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.

225 Liberty Street, New York, New York 10281-1008

(Name and address of agent for service)

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end: August 31

Date of reporting period: 5/29/2015

Item 1. Schedule of Investments.

CONSOLIDATED

STATEMENT OF INVESTMENTS May 29, 2015* Unaudited

	Shares		Value
Common Stocks—29.7%
Consumer Discretionary—3.2%
Hotels, Restaurants & Leisure—0.6%
Brinker International, Inc.		264,084	$	14,572,155
Media—1.4%
Cinemark Holdings, Inc.		591,430		23,970,658
DISH Network Corp., Cl. A1		205,755		14,565,397
				38,536,055
Multiline Retail—1.2%
Macy’s, Inc.		308,237		20,636,467
Target Corp.		163,109		12,937,806
				33,574,273
Consumer Staples—1.8%
Beverages—0.4%
Coca-Cola Co. (The)		277,110		11,350,426
Tobacco—1.4%
Altria Group, Inc.		469,255		24,025,856
Philip Morris International, Inc.		159,000		13,208,130
				37,233,986
Energy—1.9%
Energy Equipment & Services—0.3%
Schlumberger Ltd.		77,600		7,043,752
Oil, Gas & Consumable Fuels—1.6%
Canadian Natural Resources Ltd.		121,200		3,740,476
Chevron Corp.		66,830		6,883,490
ConocoPhillips		132,160		8,415,949
EOG Resources, Inc.		123,000		10,908,870
Exxon Mobil Corp.		38,420		3,273,384
Noble Energy, Inc.		107,280		4,696,718
Valero Energy Corp.		98,150		5,814,406
				43,733,293
Financials—5.1%
Capital Markets—0.3%
Goldman Sachs Group, Inc. (The)		37,810		7,796,044
Commercial Banks—1.2%
Citigroup, Inc.		126,500		6,841,120
JPMorgan Chase & Co.		91,000		5,985,980
M&T Bank Corp.		66,000		7,978,080
Wells Fargo & Co.		201,340		11,266,987
				32,072,167
Insurance—1.6%
ACE Ltd.		202,470		21,559,005
Allstate Corp. (The)		209,140		14,079,305

1       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Shares		Value
Insurance (Continued)
Unum Group		247,380	$	8,648,405
				44,286,715
Real Estate Investment Trusts (REITs)—2.0%
American Assets Trust, Inc.		205,000		8,066,750
Blackstone Mortgage Trust, Inc., Cl. A		434,530		13,131,496
Macerich Co. (The)		48,190		3,956,881
Outfront Media, Inc.		5,769		159,859
Starwood Property Trust, Inc.		1,263,430		30,183,343
				55,498,329
Health Care—4.1%
Health Care Equipment & Supplies—0.6%
Baxter International, Inc.		182,000		12,123,020
Medtronic plc		43,020		3,283,287
				15,406,307
Health Care Providers & Services—0.8%
Express Scripts Holding Co.1		49,890		4,347,414
HCA Holdings, Inc.1		37,829		3,095,547
UnitedHealth Group, Inc.		102,500		12,321,525
Universal Health Services, Inc., Cl. B		19,570		2,535,881
				22,300,367
Pharmaceuticals—2.7%
Actavis plc1		35,880		11,008,343
Merck & Co., Inc.		293,570		17,875,477
Novartis AG, ADR		235,090		24,150,796
Roche Holding AG		67,738		19,944,023
				72,978,639
Industrials—3.8%
Aerospace & Defense—2.0%
Honeywell International, Inc.		259,700		27,060,740
Lockheed Martin Corp.		38,500		7,245,700
Northrop Grumman Corp.		127,300		20,263,614
				54,570,054
Airlines—0.0%
United Continental Holdings, Inc.1		21,526		1,175,104
Commercial Services & Supplies—1.1%
Republic Services, Inc., Cl. A		405,350		16,331,552
Tyco International plc		339,470		13,701,009
				30,032,561
Construction & Engineering—0.1%
Quanta Services, Inc.1		64,070		1,878,532
Machinery—0.3%
Flowserve Corp.		173,840		9,561,200

2       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Shares		Value
Trading Companies & Distributors—0.3%
AerCap Holdings NV1		143,116	$	6,903,916
Information Technology—4.3%
Communications Equipment—1.7%
Cisco Systems, Inc.		40,222		1,178,907
Juniper Networks, Inc.		508,561		14,137,996
QUALCOMM, Inc.		237,780		16,568,510
Telefonaktiebolaget LM Ericsson, ADR		431,311		4,856,562
Telefonaktiebolaget LM Ericsson, Cl. B		943,146		10,593,768
				47,335,743
Internet Software & Services—0.5%
Google, Inc., Cl. A1		23,550		12,842,286
IT Services—0.3%
Capital Gemini SA		109,490		9,552,354
Semiconductors & Semiconductor Equipment—1.1%
Altera Corp.		111,860		5,464,361
Xilinx, Inc.		504,024		23,900,818
				29,365,179
Technology Hardware, Storage & Peripherals—0.7%
Apple, Inc.		137,655		17,933,693
Materials—1.4%
Chemicals—1.1%
Celanese Corp., Series A		36,250		2,495,812
LyondellBasell Industries NV, Cl. A		167,286		16,912,615
Methanex Corp.		168,000		9,322,320
				28,730,747
Containers & Packaging—0.3%
Sonoco Products Co.		195,510		8,801,860
Telecommunication Services—2.4%
Diversified Telecommunication Services—2.4%
AT&T, Inc.		167,750		5,794,085
BCE, Inc.		503,650		22,054,834
Deutsche Telekom AG		552,441		9,493,252
Telefonica SA		320,517		4,535,685
TeliaSonera AB		1,556,053		9,175,253
Verizon Communications, Inc.		291,450		14,409,288
				65,462,397
Utilities—1.7%
Electric Utilities—1.2%
Edison International		183,720		11,172,013
NextEra Energy, Inc.		96,395		9,865,064
PPL Corp.		354,791		12,314,796
				33,351,873

3       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Shares		Value
Multi-Utilities—0.5%
CMS Energy Corp.		343,350	$	11,721,969
Total Common Stocks (Cost $729,975,613)				805,601,976
Preferred Stocks—0.2%
M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg.		1,833		1,878,825
M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg.		4,500		4,577,040
Total Preferred Stocks (Cost $6,345,341)				6,455,865
Principal Amount
Asset-Backed Securities—11.2%
Auto Loan—5.1%
American Credit Acceptance Receivables Trust:
Series 2013-2,Cl. B, 2.84%, 5/15/192	$	1,663,000		1,672,072
Series 2014-1,Cl. B, 2.39%, 11/12/192		2,585,000		2,595,270
Series 2014-2,Cl. B, 2.26%, 3/10/202		725,000		726,628
Series 2014-3,Cl. B, 2.43%, 6/10/202		3,110,000		3,118,327
Series 2014-4,Cl. B, 2.60%, 10/12/202		875,000		876,398
Series 2015-1,Cl. B, 2.85%, 2/12/212		2,395,000		2,404,615
AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/192		1,885,000		1,950,133
Series 2012-4,Cl. D, 2.68%, 10/9/18		2,570,000		2,620,403
Series 2012-5,Cl. D, 2.35%, 12/10/18		1,565,000		1,588,756
Series 2013-2,Cl. E, 3.41%, 10/8/202		1,735,000		1,762,626
Series 2013-3,Cl. E, 3.74%, 12/8/202		930,000		951,986
Series 2013-4,Cl. D, 3.31%, 10/8/19		415,000		426,754
Series 2013-5,Cl. D, 2.86%, 12/9/19		3,125,000		3,173,842
Series 2014-1,Cl. E, 3.58%, 8/9/21		600,000		604,384
Series 2014-2,Cl. D, 2.57%, 7/8/20		1,210,000		1,214,260
Series 2014-2,Cl. E, 3.37%, 11/8/21		1,735,000		1,732,683
Series 2014-4,Cl. D, 3.07%, 11/9/20		1,860,000		1,878,680
Series 2015-2,Cl. D, 3.00%, 6/8/21		425,000		424,616
California Republic Auto Receivables Trust:
Series 2013-2,Cl. C, 3.32%, 8/17/20		1,105,000		1,114,145
Series 2014-2,Cl. C, 3.29%, 3/15/21		415,000		415,219
Series 2014-4,Cl. C, 3.56%, 9/15/21		625,000		627,509
Capital Auto Receivables Asset Trust:
Series 2013-1,Cl. D, 2.19%, 9/20/21		725,000		730,495
Series 2013-4,Cl. D, 3.22%, 5/20/19		505,000		515,546
Series 2014-1,Cl. D, 3.39%, 7/22/19		580,000		594,112
Series 2014-3,Cl. D, 3.14%, 2/20/20		900,000		910,680
Series 2015-1,Cl. D, 3.16%, 8/20/20		1,020,000		1,027,409
Series 2015-2,Cl. C, 2.67%, 8/20/20		1,010,000		1,013,620
CarFinance Capital Auto Trust:
Series 2013-1A,Cl. A, 1.65%, 7/17/172		26,395		26,405
Series 2013-2A,Cl. B, 3.15%, 8/15/192		2,460,000		2,496,217
Series 2014-1A,Cl. A, 1.46%, 12/17/182		386,774		386,315
Series 2015-1A,Cl. A, 1.75%, 6/15/212		1,351,289		1,353,340
CarMax Auto Owner Trust, Series 2015-2, Cl. D, 3.04%, 11/15/21		655,000		657,975
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/162		81,025		81,141
CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/192		522,385		525,424
Series 2014-A,Cl. A, 1.21%, 8/15/182		1,431,958		1,427,966
Series 2014-B,Cl. A, 1.11%, 11/15/182		1,109,509		1,103,967

