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: 11/29/2013
Item 1. Schedule of Investments.
CONSOLIDATED
STATEMENT OF INVESTMENTS November 29, 2013* / Unaudited |
Shares | Value | |||||
Common Stocks32.5% | ||||||
Consumer Discretionary4.1% | ||||||
Hotels, Restaurants & Leisure1.2% | ||||||
McDonalds Corp. | 250,000 | $ 24,342,500 | ||||
Media2.2% | ||||||
Cinemark Holdings, Inc. | 591,430 | 19,511,276 | ||||
Comcast Corp., Cl. A | 486,500 | 24,261,755 | ||||
43,773,031 | ||||||
Multiline Retail0.7% | ||||||
Macys, Inc. | 271,800 | 14,476,068 | ||||
Consumer Staples2.8% | ||||||
Beverages1.4% | ||||||
Coca-Cola Co. (The) | 673,000 | 27,047,870 | ||||
Tobacco1.4% | ||||||
Philip Morris International, Inc. | 312,000 | 26,688,480 | ||||
Energy4.1% | ||||||
Energy Equipment & Services0.6% | ||||||
Baker Hughes, Inc. | 111,300 | 6,339,648 | ||||
Schlumberger Ltd. | 63,000 | 5,570,460 | ||||
11,910,108 | ||||||
Oil, Gas & Consumable Fuels3.5% | ||||||
Apache Corp. | 24,000 | 2,195,760 | ||||
Chevron Corp. | 146,100 | 17,888,484 | ||||
Enbridge Energy Management LLC1 | 1 | 3 | ||||
EOG Resources, Inc. | 55,000 | 9,075,000 | ||||
Exxon Mobil Corp. | 137,000 | 12,806,760 | ||||
HollyFrontier Corp. | 118,556 | 5,688,317 | ||||
Kinder Morgan, Inc. | 97,000 | 3,447,380 | ||||
Kinder Morgan Management LLC1 | 1 | 28 | ||||
Noble Energy, Inc. | 43,000 | 3,020,320 | ||||
Royal Dutch Shell plc, Cl. B, ADR | 100,000 | 6,994,000 | ||||
Royal Dutch Shell plc, Cl. B | 175,953 | 6,161,884 | ||||
67,277,936 | ||||||
Financials5.5% | ||||||
Commercial Banks1.1% | ||||||
Bond Street Holdings, Inc., Cl. A1,2 | 285,000 | 4,275,000 | ||||
Bond Street Holdings, Inc., Cl. B1,2 | 90,000 | 1,260,000 | ||||
M&T Bank Corp. | 136,000 | 15,688,960 | ||||
21,223,960 | ||||||
Diversified Financial Services0.9% | ||||||
Citigroup, Inc. | 230,000 | 12,171,600 | ||||
JPMorgan Chase & Co. | 91,000 | 5,207,020 | ||||
17,378,620 | ||||||
Insurance0.7% | ||||||
ACE Ltd. | 141,000 | 14,491,980 | ||||
Real Estate Investment Trusts (REITs)2.8% | ||||||
American Assets Trust, Inc. | 205,000 | 6,393,950 | ||||
Blackstone Mortgage Trust, Inc., Cl. A | 175,000 | 4,522,000 | ||||
Macerich Co. (The) | 100,000 | 5,694,000 | ||||
Starwood Property Trust, Inc. | 1,355,130 | 37,767,473 | ||||
54,377,423 |
1 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Shares | Value | |||||
Health Care3.8% | ||||||
Health Care Equipment & Supplies0.3% | ||||||
Baxter International, Inc. | 35,000 | $ | 2,395,750 | |||
Covidien plc | 45,000 | 3,071,700 | ||||
5,467,450 | ||||||
Health Care Providers & Services0.9% | ||||||
HCA Holdings, Inc. | 61,550 | 2,857,151 | ||||
UnitedHealth Group, Inc. | 185,000 | 13,778,800 | ||||
Universal Health Services, Inc., Cl. B | 31,000 | 2,555,330 | ||||
19,191,281 | ||||||
Pharmaceuticals2.6% | ||||||
Actavis plc1 | 85,800 | 13,991,406 | ||||
Merck & Co., Inc. | 394,000 | 19,633,020 | ||||
Novartis AG, ADR | 143,000 | 11,314,160 | ||||
Roche Holding AG | 19,500 | 5,423,905 | ||||
50,362,491 | ||||||
Industrials4.1% | ||||||
Aerospace & Defense2.1% | ||||||
Honeywell International, Inc. | 327,000 | 28,942,770 | ||||
Northrop Grumman Corp. | 100,000 | 11,268,000 | ||||
40,210,770 | ||||||
Construction & Engineering0.6% | ||||||
Quanta Services, Inc.1 | 405,000 | 11,992,050 | ||||
Electrical Equipment0.1% | ||||||
Hubbell, Inc., Cl. B | 9,500 | 1,025,145 | ||||
Trading Companies & Distributors1.3% | ||||||
AerCap Holdings NV1 | 750,000 | 15,772,500 | ||||
WESCO International, Inc.1 | 101,956 | 8,766,177 | ||||
24,538,677 | ||||||
Information Technology3.0% | ||||||
Communications Equipment1.2% | ||||||
Cisco Systems, Inc. | 315,222 | 6,698,467 | ||||
QUALCOMM, Inc. | 168,300 | 12,383,514 | ||||
Telefonaktiebolaget LM Ericsson, Cl. B | 390,000 | 4,877,077 | ||||
23,959,058 | ||||||
Computers & Peripherals1.1% | ||||||
Apple, Inc. | 36,879 | 20,507,305 | ||||
IT Services0.4% | ||||||
Accenture plc, Cl. A | 100,000 | 7,747,000 | ||||
Semiconductors & Semiconductor Equipment0.3% | ||||||
Xilinx, Inc. | 145,000 | 6,442,350 | ||||
Materials1.7% | ||||||
Chemicals1.7% | ||||||
Celanese Corp., Series A | 314,000 | 17,624,820 | ||||
LyondellBasell Industries NV, Cl. A | 192,900 | 14,888,022 | ||||
32,512,842 | ||||||
Telecommunication Services1.8% | ||||||
Diversified Telecommunication Services1.8% | ||||||
AT&T, Inc. | 192,750 | 6,786,727 | ||||
BCE, Inc. | 448,000 | 19,797,120 |
2 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Shares | Value | |||||
Diversified Telecommunication Services (Continued) | ||||||
Verizon Communications, Inc. | 203,500 | $ | 10,097,670 | |||
36,681,517 | ||||||
Utilities1.6% | ||||||
Electric Utilities0.9% | ||||||
Cleco Corp. | 75,000 | 3,428,250 | ||||
Edison International | 75,000 | 3,465,750 | ||||
PPL Corp. | 330,853 | 10,160,496 | ||||
17,054,496 | ||||||
Multi-Utilities0.7% | ||||||
CMS Energy Corp. | 285,000 | 7,563,900 | ||||
CenterPoint Energy, Inc. | 281,000 | 6,583,830 | ||||
14,147,730 | ||||||
Total Common Stocks (Cost $494,135,470)
|
|
634,828,138
|
| |||
Preferred Stocks0.7% | ||||||
M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg. | 1,833 | 1,595,627 | ||||
M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg. | 4,500 | 4,140,000 | ||||
M&T Capital Trust IV, 8.50% Cum., Non-Vtg. | 8,124 | 212,036 | ||||
PPL Corp. 8.75% Cv., Non-Vtg. | 147,000 | 7,766,010 | ||||
Total Preferred Stocks (Cost $14,206,907) | 13,713,673 | |||||
Principal Amount | ||||||
Asset-Backed Securities10.5% | ||||||
Aircraft Lease Securitization Ltd., Series 2007-1A, Cl. G3, 0.429%, 5/10/322,4 | $ 25,367,033 | 24,479,187 | ||||
Airspeed Ltd.: | ||||||
Series 2007-1A, Cl. G1, 0.438%, 6/15/322,4 | 31,058,899 | 24,536,530 | ||||
Series 2007-1A, Cl. G2, 0.448%, 6/15/322,4 | 10,610,930 | 8,435,689 | ||||
American Credit Acceptance Receivables Trust: | ||||||
Series 2012-2, Cl. A, 1.89%, 7/15/165 | 636,783 | 639,233 | ||||
Series 2012-3, Cl. A, 1.64%, 11/15/165 | 324,338 | 324,278 | ||||
Series 2012-3, Cl. C, 2.78%, 9/17/185 | 325,000 | 324,970 | ||||
Series 2013-2, Cl. B, 2.84%, 5/15/195 | 1,663,000 | 1,670,913 | ||||
AmeriCredit Automobile Receivables Trust: | ||||||
Series 2010-1, Cl. D, 6.65%, 7/17/17 | 1,055,000 | 1,084,801 | ||||
Series 2011-1, Cl. D, 4.26%, 2/8/17 | 430,000 | 448,447 | ||||
Series 2011-2, Cl. D, 4.00%, 5/8/17 | 1,450,000 | 1,504,505 | ||||
Series 2011-4, Cl. D, 4.08%, 9/8/17 | 2,355,000 | 2,475,823 | ||||
Series 2011-5, Cl. D, 5.05%, 12/8/17 | 1,500,000 | 1,609,165 | ||||
Series 2012-1, Cl. D, 4.72%, 3/8/18 | 1,685,000 | 1,788,030 | ||||
Series 2012-2, Cl. B, 1.78%, 3/8/17 | 1,155,000 | 1,168,136 | ||||
Series 2012-2, Cl. D, 3.38%, 4/9/18 | 2,345,000 | 2,435,368 | ||||
Series 2012-4, Cl. D, 2.68%, 10/9/18 | 2,345,000 | 2,378,522 | ||||
Series 2012-5, Cl. C, 1.69%, 11/8/18 | 940,000 | 941,319 | ||||
Series 2012-5, Cl. D, 2.35%, 12/10/18 | 1,280,000 | 1,286,349 | ||||
Series 2013-1, Cl. C, 1.57%, 1/8/19 | 1,610,000 | 1,600,228 | ||||
Series 2013-1, Cl. D, 2.09%, 2/8/19 | 1,115,000 | 1,113,910 | ||||
Series 2013-2, Cl. D, 2.42%, 5/8/19 | 1,815,000 | 1,813,143 | ||||
Series 2013-3, Cl. D, 3.00%, 7/8/19 | 1,250,000 | 1,267,374 | ||||
Series 2013-4, Cl. D, 3.31%, 10/8/19 | 415,000 | 424,774 | ||||
Series 2013-5, Cl. D, 2.86%, 12/8/19 | 645,000 | 647,513 |
3 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Asset-Backed Securities (Continued) | ||||||||
Blade Engine Securitization Ltd.: | ||||||||
Series 2006-1A, Cl. A1, 1.168%, 9/15/414 | $ 1,699,850 | $ 1,240,891 | ||||||
Series 2006-1A, Cl. B, 3.168%, 9/15/412,4 | 9,051,768 | 6,426,755 | ||||||
Series 2006-1AW, Cl. A1, 0.468%, 9/15/412,4 | 23,438,451 | 16,875,685 | ||||||
California Republic Auto Receivables Trust, Series 2013-2, Cl. C, 3.32%, 8/17/20 | 1,105,000 | 1,106,022 | ||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-1, Cl. D, 2.19%, 9/20/21 | 725,000 | 714,584 | ||||||
Series 2013-4, Cl. D, 3.22%, 5/20/19 | 505,000 | 505,913 | ||||||
Carfinance Capital Auto Trust: | ||||||||
Series 2013-1A, Cl. A, 1.65%, 7/17/175 | 504,608 | 503,720 | ||||||
Series 2013-2A, Cl. B, 3.15%, 8/15/195 | 2,460,000 | 2,468,331 | ||||||
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/165 | 199,572 | 207,114 | ||||||
CPS Auto Receivables Trust: | ||||||||
Series 2012-B, Cl. A, 2.52%, 9/16/195 | 1,152,355 | 1,167,141 | ||||||
Series 2012-C, Cl. A, 1.82%, 12/16/195 | 407,774 | 410,445 | ||||||
Credit Acceptance Auto Loan Trust: | ||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/195 | 890,000 | 897,431 | ||||||
Series 2012-2A, Cl. A, 1.52%, 3/16/205 | 535,000 | 537,151 | ||||||
Series 2012-2A, Cl. B, 2.21%, 9/15/205 | 270,000 | 272,040 | ||||||
Series 2013-1A, Cl. B, 1.83%, 4/15/215 | 980,000 | 976,834 | ||||||
