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: 8/31/2017
Item 1. Reports to Stockholders.
Annual Report
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8/31/2017
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OppenheimerFunds® | ||||||
The Right Way | ||||||
to Invest |
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 8/31/17
Class A Shares of the Fund | ||||||||||
Bloomberg | ||||||||||
Without Sales | With Sales | Russell 3000 | Barclays U.S. | Reference Index | ||||||
Charge | Charge | Index | Aggregate Bond | |||||||
Index | ||||||||||
1-Year | 5.84% | -0.25% | 16.06% | 0.49% | 5.81% | |||||
5-Year | 5.29 | 4.05 | 14.27 | 2.19 | 6.49 | |||||
10-Year | 1.72 | 1.12 | 7.70 | 4.40 | 6.16 |
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 5.84% during the reporting period. On a relative basis, the Fund marginally 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 5.81%. Measured separately, the Barclays Index returned 0.49% and the Russell 3000 Index returned 16.06%. The Fund underperformed the Morningstar 30-50% Equity Category average which returned 6.63%.
COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:
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PORTFOLIO POSITIONING
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||||||||||||
Long | Short | Net | ||||||||||
High-Grade Fixed Income Strategy |
48.3% | -4.2% | 44.1% | |||||||||
Equity Strategy |
36.2 | 0.0 | 36.2 | |||||||||
Opportunistic Strategy |
28.9 | -9.3 | 19.6 | |||||||||
HIGH-GRADE FIXED INCOME STRATEGY
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Long | Short | Net | ||||||||||
Corporate Bonds |
16.8% | 0.0% | 16.8% | |||||||||
Mortgage Related Securities |
19.9 | 0.0 | 19.9 | |||||||||
Asset Backed Securities |
4.1 | 0.0 | 4.1 | |||||||||
Duration Hedges |
7.5 | -4.2 | 3.3 | |||||||||
Credit Default Swaps |
0.0 | 0.0 | 0.0 | |||||||||
TOP TEN EQUITY HOLDINGS
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Long | Short | Net | ||||||||||
Apple, Inc. |
1.5% | % | 1.5% | |||||||||
Chubb Ltd. |
1.2 | | 1.2 | |||||||||
M&T Bank Corp. |
1.2 | | 1.2 | |||||||||
Lockheed Martin Corp. |
1.1 | | 1.1 | |||||||||
Alphabet, Inc., Cl. A |
1.0 | | 1.0 | |||||||||
UnitedHealth Group, Inc. |
1.0 | | 1.0 | |||||||||
Altria Group, Inc. |
1.0 | | 1.0 | |||||||||
AT&T, Inc. |
0.9 | | 0.9 | |||||||||
Cisco Systems, Inc. |
0.8 | | 0.8 | |||||||||
Philip Morris International, Inc. |
0.8 | | 0.8 |
Portfolio holdings and allocations are dollar-weighted based on total net assets and are subject to change. Percentages are as of August 31, 2017. Holdings exclude cash and cash equivalents. As of August 31, 2017, the Fund held approximately 13.8% in cash and cash equivalents. 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. For more current Fund holdings, please visit oppenheimerfunds.com.
14 OPPENHEIMER CAPITAL INCOME FUND
OPPORTUNISTIC STRATEGY
Long | Short | Net | ||||||||||
Senior Loans |
10.3% | 0.0% | 10.3% | |||||||||
Corporate Bonds & Hybrids |
7.6 | 0.0 | 7.6 | |||||||||
Asset Backed Securities |
5.5 | 0.0 | 5.5 | |||||||||
Commodities |
1.0 | 0.0 | 1.0 | |||||||||
Sovereign |
1.8 | -2.0 | -0.2 | |||||||||
Interest Rates |
0.0 | -0.7 | -0.7 | |||||||||
Relative Value |
2.4 | -3.2 | -0.8 | |||||||||
Currencies |
0.3 | -3.4 | -3.1 |
Portfolio holdings and allocations are dollar-weighted based on total net assets and are subject to change. Percentages are as of August 31, 2017. Holdings exclude cash and cash equivalents. As of August 31, 2017, the Fund held approximately 13.8% in cash and cash equivalents. 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. For more current Fund holdings, please visit oppenheimerfunds.com.
15 OPPENHEIMER CAPITAL INCOME FUND
Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS 8/31/17
Inception Date |
1-Year | 5-Year | 10-Year | |||||||||||||||||
Class A (OPPEX) | 12/1/70 | 5.84 | % | 5.29 | % | 1.72 | % | |||||||||||||
Class B (OPEBX) | 8/17/93 | 5.04 | 4.41 | 1.15 | ||||||||||||||||
Class C (OPECX) | 11/1/95 | 5.13 | 4.48 | 0.90 | ||||||||||||||||
Class I (OCIIX) | 12/27/13 | 6.29 | 4.70 | * | N/A | |||||||||||||||
Class R (OCINX) | 3/1/01 | 5.57 | 4.99 | 1.40 | ||||||||||||||||
Class Y (OCIYX) | 1/28/11 | 6.21 | 5.54 | 6.10 | * |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 8/31/17
Inception Date |
1-Year | 5-Year | 10-Year | |||||||||||||||||
Class A (OPPEX) | 12/1/70 | -0.25 | % | 4.05 | % | 1.12 | % | |||||||||||||
Class B (OPEBX) | 8/17/93 | 0.04 | 4.07 | 1.15 | ||||||||||||||||
Class C (OPECX) | 11/1/95 | 4.13 | 4.48 | 0.90 | ||||||||||||||||
Class I (OCIIX) | 12/27/13 | 6.29 | 4.70 | * | N/A | |||||||||||||||
Class R (OCINX) | 3/1/01 | 5.57 | 4.99 | 1.40 | ||||||||||||||||
Class Y (OCIYX) | 1/28/11 | 6.21 | 5.54 | 6.10 | * |
* 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 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 35% Russell 3000 Index and 65% Bloomberg Barclays U.S. Aggregate Bond Index. The indices are unmanaged and cannot be purchased directly
16 OPPENHEIMER CAPITAL INCOME FUND
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.
17 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 August 31, 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 August 31, 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.
18 OPPENHEIMER CAPITAL INCOME FUND
Actual | Beginning Account Value |
Ending Account Value August 31, 2017 |
Expenses Paid During 6 Months Ended August 31, 2017 | |||||||||
Class A |
$ | 1,000.00 | $ | 1,017.30 | $ | 4.94 | ||||||
Class B |
1,000.00 | 1,014.30 | 8.92 | |||||||||
Class C |
1,000.00 | 1,014.10 | 8.87 | |||||||||
Class I |
1,000.00 | 1,020.40 | 2.91 | |||||||||
Class R |
1,000.00 | 1,016.50 | 6.27 | |||||||||
Class Y |
1,000.00 | 1,019.60 | 3.77 | |||||||||
Hypothetical | ||||||||||||
(5% return before expenses) |
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Class A |
1,000.00 | 1,020.32 | 4.95 | |||||||||
Class B |
1,000.00 | 1,016.38 | 8.93 | |||||||||
Class C |
1,000.00 | 1,016.43 | 8.88 | |||||||||
Class I |
1,000.00 | 1,022.33 | 2.91 | |||||||||
Class R |
1,000.00 | 1,019.00 | 6.28 | |||||||||
Class Y |
1,000.00 | 1,021.48 | 3.78 |
Expenses are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended August 31, 2017 are as follows:
Class | Expense Ratios | |||
Class A |
0.97% | |||
Class B |
1.75 | |||
Class C |
1.74 | |||
Class I |
0.57 | |||
Class R |
1.23 | |||
Class Y |
0.74 |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Funds Manager and Transfer Agent. 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.