4       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Auto Loan (Continued)
CPS Auto Receivables Trust: (Continued)
Series 2014-C,Cl. A, 1.31%, 2/15/192	$	1,328,162	$	1,324,070
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/192		193,415		194,039
Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/212		980,000		979,770
Series 2013-2A,Cl. B, 2.26%, 10/15/212		2,360,000		2,378,125
Series 2014-1A,Cl. B, 2.29%, 4/15/222		1,290,000		1,297,446
Series 2014-2A,Cl. B, 2.67%, 9/15/222		910,000		914,296
Series 2015-1A,Cl. C, 3.30%, 7/17/232		1,405,000		1,415,158
Drive Auto Receivables Trust:
Series 2015-AA,Cl. C, 3.06%, 5/17/213		1,550,000		1,570,179
Series 2015-BA,Cl. C, 2.76%, 7/15/212		1,950,000		1,948,392
DT Auto Owner Trust:
Series 2012-1A,Cl. D, 4.94%, 7/16/182		1,260,390		1,268,495
Series 2013-1A,Cl. D, 3.74%, 5/15/202		750,000		756,305
Series 2013-2A,Cl. D, 4.18%, 6/15/202		2,390,000		2,423,908
Series 2014-1A,Cl. D, 3.98%, 1/15/212		1,785,000		1,807,082
Series 2014-2A,Cl. D, 3.68%, 4/15/212		2,745,000		2,762,307
Series 2014-3A,Cl. D, 4.47%, 11/15/212		1,240,000		1,258,526
Series 2015-1A,Cl. C, 2.87%, 11/16/202		1,100,000		1,105,840
Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/182		185,000		185,671
Series 2013-2A,Cl. C, 4.35%, 1/15/192		1,450,000		1,480,196
Series 2014-1A,Cl. B, 2.42%, 1/15/192		1,160,000		1,167,309
Series 2014-1A,Cl. C, 3.57%, 7/15/192		1,160,000		1,173,432
Series 2014-2A,Cl. A, 1.06%, 8/15/182		271,499		271,077
Series 2014-2A,Cl. B, 2.17%, 5/15/192		2,000,000		2,008,767
Series 2014-2A,Cl. C, 3.26%, 12/16/192		565,000		562,968
First Investors Auto Owner Trust:
Series 2012-1A,Cl. C, 3.54%, 11/15/172		414,174		417,600
Series 2012-1A,Cl. D, 5.65%, 4/15/182		770,000		786,835
Series 2013-3A,Cl. B, 2.32%, 10/15/192		1,840,000		1,858,066
Series 2013-3A,Cl. C, 2.91%, 1/15/202		785,000		795,074
Series 2013-3A,Cl. D, 3.67%, 5/15/202		580,000		586,603
Series 2014-1A,Cl. D, 3.28%, 4/15/212		1,705,000		1,701,021
Series 2014-3A,Cl. D, 3.85%, 2/15/222		860,000		868,422
Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/192		679,198		678,352
Series 2014-2,Cl. A, 1.43%, 12/16/192		1,400,562		1,399,748
GM Financial Automobile Leasing Trust:
Series 2014-1A,Cl. D, 2.51%, 3/20/192		3,835,000		3,851,560
Series 2015-1,Cl. D, 3.01%, 3/20/20		1,505,000		1,512,557
GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/182		1,270,000		1,269,237
Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1, Cl. D, 2.485%, 10/25/192,4		705,000		705,292
Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.435%, 9/25/182,4		1,790,000		1,790,984
Santander Drive Auto Receivables Trust:
Series 2012-4,Cl. D, 3.50%, 6/15/18		2,785,000		2,864,881
Series 2012-6,Cl. D, 2.52%, 9/17/18		3,340,000		3,365,658
Series 2012-AA,Cl. D, 2.46%, 12/17/182		3,565,000		3,583,002
Series 2013-1,Cl. C, 1.76%, 1/15/19		2,455,000		2,463,169

5       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Auto Loan (Continued)
Santander Drive Auto Receivables Trust: (Continued)
Series 2013-1,Cl. D, 2.27%, 1/15/19	$	895,000	$	895,299
Series 2013-2,Cl. C, 1.95%, 3/15/19		2,310,000		2,322,837
Series 2013-2,Cl. D, 2.57%, 3/15/19		1,260,000		1,279,829
Series 2013-3,Cl. C, 1.81%, 4/15/19		3,650,000		3,669,507
Series 2013-3,Cl. D, 2.42%, 4/15/19		535,000		541,755
Series 2013-4,Cl. D, 3.92%, 1/15/20		1,750,000		1,815,111
Series 2013-4,Cl. E, 4.67%, 1/15/202		2,055,000		2,144,404
Series 2013-5,Cl. D, 2.73%, 10/15/19		1,560,000		1,580,457
Series 2013-A,Cl. E, 4.71%, 1/15/212		1,530,000		1,599,048
Series 2014-1,Cl. C, 2.36%, 4/15/20		3,985,000		4,014,613
Series 2014-1,Cl. D, 2.91%, 4/15/20		1,025,000		1,037,018
Series 2014-4,Cl. D, 3.10%, 11/16/20		1,055,000		1,073,515
Series 2015-1,Cl. D, 3.24%, 4/15/21		1,600,000		1,619,187
Series 2015-2,Cl. D, 3.02%, 4/15/21		1,750,000		1,751,679
SNAAC Auto Receivables Trust:
Series 2012-1A,Cl. C, 4.38%, 6/15/172		365,947		366,521
Series 2013-1A,Cl. C, 3.07%, 8/15/182		600,000		607,586
Series 2014-1A,Cl. A, 1.03%, 9/17/182		390,507		390,660
Series 2014-1A,Cl. D, 2.88%, 1/15/202		730,000		734,088
TCF Auto Receivables Owner Trust, Series 2014-1A, Cl. C, 3.12%, 4/15/212		525,000		525,841
United Auto Credit Securitization Trust:
Series 2013-1,Cl. C, 2.22%, 12/15/172		162,770		162,921
Series 2014-1,Cl. D, 2.38%, 10/15/182		870,000		863,867
Series 2015-1,Cl. D, 2.92%, 6/17/192		1,410,000		1,414,548
Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/212		775,000		773,647
Series 2014-2A,Cl. D, 2.86%, 7/15/212		940,000		945,320
				137,610,595
Credit Card—0.1%
Citibank Credit Card Issuance Trust, Series 2013-A6, Cl. A6, 1.32%, 9/7/18		2,300,000		2,316,857
Equipment—0.4%
CLI Funding V LLC:
Series 2014-1A,Cl. A, 3.29%, 6/18/292		3,538,096		3,568,175
Series 2014-2A,Cl. A, 3.38%, 10/18/292		2,613,125		2,642,550
Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/292		2,502,778		2,526,213
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/432		310,250		307,664
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/442		860,794		863,289
				9,907,891
Home Equity Loan—2.7%
Bear Stearns Structured Products Trust:
Series 2007-EMX1,Cl. A2, 1.485%, 3/25/372,4		5,900,000		5,448,632
Series 2007-EMX1,Cl. M1, 2.185%, 3/25/372,4		8,000,000		7,292,680
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/442		1,990,269		1,983,387
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, 0.635%, 12/25/354		5,480,000		4,671,240

6       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Home Equity Loan (Continued)
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 0.565%, 12/25/354	$	12,287,000	$	10,473,709
New Century Home Equity Loan Trust:
Series 2005-1,Cl. M2, 0.905%, 3/25/354		15,396,541		13,459,240
Series 2005-2,Cl. M3, 0.675%, 6/25/354		5,500,000		4,515,698
RAMP Trust, Series 2006-EFC1, Cl. M2, 0.585%, 2/25/364		5,490,000		4,522,382
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Cl. A2, 0.505%, 5/25/372,4		20,993,685		19,167,991
TAL Advantage V LLC:
Series 2014-1A,Cl. A, 3.51%, 2/22/392		1,688,750		1,705,988
Series 2014-2A,Cl. A1, 1.70%, 5/20/392		491,540		488,585
				73,729,532
Loans: Other—2.9%
Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.438%, 5/10/323,4		15,122,042		15,028,285
Airspeed Ltd.:
Series 2007-1A,Cl. G1, 0.456%, 6/15/323,4		36,322,925		30,329,643
Series 2007-1A,Cl. G2, 0.466%, 6/15/323,4		9,125,446		7,825,070
Blade Engine Securitization Ltd.:
Series 2006-1A,Cl. A1, 1.186%, 9/15/414		1,553,931		1,134,370
Series 2006-1A,Cl. B, 3.186%, 9/15/413,4		6,866,065		2,797,921
Series 2006-1AW,Cl. A1, 0.486%, 9/15/413,4		21,856,017		16,173,452
Raspro Trust, Series 2005-1A, Cl. G, 0.67%, 3/23/243,4		6,670,153		6,495,395
				79,784,136
Total Asset-Backed Securities (Cost $302,975,003)				303,349,011
Mortgage-Backed Obligations—16.9%
Government Agency—11.7%
FHLMC/FNMA/FHLB/Sponsored—11.6%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 5/1/19		657,602		688,023
5.00%, 12/1/34		71,852		80,811
6.00%, 5/1/18		148,919		154,151
6.50%, 7/1/28-4/1/34		185,216		215,481
7.00%, 10/1/31		238,908		277,531
8.00%, 4/1/16		3,127		3,157
9.00%, 8/1/22-5/1/25		14,093		15,591
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 10.698%, 4/1/275		141,337		26,652
Series 192,Cl. IO, 4.443%, 2/1/285		44,784		7,748
Series 243,Cl. 6, 0.00%, 12/15/325,6		151,753		28,351
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		4,344,521		4,433,060
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.172%, 6/1/267		47,695		46,467
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2034,Cl. Z, 6.50%, 2/15/28		104,058		119,748
Series 2043,Cl. ZP, 6.50%, 4/15/28		475,142		532,005
Series 2053,Cl. Z, 6.50%, 4/15/28		93,672		107,756

