UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
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)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: August 31
Date of reporting period: 2/28/2017
Item 1. Reports to Stockholders.
3 | ||||
16 | ||||
20 | ||||
22 | ||||
53 | ||||
55 | ||||
57 | ||||
58 | ||||
70 | ||||
Portfolio Proxy Voting Policies and Guidelines; Updates to Statement of Investments |
99 | |||
100 | ||||
101 | ||||
102 |
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 2/28/17
Class A Shares of the Fund | ||||||||||
Without Sales
|
With Sales
|
Russell 3000
|
Bloomberg Barclays U.S. |
Reference Index
| ||||||
6-Month |
4.04% | -1.95% | 10.29% | -2.19% | 2.07% | |||||
1-Year |
11.15 | 4.76 | 26.29 | 1.42 | 9.70 | |||||
5-Year |
5.95 | 4.70 | 13.85 | 2.24 | 6.41 | |||||
10-Year |
1.50 | 0.90 | 7.64 | 4.28 | 6.07 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 5.75% maximum applicable sales charge except where without sales charge is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
2 OPPENHEIMER CAPITAL INCOME FUND
The Funds Class A shares (without sales charge) generated a total return of 4.04% during the six month period ended 2/28/17. The Fund outperformed its Reference Index, a customized weighted index comprised of 65% Bloomberg Barclays U.S. Aggregate Bond Index (Barclays Index) and 35% Russell 3000 Index, which returned 2.07%, by 197 basis points (bps). Measured separately, the Barclays Index returned -2.19% and the Russell 3000 Index returned 10.29%. The Fund also outperformed the Morningstar 30-50% Equity Allocation peer group average, which returned 2.81%, by 123 bps. The equity/equity-like and opportunistic strategies generated strong absolute returns during the period while the high grade fixed income strategy generated a negative return. However, the opportunistic and high grade fixed income strategies contributed to performance on a relative basis versus the Barclays Index while the equity/equity-like strategy underperformed the Russell 3000 Index.
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PORTFOLIO POSITIONING
Long | Short | Net | ||||||||||
High-Grade Fixed Income Strategy | 42.1% | -0.2% | 41.9% | |||||||||
Equity Strategy | 44.4 | -3.4 | 41.0 | |||||||||
Opportunistic Strategy | 29.7 | -12.0 | 17.7 | |||||||||
HIGH-GRADE FIXED INCOME STRATEGY |
||||||||||||
Long | Short | Net | ||||||||||
Corporate Bonds | 16.7% | 0.0% | 16.7% | |||||||||
Mortgage Related Securities | 12.3 | 0.0 | 12.3 | |||||||||
Duration | 7.7 | -0.2 | 7.5 | |||||||||
Asset Backed Securities | 4.6 | 0.0 | 4.6 | |||||||||
Credit Default Swaps | 0.9 | 0.0 | 0.9 | |||||||||
TOP TEN EQUITY HOLDINGS |
||||||||||||
Long | Short | Net | ||||||||||
M&T Bank Corp. | 1.5% | % | 1.5% | |||||||||
Apple, Inc. | 1.4 | | 1.4 | |||||||||
Chubb Ltd. | 1.2 | | 1.2 | |||||||||
Republic Services, Inc., Cl. A | 1.2 | | 1.2 | |||||||||
Allstate Corp. (The) | 1.2 | | 1.2 | |||||||||
UnitedHealth Group, Inc. | 1.1 | | 1.1 | |||||||||
Altria Group, Inc. | 1.1 | | 1.1 | |||||||||
Xilinx, Inc. | 1.0 | | 1.0 | |||||||||
AT&T, Inc. | 1.0 | | 1.0 | |||||||||
Lockheed Martin Corp. | 0.9 | | 1.0 |
Portfolio holdings and allocations are dollar-weighted based on total net assets and are subject to change. Percentages are as of February 28, 2017. Holdings exclude cash and cash equivalents. As of February 28, 2017, the Fund held approximately 4.4% in cash. Negative weightings may result from the use of leverage. Leverage involves the use of various financial instruments or borrowed capital in an attempt to increase investment return. Leverage risks include potential for higher volatility, greater decline of the Funds net asset value and fluctuations of dividends and distributions paid by the Fund. Asset tables may not display cash weightings. Net total exposure may not equal the sum of long and short exposure due to rounding.
16 OPPENHEIMER CAPITAL INCOME FUND |
OPPORTUNISTIC STRATEGY |
||||||||||||
Long | Short | Net | ||||||||||
Senior Loans | 11.4% | 0.0% | 11.4% | |||||||||
Corporate Bonds | 7.0 | 0.0 | 7.0 | |||||||||
Asset Backed Securities | 4.0 | 0.0 | 4.0 | |||||||||
Mortgage Related Securities | 1.7 | 0.0 | 1.7 | |||||||||
Commodities | 0.9 | 0.0 | 0.9 | |||||||||
Equity Like | 0.8 | 0.0 | 0.8 | |||||||||
Preferred Securities | 0.2 | 0.0 | 0.2 | |||||||||
Interest Rates | 0.0 | -1.2 | -1.2 | |||||||||
Duration | 1.7 | -1.9 | -0.2 | |||||||||
Currencies | 0.5 | -5.2 | -4.7 | |||||||||
Credit Default Swaps | 1.5 | -3.7 | -2.2 |
Portfolio holdings and allocations are dollar-weighted based on total net assets and are subject to change. Percentages are as of February 28, 2017. Holdings exclude cash and cash equivalents. As of February 28, 2017, the Fund held approximately 4.4% in cash. Negative weightings may result from the use of leverage. Leverage involves the use of various financial instruments or borrowed capital in an attempt to increase investment return. Leverage risks include potential for higher volatility, greater decline of the Funds net asset value and fluctuations of dividends and distributions paid by the Fund. Asset tables may not display cash weightings. Net total exposure may not equal the sum of long and short exposure due to rounding.
17 OPPENHEIMER CAPITAL INCOME FUND |
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS 2/28/17
Inception Date |
6-Month | 1-Year | 5-Year | 10-Year | ||||||
Class A (OPPEX) | 12/1/70 | 4.04% | 11.15% | 5.95% | 1.50% | |||||
Class B (OPEBX) | 8/17/93 | 3.56 | 10.25 | 5.02 | 0.95 | |||||
Class C (OPECX) | 11/1/95 | 3.66 | 10.23 | 5.12 | 0.67 | |||||
Class I (OCIIX) | 12/27/13 | 4.16 | 11.52 | 4.81* | N/A | |||||
Class R (OCINX) | 3/1/01 | 3.86 | 10.82 | 5.65 | 1.17 | |||||
Class Y (OCIYX) |
1/28/11 | 4.17 | 11.31 | 6.21 | 6.29* |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 2/28/17
Inception Date |
6-Month | 1-Year | 5-Year | 10-Year | ||||||
Class A (OPPEX) | 12/1/70 | -1.95% | 4.76% | 4.70% | 0.90% | |||||
Class B (OPEBX) | 8/17/93 | -1.44 | 5.25 | 4.69 | 0.95 | |||||
Class C (OPECX) | 11/1/95 | 2.66 | 9.23 | 5.12 | 0.67 | |||||
Class I (OCIIX) | 12/27/13 | 4.16 | 11.52 | 4.81* | N/A | |||||
Class R (OCINX) | 3/1/01 | 3.86 | 10.82 | 5.65 | 1.17 | |||||
Class Y (OCIYX) | 1/28/11 | 4.17 | 11.31 | 6.21 | 6.29* |
* Shows performance since inception.
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investors shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individuals investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 5.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C shares, the contingent deferred sales charge (CDSC) of 1% for the 1-year period. There is no sales charge for Class I, Class R and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.
The Funds performance is compared to the performance of the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index and the Funds Reference Index. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The Bloomberg Barclays U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. corporate government and mortgage-backed securities. The Funds Reference Index is a customized weighted index currently comprised of 65% of the Bloomberg Barclays U.S. Aggregate
18 OPPENHEIMER CAPITAL INCOME FUND |
Bond Index and 35% of the Russell 3000 Index. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Funds performance, it must be noted that the Funds investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Funds performance, and does not predict or depict performance of the Fund. The Funds performance reflects the effects of the Funds business and operating expenses.
The Morningstar 30-50% Equity Category Average is the average return of the mutual funds within the investment category as defined by Morningstar. Returns include the reinvestment of distributions but do not consider sales charges. The Morningstar 30-50% Equity Category Average performance is shown for illustrative purposes only and does not predict or depict the performance of the Fund.
The Funds investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a funds investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
19 OPPENHEIMER CAPITAL INCOME FUND |
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended February 28, 2017.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled Expenses Paid During 6 Months Ended February 28, 2017 to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Funds actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the hypothetical section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
20 OPPENHEIMER CAPITAL INCOME FUND |
Actual | Beginning Account Value September 1, 2016 |
Ending Account Value February 28, 2017 |
Expenses Paid During 6 Months Ended February 28, 2017 | |||
Class A | $ 1,000.00 | $ 1,040.40 | $ 5.07 | |||
Class B | 1,000.00 | 1,035.60 | 9.02 | |||
Class C | 1,000.00 | 1,036.60 | 8.93 | |||
Class I | 1,000.00 | 1,041.60 | 2.89 | |||
Class R | 1,000.00 | 1,038.60 | 6.34 | |||
Class Y | 1,000.00 | 1,041.70 | 3.85 | |||
Hypothetical (5% return before expenses) |
||||||
Class A | 1,000.00 | 1,019.84 | 5.02 | |||
Class B | 1,000.00 | 1,015.97 | 8.94 | |||
Class C | 1,000.00 | 1,016.07 | 8.84 | |||
Class I | 1,000.00 | 1,021.97 | 2.86 | |||
Class R | 1,000.00 | 1,018.60 | 6.28 | |||
Class Y | 1,000.00 | 1,021.03 | 3.82 |
Expenses are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended February 28, 2017 are as follows:
Class | Expense Ratios | |
Class A | 1.00% | |
Class B | 1.78 | |
Class C | 1.76 | |
Class I | 0.57 | |
Class R | 1.25 | |
Class Y | 0.76 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Funds Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Funds prospectus. The Consolidated Financial Highlights tables in the Funds financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
21 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS February 28, 2017 Unaudited
Shares | Value | |||||||
Common Stocks41.9% | ||||||||
Consumer Discretionary1.7% | ||||||||
Hotels, Restaurants & Leisure0.5% | ||||||||
Brinker International, Inc. | 308,724 | $
|
13,040,502
|
| ||||
Media0.8% | ||||||||
DISH Network Corp., Cl. A1 | 257,104 | 15,940,448 | ||||||
Live Nation Entertainment, Inc.1 | 189,520 | 5,384,263 | ||||||
|
21,324,711
|
| ||||||
Multiline Retail0.4% | ||||||||
Target Corp. | 204,419 |
|
12,013,705
|
| ||||
Consumer Staples3.3% | ||||||||
Beverages0.5% | ||||||||
Coca-Cola Co. (The) | 323,580 |
|
13,577,417
|
| ||||
Tobacco2.8% | ||||||||
Altria Group, Inc. | 386,815 | 28,980,180 | ||||||
British American Tobacco plc | 389,540 | 24,562,580 | ||||||
Philip Morris International, Inc. | 186,400 | 20,382,840 | ||||||
|
73,925,600
|
| ||||||
Energy4.1% | ||||||||
Energy Equipment & Services0.5% | ||||||||
Halliburton Co. | 87,898 | 4,699,027 | ||||||
Schlumberger Ltd. | 99,466 | 7,993,088 | ||||||
|
12,692,115
|
| ||||||
Oil, Gas & Consumable Fuels3.6% | ||||||||
Canadian Natural Resources Ltd. | 141,686 | 4,063,258 | ||||||
Chevron Corp. | 187,663 | 21,112,088 | ||||||
ConocoPhillips | 321,276 | 15,283,099 | ||||||
EOG Resources, Inc. | 110,930 | 10,759,101 | ||||||
Exxon Mobil Corp. | 44,913 | 3,652,325 | ||||||
Newfield Exploration Co.1 | 185,992 | 6,781,268 | ||||||
Noble Energy, Inc. | 314,968 | 11,467,985 | ||||||
Occidental Petroleum Corp. | 289,930 | 19,004,912 | ||||||
Valero Energy Corp. | 79,178 | 5,380,145 | ||||||
|
97,504,181
|
| ||||||
Financials7.6% | ||||||||
Capital Markets0.4% | ||||||||
Goldman Sachs Group, Inc. (The) | 44,200 |
|
10,964,252
|
| ||||
Commercial Banks3.0% | ||||||||
JPMorgan Chase & Co. | 96,320 | 8,728,518 | ||||||
M&T Bank Corp. | 244,690 | 40,855,889 | ||||||
PNC Financial Services Group, Inc. (The) | 45,960 | 5,847,491 |
22 OPPENHEIMER CAPITAL INCOME FUND |
Shares | Value | |||||||
Commercial Banks (Continued) | ||||||||
Wells Fargo & Co. | 412,810 | $ | 23,893,443 | |||||
|
79,325,341
|
| ||||||
Insurance2.4% | ||||||||
Allstate Corp. (The) | 377,120 | 30,984,179 | ||||||
Chubb Ltd. | 236,700 | 32,704,839 | ||||||
|
63,689,018
|
| ||||||
Real Estate Investment Trusts (REITs)1.8% | ||||||||
American Assets Trust, Inc. | 239,660 | 10,545,040 | ||||||
Blackstone Mortgage Trust, Inc., Cl. A | 694,630 | 21,630,778 | ||||||
Macerich Co. (The) | 87,710 | 5,909,900 | ||||||
Starwood Property Trust, Inc. | 499,980 | 11,429,543 | ||||||
|
49,515,261
|
| ||||||
Health Care6.0% | ||||||||
Biotechnology0.5% | ||||||||
Shire plc, ADR | 75,280 |
|
13,603,096
|
| ||||
Health Care Equipment & Supplies0.4% | ||||||||
Medtronic plc | 148,650 |
|
12,027,272
|
| ||||
Health Care Providers & Services2.7% | ||||||||
Cigna Corp. | 104,510 | 15,561,539 | ||||||
Express Scripts Holding Co.1 | 166,000 | 11,727,900 | ||||||
HCA Holdings, Inc.1 | 109,299 | 9,535,245 | ||||||
UnitedHealth Group, Inc. | 185,594 | 30,693,536 | ||||||
Universal Health Services, Inc., Cl. B | 34,796 | 4,370,377 | ||||||
|
71,888,597
|
| ||||||
Pharmaceuticals2.4% | ||||||||
Allergan plc | 82,260 | 20,138,893 | ||||||
Bristol-Myers Squibb Co. | 91,920 | 5,212,783 | ||||||
Merck & Co., Inc. | 217,850 | 14,349,780 | ||||||
Novartis AG, Sponsored ADR1 | 170,490 | 13,327,203 | ||||||
Roche Holding AG | 45,805 | 11,156,679 | ||||||
|
64,185,338
|
| ||||||
Industrials7.4% | ||||||||
Aerospace & Defense2.8% | ||||||||
L3 Technologies, Inc. | 92,170 | 15,514,054 | ||||||
Lockheed Martin Corp. | 94,520 | 25,197,142 | ||||||
Northrop Grumman Corp. | 90,200 | 22,287,518 | ||||||
Raytheon Co. | 75,010 | 11,562,791 | ||||||
|
74,561,505
|
| ||||||
Airlines0.4% | ||||||||
United Continental Holdings, Inc.1 | 131,706 | 9,758,098 |
23 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Shares | Value | |||||||
Commercial Services & Supplies2.1% | ||||||||
Johnson Controls International plc | 580,241 | $ | 24,335,307 | |||||
Republic Services, Inc., Cl. A | 524,860 | 32,515,077 | ||||||
|
56,850,384
|
| ||||||
Construction & Engineering0.3% | ||||||||
Granite Construction, Inc. | 150,160 |
|
7,959,982
|
| ||||
Industrial Conglomerates1.6% | ||||||||
General Electric Co. | 841,500 | 25,085,115 | ||||||
Honeywell International, Inc. | 139,630 | 17,383,935 | ||||||
|
42,469,050
|
| ||||||
Road & Rail0.2% | ||||||||
Union Pacific Corp. | 56,320 |
|
6,079,181
|
| ||||
Information Technology4.4% | ||||||||
Communications Equipment0.9% | ||||||||
Cisco Systems, Inc. | 685,622 |
|
23,434,560
|
| ||||
Internet Software & Services0.8% | ||||||||
Alphabet, Inc., Cl. A1 | 27,530 |
|
23,260,923
|
| ||||
Semiconductors & Semiconductor Equipment1.3% | ||||||||
QUALCOMM, Inc. | 151,890 | 8,578,747 | ||||||
Xilinx, Inc. | 447,262 | 26,307,951 | ||||||
|
34,886,698
|
| ||||||
Technology Hardware, Storage & Peripherals1.4% | ||||||||
Apple, Inc. | 268,695 |
|
36,808,528
|
| ||||
Materials2.4% | ||||||||
Chemicals1.1% | ||||||||
Celanese Corp., Cl. A | 202,433 | 18,050,951 | ||||||
Methanex Corp. | 222,090 | 11,326,590 | ||||||
|
29,377,541
|
| ||||||
Containers & Packaging1.3% | ||||||||
Packaging Corp. of America | 162,500 | 15,019,875 | ||||||
Sonoco Products Co. | 371,330 | 19,799,315 | ||||||
|
34,819,190
|
| ||||||
Telecommunication Services2.6% | ||||||||
Diversified Telecommunication Services2.6% | ||||||||
AT&T, Inc. | 617,840 | 25,819,534 | ||||||
BCE, Inc. | 502,030 | 21,908,589 | ||||||
Verizon Communications, Inc. | 456,840 | 22,672,969 | ||||||
70,401,092 |
24 OPPENHEIMER CAPITAL INCOME FUND |
Shares | Value | |||||||
Utilities2.4% | ||||||||
Electric Utilities1.8% | ||||||||
Edison International | 287,000 | $ | 22,885,380 | |||||
NextEra Energy, Inc. | 112,692 | 14,762,652 | ||||||
PG&E Corp. | 165,270 | 11,031,772 | ||||||
|
48,679,804
|
| ||||||
Multi-Utilities0.6% | ||||||||
CMS Energy Corp. | 335,290 | 14,927,111 | ||||||
Total Common Stocks (Cost $1,015,815,601) |
|
1,123,550,053
|
| |||||
Preferred Stocks0.2% | ||||||||
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 | 4,594,500 | ||||||
Total Preferred Stocks (Cost $6,345,341) |
|
6,464,160
|
| |||||
Principal Amount | ||||||||
Asset-Backed Securities8.6% | ||||||||
Airspeed Ltd.: | ||||||||
Series 2007-1A, Cl. G1, 1.04%, 6/15/322,3 | $ | 15,927,073 | 12,676,755 | |||||
Series 2007-1A, Cl. G2, 1.05%, 6/15/322,3 | 7,805,858 | 6,409,491 | ||||||
American Credit Acceptance Receivables Trust: | ||||||||
Series 2014-3, Cl. B, 2.43%, 6/10/204 | 94,902 | 94,938 | ||||||
Series 2014-4, Cl. B, 2.60%, 10/10/174 | 277,701 | 278,237 | ||||||
Series 2015-1, Cl. B, 2.85%, 2/12/214 | 1,994,043 | 2,002,652 | ||||||
Series 2015-3, Cl. B, 3.56%, 10/12/214 | 2,130,000 | 2,153,432 | ||||||
Series 2017-1, Cl. D, 3.54%, 3/13/234,5 | 2,346,000 | 2,349,263 | ||||||
American Express Credit Account Master Trust: | ||||||||
Series 2014-2, Cl. A, 1.26%, 1/15/20 | 425,000 | 425,206 | ||||||
Series 2014-3, Cl. A, 1.49%, 4/15/20 | 2,020,000 | 2,022,853 | ||||||
Series 2014-5, Cl. A, 1.06%, 5/15/203 | 3,410,000 | 3,415,030 | ||||||
Series 2015-1, Cl. A, 1.06%, 1/15/203 | 4,135,000 | 4,138,058 | ||||||
