120,000 | 2,091,066 | ||||||
Federal National Mortgage Assn. Unsec. Nts., 0.375%, 7/5/16 |
2,348,000 | 2,334,987 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $20,291,633) |
20,423,463 | |||||||
|
|
|||||||
Non-Convertible Corporate Bonds and Notes18.8% |
||||||||
Consumer Discretionary2.1% |
||||||||
Auto Components0.1% |
||||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 |
1,551,000 | 1,675,080 | ||||||
|
|
|||||||
Automobiles0.4% |
||||||||
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 |
942,000 | 1,428,452 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 |
3,563,000 | 4,070,275 | ||||||
General Motors Financial Co., Inc., 4.25% Sr. Unsec. Nts., 5/15/233 |
1,457,000 | 1,424,218 | ||||||
|
|
|||||||
6,922,945 | ||||||||
|
|
|||||||
Diversified Consumer Services0.1% |
||||||||
Service Corp International, 4.50% Sr. Unsec. Unsub. Nts., 11/15/20 |
1,690,000 | 1,707,956 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure0.1% |
||||||||
Brinker International, Inc.: |
||||||||
2.60% Sr. Unsec. Nts., 5/15/18 |
560,000 | 561,470 | ||||||
3.875% Sr. Unsec. Nts., 5/15/23 |
560,000 | 551,312 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
944,000 | 1,180,195 | ||||||
|
|
|||||||
2,292,977 | ||||||||
|
|
|||||||
Household Durables0.2% |
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
1,637,000 | 1,772,053 | ||||||
Lennar Corp., 4.125% Sr. Unsec. Nts., 12/1/183 |
1,745,000 | 1,771,175 | ||||||
|
|
|||||||
3,543,228 | ||||||||
|
|
|||||||
Media0.7% |
||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 |
995,000 | 1,481,656 | ||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 |
1,129,000 | 1,161,487 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42 |
457,000 | 446,766 | ||||||
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 |
1,607,000 | 1,707,438 | ||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 |
201,000 | 287,098 | ||||||
Interpublic Group of Cos., Inc. (The): |
||||||||
6.25% Sr. Unsec. Nts., 11/15/14 |
1,043,000 | 1,116,010 | ||||||
10% Sr. Unsec. Nts., 7/15/17 |
1,669,000 | 1,764,968 | ||||||
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23 |
1,657,000 | 1,685,998 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
619,000 | 726,924 | ||||||
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 |
653,000 | 586,230 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Unsec. Nts., 7/15/33 |
876,000 | 1,194,317 | ||||||
WPP Finance 2010, 5.125% Sr. Unsec. Unsub. Nts., 9/7/42 |
520,000 | 515,518 | ||||||
|
|
|||||||
12,674,410 | ||||||||
|
|
17 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Multiline Retail0.2% |
||||||||
Dollar General Corp., 4.125% Nts., 7/15/17 |
$ | 1,545,000 | $ | 1,679,472 | ||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 |
2,212,000 | 2,331,105 | ||||||
|
|
|||||||
4,010,577 | ||||||||
|
|
|||||||
Specialty Retail0.1% |
||||||||
Rent-A-Center, Inc., 4.75% Sr. Unsec. Nts., 5/1/213 |
1,796,000 | 1,769,060 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods0.2% |
||||||||
Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20 |
1,580,000 | 1,749,850 | ||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 |
1,706,000 | 1,710,265 | ||||||
|
|
|||||||
3,460,115 | ||||||||
|
|
|||||||
Consumer Staples1.0% |
||||||||
Beverages0.5% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
1,366,000 | 2,129,171 | ||||||
Beam, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 |
440,000 | 465,202 | ||||||
Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13 |
1,620,000 | 1,640,380 | ||||||
Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21 |
1,746,000 | 1,706,715 | ||||||
Fosters Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/143 |
1,522,000 | 1,604,039 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/42 |
850,000 | 915,181 | ||||||
|
|
|||||||
8,460,688 | ||||||||
|
|
|||||||
Food & Staples Retailing0.1% |
||||||||
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40 |
804,000 | 817,148 | ||||||
Safeway, Inc., 5.625% Sr. Unsec. Unsub. Nts., 8/15/14 |
595,000 | 626,127 | ||||||
Wal-Mart Stores, Inc., 4% Sr. Unsec. Unsub. Nts., 4/11/43 |
838,000 | 805,185 | ||||||
|
|
|||||||
2,248,460 | ||||||||
|
|
|||||||
Food Products0.1% |
||||||||
Bunge Ltd Finance Corp., 5.10% Sr. Unsec. Unsub. Nts., 7/15/15 |
1,412,000 | 1,524,926 | ||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
208,000 | 215,845 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
1,008,000 | 1,292,824 | ||||||
|
|
|||||||
3,033,595 | ||||||||
|
|
|||||||
Personal Products0.1% |
||||||||
Avon Products, Inc., 4.60% Sr. Unsec. Nts., 3/15/20 |
1,467,000 | 1,554,002 | ||||||
|
|
|||||||
Tobacco0.2% |
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
913,000 | 1,461,213 | ||||||
Lorillard Tobacco Co., 3.75% Sr. Unsec. Nts., 5/20/23 |
1,751,000 | 1,715,871 | ||||||
|
|
|||||||
3,177,084 | ||||||||
|
|
|||||||
Energy2.5% |
||||||||
Energy Equipment & Services0.3% |
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
1,983,000 | 2,194,057 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 |
1,388,000 | 1,450,518 | ||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22 |
1,210,000 | 1,299,856 |
18 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Energy Equipment & Services Continued |
||||||||
Weatherford International Ltd/Bermuda, 4.50% Sr. Unsec. Unsub. Nts., 4/15/22 |
$ | 925,000 | $ | 954,595 | ||||
|
|
|||||||
5,899,026 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels2.2% |
