N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-1512

Oppenheimer Capital Income Fund

(Exact name of registrant as specified in charter)

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

Arthur S. Gabinet

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: 11/30/2015

Item 1. Schedule of Investments.

CONSOLIDATED STATEMENT OF INVESTMENTS November 30, 2015 Unaudited

	Shares	Value
Common Stocks—32.9%
Consumer Discretionary—1.9%
Hotels, Restaurants & Leisure—0.5%
Brinker International, Inc.	289,394	$	13,202,154
Media—1.1%
Cinemark Holdings, Inc.	425,890		14,778,383
DISH Network Corp., Cl. A1	236,945		14,858,821
			29,637,204
Multiline Retail—0.3%
Target Corp.	108,939		7,898,078
Consumer Staples—2.1%
Beverages—0.7%
Coca-Cola Co. (The)	420,630		17,927,251
Tobacco—1.4%
Altria Group, Inc.	514,235		29,619,936
Philip Morris International, Inc.	83,950		7,336,390
			36,956,326
Energy—2.6%
Energy Equipment & Services—0.3%
Schlumberger Ltd.	85,040		6,560,836
Oil, Gas & Consumable Fuels—2.3%
Canadian Natural Resources Ltd.	132,812		3,216,249
Chevron Corp.	73,240		6,688,277
ConocoPhillips	208,556		11,272,452
EOG Resources, Inc.	147,174		12,278,727
Exxon Mobil Corp.	42,100		3,437,886
Noble Energy, Inc.	408,618		14,984,022
Occidental Petroleum Corp.	59,600		4,505,164
Valero Energy Corp.	74,220		5,333,449
			61,716,226
Financials—6.4%
Capital Markets—0.3%
Goldman Sachs Group, Inc. (The)	41,430		7,872,529
Commercial Banks—1.6%
Citigroup, Inc.	138,620		7,497,956
JPMorgan Chase & Co.	99,720		6,649,329
M&T Bank Corp.	72,330		9,065,119
Wells Fargo & Co.	374,240		20,620,624
			43,833,028
Insurance—2.2%
ACE Ltd.	221,880		25,482,918
Allstate Corp. (The)	229,180		14,383,337
Unum Group	526,630		19,316,788
			59,183,043

1      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Shares	Value
Real Estate Investment Trusts (REITs)—2.3%
American Assets Trust, Inc.	224,650	$	8,943,316
Blackstone Mortgage Trust, Inc., Cl. A	663,760		19,182,664
Macerich Co. (The)	52,810		4,127,102
Outfront Media, Inc.	6,319		144,389
Starwood Property Trust, Inc.	1,384,520		28,147,292
			60,544,763
Health Care—5.2%
Biotechnology—0.2%
Baxalta, Inc.	199,440		6,856,747
Health Care Equipment & Supplies—0.1%
Medtronic plc	47,140		3,551,528
Health Care Providers & Services—2.0%
Express Scripts Holding Co.1	102,800		8,787,344
HCA Holdings, Inc.1	41,449		2,821,019
UnitedHealth Group, Inc.	205,264		23,135,305
Universal Health Services, Inc., Cl. B	145,523		17,683,955
			52,427,623
Pharmaceuticals—2.9%
Allergan plc1	58,110		18,240,148
Merck & Co., Inc.	321,710		17,053,847
Novartis AG, ADR	257,620		21,959,529
Roche Holding AG	73,792		19,727,956
			76,981,480
Industrials—5.5%
Aerospace & Defense—3.1%
Honeywell International, Inc.	284,590		29,583,130
Lockheed Martin Corp.	166,550		36,501,098
Northrop Grumman Corp.	84,580		15,762,329
			81,846,557
Airlines—0.2%
United Continental Holdings, Inc.1	103,016		5,741,082
Commercial Services & Supplies—1.2%
Republic Services, Inc., Cl. A	444,200		19,513,706
Tyco International plc	372,010		13,135,673
			32,649,379
Machinery—0.3%
Flowserve Corp.	190,500		8,808,720
Road & Rail—0.3%
Union Pacific Corp.	86,280		7,243,206
Trading Companies & Distributors—0.4%
AerCap Holdings NV1	244,906		11,128,528

2      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Shares	Value
Information Technology—3.6%
Communications Equipment—1.5%
Cisco Systems, Inc.	203,742	$	5,551,970
Juniper Networks, Inc.	557,301		16,791,479
QUALCOMM, Inc.	260,570		12,713,210
Telefonaktiebolaget LM Ericsson, ADR	472,651		4,579,988
			39,636,647
Internet Software & Services—0.7%
Alphabet, Inc., Cl. A1	25,810		19,689,158
Semiconductors & Semiconductor Equipment—0.7%
Xilinx, Inc.	397,162		19,734,980
Technology Hardware, Storage & Peripherals—0.7%
Apple, Inc.	150,845		17,844,964
Materials—2.2%
Chemicals—1.5%
Celanese Corp.	189,753		13,425,025
LyondellBasell Industries NV, Cl. A	183,316		17,565,339
Methanex Corp.	252,120		9,888,146
			40,878,510
Containers & Packaging—0.7%
Packaging Corp. of America	106,890		7,267,451
Sonoco Products Co.	270,220		11,841,041
			19,108,492
Telecommunication Services—1.6%
Diversified Telecommunication Services—1.6%
AT&T, Inc.	645,480		21,733,312
BCE, Inc.	470,590		20,263,605
			41,996,917
Utilities—1.8%
Electric Utilities—1.3%
Edison International	201,330		11,950,949
NextEra Energy, Inc.	105,635		10,548,711
PPL Corp.	388,791		13,234,446
			35,734,106
Multi-Utilities—0.5%
CMS Energy Corp.	376,260		13,176,625
Total Common Stocks (Cost $852,990,829)			880,366,687
Preferred Stocks—0.2%
M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg.	1,833		1,869,660
M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg.	4,500		4,590,000
Total Preferred Stocks (Cost $6,345,341)			6,459,660

3      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Asset-Backed Securities—11.2%
Auto Loan—5.1%
American Credit Acceptance Receivables Trust:
Series 2013-2,Cl. B, 2.84%, 5/15/192	$       810,618	$	812,638
Series 2014-1,Cl. B, 2.39%, 11/12/192	2,269,466		2,274,760
Series 2014-2,Cl. B, 2.26%, 3/10/202	725,000		725,963
Series 2014-3,Cl. B, 2.43%, 6/10/202	3,110,000		3,092,593
Series 2014-4,Cl. B, 2.60%, 10/12/202	875,000		866,905
Series 2015-1,Cl. B, 2.85%, 2/12/212	2,395,000		2,364,031
Series 2015-3,Cl. B, 3.56%, 10/12/213	2,130,000		2,122,125
AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/192	1,885,000		1,918,458
Series 2012-4,Cl. D, 2.68%, 10/9/18	2,570,000		2,595,816
Series 2012-5,Cl. D, 2.35%, 12/10/18	2,750,000		2,769,529
Series 2013-2,Cl. E, 3.41%, 10/8/202	1,735,000		1,753,877
Series 2013-3,Cl. E, 3.74%, 12/8/202	930,000		932,852
Series 2013-4,Cl. D, 3.31%, 10/8/19	415,000		422,441
Series 2013-5,Cl. D, 2.86%, 12/9/19	3,125,000		3,156,285
Series 2014-1,Cl. D, 2.54%, 6/8/20	2,680,000		2,685,976
Series 2014-1,Cl. E, 3.58%, 8/9/21	2,040,000		2,037,699
Series 2014-2,Cl. D, 2.57%, 7/8/20	2,795,000		2,777,494
Series 2014-2,Cl. E, 3.37%, 11/8/21	2,200,000		2,173,713
Series 2014-3,Cl. D, 3.13%, 10/8/20	2,595,000		2,615,308
Series 2014-4,Cl. D, 3.07%, 11/9/20	1,860,000		1,855,480
Series 2015-2,Cl. C, 2.40%, 1/8/21	635,000		634,027
Series 2015-2,Cl. D, 3.00%, 6/8/21	425,000		421,570
Series 2015-3,Cl. D, 3.34%, 8/8/21	1,210,000		1,200,893
Series 2015-4,Cl. D, 3.72%, 12/8/21	1,310,000		1,313,008
California Republic Auto Receivables Trust:
Series 2013-2,Cl. C, 3.32%, 8/17/20	1,105,000		1,132,462
Series 2014-2,Cl. C, 3.29%, 3/15/21	415,000		413,996
Series 2014-4,Cl. C, 3.56%, 9/15/21	625,000		625,412
Capital Auto Receivables Asset Trust:
Series 2013-1,Cl. D, 2.19%, 9/20/21	725,000		724,573
Series 2013-4,Cl. D, 3.22%, 5/20/19	505,000		511,806
Series 2014-1,Cl. D, 3.39%, 7/22/19	580,000		590,005
Series 2014-3,Cl. D, 3.14%, 2/20/20	900,000		899,961
Series 2015-1,Cl. D, 3.16%, 8/20/20	1,020,000		1,010,970
Series 2015-2,Cl. C, 2.67%, 8/20/20	1,010,000		1,004,779
Series 2015-4,Cl. D, 3.62%, 5/20/21	1,725,000		1,711,348
CarFinance Capital Auto Trust:
Series 2013-2A,Cl. B, 3.15%, 8/15/192	2,825,000		2,845,089
Series 2014-1A,Cl. A, 1.46%, 12/17/182	223,596		223,463
Series 2015-1A,Cl. A, 1.75%, 6/15/212	1,033,560		1,023,264
CarMax Auto Owner Trust:
Series 2015-2,Cl. D, 3.04%, 11/15/21	655,000		653,267
Series 2015-3,Cl. D, 3.27%, 3/15/22	1,215,000		1,218,847
CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/192	376,167		377,132
Series 2014-A,Cl. A, 1.21%, 8/15/182	920,632		918,633
Series 2014-C,Cl. A, 1.31%, 2/15/192	957,822		951,911
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/192	144,667		144,063
Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/212	980,000		980,428