19 OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS August 31, 2017
Shares | Value | |||||
Common Stocks33.9% | ||||||
Consumer Discretionary0.8% | ||||||
Media0.8% | ||||||
DISH Network Corp., Cl. A1 | 257,104 | $ 14,729,488 | ||||
Live Nation Entertainment, Inc.1 | 189,520 | 7,573,219 | ||||
22,302,707
| ||||||
Consumer Staples2.3% | ||||||
Beverages0.5% | ||||||
Coca-Cola Co. (The)
|
|
291,230
|
|
13,265,527
| ||
Tobacco1.8% | ||||||
Altria Group, Inc. | 386,815 | 24,524,071 | ||||
Philip Morris International, Inc. | 186,110 | 21,761,842 | ||||
46,285,913
| ||||||
Energy3.2% | ||||||
Energy Equipment & Services0.4% | ||||||
Halliburton Co. | 135,506 | 5,280,669 | ||||
Schlumberger Ltd. | 99,466 | 6,317,085 | ||||
11,597,754
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Oil, Gas & Consumable Fuels2.8% | ||||||
Canadian Natural Resources Ltd. | 141,686 | 4,364,893 | ||||
Chevron Corp. | 158,768 | 17,086,612 | ||||
ConocoPhillips | 283,042 | 12,357,614 | ||||
EOG Resources, Inc. | 110,930 | 9,427,941 | ||||
Exxon Mobil Corp. | 44,913 | 3,428,209 | ||||
Newfield Exploration Co.1 | 153,796 | 4,018,690 | ||||
Noble Energy, Inc. | 170,742 | 4,058,537 | ||||
Occidental Petroleum Corp. | 228,033 | 13,613,570 | ||||
Valero Energy Corp. | 79,178 | 5,392,022 | ||||
73,748,088
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Financials5.5% | ||||||
Capital Markets0.4% | ||||||
Goldman Sachs Group, Inc. (The) | 22,110 | 4,946,891 | ||||
Raymond James Financial, Inc. | 54,450 | 4,264,524 | ||||
9,211,415
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Commercial Banks1.7% | ||||||
JPMorgan Chase & Co. | 96,320 | 8,754,525 | ||||
M&T Bank Corp. | 203,030 | 30,020,016 | ||||
PNC Financial Services Group, Inc. (The) | 45,960 | 5,763,843 | ||||
44,538,384
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Insurance1.9% | ||||||
Allstate Corp. (The) | 196,100 | 17,747,050 |
20 OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||
Insurance (Continued) | ||||||
Chubb Ltd. | 234,330 |
$ 33,138,949 | ||||
50,885,999
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Real Estate Investment Trusts (REITs)1.5% | ||||||
American Assets Trust, Inc. | 115,590 | 4,695,266 | ||||
Blackstone Mortgage Trust, Inc., Cl. A | 636,780 | 19,963,053 | ||||
Starwood Property Trust, Inc. | 719,760 | 15,985,870 | ||||
40,644,189
| ||||||
Health Care5.2% | ||||||
Biotechnology0.4% | ||||||
Shire plc, ADR
|
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75,280
|
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11,246,079
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Health Care Equipment & Supplies0.7% | ||||||
Abbott Laboratories | 104,470 | 5,321,702 | ||||
Medtronic plc | 148,660 | 11,984,969 | ||||
17,306,671
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Health Care Providers & Services2.0% | ||||||
Cigna Corp. | 104,510 | 19,027,090 | ||||
HCA Healthcare, Inc.1 | 91,009 | 7,158,768 | ||||
UnitedHealth Group, Inc. | 130,044 | 25,865,752 | ||||
52,051,610
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Pharmaceuticals2.1% | ||||||
Allergan plc | 60,270 | 13,830,760 | ||||
Bristol-Myers Squibb Co. | 91,920 | 5,559,322 | ||||
Merck & Co., Inc. | 194,570 | 12,425,240 | ||||
Novartis AG, Sponsored ADR | 152,980 | 12,894,684 | ||||
Roche Holding AG | 48,481 | 12,356,916 | ||||
57,066,922
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Industrials6.0% | ||||||
Aerospace & Defense3.0% | ||||||
L3 Technologies, Inc. | 92,170 | 16,727,011 | ||||
Lockheed Martin Corp. | 94,520 | 28,865,463 | ||||
Northrop Grumman Corp. | 72,160 | 19,642,674 | ||||
Raytheon Co. | 74,790 | 13,612,528 | ||||
78,847,676
| ||||||
Airlines0.1% | ||||||
United Continental Holdings, Inc.1
|
|
68,926
|
|
4,270,655
| ||
Commercial Services & Supplies1.3% | ||||||
Johnson Controls International plc | 383,561 | 15,185,180 | ||||
Republic Services, Inc., Cl. A | 309,450 | 20,188,518 | ||||
35,373,698 |
21 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Shares | Value | |||||
Construction & Engineering0.2% | ||||||
Granite Construction, Inc.
|
|
109,340
|
|
$ 6,038,848
| ||
Industrial Conglomerates1.2% | ||||||
General Electric Co. | 736,270 | 18,075,429 | ||||
Honeywell International, Inc. | 93,953 | 12,990,881 | ||||
31,066,310
| ||||||
Road & Rail0.2% | ||||||
Union Pacific Corp.
|
|
42,010
|
|
4,423,653
| ||
Information Technology4.5% | ||||||
Communications Equipment1.0% | ||||||
Cisco Systems, Inc. | 685,622 | 22,083,885 | ||||
CommScope Holding Co., Inc.1 | 131,870 | 4,359,622 | ||||
26,443,507
| ||||||
Internet Software & Services1.0% | ||||||
Alphabet, Inc., Cl. A1
|
|
27,530
|
|
26,297,757
| ||
Semiconductors & Semiconductor Equipment1.0% | ||||||
QUALCOMM, Inc. | 151,890 | 7,939,290 | ||||
Xilinx, Inc. | 306,782 | 20,266,019 | ||||
28,205,309
| ||||||
Technology Hardware, Storage & Peripherals1.5% | ||||||
Apple, Inc.
|
|
241,825
|
|
39,659,300
| ||
Materials1.7% | ||||||
Chemicals0.7% | ||||||
Celanese Corp., Cl. A | 147,513 | 14,311,711 | ||||
Methanex Corp. | 106,996 | 5,467,496 | ||||
19,779,207
| ||||||
Containers & Packaging1.0% | ||||||
Packaging Corp. of America | 93,110 | 10,466,495 | ||||
Sonoco Products Co. | 310,650 | 14,991,969 | ||||
25,458,464
| ||||||
Telecommunication Services2.4% | ||||||
Diversified Telecommunication Services2.4% | ||||||
AT&T, Inc. | 626,640 | 23,473,934 | ||||
BCE, Inc. | 451,830 | 21,489,035 | ||||
Verizon Communications, Inc. | 387,270 | 18,577,342 | ||||
63,540,311
| ||||||
Utilities2.3% | ||||||
Electric Utilities1.7% | ||||||
Edison International | 197,800 | 15,859,604 | ||||
NextEra Energy, Inc. | 94,828 | 14,272,562 |
22 OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||
Electric Utilities (Continued) | ||||||
PG&E Corp. | 202,330 |
$ 14,239,986 | ||||
44,372,152
| ||||||
Multi-Utilities0.6% | ||||||
CMS Energy Corp. | 335,290 | 16,274,976 | ||||
Total Common Stocks (Cost $954,409,463)
|
900,203,081
| |||||
Preferred Stocks1.3% | ||||||
Citigroup Capital XIII, 7.542% Cum., Non-Vtg.2 | 1,060,000 | 28,704,800 | ||||
M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg. | 1,833 | 1,882,491 | ||||
M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg. | 4,500 | 4,617,000 | ||||
Total Preferred Stocks (Cost $34,582,097) | 35,204,291
| |||||
Principal Amount | ||||||
Asset-Backed Securities8.0% | ||||||
Airspeed Ltd.: | ||||||