||||||||
Anadarko Petroleum Corp.: |
||||||||
6.20% Sr. Unsec. Nts., 3/15/40 |
634,000 | 761,292 | ||||||
7.625% Sr. Unsec. Nts., 3/15/14 |
1,186,000 | 1,250,547 | ||||||
Apache Corp., 4.25% Sr. Unsec. Unsub. Nts., 1/15/44 |
440,000 | 412,616 | ||||||
Canadian Oil Sands Ltd.: |
||||||||
5.80% Sr. Unsec. Nts., 8/15/133 |
1,584,000 | 1,599,613 | ||||||
6% Sr. Unsec. Nts., 4/1/423 |
770,000 | 848,867 | ||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 |
1,590,000 | 1,705,275 | ||||||
CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec. Unsub. Nts., 5/9/43 |
605,000 | 559,468 | ||||||
Concho Resources, Inc., 5.50% Sr. Unsec. Unsub. Nts., 4/1/235 |
1,725,000 | 1,772,438 | ||||||
Continental Resources, Inc., 4.50% Sr. Unsec. Unsub. Nts., 4/15/233 |
1,752,000 | 1,771,710 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.125% Sr. Unsec. Unsub. Nts., 4/1/21 |
2,849,000 | 3,297,718 | ||||||
DCP Midstream LLC, 5.85% Sec. Sub. Nts., 5/21/433 |
1,796,000 | 1,809,470 | ||||||
DCP Midstream Operating LP: |
||||||||
2.50% Sr. Unsec. Unsub. Nts., 12/1/17 |
1,430,000 | 1,448,669 | ||||||
3.875% Sr. Unsec. Nts., 3/15/23 |
847,000 | 834,013 | ||||||
El Paso Pipeline Partners Operating Co. LLC, 4.70% Sr. Unsec. Nts., 11/1/42 |
1,233,000 | 1,177,532 | ||||||
Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14 |
1,201,000 | 1,278,702 | ||||||
EnCana Holdings Finance Corp., 5.80% Sr. Unsec. Unsub. Nts., 5/1/14 |
779,000 | 814,868 | ||||||
Energy Transfer Partners LP: |
||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 |
1,312,000 | 1,409,164 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 |
465,000 | 513,719 | ||||||
8.50% Sr. Unsec. Nts., 4/15/14 |
1,180,000 | 1,256,529 | ||||||
NuStar Logistics LP, 4.75% Sr. Unsec. Unsub. Nts., 2/1/22 |
1,633,000 | 1,580,427 | ||||||
Phillips 66, 4.30% Sr. Unsec. Unsub. Nts., 4/1/223 |
911,000 | 985,567 | ||||||
Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21 |
1,668,000 | 1,772,250 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143 |
1,466,000 | 1,549,196 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/153 |
1,643,000 | 1,671,753 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22 |
939,000 | 983,684 | ||||||
Talisman Energy, Inc.: |
||||||||
5.125% Sr. Unsec. Unsub. Nts., 5/15/15 |
1,296,000 | 1,390,373 | ||||||
6.25% Sr. Unsec. Unsub. Nts., 2/1/38 |
469,000 | 532,550 | ||||||
Williams Cos, Inc. (The), 3.70% Unsec. Unsub. Nts., 1/15/23 |
928,000 | 901,159 | ||||||
Woodside Finance Ltd.: |
||||||||
4.60% Sr. Unsec. Unsub. Nts., 5/10/213 |
1,390,000 | 1,523,692 | ||||||
5% Sr. Unsec. Nts., 11/15/133 |
1,624,000 | 1,654,396 | ||||||
|
|
|||||||
39,067,257 | ||||||||
|
|
19 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Financials7.1% |
||||||||
Capital Markets1.5% |
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/193 |
$ | 2,035,000 | $ | 2,458,917 | ||||
Carlyle Holdings II Finance LLC, 5.625% Unsec. Nts., 3/30/433 |
857,000 | 866,613 | ||||||
Deutsche Bank AG, 4.296% Unsec. Sub. Nts., 5/24/28 |
1,801,000 | 1,743,037 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 |
1,710,000 | 1,766,440 | ||||||
Goldman Sachs Group, Inc. (The), 6.25% Sr. Unsec. Nts., 2/1/41 |
1,684,000 | 1,982,710 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/213 |
2,342,000 | 2,628,792 | ||||||
Mellon Capital IV, 4% Perpetual Bonds7,11 |
6,000,000 | 5,805,000 | ||||||
Morgan Stanley: |
||||||||
6.25% Sr. Unsec. Nts., 8/28/17 |
1,000,000 | 1,155,571 | ||||||
6.375% Sr. Unsec. Nts., 7/24/42 |
1,130,000 | 1,335,295 | ||||||
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16 |
3,201,000 | 3,207,629 | ||||||
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 |
1,477,000 | 1,645,375 | ||||||
UBS AG (Stamford, CT), 2.25% Sr. Unsec. Nts., 8/12/13 |
388,000 | 389,334 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series111 |
1,771,000 | 1,866,191 | ||||||
|
|
|||||||
26,850,904 | ||||||||
|
|
|||||||
Commercial Banks2.0% |
||||||||
Amsouth Bank NA (Birmingham, AL), 5.20% Unsec. Sub. Nts., 4/1/15 |
1,582,000 | 1,679,828 | ||||||
Barclays Bank plc, 5.14% Unsec. Sub. Nts., 10/14/20 |
1,704,000 | 1,798,219 | ||||||
BPCE SA, 1.70% Sr. Unsec. Nts., 4/25/16 |
2,799,000 | 2,787,583 | ||||||
Credit Agricole SA (London), 2.125% Sr. Unsec. Nts., 4/17/183 |
2,818,000 | 2,791,147 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 |
3,032,000 | 3,050,950 | ||||||
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/357 |
4,060,000 | 4,171,650 | ||||||
LBG Capital No. 1 plc, 7.875% Unsec. Sub. Nts., 11/1/203 |
1,529,000 | 1,697,190 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/203 |
1,272,000 | 1,439,553 | ||||||
PNC Financial Services Group, Inc., 4.85% Perpetual Bonds11 |
1,827,000 | 1,817,865 | ||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U11 |
1,700,000 | 1,670,250 | ||||||
Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Nts.7,11 |
11,000,000 | 11,027,500 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K11 |
2,118,000 | 2,484,679 | ||||||
|
|
|||||||
36,416,414 | ||||||||
|
|
|||||||
Consumer Finance0.1% |
||||||||
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22 |
2,031,000 | 2,052,516 | ||||||
|
|
|||||||
Diversified Financial Services1.3% |
||||||||
Bank of America Corp., 5.20% Perpetual Bonds11 |
1,801,000 | 1,791,995 | ||||||
Citigroup, Inc.: |
||||||||
3.375% Sr. Unsec. Unsub. Nts., 3/1/23 |
1,258,000 | 1,242,400 | ||||||