AmeriCredit Automobile Receivables Trust: | ||||||||
Series 2013-2, Cl. E, 3.41%, 10/8/204 | 1,735,000 | 1,748,911 | ||||||
Series 2013-3, Cl. E, 3.74%, 12/8/204 | 1,025,000 | 1,038,844 | ||||||
Series 2013-4, Cl. D, 3.31%, 10/8/19 | 350,000 | 355,280 | ||||||
Series 2014-1, Cl. E, 3.58%, 8/9/21 | 2,040,000 | 2,077,316 | ||||||
Series 2014-2, Cl. E, 3.37%, 11/8/21 | 2,200,000 | 2,229,626 | ||||||
Series 2014-4, Cl. D, 3.07%, 11/9/20 | 1,860,000 | 1,883,695 | ||||||
Series 2017-1, Cl. D, 3.13%, 1/18/23 | 1,705,000 | 1,713,255 | ||||||
Bear Stearns Structured Products Trust: | ||||||||
Series 2007-EMX1, Cl. A2, 2.078%, 3/25/373,4 | 5,900,000 | 5,753,338 | ||||||
Series 2007-EMX1, Cl. M1, 2.778%, 3/25/373,4 | 8,000,000 | 7,525,991 | ||||||
Blade Engine Securitization Ltd.: | ||||||||
Series 2006-1A, Cl. A1, 1.77%, 9/15/412,3 | 1,359,326 | 618,338 | ||||||
Series 2006-1AW, Cl. A1, 1.07%, 9/15/412,3 | 18,690,726 | 12,287,171 | ||||||
Cabelas Credit Card Master Note Trust: | ||||||||
Series 2013-2A, Cl. A2, 1.42%, 8/16/213,4 | 785,000 | 789,230 | ||||||
Series 2016-1, Cl. A1, 1.78%, 6/15/22 | 2,095,000 | 2,090,632 |
25 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Asset-Backed Securities (Continued) | ||||||||
Capital Auto Receivables Asset Trust: | ||||||||
Series 2013-1, Cl. D, 2.19%, 9/20/21 | $ | 724,493 | $ | 725,592 | ||||
Series 2014-1, Cl. D, 3.39%, 7/22/19 | 580,000 | 588,876 | ||||||
Series 2015-1, Cl. D, 3.16%, 8/20/20 | 1,020,000 | 1,030,625 | ||||||
Series 2015-4, Cl. D, 3.62%, 5/20/21 | 1,725,000 | 1,765,643 | ||||||
Series 2016-2, Cl. D, 3.16%, 11/20/23 | 405,000 | 404,179 | ||||||
Series 2016-3, Cl. D, 2.65%, 1/20/24 | 665,000 | 654,667 | ||||||
Capital One Multi-Asset Execution Trust, Series 2014-A5, Cl. A5, 1.48%, 7/15/20 | 3,495,000 | 3,499,613 | ||||||
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/214 | 453,015 | 453,433 | ||||||
CarMax Auto Owner Trust: | ||||||||
Series 2013-2, Cl. D, 2.06%, 11/15/19 | 315,000 | 315,112 | ||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 | 655,000 | 658,574 | ||||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 | 1,975,000 | 1,990,527 | ||||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 | 1,300,000 | 1,298,741 | ||||||
Series 2016-3, Cl. D, 2.94%, 1/17/23 | 760,000 | 750,447 | ||||||
Series 2016-4, Cl. D, 2.91%, 4/17/23 | 1,710,000 | 1,684,214 | ||||||
Series 2017-1, Cl. D, 3.43%, 7/17/23 | 1,565,000 | 1,569,313 | ||||||
Chase Issuance Trust, Series 2016-A6, Cl. A6, 1.10%, 1/15/20 | 4,280,000 | 4,271,155 | ||||||
CPS Auto Receivables Trust, Series 2014-C, Cl. A, 1.31%, 2/15/194 | 199,800 | 199,725 | ||||||
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/194 | 57,654 | 57,661 | ||||||
Credit Acceptance Auto Loan Trust: | ||||||||
Series 2014-1A, Cl. B, 2.29%, 4/15/224 | 1,286,896 | 1,288,798 | ||||||
Series 2014-2A, Cl. B, 2.67%, 9/15/224 | 910,000 | 914,159 | ||||||
CWABS Asset-Backed Certificates Trust, Series 2005-14, Cl. 1A1, 1.008%, | ||||||||
4/25/363 | 2,449,105 | 2,439,164 | ||||||
Discover Card Execution Note Trust, Series 2014-A5, Cl. A, 1.39%, 4/15/20 | 3,090,000 | 3,091,894 | ||||||
Drive Auto Receivables Trust: | ||||||||
Series 2015-BA, Cl. C, 2.76%, 7/15/214 | 1,950,000 | 1,960,555 | ||||||
Series 2015-DA, Cl. D, 4.59%, 1/17/234 | 340,000 | 349,053 | ||||||
Series 2016-BA, Cl. C, 3.19%, 7/15/224 | 1,040,000 | 1,053,914 | ||||||
Series 2016-CA, Cl. D, 4.18%, 3/15/244 | 1,070,000 | 1,090,237 | ||||||
Series 2017-AA, Cl. D, 4.16%, 5/15/244 | 1,410,000 | 1,439,106 | ||||||
DT Auto Owner Trust: |
||||||||
Series 2013-2A, Cl. D, 4.18%, 6/15/204 | 1,287,340 | 1,295,209 | ||||||
Series 2014-2A, Cl. D, 3.68%, 4/15/214 | 2,745,000 | 2,777,938 | ||||||
Series 2014-3A, Cl. D, 4.47%, 11/15/214 | 2,370,000 | 2,410,424 | ||||||
Series 2015-1A, Cl. C, 2.87%, 11/16/204 | 898,554 | 902,603 | ||||||
Series 2016-1A, Cl. B, 2.79%, 5/15/204 | 1,750,000 | 1,757,212 | ||||||
Series 2016-4A, Cl. B, 2.02%, 8/17/204 | 1,590,000 | 1,585,616 | ||||||
Series 2017-1A, Cl. D, 3.55%, 11/15/224 | 1,060,000 | 1,061,481 | ||||||
Series 2017-1A, Cl. E, 5.79%, 2/15/244 | 695,000 | 697,336 | ||||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/444 | 1,382,173 | 1,344,880 | ||||||
Evergreen Credit Card Trust, Series 2016-3, Cl. A, 1.27%, 11/16/203,4 | 3,015,000 | 3,018,872 | ||||||
Exeter Automobile Receivables Trust: | ||||||||
Series 2013-2A, Cl. D, 6.81%, 8/17/204 | 1,485,000 | 1,536,853 | ||||||
Series 2014-1A, Cl. B, 2.42%, 1/15/194 | 121,326 | 121,388 | ||||||
Series 2014-1A, Cl. C, 3.57%, 7/15/194 | 1,160,000 | 1,167,926 | ||||||
Series 2014-2A, Cl. B, 2.17%, 5/15/194 | 978,607 | 979,739 |
26 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Asset-Backed Securities (Continued) | ||||||||
Exeter Automobile Receivables Trust: (Continued) | ||||||||
Series 2014-2A, Cl. C, 3.26%, 12/16/194 | $ | 985,000 | $ | 992,681 | ||||
Series 2015-1A, Cl. C, 4.10%, 12/15/204 | 825,000 | 844,481 | ||||||
Fieldstone Mortgage Investment Trust, Series 2004-5, Cl. M3, 2.803%, | ||||||||
2/25/353 | 6,000,000 | 5,362,549 | ||||||
First Investors Auto Owner Trust: | ||||||||
Series 2013-3A, Cl. B, 2.32%, 10/15/194 | 1,840,000 | 1,843,070 | ||||||
Series 2013-3A, Cl. D, 3.67%, 5/15/204 | 580,000 | 585,414 | ||||||
Flagship Credit Auto Trust: | ||||||||
Series 2014-1, Cl. A, 1.21%, 4/15/194 | 16,123 | 16,122 | ||||||
Series 2014-2, Cl. A, 1.43%, 12/16/194 | 278,524 | 278,429 | ||||||
Series 2015-3, Cl. D, 7.12%, 11/15/224 | 1,065,000 | 1,118,632 | ||||||
Series 2016-1, Cl. C, 6.22%, 6/15/224 | 2,410,000 | 2,603,254 | ||||||
Series 2016-4, Cl. A1, 1.47%, 3/16/204 | 1,636,124 | 1,634,021 | ||||||
Ford Credit Floorplan Master Owner Trust A, Series 2016-3, Cl. A1, 1.55%, | ||||||||
7/15/21 | 2,420,000 | 2,402,520 | ||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/434 | 172,387 | 168,907 | ||||||
GM Financial Automobile Leasing Trust, Series 2015-1, Cl. D, 3.01%, | ||||||||
3/20/20 | 1,505,000 | 1,519,307 | ||||||
GSAMP Trust: | ||||||||
Series 2005-HE4, Cl. M3, 1.298%, 7/25/453 | 13,300,000 | 11,535,681 | ||||||
Series 2005-HE5, Cl. M3, 1.238%, 11/25/353 | 4,060,889 | 3,353,004 | ||||||
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, | ||||||||
1.228%, 12/25/353 | 5,480,000 | 5,281,158 | ||||||
Long Beach Mortgage Loan Trust, Series 2005-WL3, Cl. M1, 1.423%, | ||||||||
11/25/353 | 2,390,000 | 2,201,316 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 1.158%, | ||||||||
12/25/353 | 12,287,000 | 11,231,536 | ||||||
Navistar Financial Dealer Note Master Owner Trust II: | ||||||||
Series 2015-1, Cl. B, 2.456%, 6/25/203,4 | 460,000 | 460,275 | ||||||
Series 2015-1, Cl. D, 3.906%, 6/25/203,4 | 180,000 | 180,169 | ||||||
Series 2016-1, Cl. D, 4.078%, 9/27/213,4 | 495,000 | 495,704 | ||||||
New Century Home Equity Loan Trust: | ||||||||
Series 2005-1, Cl. M2, 1.498%, 3/25/353 | 4,383,661 | 3,729,898 | ||||||
Series 2005-2, Cl. M3, 1.513%, 6/25/353 | 5,500,000 | 4,809,549 | ||||||
RASC Trust, Series 2006-KS2, Cl. M2, 1.168%, 3/25/363 | 4,875,000 | 4,251,507 | ||||||
Raspro Trust, Series 2005-1A, Cl. G, 1.397%, 3/23/242,3 | 4,604,148 | 4,373,941 | ||||||
Santander Drive Auto Receivables Trust: | ||||||||
Series 2013-1, Cl. D, 2.27%, 1/15/19 | 895,000 | 897,928 | ||||||
Series 2013-4, Cl. E, 4.67%, 1/15/204 | 2,055,000 | 2,085,625 | ||||||
Series 2013-A, Cl. E, 4.71%, 1/15/214 | 1,530,000 | 1,561,939 | ||||||
Series 2014-2, Cl. D, 2.76%, 2/18/20 | 870,000 | 882,137 | ||||||
Series 2016-2, Cl. D, 3.39%, 4/15/22 | 720,000 | 730,847 | ||||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 | 1,085,000 | 1,086,807 | ||||||
Series 2017-1, Cl. E, 5.05%, 7/15/244 | 1,300,000 | 1,304,887 | ||||||
SG Mortgage Securities Trust, Series 2005-OPT1, Cl. M2, 1.228%, | ||||||||
10/25/353 | 6,129,000 | 5,332,800 | ||||||
SNAAC Auto Receivables Trust, Series 2014-1A, Cl. D, 2.88%, 1/15/204 | 730,000 | 732,178 |
27 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Asset-Backed Securities (Continued) | ||||||||
Synchrony Credit Card Master Note Trust, Series 2012-6, Cl. A, 1.36%, | ||||||||
8/17/20 | $ | 1,155,000 | $ | 1,155,557 | ||||
TCF Auto Receivables Owner Trust: | ||||||||
Series 2014-1A, Cl. C, 3.12%, 4/15/214 | 525,000 | 524,691 | ||||||
Series 2015-1A, Cl. D, 3.53%, 3/15/224 | 1,075,000 | 1,076,029 | ||||||
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/444 | 707,299 | 690,430 | ||||||
United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, | ||||||||
6/17/194 | 1,337,537 | 1,341,529 | ||||||
Westlake Automobile Receivables Trust, Series 2015-2A, Cl. C, 2.45%, | ||||||||
1/15/214 | 1,420,000 | 1,427,169 | ||||||
World Financial Network Credit Card Master Trust: | ||||||||
Series 2014-C, Cl. A, 1.60%, 8/16/21 | 2,125,000 | 2,127,293 | ||||||
Series 2015-C, Cl. A, 1.26%, 3/15/21 | 1,545,000 | 1,545,376 | ||||||
Series 2016-B, Cl. A, 1.44%, 6/15/22 | 1,360,000 | 1,355,524 | ||||||
Total Asset-Backed Securities (Cost $231,054,259) | 229,411,867 | |||||||
Mortgage-Backed Obligations13.7% | ||||||||
Government Agency7.1% | ||||||||
FHLMC/FNMA/FHLB/Sponsored6.2% | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||||||
4.50%, 5/1/19 | 250,172 | 256,316 | ||||||
5.00%, 12/1/34 | 49,195 | 54,380 | ||||||
6.00%, 5/1/18 | 11,313 | 11,380 | ||||||
6.50%, 7/1/28-4/1/34 | 144,794 | 162,925 | ||||||
7.00%, 10/1/31 | 114,808 | 126,856 | ||||||
9.00%, 8/1/22-5/1/25 | 6,171 | 6,685 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183,Cl. IO, 50.809%, 4/1/276 | 92,762 | 20,899 | ||||||
Series 192,Cl. IO, 91.398%, 2/1/286 | 31,197 | 6,048 | ||||||
Series 243,Cl. 6, 0.00%, 12/15/326,7 | 101,399 | 18,748 | ||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global | ||||||||
Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 2,560,305 | 2,584,357 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.- | ||||||||
Backed Security, Series 176, Cl. PO, 4.127%, 6/1/268 | 33,528 | 31,338 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2034,Cl. Z, 6.50%, 2/15/28 | 71,047 | 79,996 | ||||||
Series 2043,Cl. ZP, 6.50%, 4/15/28 | 328,485 | 365,380 | ||||||
Series 2053,Cl. Z, 6.50%, 4/15/28 | 64,401 | 72,658 | ||||||
Series 2279,Cl. PK, 6.50%, 1/15/31 | 132,839 | 150,260 | ||||||
Series 2326,Cl. ZP, 6.50%, 6/15/31 | 64,824 | 72,162 | ||||||
Series 2426,Cl. BG, 6.00%, 3/15/17 | 1,577 | 1,589 | ||||||
Series 2427,Cl. ZM, 6.50%, 3/15/32 | 240,618 | 267,914 | ||||||
Series 2461,Cl. PZ, 6.50%, 6/15/32 | 293,230 | 345,121 | ||||||
Series 2564,Cl. MP, 5.00%, 2/15/18 | 275,731 | 279,329 | ||||||
Series 2585,Cl. HJ, 4.50%, 3/15/18 | 140,347 | 143,736 | ||||||
Series 2626,Cl. TB, 5.00%, 6/15/33 | 292,267 | 311,755 | ||||||
Series 2635,Cl. AG, 3.50%, 5/15/32 | 75,700 | 78,096 | ||||||
Series 2707,Cl. QE, 4.50%, 11/15/18 | 228,577 | 233,014 | ||||||
Series 2770,Cl. TW, 4.50%, 3/15/19 | 32,053 | 32,964 |
28 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued) | ||||||||
Series 3010,Cl. WB, 4.50%, 7/15/20 | $ | 167,967 | $ | 172,850 | ||||
Series 3025,Cl. SJ, 21.927%, 8/15/353 | 37,355 | 55,633 | ||||||
Series 3030,Cl. FL, 1.17%, 9/15/353 | 522,410 | 520,178 | ||||||
Series 3645,Cl. EH, 3.00%, 12/15/20 | 16,236 | 16,479 | ||||||
Series 3741,Cl. PA, 2.15%, 2/15/35 | 1,082,689 | 1,089,133 | ||||||
Series 3815,Cl. BD, 3.00%, 10/15/20 | 22,057 | 22,278 | ||||||
Series 3822,Cl. JA, 5.00%, 6/15/40 | 140,447 | 146,670 | ||||||
Series 3840,Cl. CA, 2.00%, 9/15/18 | 17,108 | 17,160 | ||||||
Series 3848,Cl. WL, 4.00%, 4/15/40 | 536,238 | 555,326 | ||||||
Series 3857,Cl. GL, 3.00%, 5/15/40 | 44,585 | 45,632 | ||||||
Series 4221,Cl. HJ, 1.50%, 7/15/23 | 1,164,687 | 1,160,511 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, | ||||||||
Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2130,Cl. SC, 88.509%, 3/15/296 | 75,245 | 13,785 | ||||||
Series 2796,Cl. SD, 99.999%, 7/15/266 | 129,387 | 19,061 | ||||||
Series 2815,Cl. PT, 99.999%, 11/15/326 | 543,841 | 15,622 | ||||||
Series 2920,Cl. S, 59.612%, 1/15/356 | 739,803 | 113,103 | ||||||
Series 2922,Cl. SE, 25.068%, 2/15/356 | 183,767 | 29,331 | ||||||
Series 2937,Cl. SY, 21.692%, 2/15/356 | 2,190,159 | 338,472 | ||||||
Series 2981,Cl. AS, 11.12%, 5/15/356 | 1,516,676 | 241,479 | ||||||
Series 3397,Cl. GS, 0.00%, 12/15/376,7 | 358,594 | 62,425 | ||||||
Series 3424,Cl. EI, 0.00%, 4/15/386,7 | 120,174 | 13,447 | ||||||
Series 3450,Cl. BI, 23.479%, 5/15/386 | 894,817 | 124,434 | ||||||
Series 3606,Cl. SN, 23.541%, 12/15/396 | 375,106 | 57,679 | ||||||
Federal National Mortgage Assn.: | ||||||||
3.00%, 3/1/325 | 33,675,000 | 34,624,740 | ||||||
3.50%, 3/15/475 | 8,710,000 | 8,927,070 | ||||||
4.00%, 3/1/475 | 54,025,000 | 56,771,205 | ||||||
4.50%, 3/1/475 | 17,290,000 | 18,582,022 | ||||||
5.00%, 3/1/475 | 17,750,000 | 19,454,038 | ||||||
Federal National Mortgage Assn. Pool: | ||||||||
5.00%, 3/1/21 | 46,324 | 47,568 | ||||||
5.50%, 2/1/35-4/1/39 | 1,196,237 | 1,338,631 | ||||||
6.50%, 5/1/17-11/1/31 | 396,150 | 449,389 | ||||||
7.00%, 11/1/17-7/1/35 | 41,350 | 45,055 | ||||||
7.50%, 1/1/33-3/1/33 | 1,758,985 | 2,107,693 | ||||||
8.50%, 7/1/32 | 6,863 | 7,456 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 222,Cl. 2, 99.999%, 6/25/236 | 203,214 | 29,791 | ||||||
Series 252,Cl. 2, 99.999%, 11/25/236 | 181,231 | 30,441 | ||||||
Series 303,Cl. IO, 68.478%, 11/25/296 | 86,154 | 22,144 | ||||||
Series 308,Cl. 2, 29.599%, 9/25/306 | 208,608 | 57,016 | ||||||
Series 320,Cl. 2, 31.788%, 4/25/326 | 765,679 | 221,365 | ||||||
Series 321,Cl. 2, 0.00%, 4/25/326,7 | 536,105 | 125,717 | ||||||
Series 331,Cl. 9, 23.198%, 2/25/336 | 210,384 | 44,688 | ||||||
Series 334,Cl. 17, 13.56%, 2/25/336 | 112,976 | 23,149 | ||||||
Series 339,Cl. 12, 0.00%, 6/25/336,7 | 372,392 | 76,497 |
29 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 339,Cl. 7, 0.00%, 11/25/336,7 | $ | 450,754 | $ | 90,612 | ||||
Series 343,Cl. 13, 0.00%, 9/25/336,7 | 393,649 | 84,168 | ||||||
Series 343,Cl. 18, 0.00%, 5/25/346,7 | 109,995 | 26,499 | ||||||
Series 345,Cl. 9, 0.00%, 1/25/346,7 | 180,220 | 37,386 | ||||||
Series 351,Cl. 10, 0.00%, 4/25/346,7 | 121,495 | 24,828 | ||||||
Series 351,Cl. 8, 0.00%, 4/25/346,7 | 212,812 | 43,496 | ||||||
Series 356,Cl. 10, 0.00%, 6/25/356,7 | 152,797 | 30,860 | ||||||
Series 356,Cl. 12, 0.00%, 2/25/356,7 | 74,622 | 16,844 | ||||||
Series 362,Cl. 13, 0.00%, 8/25/356,7 | 273,222 | 56,332 | ||||||
Series 364,Cl. 16, 0.00%, 9/25/356,7 | 327,469 | 63,426 | ||||||
Series 365,Cl. 16, 0.00%, 3/25/366,7 | 745,479 | 151,571 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1993-87,Cl. Z, 6.50%, 6/25/23 | 176,277 | 191,698 | ||||||
Series 1998-61,Cl. PL, 6.00%, 11/25/28 | 95,407 | 108,368 | ||||||
Series 1999-54,Cl. LH, 6.50%, 11/25/29 | 146,208 | 168,260 | ||||||
Series 2001-51,Cl. OD, 6.50%, 10/25/31 | 236,833 | 260,326 | ||||||
Series 2003-100,Cl. PA, 5.00%, 10/25/18 | 553,278 | 564,062 | ||||||
Series 2003-130,Cl. CS, 12.543%, 12/25/333 | 120,469 | 134,116 | ||||||
Series 2003-28,Cl. KG, 5.50%, 4/25/23 | 405,649 | 439,820 | ||||||
Series 2003-84,Cl. GE, 4.50%, 9/25/18 | 35,155 | 36,029 | ||||||
Series 2004-101,Cl. BG, 5.00%, 1/25/20 | 719 | 720 | ||||||
Series 2004-25,Cl. PC, 5.50%, 1/25/34 | 132,316 | 136,232 | ||||||
Series 2005-104,Cl. MC, 5.50%, 12/25/25 | 2,104,203 | 2,289,074 | ||||||
Series 2005-31,Cl. PB, 5.50%, 4/25/35 | 1,430,000 | 1,621,420 | ||||||
Series 2005-73,Cl. DF, 1.028%, 8/25/353 | 941,514 | 945,566 | ||||||
Series 2006-11,Cl. PS, 21.713%, 3/25/363 | 116,991 | 172,664 | ||||||
Series 2006-46,Cl. SW, 21.345%, 6/25/363 | 89,724 | 120,766 | ||||||
Series 2006-50,Cl. KS, 21.346%, 6/25/363 | 173,119 | 251,724 | ||||||
Series 2006-50,Cl. SK, 21.346%, 6/25/363 | 34,083 | 47,520 | ||||||
Series 2008-75,Cl. DB, 4.50%, 9/25/23 | 160,888 | 163,727 | ||||||
Series 2009-113,Cl. DB, 3.00%, 12/25/20 | 444,169 | 449,194 | ||||||
Series 2009-36,Cl. FA, 1.718%, 6/25/373 | 264,490 | 270,456 | ||||||
Series 2009-37,Cl. HA, 4.00%, 4/25/19 | 159,382 | 161,212 | ||||||
Series 2009-70,Cl. TL, 4.00%, 8/25/19 | 557,053 | 563,299 | ||||||
Series 2010-43,Cl. KG, 3.00%, 1/25/21 | 218,808 | 222,033 | ||||||
Series 2011-15,Cl. DA, 4.00%, 3/25/41 | 129,898 | 134,115 | ||||||
Series 2011-3,Cl. EL, 3.00%, 5/25/20 | 725,748 | 733,692 | ||||||
Series 2011-3,Cl. KA, 5.00%, 4/25/40 | 687,760 | 739,997 | ||||||
Series 2011-38,Cl. AH, 2.75%, 5/25/20 | 17,824 | 17,965 | ||||||
Series 2011-82,Cl. AD, 4.00%, 8/25/26 | 453,466 | 462,375 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- | ||||||||
Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-15,Cl. SA, 99.999%, 3/17/316 | 42,653 | 3,399 | ||||||
Series 2001-65,Cl. S, 44.402%, 11/25/316 | 193,164 | 37,471 | ||||||
Series 2001-81,Cl. S, 44.284%, 1/25/326 | 51,623 | 14,198 | ||||||
Series 2002-47,Cl. NS, 28.143%, 4/25/326 | 116,607 | 27,489 | ||||||
Series 2002-51,Cl. S, 28.393%, 8/25/326 | 107,061 | 19,836 | ||||||
Series 2002-52,Cl. SD, 59.047%, 9/25/326 | 161,928 | 32,093 |
30 OPPENHEIMER CAPITAL INCOME FUND |