Series 2007-1A, Cl. G1, 1.497% [LIBOR01M+27], 6/15/322,3 | $ | 14,875,900 | 13,242,526 | |||
Series 2007-1A, Cl. G2, 1.507% [LIBOR01M+28], 6/15/322,3 | 7,290,678 | 6,528,263 | ||||
American Credit Acceptance Receivables Trust: | ||||||
Series 2015-1, Cl. B, 2.85%, 2/12/214 | 749,361 | 750,212 | ||||
Series 2015-3, Cl. B, 3.56%, 10/12/214 | 990,433 | 995,983 | ||||
Series 2015-3, Cl. C, 4.84%, 10/12/214 | 960,000 | 984,378 | ||||
Series 2015-3, Cl. D, 5.86%, 7/12/224 | 955,000 | 984,026 | ||||
Series 2016-4, Cl. B, 2.11%, 2/12/214 | 1,365,000 | 1,365,083 | ||||
Series 2017-3, Cl. B, 2.25%, 1/11/214,5 | 425,000 | 425,239 | ||||
AmeriCredit Automobile Receivables Trust: | ||||||
Series 2013-2, Cl. E, 3.41%, 10/8/204 | 1,735,000 | 1,739,600 | ||||
Series 2013-4, Cl. D, 3.31%, 10/8/19 | 350,000 | 352,856 | ||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 | 2,065,000 | 2,104,249 | ||||
Bear Stearns Structured Products Trust: | ||||||
Series 2007-EMX1, Cl. A2, 2.534% [US0001M+130], 3/25/372,4 | 5,900,000 | 5,824,006 | ||||
Series 2007-EMX1, Cl. M1, 3.234% [US0001M+200], 3/25/372,4 | 8,000,000 | 7,551,755 | ||||
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 2.227% [LIBOR01M+100], 9/15/412,3,6 | 1,287,756 | 648,707 | ||||
Cabelas Credit Card Master Note Trust: | ||||||
Series 2013-2A, Cl. A2, 1.877% [LIBOR01M+65], 8/16/212,4 | 785,000 | 788,474 | ||||
Series 2016-1, Cl. A1, 1.78%, 6/15/22 | 2,095,000 | 2,096,962 | ||||
Series 2016-1, Cl. A2, 2.077% [LIBOR01M+85], 6/15/222 | 4,190,000 | 4,230,904 | ||||
Capital Auto Receivables Asset Trust, Series 2014-1, Cl. D, 3.39%, 7/22/19 | 580,000 | 584,234 | ||||
Capital One Multi-Asset Execution Trust: | ||||||
Series 2016-A1, Cl. A1, 1.677% [LIBOR01M+45], 2/15/222 | 2,690,000 | 2,705,401 | ||||
Series 2016-A3, Cl. A3, 1.34%, 4/15/22 | 2,320,000 | 2,309,628 | ||||
CarFinance Capital Auto Trust: | ||||||
Series 2014-1A, Cl. D, 4.90%, 4/15/204 | 1,035,000 | 1,059,252 | ||||
Series 2015-1A, Cl. A, 1.75%, 6/15/214 | 284,271 | 284,243 | ||||
CarMax Auto Owner Trust: | ||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 | 655,000 | 661,265 | ||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 | 1,975,000 | 1,996,904 | ||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 | 1,300,000 | 1,309,957 |
23 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Asset-Backed Securities (Continued) | ||||||
CarMax Auto Owner Trust: (Continued) | ||||||
Series 2016-3, Cl. D, 2.94%, 1/17/23 | $ | 760,000 | $ 757,308 | |||
Series 2016-4, Cl. D, 2.91%, 4/17/23 | 1,710,000 | 1,699,856 | ||||
Series 2017-1, Cl. D, 3.43%, 7/17/23 | 1,565,000 | 1,578,406 | ||||
CCG Receivables Trust, Series 2017-1, Cl. B, 2.75%, 11/14/234 | 1,580,000 | 1,583,099 | ||||
Chase Issuance Trust, Series 2014-A5, Cl. A5, 1.597% [LIBOR01M+37], 4/15/212 | 1,690,000 | 1,697,627 | ||||
Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21 | 4,420,000 | 4,463,452 | ||||
CPS Auto Receivables Trust: | ||||||
Series 2013-C, Cl. D, 6.59%, 8/15/194 | 685,000 | 700,994 | ||||
Series 2017-C, Cl. A, 1.78%, 9/15/204 | 617,883 | 617,869 | ||||
Series 2017-C, Cl. B, 2.30%, 7/15/214 | 685,000 | 685,859 | ||||
Credit Acceptance Auto Loan Trust, Series 2014-2A, Cl. B, 2.67%, 9/15/224 | 814,991 | 815,449 | ||||
CWABS Asset-Backed Certificates Trust, Series 2005-14, Cl. 1A1, 1.464% [US0001M+23], 4/25/362 | 1,453,826 | 1,456,096 | ||||
Discover Card Execution Note Trust: | ||||||
Series 2012-A6, Cl. A6, 1.67%, 1/18/22 | 2,105,000 | 2,107,715 | ||||
Series 2016-A1, Cl. A1, 1.64%, 7/15/21 | 3,855,000 | 3,861,463 | ||||
Series 2016-A4, Cl. A4, 1.39%, 3/15/22 | 4,235,000 | 4,216,850 | ||||
Drive Auto Receivables Trust: | ||||||
Series 2015-BA, Cl. D, 3.84%, 7/15/214 | 115,000 | 117,086 | ||||
Series 2016-BA, Cl. C, 3.19%, 7/15/224 | 1,040,000 | 1,052,445 | ||||
Series 2016-CA, Cl. C, 3.02%, 11/15/214 | 980,000 | 990,118 | ||||
Series 2016-CA, Cl. D, 4.18%, 3/15/244 | 1,070,000 | 1,100,498 | ||||
Series 2017-1, Cl. B, 2.36%, 3/15/21 | 1,065,000 | 1,068,702 | ||||
Series 2017-2, Cl. B, 2.25%, 6/15/21 | 685,000 | 686,749 | ||||
Series 2017-2, Cl. C, 2.75%, 9/15/23 | 750,000 | 751,930 | ||||
Series 2017-AA, Cl. D, 4.16%, 5/15/244 | 1,410,000 | 1,443,584 | ||||
Series 2017-BA, Cl. D, 3.72%, 10/17/224 | 1,525,000 | 1,541,108 | ||||
DT Auto Owner Trust: | ||||||
Series 2014-2A, Cl. D, 3.68%, 4/15/214 | 2,141,372 | 2,156,727 | ||||
Series 2015-2A, Cl. D, 4.25%, 2/15/224 | 780,000 | 796,111 | ||||
Series 2016-1A, Cl. B, 2.79%, 5/15/204 | 1,037,833 | 1,039,249 | ||||
Series 2016-4A, Cl. E, 6.49%, 9/15/234 | 495,000 | 514,252 | ||||
Series 2017-1A, Cl. D, 3.55%, 11/15/224 | 1,060,000 | 1,066,929 | ||||
Series 2017-1A, Cl. E, 5.79%, 2/15/244 | 1,025,000 | 1,047,043 | ||||
Series 2017-2A, Cl. D, 3.89%, 1/15/234 | 995,000 | 1,006,276 | ||||
Series 2017-3A, Cl. B, 2.40%, 5/17/214 | 1,235,000 | 1,236,659 | ||||
Series 2017-3A, Cl. E, 5.60%, 8/15/244 | 680,000 | 685,196 | ||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/444 | 1,216,802 | 1,209,728 | ||||
Evergreen Credit Card Trust, Series 2016-3, Cl. A, 1.727% [LIBOR01M+50], 11/16/202,4 | 3,015,000 | 3,026,888 | ||||
Exeter Automobile Receivables Trust: | ||||||
Series 2013-2A, Cl. D, 6.81%, 8/17/204 | 2,305,000 | 2,349,457 | ||||
Series 2014-2A, Cl. C, 3.26%, 12/16/194 | 975,180 | 981,522 | ||||
Fieldstone Mortgage Investment Trust, Series 2004-5, Cl. M3, 3.259% [US0001M+202.5], 2/25/352 | 5,776,435 | 5,499,191 | ||||
First Investors Auto Owner Trust, Series 2013-3A, Cl. B, 2.32%, 10/15/194 | 44,598 | 44,607 |
24 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Asset-Backed Securities (Continued) | ||||||
Flagship Credit Auto Trust: | ||||||
Series 2013-2, Cl. D, 6.26%, 2/16/214 | $ | 435,000 | $ 442,218 | |||
Series 2014-1, Cl. D, 4.83%, 6/15/204 | 200,000 | 204,202 | ||||
Series 2014-2, Cl. A, 1.43%, 12/16/194 | 48,955 | 48,954 | ||||
Series 2015-3, Cl. D, 7.12%, 11/15/224 | 1,725,000 | 1,816,984 | ||||
Series 2016-1, Cl. C, 6.22%, 6/15/224 | 2,410,000 | 2,577,127 | ||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/434 | 132,885 | 132,436 | ||||
GSAMP Trust: | ||||||
Series 2005-HE4, Cl. M3, 1.754% [US0001M+52], 7/25/452 | 13,300,000 | 13,099,859 | ||||
Series 2005-HE5, Cl. M3, 1.694% [US0001M+46], 11/25/352 | 4,060,889 | 3,741,969 | ||||
Series 2007-HS1, Cl. M4, 3.484% [US0001M+225], 2/25/472 | 4,849,000 | 5,023,259 | ||||
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, 1.684% [US0001M+45], 12/25/352 | 5,480,000 | 5,411,902 | ||||