5.95% Jr. Sub. Perpetual Bonds, Series D11 |
1,708,000 | 1,786,995 | ||||||
ING US, Inc.: |
||||||||
5.50% Sr. Unsec. Nts., 7/15/223 |
1,035,000 | 1,158,728 | ||||||
5.65% Unsec. Sub. Nts., 5/15/533 |
1,465,000 | 1,475,988 |
20 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Diversified Financial Services Continued |
||||||||
Jefferies Group, Inc., 5.125% Sr. Unsec. Nts., 1/20/23 |
$ | 853,000 | $ | 895,181 | ||||
JPMorgan Chase & Co.: |
||||||||
5.15% Jr. Sub. Perpetual Bonds, Series Q11 |
788,000 | 797,850 | ||||||
7.90% Jr. Sub. Perpetual Bonds, Series 111 |
7,778,000 | 9,090,219 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Nts., 5/14/38 |
1,438,000 | 1,809,257 | ||||||
Rabobank Capital Funding Trust III, 5.254% Perpetual Bonds3, 11 |
2,765,000 | 2,823,756 | ||||||
|
|
|||||||
22,872,369 | ||||||||
|
|
|||||||
Insurance1.7% |
||||||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
1,361,000 | 1,599,059 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 |
851,000 | 999,439 | ||||||
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/153 |
1,490,000 | 1,575,665 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 |
3,186,000 | 3,265,650 | ||||||
Marsh & McLennan Cos., Inc., 5.375% Nts., 7/15/14 |
356,000 | 372,964 | ||||||
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 |
10,000,000 | 16,087,500 | ||||||
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44 |
1,191,000 | 1,213,331 | ||||||
QBE Insurance Group Ltd., 2.40% Sr. Unsec. Nts., 5/1/183 |
2,089,000 | 2,081,331 | ||||||
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds3,11 |
2,835,000 | 3,056,187 | ||||||
|
|
|||||||
30,251,126 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (REITs)0.5% |
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
440,000 | 482,784 | ||||||
7% Sr. Unsec. Nts., 10/15/17 |
1,409,000 | 1,685,936 | ||||||
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/203 |
645,000 | 649,031 | ||||||
Hospitality Properties Trust, 5.125% Sr. Unsec. Nts., 2/15/15 |
1,497,000 | 1,559,167 | ||||||
Host Hotels & Resorts, Inc., 3.75% Sr. Unsec. Nts., 10/15/23 |
1,207,000 | 1,184,951 | ||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Unsub. Nts., 6/15/14 |
1,115,000 | 1,154,280 | ||||||
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/143 |
1,426,000 | 1,516,793 | ||||||
|
|
|||||||
8,232,942 | ||||||||
|
|
|||||||
Health Care0.5% |
||||||||
Biotechnology0.3% |
||||||||
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22 |
1,562,000 | 1,634,296 | ||||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 |
1,731,000 | 1,732,861 | ||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41 |
840,000 | 994,084 | ||||||
|
|
|||||||
4,361,241 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies0.0% |
||||||||
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/183 |
593,000 | 600,851 | ||||||
|
|
|||||||
Health Care Providers & Services0.1% |
||||||||
Cardinal Health, Inc.: |
||||||||
1.70% Sr. Unsec. Nts., 3/15/18 |
569,000 | 563,997 | ||||||
3.20% Sr. Unsec. Nts., 3/15/23 |
853,000 | 834,273 | ||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
854,000 | 1,071,299 | ||||||
|
|
|||||||
2,469,569 | ||||||||
|
|
21 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Pharmaceuticals0.1% |
||||||||
Zoetis, Inc.: |
||||||||
1.875% Sr. Unsec. Nts., 2/1/183 |
$ | 564,000 | $ | 565,800 | ||||
4.70% Sr. Unsec. Nts., 2/1/433 |
846,000 | 848,376 | ||||||
|
|
|||||||
1,414,176 | ||||||||
|
|
|||||||
Industrials1.2% |
||||||||
Aerospace & Defense0.2% |
||||||||
BE Aerospace, Inc., 5.25% Sr. Unsec. Unsub. Nts., 4/1/22 |
1,287,000 | 1,351,350 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
1,484,000 | 1,636,110 | ||||||
Northrop Grumman Corp., 3.25% Sr. Unsec. Unsub. Nts., 8/1/23 |
308,000 | 304,929 | ||||||
|
|
|||||||
3,292,389 | ||||||||
|
|
|||||||
Building Products0.1% |
||||||||
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 |
1,363,000 | 1,405,749 | ||||||
|
|
|||||||
Commercial Services & Supplies0.1% |
||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20 |
1,596,000 | 1,671,810 | ||||||
|
|
|||||||
Industrial Conglomerates0.3% |
||||||||
General Electric Capital Corp.: |
||||||||
5.25% Perpetual Bonds5, 11 |
1,865,000 | 1,862,669 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 |
3,251,000 | 3,474,506 | ||||||
|
|
|||||||
5,337,175 | ||||||||
|
|
|||||||
Machinery0.1% |
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16 |
1,707,000 | 1,886,235 | ||||||
National Rural Utilities Cooperative Finance Corp., 4.75% Sr. Unsec. Sub. Nts., 4/30/43 |
914,000 | 934,565 | ||||||
|
|
|||||||
2,820,800 | ||||||||
|
|
|||||||
Professional Services0.1% |
||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 |
642,000 | 690,150 | ||||||
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/203 |
1,695,000 | 1,707,713 | ||||||
|
|
|||||||
2,397,863 | ||||||||
|
|
|||||||
Road & Rail0.2% |
||||||||
Kansas City Southern Railway, 4.30% Sr. Unsec. Nts., 5/15/433 |
696,000 | 669,639 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: |
||||||||
2.50% Sr. Nts., 7/11/143 |
1,660,000 | 1,686,816 | ||||||
4.25% Sr. Unsec. Nts., 1/17/233 |
865,000 | 887,935 | ||||||
|
|
|||||||
3,244,390 | ||||||||
|
|
|||||||
Trading Companies & Distributors0.1% |
||||||||
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19 |
1,563,000 | 1,684,133 | ||||||
|
|
|||||||
Information Technology0.6% |
||||||||
Computers & Peripherals0.3% |
||||||||
Apple, Inc., 3.85% Sr. Unsec. Unsub. Nts., 5/4/43 |