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 2002-60,Cl. SM, 28.188%, 8/25/326 | $ | 157,917 | $ | 26,636 | ||||
Series 2002-7,Cl. SK, 32.692%, 1/25/326 | 46,888 | 9,214 | ||||||
Series 2002-75,Cl. SA, 34.455%, 11/25/326 | 229,647 | 52,136 | ||||||
Series 2002-77,Cl. BS, 26.403%, 12/18/326 | 99,449 | 20,326 | ||||||
Series 2002-77,Cl. SH, 46.828%, 12/18/326 | 70,774 | 14,733 | ||||||
Series 2002-89,Cl. S, 63.87%, 1/25/336 | 386,265 | 91,302 | ||||||
Series 2002-9,Cl. MS, 27.965%, 3/25/326 | 63,931 | 13,022 | ||||||
Series 2002-90,Cl. SN, 28.93%, 8/25/326 | 81,317 | 13,716 | ||||||
Series 2002-90,Cl. SY, 32.388%, 9/25/326 | 39,177 | 7,486 | ||||||
Series 2003-33,Cl. SP, 38.851%, 5/25/336 | 213,487 | 42,511 | ||||||
Series 2003-46,Cl. IH, 0.00%, 6/25/236,7 | 360,849 | 42,208 | ||||||
Series 2004-54,Cl. DS, 99.999%, 11/25/306 | 149,819 | 25,684 | ||||||
Series 2004-56,Cl. SE, 17.549%, 10/25/336 | 285,956 | 57,327 | ||||||
Series 2005-12,Cl. SC, 39.284%, 3/25/356 | 86,392 | 14,127 | ||||||
Series 2005-19,Cl. SA, 64.219%, 3/25/356 | 1,801,443 | 329,048 | ||||||
Series 2005-40,Cl. SA, 69.428%, 5/25/356 | 399,607 | 63,154 | ||||||
Series 2005-52,Cl. JH, 46.017%, 5/25/356 | 1,019,513 | 152,105 | ||||||
Series 2005-6,Cl. SE, 99.999%, 2/25/356 | 745,808 | 117,736 | ||||||
Series 2005-93,Cl. SI, 20.312%, 10/25/356 | 438,816 | 76,974 | ||||||
Series 2008-55,Cl. SA, 0.00%, 7/25/386,7 | 225,540 | 26,081 | ||||||
Series 2009-8,Cl. BS, 77.196%, 2/25/246 | 40,054 | 1,338 | ||||||
Series 2011-96,Cl. SA, 14.265%, 10/25/416 | 901,926 | 151,114 | ||||||
Series 2012-134,Cl. SA, 9.093%, 12/25/426 | 2,921,925 | 566,127 | ||||||
Series 2012-40,Cl. PI, 3.035%, 4/25/416 | 3,194,988 | 428,079 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment | ||||||||
Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.135%, 9/25/238 |
79,474 | 73,856 | ||||||
|
168,113,247
|
| ||||||
GNMA/Guaranteed0.9% | ||||||||
Government National Mortgage Assn. I Pool: | ||||||||
8.50%, 8/15/17-12/15/17 | 369 | 370 | ||||||
Government National Mortgage Assn. II Pool: | ||||||||
3.50%, 3/15/475 | 9,390,000 | 9,760,832 | ||||||
4.00%, 3/1/475 | 12,335,000 | 13,053,899 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2002-15,Cl. SM, 99.999%, 2/16/326 | 196,132 | 26,640 | ||||||
Series 2002-41,Cl. GS, 99.999%, 6/16/326 | 58,632 | 5,037 | ||||||
Series 2002-76,Cl. SY, 99.999%, 12/16/266 | 434,899 | 66,094 | ||||||
Series 2007-17,Cl. AI, 51.736%, 4/16/376 | 1,653,404 | 296,212 | ||||||
Series 2011-52,Cl. HS, 29.59%, 4/16/416 | 1,898,602 | 303,189 | ||||||
|
23,512,273
|
| ||||||
Non-Agency6.6% | ||||||||
Commercial2.5% | ||||||||
Banc of America Funding Trust, Series 2014-R7, Cl. 3A1, 3.055%, | ||||||||
3/26/363 | 1,883,390 | 1,888,176 |
31 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.69%, 9/26/353,4 | $ | 594,301 | $ | 596,266 | ||||
CD Commercial Mortgage Trust: | ||||||||
Series 2016-CD2,Cl. AM, 3.668%, 11/10/493 | 1,035,000 | 1,067,477 | ||||||
Series 2017-CD3,Cl. AS, 3.833%, 2/10/50 | 1,475,000 | 1,540,200 | ||||||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.199%, | ||||||||
1/25/363 | 1,046,541 | 996,847 | ||||||
COMM Mortgage Trust: | ||||||||
Series 2013-CR6,Cl. AM, 3.147%, 3/10/464 | 1,520,000 | 1,528,303 | ||||||
Series 2013-CR7,Cl. D, 4.354%, 3/10/463,4 | 2,075,000 | 1,837,463 | ||||||
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47 | 4,410,000 | 4,609,408 | ||||||
Series 2014-LC15,Cl. AM, 4.198%, 4/10/47 | 575,000 | 608,661 | ||||||
Series 2014-UBS6,Cl. AM, 4.048%, 12/10/47 | 3,020,000 | 3,139,863 | ||||||
Series 2015-CR23,Cl. AM, 3.801%, 5/10/48 | 1,760,000 | 1,814,562 | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, | ||||||||
Series 2012-CR5, Cl. XA, 24.223%, 12/10/456 | 5,381,638 | 353,713 | ||||||
CSMC, Series 2006-6, Cl. 1A4, 6%, 7/25/36 | 1,284,647 | 960,783 | ||||||
Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, | ||||||||
3.539%, 5/10/49 | 945,000 | 964,951 | ||||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, | ||||||||
Cl. 1A6, 1.428%, 11/25/353 | 567,421 | 379,441 | ||||||
FREMF Mortgage Trust: | ||||||||
Series 2013-K26,Cl. C, 3.599%, 12/25/453,4 | 460,000 | 437,512 | ||||||
Series 2013-K27,Cl. C, 3.497%, 1/25/463,4 | 400,000 | 383,062 | ||||||
Series 2013-K28,Cl. C, 3.494%, 6/25/463,4 | 2,460,000 | 2,335,215 | ||||||
Series 2013-K502,Cl. C, 2.90%, 3/25/453,4 | 720,000 | 720,392 | ||||||
Series 2013-K712,Cl. C, 3.365%, 5/25/453,4 | 730,000 | 733,576 | ||||||
Series 2013-K713,Cl. C, 3.165%, 4/25/463,4 | 480,000 | 479,573 | ||||||
Series 2014-K715,Cl. C, 4.126%, 2/25/463,4 | 155,000 | 156,354 | ||||||
Series 2015-K44,Cl. B, 3.684%, 1/25/483,4 | 215,000 | 213,352 | ||||||
Series 2017-K62,Cl. B, 3.875%, 1/25/273,4 | 105,000 | 98,908 | ||||||
GS Mortgage Securities Trust, Series 2013-GC16, Cl. AS, 4.649%, | ||||||||
11/10/46 | 455,000 | 494,010 | ||||||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/373,4 | 1,404,734 | 1,331,922 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Series 2013-C10,Cl. AS, 3.372%, 12/15/47 | 2,090,000 | 2,124,414 | ||||||
Series 2013-C16,Cl. AS, 4.517%, 12/15/46 | 2,005,000 | 2,168,167 | ||||||
Series 2013-LC11,Cl. AS, 3.216%, 4/15/46 | 270,000 | 272,054 | ||||||
Series 2014-C20,Cl. AS, 4.043%, 7/15/47 | 1,400,000 | 1,471,124 | ||||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.421%, | ||||||||
7/25/353 | 1,041,366 | 1,047,000 | ||||||
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 3.078%, | ||||||||
7/26/363,4 | 1,067,826 | 975,188 | ||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-C19,Cl. AS, 4.243%, 4/15/473 | 880,000 | 936,109 | ||||||
Series 2014-C24,Cl. B, 4.116%, 11/15/473 | 1,945,000 | 2,019,317 | ||||||
Series 2014-C25,Cl. AS, 4.065%, 11/15/47 | 3,600,000 | 3,788,801 | ||||||
Series 2014-C26,Cl. AS, 3.80%, 1/15/48 | 1,255,000 | 1,295,899 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Cl. | ||||||||
AS, 3.385%, 12/15/49 | 1,480,000 | 1,487,730 |
32 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Commercial (Continued) | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||
Series 2013-C9,Cl. AS, 3.456%, 5/15/46 | $ | 1,670,000 | $ | 1,701,214 | ||||
Series 2014-C14,Cl. B, 4.64%, 2/15/473 | 80,000 | 85,712 | ||||||
Series 2014-C19,Cl. AS, 3.832%, 12/15/47 | 3,650,000 | 3,759,543 | ||||||
Series 2016-C30,Cl. AS, 3.175%, 9/15/49 | 2,555,000 | 2,487,266 | ||||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.632%, | ||||||||
11/26/363,4 | 1,885,110 | 1,466,001 | ||||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, | ||||||||
2.772%, 6/26/463,4 | 1,319,536 | 1,320,104 | ||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.905%, | ||||||||
7/26/453,4 | 253,597 | 254,518 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. | ||||||||
2A, 3.226%, 8/25/343 | 567,801 | 568,969 | ||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||
Series 2015-C29,Cl. AS, 4.013%, 6/15/483 | 1,250,000 | 1,304,326 | ||||||
Series 2016-C37,Cl. AS, 4.018%, 12/15/49 | 2,665,000 | 2,792,912 | ||||||
WF-RBS Commercial Mortgage Trust: | ||||||||
Series 2012-C7,Cl. E, 4.834%, 6/15/453,4 | 500,000 | 475,357 | ||||||
Series 2013-C14,Cl. AS, 3.488%, 6/15/46 | 1,045,000 | 1,071,618 | ||||||
Series 2014-C20,Cl. AS, 4.176%, 5/15/47 | 905,000 | 959,444 | ||||||
Series 2014-LC14,Cl. AS, 4.351%, 3/15/473 | 1,000,000 | 1,066,203 | ||||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial | ||||||||
Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 28.106%, | ||||||||
3/15/444,6 | 12,821,816 | 529,282 | ||||||
|
67,098,262
|
| ||||||
Residential4.1% | ||||||||
Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, | ||||||||
1.558%, 6/25/353 | 4,000,000 | 3,840,617 | ||||||
Banc of America Funding Trust: | ||||||||
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37 | 181,139 | 161,702 | ||||||
Series 2007-C,Cl. 1A4, 3.171%, 5/20/363 | 195,553 | 177,756 | ||||||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, | ||||||||
3/25/37 | 570,748 | 520,063 | ||||||
Bear Stearns ARM Trust: | ||||||||
Series 2005-2,Cl. A1, 2.92%, 3/25/353 | 1,740,798 | 1,762,590 | ||||||
Series 2005-9,Cl. A1, 2.83%, 10/25/353 | 1,131,473 | 1,095,504 | ||||||
Series 2006-1,Cl. A1, 2.91%, 2/25/363 | 1,675,217 | 1,671,500 | ||||||
Bear Stearns Asset Backed Securities I Trust: | ||||||||
Series 2004-HE9,Cl. M2, 2.578%, 11/25/343 | 1,933,641 | 1,800,925 | ||||||
Series 2005-HE6,Cl. M2, 1.783%, 6/25/353 | 3,767,660 | 3,623,717 | ||||||
CHL Mortgage Pass-Through Trust: | ||||||||
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35 | 647,970 | 601,044 | ||||||
Series 2006-6,Cl. A3, 6.00%, 4/25/36 | 313,403 | 274,176 | ||||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||||
Series 2004-OPT1,Cl. M3, 1.723%, 10/25/343 | 3,750,000 | 3,453,558 | ||||||
Series 2006-AR1,Cl. 1A1, 3.21%, 10/25/353 | 3,082,205 | 3,077,340 | ||||||
Connecticut Avenue Securities: | ||||||||
Series 2014-C01,Cl. M1, 2.378%, 1/25/243 | 327,839 | 330,758 |
33 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Residential (Continued) | ||||||||
Connecticut Avenue Securities: (Continued) | ||||||||
Series 2014-C02,Cl. 1M1, 1.728%, 5/25/243 | $ | 1,186,631 | $ | 1,190,645 | ||||
Series 2014-C02,Cl. 2M1, 1.728%, 5/25/243 | 521,978 | 522,541 | ||||||
Series 2014-C03,Cl. 1M1, 1.978%, 7/25/243 | 1,695,404 | 1,699,388 | ||||||
Series 2014-C03,Cl. 2M1, 1.978%, 7/25/243 | 657,889 | 659,063 | ||||||
Series 2015-C03,Cl. 2M1, 2.278%, 7/25/253 | 112,237 | 112,524 | ||||||
Series 2016-C03,Cl. 1M1, 2.778%, 10/25/283 | 27,624 | 28,075 | ||||||
Series 2016-C03,Cl. 2M1, 2.978%, 10/25/283 | 430,961 | 436,507 | ||||||
Series 2016-C06,Cl. 1M1, 2.078%, 4/25/293 | 2,172,582 | 2,188,134 | ||||||
Series 2016-C07,Cl. 2M1, 2.078%, 4/25/293 | 1,279,364 | 1,285,349 | ||||||
Series 2017-C01,Cl. 1M2, 4.328%, 7/25/293,4 | 2,450,000 | 2,464,313 | ||||||
Countrywide Alternative Loan Trust: | ||||||||
Series 2005-21CB,Cl. A7, 5.50%, 6/25/35 | 858,947 | 816,214 | ||||||
Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35 | 3,120,102 | 2,802,672 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Cl. M5, | ||||||||
2.683%, 8/25/343 | 772,258 | 741,065 | ||||||
FREMF Mortgage Trust, Series 2013-K25, Cl. C, 3.619%, 11/25/453,4 | 350,000 | 343,324 | ||||||
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, | ||||||||
12/25/373 | 10,497 | 10,336 | ||||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.212%, | ||||||||
7/25/353 | 319,138 | 315,472 | ||||||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 1.088%, 7/25/353 | 421,311 | 417,742 | ||||||
Impac Secured Assets CMN Owner Trust, Series 2004-4, Cl. M4, | ||||||||
2.203%, 2/25/353 | 5,000,000 | 4,379,402 | ||||||
RAMP Trust: | ||||||||
Series 2005-RS2,Cl. M4, 1.498%, 2/25/353 | 4,469,000 | 4,149,566 | ||||||
Series 2005-RS6,Cl. M4, 1.753%, 6/25/353 | 5,700,000 | 5,159,084 | ||||||
Series 2006-EFC1,Cl. M2, 1.178%, 2/25/363 | 5,490,000 | 5,228,259 | ||||||
Structured Agency Credit Risk Debt Nts.: | ||||||||
Series 2013-DN1,Cl. M1, 4.178%, 7/25/233 | 1,212,136 | 1,230,275 | ||||||
Series 2014-DN1,Cl. M1, 1.778%, 2/25/243 | 70,428 | 70,458 | ||||||
Series 2014-HQ2,Cl. M1, 2.228%, 9/25/243 | 235,722 | 236,494 | ||||||
Series 2015-DNA3,Cl. M1, 2.128%, 4/25/283 | 5,474 | 5,477 | ||||||
Series 2015-HQA2,Cl. M2, 3.578%, 5/25/283 | 330,494 | 340,328 | ||||||
Series 2016-DNA2,Cl. M1, 2.028%, 10/25/283 | 1,537,754 | 1,541,460 | ||||||
Series 2016-DNA3,Cl. M1, 1.878%, 12/25/283 | 1,697,412 | 1,701,814 | ||||||
Series 2016-DNA4,Cl. M1, 1.578%, 3/25/293 | 1,162,666 | 1,164,112 | ||||||
Series 2016-DNA4,Cl. M3, 4.578%, 3/25/293 | 1,635,000 | 1,677,681 | ||||||
Series 2016-HQA2,Cl. M1, 1.978%, 11/25/283 | 1,017,789 | 1,020,137 | ||||||
Series 2016-HQA3,Cl. M1, 1.578%, 3/25/293 | 1,454,516 | 1,456,371 | ||||||
Series 2016-HQA3,Cl. M3, 4.628%, 3/25/293 | 2,180,000 | 2,244,116 | ||||||
Series 2016-HQA4,Cl. M1, 1.578%, 4/25/293 | 2,387,502 | 2,389,441 | ||||||
Series 2016-HQA4,Cl. M3, 4.678%, 4/25/293 | 1,965,000 | 2,024,665 | ||||||
Series 2017-DNA1,Cl. M1, 1.979%, 7/25/293 | 1,695,000 | 1,701,153 | ||||||
Series 2017-DNA1,Cl. M2, 4.029%, 7/25/293 | 655,000 | 650,222 | ||||||
Series 2017-HQA1,Cl. M1, 1.97%, 8/25/293 | 1,800,000 | 1,805,871 | ||||||
Series 2017-HQA1,Cl. M2, 4.32%, 8/25/293 | 1,745,000 | 1,744,174 | ||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007- | ||||||||
GEL2, Cl. A2, 1.098%, 5/25/373,4 | 12,854,023 | 12,503,288 |
34 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Residential (Continued) | ||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||
Series 2003-AR10,Cl. A7, 2.831%, 10/25/333 | $ | 525,256 | $ | 537,902 | ||||
Series 2005-AR14,Cl. 1A4, 2.804%, 12/25/353 | 703,858 | 684,333 | ||||||
Series 2005-AR16,Cl. 1A1, 2.871%, 12/25/353 | 754,324 | 713,835 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||
Series 2005-AR10,Cl. 1A1, 3.063%, 6/25/353 | 1,940,402 | 2,023,202 | ||||||
Series 2005-AR13,Cl. 1A5, 3.058%, 5/25/353 | 672,922 | 675,855 | ||||||
Series 2005-AR15,Cl. 1A2, 2.983%, 9/25/353 | 1,326,011 | 1,292,873 | ||||||
Series 2005-AR15,Cl. 1A6, 2.983%, 9/25/353 | 688,572 | 657,969 | ||||||
Series 2005-AR4,Cl. 2A2, 3.273%, 4/25/353 | 3,183,927 | 3,194,527 | ||||||
Series 2006-AR10,Cl. 1A1, 3.089%, 7/25/363 | 417,182 | 403,290 | ||||||
Series 2006-AR10,Cl. 5A5, 3.078%, 7/25/363 | 2,091,820 | 2,068,624 | ||||||
Series 2006-AR14,Cl. 1A2, 3.066%, 10/25/363 | 374,087 | 351,998 | ||||||
Series 2006-AR2,Cl. 2A3, 3.087%, 3/25/363 | 283,247 | 279,239 | ||||||
Series 2006-AR7,Cl. 2A4, 3.094%, 5/25/363 | 142,135 | 136,173 | ||||||
Series 2006-AR8,Cl. 2A1, 3.088%, 4/25/363 | 1,963,394 | 1,981,645 | ||||||
Series 2006-AR8,Cl. 2A4, 3.088%, 4/25/363 | 376,166 | 379,663 | ||||||
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37 | 331,443 | 347,488 | ||||||
Series 2007-AR3,Cl. A4, 5.728%, 4/25/373 | 27,119 | 24,979 | ||||||
Series 2007-AR8,Cl. A1, 3.162%, 11/25/373 | 669,365 | 603,947 | ||||||
109,206,004 | ||||||||
Total Mortgage-Backed Obligations (Cost $361,300,700) |
|
367,929,786
|
| |||||
U.S. Government Obligations0.4% | ||||||||
Federal Home Loan Mortgage Corp. Nts., 1.50%, 1/17/20 | 1,519,000 | 1,515,437 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
1.50%, 2/28/20 | 910,000 | 907,690 | ||||||
1.875%, 9/24/26 | 3,326,000 | 3,098,814 | ||||||
United States Treasury Nts.: | ||||||||
0.75%, 2/28/189 | 202,000 | 201,617 | ||||||
1.50%, 5/31/199,10,11 | 4,530,000 | 4,550,086 | ||||||
Total U.S. Government Obligations (Cost $10,477,245) |
|
10,273,644
|
| |||||
Non-Convertible Corporate Bonds and Notes23.4% | ||||||||
Consumer Discretionary2.5% | ||||||||
Auto Components0.0% | ||||||||
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45 | 763,000 |
|
757,431
|
| ||||
Automobiles0.7% | ||||||||
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., | ||||||||
1/18/31 | 1,137,000 | 1,733,810 | ||||||
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24 | 5,011,000 | 4,987,679 | ||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,101,000 | 1,259,158 | ||||||
General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17 | 2,330,000 | 2,349,810 | ||||||
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45 | 616,000 | 625,535 | ||||||
Hyundai Capital America, 1.75% Sr. Unsec. Nts., 9/27/194 | 2,363,000 | 2,323,479 | ||||||
Nissan Motor Acceptance Corp.: | ||||||||
1.55% Sr. Unsec. Nts., 9/13/194 | 566,000 | 558,019 |
35 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Automobiles (Continued) | ||||||||
Nissan Motor Acceptance Corp.: (Continued) |
||||||||
2.00% Sr. Unsec. Nts., 3/8/194 | $ | 1,666,000 | $ | 1,667,073 | ||||
ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/254 | 2,198,000 | 2,272,182 | ||||||
17,776,745 | ||||||||
Diversified Consumer Services0.1% | ||||||||
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24 |
2,106,000 | 2,238,994 | ||||||
Hotels, Restaurants & Leisure0.1% | ||||||||
Marriott International, Inc.: |
||||||||
3.25% Sr. Unsec. Nts., 9/15/22 |
975,000 | 986,051 | ||||||
6.375% Sr. Unsec. Nts., 6/15/17 | 2,114,000 | 2,144,477 | ||||||
3,130,528 | ||||||||
Household Durables0.4% | ||||||||
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 | 2,283,000 | 2,322,952 | ||||||
Newell Brands, Inc.: |
||||||||
2.15% Sr. Unsec. Nts., 10/15/18 |
1,412,000 | 1,420,649 | ||||||
5.00% Sr. Unsec. Nts., 11/15/23 |
2,306,000 | 2,471,905 | ||||||
5.50% Sr. Unsec. Nts., 4/1/46 | 546,000 | 641,451 | ||||||
PulteGroup, Inc., 5% Sr. Unsec. Nts., 1/15/27 | 1,853,000 | 1,858,096 | ||||||
Toll Brothers Finance Corp.: |
||||||||
4.375% Sr. Unsec. Nts., 4/15/23 |
1,720,000 | 1,752,250 | ||||||
4.875% Sr. Unsec. Nts., 11/15/25 | 362,000 | 368,335 | ||||||
Whirlpool Corp.: |
||||||||
1.35% Sr. Unsec. Nts., 3/1/17 |
521,000 | 521,000 | ||||||
1.65% Sr. Unsec. Nts., 11/1/17 | 510,000 | 510,931 | ||||||
11,867,569 | ||||||||
Internet & Catalog Retail0.0% | ||||||||
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 |
675,000 | 787,666 | ||||||
Leisure Equipment & Products0.1% | ||||||||