7       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)
Series 2279,Cl. PK, 6.50%, 1/15/31	$	197,096	$	229,823
Series 2326,Cl. ZP, 6.50%, 6/15/31		83,849		94,060
Series 2426,Cl. BG, 6.00%, 3/15/17		207,588		214,999
Series 2427,Cl. ZM, 6.50%, 3/15/32		340,115		397,608
Series 2461,Cl. PZ, 6.50%, 6/15/32		449,795		522,897
Series 2564,Cl. MP, 5.00%, 2/15/18		1,240,698		1,295,995
Series 2585,Cl. HJ, 4.50%, 3/15/18		699,397		730,601
Series 2626,Cl. TB, 5.00%, 6/15/33		527,512		571,355
Series 2635,Cl. AG, 3.50%, 5/15/32		113,658		119,203
Series 2707,Cl. QE, 4.50%, 11/15/18		631,129		661,246
Series 2770,Cl. TW, 4.50%, 3/15/19		83,171		87,123
Series 3010,Cl. WB, 4.50%, 7/15/20		385,209		406,443
Series 3025,Cl. SJ, 24.069%, 8/15/354		57,810		89,448
Series 3030,Cl. FL, 0.586%, 9/15/354		753,145		758,833
Series 3645,Cl. EH, 3.00%, 12/15/20		42,681		43,959
Series 3741,Cl. PA, 2.15%, 2/15/35		2,512,261		2,555,905
Series 3815,Cl. BD, 3.00%, 10/15/20		74,886		76,790
Series 3822,Cl. JA, 5.00%, 6/15/40		328,342		351,841
Series 3840,Cl. CA, 2.00%, 9/15/18		57,302		58,091
Series 3848,Cl. WL, 4.00%, 4/15/40		1,022,712		1,054,357
Series 3857,Cl. GL, 3.00%, 5/15/40		81,030		83,180
Series 4221,Cl. HJ, 1.50%, 7/15/23		1,636,824		1,648,925
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 48.885%, 3/15/295		137,121		31,055
Series 2796,Cl. SD, 48.383%, 7/15/265		182,125		39,604
Series 2815,Cl. PT, 0.00%, 11/15/325,6		1,924,352		129,071
Series 2920,Cl. S, 46.852%, 1/15/355		1,046,468		207,198
Series 2922,Cl. SE, 4.57%, 2/15/355		256,224		49,804
Series 2937,Cl. SY, 13.923%, 2/15/355		3,269,865		645,367
Series 2981,Cl. AS, 0.00%, 5/15/355,6		2,250,029		454,813
Series 3201,Cl. SG, 2.007%, 8/15/365		919,950		173,426
Series 3397,Cl. GS, 12.963%, 12/15/375		563,411		118,956
Series 3424,Cl. EI, 4.496%, 4/15/385		232,792		33,237
Series 3450,Cl. BI, 6.274%, 5/15/385		1,291,044		219,578
Series 3606,Cl. SN, 0.00%, 12/15/395,6		555,791		103,501
Federal National Mortgage Assn.:
3.00%, 6/15/308		11,415,000		11,920,650
3.50%, 6/1/458		104,980,000		109,630,291
4.00%, 6/1/458		95,380,000		101,840,491
4.50%, 6/1/308		1,390,000		1,451,051
5.00%, 6/25/458		21,195,000		23,575,530
6.00%, 6/1/458		6,075,000		6,941,637
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22		2,359,174		2,503,935
5.00%, 3/1/21		147,831		155,186
5.50%, 2/1/35-4/1/39		2,249,948		2,548,687
6.50%, 5/1/17-11/1/31		826,752		921,419
7.00%, 11/1/17-7/1/35		66,296		75,339
7.50%, 1/1/33-3/1/33		2,422,515		2,965,865

8       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn. Pool: (Continued)
8.50%, 7/1/32	$	9,546	$	11,037
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 19.05%, 6/25/235		311,041		55,946
Series 252,Cl. 2, 38.299%, 11/25/235		291,795		45,140
Series 303,Cl. IO, 32.765%, 11/25/295		121,076		30,677
Series 308,Cl. 2, 26.425%, 9/25/305		288,463		54,327
Series 320,Cl. 2, 7.051%, 4/25/325		1,046,471		207,259
Series 321,Cl. 2, 0.00%, 4/25/325,6		790,510		188,088
Series 331,Cl. 9, 15.848%, 2/25/335		293,909		63,526
Series 334,Cl. 17, 17.08%, 2/25/335		166,708		36,912
Series 339,Cl. 12, 0.00%, 6/25/335,6		577,136		147,667
Series 339,Cl. 7, 0.00%, 11/25/335,6		696,648		135,670
Series 343,Cl. 13, 0.00%, 9/25/335,6		559,449		113,284
Series 343,Cl. 18, 0.00%, 5/25/345,6		164,185		31,916
Series 345,Cl. 9, 0.00%, 1/25/345,6		263,828		51,214
Series 351,Cl. 10, 0.00%, 4/25/345,6		188,892		38,258
Series 351,Cl. 8, 0.00%, 4/25/345,6		317,418		63,343
Series 356,Cl. 10, 0.00%, 6/25/355,6		236,042		49,237
Series 356,Cl. 12, 0.00%, 2/25/355,6		114,589		24,545
Series 362,Cl. 13, 0.00%, 8/25/355,6		403,381		83,196
Series 364,Cl. 16, 0.00%, 9/25/355,6		475,792		102,641
Series 365,Cl. 16, 0.00%, 3/25/365,6		1,189,073		229,676
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23		269,810		300,445
Series 1998-61,Cl. PL, 6.00%, 11/25/28		135,885		155,745
Series 1999-54,Cl. LH, 6.50%, 11/25/29		214,287		245,204
Series 2001-51,Cl. OD, 6.50%, 10/25/31		367,435		422,967
Series 2003-100,Cl. PA, 5.00%, 10/25/18		1,929,430		2,027,398
Series 2003-130,Cl. CS, 13.731%, 12/25/334		228,369		273,250
Series 2003-28,Cl. KG, 5.50%, 4/25/23		667,555		735,925
Series 2003-84,Cl. GE, 4.50%, 9/25/18		123,924		129,415
Series 2004-101,Cl. BG, 5.00%, 1/25/20		357,120		366,684
Series 2004-25,Cl. PC, 5.50%, 1/25/34		332,821		351,430
Series 2005-104,Cl. MC, 5.50%, 12/25/25		3,367,704		3,724,105
Series 2005-31,Cl. PB, 5.50%, 4/25/35		1,430,000		1,699,012
Series 2005-73,Cl. DF, 0.435%, 8/25/354		1,763,719		1,771,607
Series 2006-11,Cl. PS, 23.889%, 3/25/364		181,384		276,853
Series 2006-46,Cl. SW, 23.522%, 6/25/364		138,976		189,698
Series 2006-50,Cl. KS, 23.523%, 6/25/364		283,817		426,940
Series 2006-50,Cl. SK, 23.523%, 6/25/364		45,928		68,558
Series 2008-75,Cl. DB, 4.50%, 9/25/23		515,874		537,487
Series 2009-113,Cl. DB, 3.00%, 12/25/20		1,417,692		1,454,852
Series 2009-36,Cl. FA, 1.125%, 6/25/374		436,815		448,507
Series 2009-37,Cl. HA, 4.00%, 4/25/19		642,146		663,954
Series 2009-70,Cl. TL, 4.00%, 8/25/19		2,124,281		2,192,103
Series 2010-43,Cl. KG, 3.00%, 1/25/21		588,242		605,859
Series 2011-15,Cl. DA, 4.00%, 3/25/41		262,999		276,807
Series 2011-3,Cl. EL, 3.00%, 5/25/20		2,357,008		2,418,911
Series 2011-3,Cl. KA, 5.00%, 4/25/40		1,096,235		1,204,692
Series 2011-38,Cl. AH, 2.75%, 5/25/20		61,797		63,213

9       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)
Series 2011-82,Cl. AD, 4.00%, 8/25/26	$	1,223,185	$	1,270,334
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-15,Cl. SA, 31.869%, 3/17/315		107,837		14,653
Series 2001-65,Cl. S, 21.701%, 11/25/315		272,910		66,087
Series 2001-81,Cl. S, 19.065%, 1/25/325		71,613		16,572
Series 2002-47,Cl. NS, 26.531%, 4/25/325		171,942		42,763
Series 2002-51,Cl. S, 26.715%, 8/25/325		157,866		39,279
Series 2002-52,Cl. SD, 32.808%, 9/25/325		221,311		54,395
Series 2002-60,Cl. SM, 23.994%, 8/25/325		233,508		49,575
Series 2002-7,Cl. SK, 20.722%, 1/25/325		70,974		14,910
Series 2002-75,Cl. SA, 26.062%, 11/25/325		332,375		80,325
Series 2002-77,Cl. BS, 20.936%, 12/18/325		143,935		36,400
Series 2002-77,Cl. SH, 30.342%, 12/18/325		109,320		26,279
Series 2002-89,Cl. S, 45.286%, 1/25/335		539,647		145,205
Series 2002-9,Cl. MS, 21.407%, 3/25/325		94,120		21,395
Series 2002-90,Cl. SN, 24.898%, 8/25/325		120,242		25,528
Series 2002-90,Cl. SY, 31.022%, 9/25/325		57,603		12,036
Series 2003-33,Cl. SP, 23.27%, 5/25/335		308,700		69,212
Series 2003-46,Cl. IH, 0.00%, 6/25/235,6		593,677		77,865
Series 2004-54,Cl. DS, 36.861%, 11/25/305		214,261		42,861
Series 2004-56,Cl. SE, 9.352%, 10/25/335		427,598		85,948
Series 2005-12,Cl. SC, 8.029%, 3/25/355		122,671		27,275
Series 2005-19,Cl. SA, 45.144%, 3/25/355		2,485,338		559,113
Series 2005-40,Cl. SA, 46.379%, 5/25/355		550,063		105,761
Series 2005-52,Cl. JH, 3.128%, 5/25/355		1,317,117		252,465
Series 2005-6,Cl. SE, 54.934%, 2/25/355		958,086		175,026
Series 2005-93,Cl. SI, 16.631%, 10/25/355		673,612		120,345
Series 2008-55,Cl. SA, 0.00%, 7/25/385,6		360,218		45,560
Series 2009-8,Cl. BS, 0.00%, 2/25/245,6		423,295		24,563
Series 2012-134,Cl. SA, 12.039%, 12/25/425		3,694,295		951,617
Series 2012-40,Cl. PI, 0.089%, 4/25/415		4,226,502		815,864
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.849%, 9/25/237		121,527		120,495
				315,709,791
GNMA/Guaranteed—0.1%
Government National Mortgage Assn. I Pool:
8.50%, 8/15/17-12/15/17		13,615		14,248
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 58.274%, 2/16/325		290,622		57,529
Series 2002-41,Cl. GS, 14.132%, 6/16/325		118,602		18,206
Series 2002-76,Cl. SY, 52.322%, 12/16/265		708,129		146,156
Series 2007-17,Cl. AI, 18.471%, 4/16/375		2,162,900		427,184
Series 2011-52,Cl. HS, 9.479%, 4/16/415		2,526,067		501,770
				1,165,093