Series 2013-2A, Cl. B, 2.26%, 10/15/212 | 1,200,000 | 1,201,100 | ||||||
DT Auto Owner Trust: | ||||||||
Series 2011-3A, Cl. C, 4.03%, 2/15/175 | 895,560 | 897,372 | ||||||
Series 2012-1A, Cl. D, 4.94%, 7/16/185 | 1,235,000 | 1,267,495 | ||||||
Series 2012-2A, Cl. D, 4.35%, 3/15/195 | 2,915,000 | 2,979,228 | ||||||
Series 2013-1A, Cl. D, 3.74%, 5/15/205 | 750,000 | 754,729 | ||||||
Series 2013-2A, Cl. D, 4.18%, 6/15/205 | 1,960,000 | 1,979,703 | ||||||
Exeter Automobile Receivables Trust: | ||||||||
Series 2012-2A, Cl. B, 2.22%, 12/15/175 | 750,000 | 748,604 | ||||||
Series 2012-2A, Cl. C, 3.06%, 7/16/185 | 185,000 | 183,926 | ||||||
Series 2013-2A, Cl. B, 3.09%, 7/16/185 | 3,610,000 | 3,645,539 | ||||||
Series 2013-2A, Cl. C, 4.35%, 1/15/195 | 1,845,000 | 1,870,535 | ||||||
First Investors Auto Owner Trust: | ||||||||
Series 2012-1A, Cl. D, 5.65%, 4/15/185 | 770,000 | 811,080 | ||||||
Series 2013-3A, Cl. B, 2.32%, 10/15/195 | 1,840,000 | 1,844,886 | ||||||
Series 2013-3A, Cl. C, 2.91%, 1/15/205 | 785,000 | 792,028 | ||||||
Series 2013-3A, Cl. D, 3.67%, 5/15/205 | 580,000 | 570,615 | ||||||
Ford Credit Auto Owner Trust, Series 2013-A, Cl. D, 1.86%, 8/15/19 | 1,180,000 | 1,176,020 | ||||||
Ford Credit Floorplan Master Owner Trust A: | ||||||||
Series 2012-1, Cl. C, 1.668%, 1/15/164 | 605,000 | 605,813 | ||||||
Series 2012-2, Cl. C, 2.86%, 1/15/19 | 1,490,000 | 1,539,559 | ||||||
Series 2013-3, Cl. D, 1.74%, 6/15/17 | 675,000 | 677,204 | ||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/435 | 435,937 | 434,269 | ||||||
Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.416%, 9/25/184,5 | 1,790,000 | 1,790,946 | ||||||
New Century Home Equity Loan Trust, Series 2005-2, Cl. M3, 0.656%, 6/25/354 | 5,500,000 | 4,075,533 | ||||||
Prestige Auto Receivables Trust, Series 2011-1A, Cl. D, 5.18%, 7/16/185 | 585,000 | 603,115 | ||||||
Raspro Trust, Series 2005-1A, Cl. G, 0.653%, 3/23/242,4 | 954,617 | 892,567 | ||||||
Santander Drive Auto Receivables Trust: |
4 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Asset-Backed Securities (Continued) | ||||||||
Series 2011-1, Cl. D, 4.01%, 2/15/17 | $ 1,715,000 | $ 1,788,720 | ||||||
Series 2011-S2A, Cl. D, 3.35%, 6/15/172 | 123,199 | 123,445 | ||||||
Series 2012-1, Cl. C, 3.78%, 11/15/17 | 180,000 | 186,660 | ||||||
Series 2012-2, Cl. C, 3.20%, 2/15/18 | 3,010,000 | 3,101,048 | ||||||
Series 2012-2, Cl. D, 3.87%, 2/15/18 | 1,875,000 | 1,971,078 | ||||||
Series 2012-3, Cl. C, 3.01%, 4/16/18 | 1,160,000 | 1,197,234 | ||||||
Series 2012-4, Cl. C, 2.94%, 12/15/17 | 730,000 | 755,232 | ||||||
Series 2012-4, Cl. D, 3.50%, 6/15/18 | 2,785,000 | 2,920,765 | ||||||
Series 2012-5, Cl. C, 2.70%, 8/15/18 | 1,210,000 | 1,246,826 | ||||||
Series 2012-5, Cl. D, 3.30%, 9/17/18 | 3,110,000 | 3,221,767 | ||||||
Series 2012-6, Cl. B, 1.33%, 5/15/17 | 2,035,000 | 2,043,005 | ||||||
Series 2012-6, Cl. D, 2.52%, 9/17/18 | 3,340,000 | 3,366,889 | ||||||
Series 2012-AA, Cl. D, 2.46%, 12/17/185 | 3,565,000 | 3,577,312 | ||||||
Series 2013-1, Cl. C, 1.76%, 1/15/19 | 2,070,000 | 2,061,758 | ||||||
Series 2013-1, Cl. D, 2.27%, 1/15/19 | 895,000 | 891,030 | ||||||
Series 2013-2, Cl. D, 2.57%, 3/15/19 | 1,260,000 | 1,263,890 | ||||||
Series 2013-3, Cl. C, 1.81%, 4/15/19 | 3,650,000 | 3,646,144 | ||||||
Series 2013-3, Cl. D, 2.42%, 4/15/19 | 905,000 | 902,107 | ||||||
Series 2013-4, Cl. D, 3.92%, 1/15/20 | 495,000 | 518,317 | ||||||
Series 2013-5, Cl. D, 2.73%, 10/15/19 | 1,560,000 | 1,561,635 | ||||||
Series 2013-A, Cl. C, 3.12%, 10/15/195 | 3,535,000 | 3,652,993 | ||||||
SNAAC Auto Receivables Trust: | ||||||||
Series 2012-1A, Cl. A, 1.78%, 6/15/165 | 164,279 | 164,585 | ||||||
Series 2012-1A, Cl. C, 4.38%, 6/15/175 | 715,000 | 733,138 | ||||||
Series 2013-1A, Cl. B, 2.09%, 7/16/185 | 540,000 | 539,676 | ||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/185 | 600,000 | 598,792 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Cl. A2, 0.486%, 5/25/374,5 | 10,000,000 | 8,608,030 | ||||||
United Auto Credit Securitization Trust: | ||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/155 | 178,060 | 178,060 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/155 | 910,000 | 910,068 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/165 | 660,000 | 660,031 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/185 | 565,000 | 565,066 | ||||||
Series 2013-1, Cl. B, 1.74%, 4/15/165 | 975,000 | 974,454 | ||||||
Series 2013-1, Cl. C, 2.22%, 12/15/175 | 620,000 | 619,644 | ||||||
Series 2013-1, Cl. D, 2.90%, 12/15/175 | 110,000 | 109,939 | ||||||
Total Asset-Backed Securities (Cost $202,253,806) | 204,709,468 | |||||||
Mortgage-Backed Obligations19.8% | ||||||||
Government Agency14.3% | ||||||||
FHLMC/FNMA/FHLB/Sponsored14.3% | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
4.50%, 5/1/196 | 1,189,275 | 1,262,471 | ||||||
5.00%, 12/1/34 | 89,259 | 97,099 | ||||||
6.00%, 5/1/18 | 379,931 | 400,999 | ||||||
6.50%, 7/1/28-4/1/34 | 255,779 | 287,831 | ||||||
7.00%, 10/1/31 | 305,301 | 358,697 | ||||||
8.00%, 4/1/16 | 42,688 | 44,496 | ||||||
9.00%, 8/1/22-5/1/25 | 25,644 | 28,781 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 15.48%, 4/1/277 | 199,446 | 47,842 |
5 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
Series 192, Cl. IO, 11.98%, 2/1/287 | $ 60,715 | $ 10,727 | ||||||
Series 243, Cl. 6, 0.00%, 12/15/327,8 | 227,629 | 34,532 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.68%, 6/1/269 | 65,662 | 62,512 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 138,387 | 156,706 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 632,408 | 723,283 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 147,024 | 166,535 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 | 258,160 | 291,070 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 117,399 | 134,151 | ||||||
Series 2426, Cl. BG, 6.00%, 3/15/17 | 542,600 | 575,537 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/1/32 | 454,672 | 514,464 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/1/32 | 671,306 | 765,926 | ||||||
Series 2500, Cl. FD, 0.668%, 3/15/324 | 80,524 | 81,009 | ||||||
Series 2526, Cl. FE, 0.568%, 6/15/294 | 88,638 | 88,818 | ||||||
Series 2538, Cl. F, 0.768%, 12/15/324 | 572,412 | 576,380 | ||||||
Series 2551, Cl. FD, 0.568%, 1/15/334 | 57,204 | 57,332 | ||||||
Series 2626, Cl. TB, 5.00%, 6/15/33 | 885,274 | 966,109 | ||||||
Series 2707, Cl. QE, 4.50%, 11/15/18 | 1,136,034 | 1,209,700 | ||||||
Series 3025, Cl. SJ, 24.135%, 8/15/354 | 83,779 | 131,115 | ||||||
Series 3030, Cl. FL, 0.568%, 9/15/354 | 1,149,627 | 1,149,163 | ||||||
Series 3822, Cl. JA, 5.00%, 6/1/40 | 591,484 | 624,473 | ||||||
Series 3848, Cl. WL, 4.00%, 4/1/40 | 1,222,170 | 1,311,044 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 | 2,099,914 | 2,101,193 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2130, Cl. SC, 53.59%, 3/15/297 | 180,623 | 34,171 | ||||||
Series 2796, Cl. SD, 54.05%, 7/15/267 | 252,532 | 44,084 | ||||||
Series 2802, Cl. AS, 0.00%, 4/15/337,8 | 43,138 | 713 | ||||||
Series 2815, Cl. PT, 17.64%, 11/15/327 | 3,467,509 | 362,843 | ||||||
Series 2920, Cl. S, 50.93%, 1/15/357 | 1,392,274 | 229,345 | ||||||
Series 2922, Cl. SE, 7.97%, 2/15/357 | 342,363 | 56,740 | ||||||
Series 2937, Cl. SY, 20.90%, 2/15/357 | 4,841,018 | 758,975 | ||||||
Series 3201, Cl. SG, 8.33%, 8/15/367 | 1,245,908 | 222,270 | ||||||
Series 3397, Cl. GS, 12.93%, 12/15/377 | 746,959 | 135,366 | ||||||
Series 3424, Cl. EI, 0.00%, 4/15/387,8 | 483,531 | 51,072 | ||||||
Series 3450, Cl. BI, 12.62%, 5/15/387 | 1,740,784 | 250,350 | ||||||
Series 3606, Cl. SN, 6.10%, 12/15/397 | 741,050 | 125,259 | ||||||
Federal National Mortgage Assn. Pool: | ||||||||
2.50%, 12/1/2810 | 12,750,000 | 12,735,557 | ||||||
3.00%, 12/1/2610 | 25,120,000 | 25,893,226 | ||||||
3.50%, 12/25/28-12/15/4310 | 67,775,000 | 69,163,379 | ||||||
4.00%, 12/1/26-12/1/4310 | 49,470,000 | 51,699,241 | ||||||
4.50%, 12/1/28-12/1/4210 | 30,370,000 | 32,403,130 | ||||||
5.00%, 12/1/4110 | 3,305,000 | 3,593,414 | ||||||
5.50%, 2/1/35-4/1/39 | 3,306,179 | 3,619,823 | ||||||
6.00%, 12/1/4110 | 6,075,000 | 6,695,553 | ||||||
6.50%, 5/1/17-11/1/31 | 1,434,697 | 1,570,580 | ||||||
7.00%, 11/1/17-7/1/35 | 177,835 | 193,173 | ||||||
7.50%, 1/1/33-3/1/33 | 3,255,250 | 3,740,553 | ||||||
8.50%, 7/1/32 | 10,682 | 12,493 |
6 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 222, Cl. 2, 25.62%, 6/1/237 | $ 446,059 | $ 88,297 | ||||||
Series 252, Cl. 2, 41.88%, 11/1/237 | 403,889 | 87,099 | ||||||
Series 303, Cl. IO, 33.30%, 11/1/297 | 160,227 | 43,186 | ||||||
Series 308, Cl. 2, 26.66%, 9/1/307 | 385,443 | 97,892 | ||||||
Series 320, Cl. 2, 10.01%, 4/1/327 | 1,434,900 | 357,998 | ||||||
Series 321, Cl. 2, 2.45%, 4/1/327 | 1,120,242 | 207,777 | ||||||