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18 |
2,288,000 | 2,288,970 | ||||||
Media0.5% | ||||||||
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/464 | 938,000 | 959,644 | ||||||
Charter Communications Operating LLC/Charter Communications |
||||||||
Operating Capital, 6.484% Sr. Sec. Nts., 10/23/45 | 1,475,000 | 1,720,754 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 1,025,000 | 1,378,049 | ||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 | 560,000 | 723,363 | ||||||
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 | 790,000 | 819,256 | ||||||
Sky plc: |
||||||||
3.75% Sr. Unsec. Nts., 9/16/244 |
1,054,000 | 1,066,915 | ||||||
6.10% Sr. Unsec. Nts., 2/15/184 | 752,000 | 782,525 | ||||||
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17 | 2,350,000 | 2,354,009 | ||||||
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | 1,218,000 | 1,113,054 | ||||||
Time Warner, Inc., 3.875% Sr. Unsec. Nts., 1/15/26 |
100,000 | 100,382 |
36 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Media (Continued) | ||||||||
Viacom, Inc.: |
||||||||
2.25% Sr. Unsec. Nts., 2/4/22 |
$ | 462,000 | $ | 441,953 | ||||
3.45% Sr. Unsec. Nts., 10/4/26 |
559,000 | 536,165 | ||||||
4.375% Sr. Unsec. Nts., 3/15/43 | 706,000 | 622,132 | ||||||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/264 |
1,502,000 | 1,524,530 | ||||||
14,142,731 | ||||||||
Multiline Retail0.1% | ||||||||
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23 |
2,140,000 | 2,273,750 | ||||||
Specialty Retail0.3% | ||||||||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 | 412,000 | 408,995 | ||||||
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 | 1,381,000 | 1,500,230 | ||||||
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22 | 784,000 | 832,020 | ||||||
Lowes Cos., Inc., 3.70% Sr. Unsec. Nts., 4/15/46 | 1,003,000 | 954,776 | ||||||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | 2,085,000 | 2,098,609 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25 | 1,165,000 | 1,191,212 | ||||||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | 1,073,000 | 1,047,993 | ||||||
8,033,835 | ||||||||
Textiles, Apparel & Luxury Goods0.2% | ||||||||
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/264 | 1,572,000 | 1,564,140 | ||||||
Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25 | 1,973,000 | 2,024,791 | ||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | 1,029,000 | 1,047,008 | ||||||
4,635,939 | ||||||||
Consumer Staples1.8% | ||||||||
Beverages0.4% | ||||||||
Anheuser-Busch InBev Finance, Inc.: |
||||||||
1.90% Sr. Unsec. Nts., 2/1/19 |
2,720,000 | 2,729,425 | ||||||
3.65% Sr. Unsec. Nts., 2/1/26 |
439,000 | 446,230 | ||||||
4.90% Sr. Unsec. Nts., 2/1/46 | 545,000 | 601,172 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 1,561,000 | 2,380,592 | ||||||
Beam Suntory, Inc., 1.875% Sr. Unsec. Nts., 5/15/17 | 1,118,000 | 1,119,072 | ||||||
Molson Coors Brewing Co.: |
||||||||
2.10% Sr. Unsec. Nts., 7/15/21 |
2,019,000 | 1,978,426 | ||||||
4.20% Sr. Unsec. Nts., 7/15/46 | 598,000 | 571,466 | ||||||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/224 | 1,715,000 | 1,807,389 | ||||||
11,633,772 | ||||||||
Food & Staples Retailing0.5% | ||||||||
CVS Health Corp., 2.875% Sr. Unsec. Nts., 6/1/26 | 2,260,000 | 2,171,833 | ||||||
Koninklijke Ahold Delhaize NV, 6.50% Sr. Unsec. Nts., 6/15/17 | 1,514,000 | 1,533,712 | ||||||
Kroger Co. (The): |
||||||||
2.00% Sr. Unsec. Nts., 1/15/19 |
156,000 | 156,481 | ||||||
6.40% Sr. Unsec. Nts., 8/15/17 |
2,083,000 | 2,129,330 | ||||||
6.90% Sr. Unsec. Nts., 4/15/38 |
546,000 | 722,287 |
37 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Food & Staples Retailing (Continued) | ||||||||
Walgreens Boots Alliance, Inc.: |
||||||||
1.75% Sr. Unsec. Nts., 5/30/18 |
$ | 1,598,000 | $ | 1,601,356 | ||||
3.10% Sr. Unsec. Nts., 6/1/23 | 2,475,000 | 2,479,126 | ||||||
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44 | 1,206,000 | 1,281,457 | ||||||
12,075,582 | ||||||||
Food Products0.7% | ||||||||
Bunge Ltd. Finance Corp.: |
||||||||
3.20% Sr. Unsec. Nts., 6/15/17 |
1,055,000 | 1,060,681 | ||||||
3.25% Sr. Unsec. Nts., 8/15/26 |
1,427,000 | 1,382,579 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 | 1,820,000 | 2,075,892 | ||||||
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17 | 2,370,000 | 2,372,247 | ||||||
JM Smucker Co. (The), 1.75% Sr. Unsec. Nts., 3/15/18 | 1,804,000 | 1,808,876 | ||||||
Kraft Heinz Foods Co.: |
||||||||
2.80% Sr. Unsec. Nts., 7/2/20 |
2,100,000 | 2,123,751 | ||||||
4.375% Sr. Unsec. Nts., 6/1/46 | 1,453,000 | 1,379,340 | ||||||
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/264 | 1,203,000 | 1,224,654 | ||||||
Mondelez International Holdings Netherlands BV, 1.625% Sr. Unsec. Nts., 10/28/194 | 2,329,000 | 2,297,340 | ||||||
Smithfield Foods, Inc., 2.70% Sr. Unsec. Nts., 1/31/204 | 2,326,000 | 2,339,351 | ||||||
TreeHouse Foods, Inc., 6% Sr. Unsec. Nts., 2/15/244 | 1,110,000 | 1,173,825 | ||||||
19,238,536 | ||||||||
Tobacco0.2% | ||||||||
Altria Group, Inc., 3.875% Sr. Unsec. Nts., 9/16/46 | 1,424,000 | 1,349,581 | ||||||
Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/184 | 2,365,000 | 2,368,500 | ||||||
Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45 | 777,000 | 927,573 | ||||||
4,645,654 | ||||||||
Energy2.1% | ||||||||
Energy Equipment & Services0.3% | ||||||||
Halliburton Co., 5% Sr. Unsec. Nts., 11/15/45 | 615,000 | 670,611 | ||||||
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 | 921,000 | 966,664 | ||||||
Schlumberger Holdings Corp.: |
||||||||
1.90% Sr. Unsec. Nts., 12/21/174 |
2,205,000 | 2,214,684 | ||||||
4.00% Sr. Unsec. Nts., 12/21/254 | 1,276,000 | 1,344,952 | ||||||
Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/174 | 2,330,000 | 2,330,685 | ||||||
7,527,596 | ||||||||
Oil, Gas & Consumable Fuels1.8% | ||||||||
Anadarko Petroleum Corp.: |
||||||||
4.50% Sr. Unsec. Nts., 7/15/44 |
431,000 | 418,097 | ||||||
6.20% Sr. Unsec. Nts., 3/15/40 | 423,000 | 494,889 | ||||||
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43 | 722,000 | 746,218 | ||||||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 1,166,000 | 1,230,779 | ||||||
BP Capital Markets plc, 1.676% Sr. Unsec. Nts., 5/3/19 | 2,326,000 | 2,316,736 | ||||||
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26 |
557,000 | 554,252 |
38 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels (Continued) | ||||||||
Chevron Corp.: |
||||||||
1.561% Sr. Unsec. Nts., 5/16/19 |
$ | 2,300,000 | $ | 2,295,736 | ||||
2.895% Sr. Unsec. Nts., 3/3/24 | 348,000 | 348,000 | ||||||
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17 | 2,056,000 | 2,056,442 | ||||||
Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/25 | 1,109,000 | 1,179,052 | ||||||
ConocoPhillips Co.: |
||||||||
4.95% Sr. Unsec. Nts., 3/15/26 |
280,000 | 310,699 | ||||||
5.95% Sr. Unsec. Nts., 3/15/46 | 595,000 | 736,805 | ||||||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | 691,000 | 683,246 | ||||||
Energy Transfer Partners LP, 5.30% Sr. Unsec. Nts., 4/15/47 | 638,000 | 640,290 | ||||||
EnLink Midstream Partners LP, 4.85% Sr. Unsec. Nts., 7/15/26 | 566,000 | 595,192 | ||||||
Enterprise Products Operating LLC: |
||||||||
4.85% Sr. Unsec. Nts., 8/15/42 |
697,000 | 723,819 | ||||||
4.90% Sr. Unsec. Nts., 5/15/46 | 246,000 | 258,279 | ||||||
EQT Midstream Partners LP, 4.125% Sr. Unsec. Nts., 12/1/26 | 1,301,000 | 1,300,359 | ||||||
Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45 | 1,824,000 | 1,929,498 | ||||||
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/204 | 15,300,000 | 16,742,025 | ||||||
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 | 621,000 | 648,812 | ||||||
ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25 | 1,020,000 | 1,093,807 | ||||||
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25 | 1,977,000 | 1,959,361 | ||||||
Sabine Pass Liquefaction LLC, 4.20%, 3/15/284,5 | 1,157,000 | 1,155,878 | ||||||
Shell International Finance BV: |
||||||||
1.375% Sr. Unsec. Nts., 5/10/19 |
1,722,000 | 1,708,825 | ||||||
4.00% Sr. Unsec. Nts., 5/10/46 | 840,000 | 821,956 | ||||||
Tesoro Corp., 5.125% Sr. Unsec. Nts., 12/15/264 | 2,286,000 | 2,426,018 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.25% Sr. Unsec. Nts., 1/15/25 | 1,660,000 | 1,755,450 | ||||||
TransCanada PipeLines Ltd., 1.625% Sr. Unsec. Nts., 11/9/17 | 2,119,000 | 2,120,481 | ||||||
49,251,001 | ||||||||
Financials10.1% | ||||||||
Capital Markets2.0% | ||||||||
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/244 | 1,741,000 | 1,757,774 | ||||||
Bank of New York Mellon Corp. (The), 3% Sub. Nts., 10/30/28 | 966,000 | 926,058 | ||||||
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25 | 2,243,000 | 2,252,432 | ||||||
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 | 1,325,000 | 1,347,279 | ||||||
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 | 860,000 | 891,493 | ||||||
E*TRADE Financial Corp., 5.875% Jr. Sub. Perpetual Bonds3,12 | 2,370,000 | 2,446,646 | ||||||
Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds3,12 | 296,000 | 243,830 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
3.50% Sr. Unsec. Nts., 11/16/26 |
1,367,000 | 1,345,259 | ||||||
3.75% Sr. Unsec. Nts., 2/25/26 |
1,323,000 | 1,341,263 | ||||||
3.85% Sr. Unsec. Nts., 1/26/27 |
2,776,000 | 2,809,792 | ||||||
5.70% Jr. Sub. Perpetual Bonds, Series L3,12 | 26,600,000 | 27,431,250 | ||||||
Morgan Stanley: |
||||||||
4.375% Sr. Unsec. Nts., 1/22/47 |
1,882,000 | 1,913,983 | ||||||
5.00% Sub. Nts., 11/24/25 | 2,079,000 | 2,245,881 | ||||||
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/264 |
2,277,000 | 2,295,216 |
39 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Capital Markets (Continued) | ||||||||
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26 | $ | 1,318,000 | $ | 1,301,174 | ||||
S&P Global, Inc., 2.50% Sr. Unsec. Nts., 8/15/18 | 1,529,000 | 1,542,457 | ||||||
UBS Group Funding Jersey Ltd., 4.125% Sr. Unsec. Nts., 4/15/264 | 1,375,000 | 1,401,031 | ||||||
53,492,818 | ||||||||
Commercial Banks5.9% | ||||||||
Bank of America Corp.: |
||||||||
3.248% Sr. Unsec. Nts., 10/21/27 |
1,930,000 | 1,855,064 | ||||||
3.824% Sr. Unsec. Nts., 1/20/283 |
1,401,000 | 1,413,629 | ||||||
7.75% Jr. Sub. Nts., 5/14/38 |
1,557,000 | 2,183,755 | ||||||
8.00% Jr. Sub. Perpetual Bonds, Series K3,12 | 26,470,000 | 27,429,538 | ||||||
BB&T Corp., 2.05% Sr. Unsec. Nts., 5/10/21 | 2,350,000 | 2,322,622 | ||||||
Citigroup, Inc.: |
||||||||
4.75% Sub. Nts., 5/18/46 |
1,093,000 | 1,103,649 | ||||||
5.875% Jr. Sub. Perpetual Bonds3,12 | 27,251,000 | 28,170,721 | ||||||
Citizens Bank NA (Providence RI), 2.55% Sr. Unsec. Nts., 5/13/21 | 1,837,000 | 1,834,088 | ||||||
Credit Agricole SA (London), 4.125% Sr. Unsec. Nts., 1/10/274 | 2,419,000 | 2,398,025 | ||||||
Danske Bank AS, 2.80% Sr. Unsec. Nts., 3/10/214 | 1,359,000 | 1,371,772 | ||||||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 1,368,000 | 1,390,253 | ||||||
First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 983,000 | 955,001 | ||||||
FirstMerit Bank NA (Akron OH), 4.27% Sub. Nts., 11/25/26 | 2,179,000 | 2,220,673 | ||||||
Glencore Funding LLC, 4% Sr. Unsec. Nts., 4/16/254 | 1,348,000 | 1,362,705 | ||||||
Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21 | 1,470,000 | 1,497,821 | ||||||
ING Bank NV, 2.75% Sr. Unsec. Nts., 3/22/214 | 1,821,000 | 1,831,003 | ||||||
JPMorgan Chase & Co.: |
||||||||
3.782% Sr. Unsec. Nts., 2/1/283 |
4,036,000 | 4,105,754 | ||||||
4.26% Sr. Unsec. Nts., 2/22/483 |
939,000 | 953,332 | ||||||
7.90% Jr. Sub. Perpetual Bonds, Series 13,12 | 25,750,000 | 26,812,188 | ||||||
KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26 | 1,979,000 | 1,942,988 | ||||||
Lloyds Banking Group plc: |
||||||||
3.75% Sr. Unsec. Nts., 1/11/27 |
2,615,000 | 2,599,341 | ||||||
6.413% Jr. Sub. Perpetual Bonds3,4,12 |
125,000 | 135,625 | ||||||
6.657% Jr. Sub. Perpetual Bonds3,4,12 | 1,913,000 | 2,086,174 | ||||||
PNC Bank NA: |
||||||||
2.55% Sr. Unsec. Nts., 12/9/21 |
996,000 | 997,345 | ||||||
2.625% Sr. Unsec. Nts., 2/17/22 | 479,000 | 480,961 | ||||||
Regions Bank (Birmingham AL), 2.25% Sr. Unsec. Nts., 9/14/18 | 1,896,000 | 1,904,519 | ||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds3,12 | 2,314,000 | 2,215,655 | ||||||
Standard Chartered plc, 2.549% Jr. Sub. Perpetual Bonds3,4,12 | 2,600,000 | 2,099,500 | ||||||
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26 | 991,000 | 968,338 | ||||||
Swedbank AB, 2.65% Sr. Unsec. Nts., 3/10/214 | 1,440,000 | 1,450,331 | ||||||
US Bancorp, 3.10% Sub. Nts., 4/27/26 | 1,392,000 | 1,372,593 | ||||||
Wells Fargo & Co.: |
||||||||
4.75% Sub. Nts., 12/7/46 |
1,396,000 | 1,458,968 | ||||||
7.98% Jr. Sub. Perpetual Bonds, Series K3,12 |
24,815,000 | 26,148,806 | ||||||
5.90% Jr. Sub. Perpetual Bonds, Series S3,12 | 1,844,000 | 1,952,335 | ||||||
159,025,072 |
40 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Consumer Finance0.5% | ||||||||
Ally Financial, Inc., 4.25% Sr. Unsec. Nts., 4/15/21 | $ | 2,235,000 | $ | 2,310,431 | ||||
American Express Credit Corp., 2.70% Sr. Unsec. Nts., 3/3/22 | 3,759,000 | 3,750,617 | ||||||
Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25 | 1,829,000 | 1,800,976 | ||||||
Discover Financial Services: |
||||||||
3.75% Sr. Unsec. Nts., 3/4/25 |
1,201,000 | 1,190,434 | ||||||
3.95% Sr. Unsec. Nts., 11/6/24 |
1,635,000 | 1,647,340 | ||||||
4.10% Sr. Unsec. Nts., 2/9/27 | 932,000 | 940,659 | ||||||
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/194 | 1,399,000 | 1,515,376 | ||||||
Synchrony Financial, 4.50% Sr. Unsec. Nts., 7/23/25 | 620,000 | 652,026 | ||||||
13,807,859 | ||||||||
Diversified Financial Services0.2% | ||||||||
Berkshire Hathaway Energy Co., 2% Sr. Unsec. Nts., 11/15/18 | 690,000 | 692,289 | ||||||
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/254 | 1,191,000 | 1,190,211 | ||||||
Suntory Holdings Ltd., 1.65% Sr. Unsec. Nts., 9/29/174 | 1,199,000 | 1,200,011 | ||||||
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/533 | 2,235,000 | 2,290,875 | ||||||
5,373,386 | ||||||||
Insurance1.1% | ||||||||
Arch Capital Finance LLC, 4.011% Sr. Unsec. Nts., 12/15/26 | 1,393,000 | 1,438,413 | ||||||
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | 1,451,000 | 1,468,618 | ||||||
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/234 | 1,733,000 | 1,845,472 | ||||||
Manulife Financial Corp., 4.061% Sub. Nts., 2/24/323 | 1,402,000 | 1,410,768 | ||||||
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 1,009,000 | 1,035,277 | ||||||
MetLife, Inc.: |
||||||||
5.25% Jr. Sub. Perpetual Bonds3,12 |
1,672,000 | 1,735,536 | ||||||
10.75% Jr. Sub. Nts., 8/1/39 | 10,900,000 | 16,976,750 | ||||||
Prudential Financial, Inc., 5.375% Jr. Sub. Nts., 5/15/453 | 576,000 | 603,360 | ||||||
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/244 | 2,153,000 | 2,221,440 | ||||||
28,735,634 | ||||||||
Real Estate Investment Trusts (REITs)0.4% | ||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
922,000 | 991,547 | ||||||
5.90% Sr. Unsec. Nts., 11/1/21 | 1,053,000 | 1,181,808 | ||||||
Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18 | 2,182,000 | 2,245,284 | ||||||
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17 | 1,222,000 | 1,230,278 | ||||||
Highwoods Realty LP, 5.85% Sr. Unsec. Nts., 3/15/17 | 962,000 | 963,428 | ||||||
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17 | 800,000 | 799,980 | ||||||
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/174 | 1,997,000 | 1,999,243 | ||||||
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18 | 475,000 | 477,340 | ||||||
9,888,908 | ||||||||
Health Care1.2% | ||||||||
Biotechnology0.3% | ||||||||
AbbVie, Inc.: |
||||||||
3.60% Sr. Unsec. Nts., 5/14/25 |
1,077,000 | 1,074,258 |
41 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Biotechnology (Continued) | ||||||||
AbbVie, Inc.: (Continued) |
||||||||
4.70% Sr. Unsec. Nts., 5/14/45 | $ | 368,000 | $ | 371,563 | ||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 640,000 | 701,039 | ||||||
Celgene Corp.: |
||||||||
3.875% Sr. Unsec. Nts., 8/15/25 |
1,043,000 | 1,068,207 | ||||||
5.00% Sr. Unsec. Nts., 8/15/45 | 257,000 | 273,942 | ||||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 | 1,042,000 | 1,088,926 | ||||||
Shire Acquisitions Investments Ireland DAC: |
||||||||
1.90% Sr. Unsec. Nts., 9/23/19 |
2,332,000 | 2,314,538 | ||||||
3.20% Sr. Unsec. Nts., 9/23/26 | 1,791,000 | 1,710,790 | ||||||
8,603,263 | ||||||||
Health Care Equipment & Supplies0.2% | ||||||||
Abbott Laboratories: |
||||||||
2.35% Sr. Unsec. Nts., 11/22/19 |
2,307,000 | 2,320,556 | ||||||
4.90% Sr. Unsec. Nts., 11/30/46 | 948,000 | 988,990 | ||||||
Baxter International, Inc., 2.60% Sr. Unsec. Nts., 8/15/26 | 1,107,000 | 1,040,753 | ||||||
Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25 | 1,756,000 | 1,793,833 | ||||||
6,144,132 | ||||||||
Health Care Providers & Services0.3% | ||||||||