10       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Non-Agency—5.2%
Commercial—4.0%
Banc of America Commercial Mortgage Trust, Series 2006-5, Cl. AM, 5.448%, 9/10/47	$	2,205,000	$	2,305,471
Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.474%, 7/20/364		4,157,796		3,896,004
Series 2014-R7,Cl. 3A1, 2.617%, 3/26/363,4		3,923,737		4,007,313
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.23%, 9/26/352,4		1,296,349		1,318,316
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/354		2,428,822		2,455,801
Series 2005-9,Cl. A1, 2.41%, 10/25/354		1,714,885		1,692,458
Bear Stearns Asset Backed Securities I Trust, Series 2005-HE6, Cl. M2, 1.19%, 6/25/354		4,855,689		4,490,638
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.441%, 1/25/364		1,451,789		1,371,292
Citigroup Commercial Mortgage Trust:
Series 2008-C7,Cl. AM, 6.144%, 12/10/494		1,860,000		2,026,600
Series 2013-GC11,Cl. D, 4.457%, 4/10/462,4		800,000		781,897
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/354		4,410,809		4,362,475
COMM Mortgage Trust:
Series 2012-CR4,Cl. D, 4.575%, 10/15/452,4		180,000		182,489
Series 2012-CR5,Cl. E, 4.336%, 12/10/452,4		1,650,000		1,620,336
Series 2013-CR7,Cl. D, 4.353%, 3/10/462,4		2,075,000		1,985,875
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		4,370,000		4,647,106
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0%, 12/10/455,6		5,921,892		527,022
Commercial Mortgage Trust:
Series 2007-GG11,Cl. AM, 5.867%, 12/10/494		3,335,000		3,597,331
Series 2007-GG9,Cl. AM, 5.475%, 3/10/39		2,330,000		2,455,616
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/404		1,600,000		1,622,241
CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36		1,741,208		1,435,852
Series 2009-13R,Cl. 4A1, 2.624%, 9/26/362,4		439,680		442,802
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.557%, 11/10/462,4		260,000		283,781
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 0.835%, 11/25/354		852,851		646,589
FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.428%, 11/25/462,4		175,000		178,741
Series 2013-K25,Cl. C, 3.618%, 11/25/452,4		350,000		347,196
Series 2013-K26,Cl. C, 3.60%, 12/25/452,4		460,000		459,127
Series 2013-K27,Cl. C, 3.497%, 1/25/462,4		400,000		393,805
Series 2013-K28,Cl. C, 3.494%, 6/25/462,4		2,460,000		2,418,785
Series 2013-K502,Cl. C, 3.189%, 3/25/452,4		720,000		733,546
Series 2013-K712,Cl. C, 3.368%, 5/25/452,4		730,000		735,461
Series 2013-K713,Cl. C, 3.165%, 4/25/462,4		480,000		476,524
Series 2014-K715,Cl. C, 4.124%, 2/25/462,4		155,000		160,329
Series 2015-K44,Cl. B, 3.685%, 1/25/482,4		2,005,000		1,999,476
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/372,4		1,846,800		1,713,784
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.147%, 7/25/354		504,642		499,237
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.421%, 12/15/472,4		2,500,000		2,506,978

11       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Commercial (Continued)
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/454	$	3,920,000	$	4,082,931
Series 2012-C6,Cl. E, 5.207%, 5/15/452,4		2,035,000		2,111,403
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.556%, 7/25/354		1,452,057		1,456,483
JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.624%, 9/26/362,4		1,680,566		1,683,969
Series 2009-5,Cl. 1A2, 2.677%, 7/26/362,4		1,393,032		1,216,008
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		1,825,000		1,960,159
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		1,180,000		1,238,965
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.661%, 11/15/452,4		2,095,000		2,127,341
Series 2013-C7,Cl. D, 4.298%, 2/15/462,4		1,245,000		1,227,305
Series 2013-C8,Cl. D, 4.17%, 12/15/482,4		485,000		472,771
Series 2014-C14,Cl. B, 4.643%, 2/15/474		80,000		88,418
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		3,650,000		3,815,732
Morgan Stanley Capital I Trust:
Series 2007-IQ13,Cl. AM, 5.406%, 3/15/44		4,240,000		4,496,724
Series 2007-IQ15,Cl. AM, 5.907%, 6/11/494		1,700,000		1,817,696
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.962%, 11/26/362,4		1,906,856		1,452,100
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.378%, 6/26/462,4		2,463,939		2,485,749
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.264%, 7/26/452,4		414,128		413,393
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.357%, 8/25/344		903,000		897,594
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.889%, 5/10/632,4		240,000		246,150
Wachovia Bank Commercial Mortgage Trust:
Series 2005-C22,Cl. AM, 5.317%, 12/15/444		665,000		674,051
Series 2007-C30,Cl. AM, 5.383%, 12/15/43		350,000		370,256
WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.344%, 12/25/354		956,677		927,308
Series 2005-AR16,Cl. 1A1, 2.338%, 12/25/354		1,052,803		1,004,040
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR10,Cl. 1A1, 2.646%, 6/25/354		3,008,234		3,082,083
Series 2005-AR15,Cl. 1A6, 2.613%, 9/25/354		1,067,417		1,018,202
Series 2006-AR7,Cl. 2A4, 2.732%, 5/25/364		224,510		214,772
Series 2006-AR8,Cl. 2A4, 2.623%, 4/25/364		617,899		604,296
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		618,220		640,379
Series 2007-AR3,Cl. A4, 5.796%, 4/25/374		44,408		43,544
Series 2007-AR8,Cl. A1, 2.612%, 11/25/374		929,887		821,769
WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.457%, 12/15/452,4		890,000		882,494
Series 2012-C7,Cl. E, 4.844%, 6/15/452,4		500,000		515,144
Series 2012-C8,Cl. E, 4.876%, 8/15/452,4		2,790,000		2,893,834
Series 2013-C11,Cl. D, 4.181%, 3/15/452,4		278,000		273,531
Series 2013-C15,Cl. D, 4.482%, 8/15/462,4		625,000		608,435
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/442,5,6		18,373,136		901,542
				109,544,865

12       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Multi-Family—0.1%
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.613%, 9/25/354	$	2,036,563	$	1,993,764
Series 2006-AR2,Cl. 2A3, 2.617%, 3/25/364		476,654		471,819
				2,465,583
Residential—1.1%
Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 0.965%, 6/25/354		4,000,000		3,700,676
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		303,730		281,203
Series 2007-C,Cl. 1A4, 5.284%, 5/20/364		295,740		278,200
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37		886,403		788,355
Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/364		2,421,729		2,416,987
Bear Stearns Asset Backed Securities I Trust, Series 2004-HE9, Cl. M2, 1.981%, 11/25/344		3,852,605		3,522,707
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.295%, 7/25/364		475,996		468,702
CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/494		4,510,000		4,700,597
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		1,050,755		1,018,845
Series 2006-6,Cl. A3, 6.00%, 4/25/36		462,379		449,316
Countrywide Alternative Loan Trust:
Series 2005-21CB,Cl. A7, 5.50%, 6/25/35		1,201,770		1,130,356
Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35		4,468,339		4,189,179
Countrywide Asset-Backed Certificates, Series 2004-6, Cl. M5, 2.09%, 8/25/344		1,023,365		906,835
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/374		16,179		15,933
Home Equity Mortgage Trust:
Series 2005-HF1,Cl. A2B, 0.885%, 2/25/364		333,178		324,499
Series 2005-HF1,Cl. A3B, 0.885%, 2/25/364		250,947		244,410
RAMP Trust, Series 2005-RS2, Cl. M4, 0.905%, 2/25/354		4,469,000		4,024,344
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.418%, 10/25/334		747,968		765,201
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2, 5.795%, 10/25/364		641,363		627,304
				29,853,649
Total Mortgage-Backed Obligations (Cost $449,673,941)				458,738,981
U.S. Government Obligations—0.3%
Federal National Mortgage Assn. Nts., 1%, 9/27/17		2,429,000		2,440,846
United States Treasury Nts.:
0.75%, 2/28/18		418,000		416,596
1.50%, 5/31/19		4,530,000		4,570,344
Total U.S. Government Obligations (Cost $7,388,567)				7,427,786
Non-Convertible Corporate Bonds and Notes—20.2%
Consumer Discretionary—2.1%
Auto Components—0.1%
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45		688,000		673,520

13       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Auto Components (Continued)
Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17	$	409,000	$	408,929
				1,082,449
Automobiles—0.5%
Daimler Finance North America LLC:
1.30% Sr. Unsec. Nts., 7/31/152		1,775,000		1,777,403
8.50% Sr. Unsec. Unsub. Nts., 1/18/31		1,218,000		1,855,068
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24		4,903,000		4,922,357
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		1,821,000		2,104,555
Hyundai Capital America:
1.45% Sr. Unsec. Nts., 2/6/172		1,960,000		1,958,785
4.00% Sr. Unsec. Nts., 6/8/172		371,000		389,050
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/162		1,502,000		1,537,180
				14,544,398
Hotels, Restaurants & Leisure—0.2%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		560,000		562,065
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		1,973,000		1,977,889
Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16		336,000		345,783
Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22		1,440,000		1,446,504
Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		1,797,000		1,908,233
				6,240,474
Household Durables—0.2%
Lennar Corp.:
4.75% Sr. Unsec. Nts., 11/15/22		780,000		777,075
4.75% Sr. Unsec. Nts., 5/30/25		1,551,000		1,523,857
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23		2,172,000		2,215,440
Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17		521,000		522,008
1.65% Sr. Unsec. Nts., 11/1/17		510,000		513,173
				5,551,553
Leisure Equipment & Products—0.1%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		2,288,000		2,279,937
Media—0.5%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		786,000		946,457
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		1,025,000		1,461,981
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42		816,000		850,242
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		355,000		347,216
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		311,000		324,362
9.15% Debs., 2/1/23		560,000		759,122
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		1,042,000		1,083,202
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23		2,236,000		2,280,720
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/162		433,000		445,296
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/242		1,157,000		1,168,562
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17		2,350,000		2,354,411