Long Beach Mortgage Loan Trust, Series 2005-WL3, Cl. M1, 1.879% [US0001M+64.5], 11/25/352 | 2,390,000 | 2,362,887 | ||||
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 1.614% [US0001M+38], 12/25/352 | 12,287,000 | 11,649,547 | ||||
Navistar Financial Dealer Note Master Owner Trust II: | ||||||
Series 2016-1, Cl. D, 4.534% [LIBOR01M+330], 9/27/212,4 | 495,000 | 495,868 | ||||
Series 2017-1, Cl. C, 3.439% [LIBOR01M+155], 6/27/222,4 | 400,000 | 400,173 | ||||
Series 2017-1, Cl. D, 3.614% [LIBOR01M+230], 6/27/222,4 | 465,000 | 465,198 | ||||
New Century Home Equity Loan Trust: | ||||||
Series 2005-1, Cl. M2, 1.954% [US0001M+72], 3/25/352 | 4,383,661 | 3,901,962 | ||||
Series 2005-2, Cl. M3, 1.969% [US0001M+73.5], 6/25/352 | 5,500,000 | 5,355,852 | ||||
Nissan Auto Lease Trust, Series 2017-A, Cl. A3, 1.91%, 4/15/20 | 1,575,000 | 1,577,313 | ||||
RASC Series Trust, Series 2006-KS2, Cl. M2, 1.624% [US0001M+39], 3/25/362 | 4,875,000 | 4,588,910 | ||||
Raspro Trust, Series 2005-1A, Cl. G, 1.674% [LIBOR03M+40], 3/23/242,3 | 3,908,748 | 3,830,573 | ||||
Santander Drive Auto Receivables Trust: | ||||||
Series 2013-4, Cl. E, 4.67%, 1/15/204 | 2,055,000 | 2,065,542 | ||||
Series 2013-A, Cl. E, 4.71%, 1/15/214 | 1,530,000 | 1,555,053 | ||||
Series 2014-1, Cl. E, 3.92%, 5/17/21 | 395,000 | 400,659 | ||||
Series 2016-2, Cl. D, 3.39%, 4/15/22 | 720,000 | 733,646 | ||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 | 1,085,000 | 1,097,482 | ||||
Series 2017-1, Cl. E, 5.05%, 7/15/244 | 1,300,000 | 1,339,648 | ||||
Series 2017-2, Cl. D, 3.49%, 7/17/23 | 390,000 | 398,234 | ||||
SG Mortgage Securities Trust, Series 2005-OPT1, Cl. M2, 1.684% [US0001M+45], 10/25/352 | 6,129,000 | 5,895,877 | ||||
SNAAC Auto Receivables Trust, Series 2014-1A, Cl. D, 2.88%, 1/15/204 | 381,565 | 381,736 | ||||
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/224 | 1,075,000 | 1,077,171 | ||||
Westlake Automobile Receivables Trust: | ||||||
Series 2016-1A, Cl. E, 6.52%, 6/15/224 | 1,295,000 | 1,344,787 | ||||
Series 2017-2A, Cl. E, 4.63%, 7/15/243 | 1,710,000 | 1,709,993 | ||||
World Financial Network Credit Card Master Trust: | ||||||
Series 2012-D, Cl. A, 2.15%, 4/17/23 | 1,040,000 | 1,047,021 | ||||
Series 2016-B, Cl. A, 1.44%, 6/15/22 | 2,455,000 | 2,451,883 | ||||
Series 2017-A, Cl. A, 2.12%, 3/15/24 | 2,775,000 | 2,792,617 | ||||
Series 2017-B, Cl. A, 1.98%, 6/15/23 | 2,105,000 | 2,110,286 | ||||
Total Asset-Backed Securities (Cost $205,160,945) | 212,707,033 |
25 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Mortgage-Backed Obligations21.5% | ||||||
Government Agency14.9% | ||||||
FHLMC/FNMA/FHLB/Sponsored13.3% | ||||||
Federal Home Loan Mortgage Corp. Gold Pool: | ||||||
4.50%, 5/1/19 | $ | 166,826 | $ 170,609 | |||
5.00%, 12/1/34 | 44,207 | 48,470 | ||||
6.00%, 5/1/18 | 366 | 367 | ||||
6.50%, 7/1/28-4/1/34 | 126,884 | 140,822 | ||||
7.00%, 10/1/31 | 109,854 | 123,704 | ||||
9.00%, 8/1/22-5/1/25 | 5,308 | 5,714 | ||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||
Series 183,Cl. IO, 62.398%, 4/1/277 | 85,446 | 17,494 | ||||
Series 192,Cl. IO, 99.999%, 2/1/287 | 28,130 | 5,284 | ||||
Series 243,Cl. 6, 0.00%, 12/15/327,8 | 91,043 | 15,934 | ||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 2,221,292 | 2,240,130 | ||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.- Backed Security, Series 176, Cl. PO, 4.127%, 6/1/269 | 29,768 | 27,890 | ||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||
Series 2034,Cl. Z, 6.50%, 2/15/28 | 64,802 | 71,869 | ||||
Series 2043,Cl. ZP, 6.50%, 4/15/28 | 300,062 | 333,658 | ||||
Series 2053,Cl. Z, 6.50%, 4/15/28 | 59,898 | 66,557 | ||||
Series 2279,Cl. PK, 6.50%, 1/15/31 | 120,763 | 136,689 | ||||
Series 2326,Cl. ZP, 6.50%, 6/15/31 | 58,889 | 65,770 | ||||
Series 2427,Cl. ZM, 6.50%, 3/15/32 | 224,229 | 248,714 | ||||
Series 2461,Cl. PZ, 6.50%, 6/15/32 | 268,454 | 315,215 | ||||
Series 2564,Cl. MP, 5.00%, 2/15/18 | 115,924 | 116,498 | ||||
Series 2585,Cl. HJ, 4.50%, 3/15/18 | 58,443 | 58,651 | ||||
Series 2626,Cl. TB, 5.00%, 6/15/33 | 246,596 | 262,623 | ||||
Series 2635,Cl. AG, 3.50%, 5/15/32 | 68,008 | 70,477 | ||||
Series 2707,Cl. QE, 4.50%, 11/15/18 | 137,900 | 139,385 | ||||
Series 2770,Cl. TW, 4.50%, 3/15/19 | 20,165 | 20,410 | ||||
Series 3010,Cl. WB, 4.50%, 7/15/20 | 121,149 | 123,959 | ||||
Series 3025,Cl. SJ, 20.252% [(3.667) x LIBOR01M+2,475], 8/15/352 | 33,061 | 49,282 | ||||
Series 3030,Cl. FL, 1.627% [LIBOR01M+40], 9/15/352 | 490,558 | 492,310 | ||||
Series 3645,Cl. EH, 3.00%, 12/15/20 | 11,004 | 11,107 | ||||
Series 3741,Cl. PA, 2.15%, 2/15/35 | 703,845 | 705,226 | ||||
Series 3815,Cl. BD, 3.00%, 10/15/20 | 12,510 | 12,573 | ||||
Series 3822,Cl. JA, 5.00%, 6/15/40 | 107,818 | 111,719 | ||||
Series 3840,Cl. CA, 2.00%, 9/15/18 | 9,845 | 9,844 | ||||
Series 3848,Cl. WL, 4.00%, 4/15/40 | 442,337 | 456,204 | ||||
Series 3857,Cl. GL, 3.00%, 5/15/40 | 38,496 | 39,423 | ||||
Series 4221,Cl. HJ, 1.50%, 7/15/23 | 1,014,960 | 1,013,297 | ||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, | ||||||
Interest-Only Stripped Mtg.-Backed Security: | ||||||
Series 2130,Cl. SC, 88.618%, 3/15/297 | 67,635 | 14,123 | ||||
Series 2796,Cl. SD, 99.999%, 7/15/267 | 116,127 | 19,748 | ||||
Series 2815,Cl. PT, 99.999%, 11/15/327 | 321,033 | 4,485 | ||||
Series 2920,Cl. S, 54.316%, 1/15/357 | 666,955 | 119,293 |
26 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, | ||||||
Interest-Only Stripped Mtg.-Backed Security: (Continued) | ||||||
Series 2922,Cl. SE, 21.893%, 2/15/357 | $ | 165,078 | $ 29,759 | |||
Series 2937,Cl. SY, 19.067%, 2/15/357 | 1,974,413 | 315,685 | ||||
Series 2981,Cl. AS, 8.51%, 5/15/357 | 1,364,551 | 211,840 | ||||
Series 3397,Cl. GS, 0.00%, 12/15/377,8 | 318,652 | 58,424 | ||||
Series 3424,Cl. EI, 0.00%, 4/15/387,8 | 111,260 | 11,763 | ||||
Series 3450,Cl. BI, 18.059%, 5/15/387 | 780,632 | 130,800 | ||||
Series 3606,Cl. SN, 19.596%, 12/15/397 | 335,780 | 58,183 | ||||
Federal National Mortgage Assn.: | ||||||
2.50%, 9/1/325 | 66,125,000 | 67,049,714 | ||||
3.00%, 9/1/325 | 51,760,000 | 53,446,244 | ||||
3.50%, 9/1/475 | 92,850,000 | 96,206,688 | ||||
4.00%, 9/1/475 | 35,170,000 | 37,157,929 | ||||
4.50%, 10/1/475 | 55,680,000 | 59,838,628 | ||||
5.00%, 9/1/475 | 15,700,000 | 17,160,848 | ||||
Federal National Mortgage Assn. Pool: | ||||||
5.00%, 3/1/21 | 28,315 | 29,002 | ||||
5.50%, 2/1/35-4/1/39 | 989,119 | 1,101,775 | ||||