4      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Auto Loan (Continued)
Credit Acceptance Auto Loan Trust (Continued)
Series 2014-1A,Cl. B, 2.29%, 4/15/222	$    1,290,000	$	1,289,025
Series 2014-2A,Cl. B, 2.67%, 9/15/222	910,000		912,588
Series 2015-1A,Cl. C, 3.30%, 7/17/232	1,405,000		1,392,347
Series 2015-2A,Cl. B, 3.04%, 8/15/232	2,225,000		2,225,159
Drive Auto Receivables Trust:
Series 2015-AA,Cl. C, 3.06%, 5/17/212	1,550,000		1,548,226
Series 2015-BA,Cl. C, 2.76%, 7/15/212	1,950,000		1,937,672
Series 2015-DA,Cl. C, 3.38%, 11/15/212	1,660,000		1,658,905
DT Auto Owner Trust:
Series 2013-1A,Cl. D, 3.74%, 5/15/202	750,000		755,017
Series 2013-2A,Cl. D, 4.18%, 6/15/202	2,390,000		2,415,295
Series 2014-1A,Cl. D, 3.98%, 1/15/212	1,785,000		1,792,228
Series 2014-2A,Cl. D, 3.68%, 4/15/212	2,745,000		2,726,040
Series 2014-3A,Cl. D, 4.47%, 11/15/212	1,240,000		1,243,266
Series 2015-1A,Cl. C, 2.87%, 11/16/202	1,100,000		1,098,301
Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/182	185,000		185,170
Series 2014-1A,Cl. B, 2.42%, 1/15/192	1,160,000		1,161,235
Series 2014-1A,Cl. C, 3.57%, 7/15/192	1,160,000		1,163,664
Series 2014-2A,Cl. A, 1.06%, 8/15/182	147,104		146,780
Series 2014-2A,Cl. B, 2.17%, 5/15/192	2,000,000		1,985,277
Series 2014-2A,Cl. C, 3.26%, 12/16/192	565,000		557,918
First Investors Auto Owner Trust:
Series 2012-1A,Cl. C, 3.54%, 11/15/172	163,809		164,168
Series 2012-1A,Cl. D, 5.65%, 4/15/182	770,000		773,499
Series 2013-3A,Cl. B, 2.32%, 10/15/192	1,840,000		1,849,508
Series 2013-3A,Cl. C, 2.91%, 1/15/202	785,000		789,235
Series 2013-3A,Cl. D, 3.67%, 5/15/202	580,000		582,579
Series 2014-1A,Cl. D, 3.28%, 4/15/212	1,705,000		1,690,571
Series 2014-3A,Cl. D, 3.85%, 2/15/222	860,000		864,613
Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/192	439,788		438,552
Series 2014-2,Cl. A, 1.43%, 12/16/192	1,030,380		1,023,392
GM Financial Automobile Leasing Trust, Series 2015-1, Cl. D, 3.01%, 3/20/20	1,505,000		1,493,158
GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/182	798,146		797,460
Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.521%, 10/25/192,4	705,000		700,364
Santander Drive Auto Receivables Trust:
Series 2013-1,Cl. D, 2.27%, 1/15/19	895,000		897,548
Series 2013-3,Cl. D, 2.42%, 4/15/19	535,000		535,446
Series 2013-4,Cl. D, 3.92%, 1/15/20	2,155,000		2,213,906
Series 2013-4,Cl. E, 4.67%, 1/15/202	2,055,000		2,112,063
Series 2013-5,Cl. D, 2.73%, 10/15/19	2,450,000		2,466,087
Series 2013-A,Cl. E, 4.71%, 1/15/212	1,530,000		1,571,276
Series 2014-1,Cl. C, 2.36%, 4/15/20	3,985,000		3,994,871
Series 2014-1,Cl. D, 2.91%, 4/15/20	1,025,000		1,031,426
Series 2014-2,Cl. D, 2.76%, 2/18/20	870,000		868,680
Series 2014-4,Cl. D, 3.10%, 11/16/20	1,875,000		1,883,455
Series 2014-5,Cl. D, 3.21%, 1/15/21	2,265,000		2,288,244
Series 2015-1,Cl. D, 3.24%, 4/15/21	1,600,000		1,599,093

5      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Auto Loan (Continued)
Santander Drive Auto Receivables Trust (Continued)
Series 2015-2,Cl. C, 2.44%, 4/15/21	$    1,150,000	$	1,145,416
Series 2015-2,Cl. D, 3.02%, 4/15/21	1,750,000		1,717,471
Series 2015-3,Cl. D, 3.49%, 5/17/21	2,240,000		2,234,213
Series 2015-4,Cl. D, 3.53%, 8/16/21	1,815,000		1,813,350
Series 2015-5,Cl. C, 2.74%, 12/15/21	1,335,000		1,332,161
SNAAC Auto Receivables Trust:
Series 2013-1A,Cl. C, 3.07%, 8/15/182	582,036		585,228
Series 2014-1A,Cl. A, 1.03%, 9/17/182	140,425		140,399
Series 2014-1A,Cl. D, 2.88%, 1/15/202	730,000		732,179
TCF Auto Receivables Owner Trust:
Series 2014-1A,Cl. C, 3.12%, 4/15/212	525,000		523,880
Series 2015-1A,Cl. D, 3.53%, 3/15/222	1,075,000		1,078,976
United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, 6/17/192	1,410,000		1,402,856
Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/212	775,000		766,451
Series 2014-2A,Cl. D, 2.86%, 7/15/212	940,000		926,088
Series 2015-1A,Cl. C, 2.29%, 11/16/202	795,000		788,583
Series 2015-2A,Cl. C, 2.45%, 1/15/212	1,420,000		1,406,014
			136,901,422
Credit Card—0.1%
Citibank Credit Card Issuance Trust, Series 2013-A6, Cl. A6, 1.32%, 9/7/18	2,300,000		2,307,418
Equipment—0.2%
CLI Funding V LLC, Series 2014-2A, Cl. A, 3.38%, 10/18/292	1,649,324		1,635,191
Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/292	1,177,778		1,156,843
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/432	271,155		269,003
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/442	812,168		816,196
			3,877,233
Home Equity Loan—3.2%
American Credit Acceptance Receivables Trust, Series 2015-2, Cl. B, 2.97%, 5/12/212	2,435,000		2,400,614
Bear Stearns Structured Products Trust:
Series 2007-EMX1,Cl. A2, 1.521%, 3/25/372,4	5,900,000		5,446,604
Series 2007-EMX1,Cl. M1, 2.221%, 3/25/372,4	8,000,000		7,144,554
GSAMP Trust, Series 2005-HE4, Cl. M3, 0.741%, 7/25/454	13,300,000		10,987,014
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, 0.671%, 12/25/354	5,480,000		4,926,925
Long Beach Mortgage Loan Trust, Series 2005-WL3, Cl. M1, 0.651%, 11/25/354	2,390,000		2,064,041
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 0.601%, 12/25/354	12,287,000		10,400,966
New Century Home Equity Loan Trust:
Series 2005-1,Cl. M2, 0.941%, 3/25/354	12,776,914		11,235,497
Series 2005-2,Cl. M3, 0.711%, 6/25/354	5,500,000		4,552,282
RAMP Trust, Series 2006-EFC1, Cl. M2, 0.621%, 2/25/364	5,490,000		4,551,321
SG Mortgage Securities Trust, Series 2005-OPT1, Cl. M2, 0.671%, 10/25/354	6,129,000		5,100,104

6      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Home Equity Loan (Continued)
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Cl. A2, 0.541%, 5/25/372,4	$    18,685,461	$	17,165,508
			85,975,430
Loans: Other—2.6%
Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.453%, 5/10/323,4	8,092,256		7,991,103
Airspeed Ltd.:
Series 2007-1A,Cl. G1, 0.467%, 6/15/323,4	35,008,001		28,619,040
Series 2007-1A,Cl. G2, 0.477%, 6/15/323,4	8,795,096		7,299,930
Blade Engine Securitization Ltd.:
Series 2006-1A,Cl. A1, 1.197%, 9/15/413,4	1,516,273		1,091,716
Series 2006-1A,Cl. B, 3.197%, 9/15/413,4	6,794,570		2,513,991
Series 2006-1AW,Cl. A1, 0.497%, 9/15/413,4	20,848,748		15,011,099
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/442	1,799,729		1,782,149
Raspro Trust, Series 2005-1A, Cl. G, 0.745%, 3/23/243,4	6,788,977		6,449,529
			70,758,557
Total Asset-Backed Securities (Cost $303,255,384)			299,820,060
Mortgage-Backed Obligations—15.6%
Government Agency—10.7%
FHLMC/FNMA/FHLB/Sponsored—6.0%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 5/1/19	517,010		535,982
5.00%, 12/1/34	64,181		71,427
6.00%, 5/1/18	98,821		101,430
6.50%, 7/1/28-4/1/34	170,271		194,279
7.00%, 10/1/31	180,828		201,387
8.00%, 4/1/16	210		210
9.00%, 8/1/22-5/1/25	10,630		11,718
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 11.571%, 4/1/275	124,323		27,251
Series 192,Cl. IO, 5.56%, 2/1/285	40,101		8,504
Series 243,Cl. 6, 0.00%, 12/15/325,6	134,353		26,414
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22	3,633,297		3,656,810
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.113%, 6/1/267	44,010		41,155
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2034,Cl. Z, 6.50%, 2/15/28	94,873		108,245
Series 2043,Cl. ZP, 6.50%, 4/15/28	418,662		464,591
Series 2053,Cl. Z, 6.50%, 4/15/28	82,988		94,664
Series 2279,Cl. PK, 6.50%, 1/15/31	178,367		203,524
Series 2326,Cl. ZP, 6.50%, 6/15/31	78,252		87,197
Series 2426,Cl. BG, 6.00%, 3/15/17	131,281		134,844
Series 2427,Cl. ZM, 6.50%, 3/15/32	301,102		343,000
Series 2461,Cl. PZ, 6.50%, 6/15/32	397,318		452,943
Series 2564,Cl. MP, 5.00%, 2/15/18	891,032		922,228
Series 2585,Cl. HJ, 4.50%, 3/15/18	497,051		513,751