14       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Media (Continued)
Time Warner, Inc., 4.65% Sr. Unsec. Nts., 6/1/44	$	594,000	$	578,886
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16		835,000		851,605
				13,452,062
Multiline Retail—0.1%
Family Tree Escrow LLC, 5.75% Sr. Sec. Nts., 3/1/232		2,295,000		2,429,831
Macy’s Retail Holdings, Inc., 4.50% Sr. Unsec. Nts., 12/15/34		544,000		549,294
				2,979,125
Specialty Retail—0.2%
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		2,142,000		2,265,165
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		711,000		771,430
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		2,085,000		2,106,394
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		1,073,000		1,104,709
				6,247,698
Textiles, Apparel & Luxury Goods—0.2%
Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/252		2,370,000		2,372,962
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		2,277,000		2,322,540
				4,695,502
Consumer Staples—1.3%
Beverages—0.3%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		1,646,000		2,512,000
Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24		2,205,000		2,290,444
Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/172		1,944,000		1,993,014
4.25% Sr. Unsec. Nts., 7/15/222		1,390,000		1,489,238
				8,284,696
Food & Staples Retailing—0.2%
CVS Health Corp., 5.30% Sr. Unsec. Nts., 12/5/43		529,000		604,880
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40		1,084,000		1,145,340
Kroger Co., 6.90% Sr. Unsec. Nts., 4/15/38		546,000		713,085
Kroger Co. (The), 6.40% Sr. Unsec. Nts., 8/15/17		2,083,000		2,305,062
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44		1,043,000		1,078,889
				5,847,256
Food Products—0.6%
Bunge Ltd. Finance Corp.:
3.20% Sr. Unsec. Nts., 6/15/17		1,920,000		1,973,532
8.50% Sr. Unsec. Nts., 6/15/19		1,820,000		2,224,870
ConAgra Foods, Inc., 1.90% Sr. Unsec. Nts., 1/25/18		2,354,000		2,355,787
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17		2,370,000		2,370,661
JM Smucker Co.:
1.75% Sr. Unsec. Nts., 3/15/182		1,804,000		1,807,157
3.50% Sr. Unsec. Nts., 3/15/252		1,407,000		1,407,771
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42		538,000		555,955
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22		2,256,000		2,272,920
Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34		667,000		701,499

15       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Food Products (Continued)
Tyson Foods, Inc.: (Continued)
6.60% Sr. Unsec. Nts., 4/1/16	$	1,728,000	$	1,805,739
				17,475,891
Tobacco—0.2%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		1,277,000		2,170,450
Reynolds American, Inc., 6.75% Sr. Unsec. Nts., 6/15/17		1,732,000		1,907,270
				4,077,720
Energy—2.3%
Energy Equipment & Services—0.2%
Ensco plc, 5.20% Sr. Unsec. Nts., 3/15/25		459,000		473,149
Halliburton Co., 4.75% Sr. Unsec. Nts., 8/1/43		543,000		571,978
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/252		921,000		965,973
Nabors Industries, Inc., 2.35% Sr. Unsec. Nts., 9/15/16		1,532,000		1,537,727
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22		809,000		806,725
Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/172		2,330,000		2,337,691
Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42		600,000		542,583
				7,235,826
Oil, Gas & Consumable Fuels—2.1%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40		1,047,000		1,220,379
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24		1,262,000		1,271,098
Buckeye Partners LP, 6.05% Sr. Unsec. Nts., 1/15/18		1,043,000		1,135,464
Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18		888,000		882,920
5.90% Sr. Unsec. Nts., 2/1/18		999,000		1,099,837
Cenovus Energy, Inc., 5.20% Sr. Unsec. Nts., 9/15/43		651,000		653,458
Cimarex Energy Co., 4.375% Sr. Unsec. Nts., 6/1/24		1,267,000		1,304,218
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17		2,056,000		2,060,529
Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/252		1,265,000		1,283,680
DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/152		1,290,000		1,301,764
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		1,012,000		1,008,363
EnLink Midstream Partners LP:
2.70% Sr. Unsec. Nts., 4/1/19		1,842,000		1,839,552
4.40% Sr. Unsec. Nts., 4/1/24		534,000		547,699
Husky Energy, Inc., 6.20% Sr. Unsec. Nts., 9/15/17		1,296,000		1,418,156
Kinder Morgan Energy Partners LP, 4.10% Sr. Unsec. Nts., 11/15/15		790,000		800,783
Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/212		2,444,000		2,626,071
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/202		14,000,000		14,542,864
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875% Sr. Unsec. Nts., 6/1/25		2,431,000		2,417,326
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44		594,000		596,356
ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25		1,231,000		1,248,501
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/182		2,066,000		2,118,187
5.45% Sr. Unsec. Nts., 10/14/212		1,851,000		2,032,322

16       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25	$	460,000	$	452,288
Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17		2,068,000		2,252,461
Plains All American Pipeline LP/PAA Finance Corp., 3.60% Sr. Unsec. Nts., 11/1/24		1,713,000		1,685,669
Southwestern Energy Co., 4.95% Sr. Unsec. Nts., 1/23/25		1,307,000		1,357,412
Spectra Energy Partners LP:
4.50% Sr. Unsec. Nts., 3/15/45		458,000		433,284
4.60% Sr. Unsec. Nts., 6/15/21		1,078,000		1,165,987
4.75% Sr. Unsec. Nts., 3/15/24		924,000		1,004,795
Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22		1,466,000		1,497,406
Williams Partners LP, 4.50% Sr. Unsec. Nts., 11/15/23		1,102,000		1,149,387
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/212		1,753,000		1,883,916
				56,292,132
Financials—7.3%
Capital Markets—1.5%
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/242		1,662,000		1,693,753
Blackstone Holdings Finance Co. LLC:
4.45% Sr. Unsec. Nts., 7/15/452		120,000		114,357
5.00% Sr. Unsec. Nts., 6/15/442		2,067,000		2,130,149
Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24		3,046,000		3,096,829
Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25		2,380,000		2,327,542
Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds4,9		5,993,000		4,644,575
Goldman Sachs Group, Inc. (The):
5.15% Sub. Nts., 5/22/45		1,704,000		1,739,798
5.70% Jr. Sub. Perpetual Bonds, Series L4,9		2,206,000		2,232,913
KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/442		1,900,000		1,920,341
Lazard Group LLC:
3.75% Sr. Unsec. Nts., 2/13/25		562,000		547,992
4.25% Sr. Unsec. Nts., 11/14/20		1,678,000		1,783,026
Mellon Capital IV, 4% Jr. Sub. Perpetual Bonds4,9		6,000,000		5,054,400
Morgan Stanley:
4.30% Sr. Unsec. Nts., 1/27/45		1,340,000		1,295,512
5.00% Sub. Nts., 11/24/25		2,067,000		2,229,053
6.25% Sr. Unsec. Nts., 8/28/17		1,000,000		1,100,845
5.45% Jr. Sub. Perpetual Bonds, Series H4,9		2,261,000		2,269,479
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16		2,337,000		2,358,620
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24		1,477,000		1,678,975
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 14,9		3,098,000		3,214,175
				41,432,334
Commercial Banks—3.0%
Bank of America Corp., 7.75% Jr. Sub. Nts., 5/14/38		1,818,000		2,488,542
Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25		1,904,000		1,867,641
CIT Group, Inc., 3.875% Sr. Unsec. Nts., 2/19/19		2,333,000		2,344,665
Citigroup, Inc.:
6.675% Sub. Nts., 9/13/43		1,056,000		1,340,410

17       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Commercial Banks (Continued)
Citigroup, Inc.: (Continued)
5.95% Jr. Sub. Perpetual Bonds, Series D4,9	$	2,293,000	$	2,298,732
Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds2,4,9		2,353,000		2,305,940
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds3,4,9		1,825,000		2,162,625
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26		2,179,000		2,240,252
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/354		4,460,000		4,521,325
Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/242		1,985,000		1,991,249
JPMorgan Chase & Co.:
7.90% Jr. Sub. Perpetual Bonds, Series 14,9		4,500,000		4,810,500
6.75% Jr. Sub. Perpetual Bonds, Series S4,9		1,947,000		2,124,664
Lloyds Banking Group plc:
6.413% Jr. Sub. Perpetual Bonds2,4,9		125,000		142,500
6.657% Jr. Sub. Perpetual Bonds2,4,9		1,913,000		2,187,994
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds3,4,9		2,765,000		2,879,747
Regions Bank, Birmingham AL, 6.45% Sub. Nts., 6/26/37		1,608,000		1,974,449
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U4,9		2,200,000		2,387,000
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds2,4,9		1,980,000		2,071,575
SunTrust Banks, Inc.:
3.60% Sr. Unsec. Nts., 4/15/16		1,987,000		2,028,216
5.625% Jr. Sub. Perpetual Bonds4,9		2,249,000		2,289,763
Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Bonds4,9		11,000,000		10,912,000
Wells Fargo & Co.:
5.875% Jr. Sub. Perpetual Bonds4,9		849,000		893,573
7.98% Jr. Sub. Perpetual Bonds, Series K4,9		18,000,000		19,822,500
5.90% Jr. Sub. Perpetual Bonds, Series S4,9		1,719,000		1,774,868
				79,860,730
Consumer Finance—0.4%
Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31		1,783,000		2,199,776
Capital One Financial Corp.:
3.20% Sr. Unsec. Nts., 2/5/25		1,920,000		1,861,812
5.55% Jr. Sub. Nts.4,9		2,358,000		2,366,843
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		1,945,000		1,903,968
3.95% Sr. Unsec. Nts., 11/6/24		1,635,000		1,644,011
Synchrony Financial, 2.70% Sr. Unsec. Nts., 2/3/20		1,664,000		1,667,138
				11,643,548
Diversified Financial Services—0.1%
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/252		1,191,000		1,206,601
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/534		2,200,000		2,293,500
				3,500,101
Insurance—1.5%
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		1,808,000		1,906,588
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/232		1,728,000		1,820,896
Liberty Mutual Group, Inc.:
4.25% Sr. Unsec. Nts., 6/15/232		2,276,000		2,386,004