Aetna, Inc., 3.20% Sr. Unsec. Nts., 6/15/26 | 1,769,000 | 1,787,663 | ||||||
Express Scripts Holding Co., 4.50% Sr. Unsec. Nts., 2/25/26 | 1,545,000 | 1,607,614 | ||||||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/224 | 897,000 | 983,345 | ||||||
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25 | 1,386,000 | 1,366,013 | ||||||
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44 | 880,000 | 911,685 | ||||||
6,656,320 | ||||||||
Life Sciences Tools & Services0.2% | ||||||||
Quintiles IMS, Inc., 5% Sr. Unsec. Nts., 10/15/264 | 866,000 | 881,155 | ||||||
Thermo Fisher Scientific, Inc.: |
||||||||
3.00% Sr. Unsec. Nts., 4/15/23 |
957,000 | 946,832 | ||||||
4.15% Sr. Unsec. Nts., 2/1/24 |
848,000 | 896,444 | ||||||
5.30% Sr. Unsec. Nts., 2/1/44 | 704,000 | 801,766 | ||||||
3,526,197 | ||||||||
Pharmaceuticals0.2% | ||||||||
Actavis Funding SCS: |
||||||||
1.30% Sr. Unsec. Nts., 6/15/17 |
1,250,000 | 1,250,009 | ||||||
2.35% Sr. Unsec. Nts., 3/12/18 |
717,000 | 722,278 | ||||||
3.80% Sr. Unsec. Nts., 3/15/25 |
1,420,000 | 1,437,098 | ||||||
4.75% Sr. Unsec. Nts., 3/15/45 | 631,000 | 644,312 | ||||||
Johnson & Johnson, 3.625% Sr. Unsec. Nts., 3/3/37 | 468,000 | 466,811 | ||||||
Teva Pharmaceutical Finance Netherlands III BV, 1.70% Sr. Unsec. Nts., 7/19/19 | 2,132,000 | 2,105,137 | ||||||
6,625,645 |
42 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Industrials1.4% | ||||||||
Aerospace & Defense0.3% | ||||||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/254 | $ | 1,739,000 | $ | 1,798,500 | ||||
Hexcel Corp., 3.95% Sr. Unsec. Nts., 2/15/27 | 862,000 | 869,300 | ||||||
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 12/15/26 | 597,000 | 608,153 | ||||||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | 1,275,000 | 1,412,662 | ||||||
Textron, Inc.: |
||||||||
3.65% Sr. Unsec. Nts., 3/15/275 |
577,000 | 577,361 | ||||||
3.875% Sr. Unsec. Nts., 3/1/25 |
628,000 | 640,604 | ||||||
4.30% Sr. Unsec. Nts., 3/1/24 | 1,164,000 | 1,216,029 | ||||||
United Technologies Corp., 1.778% Jr. Sub. Nts., 5/4/183 | 403,000 | 403,646 | ||||||
7,526,255 | ||||||||
Air Freight & Couriers0.0% | ||||||||
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47 |
439,000 | 441,243 | ||||||
Building Products0.1% | ||||||||
Johnson Controls International plc: |
||||||||
1.40% Sr. Unsec. Nts., 11/2/17 |
409,000 | 408,267 | ||||||
4.50% Sr. Unsec. Nts., 2/15/47 | 573,000 | 593,305 | ||||||
Owens Corning, 3.40% Sr. Unsec. Nts., 8/15/26 | 1,596,000 | 1,549,949 | ||||||
2,551,521 | ||||||||
Commercial Services & Supplies0.2% | ||||||||
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24 | 1,794,000 | 1,771,098 | ||||||
Republic Services, Inc.: |
||||||||
2.90% Sr. Unsec. Nts., 7/1/26 |
1,137,000 | 1,101,385 | ||||||
3.80% Sr. Unsec. Nts., 5/15/18 | 1,980,000 | 2,028,662 | ||||||
Waste Management, Inc., 4.10% Sr. Unsec. Nts., 3/1/45 | 557,000 | 569,058 | ||||||
5,470,203 | ||||||||
Electrical Equipment0.1% | ||||||||
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/234 |
2,260,000 | 2,316,500 | ||||||
Industrial Conglomerates0.1% | ||||||||
Roper Technologies, Inc.: |
||||||||
3.80% Sr. Unsec. Nts., 12/15/26 |
294,000 | 297,736 | ||||||
3.85% Sr. Unsec. Nts., 12/15/25 | 1,150,000 | 1,176,297 | ||||||
1,474,033 | ||||||||
Machinery0.2% | ||||||||
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/194 | 2,365,000 | 2,357,962 | ||||||
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 | 2,041,000 | 2,064,665 | ||||||
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/264 | 929,000 | 906,950 | ||||||
5,329,577 | ||||||||
Professional Services0.1% | ||||||||
Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/174 |
1,948,000 | 1,952,997 |
43 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Road & Rail0.2% | ||||||||
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35 | $ | 444,000 | $ | 489,101 | ||||
ERAC USA Finance LLC, 6.375% Sr. Unsec. Nts., 10/15/174 | 1,873,000 | 1,926,418 | ||||||
Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46 | 734,000 | 809,733 | ||||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: |
||||||||
3.40% Sr. Unsec. Nts., 11/15/264 |
1,938,000 | 1,884,052 | ||||||
3.75% Sr. Unsec. Nts., 5/11/174 | 1,300,000 | 1,306,061 | ||||||
6,415,365 | ||||||||
Trading Companies & Distributors0.1% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.95% Sr. Unsec. Nts., 2/1/22 | 2,315,000 | 2,398,595 | ||||||
Air Lease Corp., 3% Sr. Unsec. Nts., 9/15/23 | 983,000 | 968,475 | ||||||
3,367,070 | ||||||||
Information Technology1.1% | ||||||||
Electronic Equipment, Instruments, & Components0.1% | ||||||||
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24 | 368,000 | 388,240 | ||||||
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 | 1,795,000 | 1,816,617 | ||||||
2,204,857 | ||||||||
Internet Software & Services0.0% | ||||||||
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25 |
670,000 | 700,988 | ||||||
IT Services0.2% | ||||||||
Broadridge Financial Solutions, Inc., 3.40% Sr. Unsec. Nts., 6/27/26 | 1,138,000 | 1,116,582 | ||||||
Fidelity National Information Services, Inc.: |
||||||||
1.45% Sr. Unsec. Nts., 6/5/17 |
1,804,000 | 1,804,662 | ||||||
2.85% Sr. Unsec. Nts., 10/15/18 | 550,000 | 558,941 | ||||||
Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18 | 2,036,000 | 2,047,033 | ||||||
5,527,218 | ||||||||
Semiconductors & Semiconductor Equipment0.2% | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd.: |
||||||||
2.375% Sr. Unsec. Nts., 1/15/204 |
2,329,000 | 2,331,722 | ||||||
3.875% Sr. Unsec. Nts., 1/15/274 | 1,740,000 | 1,755,683 | ||||||
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45 | 621,000 | 709,493 | ||||||
4,796,898 | ||||||||
Software0.4% | ||||||||
Activision Blizzard, Inc., 2.30% Sr. Unsec. Nts., 9/15/214 | 2,198,000 | 2,158,126 | ||||||
Autodesk, Inc.: |
||||||||
1.95% Sr. Unsec. Nts., 12/15/17 |
1,832,000 | 1,835,691 | ||||||
4.375% Sr. Unsec. Nts., 6/15/25 | 705,000 | 729,037 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: |
||||||||
3.48% Sr. Sec. Nts., 6/1/194 |
2,296,000 | 2,348,372 | ||||||
6.02% Sr. Sec. Nts., 6/15/264 | 1,409,000 | 1,556,390 | ||||||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/234 |
1,538,000 | 1,620,668 |
44 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Software (Continued) | ||||||||
Oracle Corp., 2.40% Sr. Unsec. Nts., 9/15/23 | $ | 1,390,000 | $ | 1,360,158 | ||||
11,608,442 | ||||||||
Technology Hardware, Storage & Peripherals0.2% | ||||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 | 1,287,000 | 1,343,566 | ||||||
Hewlett Packard Enterprise Co.: |
||||||||
2.45% Sr. Unsec. Nts., 10/5/17 |
1,578,000 | 1,585,245 | ||||||
6.35% Sr. Unsec. Nts., 10/15/45 | 984,000 | 1,031,421 | ||||||
Xerox Corp., 2.95% Sr. Unsec. Nts., 3/15/17 | 798,000 | 798,523 | ||||||
4,758,755 | ||||||||
Materials1.0% | ||||||||
Chemicals0.5% | ||||||||
Agrium, Inc.: |
||||||||
3.375% Sr. Unsec. Nts., 3/15/25 |
931,000 | 918,281 | ||||||
4.125% Sr. Unsec. Nts., 3/15/35 | 465,000 | 443,908 | ||||||
CF Industries, Inc., 4.50% Sr. Sec. Nts., 12/1/264 | 1,066,000 | 1,094,062 | ||||||
Eastman Chemical Co., 4.65% Sr. Unsec. Nts., 10/15/44 | 565,000 | 581,236 | ||||||
Ecolab, Inc.: |
||||||||
2.00% Sr. Unsec. Nts., 1/14/19 |
2,243,000 | 2,263,369 | ||||||
3.70% Sr. Unsec. Nts., 11/1/46 | 371,000 | 344,821 | ||||||
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 | 2,242,000 | 2,320,470 | ||||||
RPM International, Inc.: |
||||||||
3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
1,882,000 | 1,898,569 | ||||||
3.75% Sr. Unsec. Nts., 3/15/27 | 581,000 | 582,610 | ||||||
Valspar Corp. (The): |
||||||||
3.30% Sr. Unsec. Nts., 2/1/25 |
638,000 | 620,460 | ||||||
3.95% Sr. Unsec. Nts., 1/15/26 | 1,122,000 | 1,131,345 | ||||||
Yara International ASA, 3.80% Sr. Unsec. Nts., 6/6/264 | 1,405,000 | 1,385,988 | ||||||
13,585,119 | ||||||||
Construction Materials0.1% | ||||||||
CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/454 | 1,625,000 | 1,814,438 | ||||||
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/234 | 1,077,000 | 1,122,772 | ||||||
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/264 | 558,000 | 549,792 | ||||||
3,487,002 | ||||||||
Containers & Packaging0.2% | ||||||||
Ball Corp., 5.25% Sr. Unsec. Nts., 7/1/25 | 98,000 | 104,370 | ||||||
International Paper Co.: |
||||||||
3.00% Sr. Unsec. Nts., 2/15/27 |
1,088,000 | 1,031,829 | ||||||
4.80% Sr. Unsec. Nts., 6/15/44 | 914,000 | 944,845 | ||||||
Packaging Corp. of America: |
||||||||
3.65% Sr. Unsec. Nts., 9/15/24 |
525,000 | 532,753 | ||||||
4.50% Sr. Unsec. Nts., 11/1/23 | 1,673,000 | 1,775,523 | ||||||
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/254 | 1,855,000 | 1,871,231 | ||||||
6,260,551 |
45 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Metals & Mining0.1% | ||||||||
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 | $ | 622,000 | $ | 677,838 | ||||
Rio Tinto Finance USA Ltd., 3.75% Sr. Unsec. Nts., 6/15/25 |
926,000 | 968,203 | ||||||
1,646,041 | ||||||||
Paper & Forest Products0.1% | ||||||||
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 |
1,231,000 | 1,243,310 | ||||||
Telecommunication Services0.7% | ||||||||
Diversified Telecommunication Services0.7% | ||||||||
AT&T, Inc.: |
||||||||
2.80% Sr. Unsec. Nts., 2/17/21 |
2,410,000 | 2,417,886 | ||||||
4.35% Sr. Unsec. Nts., 6/15/45 | 1,843,000 | 1,633,845 | ||||||
British Telecommunications plc, 9.375% Sr. Unsec. Nts., 12/15/30 | 1,900,000 | 2,850,040 | ||||||
Deutsche Telekom International Finance BV: |
||||||||
2.25% Sr. Unsec. Nts., 3/6/174 |
2,275,000 | 2,275,218 | ||||||
3.60% Sr. Unsec. Nts., 1/19/274 | 1,124,000 | 1,124,189 | ||||||
Telefonica Emisiones SAU: |
||||||||
3.192% Sr. Unsec. Nts., 4/27/18 |
2,278,000 | 2,310,122 | ||||||
7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 799,000 | 963,369 | ||||||
Verizon Communications, Inc.: |
||||||||
1.75% Sr. Unsec. Nts., 8/15/21 |
1,615,000 | 1,549,211 | ||||||
4.125% Sr. Unsec. Nts., 8/15/46 |
952,000 | 836,276 | ||||||
4.50% Sr. Unsec. Nts., 9/15/20 |
2,710,000 | 2,892,706 | ||||||
4.522% Sr. Unsec. Nts., 9/15/48 | 1,193,000 | 1,096,826 | ||||||
19,949,688 | ||||||||
Utilities1.5% | ||||||||
Electric Utilities0.8% | ||||||||
AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/254 | 1,159,000 | 1,205,582 | ||||||
Cleco Corporate Holdings LLC, 3.743% Sr. Sec. Nts., 5/1/264 | 1,144,000 | 1,136,716 | ||||||
Duke Energy Corp., 3.75% Sr. Unsec. Nts., 9/1/46 | 1,086,000 | 1,004,652 | ||||||
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23 | 1,392,000 | 1,399,119 | ||||||
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19 | 75,000 | 74,919 | ||||||
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/174 | 2,101,000 | 2,153,273 | ||||||
Exelon Corp., 4.45% Sr. Unsec. Nts., 4/15/46 | 575,000 | 577,145 | ||||||
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46 | 465,000 | 499,733 | ||||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 | 588,000 | 663,127 | ||||||
NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17 | 2,351,000 | 2,353,067 | ||||||
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 | 368,000 | 394,519 | ||||||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/214 | 2,970,000 | 3,228,485 | ||||||
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18 | 1,953,000 | 2,096,497 | ||||||
Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19 | 2,039,000 | 2,029,975 | ||||||
TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17 | 2,102,000 | 2,169,403 | ||||||
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/254 | 1,394,000 | 1,437,031 | ||||||
22,423,243 |
46 OPPENHEIMER CAPITAL INCOME FUND |
Principal Amount | Value | |||||||
Independent Power and Renewable Electricity Producers0.5% | ||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 12.25% Sec. Nts., 3/1/224,13
|
$
|
9,517,147
|
|
$
|
13,276,420
|
| ||
Multi-Utilities0.2% | ||||||||
Dominion Resources, Inc.: |
||||||||
1.875% Sr. Unsec. Nts., 1/15/19 |
1,052,000 | 1,045,838 | ||||||
4.90% Sr. Unsec. Nts., 8/1/41 | 920,000 | 988,661 | ||||||
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44 | 1,031,000 | 1,114,394 | ||||||
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19 | 2,108,000 | 2,085,571 | ||||||
5,234,464 | ||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $610,186,471) |
|
627,733,293
|
| |||||
Convertible Corporate Bond and Note0.8% | ||||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40 (Cost $20,973,802)2
|
|
20,500,000
|
|
|
21,422,500
|
| ||
Corporate Loans1.9% | ||||||||
Ardagh Holdings USA, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.009%, 12/17/213 | 26,250,140 | 26,447,016 | ||||||
Delos Finance Sarl, Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.248%, 10/6/233 | 17,000,000 | 17,170,000 | ||||||
Neiman Marcus Group Ltd. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.25%, 10/25/203 | 3,284,604 | 2,658,887 | ||||||
TransDigm, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche F, 3.781%, 6/9/233 | 5,984,962 | 6,026,857 | ||||||
Total Corporate Loans (Cost $52,639,552) |
52,302,760 |
Counter- | Exercise | Expiration | ||||||||||||||||||||||||||||||
party | Price | Date | Contracts | |||||||||||||||||||||||||||||
Over-the-Counter Option Purchased0.0% | ||||||||||||||||||||||||||||||||
CNH Currency Put1 (Cost $2,350,110) | CITNA-B | CNH7.300 | 11/29/17 | CNH | 758,100,000 | 1,062,098 | ||||||||||||||||||||||||||
Pay/Receive | ||||||||||||||||||||||||||||||||
Counter- | Floating | Floating | Fixed | Notional Amount | ||||||||||||||||||||||||||||
party | Rate | Rate | Rate | (000s) | ||||||||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased0.1% | ||||||||||||||||||||||||||||||||
Interest Rate Swap maturing 1/28/30 Call1 |
GSCOI | Receive | |
Three- Month USD BBA LIBOR |
|
2.974% | 1/24/20 | USD | 60,450 | 2,343,378 | ||||||||||||||||||||||
Interest Rate Swap maturing 11/21/28 Call1 |
GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
0.850 | 11/19/18 | JPY | 512,000 | 27,694 |
47 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Pay/Receive | ||||||||||||||||||||||||||||||||
Counter- | Floating | Floating | Fixed | Expiration | Notional Amount |
|||||||||||||||||||||||||||
party | Rate | Rate | Rate | Date | (000s) | Value | ||||||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||||||
Interest Rate Swap maturing 11/22/27 Call1 |
GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
1.070% | 11/20/17 | JPY | 8,437,000 | $ | 63,511 | |||||||||||||||||||||
Interest Rate Swap maturing 7/25/28 Call1 |
GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
1.050 | 7/23/18 | JPY | 2,000,000 | 69,441 | ||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $4,937,969) |
|
2,504,024 |
Shares | ||||||||
Investment Companies14.7% | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 0.50%14,15 | 38,425,176 | 38,425,176 | ||||||
Oppenheimer Master Loan Fund, LLC14 | 15,497,138 | 253,547,381 | ||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y14 | 15,770,845 | 79,011,932 | ||||||
SPDR Gold Trust Exchange Traded Fund1,16 | 201,900 | 24,072,537 | ||||||
Total Investment Companies (Cost $396,415,094) |
|
395,057,026
|
| |||||
Total Investments, at Value (Cost $2,712,496,144) | 105.7% | 2,837,711,211 | ||||||
Net Other Assets (Liabilities) | (5.7) | (153,540,414 | ) | |||||
Net Assets | 100.0% | $ | 2,684,170,797 | |||||
Footnotes to Consolidated Statement of Investments
1. Non-income producing security.
2. Restricted security. The aggregate value of restricted securities at period end was $57,788,196, which represents 2.15% of the Funds net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
Unrealized | ||||||||||||||||
Acquisition | Appreciation/ | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Airspeed Ltd., Series 2007-1A, Cl. G1, 1.04%, 6/15/32 | 9/16/10 3/31/15 | $ | 13,921,696 | $ | 12,676,755 | $ | (1,244,941) | |||||||||
Airspeed Ltd., Series 2007-1A, Cl. G2, 1.05%, 6/15/32 | 4/8/11 | 6,982,192 | 6,409,491 | (572,701) | ||||||||||||
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 1.77%, 9/15/41 | 5/15/13 | 1,104,197 | 618,338 | (485,859) | ||||||||||||
Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 1.07%, 9/15/41 | 4/19/13 5/29/13 | 14,846,833 | 12,287,171 | (2,559,662) | ||||||||||||
Clearwire Communications | ||||||||||||||||
LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40 | 9/23/13 10/30/15 | 20,973,802 | 21,422,500 | 448,698 | ||||||||||||
Raspro Trust, Series 2005-1A, Cl. G, 1.397%, 3/23/24 | 6/11/13 7/7/15 | 4,519,510 | 4,373,941 | (145,569) | ||||||||||||
|
|
|||||||||||||||
$ | 62,348,230 | $ | 57,788,196 | $ | (4,560,034) | |||||||||||
|
|
3. Represents the current interest rate for a variable or increasing rate security.
48 OPPENHEIMER CAPITAL INCOME FUND |
Footnotes to Consolidated Statement of Investments (continued)
4. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $246,412,678 or 9.18% of the Funds net assets at period end.