6.50%, 10/1/19-11/1/31 | 336,760 | 380,388 | ||||
7.00%, 12/1/32-4/1/35 | 36,899 | 40,167 | ||||
7.50%, 1/1/33-3/1/33 | 1,621,895 | 1,930,862 | ||||
8.50%, 7/1/32 | 6,612 | 7,146 | ||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||
Series 222,Cl. 2, 99.999%, 6/25/237 | 174,325 | 23,629 | ||||
Series 252,Cl. 2, 99.999%, 11/25/237 | 157,000 | 24,320 | ||||
Series 303,Cl. IO, 77.527%, 11/25/297 | 78,159 | 19,473 | ||||
Series 308,Cl. 2, 46.553%, 9/25/307 | 190,306 | 53,423 | ||||
Series 320,Cl. 2, 38.131%, 4/25/327 | 700,090 | 171,859 | ||||
Series 321,Cl. 2, 10.525%, 4/25/327 | 475,056 | 111,158 | ||||
Series 331,Cl. 9, 21.958%, 2/25/337 | 188,852 | 39,464 | ||||
Series 334,Cl. 17, 17.136%, 2/25/337 | 100,817 | 20,122 | ||||
Series 339,Cl. 12, 0.00%, 6/25/337,8 | 333,002 | 78,667 | ||||
Series 339,Cl. 7, 0.00%, 11/25/337,8 | 404,732 | 88,847 | ||||
Series 343,Cl. 13, 0.00%, 9/25/337,8 | 358,767 | 78,762 | ||||
Series 343,Cl. 18, 0.00%, 5/25/347,8 | 97,725 | 19,816 | ||||
Series 345,Cl. 9, 0.00%, 1/25/347,8 | 162,057 | 32,351 | ||||
Series 351,Cl. 10, 0.00%, 4/25/347,8 | 109,131 | 25,348 | ||||
Series 351,Cl. 8, 0.00%, 4/25/347,8 | 191,308 | 38,369 | ||||
Series 356,Cl. 10, 0.00%, 6/25/357,8 | 136,696 | 28,194 | ||||
Series 356,Cl. 12, 0.00%, 2/25/357,8 | 66,949 | 14,737 | ||||
Series 362,Cl. 13, 0.00%, 8/25/357,8 | 243,288 | 57,413 | ||||
Series 364,Cl. 16, 0.00%, 9/25/357,8 | 291,517 | 66,072 | ||||
Series 365,Cl. 16, 0.00%, 3/25/367,8 | 652,911 | 132,689 | ||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||
Series 1993-87,Cl. Z, 6.50%, 6/25/23 | 151,217 | 163,403 | ||||
Series 1998-61,Cl. PL, 6.00%, 11/25/28 | 84,306 | 94,474 | ||||
Series 1999-54,Cl. LH, 6.50%, 11/25/29 | 129,195 | 145,361 | ||||
Series 2001-51,Cl. OD, 6.50%, 10/25/31 | 208,556 | 227,871 |
27 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||
(Continued) | ||||||
Series 2003-100,Cl. PA, 5.00%, 10/25/18 | $ | 290,267 | $ 293,021 | |||
Series 2003-130,Cl. CS, 11.631% [(2) x LIBOR01M+1,410], 12/25/332 | 94,090 | 102,289 | ||||
Series 2003-28,Cl. KG, 5.50%, 4/25/23 | 345,805 | 367,154 | ||||
Series 2003-84,Cl. GE, 4.50%, 9/25/18 | 18,995 | 19,178 | ||||
Series 2004-25,Cl. PC, 5.50%, 1/25/34 | 91,828 | 93,681 | ||||
Series 2005-104,Cl. MC, 5.50%, 12/25/25 | 1,824,078 | 1,944,605 | ||||
Series 2005-31,Cl. PB, 5.50%, 4/25/35 | 1,430,000 | 1,626,865 | ||||
Series 2005-73,Cl. DF, 1.484% [LIBOR01M+25], 8/25/352 | 732,807 | 735,846 | ||||
Series 2006-11,Cl. PS, 20.04% [(3.667) x LIBOR01M+2,456.67], 3/25/362 | 109,906 | 160,188 | ||||
Series 2006-46,Cl. SW, 19.673% [(3.667) x LIBOR01M+2,419.92], 6/25/362 | 80,119 | 115,296 | ||||
Series 2006-50,Cl. KS, 19.674% [(3.667) x LIBOR01M+2,420], 6/25/362 | 158,346 | 227,483 | ||||
Series 2006-50,Cl. SK, 19.674% [(3.667) x LIBOR01M+2,420], 6/25/362 | 31,512 | 43,870 | ||||
Series 2008-75,Cl. DB, 4.50%, 9/25/23 | 94,650 | 95,657 | ||||
Series 2009-113,Cl. DB, 3.00%, 12/25/20 | 256,692 | 258,407 | ||||
Series 2009-36,Cl. FA, 2.174% [LIBOR01M+94], 6/25/372 | 166,171 | 169,712 | ||||
Series 2009-37,Cl. HA, 4.00%, 4/25/19 | 70,631 | 70,931 | ||||
Series 2009-70,Cl. TL, 4.00%, 8/25/19 | 284,867 | 286,416 | ||||
Series 2010-43,Cl. KG, 3.00%, 1/25/21 | 145,683 | 146,983 | ||||
Series 2011-15,Cl. DA, 4.00%, 3/25/41 | 108,955 | 113,019 | ||||
Series 2011-3,Cl. EL, 3.00%, 5/25/20 | 430,065 | 432,540 | ||||
Series 2011-3,Cl. KA, 5.00%, 4/25/40 | 602,969 | 645,980 | ||||
Series 2011-38,Cl. AH, 2.75%, 5/25/20 | 9,887 | 9,918 | ||||
Series 2011-82,Cl. AD, 4.00%, 8/25/26 | 313,128 | 317,376 | ||||
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%, 3/17/317 | 28,613 | 2,254 | ||||
Series 2001-65,Cl. S, 46.083%, 11/25/317 | 173,814 | 34,334 | ||||
Series 2001-81,Cl. S, 40.077%, 1/25/327 | 42,902 | 8,492 | ||||
Series 2002-47,Cl. NS, 28.558%, 4/25/327 | 103,328 | 22,521 | ||||
Series 2002-51,Cl. S, 28.769%, 8/25/327 | 94,869 | 19,757 | ||||
Series 2002-52,Cl. SD, 61.772%, 9/25/327 | 148,057 | 31,867 | ||||
Series 2002-60,Cl. SM, 25.835%, 8/25/327 | 137,548 | 24,987 | ||||
Series 2002-7,Cl. SK, 33.22%, 1/25/327 | 42,160 | 8,026 | ||||
Series 2002-75,Cl. SA, 35.485%, 11/25/327 | 208,090 | 45,363 | ||||
Series 2002-77,Cl. BS, 27.473%, 12/18/327 | 90,113 | 19,789 | ||||
Series 2002-77,Cl. SH, 47.824%, 12/18/327 | 64,108 | 13,807 | ||||
Series 2002-89,Cl. S, 66.829%, 1/25/337 | 353,929 | 80,920 | ||||
Series 2002-9,Cl. MS, 29.206%, 3/25/327 | 57,002 | 11,483 | ||||
Series 2002-90,Cl. SN, 26.581%, 8/25/327 | 70,828 | 12,867 | ||||
Series 2002-90,Cl. SY, 32.869%, 9/25/327 | 35,574 | 6,467 | ||||
Series 2003-33,Cl. SP, 36.605%, 5/25/337 | 188,811 | 44,786 | ||||
Series 2003-46,Cl. IH, 0.00%, 6/25/237,8 | 310,540 | 32,343 |
28 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 2004-54,Cl. DS, 99.999%, 11/25/307 | $ | 137,477 | $ 25,111 | |||
Series 2004-56,Cl. SE, 14.498%, 10/25/337 | 249,887 | 50,374 | ||||
Series 2005-12,Cl. SC, 35.782%, 3/25/357 | 77,822 | 12,575 | ||||
Series 2005-19,Cl. SA, 58.378%, 3/25/357 | 1,615,459 | 308,690 | ||||
Series 2005-40,Cl. SA, 63.073%, 5/25/357 | 357,185 | 56,068 | ||||
Series 2005-52,Cl. JH, 38.255%, 5/25/357 | 883,996 | 145,606 | ||||
Series 2005-6,Cl. SE, 99.999%, 2/25/357 | 696,116 | 136,888 | ||||
Series 2005-93,Cl. SI, 16.873%, 10/25/357 | 395,209 | 62,680 | ||||
Series 2008-55,Cl. SA, 0.00%, 7/25/387,8 | 159,169 | 18,165 | ||||
Series 2009-8,Cl. BS, 3.745%, 2/25/247 | 15,598 | 723 | ||||
Series 2011-96,Cl. SA, 12.124%, 10/25/417 | 954,206 | 175,403 | ||||
Series 2012-134,Cl. SA, 6.725%, 12/25/427 | 2,779,232 | 588,805 | ||||
Series 2012-40,Cl. PI, 5.162%, 4/25/417 | 2,926,330 | 430,341 | ||||
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%, 9/25/239 | 68,941 | 64,687 | ||||
355,579,788 | ||||||
GNMA/Guaranteed1.6% | ||||||
Government National Mortgage Assn. II Pool: | ||||||
3.50%, 9/1/475 | 27,365,000 | 28,537,632 | ||||
4.00%, 9/1/475 | 12,335,000 | 12,998,970 | ||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||
Series 2002-15,Cl. SM, 99.999%, 2/16/327 | 174,628 | 22,463 | ||||
Series 2002-41,Cl. GS, 99.999%, 6/16/327 | 42,749 | 3,200 | ||||
Series 2002-76,Cl. SY, 99.999%, 12/16/267 | 373,458 | 52,467 | ||||
Series 2007-17,Cl. AI, 47.029%, 4/16/377 | 1,533,947 | 289,324 | ||||
Series 2011-52,Cl. HS, 25.859%, 4/16/417 | 1,753,228 | 276,693 | ||||
42,180,749 | ||||||
Non-Agency6.6% | ||||||