18       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Insurance (Continued)
Liberty Mutual Group, Inc.: (Continued)
4.85% Sr. Unsec. Nts., 8/1/442	$	1,313,000	$	1,322,408
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/674		3,619,000		3,329,480
MetLife, Inc.:
5.25% Jr. Sub. Perpetual Bonds4,9		1,672,000		1,678,270
10.75% Jr. Sub. Nts., 8/1/39		10,000,000		16,575,000
Prudential Financial, Inc.:
5.20% Jr. Sub. Nts., 3/15/444		1,281,000		1,293,810
5.375% Jr. Sub. Nts., 5/15/454		576,000		580,680
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds3,4,9		3,920,000		4,057,004
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/242		2,173,000		2,251,382
XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds4,9		1,340,000		1,157,760
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/373,4		2,238,000		2,386,267
				40,745,549
Real Estate Investment Trusts (REITs)—0.7%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		922,000		1,015,126
5.90% Sr. Unsec. Nts., 11/1/21		1,053,000		1,197,241
Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23		2,255,000		2,260,637
First Industrial LP, 7.50% Sr. Unsec. Nts., 12/1/17		2,017,000		2,254,839
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17		678,000		730,390
Health Care REIT, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		475,000		481,482
Highwoods Realty LP, 7.50% Sr. Unsec. Nts., 4/15/18		2,003,000		2,309,293
Hospitality Properties Trust, 4.65% Sr. Unsec. Nts., 3/15/24		1,093,000		1,109,392
Host Hotels & Resorts LP, 4% Sr. Unsec. Nts., 6/15/25		1,158,000		1,182,246
Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16		1,312,000		1,389,590
Prologis LP, 4% Sr. Unsec. Nts., 1/15/18		1,188,000		1,250,930
Regency Centers LP, 5.875% Sr. Unsec. Nts., 6/15/17		258,000		280,535
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17		800,000		799,890
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/172		1,997,000		2,005,337
				18,266,928
Real Estate Management & Development—0.1%
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25		2,476,000		2,481,222
Health Care—1.2%
Biotechnology—0.1%
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41		1,154,000		1,375,338
Health Care Equipment & Supplies—0.2%
Becton Dickinson & Co.:
1.45% Sr. Unsec. Nts., 5/15/17		1,914,000		1,919,057
3.875% Sr. Unsec. Nts., 5/15/24		934,000		968,402
DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16		2,135,000		2,172,817
Zimmer Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25		696,000		686,697
				5,746,973
Health Care Providers & Services—0.4%
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24		1,064,000		1,077,998

19       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Health Care Providers & Services (Continued)
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21	$	2,235,000	$	2,324,400
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/222		1,706,000		1,859,540
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25		3,342,000		3,287,462
LifePoint Health, Inc., 5.50% Sr. Unsec. Nts., 12/1/21		2,195,000		2,312,981
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44		968,000		1,023,129
				11,885,510
Life Sciences Tools & Services—0.1%
Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16		123,000		124,950
Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		605,000		635,104
5.30% Sr. Unsec. Nts., 2/1/44		717,000		803,856
				1,563,910
Pharmaceuticals—0.4%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		1,169,000		1,178,275
4.70% Sr. Unsec. Nts., 5/14/45		468,000		475,217
Actavis Funding SCS:
1.30% Sr. Unsec. Nts., 6/15/17		1,250,000		1,244,209
1.85% Sr. Unsec. Nts., 3/1/17		1,083,000		1,089,547
3.80% Sr. Unsec. Nts., 3/15/25		2,016,000		2,029,951
4.75% Sr. Unsec. Nts., 3/15/45		973,000		962,418
Hospira, Inc.:
5.20% Sr. Unsec. Nts., 8/12/20		1,756,000		1,984,903
6.05% Sr. Unsec. Nts., 3/30/17		975,000		1,055,425
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		1,929,000		1,943,467
				11,963,412
Industrials—1.5%
Aerospace & Defense—0.2%
BAE Systems Holdings, Inc., 3.80% Sr. Unsec. Nts., 10/7/242		1,667,000		1,721,569
L-3 Communications Corp., 1.50% Sr. Unsec. Nts., 5/28/17		632,000		627,129
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		530,000		554,987
Textron, Inc.:
3.875% Sr. Unsec. Nts., 3/1/25		628,000		639,600
4.30% Sr. Unsec. Nts., 3/1/24		957,000		1,011,173
				4,554,458
Building Products—0.1%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		1,986,000		2,042,812
Commercial Services & Supplies—0.2%
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20		1,786,000		1,844,045
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		2,654,000		2,739,411
R.R. Donnelley & Sons Co., 7.625% Sr. Unsec. Nts., 6/15/20		2,025,000		2,338,875
				6,922,331

20       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Electrical Equipment—0.0%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/232	$	1,678,000	$	1,717,852
Industrial Conglomerates—0.2%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B4,9		4,895,000		5,474,749
Synchrony Financial, 4.25% Sr. Unsec. Nts., 8/15/24		783,000		802,756
				6,277,505
Machinery—0.2%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		938,000		1,003,504
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		1,823,000		1,932,752
Joy Global, Inc., 6% Sr. Unsec. Nts., 11/15/16		405,000		431,239
Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15		1,748,000		1,797,344
				5,164,839
Professional Services—0.1%
Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/172		1,948,000		1,966,276
Road & Rail—0.3%
Burlington Northern Santa Fe LLC, 3% Sr. Unsec. Nts., 3/15/23		1,655,000		1,658,045
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/452		669,000		644,165
Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		1,687,000		1,638,831
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/162		2,331,000		2,353,863
4.25% Sr. Unsec. Nts., 1/17/232		865,000		890,302
				7,185,206
Trading Companies & Distributors—0.2%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		2,233,000		2,305,572
International Lease Finance Corp., 5.875% Sr. Unsec. Nts., 8/15/22		2,093,000		2,317,998
				4,623,570
Information Technology—0.9%
Communications Equipment—0.1%
Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23		1,628,000		1,582,327
QUALCOMM, Inc., 3.45% Sr. Unsec. Nts., 5/20/25		2,256,000		2,244,124
				3,826,451
Electronic Equipment, Instruments, & Components—0.2%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		2,152,000		2,358,342
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		2,620,000		2,786,813
				5,145,155
Internet Software & Services—0.1%
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/252		1,670,000		1,707,575
IT Services—0.2%
Fidelity National Information Services, Inc.:
1.45% Sr. Unsec. Nts., 6/5/17		1,804,000		1,804,987
3.50% Sr. Unsec. Nts., 4/15/23		1,105,000		1,094,246

21       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
IT Services (Continued)
Xerox Corp.:
2.95% Sr. Unsec. Nts., 3/15/17	$	798,000	$	820,454
6.75% Sr. Unsec. Nts., 2/1/17		398,000		432,988
				4,152,675
Semiconductors & Semiconductor Equipment—0.1%
Micron Technology, Inc., 5.50% Sr. Unsec. Nts., 2/1/252		2,290,000		2,278,321
Software—0.1%
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/232		2,270,000		2,292,700
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		1,588,000		1,627,973
				3,920,673
Technology Hardware, Storage & Peripherals—0.1%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		1,287,000		1,300,170
Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16		1,789,000		1,815,638
				3,115,808
Materials—1.3%
Chemicals—0.4%
Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		931,000		910,577
4.125% Sr. Unsec. Nts., 3/15/35		465,000		438,573
Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		991,000		1,002,874
4.65% Sr. Unsec. Nts., 10/15/44		565,000		557,511
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		653,000		695,567
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		1,340,000		1,350,971
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		2,260,000		2,361,700
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		1,901,000		1,875,888
Valspar Corp. (The), 3.30% Sr. Unsec. Nts., 2/1/25		638,000		630,802
				9,824,463
Construction Materials—0.1%
CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/452		651,000		664,101
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/232		2,242,000		2,342,890
				3,006,991
Containers & Packaging—0.3%
Ball Corp., 4% Sr. Unsec. Nts., 11/15/23		2,340,000		2,266,875
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		525,000		524,858
4.50% Sr. Unsec. Nts., 11/1/23		1,938,000		2,047,357
Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20		3,292,000		3,415,022
				8,254,112
Metals & Mining—0.2%
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		595,000		604,740
Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23		762,000		716,959

22       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Metals & Mining (Continued)
Glencore Canada Corp., 6% Sr. Unsec. Unsub. Nts., 10/15/15	$	1,849,000	$	1,881,429
Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/242		866,000		895,020
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		622,000		616,060
Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24		1,113,000		1,099,060
				5,813,268
Paper & Forest Products—0.3%
Appvion, Inc., 9% Sec. Nts., 6/1/202		11,865,000		7,771,575
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		874,000		846,881
				8,618,456
Telecommunication Services—1.1%
Diversified Telecommunication Services—1.0%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		3,455,000		3,105,893
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		1,413,000		2,226,090
CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21		1,900,000		2,035,375
Cox Communications, Inc.:
3.85% Sr. Unsec. Nts., 2/1/252		1,340,000		1,324,665
5.875% Sr. Unsec. Nts., 12/1/162		2,103,000		2,243,731
Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16		2,138,000		2,218,583
Frontier Communications Corp., 7.625% Sr. Unsec. Nts., 4/15/24		2,155,000		2,084,962
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		1,166,000		1,346,730
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36		806,000		1,041,663
T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21		2,232,000		2,370,384
Verizon Communications, Inc.:
3.50% Sr. Unsec. Nts., 11/1/24		923,000		924,970
4.50% Sr. Unsec. Nts., 9/15/20		4,749,000		5,182,797
4.522% Sr. Unsec. Nts., 9/15/482		1,308,000		1,198,395
5.012% Sr. Unsec. Nts., 8/21/54		520,000		493,802
				27,798,040
Wireless Telecommunication Services—0.1%
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42		970,000		942,336
Vodafone Group plc:
4.375% Sr. Unsec. Unsub. Nts., 2/19/43		569,000		498,663
6.25% Sr. Unsec. Nts., 11/30/32		605,000		686,874
				2,127,873
Utilities—1.2%
Electric Utilities—0.7%
American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/442		579,000		621,125
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/212		2,130,000		2,288,813
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/172		2,101,000		2,316,271
ITC Holdings Corp.:
3.65% Sr. Unsec. Nts., 6/15/24		1,670,000		1,702,401