5. 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.
6. 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 $6,388,200 or 0.24% of the Funds net assets at period end.
7. Interest rate is less than 0.0005%.
8. 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 $105,194 or less than 0.005% of the Funds net assets at period end.
9. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.
10. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,350,964. See Note 6 of the accompanying Consolidated Notes.
11. 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 $1,662,338. See Note 6 of the accompanying Consolidated Notes.
12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
13. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Consolidated Notes.
14. 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, 2016 |
Gross Additions |
Gross Reductions |
Shares February 28, 2017 |
|||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. Ea | 103,649,970 | 341,056,383 | 406,281,177 | 38,425,176 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 15,497,138 | | | 15,497,138 | ||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 18,286,561 | 8,095,062 | 10,610,778 | 15,770,845 | ||||||||||||
Value | Income | Realized Gain | ||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. Ea | $ | 38,425,176 | $ | 106,638 | $ | | ||||||||||
Oppenheimer Master Loan Fund, LLC | 253,547,381 | 7,677,392 | b | 383,473 | b |
49 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Consolidated Statement of Investments (continued)
Value | Income | Realized Gain | ||||||||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | $ | 79,011,932 | $ | 561,771 | $ | 40,648 | ||||||||||
|
|
|||||||||||||||
Total | $ | 370,984,489 | $ | 8,345,801 | $ | 424,121 | ||||||||||
|
|
a. Prior to September 28, 2016, this fund was named Oppenheimer Institutional Money Market Fund.
b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
15. Rate shown is the 7-day yield at period end.
16. 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 February 28, 2017 |
Counter -party |
Settlement Month(s) |
Currency Purchased (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
BOA | 03/2017 | CHF | 25,510 | USD | 25,479 | $ | | $ | 71,691 | |||||||||||||||||||
BOA | 03/2017 | USD | 197 | CHF | 195 | 2,661 | | |||||||||||||||||||||
BOA | 03/2017 | USD | 24,962 | THB | 892,000 | | 590,085 | |||||||||||||||||||||
CITNA-B | 03/2017 | CHF | 4,680 | USD | 4,588 | 73,561 | | |||||||||||||||||||||
CITNA-B | 03/2017 | USD | 25,286 | EUR | 23,905 | | 45,465 | |||||||||||||||||||||
DEU | 03/2017 | USD | 29,567 | CHF | 29,995 | | 307,737 | |||||||||||||||||||||
GSCO-OT | 03/2017 | GBP | 27,970 | USD | 34,947 | | 237,018 | |||||||||||||||||||||
GSCO-OT | 03/2017 | USD | 17,766 | AUD | 23,730 | | 424,534 | |||||||||||||||||||||
GSCO-OT | 03/2017 | USD | 26,495 | CAD | 34,835 | 267,166 | | |||||||||||||||||||||
GSCO-OT | 04/2017 | USD | 7,602 | CNH | 50,500 | 256,801 | | |||||||||||||||||||||
GSCO-OT | 03/2017 | USD | 35,251 | GBP | 27,970 | 540,600 | | |||||||||||||||||||||
JPM | 03/2017 | CAD | 5,440 | USD | 4,146 | | 50,013 | |||||||||||||||||||||
JPM | 04/2017 | CNH | 50,500 | USD | 7,223 | 121,782 | | |||||||||||||||||||||
JPM | 11/2017 | USD | 17,184 | CNH | 122,000 | | 232,249 | |||||||||||||||||||||
JPM | 03/2017 | USD | 17,402 | JPY | 2,024,000 | | 616,827 | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total Unrealized Appreciation and Depreciation |
|
$ | 1,262,571 | $ | 2,575,619 | |||||||||||||||||||||||
|
|
Futures Contracts as of February 28, 2017 |
Description |
Exchange |
Buy/Sell |
Expiration Date |
Number of |
Value |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
Euro-BONO | EUX | Sell | 3/8/17 | 94 | $ | 13,857,058 | $ | (123,604 | ) | |||||||||||||||
Euro-BTP | EUX | Sell | 3/8/17 | 176 | 24,777,925 | (48,999 | ) | |||||||||||||||||
Euro-BUND | EUX | Buy | 3/8/17 | 258 | 45,385,649 | 1,144,970 | ||||||||||||||||||
Euro-OAT | EUX | Sell | 3/8/17 | 83 | 13,185,133 | 13,010 | ||||||||||||||||||
United States Treasury Long Bonds | CBT | Buy | 6/21/17 | 205 | 31,089,531 | 122,221 | ||||||||||||||||||
United States Treasury Nts., 2 yr. | CBT | Buy | 6/30/17 | 593 | 128,328,906 | 15,539 | ||||||||||||||||||
United States Treasury Nts., 5 yr. | CBT | Buy | 6/30/17 | 25 | 2,942,578 | (5,263 | ) | |||||||||||||||||
United States Treasury Nts., 10 yr. | CBT | Sell | 6/21/17 | 49 | 6,104,328 | (1,210 | ) | |||||||||||||||||
United States Ultra Bonds | CBT | Buy | 6/21/17 | 239 | 38,665,719 | 375,350 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
$ | 1,492,014 | |||||||||||||||||||||||
|
|
Over-the-Counter Options Written at February 28, 2017 |
Description |
Counterparty |
Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received |
Value |
||||||||||||||||||
CNH Currency Put | CITNA-B CNH | 8.000 | 11/29/17 | CNH (830,800,000) | $ | 864,032 | $ | (192,745) |
50 OPPENHEIMER CAPITAL INCOME FUND |
Centrally Cleared Credit Default Swaps at February 28, 2017 |
Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/(Paid) |
Value | ||||||||||||||||||||||||||
CDX.HY.27 |
Sell | 5.000% | 12/20/21 | USD | 6,509 | $ | (400,283) | $ | 552,103 | |||||||||||||||||||||||
CDX.HY.27 |
Sell | 5.000 | 12/20/21 | USD | 8,623 | (578,980) | 731,379 | |||||||||||||||||||||||||
CDX.HY.27 |
Sell | 5.000 | 12/20/21 | USD | 6,489 | (410,926) | 550,423 | |||||||||||||||||||||||||
CDX.IG.23 |
Sell | 1.000 | 12/20/19 | USD | 25,000 | (177,124) | 458,133 | |||||||||||||||||||||||||
CDX.IG.25 |
Sell | 1.000 | 12/20/20 | USD | 4,800 | (50,881) | 96,498 | |||||||||||||||||||||||||
CDX.IG.26 |
Sell | 1.000 | 6/20/21 | USD | 6,400 | (86,068) | 129,904 | |||||||||||||||||||||||||
CDX.NA.HY.21 |
Buy | 5.000 | 12/20/18 | USD | 14,535 | 900,363 | (1,071,443 | ) | ||||||||||||||||||||||||
CDX.NA.HY.25 |
Buy | 5.000 | 12/20/20 | USD | 6,615 | 346,920 | (578,755 | ) | ||||||||||||||||||||||||
CDX.NA.HY.26 |
Buy | 5.000 | 6/20/21 | USD | 19,008 | 929,914 | (1,742,586 | ) | ||||||||||||||||||||||||
iTraxx.Main.25 |
Buy | 1.000 | 6/20/21 | EUR | 33,000 | 572,069 | (555,518 | ) | ||||||||||||||||||||||||
iTraxx.Main.26 |
Buy | 1.000 | 12/20/21 | EUR | 1,000 | 11,456 | (14,873 | ) | ||||||||||||||||||||||||
Neiman Marcus |
||||||||||||||||||||||||||||||||
Group LLC (The) |
Buy | 5.000 | 12/20/20 | USD | 3,095 | 179,341 | 326,328 | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Total of Centrally Cleared Credit Default Swaps |
|
$ | 1,235,801 | $ | (1,118,407 | ) | ||||||||||||||||||||||||||
|
|
Over-the-Counter Credit Default Swaps at February 28, 2017 |
Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/(Paid) |
Value | |||||||||||||||||||||||||
CDX.NA.HY.21 |
CITNA-B | Sell | 5.000 | 12/20/18 | USD | 1,812 | $ | 1,011,495 | $ | (214,712) | ||||||||||||||||||||||
CDX.NA.HY.21 |
GSCOI | Sell | 5.000 | 12/20/18 | USD | 551 | 301,068 | (65,272) | ||||||||||||||||||||||||
CDX.NA.HY.25 |
GSCOI | Sell | 5.000 | 12/20/20 | USD | 2,244 | 1,489,410 | (823,839) | ||||||||||||||||||||||||
Malaysia |
BAC | Buy | 1.000 | 12/20/21 | USD | 1,500 | (25,268) | (316) | ||||||||||||||||||||||||
Malaysia |
BNP | Buy | 1.000 | 12/20/21 | USD | 7,500 | (129,984) | (1,577) | ||||||||||||||||||||||||
Malaysia |
MOS | Buy | 1.000 | 12/20/21 | USD | 7,500 | (126,336) | (1,577) | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Total of Over-the-Counter Credit Default Swaps |
|
$ | 2,520,385 | $ | (1,107,293) | |||||||||||||||||||||||||||
|
|
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 |
$38,562,955 | $14,535,000 | BBB- to BBB+ | |||||||||||||
Non-Investment Grade Corporate Debt Indexes |
23,865,767 | 6,615,000 | B to BB- | |||||||||||||
|
|
|||||||||||||||
Total |
$62,428,722 | $21,150,000 | ||||||||||||||
|
|
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
51 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED
STATEMENT OF INVESTMENTS Unaudited / Continued
Glossary: | ||
Counterparty Abbreviations | ||
BAC | Barclays Bank plc | |
BNP | BNP Paribas | |
BOA | Bank of America NA | |
CITNA-B | Citibank NA | |
DEU | Deutsche Bank AG | |
GSCOI | Goldman Sachs International | |
GSCO-OT | Goldman Sachs Bank USA | |
JPM | JPMorgan Chase Bank NA | |
MOS | Morgan Stanley & Co., Inc. | |
Currency abbreviations indicate amounts reporting in currencies | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Offshore Chinese Renminbi | |
EUR | Euro | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
THB | Thailand Baht | |
Definitions | ||
BBA LIBOR | British Bankers Association London - Interbank Offered Rate | |
BONO | Spanish Government Bonds | |
BTP | Italian Treasury Bonds | |
BUND | German Federal Obligation | |
CDX.HY.27 | Markit CDX High Yield Index | |
CDX.IG.23 | Markit CDX Investment Grade Index | |
CDX.IG.25 | Markit CDX Investment Grade Index | |
CDX.IG.26 | Markit CDX Investment Grade Index | |
CDX.NA.HY.21 | Markit CDX North American High Yield | |
CDX.NA.HY.25 | Markit CDX North American High Yield | |
CDX.NA.HY.26 | Markit CDX North American High Yield | |
iTraxx.Main.25 | Credit Default Swap Trading Index for a Specific Basket of Securities | |
iTraxx.Main.26 | Credit Default Swap Trading Index for a Specific Basket of Securities | |
OAT | French Government Bonds | |
Exchange Abbreviations | ||
CBT | Chicago Board of Trade | |
EUX | European Stock Exchange |
See accompanying Notes to Consolidated Financial Statements.
52 OPPENHEIMER CAPITAL INCOME FUND |
ASSETS AND LIABILITIES February 28, 2017 Unaudited
|
||||
Assets | ||||
Investments, at valuesee accompanying consolidated statement of investments: | ||||
Unaffiliated companies (cost $2,339,796,386) | $ | 2,466,726,722 | ||
Affiliated companies (cost $372,699,758) | 370,984,489 | |||
|
|
|||
2,837,711,211 | ||||
|
||||
Cash | 1,742,389 | |||
|
||||
Cash used for collateral on futures | 2,863,800 | |||
|
||||
Cash used for collateral on centrally cleared swaps | 2,650,936 | |||
|
||||
Cash used for collateral on forward roll transactions | 407,000 | |||
|
||||
Unrealized appreciation on forward currency exchange contracts | 1,262,571 | |||
|
||||
Centrally cleared swaps, at value (premiums paid $1,524,921) | 2,844,768 | |||
|
||||
Receivables and other assets: | ||||
Interest, dividends and principal paydowns | 12,252,378 | |||
Investments sold (including $1,712,894 sold on a when-issued or delayed delivery basis) | 6,898,213 | |||
Shares of beneficial interest sold | 1,952,087 | |||
Variation margin receivable | 184,483 | |||
Other | 268,134 | |||
|
|
|||
Total assets | 2,871,037,970 | |||
|
||||
Liabilities | ||||
Unrealized depreciation on forward currency exchange contracts | 2,575,619 | |||
|
||||
Options written, at value (premiums received $864,032) | 192,745 | |||
|
||||
Swaps, at value (premiums received $2,520,385) | 1,107,293 | |||
|
||||
Centrally cleared swaps, at value (premiums received $2,760,722) | 3,963,175 | |||
|
||||
Payables and other liabilities: | ||||
Investments purchased (including $166,855,818 purchased on a when-issued or delayed delivery basis) | 174,815,376 | |||
Shares of beneficial interest redeemed | 3,365,165 | |||
Distribution and service plan fees | 410,553 | |||
Trustees compensation | 166,547 | |||
Variation margin payable | 161,855 | |||
Shareholder communications | 14,058 | |||
Dividends | 2,141 | |||
Other | 92,646 | |||
|
|
|||
Total liabilities | 186,867,173 | |||
|
||||
Net Assets |
$ | 2,684,170,797 | ||
|
|
|||
|
||||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 267,548 | ||
|
||||
Additional paid-in capital | 2,865,915,388 | |||
|
||||
Accumulated net investment income | 9,728,280 | |||
|
||||
Accumulated net realized loss on investments and foreign currency transactions | (319,319,976) | |||
|
||||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 127,579,557 | |||
|
|
|||
Net Assets |
$ | 2,684,170,797 | ||
|
|
53 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF
ASSETS AND LIABILITIES Unaudited / Continued
|
||||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $1,697,416,762 and 168,272,403 shares of beneficial interest outstanding) | $ | 10.09 | ||
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) | $ | 10.71 | ||
|
||||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $8,238,096 and 835,177 shares of beneficial interest outstanding) | $ | 9.86 | ||
|
||||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $406,387,804 and 41,644,777 shares of beneficial interest outstanding) | $ | 9.76 | ||
|
||||
Class I Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $16,546,864 and 1,641,257 shares of beneficial interest outstanding) | $ | 10.08 | ||
|
||||
Class R Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $35,337,325 and 3,552,189 shares of beneficial interest outstanding) | $ | 9.95 | ||
|
||||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $520,243,946 and 51,602,408 shares of beneficial interest outstanding) | $ | 10.08 |
See accompanying Notes to Consolidated Financial Statements.
54 OPPENHEIMER CAPITAL INCOME FUND |
OPERATIONS For the Six Months Ended February 28, 2017 Unaudited
|
||||
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | $ | 7,361,430 | ||
Dividends | 315,962 | |||
Net expenses | (435,914) | |||
|
|
|||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 7,241,478 | |||
|
||||
Investment Income | ||||
Interest (net of foreign withholding taxes of $9,459) | 22,689,815 | |||
|
||||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $99,481) | 15,225,716 | |||
Affiliated companies | 668,409 | |||
|
||||
Fee income on when-issued securities | 2,133,414 | |||
|
|
|||
Total investment income | 40,717,354 | |||
|
||||
Expenses | ||||
Management fees | 7,046,505 | |||
|
||||
Distribution and service plan fees: | ||||
Class A | 1,969,152 | |||
Class B | 48,188 | |||
Class C | 2,034,868 | |||
Class R | 79,517 | |||
|
||||
Transfer and shareholder servicing agent fees: | ||||
Class A | 1,849,901 | |||
Class B | 10,653 | |||
Class C | 447,838 | |||
Class I | 2,313 | |||
Class R | 35,742 | |||
Class Y | 536,879 | |||
|
||||
Shareholder communications: | ||||
Class A | 27,242 | |||
Class B | 1,027 | |||
Class C | 8,346 | |||
Class I | 8 | |||
Class R | 718 | |||
Class Y | 8,317 | |||
|
||||
Trustees compensation | 48,312 | |||
|
||||
Borrowing fees | 23,825 | |||
|
||||
Custodian fees and expenses | 9,845 | |||
|
||||
Other | 174,090 | |||
|
|
|||
Total expenses | 14,363,286 | |||
Less reduction to custodian expenses | (3) | |||
Less waivers and reimbursements of expenses | (613,201) | |||
|
|
|||
Net expenses | 13,750,082 | |||
|
||||
Net Investment Income | 34,208,750 |
55 OPPENHEIMER CAPITAL INCOME FUND |
OPERATIONS Unaudited / Continued
|
||||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions in: | ||||
Unaffiliated companies (includes premiums on options exercised) |
$ | (616,678) | ||
Affiliated companies |
40,649 | |||
Closing and expiration of futures contracts | (4,622,619) | |||
Foreign currency transactions | 8,890,825 | |||
Swap contracts | (2,116,504) | |||
Closing and expiration of swaption contracts written | 228,806 | |||
|
||||
Net realized gain allocated from Oppenheimer Master Loan Fund, LLC | 383,473 | |||
|
|
|||
Net realized gain | 2,187,952 | |||
|
||||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions | 59,873,244 | |||
Translation of assets and liabilities denominated in foreign currencies | (3,274,623) | |||
Futures contracts | 1,720,394 | |||
Option contracts written | 144,887 | |||
Swap contracts | 949,957 | |||
Swaption contracts written | 9,480 | |||
|
||||
Net change in unrealized appreciation/depreciation allocated from: | ||||
Oppenheimer Master Loan Fund, LLC | 7,487,935 | |||
|
|
|||
Net change in unrealized appreciation/depreciation | 66,911,274 | |||
|
||||
Net Increase in Net Assets Resulting from Operations |
$ | 103,307,976 | ||
|
|
1. The Fund invests in an affiliated mutual fund that expects to be treated as a partnership for tax purposes. See Note 4 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
56 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
|||||||
Operations | ||||||||
Net investment income | $ | 34,208,750 | $ | 67,615,034 | ||||
|
||||||||
Net realized gain | 2,187,952 | 585,565 | ||||||
|
||||||||
Net change in unrealized appreciation/depreciation | 66,911,274 | 64,552,494 | ||||||
|
|
|||||||
Net increase in net assets resulting from operations | 103,307,976 | 132,753,093 | ||||||
|
||||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (24,608,843) | (49,660,564) | ||||||
Class B | (104,701) | (347,447) | ||||||
Class C | (4,562,499) | (9,245,987) | ||||||
Class I | (259,218) | (453,824) | ||||||
Class R | (435,491) | (762,315) | ||||||
Class Y | (7,688,100) | (14,306,602) | ||||||
|
|
|||||||
(37,658,852) | (74,776,739) | |||||||
|
||||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (67,628,547) | (50,000,323) | ||||||
Class B | (4,067,140) | (8,043,352) | ||||||
Class C | (23,608,691) | 7,414,517 | ||||||
Class I | 1,005,302 | 2,089,587 | ||||||
Class R | 2,684,269 | 3,882,943 | ||||||
Class Y | 26,871,049 | 24,107,618 | ||||||
|
|
|||||||
(64,743,758) | (20,549,010) | |||||||
|
||||||||
Net Assets | ||||||||
Total increase | 905,366 | 37,427,344 | ||||||
|
||||||||
Beginning of period | 2,683,265,431 | 2,645,838,087 | ||||||
|
|
|||||||
End of period (including accumulated net investment income of $9,728,280 and $13,178,382, respectively) | $ | 2,684,170,797 | $ | 2,683,265,431 | ||||
|
|
See accompanying Notes to Consolidated Financial Statements.