Commercial2.5% | ||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.69% [H15T1Y+210], 9/26/352,4 | 481,187 | 484,464 | ||||
CD Commercial Mortgage Trust: | ||||||
Series 2016-CD2,Cl. AM, 3.668%, 11/10/4910 | 1,035,000 | 1,084,877 | ||||
Series 2017-CD3,Cl. AS, 3.833%, 2/10/50 | 1,475,000 | 1,568,463 | ||||
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.31%, 1/25/3610 | 943,235 | 912,127 | ||||
COMM Mortgage Trust: | ||||||
Series 2013-CR6,Cl. AM, 3.147%, 3/10/464 | 1,520,000 | 1,552,827 | ||||
Series 2013-CR7,Cl. D, 4.427%, 3/10/464,10 | 2,075,000 | 1,669,002 | ||||
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47 | 4,410,000 | 4,692,754 | ||||
Series 2014-LC15,Cl. AM, 4.198%, 4/10/47 | 980,000 | 1,052,534 | ||||
Series 2014-UBS6,Cl. AM, 4.048%, 12/10/47 | 3,020,000 | 3,210,557 | ||||
Series 2015-CR23,Cl. AM, 3.801%, 5/10/48 | 1,760,000 | 1,845,590 |
29 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Commercial (Continued) | ||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 26.471%, 12/10/457 | $ | 5,255,512 | $ 309,959 | |||
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6%, 7/25/36 | 1,191,719 | 1,051,700 | ||||
Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, 3.539%, 5/10/49 | 945,000 | 973,100 | ||||
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 1.884% [US0001M+65], 11/25/352 | 523,029 | 379,695 | ||||
FREMF Mortgage Trust: | ||||||
Series 2011-K702,Cl. B, 4.93%, 4/25/444,10 | 360,000 | 364,270 | ||||
Series 2013-K25,Cl. C, 3.744%, 11/25/454,10 | 350,000 | 353,190 | ||||
Series 2013-K26,Cl. C, 3.722%, 12/25/454,10 | 460,000 | 463,649 | ||||
Series 2013-K27,Cl. C, 3.615%, 1/25/464,10 | 400,000 | 401,080 | ||||
Series 2013-K28,Cl. C, 3.61%, 6/25/464,10 | 2,460,000 | 2,465,482 | ||||
Series 2013-K502,Cl. C, 8.131%, 3/25/454,10 | 93,693 | 93,526 | ||||
Series 2013-K712,Cl. C, 3.481%, 5/25/454,10 | 730,000 | 735,110 | ||||
Series 2013-K713,Cl. C, 3.274%, 4/25/464,10 | 480,000 | 484,653 | ||||
Series 2014-K714,Cl. C, 3.849%, 1/25/474,10 | 325,000 | 331,096 | ||||
Series 2014-K715,Cl. C, 4.266%, 2/25/464,10 | 155,000 | 159,164 | ||||
Series 2015-K44,Cl. B, 3.81%, 1/25/484,10 | 170,000 | 174,257 | ||||
Series 2017-K62,Cl. B, 4.004%, 1/25/504,10 | 150,000 | 156,137 | ||||
GS Mortgage Securities Trust, Series 2013-GC16, Cl. AS, 4.649%, 11/10/46 | 455,000 | 500,939 | ||||
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/374,10 | 1,187,717 | 1,145,943 | ||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||
Series 2013-C10,Cl. AS, 3.372%, 12/15/47 | 2,090,000 | 2,156,756 | ||||
Series 2013-C16,Cl. AS, 4.517%, 12/15/46 | 2,005,000 | 2,192,721 | ||||
Series 2013-LC11,Cl. AS, 3.216%, 4/15/46 | 270,000 | 276,555 | ||||
Series 2014-C20,Cl. AS, 4.043%, 7/15/47 | 1,570,000 | 1,670,786 | ||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.479%, 7/25/3510 | 913,033 | 938,909 | ||||
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 3.386%, 7/26/364,10 | 901,150 | 861,837 | ||||
JPMBB Commercial Mortgage Securities Trust: | ||||||
Series 2014-C24,Cl. B, 4.116%, 11/15/4710 | 1,945,000 | 2,031,766 | ||||
Series 2014-C25,Cl. AS, 4.065%, 11/15/47 | 3,600,000 | 3,832,762 | ||||
Series 2014-C26,Cl. AS, 3.80%, 1/15/48 | 1,775,000 | 1,860,425 | ||||
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Cl. AS, 3.385%, 12/15/49 | 1,480,000 | 1,510,229 | ||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||
Series 2013-C9,Cl. AS, 3.456%, 5/15/46 | 1,670,000 | 1,726,866 | ||||
Series 2014-C14,Cl. B, 4.80%, 2/15/4710 | 80,000 | 86,811 | ||||
Series 2014-C19,Cl. AS, 3.832%, 12/15/47 | 3,650,000 | 3,835,341 | ||||
Series 2016-C30,Cl. AS, 3.175%, 9/15/49 | 2,555,000 | 2,551,941 | ||||
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.127%, 11/26/364,10 | 1,861,680 | 1,582,090 | ||||
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.05%, 6/26/464,10 | 1,044,038 | 1,046,292 |
30 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Commercial (Continued) | ||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 3.215%, 7/26/454,10 | $ | 199,422 | $ 204,507 | |||
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 3.363%, 8/25/3410 | 496,513 | 499,764 | ||||
Wells Fargo Commercial Mortgage Trust: | ||||||
Series 2015-C29,Cl. AS, 4.013%, 6/15/4810 | 1,250,000 | 1,330,429 | ||||
Series 2016-C37,Cl. AS, 4.018%, 12/15/49 | 2,665,000 | 2,852,903 | ||||
WF-RBS Commercial Mortgage Trust: | ||||||
Series 2012-C7,Cl. E, 4.984%, 6/15/454,10 | 500,000 | 423,799 | ||||
Series 2013-C14,Cl. AS, 3.488%, 6/15/46 | 1,045,000 | 1,088,108 | ||||
Series 2014-C20,Cl. AS, 4.176%, 5/15/47 | 905,000 | 966,378 | ||||
Series 2014-LC14,Cl. AS, 4.351%, 3/15/4710 | 1,000,000 | 1,081,251 | ||||
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 32.528%, 3/15/444,7 | 12,636,249 | 434,986 | ||||
65,660,357
| ||||||
Residential4.1% | ||||||
Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 2.014% [US0001M+78], 6/25/352 | 4,000,000 | 3,998,565 | ||||
Banc of America Funding Trust: | ||||||
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37 | 151,868 | 142,130 | ||||
Series 2007-C,Cl. 1A4, 3.192%, 5/20/3610 | 163,615 | 150,607 | ||||
Series 2014-R7,Cl. 3A1, 3.154%, 3/26/364,10 | 1,464,403 | 1,466,100 | ||||
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37 | 486,772 | 468,895 | ||||
Bear Stearns ARM Trust: | ||||||
Series 2005-2,Cl. A1, 3.26% [H15T1Y+245], 3/25/352 | 1,483,119 | 1,500,843 | ||||
Series 2005-9,Cl. A1, 3.52% [H15T1Y+230], 10/25/352 | 990,456 | 1,003,230 | ||||
Series 2006-1,Cl. A1, 2.91% [H15T1Y+225], 2/25/362 | 1,468,912 | 1,474,418 | ||||
Bear Stearns Asset Backed Securities I Trust: | ||||||
Series 2004-HE9,Cl. M2, 3.034% [US0001M+180], 11/25/342 | 1,416,913 | 1,403,923 | ||||
Series 2005-HE6,Cl. M2, 2.239% [US0001M+100.5], 6/25/352 | 3,454,549 | 3,476,743 | ||||
CHL Mortgage Pass-Through Trust: | ||||||
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35 | 607,555 | 558,632 | ||||
Series 2006-6,Cl. A3, 6.00%, 4/25/36 | 296,311 | 263,979 | ||||
Citigroup Mortgage Loan Trust, Inc.: | ||||||
Series 2004-OPT1,Cl. M3, 2.179% [US0001M+94.5], 10/25/342 | 3,750,000 | 3,666,794 | ||||
Series 2006-AR1,Cl. 1A1, 3.21% [H15T1Y+240], 10/25/352 | 2,765,436 | 2,780,268 | ||||
Connecticut Avenue Securities: | ||||||
Series 2014-C02,Cl. 1M1, 2.184% [US0001M+95], 5/25/242 | 1,053,839 | 1,057,517 | ||||
Series 2014-C02,Cl. 2M1, 2.184% [US0001M+95], 5/25/242 | 215,766 | 216,018 | ||||
Series 2014-C03,Cl. 1M1, 2.434% [US0001M+120], 7/25/242 | 630,255 | 631,200 | ||||