464,000 | 428,881 | ||||||
Hewlett-Packard Co.: |
||||||||
2.65% Sr. Unsec. Unsub. Nts., 6/1/16 |
2,851,000 | 2,934,315 |
22 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Computers & Peripherals Continued |
||||||||
4.75% Sr. Unsec. Nts., 6/2/14 |
$ | 1,176,000 | $ | 1,220,968 | ||||
|
|
|||||||
4,584,164 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components0.2% |
||||||||
Amphenol Corp., 4.75% Sr. Unsec. Unsub. Nts., 11/15/14 |
449,000 | 475,227 | ||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 |
1,792,000 | 1,886,401 | ||||||
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22 |
1,905,000 | 1,987,187 | ||||||
|
|
|||||||
4,348,815 | ||||||||
|
|
|||||||
Internet Software & Services0.1% |
||||||||
Baidu, Inc., 3.50% Sr. Unsec. Unsub. Nts., 11/28/22 |
1,300,000 | 1,241,699 | ||||||
|
|
|||||||
IT Services0.0% |
||||||||
Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23 |
855,000 | 826,106 | ||||||
|
|
|||||||
Materials1.0% |
||||||||
Chemicals0.3% |
||||||||
Agrium, Inc., 6.125% Sr. Unsec. Unsub. Nts., 1/15/41 |
275,000 | 317,302 | ||||||
CF Industries, Inc., 4.95% Sr. Unsec. Nts., 6/1/43 |
736,000 | 733,466 | ||||||
Dow Chemical Co. (The), 8.55% Sr. Unsec. Unsub. Nts., 5/15/19 |
1,073,000 | 1,430,688 | ||||||
Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42 |
676,000 | 693,896 | ||||||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
802,000 | 788,263 | ||||||
Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42 |
817,000 | 790,563 | ||||||
|
|
|||||||
4,754,178 | ||||||||
|
|
|||||||
Containers & Packaging0.3% |
||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 |
1,562,000 | 1,714,295 | ||||||
Packaging Corp. of America, 3.90% Sr. Unsec. Unsub. Nts., 6/15/22 |
1,310,000 | 1,352,741 | ||||||
Rock Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20 |
1,688,000 | 1,728,102 | ||||||
|
|
|||||||
4,795,138 | ||||||||
|
|
|||||||
Metals & Mining0.4% |
||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 |
968,000 | 1,066,336 | ||||||
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub., Nts., 3/1/23 |
595,000 | 603,455 | ||||||
Cliffs Natural Resources, Inc., 3.95% Sr. Unsec. Unsub. Nts., 1/15/18 |
1,590,000 | 1,577,158 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 3.875% Sr. Unsec. Nts., 3/15/233 |
1,795,000 | 1,753,293 | ||||||
Xstrata Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
1,190,000 | 1,277,131 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 |
1,317,000 | 1,448,487 | ||||||
|
|
|||||||
7,725,860 | ||||||||
|
|
|||||||
Paper & Forest Products0.0% |
||||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 |
767,000 | 891,790 | ||||||
|
|
|||||||
Telecommunication Services1.6% |
||||||||
Diversified Telecommunication Services0.7% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Unsub. Nts., 1/15/38 |
2,197,000 | 2,633,164 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 |
1,076,000 | 1,674,193 |
23 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued |
||||||||
Diversified Telecommunication Services Continued |
||||||||
CenturyLink, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/20 |
$ | 1,744,000 | $ | 1,811,580 | ||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 |
1,436,000 | 1,651,400 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
1,480,000 | 1,611,242 | ||||||
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 |
1,079,000 | 1,242,342 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 |
1,333,000 | 1,617,036 | ||||||
|
|
|||||||
12,240,957 | ||||||||
|
|
|||||||
Wireless Telecommunication Services0.9% |
||||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 |
1,368,000 | 1,223,861 | ||||||
CC Holdings GS V LLC/CRO, 3.849% Sr. Sec. Nts., 4/15/233 |
832,000 | 832,173 | ||||||
Clearwire Communications LLC/Clearwire Finance, 12% Sr. Sec. Nts., 12/1/153 |
10,000,000 | 10,713,000 | ||||||
MetroPCS Wireless, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/213 |
1,730,000 | 1,818,663 | ||||||
Vodafone Group plc, 4.375% Sr. Unsec. Unsub. Nts., 2/19/43 |
918,000 | 870,153 | ||||||
|
|
|||||||
15,457,850 | ||||||||
|
|
|||||||
Utilities1.2% |
||||||||
Electric Utilities0.6% |
||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 |
1,806,000 | 1,944,692 | ||||||
Electricite de France SA, 5.25% Jr. Sub Perpetual Bonds3,7,11 |
1,371,000 | 1,378,726 | ||||||
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22 |
938,000 | 974,649 | ||||||
FirstEnergy Corp., 4.25% Sr. Unsec. Unsub. Nts., 3/15/23 |
1,040,000 | 1,028,777 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 |
1,659,000 | 1,665,614 | ||||||
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 |
1,293,000 | 1,291,339 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Unsub. Nts., 5/1/213 |
1,685,000 | 1,900,746 | ||||||
|
|
|||||||
10,184,543 | ||||||||
|
|
|||||||
Energy Traders0.5% |
||||||||
Calpine Corp., 7.25% Sr. Sec. Nts., 10/15/173 |
7,848,000 | 8,240,400 | ||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
1,575,000 | 1,615,120 | ||||||
|
|
|||||||
9,855,520 | ||||||||
|
|
|||||||
Multi-Utilities0.1% |
||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 |
536,000 | 607,127 | ||||||
Nisource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44 |
512,000 | 502,163 | ||||||
|
|
|||||||
1,109,290 | ||||||||
|
|
|||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $318,580,650) |
336,888,787 | |||||||
|
|
|||||||