Series 331, Cl. 9, 0.00%, 2/1/337,8 | 398,205 | 88,468 | ||||||
Series 334, Cl. 17, 5.39%, 2/1/337 | 236,805 | 52,877 | ||||||
Series 339, Cl. 12, 0.00%, 6/25/337,8 | 861,077 | 149,449 | ||||||
Series 339, Cl. 7, 0.00%, 8/1/337,8 | 1,025,205 | 177,367 | ||||||
Series 343, Cl. 13, 0.00%, 9/1/337,8 | 805,444 | 146,121 | ||||||
Series 343, Cl. 18, 0.00%, 5/1/347,8 | 243,283 | 45,143 | ||||||
Series 345, Cl. 9, 0.00%, 1/1/347,8 | 357,886 | 61,271 | ||||||
Series 351, Cl. 10, 0.00%, 4/1/347,8 | 284,832 | 48,111 | ||||||
Series 351, Cl. 8, 0.00%, 4/1/347,8 | 471,223 | 80,076 | ||||||
Series 356, Cl. 10, 0.00%, 6/1/357,8 | 348,409 | 58,407 | ||||||
Series 356, Cl. 12, 0.00%, 2/1/357,8 | 171,428 | 28,522 | ||||||
Series 362, Cl. 13, 0.00%, 8/1/357,8 | 604,970 | 102,064 | ||||||
Series 364, Cl. 16, 0.00%, 9/1/357,8 | 697,708 | 119,293 | ||||||
Series 365, Cl. 16, 0.00%, 3/1/367,8 | 1,858,818 | 287,497 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 | 386,931 | 438,179 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 | 186,300 | 208,691 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 | 304,497 | 342,219 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 | 551,111 | 616,217 | ||||||
Series 2003-130, Cl. CS, 13.768%, 12/25/334 | 353,275 | 429,951 | ||||||
Series 2003-28, Cl. KG, 5.50%, 4/25/23 | 2,334,400 | 2,580,794 | ||||||
Series 2004-101, Cl. BG, 5.00%, 1/25/20 | 1,032,897 | 1,084,686 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 | 610,348 | 656,586 | ||||||
Series 2005-19, Cl. SA, 46.23%, 3/25/357 | 3,411,629 | 793,481 | ||||||
Series 2005-104, Cl. MC, 5.50%, 12/25/25 | 4,945,388 | 5,477,386 | ||||||
Series 2005-31, Cl. PB, 5.50%, 4/25/35 | 1,430,000 | 1,613,262 | ||||||
Series 2005-69, Cl. LE, 5.50%, 11/25/33 | 2,119 | 2,119 | ||||||
Series 2005-73, Cl. DF, 0.416%, 8/25/354 | 2,853,200 | 2,853,173 | ||||||
Series 2006-11, Cl. PS, 23.958%, 3/25/364 | 249,899 | 388,037 | ||||||
Series 2006-46, Cl. SW, 23.591%, 6/25/364 | 207,334 | 319,798 | ||||||
Series 2006-50, Cl. KS, 23.591%, 6/25/364 | 426,178 | 666,431 | ||||||
Series 2006-50, Cl. SK, 23.591%, 6/25/364 | 63,911 | 99,931 | ||||||
Series 2007-109, Cl. NF, 0.716%, 12/25/374 | 1,184,619 | 1,195,636 | ||||||
Series 2008-14, Cl. BA, 4.25%, 3/25/23 | 608,380 | 644,161 | ||||||
Series 2009-36, Cl. FA, 1.106%, 6/25/374 | 815,122 | 823,285 | ||||||
Series 2009-37, Cl. HA, 4.00%, 4/25/19 | 1,277,044 | 1,345,503 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 | 4,236,448 | 4,464,483 | ||||||
Series 2010-43, Cl. KG, 3.00%, 1/25/21 | 1,079,241 | 1,119,791 | ||||||
Series 2011-15, Cl. DA, 4.00%, 3/25/41 | 442,947 | 470,641 | ||||||
Series 2011-3, Cl. KA, 5.00%, 4/25/40 | 1,461,113 | 1,604,030 | ||||||
Series 2011-82, Cl. AD, 4.00%, 8/25/26 | 2,237,044 | 2,368,018 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
7 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
Series 2001-15, Cl. SA, 55.06%, 3/17/317 | $ 180,833 | $ 31,480 | ||||||
Series 2001-65, Cl. S, 22.69%, 11/25/317 | 388,080 | 74,573 | ||||||
Series 2001-81, Cl. S, 22.68%, 1/25/327 | 99,604 | 22,007 | ||||||
Series 2002-47, Cl. NS, 29.41%, 4/25/327 | 243,661 | 49,680 | ||||||
Series 2002-51, Cl. S, 29.59%, 8/25/327 | 223,714 | 45,034 | ||||||
Series 2002-52, Cl. SD, 33.89%, 9/25/327 | 303,457 | 62,079 | ||||||
Series 2002-60, Cl. SM, 24.67%, 8/25/327 | 334,738 | 61,046 | ||||||
Series 2002-7, Cl. SK, 21.74%, 1/25/327 | 102,300 | 20,127 | ||||||
Series 2002-75, Cl. SA, 26.47%, 11/25/327 | 478,172 | 94,172 | ||||||
Series 2002-77, Cl. BS, 23.12%, 12/18/327 | 207,072 | 42,725 | ||||||
Series 2002-77, Cl. SH, 35.58%, 12/18/327 | 153,350 | 32,608 | ||||||
Series 2002-89, Cl. S, 45.99%, 1/25/337 | 734,858 | 155,184 | ||||||
Series 2002-9, Cl. MS, 24.12%, 3/25/327 | 135,145 | 25,315 | ||||||
Series 2002-90, Cl. SN, 25.56%, 8/25/327 | 172,369 | 29,169 | ||||||
Series 2002-90, Cl. SY, 31.05%, 9/25/327 | 82,899 | 13,876 | ||||||
Series 2003-33, Cl. SP, 24.12%, 5/25/337 | 440,936 | 96,245 | ||||||
Series 2003-46, Cl. IH, 0.00%, 6/25/237,11 | 904,052 | 113,185 | ||||||
Series 2004-54, Cl. DS, 38.54%, 11/25/307 | 277,734 | 47,668 | ||||||
Series 2004-56, Cl. SE, 10.25%, 10/25/337 | 613,687 | 106,238 | ||||||
Series 2005-12, Cl. SC, 10.59%, 3/25/357 | 171,435 | 40,796 | ||||||
Series 2005-40, Cl. SA, 47.38%, 5/25/357 | 766,594 | 135,610 | ||||||
Series 2005-52, Cl. JH, 8.73%, 5/25/357 | 1,739,773 | 309,412 | ||||||
Series 2005-6, Cl. SE, 55.17%, 2/25/357 | 1,183,489 | 183,630 | ||||||
Series 2005-93, Cl. SI, 13.87%, 10/25/357 | 985,071 | 161,849 | ||||||
Series 2008-55, Cl. SA, 0.00%, 7/25/387,8 | 796,351 | 131,854 | ||||||
Series 2009-8, Cl. BS, 0.00%, 2/25/247,8 | 1,028,474 | 95,346 | ||||||
Series 2012-40, Cl. PI, 3.13%, 4/25/417 | 5,225,223 | 995,846 | ||||||
Series 2639, Cl. SA, 0.00%, 7/15/227,8 | 222,317 | 6,361 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.23%, 9/25/239 | 173,515 | 159,687 | ||||||
266,127,511 | ||||||||
GNMA/Guaranteed0.7% | ||||||||
Government National Mortgage Assn. I Pool: | ||||||||
3.50%, 12/15/4210 | 10,795,000 | 11,011,743 | ||||||
8.50%, 8/15/17-12/15/17 | 31,195 | 33,100 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2002-15, Cl. SM, 60.06%, 2/16/327 | 372,883 | 65,833 | ||||||
Series 2002-41, Cl. GS, 55.51%, 6/16/327 | 203,455 | 38,814 | ||||||
Series 2002-76, Cl. SY, 54.23%, 12/16/267 | 960,766 | 179,205 | ||||||
Series 2007-17, Cl. AI, 13.64%, 4/16/377 | 2,773,837 | 478,674 | ||||||
Series 2011-52, Cl. HS, 8.63%, 4/16/417 | 3,196,313 | 569,693 | ||||||
12,377,062 | ||||||||
Non-Agency5.5% | ||||||||
Commercial3.0% | ||||||||
Banc of America Commercial Mortgage Trust: | ||||||||
Series 2006-5, Cl. AM, 5.448%, 9/10/47 | 1,890,000 | 2,027,139 | ||||||
Series 2006-6, Cl. AM, 5.39%, 10/10/45 | 1,490,000 | 1,628,419 |
8 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust: | ||||||||
Series 2005-9, Cl. A1, 2.43%, 10/25/354 | $ 817,644 | $ 806,356 | ||||||
Series 2007-4, Cl. 22A1, 5.108%, 6/25/474 | 1,053,787 | 951,360 | ||||||
CD Commercial Mortgage Trust: | ||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 15,210 | 15,236 | ||||||
Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/494 | 1,500,000 | 1,566,908 | ||||||
Citigroup Commercial Mortgage Trust: | ||||||||
Series 2008-C7, Cl. AM, 6.132%, 12/1/494 | 1,560,000 | 1,751,524 | ||||||
Series 20113-GCJ11, 4.607%, 4/10/465 | 675,000 | 591,148 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2012-CR4, Cl. D, 4.577%, 10/15/454,5 | 180,000 | 163,394 | ||||||
Series 2012-CR5, Cl. E, 4.335%, 12/10/454,5 | 280,000 | 245,606 | ||||||
Series 2013-CR7, Cl. D, 4.36%, 3/10/464,5 | 735,000 | 624,813 | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2010-C1, Cl. XPA, 0.00%, 7/10/465,7 | 13,406,036 | 561,787 | ||||||
Series 2012-CR5, Cl. XA, 3.04%, 12/10/457 | 6,090,660 | 655,620 | ||||||
Countrywide Alternative Loan Trust, Series 2006-J2, Cl. A7, 6.00%, 4/25/36 | 156,838 | 142,139 | ||||||
Countrywide Home Loans, Series 2007-J3, Cl. A9, 6.00%, 7/1/37 | 601,530 | 496,670 | ||||||
Credit Suisse Commercial Mortgage Trust: | ||||||||
Series 2006-6, Cl. 1A4, 6.00%, 7/25/36 | 2,088,112 | 1,623,445 | ||||||
Series 2006-C1, Cl. AJ, 5.465%, 2/15/394 | 1,000,000 | 1,067,086 | ||||||
Credit Suisse First Boston Commercial Trust, Series 2005-C6, Cl. AJ, 5.23%, 12/15/404 | 1,600,000 | 1,693,202 | ||||||
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.557%, 11/10/464,5 | 260,000 | 258,470 | ||||||
EverBank Mortgage Loan Trust, Series 2013-1, Cl. A1, 2.25%, 3/25/434,5 | 3,198,672 | 2,895,291 | ||||||
First Horizon Alternative Mortgage Securities Trust: | ||||||||
Series 2005-FA8, Cl. 1A6, 0.816%, 11/25/354 | 1,119,709 | 851,423 | ||||||
Series 2005-FA9, Cl. A4A, 5.50%, 12/25/35 | 113,550 | 100,491 | ||||||
Series 2007-FA2, Cl. 1A1, 5.50%, 4/1/37 | 192,571 | 143,457 | ||||||
Series 2007-FA4, Cl. 1A6, 6.25%, 8/25/374 | 1,305,769 | 1,096,472 | ||||||
FREMF Mortgage Trust: | ||||||||
Series 2013-K25, Cl. C, 3.618%, 11/25/454,5 | 350,000 | 299,047 | ||||||
Series 2013-K26, Cl. C, 3.60%, 12/25/454,5 | 255,000 | 216,801 | ||||||
Series 2013-K27, Cl. C, 3.497%, 1/25/464,5 | 400,000 | 337,817 | ||||||
Series 2013-K28, Cl. C, 3.494%, 6/25/464,5 | 420,000 | 348,024 | ||||||
Series 2013-K712, Cl. C, 3.367%, 5/25/454,5 | 650,000 | 591,207 | ||||||
GCCFC Commercial Mortgage Trust, Series 2007-GG11, Cl. AM, 5.867%, 12/1/494 | 2,785,000 | 3,084,459 | ||||||
GE Capital Commercial Mortgage Corp., Series 2005-C4, Cl. AJ, 5.311%, 11/10/454 | 1,595,000 | 1,551,218 | ||||||
GS Mortgage Securities Trust, Series 2011-GC3, Cl. A1, 2.331%, 3/10/445 | 544,675 | 551,036 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.221%, 7/25/354 | 757,406 | 751,910 | ||||||