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 2626,Cl. TB, 5.00%, 6/15/33	$      443,286	$	476,666
Series 2635,Cl. AG, 3.50%, 5/15/32	99,911		104,035
Series 2707,Cl. QE, 4.50%, 11/15/18	498,261		517,244
Series 2770,Cl. TW, 4.50%, 3/15/19	66,669		69,356
Series 3010,Cl. WB, 4.50%, 7/15/20	312,636		326,798
Series 3025,Cl. SJ, 24.028%, 8/15/354	50,877		81,136
Series 3030,Cl. FL, 0.597%, 9/15/354	696,226		698,646
Series 3645,Cl. EH, 3.00%, 12/15/20	33,385		34,185
Series 3741,Cl. PA, 2.15%, 2/15/35	2,086,753		2,111,814
Series 3815,Cl. BD, 3.00%, 10/15/20	56,723		57,856
Series 3822,Cl. JA, 5.00%, 6/15/40	259,547		275,866
Series 3840,Cl. CA, 2.00%, 9/15/18	43,216		43,647
Series 3848,Cl. WL, 4.00%, 4/15/40	849,142		892,517
Series 3857,Cl. GL, 3.00%, 5/15/40	67,427		69,636
Series 4221,Cl. HJ, 1.50%, 7/15/23	1,691,834		1,684,172
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 49.714%, 3/15/295	117,749		26,765
Series 2796,Cl. SD, 48.673%, 7/15/265	168,303		32,136
Series 2815,Cl. PT, 0.00%, 11/15/325,6	1,506,571		84,994
Series 2920,Cl. S, 47.793%, 1/15/355	963,396		184,977
Series 2922,Cl. SE, 5.563%, 2/15/355	234,773		43,674
Series 2937,Cl. SY, 15.078%, 2/15/355	2,886,549		579,855
Series 2981,Cl. AS, 0.656%, 5/15/355	1,988,843		408,239
Series 3201,Cl. SG, 3.356%, 8/15/365	836,513		165,997
Series 3397,Cl. GS, 13.32%, 12/15/375	498,887		97,077
Series 3424,Cl. EI, 8.387%, 4/15/385	191,692		23,815
Series 3450,Cl. BI, 7.61%, 5/15/385	1,153,895		191,672
Series 3606,Cl. SN, 0.837%, 12/15/395	499,388		90,623
Federal National Mortgage Assn.:
3.00%, 12/1/308	34,725,000		35,955,297
3.50%, 11/1/458	1,310,000		1,357,181
4.00%, 12/1/458	44,055,000		46,747,171
4.50%, 12/1/308	1,030,000		1,066,211
5.00%, 12/1/458	16,810,000		18,543,794
6.00%, 12/1/458	6,075,000		6,882,743
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22	1,964,696		2,066,027
5.00%, 3/1/21	113,419		118,902
5.50%, 2/1/35-4/1/39	1,829,251		2,051,693
6.50%, 5/1/17-11/1/31	662,549		738,923
7.00%, 11/1/17-7/1/35	45,656		50,042
7.50%, 1/1/33-3/1/33	2,201,926		2,652,567
8.50%, 7/1/32	7,451		8,061
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 18.429%, 6/25/235	276,282		47,994
Series 252,Cl. 2, 37.001%, 11/25/235	260,436		54,831
Series 303,Cl. IO, 32.911%, 11/25/295	109,482		26,375
Series 308,Cl. 2, 26.582%, 9/25/305	251,794		54,598

8      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security (Continued)
Series 320,Cl. 2, 7.852%, 4/25/325	$      936,207	$	245,762
Series 321,Cl. 2, 0.00%, 4/25/325,6	703,820		149,637
Series 331,Cl. 9, 9.503%, 2/25/335	268,423		59,579
Series 334,Cl. 17, 16.693%, 2/25/335	148,667		29,667
Series 339,Cl. 12, 0.00%, 6/25/335,6	503,297		108,950
Series 339,Cl. 7, 0.00%, 11/25/335,6	607,717		127,876
Series 343,Cl. 13, 3.094%, 9/25/335	519,831		104,509
Series 343,Cl. 18, 0.00%, 5/25/345,6	144,802		28,952
Series 345,Cl. 9, 0.00%, 1/25/345,6	232,653		48,100
Series 351,Cl. 10, 0.00%, 4/25/345,6	165,761		31,404
Series 351,Cl. 8, 0.00%, 4/25/345,6	281,086		53,934
Series 356,Cl. 10, 0.00%, 6/25/355,6	204,926		41,098
Series 356,Cl. 12, 0.00%, 2/25/355,6	100,667		20,558
Series 362,Cl. 13, 0.00%, 8/25/355,6	360,517		77,218
Series 364,Cl. 16, 0.00%, 9/25/355,6	423,269		75,391
Series 365,Cl. 16, 0.00%, 3/25/365,6	1,035,071		208,459
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23	239,658		264,290
Series 1998-61,Cl. PL, 6.00%, 11/25/28	120,740		136,998
Series 1999-54,Cl. LH, 6.50%, 11/25/29	181,699		206,828
Series 2001-51,Cl. OD, 6.50%, 10/25/31	326,422		363,305
Series 2003-100,Cl. PA, 5.00%, 10/25/18	1,452,414		1,511,535
Series 2003-130,Cl. CS, 13.658%, 12/25/334	196,684		233,156
Series 2003-28,Cl. KG, 5.50%, 4/25/23	579,396		630,872
Series 2003-84,Cl. GE, 4.50%, 9/25/18	91,950		95,167
Series 2004-101,Cl. BG, 5.00%, 1/25/20	208,793		212,324
Series 2004-25,Cl. PC, 5.50%, 1/25/34	264,516		276,927
Series 2005-104,Cl. MC, 5.50%, 12/25/25	2,939,448		3,210,627
Series 2005-31,Cl. PB, 5.50%, 4/25/35	1,430,000		1,668,406
Series 2005-73,Cl. DF, 0.471%, 8/25/354	1,425,898		1,432,043
Series 2006-11,Cl. PS, 23.756%, 3/25/364	159,157		250,485
Series 2006-46,Cl. SW, 23.389%, 6/25/364	120,643		162,841
Series 2006-50,Cl. KS, 23.39%, 6/25/364	238,213		369,986
Series 2006-50,Cl. SK, 23.39%, 6/25/364	41,161		63,217
Series 2008-75,Cl. DB, 4.50%, 9/25/23	393,047		406,171
Series 2009-113,Cl. DB, 3.00%, 12/25/20	1,084,382		1,106,859
Series 2009-36,Cl. FA, 1.161%, 6/25/374	387,517		397,896
Series 2009-37,Cl. HA, 4.00%, 4/25/19	472,642		485,758
Series 2009-70,Cl. TL, 4.00%, 8/25/19	1,572,433		1,610,594
Series 2010-43,Cl. KG, 3.00%, 1/25/21	464,742		475,872
Series 2011-15,Cl. DA, 4.00%, 3/25/41	189,621		197,660
Series 2011-3,Cl. EL, 3.00%, 5/25/20	1,778,621		1,815,565
Series 2011-3,Cl. KA, 5.00%, 4/25/40	954,450		1,039,367
Series 2011-38,Cl. AH, 2.75%, 5/25/20	46,893		47,723
Series 2011-82,Cl. AD, 4.00%, 8/25/26	956,468		985,791
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-15,Cl. SA, 17.156%, 3/17/315	86,985		10,885
Series 2001-65,Cl. S, 21.832%, 11/25/315	249,210		56,343

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, Interest-Only Stripped Mtg.-Backed Security (Continued)
Series 2001-81,Cl. S, 17.864%, 1/25/325	$        65,615	$	18,814
Series 2002-47,Cl. NS, 25.244%, 4/25/325	153,086		36,309
Series 2002-51,Cl. S, 25.426%, 8/25/325	140,554		33,323
Series 2002-52,Cl. SD, 33.337%, 9/25/325	197,992		47,772
Series 2002-60,Cl. SM, 24.18%, 8/25/325	208,152		41,476
Series 2002-7,Cl. SK, 20.944%, 1/25/325	63,391		12,896
Series 2002-75,Cl. SA, 26.294%, 11/25/325	298,936		78,965
Series 2002-77,Cl. BS, 21.20%, 12/18/325	129,454		30,356
Series 2002-77,Cl. SH, 28.714%, 12/18/325	95,962		21,059
Series 2002-89,Cl. S, 45.821%, 1/25/335	479,714		135,947
Series 2002-9,Cl. MS, 20.184%, 3/25/325	83,525		19,640
Series 2002-90,Cl. SN, 25.08%, 8/25/325	107,185		21,357
Series 2002-90,Cl. SY, 31.153%, 9/25/325	51,262		10,057
Series 2003-33,Cl. SP, 23.585%, 5/25/335	275,625		64,024
Series 2003-46,Cl. IH, 0.00%, 6/25/235,6	514,202		67,704
Series 2004-54,Cl. DS, 37.154%, 11/25/305	194,228		37,758
Series 2004-56,Cl. SE, 9.674%, 10/25/335	376,639		78,654
Series 2005-12,Cl. SC, 8.373%, 3/25/355	111,015		22,320
Series 2005-19,Cl. SA, 45.555%, 3/25/355	2,262,026		500,572
Series 2005-40,Cl. SA, 46.894%, 5/25/355	502,219		93,167
Series 2005-52,Cl. JH, 1.501%, 5/25/355	1,239,703		230,706
Series 2005-6,Cl. SE, 55.302%, 2/25/355	889,182		177,212
Series 2005-93,Cl. SI, 18.365%, 10/25/355	587,644		102,383
Series 2008-55,Cl. SA, 0.00%, 7/25/385,6	318,933		44,663
Series 2009-8,Cl. BS, 0.00%, 2/25/245,6	273,486		13,104
Series 2011-96,Cl. SA, 5.721%, 10/25/415	1,140,750		205,603
Series 2012-134,Cl. SA, 11.623%, 12/25/425	3,514,937		870,632
Series 2012-40,Cl. PI, 0.00%, 4/25/415,6	3,916,643		534,012
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.766%, 9/25/237	107,893		102,826
			160,787,258
GNMA/Guaranteed—4.7%
Government National Mortgage Assn. I Pool:
8.50%, 8/15/17-12/15/17	8,891		9,174
Government National Mortgage Assn. II Pool:
3.50%, 12/15/45	94,170,000		98,376,379
4.00%, 12/15/45	26,495,000		28,149,388
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed
Security:
Series 2002-15,Cl. SM, 55.941%, 2/16/325	257,852		49,124
Series 2002-41,Cl. GS, 13.452%, 6/16/325	97,107		14,121
Series 2002-76,Cl. SY, 50.334%, 12/16/265	617,790		123,897
Series 2007-17,Cl. AI, 19.44%, 4/16/375	2,001,268		411,993
Series 2011-52,Cl. HS, 8.843%, 4/16/415	2,297,804		441,319
			127,575,395