Convertible Corporate Bonds and Notes1.4% |
||||||||
Amylin Pharmaceuticals, Inc., 3% Cv. Sr. Unsec. Nts., 6/15/14 |
13,000,000 | 13,195,000 | ||||||
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/297 |
4,925,000 | 6,125,469 | ||||||
LifePoint Hospitals, Inc., 3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 |
5,000,000 | 5,509,375 | ||||||
SEACOR Holdings, Inc., 2.50% Cv. Sr. Unsec. Unsub. Nts., 12/15/273 |
1,000,000 | 1,130,625 | ||||||
|
|
|||||||
Total Convertible Corporate Bonds and Notes (Cost $23,371,975) |
25,960,469 | |||||||
|
|
24 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Event-Linked Bonds0.3% |
||||||||
Calypso Capital Ltd. Catastrophe Linked Nts., Series 2010-1, Cl. A, 3.713%, 1/10/143,7 |
2,041,000 | EUR | $ | 2,672,827 | ||||
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.75%, 2/3/143,7 |
2,100,000 | 2,103,990 | ||||||
|
|
|||||||
Total Event-Linked Bonds (Cost $4,929,048) |
4,776,817 | |||||||
|
|
Expiration Date |
Strike Price |
Contracts | ||||||||||||||
Options Purchased0.1% |
||||||||||||||||
Japanese Yen (JPY) Put1 |
5/27/14 | 1 USD per 120.000 JPY | 6,000,000,000 | 326,520 | ||||||||||||
Standard & Poors 500 Index (The) Put1 |
8/16/13 | $ | 1,580.000 | 400 | 1,170,000 | |||||||||||
|
|
|||||||||||||||
Total Options Purchased (Cost $1,293,215) |
1,496,520 | |||||||||||||||
|
|
Swaption Expiration Date |
Notional Amount |
|||||||||||
Swaptions Purchased0.5% |
||||||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: 1.87%; Received: Six-Month JPY BBA LIBOR; Termination Date: 1/25/261 |
1/22/16 | 5,406,000,000 | JPY | 1,305,615 | ||||||||
JPMorgan Chase Bank NA; Interest Rate Swaption (European); Swap Terms: Paid: 3.373%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/27/261 |
4/26/16 | 30,000,000 | 1,604,217 | |||||||||
JPMorgan Chase Bank NA; Interest Rate Swaption (European); Swap Terms: Paid: 3.41%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/13/261 |
4/12/16 | 33,000,000 | 1,698,374 | |||||||||
JPMorgan Chase Bank NA; Interest Rate Swaption (European); Swap Terms: Paid: 3.4675%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/13/261 |
4/12/16 | 33,000,000 | 1,633,791 | |||||||||
JPMorgan Chase Bank NA; Interest Rate Swaption (European); Swap Terms: Paid: 4.50%; Received: Three-Month BBA LIBOR; Termination Date: 2/28/271 |
2/27/17 | 50,000,000 | 1,771,011 | |||||||||
|
|
|||||||||||
Total Swaptions Purchased (Cost $6,804,593) |
8,013,008 | |||||||||||
|
|
Shares | ||||||||
Investment Companies25.2% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 012%4,12 |
273,282,475 | 273,282,475 | ||||||
Oppenheimer Master Loan Fund, LLC4 |
11,000,141 | 149,730,799 |
Shares | Value | |||||||
Investment Companies Continued |
||||||||
Oppenheimer Short Duration Fund, Cl. Y4 |
3,021,368 | $ | 30,274,112 | |||||
|
|
|||||||
Total Investment Companies (Cost $451,556,113) |
453,287,386 | |||||||
|
|
|||||||
Total Investments, at Value (Cost $1,783,326,616) |
108.5 | % | 1,948,914,020 | |||||
Liabilities in Excess of Other Assets |
(8.5 | ) | (152,479,853 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 1,796,434,167 | ||||
|
|
|
|
25 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Footnotes to Statement of Investments
Principal and notional amounts are reported in U.S. Dollars, except for those denoted in the following currencies:
EUR Euro
JPY Japanese Yen
1. | Non-income producing security. |
2. | Restricted security. The aggregate value of restricted securities as of May 31, 2013 was $80,125,437, which represents 4.46% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Aircraft Lease Securitisation Ltd., Airplane Asset-Backed Securities, Series 2007-1A, Cl. G3, 0.46%, 5/10/32 |
5/14/13 | $ | 14,489,576 | $ | 14,488,604 | $ | (972 | ) | ||||||||
Airspeed Ltd., Airplane Receivables, Series 2007-1A, |
|
7/28/10- 10/21/10 |
|
26,464,337 | 25,599,425 | (864,912 | ) | |||||||||
Airspeed Ltd., Airplane Receivables, Series 2007-1A, |
4/8/11 | 9,473,096 | 8,857,886 | (615,210 | ) | |||||||||||
Blade Engine Securitization Ltd., Airplane Receivables, Series 2006-1AW, Cl. A1, 0.499%, 9/15/41 |
|
4/19/13- 5/29/13 |
|
17,945,639 | 17,938,074 | (7,565 | ) | |||||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.199%, 9/15/41 |
11/10/09 | 5,862,772 | 6,807,880 | 945,108 | ||||||||||||
Bond Street Holdings LLC, Cl. A |
11/4/09 | 5,700,000 | 3,990,000 | (1,710,000 | ) | |||||||||||
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1B, 2.385%, 11/1/36 |
10/24/12 | 993,507 | 1,095,230 | 101,723 | ||||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, |
|
2/4/11- 2/9/12 |
|
394,112 | 394,701 | 589 | ||||||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, |
|
5/19/11- 4/9/13 |
|
948,940 | 953,637 | 4,697 | ||||||||||
|
|
|
|
|
|
|||||||||||
$ | 82,271,979 | $ | 80,125,437 | $ | (2,146,542 | ) | ||||||||||
|
|
|
|
|
|
3. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $158,974,907 or 8.85% of the Funds net assets as of May 31, 2013. |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended May 31, 2013, 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 August 31, 2012 |
Gross Additions |
Gross Reductions |
Shares May 31, 2013 |
|||||||||||||
H.J. Heinz Finance Co., 8% Cum., Series Ba |
295 | | | 295 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
206,909,741 | 302,388,966 | 236,016,232 | 273,282,475 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
11,000,141 | | | 11,000,141 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