IndyMac Index Mortgage Loan Trust, Series 2005-AR23, Cl. 6A1, 4.683%, 11/25/354 | 1,507,631 | 1,259,808 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45 | 1,750,000 | 1,722,631 | ||||||
Series 2006-LDP8, Cl. AJ, 5.48%, 5/15/454 | 1,165,000 | 1,223,778 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 13,984 | 14,059 | ||||||
Series 2007-LDPX, Cl. A3S, 5.317%, 1/15/49 | 1,201,307 | 1,200,300 | ||||||
Series 2011-C3, Cl. A1, 1.875%, 2/15/465 | 571,843 | 574,570 |
9 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
JP Morgan Mortgage Trust, Series 2007-S3, Cl. 1A90, 7.00%, 8/25/37 | $ 1,685,581 | $ 1,546,201 | ||||||
JPMorgan Re-Securitization Trust, Series 2009-5, Cl. 1A2, 2.612%, 7/26/364,5 | 1,410,074 | 1,085,822 | ||||||
Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/434 | 1,485,000 | 1,612,477 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2012-C6, Cl. E, 4.664%, 11/15/454,5 | 545,000 | 493,926 | ||||||
Series 2013-C7, Cl. D, 4.304%, 2/15/464,5 | 645,000 | 563,754 | ||||||
Series 2013-C8, Cl. D, 4.172%, 12/15/484,5 | 485,000 | 414,722 | ||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44 | 2,740,000 | 2,996,219 | ||||||
Series 2007-IQ15, Cl. AM, 5.91%, 6/1/494 | 1,700,000 | 1,851,105 | ||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.065%, 11/26/362,4 | 2,000,713 | 1,166,791 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||
Series 2004-10, Cl. 2A, 2.394%, 8/25/344 | 1,197,066 | 1,164,541 | ||||||
Series 2006-4, Cl. 6A, 5.09%, 5/25/364 | 393,244 | 332,601 | ||||||
Series 2007-6, Cl. 3A1, 4.701%, 7/25/374 | 1,641,447 | 1,296,170 | ||||||
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.891%, 5/1/634,5 | 240,000 | 214,831 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Cl. AM, 5.383%, 12/15/43 | 350,000 | 380,662 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Cl. 1A4, 2.381%, 12/25/354 | 830,187 | 767,150 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-AR15, Cl. 1A6, 2.607%, 9/25/354 | 1,438,017 | 1,362,964 | ||||||
Series 2006-AR7, Cl. 2A4, 2.616%, 5/1/364 | 158,025 | 147,532 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 | 1,129,656 | 1,183,037 | ||||||
Series 2007-AR3, Cl. A4, 5.646%, 4/25/374 | 58,859 | 56,442 | ||||||
Series 2007-AR8, Cl. A1, 5.917%, 11/25/374 | 1,334,845 | 1,204,977 | ||||||
WF-RBS Commercial Mortgage Trust: | ||||||||
Series 2012-C10, Cl. D, 4.46%, 12/15/454,5 | 280,000 | 246,399 | ||||||
Series 2012-C7, Cl. E, 4.848%, 6/15/454,5 | 500,000 | 459,313 | ||||||
Series 2012-C8, Cl. E, 4.878%, 8/15/454,5 | 545,000 | 507,247 | ||||||
Series 2013-C11, Cl. D, 4.184%, 3/15/454,5 | 278,000 | 241,275 | ||||||
Series 2013-C15, Cl. D, 4.486%, 8/15/464,5 | 625,000 | 543,848 | ||||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 1.39%, 3/15/445,7 | 19,421,853 | 1,335,116 | ||||||
58,859,243 | ||||||||
Multifamily0.2% | ||||||||
Citigroup Mortgage Loan Trust, Series 2006-AR3, Cl. 1A2A, 5.432%, 6/25/364 | 975,337 | 898,755 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2005-86CB, Cl. A8, 5.50%, 2/25/36 | 276,457 | 258,820 | ||||||
Series 2005-J14, Cl. A7, 5.50%, 12/25/35 | 674,933 | 585,156 | ||||||
Series 2006-24CB, Cl. A12, 5.75%, 6/25/36 | 372,009 | 315,558 | ||||||
Countrywide Home Loan, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 | 1,459,110 | 1,278,287 | ||||||
JP Morgan Mortgage Trust, Series 2007-A3, Cl. 3A2M, 4.713%, 5/1/374 | 390,553 | 378,246 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Cl. 2A3, 2.628%, 3/25/364 | 614,895 | 609,168 | ||||||
4,323,990 |
10 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Residential2.3% | ||||||||
Asset Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 0.946%, 6/25/354 | $ 4,000,000 | $ 3,362,020 | ||||||
Banc of America Commercial Mortgage Trust, Series 2007-4, Cl. AM, 5.813%, 2/1/514 | 1,635,000 | 1,825,111 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 | 428,070 | 378,093 | ||||||
Series 2007-C, Cl. 1A4, 5.359%, 5/20/364 | 413,237 | 398,571 | ||||||
Banc of America Mortgage Securities Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37 | 1,423,608 | 1,325,773 | ||||||
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.276%, 7/25/364 | 811,998 | 791,098 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2005-21CB, Cl. A7, 5.50%, 6/25/35 | 1,465,357 | 1,282,321 | ||||||
Series 2005-J10, Cl. 1A17, 5.50%, 10/25/35 | 5,986,219 | 5,423,592 | ||||||
Series 2007-19, Cl. 1A34, 6.00%, 8/25/37 | 1,587,095 | 1,259,247 | ||||||
Countrywide Asset-Backed Certificates: | ||||||||
Series 2004-6, Cl. M5, 1.436%, 8/25/344 | 1,448,259 | 1,221,278 | ||||||
Series 2005-16, Cl. 2AF2, 5.021%, 5/25/364 | 293,039 | 289,001 | ||||||
Countrywide Home Loans: | ||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | 1,450,653 | 1,365,737 | ||||||
Series 2005-29, Cl. A1, 5.75%, 12/25/35 | 1,113,870 | 1,015,435 | ||||||
Series 2006-17, Cl. A2, 6.00%, 12/25/36 | 2,228,875 | 2,012,951 | ||||||
Series 2006-6, Cl. A3, 6.00%, 4/25/36 | 630,782 | 582,180 | ||||||
Series 2007-15, Cl. 1A29, 6.25%, 9/25/37 | 2,607,756 | 2,396,539 | ||||||
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/374 | 21,440 | 20,714 | ||||||
GSR Mortgage Loan Trust, Series 2006-5F, Cl. 2A1, 6.00%, 6/25/36 | 505,976 | 494,451 | ||||||
Home Equity Mortgage Trust: | ||||||||
Series 2005-HF1, Cl. A2B, 0.866%, 2/25/364 | 663,886 | 625,426 | ||||||
Series 2005-HF1, Cl. A3B, 0.866%, 2/25/364 | 500,033 | 471,065 | ||||||
JP Morgan Alternative Loan Trust, Series 2006-S4, Cl. A6, 5.71%, 12/1/364 | 1,114,626 | 1,048,093 | ||||||
RAMP Trust, Series 2006-NC3, Cl. A3, 0.436%, 3/25/364 | 16,698,000 | 13,319,711 | ||||||
Residential Asset Securitization Trust, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 426,376 | 386,296 | ||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||
Series 2006-AR18, Cl. 3A1, 4.202%, 1/1/374 | 213,200 | 192,218 | ||||||
Series 2007-HY5, Cl. 3A1, 4.835%, 5/25/374 | 950,349 | 912,428 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Cl. 1A1, 6.25%, 11/25/37 | 1,184,013 | 1,084,867 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 766,909 | 791,330 | ||||||
Series 2006-AR14, Cl. 1A2, 5.584%, 10/1/364 | 905,375 | 877,358 | ||||||
45,152,904 | ||||||||
Total Mortgage-Backed Obligations (Cost $371,662,806) | 386,840,710 | |||||||
U.S. Government Obligations1.0% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
0.875%, 10/14/16-3/7/18 | 7,034,000 | 7,037,190 | ||||||
1.375%, 5/1/20 | 2,126,000 | 2,028,240 | ||||||
2.375%, 1/13/22 | 3,075,000 | 2,993,513 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.25%, 1/30/17 | 3,109,000 | 3,165,615 |
11 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
U.S. Government Obligations (Continued) | ||||||||
1.375%, 11/15/16 | $ 2,801,000 | $ 2,864,006 | ||||||
1.625%, 11/27/18 | 1,131,000 | 1,137,106 | ||||||
1.875%, 9/18/18 | 989,000 | 1,008,206 | ||||||
Total U.S. Government Obligations (Cost $20,274,452) | 20,233,876 | |||||||
Non-Convertible Corporate Bonds and Notes19.3% | ||||||||
Consumer Discretionary1.8% | ||||||||
Auto Components0.2% | ||||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 | 1,551,000 | 1,682,835 | ||||||
TRW Automotive, Inc., 4.50% Sr. Unsec. Nts., 3/1/215 | 1,125,000 | 1,161,563 | ||||||
2,844,398 | ||||||||
Automobiles0.4% | ||||||||
Daimler Finance North America LLC: | ||||||||
1.30% Sr. Unsec. Nts., 7/31/155 | 1,775,000 | 1,786,999 | ||||||
8.50% Sr. Unsec. Unsub. Nts., 1/18/31 | 942,000 | 1,361,069 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Unsub. Nts., 8/2/21 | 3,563,000 | 4,049,902 | ||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/435 | 586,000 | 597,720 | ||||||
General Motors Financial Co., Inc., 4.25% Sr. Unsec. Nts., 5/15/235 | 1,457,000 | 1,391,435 | ||||||
9,187,125 | ||||||||
Hotels, Restaurants & Leisure0.2% | ||||||||
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18 | 560,000 | 559,592 | ||||||
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/1610 | 1,860,000 | 1,858,700 | ||||||
Starwood Hotels & Resorts Worldwide, Inc.: 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
944,000 | 1,156,378 | ||||||
7.375% Sr. Unsec. Nts., 11/15/15 | 638,000 | 711,130 | ||||||
4,285,800 | ||||||||
Household Durables0.2% | ||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 | 1,662,000 | 1,778,340 | ||||||
Toll Brothers Finance Corp., 4% Sr. Unsec. Nts., 12/31/18 | 1,835,000 | 1,867,113 | ||||||
3,645,453 | ||||||||
Media0.4% | ||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 995,000 | 1,393,296 | ||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 | 1,129,000 | 1,041,639 | ||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 | 201,000 | 271,019 | ||||||