10      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Non-Agency—4.9%
Commercial—3.5%
Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.497%, 7/20/364	$    3,670,450	$	3,449,171
Series 2014-R7,Cl. 3A1, 2.698%, 3/26/363,4	3,363,858		3,422,389
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.23%, 9/26/352,4	1,039,567		1,051,535
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/354	2,379,805		2,390,990
Series 2005-9,Cl. A1, 2.66%, 10/25/354	1,484,177		1,463,822
Bear Stearns Asset Backed Securities I Trust, Series 2005-HE6, Cl. M2, 1.226%, 6/25/354	4,547,501		4,209,326
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.48%, 1/25/364	1,342,612		1,271,123
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Cl. D, 4.604%, 4/10/462,4	800,000		752,169
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/354	3,899,073		3,869,004
COMM Mortgage Trust:
Series 2012-CR4,Cl. D, 4.726%, 10/15/452,4	180,000		171,654
Series 2012-CR5,Cl. E, 4.482%, 12/10/452,4	1,650,000		1,565,626
Series 2013-CR7,Cl. D, 4.493%, 3/10/462,4	2,075,000		1,881,643
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47	4,370,000		4,551,417
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0%, 12/10/455,6	5,776,387		465,539
CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36	1,613,559		1,237,092
Series 2009-13R,Cl. 4A1, 2.672%, 9/26/362,4	265,353		266,701
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.834%, 11/10/462,4	260,000		277,486
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 0.871%, 11/25/354	751,801		535,593
FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.517%, 11/25/462,4	175,000		175,991
Series 2013-K25,Cl. C, 3.743%, 11/25/452,4	350,000		335,532
Series 2013-K26,Cl. C, 3.723%, 12/25/452,4	460,000		449,384
Series 2013-K27,Cl. C, 3.616%, 1/25/462,4	400,000		395,057
Series 2013-K28,Cl. C, 3.494%, 6/25/462,4	2,460,000		2,321,880
Series 2013-K502,Cl. C, 3.183%, 3/25/452,4	720,000		728,908
Series 2013-K712,Cl. C, 3.371%, 5/25/452,4	730,000		728,453
Series 2013-K713,Cl. C, 3.274%, 4/25/462,4	480,000		476,920
Series 2014-K715,Cl. C, 4.264%, 2/25/462,4	155,000		158,555
Series 2015-K44,Cl. B, 3.811%, 1/25/482,4	2,005,000		1,914,641
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/372,4	1,820,391		1,708,604
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 2.862%, 7/25/354	421,843		417,664
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.567%, 12/15/472,4	2,500,000		2,374,732
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/454	3,920,000		4,002,698
Series 2012-C6,Cl. E, 5.372%, 5/15/452,4	2,035,000		2,032,759
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.691%, 7/25/354	1,329,789		1,335,221
JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.672%, 9/26/362,4	1,014,344		1,015,964
Series 2009-5,Cl. 1A2, 2.737%, 7/26/362,4	1,388,891		1,239,107
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47	1,825,000		1,915,409

11      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Commercial (Continued)
JPMBB Commercial Mortgage Securities Trust (Continued)
Series 2014-C26,Cl. AS, 3.80%, 1/15/48	$    1,180,000	$	1,209,437
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.813%, 11/15/452,4	2,095,000		2,058,431
Series 2013-C7,Cl. D, 4.437%, 2/15/462,4	1,245,000		1,179,375
Series 2013-C8,Cl. D, 4.308%, 12/15/482,4	485,000		456,967
Series 2014-C14,Cl. B, 4.804%, 2/15/474	80,000		86,452
Series 2014-C19,Cl. AS, 3.832%, 12/15/47	3,650,000		3,750,746
Morgan Stanley Capital I Trust, Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44	2,325,000		2,400,103
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.177%, 11/26/362,4	1,904,880		1,424,172
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.394%, 6/26/462,4	2,058,398		2,071,379
RAMP Trust, Series 2005-RS6, Cl. M4, 0.871%, 6/25/354	5,700,000		4,976,778
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.315%, 7/26/452,4	361,013		360,895
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.425%, 8/25/344	806,957		811,530
Structured Agency Credit Risk Debt Nts.:
Series 2014-DN1,Cl. M2, 2.397%, 2/25/244	1,660,000		1,664,132
Series 2015-DNA2,Cl. M2, 2.821%, 12/25/274	1,005,000		1,005,842
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 5.046%, 5/10/632,4	240,000		237,801
WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.513%, 12/25/354	869,367		844,276
Series 2005-AR16,Cl. 1A1, 2.392%, 12/25/354	967,349		919,656
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR10,Cl. 1A1, 2.717%, 6/25/354	2,664,109		2,726,571
Series 2005-AR15,Cl. 1A6, 2.736%, 9/25/354	936,809		895,011
Series 2006-AR7,Cl. 2A4, 2.806%, 5/25/364	202,200		193,083
Series 2006-AR8,Cl. 2A4, 2.744%, 4/25/364	535,441		524,448
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37	500,590		524,142
Series 2007-AR3,Cl. A4, 5.81%, 4/25/374	38,854		37,889
Series 2007-AR8,Cl. A1, 2.81%, 11/25/374	862,642		765,549
WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.605%, 12/15/452,4	890,000		851,120
Series 2012-C7,Cl. E, 4.993%, 6/15/452,4	500,000		495,027
Series 2012-C8,Cl. E, 5.037%, 8/15/452,4	2,790,000		2,764,830
Series 2013-C11,Cl. D, 4.319%, 3/15/452,4	278,000		261,734
Series 2013-C15,Cl. D, 4.63%, 8/15/462,4	625,000		590,067
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/442,5,6	17,150,750		750,951
			93,398,153
Multi-Family—0.1%
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.736%, 9/25/354	1,793,162		1,753,696
Series 2006-AR2,Cl. 2A3, 2.698%, 3/25/364	425,378		420,312
			2,174,008

12      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Residential—1.3%
Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 1.001%, 6/25/354	$    4,000,000	$	3,706,834
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37	258,447		237,810
Series 2007-C,Cl. 1A4, 4.441%, 5/20/364	260,083		243,950
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37	786,969		718,768
Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.58%, 2/25/364	2,398,688		2,382,177
Bear Stearns Asset Backed Securities I Trust, Series 2004-HE9, Cl. M2, 2.021%, 11/25/344	3,199,943		2,919,772
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.331%, 7/25/364	330,113		326,490
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35	899,167		860,875
Series 2006-6,Cl. A3, 6.00%, 4/25/36	412,940		398,870
Countrywide Alternative Loan Trust:
Series 2005-21CB,Cl. A7, 5.50%, 6/25/35	1,093,733		1,024,804
Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35	3,874,677		3,633,695
Countrywide Asset-Backed Certificates, Series 2004-6, Cl. M5, 2.126%, 8/25/344	936,243		832,746
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/374	14,405		14,137
Home Equity Mortgage Trust:
Series 2005-HF1,Cl. A2B, 0.921%, 2/25/364	187,678		184,556
Series 2005-HF1,Cl. A3B, 0.921%, 2/25/364	141,357		139,006
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 0.531%, 7/25/354	577,166		540,991
RAMP Trust, Series 2005-RS2, Cl. M4, 0.941%, 2/25/354	4,469,000		4,035,217
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.536%, 10/25/334	679,259		696,224
Wells Fargo Mortgage Backed Securities Trust:
Series 2005-AR13,Cl. 1A5, 2.74%, 5/25/354	2,141,860		2,157,531
Series 2006-AR10,Cl. 5A5, 2.737%, 7/25/364	3,071,808		2,974,445
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR4,Cl. 2A2, 2.645%, 4/25/354	4,599,221		4,631,960
Series 2006-AR14,Cl. 1A2, 5.828%, 10/25/364	535,227		520,590
Series 2006-AR8,Cl. 2A1, 2.744%, 4/25/364	1,676,418		1,641,999
			34,823,447
Total Mortgage-Backed Obligations (Cost $412,385,978)			418,758,261
U.S. Government Obligations—0.3%
Federal Home Loan Banks Nts., 1%, 12/19/17	2,430,000		2,429,239
United States Treasury Nts.:
0.75%, 2/28/189	202,000		200,718
1.50%, 5/31/199	4,530,000		4,550,439
Total U.S. Government Obligations (Cost $7,181,437)			7,180,396
Non-Convertible Corporate Bonds and Notes—20.3%
Consumer Discretionary—2.6%
Auto Components—0.0%
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45	763,000		680,696

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	$	405,003
			1,085,699
Automobiles—0.7%
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31	1,238,000		1,798,314
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24	5,078,000		4,980,716
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43	2,106,000		2,262,307
General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17	2,330,000		2,349,651
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45	616,000		608,339
Hyundai Capital America, 2.40% Sr. Unsec. Nts., 10/30/182	2,342,000		2,337,976
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/162	1,502,000		1,518,270
ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/252	2,427,000		2,353,438
			18,209,011
Hotels, Restaurants & Leisure—0.2%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18	456,000		454,952
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16	1,973,000		1,974,722
Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22	1,440,000		1,423,303
Wyndham Worldwide Corp.:
2.95% Sr. Unsec. Nts., 3/1/17	451,000		454,580
6.00% Sr. Unsec. Nts., 12/1/16	1,797,000		1,873,160
			6,180,717
Household Durables—0.4%
Jarden Corp., 5% Sr. Unsec. Nts., 11/15/232	2,306,000		2,377,774
Lennar Corp.:
4.75% Sr. Unsec. Nts., 11/15/22	780,000		781,950
4.75% Sr. Unsec. Nts., 5/30/25	1,551,000		1,527,735
Newell Rubbermaid, Inc., 2.15% Sr. Unsec. Nts., 10/15/18	1,412,000		1,405,913
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23	2,362,000		2,328,932
Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17	521,000		519,655
1.65% Sr. Unsec. Nts., 11/1/17	510,000		509,904
			9,451,863
Leisure Equipment & Products—0.1%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18	2,288,000		2,264,081
Media—0.7%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41	875,000		1,017,930
CCO Safari II LLC:
4.908% Sr. Sec. Nts., 7/23/252	718,000		730,286
6.484% Sr. Sec. Nts., 10/23/452	1,200,000		1,253,300
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22	1,025,000		1,432,771
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42	888,000		928,970
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16	311,000		313,513
9.15% Debs., 2/1/23	560,000		732,369