2,011,498 | 1,009,870 | | 3,021,368 |
26 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Value | Income | Realized Gain |
||||||||||
H.J. Heinz Finance Co., 8% Cum., Series Ba |
| b | $ | 1,770,000 | $ | | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
273,282,475 | 291,595 | | |||||||||
Oppenheimer Master Loan Fund, LLC |
149,730,799 | 7,924,470 | c | 1,040,425 | c | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
30,274,112 | 97,816 | | |||||||||
|
|
|
|
|
|
|||||||
$ | 453,287,386 | $ | 10,083,881 | $ | 1,040,425 | |||||||
|
|
|
|
|
|
a. | No longer an affiliate as of May 31, 2013. |
b. | The security is no longer an affiliate, therefore, the value has been excluded from this table. |
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
5. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after May 31, 2013. See accompanying Notes. |
6. | 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 $428,192. 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 $18,563,229 or 1.03% of the Funds net assets as of May 31, 2013. |
9. | The current amortization rate of the securitys 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. |
10. | 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 $259,596 or 0.01% of the Funds net assets as of May 31, 2013. |
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. |
12. | Rate shown is the 7-day yield as of May 31, 2013. |
27 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Forward Currency Exchange Contracts as of May 31, 2013 are as follows:
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Date |
Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Credit Suisse International |
||||||||||||||||||||||||
Euro (EUR) |
Sell | 2,555 | EUR | 8/16/13 | $ | 3,322,413 | $ | | $ | 7,117 | ||||||||||||||
Morgan Stanley Capital Services, Inc. |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 10,000 | AUD | 6/28/13 | 9,550,518 | 725,332 | | |||||||||||||||||
State Street Bank |
||||||||||||||||||||||||
Euro (EUR) |
Sell | 10,000 | EUR | 6/28/13 | 12,999,529 | 32,171 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total unrealized appreciation and depreciation |
$ | 757,503 | $ | 7,117 | ||||||||||||||||||||
|
|
|
|
Futures Contracts as of May 31, 2013 are as follows:
Contract Description |
Buy/Sell | Number of Contracts |
Expiration Date |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Corn |
Buy | 80 | 12/13/13 | $ | 2,269,000 | $ | 78,910 | |||||||||||||
Euro BTP |
Sell | 20 | 6/6/13 | 2,977,462 | (172,194 | ) | ||||||||||||||
Soybean |
Buy | 32 | 11/14/14 | 2,055,600 | 89,199 | |||||||||||||||
U.S. Treasury Long Bonds |
Buy | 199 | 9/19/13 | 27,866,219 | (370,460 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 76 | 9/30/13 | 16,730,688 | 8,445 | |||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 437 | 9/30/13 | 53,494,946 | 407,643 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 453 | 9/19/13 | 58,536,094 | (414,031 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 201 | 9/19/13 | 30,577,125 | (797,546 | ) | ||||||||||||||
|
|
|||||||||||||||||||
$ | (1,170,034 | ) | ||||||||||||||||||
|
|
Credit Default Swap Contracts as of May 31, 2013 are as follows:
Reference Entity/ Swap Counterparty |
Buy/Sell Credit Protection |
Notional Amount (000s) |
Pay/ Receive Fixed Rate |
Termination Date |
Upfront Payment Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
CDX North America Investment Grade Index, Series 2 |
|
|||||||||||||||||||||||||||
JPMorgan Chase |
Sell | $ | 25,000 | 1 | % | 6/20/18 | $ | (118,806 | ) | $ | 309,422 | $ | 190,616 | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 25,000 | (118,806 | ) | 309,422 | 190,616 | |||||||||||||||||||||||
Italy (Republic of) |
|
|||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 30,000 | 1 | 6/20/18 | (2,166,059 | ) | 2,099,926 | (66,133 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 30,000 | (2,166,059 | ) | 2,099,926 | (66,133 | ) | ||||||||||||||||||||||
iTRAXX Europe, Series 19, Version 1 |
|
|||||||||||||||||||||||||||
JPMorgan Chase |
Buy | 19,490 | EUR | 1 | 6/20/18 | (332,086 | ) | (15,802 | ) | (347,888 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 19,490 | EUR | (332,086 | ) | (15,802 | ) | (347,888 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Grand Total Buys | (2,498,145 | ) | 2,084,124 | (414,021 | ) | |||||||||||||||||||||||
Grand Total Sells | (118,806 | ) | 309,422 | 190,616 | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
Total Credit Default Swaps | $ | (2,616,951 | ) | $ | 2,393,546 | $ | (223,405 | ) | ||||||||||||||||||||
|
|
|
|
|
|
28 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency:
EUR Euro
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) |
Amount Recoverable* | Reference Asset Rating Range** |
|||||||||
Investment Grade Corporate Debt Indexes |
$ | 25,000,000 | $ | | BBB+ |
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Total Return Swap Contracts as of May 31, 2013 are as follows:
Reference Entity/ Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
The Blackstone Group LP |
||||||||||||||||
Goldman Sachs International |
$ | 2,805 | Eight-Month USD BBA LIBOR plus 58 basis points and if negative, the absolute value of the Total Return of The Blackstone Group LP | If positive, the Total Return of The Blackstone Group LP | 12/12/13 | $ | 244,153 |
Abbreviations are as follows:
BBA LIBOR British Bankers Association London-Interbank Offered Rate
29 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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, 2013 is as follows:
Swap Counterparty |
Swap Type from Fund Perspective |
Notional Amount (000s) |
Value | |||||||||||
Goldman Sachs International: |
||||||||||||||
Credit Default Buy Protection |
$ | 30,000 | $ | 2,099,926 | ||||||||||
Total Return |
2,805 | 244,153 | ||||||||||||
|
|
|||||||||||||
2,344,079 | ||||||||||||||
JPMorgan Chase Bank NA: |
||||||||||||||
Credit Default Buy Protection |
19,490 | EUR | (15,802 | ) | ||||||||||
Credit Default Sell Protection |
25,000 | 309,422 | ||||||||||||
|
|
|||||||||||||
293,620 | ||||||||||||||
|
|
|||||||||||||
Total Swaps | $ | 2,637,699 | ||||||||||||
|
|
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currency:
EUR Euro
30 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Combined Notes to Statement of Investments
Change in Method of Accounting. The accompanying financial statements reflect the financial position of the Fund and its Subsidiary and the results of operations on a consolidated basis. Prior to May 31, 2013, the Subsidiary was shown as an investment of the Fund on the Statement of Investments and the financial statements of the Subsidiary were presented along with the Fund. The staff of the Securities and Exchange Commission has recently commented on their preference to have wholly-owned Cayman investment funds consolidated into the parent funds financial statements. Management of the Fund implemented the change in policy because it is a more effective method of providing transparency into the Funds holdings and operations. Accordingly, as a result of the change in method of accounting, the Fund consolidates the assets and liabilities as well as the operations of the Subsidiary within its financial statements.
Event-Linked Bonds. The Fund may invest in event-linked bonds. Event-linked bonds, which are sometimes referred to as catastrophe bonds, are fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market value of event-linked bonds on the Statement of Operations in the annual and semiannual reports as a change in unrealized appreciation or depreciation on investments. The Fund records a realized gain or loss on the Statement of Operations in the annual and semiannual reports upon the sale or maturity of such securities.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a when-issued basis, and may purchase or sell securities on a delayed delivery basis. When-issued or delayed delivery refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Funds 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, 2013, 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 |
$ | 337,680,934 | ||
Sold securities |
163,754,580 |
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 Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds 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.
31 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Investment in Oppenheimer Capital Income Fund (Cayman) Ltd. The Fund may invest up to 25% of its total assets in Oppenheimer Capital Income Fund (Cayman) Ltd., a wholly-owned and controlled Cayman Islands subsidiary (the Subsidiary). The Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange-traded funds related to gold or other special minerals. The Subsidiary may also invest in certain fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. The Fund wholly owns and controls the Subsidiary, and the Fund and Subsidiary are both managed by the Manager. The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At May 31, 2013, the Fund owned 7,500 shares with a market value of $5,155,588.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Funds 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 IMMFs 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 Funds 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 Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.
The investment objective of the Master Fund is to seek as high a level of current income and preservation of capital as is consistent with investing primarily in loans and other debt securities. The Funds 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 Funds 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 Funds investment in the Master Fund.
32 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Foreign Currency Translation. The Funds accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Funds Statement of Operations in the annual and semiannual reports.
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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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.
33 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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 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.
34 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 Funds 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, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit 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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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
35 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 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 Funds 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 Managers 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.