Interpublic Group of Cos., Inc. (The), 6.25% Sr. Unsec. Nts., 11/15/14 | 1,043,000 | 1,092,542 | ||||||
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23 | 1,657,000 | 1,590,720 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 | 619,000 | 686,561 | ||||||
WPP Finance 2010, 5.625% Sr. Unsec. Nts., 11/15/4310 | 596,000 | 584,497 | ||||||
6,660,274 | ||||||||
Multiline Retail0.2% | ||||||||
Dollar General Corp., 4.125% Sr. Unsec. Nts., 7/15/17 | 1,886,000 | 2,016,357 | ||||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 | 2,212,000 | 2,281,718 | ||||||
4,298,075 |
12 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Specialty Retail0.1% | ||||||||
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44 | $ 649,000 | $ 661,750 | ||||||
Rent-A-Center, Inc., 4.75% Sr. Unsec. Nts., 5/1/21 | 1,796,000 | 1,692,730 | ||||||
2,354,480 | ||||||||
Textiles, Apparel & Luxury Goods0.1% | ||||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | 1,755,000 | 1,658,475 | ||||||
Consumer Staples0.8% | ||||||||
Beverages0.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 1,366,000 | 2,002,496 | ||||||
Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/2110 | 1,746,000 | 1,649,970 | ||||||
Fosters Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/145 | 1,522,000 | 1,573,947 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/425 | 850,000 | 857,618 | ||||||
|
6,084,031
|
| ||||||
Food & Staples Retailing0.1% | ||||||||
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40 | 930,000 | 894,051 | ||||||
Safeway, Inc., 5.625% Sr. Unsec. Nts., 8/15/14 | 371,000 | 381,178 | ||||||
Wal-Mart Stores, Inc., 4% Sr. Unsec. Unsub. Nts., 4/11/43 | 1,455,000 | 1,295,628 | ||||||
|
2,570,857
|
| ||||||
Food Products0.2% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.10% Sr. Unsec. Unsub. Nts., 7/15/15 | 1,412,000 | 1,498,625 | ||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | 208,000 | 211,439 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 1,120,000 | 1,396,966 | ||||||
|
3,107,030
|
| ||||||
Personal Products0.1% | ||||||||
Avon Products, Inc., 5% Sr. Unsec. Nts., 3/15/23 | 1,868,000 | 1,840,447 | ||||||
Tobacco0.1% | ||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | 913,000 | 1,425,859 | ||||||
Lorillard Tobacco Co., 3.75% Sr. Unsec. Nts., 5/20/23 | 1,040,000 | 959,867 | ||||||
2,385,726 | ||||||||
Energy2.9% | ||||||||
Energy Equipment & Services0.3% | ||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 | 1,983,000 | 2,117,414 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Nts., 3/15/14 | 1,388,000 | 1,413,078 | ||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22 | 1,300,000 | 1,333,199 | ||||||
Weatherford International Ltd. Bermuda, 4.50% Sr. Unsec. Unsub. Nts., 4/15/22 | 925,000 | 936,207 | ||||||
|
5,799,898
|
| ||||||
Oil, Gas & Consumable Fuels2.6% | ||||||||
Anadarko Petroleum Corp.: | ||||||||
6.20% Sr. Unsec. Nts., 3/15/40 | 634,000 | 720,194 | ||||||
7.625% Sr. Unsec. Nts., 3/15/14 | 1,186,000 | 1,209,036 | ||||||
Buckeye Partners LP, 4.15% Sr. Unsec. Nts., 7/1/23 | 1,010,000 | 981,077 | ||||||
Canadian Oil Sands Ltd., 6% Sr. Unsec. Nts., 4/1/425 | 770,000 | 786,818 | ||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 | 1,590,000 | 1,685,400 | ||||||
CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec. Unsub. Nts., 5/9/43 | 605,000 | 519,607 | ||||||
Continental Resources, Inc., 4.50% Sr. Unsec. Nts., 4/15/23 | 1,892,000 | 1,882,540 |
13 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.125% Sr. Unsec. Unsub. Nts., 4/1/21 | $ 2,113,000 | $ 2,429,018 | ||||||
DCP Midstream LLC: | ||||||||
5.375% Sr. Unsec. Nts., 10/15/155 | 1,290,000 | 1,379,109 | ||||||
5.85% Jr. Sub. Nts., 5/21/434,5 | 1,796,000 | 1,677,015 | ||||||
DCP Midstream Operating LP: | ||||||||
2.50% Sr. Unsec. Unsub. Nts., 12/1/17 | 1,575,000 | 1,589,512 | ||||||
3.875% Sr. Unsec. Nts., 3/15/23 | 907,000 | 846,562 | ||||||
Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14 | 1,201,000 | 1,257,305 | ||||||
EnCana Holdings Finance Corp., 5.80% Sr. Unsec. Unsub. Nts., 5/1/14 | 779,000 | 795,513 | ||||||
Energy Transfer Partners LP: | ||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 | 471,000 | 488,446 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 | 465,000 | 495,326 | ||||||
8.50% Sr. Unsec. Nts., 4/15/14 | 1,180,000 | 1,211,515 | ||||||
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/205 | 14,000,000 | 15,260,000 | ||||||
Origin Energy Finance Ltd., 3.50% Sr. Unsec. Nts., 10/9/185 | 1,633,000 | 1,661,605 | ||||||
Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21 | 1,668,000 | 1,786,845 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/145 | 1,466,000 | 1,521,898 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/155 | 1,712,000 | 1,716,280 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22 | 939,000 | 940,830 | ||||||
Spectra Energy Partners LP: | ||||||||
4.60% Sr. Unsec. Nts., 6/15/21 | 1,078,000 | 1,128,876 | ||||||
4.75% Sr. Unsec. Nts., 3/15/24 | 888,000 | 922,382 | ||||||
Whiting Petroleum Corp., 5.75% Sr. Unsec. Nts., 3/15/215 | 1,800,000 | 1,863,000 | ||||||
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23 | 928,000 | 841,068 | ||||||
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/215 | 1,390,000 | 1,471,425 | ||||||
49,068,202 | ||||||||
Financials8.4% | ||||||||
Capital Markets1.4% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/195 | 2,385,000 | 2,825,309 | ||||||
Carlyle Holdings II Finance LLC, 5.625% Sr. Sec. Nts., 3/30/435 | 857,000 | 816,712 | ||||||
Deutsche Bank AG, 4.296% Jr. Sub. Nts., 5/24/284 | 1,801,000 | 1,647,355 | ||||||
Goldman Sachs Capital I, 6.345% Sub. Nts., 2/15/34 | 1,710,000 | 1,743,959 | ||||||
Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds3,4 | 5,993,000 | 4,404,855 | ||||||
Goldman Sachs Group, Inc. (The), 2.90% Sr. Unsec. Nts., 7/19/18 | 3,164,000 | 3,249,979 | ||||||
Lazard Group LLC, 4.25% Sr. Unsec. Nts., 11/14/20 | 1,180,000 | 1,181,091 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/215 | 2,772,000 | 3,074,079 | ||||||
Mellon Capital IV, 4% Jr. Sub. Perpetual Bonds3,4 | 6,000,000 | 4,830,000 | ||||||
Morgan Stanley: | ||||||||
5.00% Sub. Nts., 11/24/25 | 1,853,000 | 1,857,714 | ||||||
6.25% Sr. Unsec. Nts., 8/28/17 | 1,000,000 | 1,157,803 | ||||||
Northern Trust Corp., 3.95% Sub. Nts., 10/30/25 | 705,000 | 696,318 | ||||||
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 | 1,477,000 | 1,548,044 | ||||||
|
29,033,218
|
| ||||||
Commercial Banks3.2% | ||||||||
Amsouth Bank NA, 5.20% Sub. Nts., 4/1/15 | 1,582,000 | 1,660,690 | ||||||
Barclays Bank plc, 5.14% Sub. Nts., 10/14/20 | 1,704,000 | 1,810,924 | ||||||
BPCE SA, 5.70% Sub. Nts., 10/22/235 | 1,808,000 | 1,868,568 | ||||||
Commerzbank AG, 8.125% Sub. Nts., 9/19/235 | 1,775,000 | 1,956,938 | ||||||
Credit Agricole SA, 6.637% Jr. Sub. Perpetual Bonds3,4,5 | 2,867,000 | 2,881,335 |
14 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Commercial Banks (Continued) | ||||||||
Fifth Third Capital Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/374 | $ 3,032,000 | $ 3,039,580 | ||||||
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/354 | 4,460,000 | 4,649,550 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/205 | 2,662,000 | 2,996,073 | ||||||
PNC Financial Services Group, Inc. (The), 4.85% Jr. Sub. Perpetual Bonds, Series R3,4 | 1,827,000 | 1,639,733 | ||||||
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds3,4,5 | 2,765,000 | 2,875,600 | ||||||
Regions Bank, 7.50% Sub. Nts., 5/15/18 | 250,000 | 298,750 | ||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U3,4 | 1,900,000 | 1,828,750 | ||||||
Santander Holdings USA, Inc., 3.45% Sr. Unsec. Nts., 8/27/18 | 637,000 | 660,152 | ||||||
Santander UK plc, 5% Sub. Nts., 11/7/235 | 1,460,000 | 1,462,146 | ||||||
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds3,4,5 | 1,705,000 | 1,779,493 | ||||||
Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Bonds3,4 | 11,000,000 | 10,291,600 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K3,4 | 19,297,000 | 21,757,368 | ||||||
|
63,457,250
|
| ||||||
Consumer Finance0.2% | ||||||||
Ally Financial, Inc., 4.75% Sr. Unsec. Nts., 9/10/18 | 1,757,000 | 1,851,439 | ||||||
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22 | 2,031,000 | 1,954,604 | ||||||
National Rural Utilities Cooperative Finance Corp., 4.75% Sr. Unsec. Sub. Nts., 4/30/434 | 941,000 | 878,659 | ||||||
|
4,684,702
|
| ||||||
Diversified Financial Services1.0% | ||||||||
ABN AMRO Bank NV, 2.50% Sr. Unsec. Nts., 10/30/185 | 2,927,000 | 2,948,595 | ||||||
Citigroup, Inc., 6.675% Sub. Nts., 9/13/43 | 1,565,000 | 1,755,313 | ||||||
ING Bank NV, 5.80% Sub. Nts., 9/25/235 | 1,435,000 | 1,497,988 | ||||||