14      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Media (Continued)
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24	$          1,042,000	$	1,039,188
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23	2,306,000		2,323,295
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/162	433,000		438,180
Scripps Networks Interactive, Inc., 2.70% Sr. Unsec. Nts., 12/15/16	2,308,000		2,335,943
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/242	1,211,000		1,204,941
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17	2,350,000		2,346,769
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42	828,000		676,580
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16	835,000		844,044
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/262	2,350,000		2,308,875
			19,926,954
Multiline Retail—0.1%
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/232	2,190,000		2,288,550
Kohl’s Corp., 5.55% Sr. Unsec. Nts., 7/17/45	767,000		733,305
			3,021,855
Specialty Retail—0.2%
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21	2,142,000		2,243,745
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44	758,000		843,214
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24	2,085,000		2,048,225
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24	1,073,000		1,069,418
			6,204,602
Textiles, Apparel & Luxury Goods—0.2%
Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25	2,370,000		2,375,925
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22	2,277,000		2,254,230
			4,630,155
Consumer Staples—1.5%
Beverages—0.3%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39	1,561,000		2,247,536
Beam Suntory, Inc., 1.875% Sr. Unsec. Nts., 5/15/17	1,118,000		1,119,358
Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24	2,205,000		2,271,150
Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/172	1,944,000		1,969,773
4.25% Sr. Unsec. Nts., 7/15/222	1,390,000		1,438,382
			9,046,199
Food & Staples Retailing—0.3%
CVS Health Corp.:
5.125% Sr. Unsec. Nts., 7/20/45	628,000		672,929
5.30% Sr. Unsec. Nts., 12/5/43	529,000		579,223
Delhaize Group, 5.70% Sr. Unsec. Nts., 10/1/40	1,084,000		1,126,018
Delhaize Group SA, 6.50% Sr. Unsec. Nts., 6/15/17	278,000		296,361
Kroger Co. (The):
6.40% Sr. Unsec. Nts., 8/15/17	2,083,000		2,251,975
6.90% Sr. Unsec. Nts., 4/15/38	546,000		694,483

15      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Food & Staples Retailing (Continued)
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44	$            1,256,000	$	1,287,002
			6,907,991
Food Products—0.6%
Bunge Ltd. Finance Corp.:
3.20% Sr. Unsec. Nts., 6/15/17	1,920,000		1,941,074
8.50% Sr. Unsec. Nts., 6/15/19	1,820,000		2,130,141
ConAgra Foods, Inc., 4.65% Sr. Unsec. Nts., 1/25/43	736,000		660,388
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17	2,370,000		2,351,993
JM Smucker Co., 1.75% Sr. Unsec. Nts., 3/15/18	1,804,000		1,800,247
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42	538,000		550,350
Kraft Heinz Foods Co.:
3.95% Sr. Unsec. Nts., 7/15/252	1,228,000		1,256,257
5.20% Sr. Unsec. Nts., 7/15/452	279,000		293,639
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22	2,296,000		2,243,628
Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34	753,000		771,884
6.60% Sr. Unsec. Nts., 4/1/16	1,728,000		1,759,771
			15,759,372
Tobacco—0.3%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39	1,277,000		2,115,705
Imperial Tobacco Finance plc, 2.05% Sr. Unsec. Nts., 7/20/182	2,365,000		2,362,089
Reynolds American, Inc.:
5.85% Sr. Unsec. Nts., 8/15/45	1,054,000		1,184,809
6.75% Sr. Unsec. Nts., 6/15/17	1,795,000		1,928,496
			7,591,099
Energy—2.0%
Energy Equipment & Services—0.2%
Halliburton Co.:
3.80% Sr. Unsec. Nts., 11/15/25	218,000		219,845
5.00% Sr. Unsec. Nts., 11/15/45	849,000		866,230
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25	921,000		930,557
Nabors Industries, Inc., 2.35% Sr. Unsec. Nts., 9/15/16	1,532,000		1,528,712
Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/172	2,330,000		2,326,710
			5,872,054
Oil, Gas & Consumable Fuels—1.8%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40	1,352,000		1,432,202
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43	722,000		684,927
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24	1,262,000		1,150,139
Buckeye Partners LP, 6.05% Sr. Unsec. Nts., 1/15/18	1,043,000		1,096,644
Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18	888,000		872,737
5.90% Sr. Unsec. Nts., 2/1/18	999,000		1,065,148
Cenovus Energy, Inc., 5.20% Sr. Unsec. Nts., 9/15/43	651,000		576,644
Cimarex Energy Co., 4.375% Sr. Unsec. Nts., 6/1/24	1,267,000		1,254,054
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17	2,056,000		2,048,654

16      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Oil, Gas & Consumable Fuels (Continued)
Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/252	$            1,265,000	$	1,213,878
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42	1,012,000		886,679
EnLink Midstream Partners LP:
2.70% Sr. Unsec. Nts., 4/1/19	1,842,000		1,775,172
4.40% Sr. Unsec. Nts., 4/1/24	534,000		490,533
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42	697,000		617,949
4.90% Sr. Unsec. Nts., 5/15/46	246,000		220,726
Husky Energy, Inc., 6.20% Sr. Unsec. Nts., 9/15/17	1,296,000		1,371,716
Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/212	1,832,000		1,745,345
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/202	14,000,000		14,543,970
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875% Sr. Unsec. Nts., 6/1/25	1,216,000		1,088,320
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/182	2,066,000		2,026,612
5.45% Sr. Unsec. Nts., 10/14/212	919,000		928,834
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25	460,000		412,836
Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17	2,068,000		2,170,091
Regency Energy Partners LP/Regency Energy Finance Corp., 5% Sr. Unsec. Nts., 10/1/22	1,625,000		1,556,610
Spectra Energy Partners LP:
4.60% Sr. Unsec. Nts., 6/15/21	1,078,000		1,120,402
4.75% Sr. Unsec. Nts., 3/15/24	924,000		944,028
Suncor Energy, Inc., 6.10% Sr. Unsec. Nts., 6/1/18	2,069,000		2,259,172
Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22	1,466,000		1,405,721
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/212	1,850,000		1,889,744
			48,849,487
Financials—7.3%
Capital Markets—1.5%
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/242	1,842,000		1,837,185
Blackstone Holdings Finance Co. LLC:
4.45% Sr. Unsec. Nts., 7/15/452	120,000		113,819
5.00% Sr. Unsec. Nts., 6/15/442	2,067,000		2,128,460
Credit Suisse AG, New York, 3.625% Sr. Unsec. Nts., 9/9/24	3,046,000		3,075,610
Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25	2,380,000		2,249,600
Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds4,10	5,993,000		4,299,977
Goldman Sachs Group, Inc. (The):
5.15% Sub. Nts., 5/22/45	1,704,000		1,706,490
5.70% Jr. Sub. Perpetual Bonds, Series L4,10	2,246,000		2,248,807
KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/442	1,900,000		1,867,398
Lazard Group LLC:
3.75% Sr. Unsec. Nts., 2/13/25	562,000		525,643
4.25% Sr. Unsec. Nts., 11/14/20	1,678,000		1,753,975
Mellon Capital IV, 4% Jr. Sub. Perpetual Bonds4,10	6,000,000		4,777,500
Morgan Stanley:
4.30% Sr. Unsec. Nts., 1/27/45	1,340,000		1,309,776
5.00% Sub. Nts., 11/24/25	2,167,000		2,340,746

17      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Capital Markets (Continued)
Morgan Stanley: (Continued)
6.25% Sr. Unsec. Nts., 8/28/17	$            1,000,000	$	1,075,668
5.45% Jr. Sub. Perpetual Bonds, Series H4,10	2,330,000		2,297,963
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16	2,337,000		2,349,208
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24	1,477,000		1,650,970
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 14,10	3,098,000		3,152,215
			40,761,010
Commercial Banks—2.9%
ABN AMRO Bank NV, 4.75% Sub. Nts., 7/28/252	2,387,000		2,403,454
Bank of America Corp., 7.75% Jr. Sub. Nts., 5/14/38	1,818,000		2,516,741
Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25	1,904,000		1,850,560
BNP Paribas SA, 4.375% Sub. Nts., 9/28/252	2,325,000		2,302,975
Citigroup, Inc.:
4.65% Sr. Unsec. Nts., 7/30/45	1,905,000		1,945,224
6.675% Sub. Nts., 9/13/43	1,056,000		1,310,498
5.95% Jr. Sub. Perpetual Bonds, Series D4,10	2,338,000		2,302,930
Citizens Financial Group, Inc.:
4.30% Sr. Unsec. Nts., 12/3/25	501,000		500,474
5.50% Jr. Sub. Perpetual Bonds2,4,10	2,353,000		2,323,587
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands), 4.375% Sub. Nts., 8/4/25	1,714,000		1,754,492
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds2,4,10	1,965,000		2,230,275
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26	2,179,000		2,200,049
JPMorgan Chase & Co.:
7.90% Jr. Sub. Perpetual Bonds, Series 14,10	4,500,000		4,640,625
6.75% Jr. Sub. Perpetual Bonds, Series S4,10	1,947,000		2,112,008
Lloyds Banking Group plc:
6.413% Jr. Sub. Perpetual Bonds2,4,10	125,000		140,625
6.657% Jr. Sub. Perpetual Bonds2,4,10	1,913,000		2,154,516
Regions Bank, Birmingham AL:
2.25% Sr. Unsec. Nts., 9/14/18	1,896,000		1,901,222
6.45% Sub. Nts., 6/26/37	1,608,000		1,923,437
Regions Financial Corp., 7.375% Sub. Nts., 12/10/37	155,000		198,100
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U4,10	2,200,000		2,309,560
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds2,4,10	2,175,000		2,240,250
SunTrust Banks, Inc.:
3.50% Sr. Unsec. Nts., 1/20/17	1,356,000		1,385,523
5.625% Jr. Sub. Perpetual Bonds4,10	2,289,000		2,306,168
Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Bonds4,10	11,000,000		10,650,750
Wells Fargo & Co.:
7.98% Jr. Sub. Perpetual Bonds, Series K4,10	18,000,000		18,922,500
5.90% Jr. Sub. Perpetual Bonds, Series S4,10	1,844,000		1,883,185
5.875% Jr. Sub. Perpetual Bonds, Series U4,10	849,000		895,695
			77,305,423
Consumer Finance—0.4%
Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31	1,903,000		2,276,464
Capital One Financial Corp.:
3.20% Sr. Unsec. Nts., 2/5/25	1,920,000		1,856,544