Series 2014-C03,Cl. 1M2, 4.234% [US0001M+300], 7/25/242 | 2,070,000 | 2,174,025 | ||||
Series 2014-C03,Cl. 2M1, 2.434% [US0001M+120], 7/25/242 | 142,852 | 143,008 | ||||
Series 2015-C04,Cl. 1M1, 2.834% [US0001M+160], 4/25/282 | 458,857 | 459,283 | ||||
Series 2016-C03,Cl. 1M1, 3.234% [US0001M+200], 10/25/282 | 122,025 | 124,352 | ||||
Series 2016-C07,Cl. 2M1, 2.534% [US0001M+130], 4/25/292 | 1,422,332 | 1,431,137 | ||||
Series 2016-C07,Cl. 2M2, 5.584% [US0001M+435], 4/25/292 | 870,000 | 954,254 |
31 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Residential (Continued) | ||||||
Connecticut Avenue Securities: (Continued) | ||||||
Series 2017-C01,Cl. 1M2, 4.784% [US0001M+355], 7/25/292 | $ | 720,000 | $ 753,337 | |||
Series 2017-C02,Cl. 2M1, 2.384% [US0001M+115], 9/25/292 | 2,214,138 | 2,233,502 | ||||
Series 2017-C02,Cl. 2M2, 4.884% [US0001M+365], 9/25/292 | 2,305,000 | 2,421,418 | ||||
Series 2017-C03,Cl. 1M1, 2.184% [US0001M+95], 10/25/292 | 771,763 | 773,758 | ||||
Countrywide Alternative Loan Trust: | ||||||
Series 2005-21CB,Cl. A7, 5.50%, 6/25/35 | 779,818 | 749,928 | ||||
Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35 | 2,933,346 | 2,688,187 | ||||
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/3710 | 9,193 | 9,035 | ||||
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.536%, 7/25/3510 | 293,539 | 295,679 | ||||
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 1.544% [US0001M+31], 7/25/352 | 375,742 | 376,124 | ||||
Impac Secured Assets CMN Owner Trust, Series 2004-4, Cl. M4, 2.659% [US0001M+142.5], 2/25/352 | 5,000,000 | 4,754,649 | ||||
RAMP Trust: | ||||||
Series 2005-RS2,Cl. M4, 1.954% [US0001M+72], 2/25/352 | 4,469,000 | 4,474,327 | ||||
Series 2005-RS6,Cl. M4, 2.209% [US0001M+97.5], 6/25/352 | 5,700,000 | 5,715,140 | ||||
Series 2006-EFC1,Cl. M2, 1.634% [US0001M+40], 2/25/362 | 5,490,000 | 5,259,789 | ||||
Structured Agency Credit Risk Debt Nts.: | ||||||
Series 2013-DN2,Cl. M2, 5.484% [US0001M+425], 11/25/232 | 1,630,000 | 1,817,585 | ||||
Series 2014-DN1,Cl. M3, 5.734% [US0001M+450], 2/25/242 | 1,180,000 | 1,378,629 | ||||
Series 2014-HQ2,Cl. M3, 4.984% [US0001M+375], 9/25/242 | 2,270,000 | 2,545,879 | ||||
Series 2015-HQA2,Cl. M2, 4.034% [US0001M+280], 5/25/282 | 272,925 | 281,526 | ||||
Series 2016-DNA1,Cl. M2, 4.132% [US0001M+290], 7/25/282 | 500,000 | 518,273 | ||||
Series 2016-DNA2,Cl. M1, 2.484% [US0001M+125], 10/25/282 | 1,611,684 | 1,614,340 | ||||
Series 2016-DNA3,Cl. M1, 2.334% [US0001M+110], 12/25/282 | 1,130,617 | 1,133,154 | ||||
Series 2016-DNA4,Cl. M1, 2.034% [US0001M+80], 3/25/292 | 939,936 | 940,175 | ||||
Series 2016-DNA4,Cl. M3, 5.034% [US0001M+380], 3/25/292 | 2,290,000 | 2,501,974 | ||||
Series 2016-HQA2,Cl. M1, 2.434% [US0001M+120], 11/25/282 | 724,659 | 726,593 | ||||
Series 2016-HQA3,Cl. M1, 2.034% [US0001M+80], 3/25/292 | 3,887,163 | 3,898,967 | ||||
Series 2016-HQA3,Cl. M3, 5.084% [US0001M+385], 3/25/292 | 2,180,000 | 2,379,021 | ||||
Series 2016-HQA4,Cl. M1, 2.034% [US0001M+80], 4/25/292 | 2,197,152 | 2,197,459 | ||||
Series 2016-HQA4,Cl. M3, 5.134% [US0001M+390], 4/25/292 | 2,270,000 | 2,433,774 | ||||
Series 2017-DNA1,Cl. M2, 4.484% [US0001M+325], 7/25/292 | 1,225,000 | 1,261,516 | ||||
Series 2017-HQA1,Cl. M1, 2.434% [US0001M+120], 8/25/292 | 1,731,805 | 1,746,647 | ||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007- GEL2, Cl. A2, 1.554% [US0001M+32], 5/25/372,4 | 11,036,614 | 10,972,115 | ||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||
Series 2003-AR10,Cl. A7, 2.839%, 10/25/3310 | 462,689 | 475,469 | ||||
Series 2005-AR14,Cl. 1A4, 2.872%, 12/25/3510 | 608,737 | 596,070 | ||||
Series 2005-AR16,Cl. 1A1, 2.904%, 12/25/3510 | 670,374 | 654,308 | ||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||
Series 2005-AR13,Cl. 1A5, 3.378%, 5/25/3510 | 55,095 | 55,420 | ||||
Series 2005-AR15,Cl. 1A2, 3.525%, 9/25/3510 | 1,092,310 | 1,060,500 | ||||
Series 2005-AR15,Cl. 1A6, 3.525%, 9/25/3510 | 559,011 | 538,785 | ||||
Series 2005-AR4,Cl. 2A2, 3.329%, 4/25/3510 | 2,624,117 | 2,638,898 | ||||
Series 2006-AR10,Cl. 1A1, 3.297%, 7/25/3610 | 367,891 | 358,714 |
32 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Residential (Continued) | ||||||
Wells Fargo Mortgage-Backed Securities Trust: (Continued) | ||||||
Series 2006-AR10,Cl. 5A5, 3.386%, 7/25/3610 | $ | 1,765,309 | $ 1,779,224 | |||
Series 2006-AR2,Cl. 2A3, 3.154%, 3/25/3610 | 242,790 | 244,894 | ||||
Series 2006-AR7,Cl. 2A4, 3.329%, 5/25/3610 | 119,112 | 115,016 | ||||
Series 2006-AR8,Cl. 2A1, 3.34%, 4/25/3610 | 1,688,807 | 1,708,497 | ||||
Series 2006-AR8,Cl. 2A4, 3.34%, 4/25/3610 | 323,558 | 327,330 | ||||
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37 | 248,115 | 259,900 | ||||
109,211,446 | ||||||
Total Mortgage-Backed Obligations (Cost $562,387,599)
|
572,632,340
| |||||
U.S. Government Obligations0.2% | ||||||
United States Treasury Nts.: | ||||||
0.75%, 2/28/1811,12 | 202,000 | 201,645 | ||||
1.50%, 5/31/1911,12,13 | 4,530,000 | 4,544,510 | ||||
Total U.S. Government Obligations (Cost $4,742,204)
|
4,746,155
| |||||
Non-Convertible Corporate Bonds and Notes22.2% | ||||||
Consumer Discretionary2.8% | ||||||
Auto Components0.1% | ||||||
Lear Corp., 3.80% Sr. Unsec. Nts., 9/15/27
|
|
1,373,000
|
|
1,378,959
| ||
Automobiles0.7% | ||||||
Daimler Finance North America LLC: | ||||||
2.20% Sr. Unsec. Nts., 5/5/204 | 1,947,000 | 1,952,767 | ||||
8.50% Sr. Unsec. Unsub. Nts., 1/18/31 | 1,137,000 | 1,715,494 | ||||
Ford Motor Credit Co. LLC: | ||||||
2.425% Sr. Unsec. Nts., 6/12/20 | 1,506,000 | 1,510,408 | ||||
3.664% Sr. Unsec. Nts., 9/8/24 | 2,947,000 | 2,963,236 | ||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | 1,021,000 | 1,144,914 | ||||
General Motors Financial Co., Inc.: | ||||||
3.00% Sr. Unsec. Nts., 9/25/17 | 2,330,000 | 2,331,878 | ||||
3.15% Sr. Unsec. Nts., 6/30/22 | 2,051,000 | 2,064,357 | ||||
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45 | 616,000 | 659,400 | ||||
Hyundai Capital America, 1.75% Sr. Unsec. Nts., 9/27/194 | 2,363,000 | 2,335,227 | ||||
Nissan Motor Acceptance Corp., 1.55% Sr. Unsec. Nts., 9/13/194 | 566,000 | 561,470 | ||||
ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/254 | 2,198,000 | 2,313,395 | ||||
19,552,546
| ||||||
Diversified Consumer Services0.1% | ||||||
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24
|
|
1,729,000
|
|
1,845,708
| ||
Hotels, Restaurants & Leisure0.1% | ||||||