ING US, Inc., 5.65% Jr. Sub. Nts., 5/15/534 | 1,880,000 | 1,832,906 | ||||||
JPMorgan Chase & Co., 7.90% Jr. Sub. Perpetual Bonds, Series 13,4 | 4,500,000 | 4,977,157 | ||||||
Leucadia National Corp., 5.50% Sr. Unsec. Nts., 10/18/23 | 2,538,000 | 2,562,601 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Nts., 5/14/38 | 1,438,000 | 1,828,546 | ||||||
|
17,403,106
|
| ||||||
Insurance2.2% | ||||||||
Allstate Corp. (The), 5.75% Sub. Nts., 8/15/534 | 1,760,000 | 1,789,700 | ||||||
Aon plc, 4% Sr. Unsec. Nts., 11/27/2310 | 2,958,000 | 2,964,913 | ||||||
CNA Financial Corp.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 | 1,671,000 | 1,894,784 | ||||||
5.875% Sr. Unsec. Unsub. Nts., 8/15/20 | 851,000 | 977,733 | ||||||
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/235 | 1,485,000 | 1,491,668 | ||||||
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/155 | 1,490,000 | 1,559,348 | ||||||
Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/235 | 1,436,000 | 1,410,446 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/674 | 3,080,000 | 3,080,000 | ||||||
Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 7/15/14 | 356,000 | 366,168 | ||||||
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 | 10,000,000 | 14,875,000 | ||||||
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/444 | 1,281,000 | 1,232,963 | ||||||
QBE Insurance Group Ltd., 2.40% Sr. Unsec. Nts., 5/1/185,10 | 2,089,000 | 2,048,394 | ||||||
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds3,4,5 | 2,955,000 | 3,147,075 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/374,5 | 1,743,000 | 1,860,652 | ||||||
|
38,698,844
|
|
15 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Real Estate Investment Trusts (REITs)0.4% | ||||||||
American Tower Corp.: | ||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | $ 861,000 | $ 912,796 | ||||||
7.00% Sr. Unsec. Nts., 10/15/17 | 1,409,000 | 1,641,809 | ||||||
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/20 | 645,000 | 633,712 | ||||||
Hospitality Properties Trust, 5.125% Sr. Unsec. Nts., 2/15/15 | 1,497,000 | 1,536,611 | ||||||
Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23 | 1,207,000 | 1,133,521 | ||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Nts., 6/15/14 | 1,115,000 | 1,145,908 | ||||||
7,004,357 | ||||||||
Health Care0.4% | ||||||||
Biotechnology0.2% | ||||||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 | 2,031,000 | 1,928,386 | ||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41 | 920,000 | 1,024,996 | ||||||
|
2,953,382
|
| ||||||
Health Care Equipment & Supplies0.1% | ||||||||
Boston Scientific Corp., 4.125% Sr. Unsec. Nts., 10/1/23 | 1,751,000 | 1,748,503 | ||||||
Health Care Providers & Services0.0% | ||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 | 854,000 | 963,580 | ||||||
Pharmaceuticals0.1% | ||||||||
Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20 | 1,656,000 | 1,730,835 | ||||||
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/185 | 813,000 | 809,158 | ||||||
Zoetis, Inc., 1.875% Sr. Unsec. Nts., 2/1/18 | 604,000 | 602,978 | ||||||
3,142,971 | ||||||||
Industrials0.9% | ||||||||
Aerospace & Defense0.2% | ||||||||
B/E Aerospace, Inc., 5.25% Sr. Unsec. Nts., 4/1/22 | 1,652,000 | 1,701,560 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 | 1,584,000 | 1,734,480 | ||||||
|
3,436,040
|
| ||||||
Building Products0.1% | ||||||||
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 | 1,974,000 | 1,915,974 | ||||||
Commercial Services & Supplies0.1% | ||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20 | 1,786,000 | 1,844,045 | ||||||
Industrial Conglomerates0.1% | ||||||||
General Electric Capital Corp., 5.25% Jr. Sub. Perpetual Bonds3,4 | 1,865,000 | 1,767,087 | ||||||
Machinery0.1% | ||||||||
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/235 | 2,404,000 | 2,381,438 | ||||||
Professional Services0.1% | ||||||||
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20 | 1,805,000 | 1,764,387 | ||||||
Road & Rail0.1% | ||||||||
Kansas City Southern Railway Co., 4.30% Sr. Unsec. Nts., 5/15/435 | 696,000 | 617,324 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: | ||||||||
2.50% Sr. Unsec. Nts., 7/11/145 | 1,660,000 | 1,676,127 |
16 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Road & Rail (Continued) | ||||||||
4.25% Sr. Unsec. Nts., 1/17/235 | $ 865,000 | $ 844,425 | ||||||
3,137,876 | ||||||||
Trading Companies & Distributors0.1% | ||||||||
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19 | 1,638,000 | 1,773,135 | ||||||
Information Technology0.5% | ||||||||
Computers & Peripherals0.2% | ||||||||
Hewlett-Packard Co.: | ||||||||
2.65% Sr. Unsec. Unsub. Nts., 6/1/16 | 2,988,000 | 3,075,988 | ||||||
4.75% Sr. Unsec. Nts., 6/2/14 | 875,000 | 892,340 | ||||||
3,968,328 | ||||||||
Electronic Equipment, Instruments, & Components0.2% | ||||||||
Amphenol Corp., 4.75% Sr. Unsec. Nts., 11/15/14 | 449,000 | 465,550 | ||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 | 2,032,000 | 2,119,646 | ||||||
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22 | 2,120,000 | 2,128,217 | ||||||
|
4,713,413
|
| ||||||
IT Services0.0% | ||||||||
Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23 | 855,000 | 785,824 | ||||||
Office Electronics0.1% | ||||||||
Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15 | 1,708,000 | 1,775,387 | ||||||
Materials1.4% | ||||||||
Chemicals0.1% | ||||||||
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43 | 558,000 | 563,794 | ||||||
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20 | 1,750,000 | 1,806,875 | ||||||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 | 912,000 | 849,030 | ||||||
Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42 | 1,032,000 | 900,373 | ||||||
|
4,120,072
|
| ||||||
Construction Materials0.1% | ||||||||
CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16 | 1,748,000 | 1,855,425 | ||||||
Containers & Packaging0.3% | ||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 | 1,562,000 | 1,694,770 | ||||||
Packaging Corp. of America, 4.50% Sr. Unsec. Nts., 11/1/23 | 1,393,000 | 1,410,268 | ||||||
Rock Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20 | 1,712,000 | 1,707,056 | ||||||
|
4,812,094
|
| ||||||
Metals & Mining0.5% | ||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 | 1,091,000 | 1,138,323 | ||||||
Barrick Gold Corp., 3.85% Sr. Unsec. Nts., 4/1/22 | 845,000 | 764,859 | ||||||
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23 | 595,000 | 578,641 | ||||||
Cliffs Natural Resources, Inc., 3.95% Sr. Unsec. Unsub. Nts., 1/15/18 | 1,590,000 | 1,611,220 | ||||||
Freeport-McMoRan Copper & Gold, Inc.: | ||||||||
1.40% Sr. Unsec. Nts., 2/13/15 | 1,800,000 | 1,813,901 | ||||||
3.875% Sr. Unsec. Nts., 3/15/23 | 1,795,000 | 1,688,253 | ||||||
Glencore Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 1,190,000 | 1,252,127 | ||||||
6.00% Sr. Unsec. Unsub. Nts., 10/15/15 | 1,317,000 | 1,426,836 | ||||||
|
10,274,160
|
|
17 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Paper & Forest Products0.4% | ||||||||
Appvion, Inc., 9% Sec. Nts., 6/1/205,10 | $ 5,000,000 | $ 4,900,000 | ||||||
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/235 | 1,332,000 | 1,297,527 | ||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 | 660,000 | 714,263 | ||||||
|
6,911,790
|
| ||||||
Telecommunication Services1.8% | ||||||||
Diversified Telecommunication Services0.7% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Unsub. Nts., 1/15/38 | 695,000 | 753,976 | ||||||
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 | 1,076,000 | 1,601,556 | ||||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 | 1,551,000 | 1,783,650 | ||||||
Koninklijke KPN NV, 7% Sr. Sub. Nts., 3/28/734,5 | 1,700,000 | 1,749,227 | ||||||
MetroPCS Wireless, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/215 | 1,730,000 | 1,805,688 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | 1,100,000 | 1,059,626 | ||||||
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 1,079,000 | 1,178,280 | ||||||
Verizon Communications, Inc.: | ||||||||
6.40% Sr. Unsec. Nts., 2/15/38 | 859,000 | 956,636 | ||||||
6.55% Sr. Unsec. Nts., 9/15/43 | 2,664,000 | 3,040,881 | ||||||
|
13,929,520
|
| ||||||
Wireless Telecommunication Services1.1% | ||||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 | 1,368,000 | 1,148,056 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849% Sr. Sec. Nts., 4/15/23 | 946,000 | 892,998 | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 12% Sr. Sec. Nts., 12/1/155 | 19,000,000 | 19,605,625 | ||||||
Vodafone Group plc, 4.375% Sr. Unsec. Unsub. Nts., 2/19/43 | 554,000 | 473,823 | ||||||
|
22,120,502
|
| ||||||
Utilities0.4% | ||||||||