57 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
Year Ended August 31, 2012 |
||||||||||||||||||
|
||||||||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.84 | $9.62 | $10.03 | $9.29 | $9.17 | $8.70 | ||||||||||||||||||
|
||||||||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.13 | 0.25 | 0.25 | 0.34 | 0.29 | 0.28 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.25 | (0.35) | 0.71 | 0.19 | 0.54 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total from investment operations | 0.39 | 0.50 | (0.10) | 1.05 | 0.48 | 0.82 | ||||||||||||||||||
|
||||||||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.14) | (0.28) | (0.31) | (0.31) | (0.36) | (0.35) | ||||||||||||||||||
|
||||||||||||||||||||||||
Net asset value, end of period | $10.09 | $9.84 | $9.62 | $10.03 | $9.29 | $9.17 | ||||||||||||||||||
|
|
|||||||||||||||||||||||
|
||||||||||||||||||||||||
Total Return, at Net Asset Value3 | 4.04% | 5.31% | (1.07)% | 11.44% | 5.30% | 9.69% | ||||||||||||||||||
|
||||||||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $1,697,417 | $1,723,245 | $1,735,068 | $1,730,245 | $1,512,076 | $1,422,232 | ||||||||||||||||||
|
||||||||||||||||||||||||
Average net assets (in thousands) | $1,695,209 | $1,712,506 | $1,764,700 | $1,627,867 | $1,468,782 | $1,400,955 | ||||||||||||||||||
|
||||||||||||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 2.68% | 2.66% | 2.54% | 3.55% | 3.07% | 3.18% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.05% | 1.05% | 1.05% | 1.04% | 0.98% | 1.00% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
|
|
|||||||||||||||||||||||
Total expenses7 | 1.05% | 1.05% | 1.05% | 1.04% | 0.98% | 1.00% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.00% | 1.00% | 0.99% | 0.98% | 0.93% | 0.96% | ||||||||||||||||||
|
||||||||||||||||||||||||
Portfolio turnover rate8 | 29% | 54% | 79% | 93% | 84% | 80% |
58 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
1.06% | |||
Year Ended August 31, 2016 |
1.07% | |||
Year Ended August 31, 2015 |
1.07% | |||
Year Ended August 29, 2014 |
1.06% | |||
Year Ended August 30, 2013 |
1.00% | |||
Year Ended August 31, 2012 |
1.02% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Year Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 | ||||||
Year Ended August 30, 2013 |
$3,481,764,612 | $3,521,818,336 | ||||||
Year Ended August 31, 2012 |
$3,053,290,246 | $3,030,115,715 |
See accompanying Notes to Consolidated Financial Statements.
59 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
Class B | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
Year Ended August 31, 2012 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.62 | $9.41 | $9.81 | $9.09 | $8.98 | $8.51 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.09 | 0.18 | 0.17 | 0.26 | 0.19 | 0.19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.23 | (0.34) | 0.68 | 0.19 | 0.54 | ||||||||||||||||||
Total from investment operations | 0.34 | 0.41 | (0.17) | 0.94 | 0.38 | 0.73 | ||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.10) | (0.20) | (0.23) | (0.22) | (0.27) | (0.26) | ||||||||||||||||||
Net asset value, end of period | $9.86 | $9.62 | $9.41 | $9.81 | $9.09 | $8.98 | ||||||||||||||||||
Total Return, at Net Asset Value3 | 3.56% | 4.45% | (1.79)% | 10.48% | 4.24% | 8.80% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $8,238 | $12,108 | $19,917 | $29,021 | $33,683 | $43,790 | ||||||||||||||||||
Average net assets (in thousands) | $9,726 | $15,539 | $24,439 | $30,985 | $38,619 | $45,562 | ||||||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 1.93% | 1.96% | 1.79% | 2.70% | 2.10% | 2.20% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.83% | 1.82% | 1.82% | 1.94% | 2.07% | 2.12% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
Total expenses7 | 1.83% | 1.82% | 1.82% | 1.94% | 2.07% | 2.12% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.78% | 1.76% | 1.76% | 1.83% | 1.94% | 1.94% | ||||||||||||||||||
Portfolio turnover rate8 | 29% | 54% | 79% | 93% | 84% | 80% |
60 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
1.84% | |||
Year Ended August 31, 2016 |
1.84% | |||
Year Ended August 31, 2015 |
1.84% | |||
Year Ended August 29, 2014 |
1.96% | |||
Year Ended August 30, 2013 |
2.09% | |||
Year Ended August 31, 2012 |
2.14% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Year Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 | ||||||
Year Ended August 30, 2013 |
$3,481,764,612 | $3,521,818,336 | ||||||
Year Ended August 31, 2012 |
$3,053,290,246 | $3,030,115,715 |
See accompanying Notes to Consolidated Financial Statements.
61 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
Class C | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
Year Ended August 31, 2012 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.52 | $9.32 | $9.74 | $9.03 | $8.93 | $8.47 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.09 | 0.17 | 0.17 | 0.26 | 0.20 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.26 | 0.24 | (0.35) | 0.69 | 0.19 | 0.53 | ||||||||||||||||||
Total from investment operations | 0.35 | 0.41 | (0.18) | 0.95 | 0.39 | 0.73 | ||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.11) | (0.21) | (0.24) | (0.24) | (0.29) | (0.27) | ||||||||||||||||||
Net asset value, end of period | $9.76 | $9.52 | $9.32 | $9.74 | $9.03 | $8.93 | ||||||||||||||||||
Total Return, at Net Asset Value3 | 3.66% | 4.47% | (1.89)% | 10.66% | 4.41% | 8.91% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $406,388 | $420,117 | $403,758 | $296,136 | $182,920 | $112,220 | ||||||||||||||||||
Average net assets (in thousands) | $410,350 | $413,522 | $369,218 | $230,619 | $140,184 | $101,423 | ||||||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 1.91% | 1.87% | 1.75% | 2.76% | 2.24% | 2.32% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.81% | 1.82% | 1.81% | 1.82% | 1.80% | 1.86% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
Total expenses7 | 1.81% | 1.82% | 1.81% | 1.82% | 1.80% | 1.86% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.76% | 1.76% | 1.75% | 1.76% | 1.75% | 1.82% | ||||||||||||||||||
Portfolio turnover rate8 | 29% | 54% | 79% | 93% | 84% | 80% |
62 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
1.82% | |||
Year Ended August 31, 2016 |
1.84% | |||
Year Ended August 31, 2015 |
1.83% | |||
Year Ended August 29, 2014 |
1.84% | |||
Year Ended August 30, 2013 |
1.82% | |||
Year Ended August 31, 2012 |
1.88% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
|
||||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Year Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 | ||||||
Year Ended August 30, 2013 |
$3,481,764,612 | $3,521,818,336 | ||||||
Year Ended August 31, 2012 |
$3,053,290,246 | $3,030,115,715 |
See accompanying Notes to Consolidated Financial Statements.
63 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
Class I | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Period Ended August 29, 20141,2 |
||||||||||||
Per Share Operating Data | ||||||||||||||||
Net asset value, beginning of period | $9.84 | $9.62 | $10.03 | $9.60 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||
Net investment income3 | 0.15 | 0.30 | 0.29 | 0.26 | ||||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.24 | (0.35) | 0.31 | ||||||||||||
Total from investment operations | 0.40 | 0.54 | (0.06) | 0.57 | ||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends from net investment income | (0.16) | (0.32) | (0.35) | (0.14) | ||||||||||||
Net asset value, end of period | $10.08 | $9.84 | $9.62 | $10.03 | ||||||||||||
Total Return, at Net Asset Value4 | 4.16% | 5.78% | (0.65)% | 6.01% | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||
Net assets, end of period (in thousands) | $16,547 | $15,142 | $12,625 | $10,894 | ||||||||||||
Average net assets (in thousands) | $15,559 | $14,088 | $12,629 | $7,047 | ||||||||||||
Ratios to average net assets:5,6 | ||||||||||||||||
Net investment income | 3.13% | 3.08% | 2.96% | 3.87% | ||||||||||||
Expenses excluding specific expenses listed below | 0.62% | 0.63% | 0.62% | 0.64% | ||||||||||||
Interest and fees from borrowings | 0.00%7 | 0.00%7 | 0.00%7 | 0.00% | ||||||||||||
Total expenses8 | 0.62% | 0.63% | 0.62% | 0.64% | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.57% | 0.57% | 0.56% | 0.58% | ||||||||||||
Portfolio turnover rate9 | 29% | 54% | 79% | 93% |
64 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. For the period from December 27, 2013 (inception of offering) to August 29, 2014.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
7. Less than 0.005%.
8. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
0.63% | |||
Year Ended August 31, 2016 |
0.65% | |||
Year Ended August 31, 2015 |
0.64% | |||
Period Ended August 29, 2014 |
0.66% |
9. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
|
||||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Period Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 |
See accompanying Notes to Consolidated Financial Statements.
65 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
Class R | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
Year Ended August 31, 2012 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.71 | $9.50 | $9.91 | $9.18 | $9.07 | $8.60 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.23 | 0.22 | 0.31 | 0.25 | 0.25 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | 0.24 | (0.35) | 0.70 | 0.19 | 0.54 | ||||||||||||||||||
Total from investment operations | 0.37 | 0.47 | (0.13) | 1.01 | 0.44 | 0.79 | ||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.13) | (0.26) | (0.28) | (0.28) | (0.33) | (0.32) | ||||||||||||||||||
Net asset value, end of period | $9.95 | $9.71 | $9.50 | $9.91 | $9.18 | $9.07 | ||||||||||||||||||
Total Return, at Net Asset Value3 | 3.86% | 5.02% | (1.32)% | 11.15% | 4.98% | 9.44% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $35,337 | $31,806 | $27,151 | $23,798 | $20,075 | $20,994 | ||||||||||||||||||
Average net assets (in thousands) | $32,785 | $28,769 | $25,957 | $22,251 | $20,943 | $20,340 | ||||||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 2.81% | 2.39% | 2.28% | 3.27% | 2.73% | 2.84% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 1.30% | 1.31% | 1.30% | 1.32% | 1.33% | 1.34% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
Total expenses7 | 1.30% | 1.31% | 1.30% | 1.32% | 1.33% | 1.34% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.25% | 1.25% | 1.24% | 1.26% | 1.28% | 1.30% | ||||||||||||||||||
Portfolio turnover rate8 | 29% | 54% | 79% | 93% | 84% | 80% |
66 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
1.31% | |||
Year Ended August 31, 2016 |
1.33% | |||
Year Ended August 31, 2015 |
1.32% | |||
Year Ended August 29, 2014 |
1.34% | |||
Year Ended August 30, 2013 |
1.35% | |||
Year Ended August 31, 2012 |
1.36% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
|
||||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Year Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 | ||||||
Year Ended August 30, 2013 |
$3,481,764,612 | $3,521,818,336 | ||||||
Year Ended August 31, 2012 |
$3,053,290,246 | $3,030,115,715 |
See accompanying Notes to Consolidated Financial Statements.
67 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
Class Y | Six Months Ended February 28, 2017 (Unaudited) |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
Year Ended August 31, 2012 |
||||||||||||||||||
Per Share Operating Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $9.84 | $9.62 | $10.03 | $9.29 | $9.18 | $8.70 | ||||||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.14 | 0.27 | 0.27 | 0.37 | 0.30 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.25 | 0.25 | (0.35) | 0.70 | 0.19 | 0.55 | ||||||||||||||||||
Total from investment operations | 0.39 | 0.52 | (0.08) | 1.07 | 0.49 | 0.85 | ||||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends from net investment income | (0.15) | (0.30) | (0.33) | (0.33) | (0.38) | (0.37) | ||||||||||||||||||
Net asset value, end of period | $10.08 | $9.84 | $9.62 | $10.03 | $9.29 | $9.18 | ||||||||||||||||||
Total Return, at Net Asset Value3 | 4.17% | 5.47% | (0.82)% | 11.74% | 5.49% | 10.17% | ||||||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $520,244 | $480,847 | $447,319 | $280,000 | $105,635 | $23,119 | ||||||||||||||||||
Average net assets (in thousands) | $492,415 | $453,299 | $401,249 | $162,609 | $63,500 | $7,746 | ||||||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||||||
Net investment income | 2.88% | 2.86% | 2.74% | 3.77% | 3.27% | 3.46% | ||||||||||||||||||
Expenses excluding specific expenses listed below | 0.81% | 0.82% | 0.82% | 0.81% | 0.72% | 0.69% | ||||||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | 0.00% | ||||||||||||||||||
Total expenses7 | 0.81% | 0.82% | 0.82% | 0.81% | 0.72% | 0.69% | ||||||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.76% | 0.76% | 0.76% | 0.75% | 0.67% | 0.65% | ||||||||||||||||||
Portfolio turnover rate8 | 29% | 54% | 79% | 93% | 84% | 80% |
68 OPPENHEIMER CAPITAL INCOME FUND |
1. Represents the last business day of the Funds reporting period.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Includes the Funds share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Less than 0.005%.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
Six Months Ended February 28, 2017 |
0.82% | |||
Year Ended August 31, 2016 |
0.84% | |||
Year Ended August 31, 2015 |
0.84% | |||
Year Ended August 29, 2014 |
0.83% | |||
Year Ended August 30, 2013 |
0.74% | |||
Year Ended August 31, 2012 |
0.71% |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||||
|
||||||||
Six Months Ended February 28, 2017 |
$2,028,868,896 | $2,161,238,540 | ||||||
Year Ended August 31, 2016 |
$4,212,529,231 | $4,192,313,269 | ||||||
Year Ended August 31, 2015 |
$4,664,260,054 | $4,590,883,479 | ||||||
Year Ended August 29, 2014 |
$2,958,051,509 | $2,894,379,022 | ||||||
Year Ended August 30, 2013 |
$3,481,764,612 | $3,521,818,336 | ||||||
Year Ended August 31, 2012 |
$3,053,290,246 | $3,030,115,715 |
See accompanying Notes to Consolidated Financial Statements.
69 OPPENHEIMER CAPITAL INCOME FUND |
FINANCIAL STATEMENTS February 28, 2017 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 Funds investment objective is to seek total return. The Funds 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.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. As of July 1, 2014, Class N shares were renamed Class R shares. Class N shares subject to a contingent deferred sales charge (CDSC) on July 1, 2014, continue to be subject to a CDSC after the shares were renamed. Purchases of Class R shares occurring on or after July 1, 2014, are not subject to a CDSC upon redemption. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a CDSC. Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and R shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Funds preparation of financial statements in accordance with accounting principles generally accepted in the United States (U.S. GAAP).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
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
70 OPPENHEIMER CAPITAL INCOME FUND |
2. Significant Accounting Policies (Continued)
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.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At period end, the Fund owned 9,689 shares with net assets of $24,075,932 in the Subsidiary.
Other financial information at period end:
Total market value of investments |
$ | 24,072,537 | ||
Net assets |
$ | 24,075,932 | ||
Net income (loss) |
$ | (104,794) | ||
Net realized gain (loss) |
$ | | ||
Net change in unrealized appreciation/depreciation |
$ | (1,120,545) |
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:
(1) Value of investment securities, other assets and liabilities at the exchange rates prevailing at Market Close as described in Note 3.
(2) Purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets and the values are presented at the foreign exchange rates at Market Close, the Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments shown in the Consolidated Statement of Operations. For securities, which are subject to foreign withholding tax upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on Funds books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may
71 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
The tax character of distributions is determined as of the Funds fiscal year end. Therefore, a portion of the Funds distributions made to shareholders prior to the Funds fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Funds understanding of the applicable tax rules and regulations. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Consolidated Statement of Operations, are amortized or accreted daily.
Return of Capital Estimates. Distributions received from the Funds investments in Real Estate Investments Trusts (REITs), generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates. Such estimates are based on historical information available from each REIT and other industry sources. These estimates may subsequently be revised based on information received from REITs after their tax reporting periods are concluded.
Custodian Fees. Custodian fees and expenses in the Consolidated Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, based on the negative rolling average balance at an average Federal Funds Rate plus 0.50%. The Reduction to custodian expenses line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold (except for the investments in the Subsidiary) are determined on the basis of identified cost.
Indemnifications. The Funds organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Funds maximum exposure
72 OPPENHEIMER CAPITAL INCOME FUND |
2. Significant Accounting Policies (Continued)
under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Funds tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended August 31, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Funds financial statements.
Subchapter M requires, among other things, that at least 90% of the Funds gross income be derived from securities or derived with respect to its business of investing in securities (typically referred to as qualifying income). Income from commodity-linked derivatives may not be treated as qualifying income for purposes of the 90% gross income requirement. The Internal Revenue Service (IRS) has previously issued a number of private letter rulings which conclude that income derived from commodity index-linked notes and investments in a wholly-owned subsidiary will be qualifying income. As a result, the Fund will gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.
The IRS has suspended the granting of private letter rulings pending further review. As a result, there can be no assurance that the IRS will not change its position with respect to commodity-linked notes and wholly-owned subsidiaries. In addition, future legislation and guidance from the Treasury and the IRS may adversely affect the funds ability to gain exposure to commodities through commodity-linked notes and its wholly-owned subsidiary.
The Fund is required to include in income for federal income tax purposes all of the subsidiarys net income and gains whether or not such income is distributed by the subsidiary. Net income and gains from the subsidiary are generally treated as ordinary income by the Fund, regardless of the character of the subsidiarys underlying income. Net losses from the subsidiary do not pass through to the Fund for federal income tax purposes.
During the fiscal year ended August 31, 2016, the Fund utilized $3,000,239 of capital loss carryforward to offset capital gains realized in that fiscal year. The Fund had straddle losses of $57,152 which were deferred. Details of the fiscal year ended August 31, 2016 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
Expiring |
|
|||
2018 |
$ | 307,001,832 |
At period end, it is estimated that the capital loss carryforwards would be $304,871,032 expiring by 2018. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the
73 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Fund will utilize $2,187,952 of capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The 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 in the following table. 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 or tax realization of financial statement unrealized gain or loss.
Federal tax cost of securities |
$ | 2,713,522,681 | ||
Federal tax cost of other investments |
182,375,707 | |||
|
|
|||
Total federal tax cost |
$ | 2,895,898,388 | ||
|
|
|||
Gross unrealized appreciation |
$ | 189,643,849 | ||
Gross unrealized depreciation |
(63,090,829) | |||
|
|
|||
Net unrealized appreciation |
$ | 126,553,020 | ||
|
|
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Recent Accounting Pronouncement. In October 2016, the Securities and Exchange Commission (SEC) adopted amendments to rules under the Investment Company Act of 1940 (final rules) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in, and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. OFI Global is currently evaluating the amendments and their impact, if any, on the funds financial statements.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the Exchange) is open for trading, except in the case of a
74 OPPENHEIMER CAPITAL INCOME FUND |
3. Securities Valuation (Continued)
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 Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Funds assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded. If the official closing price or last sales 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 companys net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
75 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
Security Type | Standard inputs generally considered by third-party pricing vendors | |
| ||
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
| ||
Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| ||
Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| ||
Structured securities | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. | |
| ||
Swaps | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Manager, the market value or price obtained does not constitute a readily available market quotation, or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
76 OPPENHEIMER CAPITAL INCOME FUND |
3. Securities Valuation (Continued)
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered are measured using net asset value as a practical expedient, and are not classified in the fair value hierarchy.
The table below categorizes amounts that are included in the Funds Consolidated Statement of Assets and Liabilities at period end based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Unobservable |
Value | |||||||||||||
|
||||||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 46,378,918 | $ | | $ | | $ | 46,378,918 | ||||||||
Consumer Staples |
62,940,437 | 24,562,580 | | 87,503,017 | ||||||||||||
Energy |
110,196,296 | | | 110,196,296 | ||||||||||||
Financials |
203,493,872 | | | 203,493,872 | ||||||||||||
Health Care |
150,547,624 | 11,156,679 | | 161,704,303 |
77 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Unobservable |
Value | |||||||||||||
|
||||||||||||||||
Investments, at Value: (Continued) | ||||||||||||||||
Common Stocks (Continued) | ||||||||||||||||
Industrials |
$ | 197,678,200 | $ | | $ | | $ | 197,678,200 | ||||||||
Information Technology |
118,390,709 | | | 118,390,709 | ||||||||||||
Materials |
64,196,731 | | | 64,196,731 | ||||||||||||
Telecommunication Services |
70,401,092 | | | 70,401,092 | ||||||||||||
Utilities |
63,606,915 | | | 63,606,915 | ||||||||||||
Preferred Stocks |
| 6,464,160 | | 6,464,160 | ||||||||||||
Asset-Backed Securities | | 216,506,358 | 12,905,509 | 229,411,867 | ||||||||||||
Mortgage-Backed Obligations | | 367,929,786 | | 367,929,786 | ||||||||||||
U.S. Government Obligations | | 10,273,644 | | 10,273,644 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | | 627,733,293 | | 627,733,293 | ||||||||||||
Convertible Corporate Bond and | ||||||||||||||||
Note | | 21,422,500 | | 21,422,500 | ||||||||||||
Corporate Loans | | 52,302,760 | | 52,302,760 | ||||||||||||
Over-the-Counter Option Purchased | | 1,062,098 | | 1,062,098 | ||||||||||||
Over-the-Counter Interest Rate | ||||||||||||||||
Swaptions Purchased | | 2,504,024 | | 2,504,024 | ||||||||||||
Investment Companies | 141,509,645 | | | 141,509,645 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | 1,229,340,439 | 1,341,917,882 | 12,905,509 | 2,584,163,830 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Centrally cleared swaps, at value | | 2,844,768 | | 2,844,768 | ||||||||||||
Futures contracts | 1,671,090 | | | 1,671,090 | ||||||||||||
Forward currency exchange contracts | | 1,262,571 | | 1,262,571 | ||||||||||||
|
|
|||||||||||||||
Total Assets excluding investment companies valued using practical expedient | $ | 1,231,011,529 | $ | 1,346,025,221 | $ | 12,905,509 | 2,589,942,259 | |||||||||
|
|
|||||||||||||||
Investment company valued using practical expedient | 253,547,381 | |||||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 2,843,489,640 | ||||||||||||||
|
|
|||||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | $ | | $ | (1,107,293) | $ | | $ | (1,107,293) | ||||||||
Centrally cleared swaps, at value | | (3,963,175) | | (3,963,175) | ||||||||||||
Options written, at value | | (192,745) | | (192,745) | ||||||||||||
Futures contracts | (179,076) | | | (179,076) | ||||||||||||
Forward currency exchange contracts | | (2,575,619) | | (2,575,619) | ||||||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (179,076) | $ | (7,838,832) | $ | | $ | (8,017,908) | ||||||||
|
|
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 contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
78 OPPENHEIMER CAPITAL INCOME FUND |
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted 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 Funds 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 Funds 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 Funds investments and therefore the value of the Funds 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.
Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (IGMMF), formerly known as Oppenheimer Institutional Money Market Fund, which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.
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 1940 Act, as amended, that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC (the Master Fund). The Master Fund has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.
The investment objective of the Master Fund is to seek income. The Funds investment in the Master Fund is included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investment in the master fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Fund. As a shareholder, the Fund is subject to its proportional share of the Master Funds expenses, including its management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Master Fund. The Fund owns 17.0% of the Master Fund at period end.
79 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
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 |
$166,855,818 | |||
Sold securities |
1,712,894 |
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
80 OPPENHEIMER CAPITAL INCOME FUND |
4. Investments and Risks (Continued)
purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
At period end, the counterparty pledged $37,000 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $864,900 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 Funds portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular companys 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 companys sector or industry, or changes in government regulations affecting the company or its industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment.
Information concerning securities not accruing interest at period end is as follows:
81 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
Cost |
$ | 11,923,936 | ||
Market Value |
$ | 13,276,420 | ||
Market Value as % of Net Assets |
0.49% |
5. Market Risk Factors
The Funds 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 instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase,
82 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities as a receivable (or payable) and in the Consolidated Statement of Operations 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.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
83 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 $45,238,611 and $226,298,706, 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 merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations. Realized gains (losses) are reported in the Consolidated Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the reporting period, the Fund had an ending monthly average market value of
84 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
$200,121,332 and $82,226,931 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Funds securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, 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. 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.
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $2,292,293 on purchased put options.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. 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.
85 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put 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 $489,036 on written put options.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the reporting period was as follows:
Number of | Amount of | |||||
Contracts | Premiums | |||||
| ||||||
Options outstanding as of August 31, 2016 |
525,000,000 | $652,400 | ||||
Options written |
1,265,720,000 | 1,482,500 | ||||
Options exercised |
(959,920,000 | ) | (1,270,868) | |||
|
| |||||
Options outstanding as of February 28, 2017 |
830,800,000 | $864,032 | ||||
|
|
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. 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. 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.
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
86 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized 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.
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 $130,469,985 and $49,103,934 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 fixed interest rate and
87 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the reporting period, the Fund had ending monthly average notional amounts of $9,601,608 on interest rate swaps which receive a fixed rate.
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. 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. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations. 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 for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract. The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
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.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser,
88 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, 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 written 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 $2,164,402 and $58,781 on purchased and written swaptions, respectively.
Written swaption activity for the reporting period was as follows:
Number of | Amount of | |||||||
Contracts | Premiums | |||||||
|
||||||||
Swaptions outstanding as of August 31, 2016 |
42,849,000 | $ | 228,806 | |||||
Swaptions closed or expired |
(42,849,000) | (228,806) | ||||||
|
|
|||||||
Swaptions outstanding as of February 28, 2017 |
| $ | | |||||
|
|
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out 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 $2,660,768.
ISDA master agreements include credit related contingent features which allow
89 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for 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 brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate 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 Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
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
90 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities 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.
The following table presents by counterparty the Funds OTC derivative assets net of the related collateral pledged by the Fund at period end:
Gross Amounts Not Offset in the Consolidated | ||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||
Counterparty | Gross Amounts Not Offset in the Consolidated Statement of Assets & Liabilities* |
Financial Instruments Available for Offset |
Financial Instruments Collateral Received** |
Cash Collateral Received** |
Net Amount | |||||||||||||||
|
||||||||||||||||||||
Bank of America NA |
$ | 2,661 | $ | (2,661) | $ | | $ | | $ | | ||||||||||
Citibank NA |
1,135,659 | (452,922) | (682,737) | | | |||||||||||||||
Goldman Sachs Bank USA |
1,064,567 | (661,552) | | | 403,015 | |||||||||||||||
Goldman Sachs International |
2,504,024 | (889,111) | (1,614,913) | | | |||||||||||||||
JPMorgan Chase Bank NA |
121,782 | (121,782) | | | | |||||||||||||||
|
|
|||||||||||||||||||
$ | 4,828,693 | $ | (2,128,028) | $ | (2,297,650) | $ | | $ | 403,015 | |||||||||||
|
|
*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
The following table presents by counterparty the Funds OTC derivative liabilities net of the related collateral pledged by the Fund at period end:
Gross Amounts Not Offset in the Consolidated | ||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||
Counterparty | Gross Amounts Not Offset in the |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledged** |
Cash Collateral Pledged** |
Net Amount | |||||||||||||||
|
||||||||||||||||||||
Bank of America NA |
$ | (661,776) | $ | 2,661 | $ | 659,115 | $ | | $ | | ||||||||||
Barclays Bank plc |
(316) | | | | (316) | |||||||||||||||
BNP Paribas |
(1,577) | | | | (1,577) |
91 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Gross Amounts Not Offset in the Consolidated | ||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||
Counterparty | Gross Amounts of Assets & |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledged** |
Cash Collateral Pledged** |
Net Amount | |||||||||||||||
|
||||||||||||||||||||
Citibank NA |
$ | (452,922) | $ | 452,922 | $ | | $ | | $ | | ||||||||||
Deutsche Bank AG |
(307,737) | | 307,737 | | | |||||||||||||||
Goldman Sachs Bank USA |
(661,552) | 661,552 | | | | |||||||||||||||
Goldman Sachs International |
(889,111) | 889,111 | | | | |||||||||||||||
JPMorgan Chase Bank NA |
(899,089) | 121,782 | 617,727 | | (159,580) | |||||||||||||||
Morgan Stanley & Co., Inc. |
(1,577) | | | | (1,577) | |||||||||||||||
|
|
|||||||||||||||||||
$ | (3,875,657) | $ | 2,128,028 | $ | 1,584,579 | $ | | $ | (163,050) | |||||||||||
|
|
*OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures, if any, are excluded from these reported amounts.
**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Consolidated Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Consolidated Statement of Assets and Liabilities at period end:
Asset Derivatives |
Liability Derivatives |
|||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Consolidated Statement of Assets and Liabilities Location |
Value | Consolidated Statement of Assets and Liabilities Location |
Value | ||||||||
|
||||||||||||
Credit contracts |
Swaps, at value | $ | 1,107,293 | |||||||||
Credit contracts |
Centrally cleared swaps, at value | $ | 2,844,768 | Centrally cleared swaps, at value | 3,963,175 | |||||||
Interest rate contracts |
Variation margin receivable | 184,483* | Variation margin payable | 161,855* | ||||||||
Unrealized appreciation on | Unrealized depreciation on | |||||||||||
Forward currency |
forward currency exchange | forward currency exchange | ||||||||||
exchange contracts |
contracts | 1,262,571 | contracts | 2,575,619 | ||||||||
Forward currency exchange contracts |
Options written, at value | 192,745 | ||||||||||
Forward currency exchange contracts |
Investments, at value | 1,062,098** | ||||||||||
Interest rate contracts |
Investments, at value | 2,504,024** | ||||||||||
|
|
|
|
|||||||||
Total |
$ | 7,857,944 | $ | 8,000,687 | ||||||||
|
|
|
|
*Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Consolidated Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased option contracts and purchased swaption contracts, if any.
92 OPPENHEIMER CAPITAL INCOME FUND |
6. Use of Derivatives (Continued)
The effect of derivative instruments on the Consolidated Statement of Operations is as follows:
Amount of Realized Gain or (Loss) Recognized on Derivatives |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investment unaffiliated on options |
Closing and expiration of swaption contracts written |
Closing and of futures |
|||||||||
|
||||||||||||
Credit contracts |
$ | (682,588) | $ | 228,806 | $ | | ||||||
Equity contracts |
(1,513,901) | | | |||||||||
Forward currency exchange contracts |
1,104,256 | | | |||||||||
Interest rate contracts |
(1,498,714) | | (4,622,619) | |||||||||
|
|
|||||||||||
Total |
$ | (2,590,947) | $ | 228,806 | $ | (4,622,619) | ||||||
|
|
*Includes purchased option contracts, purchased swaption contracts, written option contracts exercised and written swaption contracts exercised, if any.
Amount of Realized Gain or (Loss) Recognized on Derivatives |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Foreign currency |
Swap contracts | Total | |||||||||
|
||||||||||||
Credit contracts |
$ | | $ | (1,819,285) | $ | (2,273,067) | ||||||
Equity contracts |
| | (1,513,901) | |||||||||
Forward currency exchange contracts |
8,670,414 | | 9,774,670 | |||||||||
Interest rate contracts |
| (297,219) | (6,418,552) | |||||||||
|
|
|||||||||||
Total |
$ | 8,670,414 | $ | (2,116,504) | $ | (430,850) | ||||||
|
|
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives |
||||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investments* | Option contracts written |
Swaption contracts written |
Futures contracts |
||||||||||||
|
||||||||||||||||
Credit contracts |
$ | (6,038) | $ | | $ | 9,480 | $ | | ||||||||
Forward currency exchange contracts |
(841,972) | 144,887 | | | ||||||||||||
Interest rate contracts |
1,280,984 | | | 1,720,394 | ||||||||||||
|
|
|||||||||||||||
Total |
$ | 432,974 | $ | 144,887 | $ | 9,480 | $ | 1,720,394 | ||||||||
|
|
93 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Translation of assets and liabilities denominated in foreign currencies |
Swap contracts | Total | |||||||||
|
||||||||||||
Credit contracts |
$ | | $ | 1,024,475 | $ | 1,027,917 | ||||||
Forward currency exchange contracts |
(3,273,250) | | (3,970,335) | |||||||||
Interest rate contracts |
| (74,518) | 2,926,860 | |||||||||
|
|
|||||||||||
Total |
$ | (3,273,250) | $ | 949,957 | $ | (15,558) | ||||||
|
|
*Includes purchased option contracts and purchased swaption contracts, if any.
7. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
Six Months Ended February 28, 2017 | Year Ended August 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
|
||||||||||||||||
Class A |
||||||||||||||||
Sold |
7,497,867 | $ | 73,793,596 | 22,114,630 | $ | 211,686,219 | ||||||||||
Dividends and/or distributions reinvested |
2,360,873 | 23,179,201 | 4,912,205 | 46,602,086 | ||||||||||||
Redeemed |
(16,719,591) | (164,601,344) | (32,212,207) | (308,288,628) | ||||||||||||
|
|
|||||||||||||||
Net decrease |
(6,860,851) | $ | (67,628,547) | (5,185,372) | $ | (50,000,323) | ||||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Class B |
||||||||||||||||
Sold |
24,565 | $ | 236,525 | 139,395 | $ | 1,302,899 | ||||||||||
Dividends and/or distributions reinvested |
10,727 | 103,154 | 36,697 | 340,610 | ||||||||||||
Redeemed |
(458,851) | (4,406,819) | (1,034,620) | (9,686,861) | ||||||||||||
|
|
|||||||||||||||
Net decrease |
(423,559) | $ | (4,067,140) | (858,528) | $ | (8,043,352) | ||||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Class C |
||||||||||||||||
Sold |
3,122,578 | $ | 29,763,260 | 11,180,368 | $ | 103,545,856 | ||||||||||
Dividends and/or distributions reinvested |
418,195 | 3,978,317 | 877,942 | 8,072,868 | ||||||||||||
Redeemed |
(6,014,382) | (57,350,268) | (11,254,410) | (104,204,207) | ||||||||||||
|
|
|||||||||||||||
Net increase (decrease) |
(2,473,609) | $ | (23,608,691) | 803,900 | $ | 7,414,517 | ||||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Class I |
||||||||||||||||
Sold |
269,082 | $ | 2,651,956 | 646,631 | $ | 6,161,787 | ||||||||||
Dividends and/or distributions reinvested |
26,383 | 258,772 | 47,826 | 453,491 | ||||||||||||
Redeemed |
(193,758) | (1,905,426) | (467,275) | (4,525,691) | ||||||||||||
|
|
|||||||||||||||
Net increase |
101,707 | $ | 1,005,302 | 227,182 | $ | 2,089,587 | ||||||||||
|
|
|||||||||||||||
|
94 OPPENHEIMER CAPITAL INCOME FUND |
7. Shares of Beneficial Interest (Continued)
Six Months Ended February 28, 2017 | Year Ended August 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
|
||||||||||||||||
Class R |
||||||||||||||||
Sold |
639,876 | $ | 6,217,690 | 1,125,399 | $ | 10,595,667 | ||||||||||
Dividends and/or distributions reinvested |
42,790 | 414,748 | 76,875 | 720,135 | ||||||||||||
Redeemed |
(407,068) | (3,948,169) | (784,489) | (7,432,859) | ||||||||||||
|
|
|||||||||||||||
Net increase |
275,598 | $ | 2,684,269 | 417,785 | $ | 3,882,943 | ||||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Class Y |
||||||||||||||||
Sold |
11,154,455 | $ | 109,911,880 | 22,027,993 | $ | 210,819,968 | ||||||||||
Dividends and/or distributions reinvested |
634,454 | 6,225,623 | 1,174,846 | 11,139,830 | ||||||||||||
Redeemed |
(9,076,789) | (89,266,454) | (20,815,765) | (197,852,180) | ||||||||||||
|
|
|||||||||||||||
Net increase |
2,712,120 | $ | 26,871,049 | 2,387,074 | $ | 24,107,618 | ||||||||||
|
|
8. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:
Purchases | Sales | |||||||
|
||||||||
Investment securities |
$752,428,587 | $734,534,765 | ||||||
U.S. government and government agency obligations |
8,157,009 | 5,882,011 | ||||||
To Be Announced (TBA) mortgage-related securities |
2,028,868,896 | 2,161,238,540 |
9. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
Fee Schedule |
||
Up to $100 million |
0.75% | |
Next $100 million |
0.70 | |
Next $100 million |
0.65 | |
Next $100 million |
0.60 | |
Next $100 million |
0.55 | |
Next $4.5 billion |
0.50 | |
Over $5 billion |
0.48 |
The Manager also provides investment management related services to the Subsidiary. The Subsidiary pays the Manager a monthly management fee at an annual rate according to the above schedule. The Subsidiary also pays certain other expenses including custody and directors fees.
The Funds effective management fee for the reporting period was 0.53% of average annual net assets before any Subsidiary management fees or any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund and the Subsidiary. Under the Sub-Advisory Agreement, the
95 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
9. Fees and Other Transactions with Affiliates (Continued)
Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund and the Subsidiary, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the Transfer Agent) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Consolidated Statement of Operations and Consolidated Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the Sub-Transfer Agent), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees Compensation. The Funds Board of Trustees (Board) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of Other within the asset section of the Consolidated Statement of Assets and Liabilities. Deferral of Trustees fees under the plan will not affect the net assets of the Fund and will not materially affect the Funds assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributors Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the Distributor) acts as the Funds principal underwriter in the continuous public offering of the Funds classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the Plan) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all
96 OPPENHEIMER CAPITAL INCOME FUND |
9. Fees and Other Transactions with Affiliates (Continued)
of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Consolidated Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the Plans) for Class B, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class R shares daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Funds Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
Six Months Ended |
Class A Front-End Sales Charges Retained by Distributor |
Class A Contingent Deferred Sales Charges Retained by Distributor |
Class B Contingent Deferred Sales Charges Retained by Distributor |
Class C Contingent Deferred Sales Charges Retained by Distributor |
Class R Contingent Deferred Sales Charges Retained by Distributor |
|||||||||||||||
|
||||||||||||||||||||
February 28, 2017 | $193,548 | $31,573 | $7,421 | $21,370 | $ |
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive the management fee it receives from the Fund in an amount equal to the management fee it receives from the Subsidiary. During the reporting period, the Manager waived $88,340.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investments in Affiliated Funds. During the reporting period, the Manager waived fees and/or reimbursed the Fund $524,861 for these management fees.
Waivers and/or reimbursements may be modified or terminated as set forth according to the terms in the prospectus.
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a
97 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Unaudited / Continued
10. Borrowings and Other Financing (Continued)
$1.3 billion revolving credit facility (the Facility) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Consolidated Statement of Operations. The Fund did not utilize the Facility during the reporting period.
98 OPPENHEIMER CAPITAL INCOME FUND |
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (portfolio proxies) held by the Fund. A description of the Funds Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Funds website at www.oppenheimerfunds.com, and (iii) on the SECs website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Funds voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SECs website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Funds Form N-Q filings are available on the SECs website at www.sec.gov. Those forms may be reviewed and copied at the SECs Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
HouseholdingDelivery of Shareholder Documents
This is to inform you about OppenheimerFunds householding policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the funds prospectus (or, if available, the funds summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
99 OPPENHEIMER CAPITAL INCOME FUND |
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over the Funds reporting period, the table below details on a per-share basis the percentage of the Funds total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. Other capital sources represent a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Funds investment performance and should not be confused with yield or income. You should not draw any conclusions about each Funds investment performance from the amounts of these distributions. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. Because the Fund is actively managed, the relative amount of the Funds total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.
For the most current information, please go to oppenheimerfunds.com. Select your Fund, then the Detailed tab; where Dividends are shown, the Funds latest pay date will be followed by the sources of any distribution, updated daily.
Fund Name |
Pay Date |
Net Income |
Net Profit from Sale |
Other Capital Sources |
||||||||||||
Oppenheimer Capital Income Fund |
9/23/16 | 97.5% | 2.5% | 0.0% | ||||||||||||
Oppenheimer Capital Income Fund |
12/13/16 | 79.4% | 0.0% | 20.6% |
100 OPPENHEIMER CAPITAL INCOME FUND |
OPPENHEIMER CAPITAL INCOME FUND
Robert J. Malone, Chairman of the Board of Trustees and Trustee Jon S. Fossel, Trustee Richard F. Grabish, Trustee Beverly L. Hamilton, Trustee Victoria J. Herget, Trustee F. William Marshall, Jr., Trustee Karen L. Stuckey, Trustee James D. Vaughn, Trustee Arthur P. Steinmetz, Trustee, President and Principal Executive Officer Michelle Borré, Vice President Krishna Memani, Vice President Cynthia Lo Bessette, Secretary and Chief Legal Officer Jennifer Foxson, Vice President and Chief Business Officer Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer | ||
Manager | OFI Global Asset Management, Inc. | |
Sub-Adviser | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent |
OFI Global Asset Management, Inc. | |
Sub-Transfer Agent | Shareholder Services, Inc. | |
DBA OppenheimerFunds Services | ||
Independent Registered Public Accounting Firm |
KPMG LLP | |
Legal Counsel | Ropes & Gray LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2017 OppenheimerFunds, Inc. All rights reserved.
101 OPPENHEIMER CAPITAL INCOME FUND |
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
● | Applications or other forms |
● | When you create a user ID and password for online account access |
● | When you enroll in eDocs Direct,SM our electronic document delivery service |
● | Your transactions with us, our affiliates or others |
● | Technologies on our website, including: cookies and web beacons, which are used to collect data on the pages you visit and the features you use. |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest educational material that may be of interest to you. If this requires us to provide you with an opportunity to opt in or opt out of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or opt out of such disclosure.
102 OPPENHEIMER CAPITAL INCOME FUND |
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
● | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. |
● | Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
● | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security numberwhether or not you remain a shareholder of our funds. This notice was last updated November 2016. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
103 OPPENHEIMER CAPITAL INCOME FUND |
Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800.CALL OPP (800.225.5677) for 24-hr automated information and automated transactions. Representatives also available MonFri 8am-8pm ET.
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Visit Us | ||||
oppenheimerfunds.com |
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Call Us |
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800 225 5677 |
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Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved.
RS0300.001.0217 April 25, 2017 |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Funds Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrants disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 2/28/2017, the registrants principal executive officer and principal financial officer found the registrants disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrants management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrants internal controls over financial reporting that occurred during the registrants second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 12. Exhibits.
(a) | (1) Not applicable to semiannual reports. |
(2) Exhibits attached hereto.
(3) Not applicable.
(b) | Exhibit 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: | 4/13/2017 |
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: | 4/13/2017 |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 4/13/2017 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, certify that:
1. | I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: 4/13/2017
/s/ Arthur P. Steinmetz |
Arthur P. Steinmetz |
Principal Executive Officer |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian S. Petersen, certify that:
1. | I have reviewed this report on Form N-CSR 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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: 4/13/2017
/s/ Brian S. Petersen |
Brian S. Petersen |
Principal Financial Officer |
EX-99.906CERT
Section 906 Certifications
CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350,
AS ADOPTED PURSUANT TO
SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002
Arthur P. Steinmetz, Principal Executive Officer, and Brian S. Petersen, Principal Financial Officer, of Oppenheimer Capital Income Fund (the Registrant), each certify to the best of his knowledge that:
1. | The Registrants periodic report on Form N-CSR for the period ended 2/28/2017 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer | Principal Financial Officer | |
Oppenheimer Capital Income Fund | Oppenheimer Capital Income Fund | |
/s/ Arthur P. Steinmetz |
/s/ Brian S. Petersen | |
Arthur P. Steinmetz | Brian S. Petersen | |
Date: 4/13/2017 | Date: 4/13/2017 |
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