36 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
The table below categorizes amounts as of May 31, 2013 based on valuation input level:
Level
1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 50,982,422 | $ | | $ | | $ | 50,982,422 | ||||||||
Consumer Staples |
33,203,320 | | | 33,203,320 | ||||||||||||
Energy |
52,682,037 | 6,079,001 | | 58,761,038 | ||||||||||||
Financials |
77,112,165 | 5,250,000 | | 82,362,165 | ||||||||||||
Health Care |
63,916,495 | | | 63,916,495 | ||||||||||||
Industrials |
60,753,178 | | | 60,753,178 | ||||||||||||
Information Technology |
73,294,397 | | | 73,294,397 | ||||||||||||
Materials |
42,057,935 | | | 42,057,935 | ||||||||||||
Telecommunication Services |
20,364,948 | | | 20,364,948 | ||||||||||||
Utilities |
20,884,300 | | | 20,884,300 | ||||||||||||
Preferred Stocks |
14,555,588 | 40,755,043 | | 55,310,631 | ||||||||||||
Rights, Warrants and Certificates |
2,564,402 | | | 2,564,402 | ||||||||||||
Mortgage-Backed Obligations |
| 339,138,103 | | 339,138,103 | ||||||||||||
Asset-Backed Securities |
| 179,985,632 | 14,488,604 | 194,474,236 | ||||||||||||
U.S. Government Obligations |
| 20,423,463 | | 20,423,463 | ||||||||||||
Non-Convertible Corporate Bonds and Notes |
| 336,888,787 | | 336,888,787 | ||||||||||||
Convertible Corporate Bonds and Notes |
| 25,960,469 | | 25,960,469 | ||||||||||||
Event-Linked Bonds |
| 4,776,817 | | 4,776,817 | ||||||||||||
Options Purchased |
1,170,000 | 326,520 | | 1,496,520 | ||||||||||||
Swaptions Purchased |
| 8,013,008 | | 8,013,008 | ||||||||||||
Investment Companies |
303,556,587 | 149,730,799 | | 453,287,386 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
817,097,774 | 1,117,327,642 | 14,488,604 | 1,948,914,020 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
| 757,503 | | 757,503 | ||||||||||||
Futures margins |
120,084 | | | 120,084 | ||||||||||||
Appreciated swaps, at value |
| 553,575 | | 553,575 | ||||||||||||
Depreciated swaps, at value |
| 2,099,926 | | 2,099,926 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 817,217,858 | $ | 1,120,738,646 | $ | 14,488,604 | $ | 1,952,445,108 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
$ | | $ | (7,117 | ) | $ | | $ | (7,117 | ) | ||||||
Futures margins |
(308,904 | ) | | | (308,904 | ) | ||||||||||
Depreciated swaps, at value |
| (15,802 | ) | | (15,802 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (308,904 | ) | $ | (22,919 | ) | $ | | $ | (331,823 | ) | |||||
|
|
|
|
|
|
|
|
37 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 1 and Level 2. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfers into Level 1* |
Transfers out of Level 1** |
Transfers into Level 2** |
Transfers out of Level 2* |
|||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Energy |
$ | | $ | (11,035,159 | ) | $ | 11,035,159 | $ | | |||||||
Preferred Stocks |
14,664,091 | | | (14,664,091 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 14,664,091 | $ | (11,035,159 | ) | $ | 11,035,159 | $ | (14,664,091 | ) | ||||||
|
|
|
|
|
|
|
|
* | Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. |
** | 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 Funds assets were valued but after the close of the securities respective exchanges. |
Risk Exposures and the Use of Derivative Instruments
The Funds 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.
38 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds performance.
39 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 Funds 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, 2013, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $ 11,750,532, 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 Funds International Swap and Derivatives Association, Inc. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $11,734,730 as of May 31, 2013. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of May 31, 2013 the Fund has required certain counterparties to post collateral of $11,261,699.
Credit Related Contingent Features. The Funds 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
40 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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.
As of May 31, 2013, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $7,117 for which collateral was not posted by the Fund. If a contingent feature would have been triggered as of May 31, 2013, the Fund could have been required to pay this amount in cash to its counterparties.
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 Operations in the annual and semiannual reports.
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.
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
41 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
During the period ended May 31, 2013, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $288,112 and $13,662,600, 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 Funds assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts, which have values that are linked to the price movement of the related commodities, in order to increase exposure to commodity risk.
42 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
The Fund has purchased futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to increase exposure to volatility risk.
The Fund has sold futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to decrease exposure to volatility risk.
During the period ended May 31, 2013, the Fund had an ending monthly average market value of $98,120,193 and $123,509,435 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 Funds 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 put options on currencies to decrease exposure to foreign exchange rate 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 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.
43 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
During the period ended May 31, 2013, the Fund had an ending monthly average market value of $67,500 and $149,652 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
As of May 31, 2013, the Fund had no outstanding written options.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps.
Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.
44 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 issuers 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.
45 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and/or, indexes that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes.
For the period ended May 31, 2013, the Fund had ending monthly average notional amounts of $15,871,120 and $10,000,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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
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, 2013, the Fund had ending monthly average notional amounts of $294,226 on total return swaps which are long the reference asset..
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
46 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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 has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate.
During the period ended May 31, 2013, the Fund had an ending monthly average market value of $4,135,055 on purchased swaptions.
Restricted Securities
As of May 31, 2013, 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.
47 | Oppenheimer Capital Income Fund |
COMBINED STATEMENT OF INVESTMENTS | May 31, 2013 (Unaudited) |
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, 2013 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.
Federal tax cost of securities |
$ | 1,788,097,845 | ||
Federal tax cost of other investments |
51,887,927 | |||
|
|
|||
Total federal tax cost |
$ | 1,839,985,772 | ||
|
|
|||
Gross unrealized appreciation |
$ | 177,245,787 | ||
Gross unrealized depreciation |
(17,578,898 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 159,666,889 | ||
|
|
48 | Oppenheimer Capital Income Fund |
Item 2. Controls and Procedures.
(a) | Based on their evaluation of the registrants 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 5/31/2013, the registrants principal executive officer and principal financial officer found the registrants 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 registrants 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 registrants internal controls over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants 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: |
7/9/2013 |
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: |
7/9/2013 |
By: |
/s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: |
7/9/2013 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, William F. Glavin, Jr., certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ William F. Glavin, Jr. |
William F. Glavin, Jr. |
Principal Executive Officer |
Date: 7/9/2013 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian W. Wixted, certify that:
1. | I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian W. Wixted |
Brian W. Wixted |
Principal Financial Officer |
Date: 7/9/2013 |