Electric Utilities0.3% | ||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 | 1,896,000 | 2,013,539 | ||||||
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22 | 938,000 | 910,443 | ||||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 | 791,000 | 780,421 | ||||||
Jersey Central Power & Light Co., 4.70% Sr. Unsec. Nts., 4/1/245 | 888,000 | 895,745 | ||||||
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 | 1,293,000 | 1,233,143 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Unsub. Nts., 5/1/215 | 1,685,000 | 1,818,622 | ||||||
|
7,651,913
|
| ||||||
Energy Traders0.1% | ||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 | 1,575,000 | 1,577,320 | ||||||
Multi-Utilities0.0% | ||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 | 661,000 | 723,552 | ||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $368,703,462) | 378,119,466 | |||||||
Convertible Corporate Bonds and Notes1.9% | ||||||||
Amylin Pharmaceuticals LLC, 3% Cv. Sr. Unsec. Nts., 6/15/14 | 13,000,000 | 13,448,110 | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/405 | 13,500,000 | 15,508,125 | ||||||
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/294 | 4,925,000 | 5,260,516 |
18 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Principal Amount | Value | |||||||
Convertible Corporate Bonds and Notes (Continued) | ||||||||
SEACOR Holdings, Inc.: | ||||||||
2.50% Cv. Sr. Unsec. Unsub. Nts., 12/15/275 | $ 1,000,000 | $ 1,250,625 | ||||||
3.00% Cv. Sr. Unsec. Nts., 11/15/285 | 666,000 | 668,497 | ||||||
Total Convertible Corporate Bonds and Notes (Cost $34,565,673) | 36,135,873 | |||||||
Corporate Loans2.0% | ||||||||
Appvion, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B: | ||||||||
5.75%, 6/28/19 | 17,910,000 | 18,033,132 | ||||||
6.75%, 6/28/19 | 45,000 | 45,309 | ||||||
Celanese US Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche C2, 2.249%, 10/31/1610 | 9,975,000 | 10,106,959 | ||||||
Dynegy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 4%, 4/23/2010 | 9,975,000 | 10,012,406 | ||||||
Total Corporate Loans (Cost $37,784,973) | 38,197,806 | |||||||
Event-Linked Bonds0.2% | ||||||||
Calypso Capital Ltd. Catastrophe Linked Nts., 3.735%, 1/10/144,5 | 2,041,000 | 2,760,221 | ||||||
Foundation Re III Ltd. Catastrophe Linked Nts., 5.75%, 2/3/144,5 | 2,100,000 | 2,115,120 | ||||||
Total Event-Linked Bonds (Cost $4,936,116) | 4,875,341 | |||||||
Structured Securities0.8% | ||||||||
Goldman Sachs Group, Inc. (The), Juniper Networks, Inc. Equity Linked Nts., | ||||||||
12/26/131,5 | 404,000 | 8,220,066 | ||||||
Goldman Sachs Group, Inc. (The), United Continental Holdings, Inc. Equity Linked | ||||||||
Nts., 12/26/131,5 | 238,100 | 8,284,522 | ||||||
Total Structured Securities (Cost $15,300,344) | 16,504,588 |
Exercise Price | Expiration Date | Contracts | ||||||||
Exchange-Traded Options Purchased0.2% | ||||||||||
S&P 500 | ||||||||||
Index | ||||||||||
Call1 | USD | 1850.000 | 2/22/14 USD | 1,000 | 2,137,000 | |||||
S&P 500 | ||||||||||
Index | ||||||||||
Call1 | USD | 1820.000 | 1/18/14 USD | 300 | 658,500 | |||||
S&P 500 | ||||||||||
Index | ||||||||||
Call1 | USD | 1740.000 | 12/21/13 USD | 200 | 1,485,000 | |||||
Total Exchange-Traded Options Purchased (Cost 2,652,553) | 4,280,500 |
Counterparty | Exercise Price | Expiration Date | Contracts | |||||||
Over-the-Counter Option Purchased0.0% | ||||||||||
JPY | ||||||||||
Currency | ||||||||||
Put1(Cost | ||||||||||
$390,000) | JPM USD | 120.000 | 5/27/14 USD | 6,000,000,000 | 36,000 |
19 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Counterparty |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate | Expiration Date |
Notional Amount (000s) |
Value | ||||||||||||||||||||
|
||||||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased0.5% | ||||||||||||||||||||||||||
Interest Rate | Three-Month | |||||||||||||||||||||||||
Swap maturing | USD BBA | |||||||||||||||||||||||||
4/13/26 Call1 | JPM | Receive | LIBOR | 3.410% | 4/11/16 | USD | 33,000 | $ | 2,321,503 | |||||||||||||||||
Interest Rate | Three-Month | |||||||||||||||||||||||||
Swap maturing | USD BBA | |||||||||||||||||||||||||
4/27/26 Call1 | JPM | Receive | LIBOR | 3.373 | 4/25/16 | USD | 30,000 | 2,198,807 | ||||||||||||||||||
Interest Rate | Three-Month | |||||||||||||||||||||||||
Swap maturing | USD BBA | |||||||||||||||||||||||||
4/13/26 Call1 | JPM | Receive | LIBOR | 3.468 | 4/11/16 | USD | 33,000 | 2,231,135 | ||||||||||||||||||
Interest Rate | Three-Month | |||||||||||||||||||||||||
Swap maturing | USD BBA | |||||||||||||||||||||||||
2/28/27 Put1 | JPM | Receive | LIBOR | 4.500 | 2/24/17 | USD | 50,000 | 2,393,186 | ||||||||||||||||||
Interest Rate | Six-Month | |||||||||||||||||||||||||
Swap maturing | JPY BBA | |||||||||||||||||||||||||
1/25/26 Put1 | GSCO | Receive | LIBOR | 1.870 | 1/21/16 | JPY | 5,406,000 | 234,173 | ||||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Over-the-Counter Swaptions Purchased (Cost $6,804,593) | 9,378,804 | |||||||||||||||||||||||||
Shares | ||||||||||||||||||||||||||
|
||||||||||||||||||||||||||
Investment Companies22.4% | ||||||||||||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.09%12,13 | 192,491,201 | 192,491,201 | ||||||||||||||||||||||||
|
||||||||||||||||||||||||||
Oppenheimer Master Loan Fund, LLC12 | 13,905,007 | 195,559,930 | ||||||||||||||||||||||||
|
||||||||||||||||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y12 | 3,026,649 | 30,327,019 | ||||||||||||||||||||||||
|
||||||||||||||||||||||||||
SPDR Gold Trust | 121,000 | 14,604,700 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Investment Companies (Cost $431,525,955) | 432,982,850 | |||||||||||||||||||||||||
|
||||||||||||||||||||||||||
Total Investments, at Value (Cost $2,005,197,110) | 111.8 | % | 2,180,837,093 | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Liabilities in Excess of Other Assets | (11.8 | ) | (225,684,077) | |||||||||||||||||||||||
|
|
|||||||||||||||||||||||||
Net Assets | 100.0 | % | $ | 1,955,153,016 | ||||||||||||||||||||||
|
|
Footnotes to Statement of Investments
*November 29, 2013 represents the last business day of the Funds reporting date. See accompanying Consolidated Notes.
1. Non-income producing security.
20 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
2. Restricted security. The aggregate value of restricted securities as of November 29, 2013 was $89,672,749, which represents 4.59% of the Funds net assets. See accompanying Consolidated Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Aircraft Lease Securitization Ltd., Series 2007-1A, Cl. G3, 0.429%, 5/10/32 |
5/14/13-7/19/13 | $ | 24,390,677 | $ | 24,479,187 | $ | 88,510 | |||||||||
Airspeed Ltd., Series 2007-1A, Cl. G1, 0.438%, 6/15/32 |
7/28/10-10/21/10 | 25,231,749 | 24,536,530 | (695,219) | ||||||||||||
Airspeed Ltd., Series 2007-1A, Cl. G2, 0.448%, 6/15/32 |
4/8/11 | 9,017,131 | 8,435,689 | (581,442) | ||||||||||||
Blade Engine Securitization Ltd., Series 2006-1A, Cl. B, 3.168%, 9/15/41 |
4/19/13-5/29/13 | 5,885,321 | 6,426,755 | 541,434 | ||||||||||||
Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.468%, 9/15/41 |
11/10/09 | 17,470,389 | 16,875,685 | (594,704) | ||||||||||||
Bond Street Holdings, Inc., Cl. A | 11/4/09 | 5,700,000 | 4,275,000 | (1,425,000) | ||||||||||||
Bond Street Holdings, Inc., Cl. B | 11/4/09 | 1,800,000 | 1,260,000 | (540,000) | ||||||||||||
Credit Acceptance Auto Loan Trust, Series 2013-2A, Cl. B, 2.26%, 10/15/21 |
10/22/13 | 1,199,662 | 1,201,100 | 1,438 | ||||||||||||
Morgan Stanley Reremic Trust, Series 2012-R3, Cl. 1B, 2.065%, 11/26/36 |
10/24/12 | 985,978 | 1,166,791 | 180,813 | ||||||||||||
Raspro Trust, Series 2005-1A, Cl. G, 0.653%, 3/23/24 |
6/11/13 | 876,365 | 892,567 | 16,202 | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2011-S2A, Cl. D, 3.35%, 6/15/17 |
5/19/11-4/9/13 | 123,399 | 123,445 | 46 | ||||||||||||
|
|
|||||||||||||||
$ | 92,680,671 | $ | 89,672,749 | $ | (3,007,922) | |||||||||||
|
|
3. 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.
4. Represents the current interest rate for a variable or increasing rate security.
5. 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 $218,245,656 or 11.16% of the Funds net assets as of November 29, 2013.
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 $1,262,471. See accompanying Consolidated Notes.
7. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $12,552,542 or 0.64% of the Funds net assets as of November 29, 2013.
8. 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.
9. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $222,199 or 0.01% of the Funds net assets as of November 29, 2013.
10. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after November 29, 2013. See accompanying Consolidated Notes.