23       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Electric Utilities (Continued)
ITC Holdings Corp.: (Continued)
5.30% Sr. Unsec. Nts., 7/1/43	$	510,000	$	565,768
NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17		2,351,000		2,361,547
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		368,000		406,558
PPL Capital Funding, Inc.:
3.50% Sr. Unsec. Unsub. Nts., 12/1/22		1,413,000		1,444,576
4.20% Sr. Sec. Nts., 6/15/22		678,000		723,627
PPL WEM Holdings Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/212		2,185,000		2,472,229
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18		1,953,000		2,285,805
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/252		1,394,000		1,431,368
				18,620,088
Independent Power and Renewable Electricity Producers—0.1%
Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16		1,335,000		1,348,187
NRG Yield Operating LLC, 5.375% Sr. Unsec. Nts., 8/15/242		2,179,000		2,255,265
				3,603,452
Multi-Utilities—0.4%
Berkshire Hathaway Energy Co., 4.50% Sr. Unsec. Nts., 2/1/45		1,124,000		1,147,155
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17		1,629,000		1,756,492
CMS Energy Corp.:
3.875% Sr. Unsec. Nts., 3/1/24		1,316,000		1,380,309
5.05% Sr. Unsec. Unsub. Nts., 3/15/22		1,791,000		1,998,111
Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54		505,000		517,148
Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44		925,000		925,924
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44		926,000		983,330
Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/252		1,159,000		1,168,336
				9,876,805
Total Non-Convertible Corporate Bonds and Notes (Cost $538,075,860)				548,897,329
Convertible Corporate Bonds and Notes—0.8%
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/402		18,500,000		20,257,500
SEACOR Holdings, Inc.:
2.50% Cv. Sr. Unsec. Nts., 12/15/27		1,000,000		1,031,250
3.00% Cv. Sr. Unsec. Nts., 11/15/28		666,000		602,730
Total Convertible Corporate Bonds and Notes (Cost $21,602,404)				21,891,480
Corporate Loans—3.4%
Appvion, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.75%, 6/28/194,8		5,780,254		5,392,497
AZ Chem US, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.50%, 6/10/214		13,808,219		13,858,771
Celanese US Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche C3, 2.431%, 10/31/184		9,825,750		9,892,535
Dynegy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 4.00%, 4/23/204		9,825,000		9,888,450

24       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

					Principal Amount		Value
Corporate Loans (Continued)
Energy Future Intermediate Holding Co. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Debtor in Possession, 4.25%, 6/20/164					$	20,000,000	$	20,120,840
Intelsat Jackson Holdings SA, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 3.75%, 6/30/194						17,511,840		17,474,627
International Lease Finance Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.50%, 2/26/214						17,000,000		17,038,964
Total Corporate Loans (Cost $93,675,559)								93,666,684
					Shares
Structured Securities—2.8%
Bank of America Merrill Lynch, AerCap Holdings NV Equity Linked Nts., 6/24/152						193,520		9,314,400
Bank of America Merrill Lynch, Brinker International, Inc. Equity Linked Nts., 10/22/152						222,185		12,483,165
Bank of America Merrill Lynch, United Continental Holdings, Inc. Equity Linked Nts., 6/24/152						56,278		3,243,121
Goldman Sachs Group, Inc. (The), Actavis plc Equity Linked Nts., 7/15/152						34,000		10,457,185
Goldman Sachs Group, Inc. (The), Celanese Corp., Cl. A Equity Linked Nts., 7/15/152						148,830		9,370,312
Goldman Sachs Group, Inc. (The), Cisco Systems, Inc. Equity Linked Nts., 7/15/152						145,700		4,238,361
Goldman Sachs Group, Inc. (The), Quanta Services, Inc. Equity Linked Nts., 6/29/152						303,100		8,874,219
Goldman Sachs Group, Inc. (The), United Health Services Equity Linked Nts., 7/15/152						67,020		8,523,407
Goldman Sachs Group, Inc. (The), UnitedHealth Group, Inc. Equity Linked Nts., 7/15/152						84,750		10,167,332
Total Structured Securities (Cost $74,563,905)								76,671,502
	Exercise Expiration
	Price		Date		Contracts
Exchange-Traded Option Purchased—0.0%
S&P 500 Index Call (Cost $483,608)1		USD  2,160.000		7/17/15		USD        200		238,400

Pay/Receive

Floating

Floating

Fixed Expiration

Notional Amount

Counterparty

Rate

Rate

Rate

Date

(000’s)

Over-the-Counter Interest Rate Swaptions Purchased—0.2%

Interest Rate Swap maturing 1/25/26 Put1

GSG

Receive

Six-Month JPY BBA LIBOR

1.870%

1/21/16

JPY

5,406,000

5,839

Interest Rate Swap maturing 11/22/27 Call1

GSG

Receive

Six-Month JPY BBA LIBOR

1.070

11/20/17

JPY

8,437,000

1,159,650

25       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

			Pay/Receive
			Floating		Floating		Fixed Expiration				Notional Amount
	Counterparty		Rate		Rate		Rate		Date		(000’s)		Value
Over-the-Counter Interest Rate Swaptions Purchased (Continued)
Interest Rate Swap maturing 3/21/28 Call1		GSG		Receive		Three-Month USD BBA LIBOR		2.580%		3/19/18	USD	14,400	$	810,119
Interest Rate Swap maturing 4/18/28 Call1		GSG		Receive		Three-Month USD BBA LIBOR		2.505		4/16/18	USD	36,000		2,166,266
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $5,965,316)														4,141,874
											Shares
Investment Companies—22.7%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.14%10,11												189,086,622		189,086,622
Oppenheimer Master Loan Fund, LLC10												23,522,129		348,337,285
Oppenheimer Ultra-Short Duration Fund, Cl. Y10												6,074,962		60,871,117
SPDR Gold Trust Exchange Traded Fund1,12												166,000		18,940,600
Total Investment Companies (Cost $619,820,549)														617,235,624
Total Investments, at Value (Cost $2,850,545,666)												108.4%		2,944,316,512
Net Other Assets (Liabilities)												(8.4)		(228,645,300	)
Net Assets												100.0%	$	2,715,671,212

Footnotes to Consolidated Statement of Investments

*May 29, 2015 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

1. Non-income producing security.

2. 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 $383,981,979 or 14.14% of the Fund’s net assets as of May 29, 2015.

26       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Footnotes to Consolidated Statement of Investments (Continued)

3. Restricted security. The aggregate value of restricted securities as of May 29, 2015 was $95,712,901, which represents 3.52% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:

							Unrealized
	Acquisition						Appreciation/
Security	Dates		Cost		Value		(Depreciation)
Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.438%, 5/10/32		5/14/13-1/9/15	$	14,677,160	$	15,028,285	$	351,125
Airspeed Ltd., Series 2007-1A, Cl. G1, 0.456%, 6/15/32		7/28/10-4/15/15		30,466,464		30,329,643		(136,821	)
Airspeed Ltd., Series 2007-1A, Cl. G2, 0.466%, 6/15/32		4/8/11		7,948,925		7,825,070		(123,855	)
Banc of America Funding Trust, Series 2014-R7, Cl. 3A1, 2.617%, 3/26/36		3/6/15-5/13/15		4,006,023		4,007,313		1,290
Blade Engine Securitization Ltd., Series 2006-1A, Cl. B, 3.186%, 9/15/41		11/10/09		4,623,166		2,797,921		(1,825,245	)
Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.486%, 9/15/41		4/19/13-5/29/13		16,799,338		16,173,452		(625,886	)
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds		10/27/14-11/13/14		2,086,028		2,162,625		76,597
Drive Auto Receivables Trust, Series 2015-AA, Cl. C, 3.06%, 5/17/21		3/12/15		1,549,788		1,570,179		20,391
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds		5/1/13-5/8/13		2,794,931		2,879,747		84,816
Raspro Trust, Series 2005-1A, Cl. G, 0.67%, 3/23/24		6/11/13-4/14/15		6,516,636		6,495,395		(21,241	)
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds		3/10/10-2/3/15		3,727,794		4,057,004		329,210
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37		11/20/13-12/8/14		2,331,495		2,386,267		54,772
			$	97,527,748	$	95,712,901	$	(1,814,847	)

4. Represents the current interest rate for a variable or increasing rate security.

5. 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 $10,599,169 or 0.39% of the Fund’s net assets as of May 29, 2015.

6. Interest rate is less than 0.0005%.

27       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Footnotes to Consolidated Statement of Investments (Continued)

7. 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 $166,962 or 0.01% of the Fund’s net assets as of May 29, 2015.

8. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after May 29, 2015. See Note 4 of the accompanying Consolidated Notes.

9. 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.

10. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended May 29, 2015, 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 29, 2014a		Gross Additions		Gross Reductions		Shares May 29, 2015
Oppenheimer Institutional Money Market Fund, Cl. E		142,722,250		866,229,005		819,864,633		189,086,622
Oppenheimer Master Loan Fund, LLC		18,401,410		5,120,719		—		23,522,129
Oppenheimer Ultra-Short Duration Fund, Cl. Y		6,058,107		16,855		—		6,074,962

	Value		Income			Realized Loss
Oppenheimer Institutional Money Market Fund, Cl. E	$	189,086,622	$	193,990		$	—
Oppenheimer Master Loan Fund, LLC		348,337,285		11,727,315	b		(5,026,857	) b
Oppenheimer Ultra-Short Duration Fund, Cl. Y		60,871,117		175,056			—
Total	$	598,295,024	$	12,096,361		$	(5,026,857)

a. August 29, 2014 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.

b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.

11. Rate shown is the 7-day yield as of May 29, 2015.

12. All or a portion of this security is owned by the subsidiary. See Note 2 of the accompanying Consolidated Notes.

Forward Currency Exchange Contracts as of May 29, 2015
Counterparty	Settlement Month(s)		Currency Purchased (000’s)			Currency Sold (000’s)			Unrealized Appreciation		Unrealized Depreciation
BOA		06/2015		CAD	26,010		USD	20,916	$	—	$	4,507
BOA		11/2015		USD	20,868		CAD	26,010		2,980		—
CITNA-B		06/2015		USD	21,506		CAD	26,010		594,403		—
DEU		06/2015		JPY	900,000		USD	7,500		—		248,131
DEU		06/2015		USD	25,099		EUR	22,000		933,724		—
DEU		06/2015		USD	25,524		JPY	3,040,000		1,029,457		—
DEU		06/2015		USD	18,604		SEK	158,340		220,302		189,086
JPM		06/2015		USD	37,719		CHF	36,000		—		594,378
MSCO		06/2015		USD	18,439		EUR	16,925		—		151,487
NOM		06/2015		USD	8,311		AUD	10,600		209,769		—
Total Unrealized Appreciation and Depreciation									$	2,990,635	$	1,187,589