18      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Consumer Finance (Continued)
Capital One Financial Corp.: (Continued)
5.55% Jr. Sub. Perpetual Bonds4,10	$            2,358,000	$	2,381,580
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25	1,945,000		1,912,334
3.95% Sr. Unsec. Nts., 11/6/24	1,635,000		1,622,737
Synchrony Financial:
4.25% Sr. Unsec. Nts., 8/15/24	783,000		784,167
4.50% Sr. Unsec. Nts., 7/23/25	1,679,000		1,692,459
			12,526,285
Diversified Financial Services—0.3%
McGraw Hill Financial, Inc., 2.50% Sr. Unsec. Nts., 8/15/182	609,000		613,566
Nationwide Building Society, 3.90% Sr. Unsec. Nts., 7/21/252	2,361,000		2,450,008
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/252	1,191,000		1,196,732
Suntory Holdings Ltd., 1.65% Sr. Unsec. Nts., 9/29/172	1,199,000		1,192,759
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/534	2,235,000		2,262,938
			7,716,003
Insurance—1.3%
ACE INA Holdings, Inc.:
3.35% Sr. Unsec. Nts., 5/3/26	1,191,000		1,189,402
4.35% Sr. Unsec. Nts., 11/3/45	953,000		957,666
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45	1,808,000		1,809,206
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/232	1,728,000		1,820,317
Liberty Mutual Group, Inc.:
4.25% Sr. Unsec. Nts., 6/15/232	2,276,000		2,330,437
4.85% Sr. Unsec. Nts., 8/1/442	1,313,000		1,270,610
MetLife, Inc.:
5.25% Jr. Sub. Perpetual Bonds4,10	1,672,000		1,686,630
10.75% Jr. Sub. Nts., 8/1/39	10,000,000		15,825,000
Prudential Financial, Inc.:
5.20% Jr. Sub. Nts., 3/15/444	1,281,000		1,276,196
5.375% Jr. Sub. Nts., 5/15/454	576,000		585,360
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/242	2,173,000		2,200,647
Unum Group, 7.125% Sr. Unsec. Nts., 9/30/16	2,154,000		2,251,608
XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds4,10	1,340,000		1,048,550
			34,251,629
Real Estate Investment Trusts (REITs)—0.8%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20	922,000		1,001,849
5.90% Sr. Unsec. Nts., 11/1/21	1,053,000		1,177,330
Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18	2,182,000		2,269,468
Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23	2,255,000		2,150,706
First Industrial LP, 7.50% Sr. Unsec. Nts., 12/1/17	2,017,000		2,209,537
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17	1,222,000		1,283,913
Highwoods Realty LP, 7.50% Sr. Unsec. Nts., 4/15/18	2,003,000		2,229,926
Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23	1,394,000		1,343,352
Kimco Realty Corp., 4.30% Sr. Unsec. Nts., 2/1/18	2,101,000		2,199,696
Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16	1,312,000		1,363,862

19      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount	Value
Real Estate Investment Trusts (REITs) (Continued)
Prologis LP, 4% Sr. Unsec. Nts., 1/15/18	$            1,188,000	$	1,231,455
Regency Centers LP, 5.875% Sr. Unsec. Nts., 6/15/17	193,000		204,348
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17	800,000		795,469
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/172	1,997,000		1,985,427
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18	475,000		475,058
			21,921,396
Real Estate Management & Development—0.1%
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25	2,476,000		2,474,693
Health Care—1.2%
Biotechnology—0.2%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25	1,169,000		1,160,746
4.70% Sr. Unsec. Nts., 5/14/45	468,000		461,182
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45	640,000		646,104
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25	1,200,000		1,200,620
5.00% Sr. Unsec. Nts., 8/15/45	325,000		326,785
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46	1,042,000		1,063,045
			4,858,482
Health Care Equipment & Supplies—0.2%
Becton Dickinson & Co.:
1.45% Sr. Unsec. Nts., 5/15/17	1,914,000		1,912,459
3.875% Sr. Unsec. Nts., 5/15/24	1,029,000		1,056,142
DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16	2,135,000		2,156,798
Zimmer Biomet Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25	759,000		743,195
			5,868,594
Health Care Providers & Services—0.5%
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24	1,143,000		1,142,478
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21	2,235,000		2,268,525
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/222	2,104,000		2,288,100
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25	3,342,000		3,258,260
LifePoint Health, Inc., 5.50% Sr. Unsec. Nts., 12/1/21	2,195,000		2,200,487
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44	996,000		1,014,133
Medco Health Solutions, Inc., 7.125% Sr. Unsec. Nts., 3/15/18	1,018,000		1,131,049
			13,303,032
Life Sciences Tools & Services—0.1%
Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16	123,000		123,409
Thermo Fisher Scientific, Inc.:
2.15% Sr. Unsec. Nts., 12/14/188	932,000		931,972
4.15% Sr. Unsec. Nts., 2/1/24	916,000		961,452

20      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Life Sciences Tools & Services (Continued)
Thermo Fisher Scientific, Inc.: (Continued)
5.30% Sr. Unsec. Nts., 2/1/44	$	717,000	$	775,772
				2,792,605
Pharmaceuticals—0.2%
Actavis Funding SCS:
1.30% Sr. Unsec. Nts., 6/15/17		1,250,000		1,241,432
1.85% Sr. Unsec. Nts., 3/1/17		1,083,000		1,086,260
3.80% Sr. Unsec. Nts., 3/15/25		1,553,000		1,569,869
4.75% Sr. Unsec. Nts., 3/15/45		751,000		753,021
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		1,986,000		1,842,015
				6,492,597
Industrials—1.5%
Aerospace & Defense—0.2%
L-3 Communications Corp.:
1.50% Sr. Unsec. Nts., 5/28/17		632,000		620,452
3.95% Sr. Unsec. Nts., 11/15/16		858,000		872,987
Lockheed Martin Corp., 3.55% Sr. Unsec. Nts., 1/15/26		1,245,000		1,259,669
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		1,195,000		1,227,934
Textron, Inc.:
3.875% Sr. Unsec. Nts., 3/1/25		628,000		620,634
4.30% Sr. Unsec. Nts., 3/1/24		1,164,000		1,193,238
				5,794,914
Building Products—0.1%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		1,986,000		2,006,067
Commercial Services & Supplies—0.1%
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		2,654,000		2,635,873
Electrical Equipment—0.1%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/232		1,678,000		1,633,952
Industrial Conglomerates—0.2%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B4,10		5,095,000		5,808,300
Roper Technologies, Inc., 3.85% Sr. Unsec. Nts., 12/15/258		1,150,000		1,155,520
				6,963,820
Machinery—0.3%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		1,033,000		1,065,342
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		1,823,000		1,881,405
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18		2,186,000		2,196,535
Xylem, Inc., 3.55% Sr. Unsec. Nts., 9/20/16		2,224,000		2,262,682
				7,405,964
Marine—0.0%
AP Moeller-Maersk, 3.875% Unsec. Nts., 9/28/252		253,000		244,655

21      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Professional Services—0.1%
Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/172	$	1,948,000	$	1,951,789
Road & Rail—0.2%
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35		444,000		449,913
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/452		669,000		629,361
Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		743,000		711,997
Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46		734,000		711,544
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/162		977,000		980,909
3.75% Sr. Unsec. Nts., 5/11/172		1,300,000		1,332,516
4.25% Sr. Unsec. Nts., 1/17/232		1,177,000		1,197,228
				6,013,468
Trading Companies & Distributors—0.2%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		2,233,000		2,260,912
International Lease Finance Corp., 5.875% Sr. Unsec. Nts., 8/15/22		2,123,000		2,299,740
				4,560,652
Information Technology—1.0%
Electronic Equipment, Instruments, & Components—0.3%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		2,152,000		2,329,344
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		2,620,000		2,719,348
Flextronics International Ltd., 4.75% Sr. Unsec. Nts., 6/15/252		1,880,000		1,815,271
				6,863,963
Internet Software & Services—0.1%
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25		2,385,000		2,435,514
IT Services—0.2%
Fidelity National Information Services, Inc.:
1.45% Sr. Unsec. Nts., 6/5/17		1,804,000		1,789,732
2.85% Sr. Unsec. Nts., 10/15/18		550,000		555,502
Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18		2,036,000		2,032,641
Xerox Corp.:
2.95% Sr. Unsec. Nts., 3/15/17		798,000		806,926
6.75% Sr. Unsec. Nts., 2/1/17		398,000		419,207
				5,604,008
Semiconductors & Semiconductor Equipment—0.0%
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45		621,000		658,520
Software—0.2%
Autodesk, Inc.:
1.95% Sr. Unsec. Nts., 12/15/17		1,832,000		1,828,972
4.375% Sr. Unsec. Nts., 6/15/25		705,000		700,403
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/232		2,270,000		2,258,650
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		1,588,000		1,620,422
				6,408,447
Technology Hardware, Storage & Peripherals—0.2%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		1,287,000		1,296,499

22      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Technology Hardware, Storage & Peripherals (Continued)
Hewlett Packard Enterprise Co.:
2.45% Sr. Unsec. Nts., 10/5/172	$	1,578,000	$	1,582,343
6.20% Sr. Unsec. Nts., 10/15/352		237,000		230,728
6.35% Sr. Unsec. Nts., 10/15/452		1,083,000		1,043,062
				4,152,632
Materials—0.9%
Chemicals—0.3%
Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		931,000		863,532
4.125% Sr. Unsec. Nts., 3/15/35		465,000		402,717
Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		991,000		991,710
4.65% Sr. Unsec. Nts., 10/15/44		565,000		528,114
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		653,000		660,152
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		1,340,000		1,198,796
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		1,901,000		1,823,848
Solvay Finance (America), 3.40% Sr. Unsec. Nts., 12/3/202		559,000		558,922
Valspar Corp. (The):
3.30% Sr. Unsec. Nts., 2/1/25		638,000		611,877
3.95% Sr. Unsec. Nts., 1/15/26		1,122,000		1,128,091
				8,767,759
Construction Materials—0.2%
CRH America, Inc.:
5.125% Sr. Unsec. Nts., 5/18/452		1,625,000		1,665,007
6.00% Sr. Unsec. Nts., 9/30/16		1,100,000		1,137,784
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/232		2,242,000		2,320,470
				5,123,261
Containers & Packaging—0.2%
Ball Corp., 4% Sr. Unsec. Nts., 11/15/23		2,435,000		2,337,600
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		525,000		519,961
4.50% Sr. Unsec. Nts., 11/1/23		1,938,000		2,027,518
				4,885,079
Metals & Mining—0.1%
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		595,000		575,690
Glencore Finance Canada Ltd., 3.60% Sr. Unsec. Nts., 1/15/172		1,988,000		1,912,939
Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/242		410,000		311,621
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		622,000		550,866
				3,351,116
Paper & Forest Products—0.1%
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		874,000		813,688