11. Less than 0.0005%.
21 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
12. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended November 29, 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 30, 2013 |
Gross Additions |
Gross Reductions |
Shares November 29, 2013 |
|||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 220,971,754 | 173,570,347 | 202,050,900 | 192,491,201 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 13,905,007 | | | 13,905,007 | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 3,024,126 | 2,523 | | 3,026,649 | ||||||||||||
Value | Income | Realized Loss |
||||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 192,491,201 | $ | 48,030 | $ | | ||||||||||
Oppenheimer Master Loan Fund, LLC | 195,559,930 | 2,962,229 | a | (1,053,128) a | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 30,327,019 | 25,328 | | |||||||||||||
|
|
|||||||||||||||
$ | 418,378,150 | $ | 3,035,587 | $ | (1,053,128) | |||||||||||
|
|
a. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
13. Rate shown is the 7-day yield as of November 29, 2013.
Forward Currency Exchange Contracts as of November 29, 2013 | ||||||||||||||||||||
Counterparty | Settlement Month(s) | Currency Purchased (000s) |
Currency Sold (000s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||
GSCO | 01/2014 | AUD | 10,600 | USD | 9,987 | $ | | $368,173 | ||||||||||||
GSCO | 01/2014 - 02/2014 | USD | 19,897 | AUD | 21,200 | 662,045 | | |||||||||||||
GSCO | 01/2014 | USD | 2,746 | EUR | 2,041 | | 26,708 | |||||||||||||
JPM | 02/2014 | USD | 9,836 | TRY | 20,470 | | 152,329 | |||||||||||||
NOM | 02/2014 | USD | 10,010 | JPY | 1,000,000 | 242,085 | | |||||||||||||
SST | 01/2014 | USD | 13,498 | EUR | 10,000 | | 87,985 | |||||||||||||
|
|
|||||||||||||||||||
Total Unrealized Appreciation and Depreciation | $ | 904,130 | $635,195 | |||||||||||||||||
|
|
Futures Contracts as of November 29, 2013: | ||||||||||||||||||||
Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
Euro BTP | EUX | Sell | 12/09/13 | 220 | $ | (1,637,987) | ||||||||||||||
S&P 500 Index | CME | Sell | 12/26/13 | 27 | (474,143) | |||||||||||||||
U.S. Treasury Long Bonds | CBT | Buy | 3/20/14 | 174 | 11,751 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | CBT | Buy | 3/20/14 | 69 | (10,740) | |||||||||||||||
U.S. Treasury Nts., 2 yr. | CBT | Sell | 3/31/14 | 48 | (1,890) | |||||||||||||||
U.S. Treasury Nts., 5 yr. | CBT | Sell | 3/31/14 | 497 | (9,763) | |||||||||||||||
U.S. Treasury Ultra Bonds | CBT | Buy | 3/20/14 | 158 | 34,694 | |||||||||||||||
|
|
|||||||||||||||||||
$ | (2,088,078) | |||||||||||||||||||
|
|
22 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued |
Cleared Credit Default Swaps at November 29, 2013 | ||||||||||||||||||||||||||||||||
Reference Asset | Buy/Sell Protection |
Fixed Rate | Maturity Date | Notional Amount (000s) |
Premiums Received/(Paid) |
Value | ||||||||||||||||||||||||||
iTraxx Europe Series 20 Version 1 |
|
Buy | 1 .000 | 12/20/18 | EUR | 18,200 | $ | 178,691 | $ | (298,829 | ) | |||||||||||||||||||||
Over-the-Counter Credit Default Swaps at November 29, 2013 | ||||||||||||||||||||||||||||||||
Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate | Maturity Date | Notional Amount (000s) |
Premiums Received/(Paid) |
Value | |||||||||||||||||||||||||
CDX.NA.IG.20 | JPM | Sell | 1 .000 | 6/20/18 | USD | 25,000 | $ | (118,806 | ) | $ | 477,356 |
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.
Over-the-Counter Total Return Swaps at November 29, 2013 | ||||||||||||||||||||||||||||
Reference Asset | Counterparty | Pay/Receive Total Return |
Floating Rate | Maturity Date | Notional Amount | Value | ||||||||||||||||||||||
Blackstone Group LP (The) | GSCO | Receive | |
Eight-Month USD BBA LIBOR plus 58 basis points |
|
7/25/14 | USD | 9,270 | $ | 736,303 |
Glossary: | ||
Counterparty Abbreviations | ||
JPM | JPMorgan Chase Bank NA | |
GSCO | Goldman Sachs Group, Inc. (The) | |
NOM | Nomura Global Financial Products, Inc. | |
SST | State Street Bank |
Currency abbreviations indicate amounts reporting in currencies | ||
AUD | Australian Dollar | |
EUR | Euro | |
JPY | Japanese Yen | |
TRY | New Turkish Lira |
Definitions | ||
BBA LIBOR | British Bankers Association London-Interbank Offered Rate | |
CDX.NA.IG20 | CDX North America Investment Grade Index Series 20 |
Exchange Abbreviations | ||
CBT | Chicago Board of Trade | |
CME | Chicago Mercantile Exchange | |
EUX | European Stock Exchanges |
23 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Capital Income Fund (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the Subsidiary). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in 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 financial statements have been consolidated and include the accounts of the Fund and the Subsidiary.
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 Consolidated 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 Consolidated 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.
24 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
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 November 29, 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 | $276,622,427 | |||
Sold securities | 55,680,394 |
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.
25 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
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.
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 November 29, 2013, the Fund owned 7,500 shares with a market value of $18,945,274.
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 New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The 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.
26 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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.
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.
27 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 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
28 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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.
29 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
The table below categorizes amounts as of November 29, 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 |
$ | 82,591,599 | $ | | $ | | $ | 82,591,599 | ||||||||
Consumer Staples |
53,736,350 | | | 53,736,350 | ||||||||||||
Energy |
79,188,044 | | | 79,188,044 | ||||||||||||
Financials |
101,936,983 | 5,535,000 | | 107,471,983 | ||||||||||||
Health Care |
75,021,222 | | | 75,021,222 | ||||||||||||
Industrials |
77,766,642 | | | 77,766,642 | ||||||||||||
Information Technology |
58,655,713 | | | 58,655,713 | ||||||||||||
Materials |
32,512,842 | | | 32,512,842 | ||||||||||||
Telecommunication Services |
36,681,517 | | | 36,681,517 | ||||||||||||
Utilities |
31,202,226 | | | 31,202,226 | ||||||||||||
Preferred Stocks | 5,735,627 | 7,978,046 | | 13,713,673 | ||||||||||||
Asset-Backed Securities | | 155,686,951 | 49,022,517 | 204,709,468 | ||||||||||||
Mortgage-Backed Obligations | | 386,840,710 | | 386,840,710 | ||||||||||||
U.S. Government Obligations | | 20,233,876 | | 20,233,876 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | | 378,119,466 | | 378,119,466 | ||||||||||||
Convertible Corporate Bonds and Notes | | 36,135,873 | | 36,135,873 | ||||||||||||
Corporate Loans | | 38,197,806 | | 38,197,806 | ||||||||||||
Event-Linked Bonds | | 4,875,341 | | 4,875,341 | ||||||||||||
Structured Securities | | 16,504,588 | | 16,504,588 | ||||||||||||
Exchange-Traded Option Purchased | 4,280,500 | | | 4,280,500 | ||||||||||||
Over-the-Counter Option Purchased | | 36,000 | | 36,000 | ||||||||||||
Over-the- Counter Interest Rate Swaptions Purchased | | 9,378,804 | | 9,378,804 | ||||||||||||
Investment Companies | 237,422,920 | 195,559,930 | | 432,982,850 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | $ | 876,732,185 | $ | 1,255,082,391 | $ | 49,022,517 | $ | 2,180,837,093 | ||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts | $ | | $ | 904,130 | $ | | $ | 904,130 | ||||||||
Variation margin receivable | 63,805 | $ | | | 63,805 | |||||||||||
Swaps, at value | | $ | 1,213,659 | | 1,213,659 | |||||||||||
|
|
|||||||||||||||
Total Assets | $ | 876,795,990 | $ | 1,257,200,180 | $ | 49,022,517 | $ | 2,183,018,687 | ||||||||
|
|
|||||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts | $ | | $ | (635,195) | $ | | $ | (635,195) | ||||||||
Variation margin payable | (7,547) | | | (7,547) | ||||||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (7,547) | $ | (635,195) | $ | | $ | (642,742) | ||||||||
|
|
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.
30 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
The table below shows the transfers between Level 2 and Level 1. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Transfer out of Level 2* | Transfer into Level 1* | |||||||||||
Assets Table |
||||||||||||
Investments, at Value: |
||||||||||||
Corporate Bonds and Notes | ||||||||||||
Energy | $ | (5,921,428 | ) | $ | 5,921,428 | |||||||
Health Care | (4,864,259 | ) | 4,864,259 | |||||||||
|
|
|||||||||||
Total Assets | $ | (10,785,687 | ) | $ | 10,785,687 | |||||||
|
|
* Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price.
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 currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase,
Risk Exposures and the Use of Derivative Instruments (Continued)
decrease, or change the level or types of exposure to market risk factors. These instruments 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. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
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.
31 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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 due to unanticipated changes in the market risk factors and the overall market. 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. 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. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
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.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has entered into forward 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 contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase 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.
The Fund has entered into forward 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 contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended November 29, 2013, the Fund had daily average contract amounts on forward contracts to buy and sell of $10,811,421 and $71,107,510, respectively.
32 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, 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 and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
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 in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant 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 Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated 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 sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has sold futures contracts, which have values that are linked to the price movement of the related commodities, in order to decrease exposure to commodity risk.
During the period ended November 29, 2013, the Fund had an ending monthly average market value of $42,569,234 and $128,992,884 on futures contracts purchased and sold, respectively.
33 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). 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 Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has purchased call options on individual equity securities and/or equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the period ended November 29, 2013, the Fund had an ending monthly average market value of $656,700 and $1,108,780 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. 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 and liquidity risk.
As of November 29, 2013, the Fund had no outstanding written options.
34 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. 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, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or 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 have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of 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
35 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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 swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual issuers and/or indexes of issuers 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 issuers and/or indexes of issuers.
For the period ended November 29, 2013, the Fund had ending monthly average notional amounts of $17,322,930 and $25,000,000 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 the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). 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, and an amount equal to the negative price movement of securities or an index (expressed as a percentage) 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 (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
For the period ended November 29, 2013, the Fund had ending monthly average notional amounts of $380,192 on total return swaps which are long the reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
36 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated 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 Consolidated 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 Consolidated 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 prior to exercise 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 increases relative to the preset interest rate.
During the period ended November 29, 2013, the Fund had an ending monthly average market value of $9,738,380 on purchased swaptions.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out
37 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. 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 ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of November 29, 2013, the Fund has required certain counterparties to post collateral of $10,590,472.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
38 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of November 29, 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 Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of November 29, 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 | $ | 2,010,050,070 | ||
Federal tax cost of other investments | 160,815,425 | |||
|
|
|||
Total federal tax cost | $ | 2,170,865,495 | ||
|
|
|||
Gross unrealized appreciation | $ | 213,592,047 | ||
Gross unrealized depreciation | (43,918,387) | |||
|
|
|||
Net unrealized appreciation | $ | 169,673,660 | ||
|
|
39 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 11/29/2013, 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: | 1/13/2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ William F. Glavin, Jr. | |
William F. Glavin, Jr. | ||
Principal Executive Officer | ||
Date: | 1/13/2014 |
By: | /s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: | 1/13/2014 |
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: 1/13/2014
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: 1/13/2014