28       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Futures Contracts as of May 29, 2015
Description			Exchange		Buy/Sell		Expiration Date		Number of Contracts		Value		Unrealized Appreciation (Depreciation)
90 Day Euro				CME		Sell		12/19/16		125	$	30,825,000	$	(277,989)
90 Day Euro				CME		Buy		12/19/16		125		30,825,000		14,363
Euro-BTP				EUX		Sell		9/8/15		50		7,407,484		6,739
United States Treasury Long Bonds				CBT		Buy		9/21/15		52		8,092,500		17,816
United States Treasury Nts., 2 yr.				CBT		Buy		9/30/15		167		36,549,516		25,884
United States Treasury Nts., 5 yr.				CBT		Buy		9/30/15		68		8,141,406		33,863
United States Treasury Nts., 10 yr.				CBT		Sell		9/21/15		489		62,439,188		(378,463)
United States Treasury Ultra Bonds				CBT		Buy		9/21/15		239		38,307,219		512,274
													$	(45,513)
Centrally Cleared Credit Default Swaps at May 29, 2015
Reference Asset			Buy/Sell Protection		Fixed Rate		Maturity Date		Notional Amount (000’s)		Premiums Received/(Paid)		Value
CDX.IG.22				Sell		1.000%		6/20/19	USD	25,000	$	(496,010)	$	637,496
CDX.NA.HY.22				Buy		5.000		6/20/19	USD	19,400		1,682,950		(2,111,551)
iTraxx.Main.21				Buy		1.000		6/20/19	EUR	19,000		496,756		(522,872)
Total of Cleared Credit Default Swaps											$	1,683,696	$	(1,996,927)
Over-the-Counter Credit Default Swaps at May 29, 2015
Reference Asset	Counterparty		Buy/Sell Protection		Fixed Rate		Maturity Date		Notional Amount (000’s)		Premiums Received/(Paid)		Value
Federative Republic of Brazil		GSG		Buy		1.000%		3/20/20	USD	5,000	$	(326,220)	$	282,960
Federative Republic of Brazil		JPM		Buy		1.000		3/20/20	USD	10,000		(448,843)		565,920
Kingdom of Spain		BOA		Buy		1.000		6/20/20	USD	15,000		101,769		(133,050)
Portuguese Republic		GSG		Buy		1.000		6/20/20	USD	10,000		(202,723)		272,120
Total of Over-the-Counter Credit Default Swaps											$	(876,017)	$	987,950

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 & Poor’s 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.

29       OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Over-the-Counter Total Return Swaps at May 29, 2015

Reference Asset

Counterparty

Pay/Receive Total Return*

Floating Rate

Maturity Date

Notional Amount (000’s)

Value

Blackstone Group LP

GSG

Receive

Twelve-Month USD BBA LIBOR plus 53 basis points

12/4/15

USD

14,948

$

3,202,936

* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.

Glossary:

Counterparty Abbreviations

BOA	Bank of America NA
CITNA-B	Citibank NA
DEU	Deutsche Bank AG
GSG	Goldman Sachs Group, Inc. (The)
JPM	JPMorgan Chase Bank NA
MSCO	Morgan Stanley Capital Services, Inc.
NOM	Nomura Global Financial Products, Inc.

Currency abbreviations indicate amounts reporting in currencies

AUD	Australian Dollar
CAD	Canadian Dollar
CHF	Swiss Franc
EUR	Euro
JPY	Japanese Yen
SEK	Swedish Krona

Definitions

BBA LIBOR	British Bankers’ Association London - Interbank Offered Rate
CDX.IG.22	Markit CDX Investment Grade Index
CDX.NA.HY.22	Markit CDX North American High Yield
iTraxx.Main 21	Credit Default Swap Trading Index for a Specific Basket of Securities

Exchange Abbreviations

CBT	Chicago Board of Trade
CME	Chicago Mercantile Exchanges
EUX	European Stock Exchange

30       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS May 29, 2015 Unaudited

1. Organization

Oppenheimer Capital Income Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s 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 (“Gold ETF’s”). The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.

The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At May 29, 2015, the Fund owned 9,632 shares with net assets of $23,005,334.

Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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.

3. 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.

31       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities 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.

32       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.

Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

Security Type	Standard inputs generally considered by third-party pricing vendors
Corporate debt, government debt, 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar

33       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of May 29, 2015 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	$	86,682,483	$	—	$	—	$	86,682,483
Consumer Staples		48,584,412		—		—		48,584,412
Energy		50,777,045		—		—		50,777,045
Financials		139,653,255		—		—		139,653,255
Health Care		90,741,290		19,944,023		—		110,685,313
Industrials		104,121,367		—		—		104,121,367

34       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

	Level 1— Unadjusted Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value
Common Stocks (Continued)
Information Technology	$	92,026,571	$	25,002,684	$	—	$	117,029,255
Materials		37,532,607		—		—		37,532,607
Telecommunication Services		46,793,892		18,668,505		—		65,462,397
Utilities		45,073,842		—		—		45,073,842
Preferred Stocks		—		6,455,865		—		6,455,865
Asset-Backed Securities		—		287,175,559		16,173,452		303,349,011
Mortgage-Backed Obligations		—		458,738,981		—		458,738,981
U.S. Government Obligations		—		7,427,786		—		7,427,786
Non-Convertible Corporate Bonds and Notes		—		548,897,329		—		548,897,329
Convertible Corporate Bonds and Notes		—		21,891,480		—		21,891,480
Corporate Loans		—		93,666,684		—		93,666,684
Structured Securities		—		76,671,502		—		76,671,502
Exchange-Traded Option Purchased		238,400		—		—		238,400
Over-the-Counter Interest Rate Swaptions Purchased		—		4,141,874		—		4,141,874
Investment Companies		268,898,339		348,337,285		—		617,235,624
Total Investments, at Value		1,011,123,503		1,917,019,557		16,173,452		2,944,316,512
Other Financial Instruments:
Swaps, at value		—		4,323,936		—		4,323,936
Centrally cleared swaps, at value		—		637,496		—		637,496
Futures contracts		610,939		—		—		610,939
Forward currency exchange contracts		—		2,990,635		—		2,990,635
Total Assets	$	1,011,734,442	$	1,924,971,624	$	16,173,452	$	2,952,879,518
Liabilities Table
Other Financial Instruments:
Swaps, at value	$	—	$	(133,050)	$	—	$	(133,050)
Centrally cleared swaps, at value		—		(2,634,423)		—		(2,634,423)
Futures contracts		(656,452)		—		—		(656,452)
Forward currency exchange contracts		—		(1,187,589)		—		(1,187,589)
Total Liabilities	$	(656,452)	$	(3,955,062)	$	—	$	(4,611,514)

Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.

35       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

	Transfers out of Level 2*		Transfers into Level 3*
Assets Table
Investments, at Value:
Asset-Backed Securities	$	(17,949,268)	$	17,949,268
Total Assets	$	(17,949,268)	$	17,949,268

* Transferred from Level 2 to Level 3 because of the lack of observable market data.

4. Investments and Risks

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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s 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 IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.

Investment in Oppenheimer Master Fund. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC (the “Master Fund”). The Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.

The investment objective of the Master Fund is to seek income. The Fund’s 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 Fund’s expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Master Fund. The Fund owns 27.3% of the Master Fund at May 29, 2015.

36       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

4. Investments and Risks (Continued)

Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations. The Fund records a realized gain or loss when a structured security is sold or matures.

Loans. The Fund invests in loans made to U.S. and foreign borrowers that are corporations, partnerships or other business entities. The Fund will do so directly as an original lender or by assignment or indirectly through participation agreements or certain derivative instruments. While many of these loans will be collateralized, the Fund can also invest in uncollateralized loans. Loans are often issued in connection with recapitalizations, acquisitions, leveraged buyouts, and refinancing of borrowers. The loans often pay interest at rates that float above (or are adjusted periodically based on) a benchmark that reflects current interest rates although the Fund can also invest in loans with fixed interest rates.

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

As of May 29, 2015, 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		$    334,392,899
Sold securities		81,778,694

37       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

4. Investments and Risks (Continued)

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

At the period ended May 29, 2015, the counterparty pledged $260,000 of collateral to the Fund for forward roll transactions.

Restricted Securities. As of May 29, 2015, 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.

Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.

The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.

38       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments

The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows 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, 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 instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

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

39       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments (Continued)

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 Fund’s 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 Fund’s 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 Fund’s 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

40       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments (Continued)

to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.

During the period ended May 29, 2015, the Fund had daily average contract amounts on forward contracts to buy and sell of $4,305,489 and $72,584,552, respectively.

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 merchant’s 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 Fund’s 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.

During the period ended May 29, 2015, the Fund had an ending monthly average market value of $66,788,500 and $148,509,524 on futures contracts purchased and sold, respectively.

41       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. 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 Fund’s securities.

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, 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 treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

The Fund has purchased call options on 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.

During the period ended May 29, 2015, the Fund had an ending monthly average market value of $1,293,485 purchased call options.

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 May 29, 2015, the Fund had no outstanding written options.

42       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. 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 (“centrally 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 Consolidated Statement of Investments. The values of centrally cleared swap and 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 issuer’s 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

43       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments (Continued)

may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.

If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the 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 May 29, 2015, the Fund had ending monthly average notional amounts of $57,219,825 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 May 29, 2015, the Fund had ending monthly average notional amounts of $13,188,918 on total return swaps which are long the reference asset.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

44       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. 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 in 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.

The Fund has purchased swaptions which gives it the option to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.

During the period ended May 29, 2015, the Fund had an ending monthly average market value of $2,984,905 on purchased swaptions.

As of May 29, 2015, the Fund had no outstanding written 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 Fund’s 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

45       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments (Continued)

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 Fund’s 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 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 May 29, 2015, the Fund has required certain counterparties to post collateral of $10,183,838.

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 Fund’s 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 Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally 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 centrally cleared swaps.

With respect to centrally 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 broker’s, futures commission merchant’s or clearinghouse’s 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 Fund’s behalf, and the Fund may be required to pay a

46       OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENTS OF INVESTMENTS Unaudited / Continued

5. Risk Exposures and the Use of Derivative Instruments (Continued)

termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s 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.

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 centrally 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.

6. Federal Taxes

The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of May 29, 2015 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	$	2,852,340,182
Federal tax cost of other investments		221,504,241
Total federal tax cost	$	3,073,844,423
Gross unrealized appreciation	$	172,553,586
Gross unrealized depreciation		(77,968,754)
Net unrealized appreciation	$	94,584,832

47       OPPENHEIMER CAPITAL INCOME FUND

Item 2. Controls and Procedures.

(a) Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 5/29/2015, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

(b) There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Exhibits attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Oppenheimer Capital Income Fund

By:	/s/ Arthur P. Steinmetz
	Arthur P. Steinmetz
	Principal Executive Officer

Date: 7/9/2015

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/ Arthur P. Steinmetz
	Arthur P. Steinmetz
	Principal Executive Officer

Date: 7/9/2015

By:	/s/ Brian W. Wixted
	Brian W. Wixted
	Principal Financial Officer

Date: 7/9/2015