23      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

	Principal Amount		Value
Telecommunication Services—0.9%
Diversified Telecommunication Services—0.9%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45	$	3,531,000	$	3,099,438
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		1,652,000		2,433,199
CenturyLink, Inc., Series S, 6.45% Sr. Unsec. Nts., 6/15/21		2,278,000		2,233,625
Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16		2,138,000		2,169,935
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		355,000		341,052
Frontier Communications Corp.:
7.625% Sr. Unsec. Nts., 4/15/24		2,155,000		1,831,750
10.50% Sr. Unsec. Nts., 9/15/222		382,000		380,090
Orange SA, 2.75% Sr. Unsec. Nts., 9/14/16		634,000		641,133
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		1,186,000		1,263,090
Telefonica Emisiones SAU:
3.192% Sr. Unsec. Nts., 4/27/18		2,278,000		2,333,091
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		876,000		1,066,826
Verizon Communications, Inc.:
3.50% Sr. Unsec. Nts., 11/1/24		923,000		928,001
4.50% Sr. Unsec. Nts., 9/15/20		4,333,000		4,709,750
4.522% Sr. Unsec. Nts., 9/15/48		1,308,000		1,201,114
5.012% Sr. Unsec. Nts., 8/21/54		520,000		494,899
				25,126,993
Utilities—1.4%
Electric Utilities—0.9%
AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/252		1,159,000		1,169,270
American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/442		579,000		588,647
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/212		2,130,000		2,216,054
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/172		2,101,000		2,255,821
Exelon Corp., 3.95% Sr. Unsec. Nts., 6/15/25		2,341,000		2,377,192
ITC Holdings Corp.:
3.65% Sr. Unsec. Nts., 6/15/24		1,770,000		1,758,854
5.30% Sr. Unsec. Nts., 7/1/43		510,000		527,448
NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17		2,351,000		2,346,202
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		368,000		394,704
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22		1,413,000		1,436,259
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/212		2,970,000		3,272,753
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18		1,953,000		2,197,725
Southern Power Co., 1.85% Sr. Unsec. Nts., 12/1/17		2,226,000		2,228,685
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/252		1,522,000		1,532,034
				24,301,648

24      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

					Principal Amount		Value
Independent Power and Renewable Electricity Producers—0.1%
Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16					$	1,335,000	$	1,339,345
Multi-Utilities—0.4%
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17						1,629,000		1,709,745
CMS Energy Corp.:
3.875% Sr. Unsec. Nts., 3/1/24						1,316,000		1,355,548
5.05% Sr. Unsec. Unsub. Nts., 3/15/22						1,878,000		2,062,395
Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54						505,000		506,238
Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44						925,000		878,817
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44						976,000		1,008,462
Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/252						1,159,000		1,132,791
TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17						2,058,000		2,232,074
								10,886,070
Total Non-Convertible Corporate Bonds and Notes (Cost $541,629,759)								545,202,085
Convertible Corporate Bonds and Notes—0.8%
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/402						20,500,000		20,833,125
SEACOR Holdings, Inc.:
2.50% Cv. Sr. Unsec. Nts., 12/15/27						1,150,000		1,096,812
3.00% Cv. Sr. Unsec. Nts., 11/15/28						666,000		530,719
Total Convertible Corporate Bonds and Notes (Cost $23,535,180)								22,460,656
Corporate Loans—3.4%
AZ Chem US, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.50%, 6/10/214						13,089,041		13,086,593
Celanese US Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche C3, 2.443%, 10/31/184						9,776,250		9,815,531
Dynegy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 4.00%, 4/23/204						13,775,000		13,568,375
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		19,965,620
Intelsat Jackson Holdings SA, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 3.75%, 6/30/194						19,261,840		18,091,683
International Lease Finance Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.50%, 2/26/214						17,000,000		16,955,732
Total Corporate Loans (Cost $92,799,059)								91,483,534
					Shares
Structured Security—0.3%
Merrill Lynch International & Co. CV, Macy’s, Inc. Equity Linked Nts., 2/10/162 (Cost $8,000,014)						170,977		6,873,419
	Exercise		Expiration
	Price		Date		Contracts
Exchange-Traded Option Purchased—0.1%
S&P 500 Index Call (Cost $2,061,912)1		USD    2,160.000		2/19/16		USD            760.00		1,465,280

25      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Exercise

Expiration

Counterparty

Price

Date

Contracts

Value

Over-the-Counter Options Purchased—0.0%

CNH Currency Put1

GSG

CNH

6.475

11/2/16

CNH

22,000,000

$

65,824

CNH Currency Put1

GSG

CNH

6.388

7/13/16

CNH

163,500,000

886,170

CNH Currency Put1

GSG

CNH

6.388

7/13/16

CNH

32,500,000

176,150

Total Over-the-Counter Options Purchased (Cost $569,080)

1,128,144

Pay/Receive

Floating

Floating

Fixed

Expiration

Notional Amount

Counterparty

Rate

Rate

Rate

Date

(000’s)

Over-the-Counter Interest Rate Swaptions Purchased—0.1%

Interest Rate Swap maturing 1/25/26 Call1

GSG

Receive

Six-Month JPY BBA LIBOR

1.870%

1/21/16

JPY

5,406,000

—

Interest Rate Swap maturing 11/21/28 Call1

GSG

Receive

Six-Month JPY BBA LIBOR

0.850

11/19/18

JPY

512,000

97,375

Interest Rate Swap maturing 11/22/27 Call1

GSG

Receive

Six-Month JPY BBA LIBOR

1.070

11/20/17

JPY

8,437,000

592,122

Interest Rate Swap maturing 11/7/28 Call1

GSG

Receive

Three- Month USD BBA LIBOR

2.680

11/5/18

USD

6,500

303,130

Interest Rate Swap maturing 3/21/28 Call1

GSG

Receive

Three- Month USD BBA LIBOR

2.580

3/19/18

USD

14,400

612,358

Interest Rate Swap maturing 4/18/28 Call1

GSG

Receive

Three- Month USD BBA LIBOR

2.505

4/16/18

USD

36,000

1,662,154

26      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 7/25/28 Call1	GSG		Receive		Six-Month JPY BBA LIBOR		1.050%		7/23/18	JPY	2,000,000	$	228,005
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $6,857,225)													3,495,144
										Shares
Investment Companies—23.2%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%11,12											169,722,186		169,722,186
Oppenheimer Master Loan Fund, LLC11											25,642,188		370,720,829
Oppenheimer Ultra-Short Duration Fund, Cl. Y11											12,188,872		61,066,250
SPDR Gold Trust Exchange Traded Fund1,13											185,700		18,926,544
Total Investment Companies (Cost $641,731,222)													620,435,809
Total Investments, at Value (Cost $2,899,342,420)											108.4%		2,905,129,135
Net Other Assets (Liabilities)											(8.4)		(226,205,788)
Net Assets											100.0%	$	2,678,923,347

Footnotes to Consolidated Statement of Investments

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 $291,272,216 or 10.87% of the Fund’s net assets at period end.

27      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 at period end was $74,520,922, which represents 2.78% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:

Security	Acquisition   Dates		Cost		Value		Unrealized    Appreciation/    (Depreciation)
Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.453%, 5/10/32		5/14/13-1/9/15	$	7,858,933	$	7,991,103	$	132,170
Airspeed Ltd., Series 2007-1A, Cl. G1, 0.467%, 6/15/32		7/28/10-4/15/15		29,663,975		28,619,040		(1,044,935)
Airspeed Ltd., Series 2007-1A, Cl. G2, 0.477%, 6/15/32		4/8/11		7,722,258		7,299,930		(422,328)
American Credit Acceptance Receivables Trust, Series 2015- 3, Cl. B, 3.56%, 10/12/21		9/30/15		2,129,786		2,122,125		(7,661)
Banc of America Funding Trust, Series 2014-R7, Cl. 3A1, 2.698%, 3/26/36		3/6/15-5/13/15		3,431,616		3,422,389		(9,227)
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 1.197%, 9/15/41		5/15/13		1,208,168		1,091,716		(116,452)
Blade Engine Securitization Ltd., Series 2006-1A, Cl. B, 3.197%, 9/15/41		11/10/09-6/15/15		4,630,102		2,513,991		(2,116,111)
Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.497%, 9/15/41		4/19/13-5/29/13		16,184,412		15,011,099		(1,173,313)
Raspro Trust, Series 2005-1A, Cl. G, 0.745%, 3/23/24		6/11/13-7/7/15		6,647,978		6,449,529		(198,449)
			$	79,477,228	$	74,520,922	$	(4,956,306)

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 $9,461,542 or 0.35% of the Fund’s net assets at period end.

6. Interest rate is less than 0.0005%.

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 $143,981 or 0.01% of the Fund’s net assets at period end.

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

9. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $4,628,341. See Note 6 of the accompanying Consolidated Notes.

28      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Footnotes to Consolidated Statement of Investments (Continued)

10. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting period in which the issuer was an affiliate are as follows:

	Shares August 31, 2015		Gross Additions		Gross Reductions		Shares November 30, 2015
Oppenheimer Institutional Money
Market Fund, Cl. E		248,654,557		154,967,566		233,899,937		169,722,186
Oppenheimer Master Loan Fund, LLC		23,522,129		2,120,059		—		25,642,188
Oppenheimer Ultra-Short Duration Fund, Cl. Y		12,167,055		21,817		—		12,188,872
			Value		Income		Realized Gain
Oppenheimer Institutional Money Market Fund, Cl. E			$	169,722,186	$	98,980	$	—
Oppenheimer Master Loan Fund, LLC				370,720,829		4,846,107a		689,568	a
Oppenheimer Ultra-Short Duration Fund, Cl. Y				61,066,250		109,018		—
Total			$	601,509,265	$	5,054,105	$	689,568

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

12. Rate shown is the 7-day yield at period end.

13. 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 November 30, 2015
Counterparty	Settlement Month(s)	Currency Purchased (000’s)		Currency Sold (000’s)		Unrealized Appreciation		Unrealized Depreciation
BOA	02/2016	USD	35,817	CHF	36,000	$	650,836	$	—
BOA	02/2016	USD	29,824	EUR	27,825		354,689		—
BOA	02/2016	USD	19,104	JPY	2,347,000		—		4,902
BOA	02/2016	USD	28,584	THB	1,036,000		—		254,221
DEU	02/2016	USD	4,697	SEK	40,760		10,245		—
JPM	02/2016	USD	22,509	AUD	31,910		—		474,601
JPM	02/2016	USD	4,049	CAD	5,370		28,133		—
MSCO	02/2016	USD	19,516	CAD	26,010		39,750		—
NOM	02/2016	USD	7,699	CHF	7,690		187,415		—
Total Unrealized Appreciation and Depreciation						$	1,271,068	$	733,724

29      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Futures Contracts as of November 30, 2015
Description		Exchange		Buy/Sell		Expiration Date		Number of Contracts		Value			Unrealized Appreciation (Depreciation)
Euro-BTP			EUX		Sell		12/8/15		55	$	8,190,058		$	(386,225)
United States Treasury Long Bonds			CBT		Buy		3/21/16		63		9,702,000			(2,330)
United States Treasury Nts., 2 yr.			CBT		Buy		3/31/16		230		50,035,781			(10,880)
United States Treasury Nts., 5 yr.			CBT		Buy		3/31/16		71		8,426,258			(7,205)
United States Treasury Nts., 10 yr.			CBT		Sell		3/21/16		239		30,218,563			2,383
United States Ultra Bonds			CBT		Buy		3/21/16		239		37,866,563			66,345
													$	(337,912)
Centrally Cleared Credit Default Swaps at November 30, 2015
Reference Asset			Buy/Sell Protection		Fixed Rate		Maturity Date		Notional Amount (000’s)		Premiums Received/(Paid	)		Value
CDX.IG.23			Sell		1.000%		12/20/19	USD	25,000	$	(186,650	)	$	233,399
CDX.IG.23			Sell		1.000		12/20/19	USD	25,000		(177,124	)		233,399
CDX.IG.25			Sell		1.000		12/20/20	USD	4,800		(50,881	)		55,760
CDX.NA.HY.22			Buy		5.000		6/20/19	USD	19,200		1,665,600			(1,256,283)
iTraxx.Main.24			Buy		1.000		12/20/20	EUR	27,500		443,110			(540,052)
iTraxx.Main.24			Buy		1.000		12/20/20	EUR	22,000		355,416			(432,041)
Total of Cleared Credit Default Swaps										$	2,049,471		$	(1,705,818)
Over-the-Counter Credit Default Swaps at November 30, 2015
Reference Asset	Counterparty		Buy/Sell Protection		Fixed Rate		Maturity Date		Notional Amount (000’s)		Premiums Received/(Paid	)		Value
Kingdom of Spain	BOA		Buy		1.000%		12/20/20	USD	16,400	$	86,558		$	(191,944)
Malaysia	BAC		Buy		1.000		12/20/20	USD	1,500		(70,447	)		45,380
Malaysia	BNP		Buy		1.000		12/20/20	USD	7,500		(488,351	)		226,898
Malaysia	MOS-A		Buy		1.000		12/20/20	USD	7,500		(376,739	)		226,898
Portuguese Republic	GSG		Buy		1.000		12/20/20	USD	11,000		(381,493	)		383,174
Total of Over-the-Counter Credit Default Swaps										$	(1,230,472	)	$	690,406

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		$54,800,000		$-		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.

30      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Over-the-Counter Interest Rate Swaps at November 30, 2015
Counterparty	Pay/Receive Floating Rate		Floating Rate		Fixed Rate	Maturity Date		Notional Amount (000’s)		Value
BOA		Pay		Three- Month CNY CNREPOFIX =CFXS	2.730%		11/6/20		CNY                10,000	$	(6,635)
BOA		Pay		Three- Month CNY CNREPOFIX =CFXS	2.900		7/24/20		CNY                84,000		32,011
GSG		Pay		Three- Month CNY CNREPOFIX =CFXS	2.830		8/14/20		CNY                19,000		308
Total of Over-the-Counter Interest Rate Swaps										$	25,684

Over-the-Counter Total Return Swaps at November 30, 2015
Reference Asset	Counterparty		Pay/Receive Total Return*		Floating Rate	Maturity Date		Notional Amount (000’s)		Value
Blackstone Group LP (The)		GSG		Receive	Twelve-Month USD BBA LIBOR plus 74 basis points		7/22/16		USD            20,693	$	(5,519,674)

* 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
BAC	Barclays Bank plc
BNP	BNP Paribas
BOA	Bank of America NA
DEU	Deutsche Bank AG
GSG	Goldman Sachs Group, Inc. (The)
JPM	JPMorgan Chase Bank NA
MOS-A	Morgan Stanley
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
CNH	Offshore Chinese Renminbi
CNY	Chinese Renminbi

31      OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued

Currency abbreviations indicate amounts reporting in currencies (Continued)

EUR	Euro
JPY	Japanese Yen
SEK	Swedish Krona
THB	Thailand Baht
Definitions
BBA LIBOR	British Bankers’ Association London - Interbank Offered Rate
CDX.NA.HY.22	Markit CDX North American High Yield
CDX.IG.23	Markit CDX Investment Grade Index
CDX.IG.25	Markit CDX Investment Grade Index
CNREPOFIX=CFXS	Repurchase Fixing Rates
iTraxx.Main.24	Credit Default Swap Trading Index for a Specific Basket of Securities
S&P	Standard & Poors
Exchange Abbreviations
CBT	Chicago Board of Trade
EUX	European Stock Exchange

32      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS November 30, 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 ETFs”). The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.

At period end, the Fund owned 9,632 shares with net assets of $20,715,388 in the Subsidiary.

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, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

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

33      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

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 mean between the bid and asked price on the principal exchange or, if not available from the principal 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) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 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) 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

34      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

“asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

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

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

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

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

	Standard inputs generally considered by third-party
Security Type	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

35      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

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

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

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the 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 at period end based on valuation input level:

	Level 1— Unadjusted Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value
Assets Table
Investments, at Value:
Common Stocks
Consumer Discretionary	$	50,737,436	$	—	$	—	$	50,737,436
Consumer Staples		54,883,577		—		—		54,883,577
Energy		68,277,062		—		—		68,277,062

36      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT 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)
Financials	$	171,433,363		$	—		$	—	$	171,433,363
Health Care		120,089,422			19,727,956			—		139,817,378
Industrials		147,417,472			—			—		147,417,472
Information Technology		96,905,749			—			—		96,905,749
Materials		59,987,002			—			—		59,987,002
Telecommunication Services		41,996,917			—			—		41,996,917
Utilities		48,910,731			—			—		48,910,731
Preferred Stocks		—			6,459,660			—		6,459,660
Asset-Backed Securities		—			284,808,961			15,011,099		299,820,060
Mortgage-Backed Obligations		—			418,758,261			—		418,758,261
U.S. Government Obligations		—			7,180,396			—		7,180,396
Non-Convertible Corporate Bonds and Notes		—			545,202,085			—		545,202,085
Convertible Corporate Bonds and Notes		—			22,460,656			—		22,460,656
Corporate Loans		—			91,483,534			—		91,483,534
Structured Security		—			6,873,419			—		6,873,419
Exchange-Traded Option Purchased		1,465,280			—			—		1,465,280
Over-the-Counter Options Purchased		—			1,128,144			—		1,128,144
Over-the-Counter Interest Rate Swaptions Purchased		—			3,495,144			—		3,495,144
Investment Companies		249,714,980			370,720,829			—		620,435,809
Total Investments, at Value		1,111,818,991			1,778,299,045			15,011,099		2,905,129,135
Other Financial Instruments:
Forward currency exchange contracts		—			1,271,068			—		1,271,068
Futures contracts		68,728			—			—		68,728
Centrally cleared swaps, at value		—			522,558			—		522,558
Swaps, at value		—			914,669			—		914,669
Total Assets	$	1,111,887,719		$	1,781,007,340		$	15,011,099	$	2,907,906,158
Liabilities Table
Other Financial Instruments:
Forward currency exchange contracts	$	—		$	(733,724	)	$	—	$	(733,724	)
Futures contracts		(406,640	)		—			—		(406,640	)
Centrally cleared swaps, at value		—			(2,228,376	)		—		(2,228,376	)
Swaps, at value		—			(5,718,253	)		—		(5,718,253	)
Total Liabilities	$	(406,640	)	$	(8,680,353	)	$	—	$	(9,086,993	)

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.

37      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

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.

	Transfers into Level 2*		Transfers out of Level 3*
Assets Table
Investments, at Value:
Mortgage-Backed Obligations
Non-Agency	$	3,707,236	$	(3,707,236)
Total Assets	$	3,707,236	$	(3,707,236)

* Transferred from Level 3 to Level 2 due to the availability of market data for this security.

4. Investments and Risks

Investments in Affiliated Funds. The Fund is pe

rmitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their 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 Affiliated Funds.

Each of the Affiliated Funds in which the Fund invests 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 one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in a money market Affiliated 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 regulated as a money market fund under the Investment Company Act of 1940, as amended.

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

38      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

4. Investments and Risks (Continued)

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 30.0% of the Master Fund at period end.

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 in the annual and semiannual reports. 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.

39      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

4. Investments and Risks (Continued)

At period end, 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		$293,017,897
Sold securities		54,579,991

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 period end, the Fund pledged $915,178 of collateral to the counterparty for forward roll transactions.

Restricted Securities. At period end, 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

40      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

4. Equity Security Risk (Continued)

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.

5. Market Risk Factors

The Fund’s investments in securities and/or financial derivatives may expose the fund to various 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 of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

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.

6. 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

41      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the 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.

42      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.

The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.

The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.

During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $14,887,651 and $182,388,546, 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.

43      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the reporting period, the Fund had an ending monthly average market value of $89,885,663 and $58,379,288 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, 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 put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

The Fund has purchased 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 reporting period, the Fund had an ending monthly average market value of $990,158 and $1,015,705 on purchased call options and purchased put options, respectively.

44      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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.

At period end, the Fund had no outstanding written options.

Swap Contracts

The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, 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.

45      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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 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 reporting period, the Fund had ending monthly average notional amounts of $107,271,205 and $51,200,000 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.

Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.

The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.

46      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

For the reporting period, the Fund had ending monthly average notional amounts of $16,580,334 on interest rate swaps which receive a fixed rate.

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 reporting period, the Fund had ending monthly average notional amounts of $20,692,848 on total return swaps which are long the reference asset.

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

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

47      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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 reporting period, the Fund had an ending monthly average market value of $3,871,098 on purchased swaptions.

At period end, 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 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.

At period end, the Fund has required certain counterparties to post collateral of $4,628,341.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the

48      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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 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.

49      OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

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

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.

7. 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 at period end 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	$	2,900,498,986
Federal tax cost of other investments		67,140,894
Total federal tax cost	$	2,967,639,880
Gross unrealized appreciation	$	127,633,715
Gross unrealized depreciation		(129,031,881)
Net unrealized depreciation	$	(1,398,166)

50      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 11/30/2015, 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:	1/15/2016

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:	1/15/2016

By:	/s/ Brian W. Wixted
	Brian W. Wixted
	Principal Financial Officer
Date:	1/15/2016

EX-99.CERT

Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Arthur P. Steinmetz, certify that:

1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz

Principal Executive Officer

Date: 1/15/2016

Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Brian W. Wixted, certify that:

1. I have reviewed this report on Form N-Q of Oppenheimer Capital Income Fund;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

/s/ Brian W. Wixted

Brian W. Wixted

Principal Financial Officer

Date: 1/15/2016