Aramark Services, Inc., 5% Sr. Unsec. Nts., 4/1/254 | 1,150,000 | 1,216,470 | ||||
Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22 | 975,000 | 1,004,268 | ||||
2,220,738
| ||||||
Household Durables0.4% | ||||||
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25 | 2,283,000 | 2,377,174 |
33 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Household Durables (Continued) | ||||||
Newell Brands, Inc.: | ||||||
2.15% Sr. Unsec. Nts., 10/15/18 | $ | 1,412,000 | $ 1,417,551 | |||
5.00% Sr. Unsec. Nts., 11/15/23 | 2,306,000 | 2,463,337 | ||||
5.50% Sr. Unsec. Nts., 4/1/46 | 669,000 | 802,504 | ||||
PulteGroup, Inc., 5% Sr. Unsec. Nts., 1/15/27 | 1,853,000 | 1,915,539 | ||||
Toll Brothers Finance Corp.: | ||||||
4.375% Sr. Unsec. Nts., 4/15/23 | 1,720,000 | 1,795,250 | ||||
4.875% Sr. Unsec. Nts., 3/15/27 | 485,000 | 499,550 | ||||
Whirlpool Corp., 1.65% Sr. Unsec. Nts., 11/1/17 | 510,000 | 510,044 | ||||
11,780,949
| ||||||
Internet & Catalog Retail0.2% | ||||||
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44 | 675,000 | 790,373 | ||||
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 3,825,000 | 3,891,026 | ||||
4,681,399
| ||||||
Leisure Equipment & Products0.1% | ||||||
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18
|
|
2,288,000
|
|
2,287,935
| ||
Media0.6% | ||||||
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46 | 888,000 | 965,954 | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/474 | 1,579,000 | 1,617,870 | ||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 2,047,000 | 2,742,812 | ||||
Historic TW, Inc., 9.15% Debs., 2/1/23 | 560,000 | 727,939 | ||||
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 | 790,000 | 839,169 | ||||
Sky plc: | ||||||
3.75% Sr. Unsec. Nts., 9/16/244 | 1,054,000 | 1,092,884 | ||||
6.10% Sr. Unsec. Nts., 2/15/184 | 752,000 | 766,947 | ||||
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17 | 2,350,000 | 2,350,118 | ||||
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | 1,218,000 | 1,128,760 | ||||
Time Warner, Inc., 3.875% Sr. Unsec. Nts., 1/15/26 | 100,000 | 102,238 | ||||
Viacom, Inc.: | ||||||
2.25% Sr. Unsec. Nts., 2/4/22 | 462,000 | 447,159 | ||||
3.45% Sr. Unsec. Nts., 10/4/26 | 559,000 | 540,128 | ||||
4.375% Sr. Unsec. Nts., 3/15/43 | 1,486,000 | 1,280,585 | ||||
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/264 | 1,502,000 | 1,571,468 | ||||
16,174,031
| ||||||
Multiline Retail0.1% | ||||||
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23
|
|
2,140,000
|
|
2,268,400
| ||
Specialty Retail0.3% | ||||||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19 | 412,000 | 410,419 | ||||
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 | 1,381,000 | 1,503,765 | ||||
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22 | 784,000 | 832,020 | ||||
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | 2,085,000 | 2,142,089 |
34 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Specialty Retail (Continued) | ||||||
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25 | $ | 1,165,000 | $ 1,195,593 | |||
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | 1,073,000 | 1,058,612 | ||||
7,142,498
| ||||||
Textiles, Apparel & Luxury Goods0.1% | ||||||
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/264 | 1,572,000 | 1,642,740 | ||||
Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25 | 999,000 | 1,048,950 | ||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | 1,029,000 | 1,060,899 | ||||
3,752,589
| ||||||
Consumer Staples1.4% | ||||||
Beverages0.4% | ||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||
1.90% Sr. Unsec. Nts., 2/1/19 | 2,720,000 | 2,729,778 | ||||
3.65% Sr. Unsec. Nts., 2/1/26 | 439,000 | 458,161 | ||||
4.90% Sr. Unsec. Nts., 2/1/46 | 545,000 | 623,483 | ||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 1,561,000 | 2,486,770 | ||||
Molson Coors Brewing Co.: | ||||||
2.10% Sr. Unsec. Nts., 7/15/21 | 2,019,000 | 1,999,017 | ||||
4.20% Sr. Unsec. Nts., 7/15/46 | 324,000 | 325,111 | ||||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/224 | 1,715,000 | 1,842,665 | ||||
10,464,985
| ||||||
Food & Staples Retailing0.0% | ||||||
Kroger Co. (The): | ||||||
2.00% Sr. Unsec. Nts., 1/15/19 | 156,000 | 156,440 | ||||
6.90% Sr. Unsec. Nts., 4/15/38 | 546,000 | 693,791 | ||||
850,231
| ||||||
Food Products0.6% | ||||||
Bunge Ltd. Finance Corp.: | ||||||
3.25% Sr. Unsec. Nts., 8/15/26 | 1,427,000 | 1,394,925 | ||||
8.50% Sr. Unsec. Nts., 6/15/19 | 1,820,000 | 2,023,052 | ||||
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17 | 2,370,000 | 2,370,075 | ||||
Kraft Heinz Foods Co.: | ||||||
3.95% Sr. Unsec. Nts., 7/15/25 | 1,343,000 | 1,389,889 | ||||
4.375% Sr. Unsec. Nts., 6/1/46 | 1,433,000 | 1,403,912 | ||||
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/264 | 1,203,000 | 1,251,301 | ||||
Mondelez International Holdings Netherlands BV, 1.625% Sr. Unsec. Nts., 10/28/194 | 2,329,000 | 2,311,318 | ||||
Smithfield Foods, Inc., 2.70% Sr. Unsec. Nts., 1/31/204 | 2,326,000 | 2,344,670 | ||||
TreeHouse Foods, Inc., 6% Sr. Unsec. Nts., 2/15/244 | 1,110,000 | 1,179,375 | ||||
Tyson Foods, Inc., 3.55% Sr. Unsec. Nts., 6/2/27 | 1,139,000 | 1,165,337 | ||||
16,833,854 |
35 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Household Products0.1% | ||||||
Reckitt Benckiser Treasury Services plc, 2.375% Sr. Unsec. Nts., 6/24/224
|
$
|
2,034,000
|
|
$ 2,036,522
| ||
Tobacco0.3% | ||||||
Altria Group, Inc.: | ||||||
3.875% Sr. Unsec. Nts., 9/16/46 | 1,375,000 | 1,333,825 | ||||
4.00% Sr. Unsec. Nts., 1/31/24 | 1,538,000 | 1,653,579 | ||||
BAT Capital Corp., 3.557% Sr. Unsec. Nts., 8/15/274 | 1,140,000 | 1,158,616 | ||||
Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/184 | 2,365,000 | 2,366,500 | ||||
Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45 | 777,000 | 942,585 | ||||
7,455,105
| ||||||
Energy2.0% | ||||||
Energy Equipment & Services0.2% | ||||||
Halliburton Co., 5% Sr. Unsec. Nts., 11/15/45 | 501,000 | 544,710 | ||||
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25 | 1,300,000 | 1,396,676 | ||||
Schlumberger Holdings Corp.: | ||||||
1.90% Sr. Unsec. Nts., 12/21/174 | 2,205,000 | 2,206,600 | ||||
4.00% Sr. Unsec. Nts., 12/21/254 | 1,276,000 | 1,352,841 | ||||
5,500,827
| ||||||
Oil, Gas & Consumable Fuels1.8% | ||||||
Anadarko Petroleum Corp.: | ||||||
4.50% Sr. Unsec. Nts., 7/15/44 | 431,000 | 406,612 | ||||
6.20% Sr. Unsec. Nts., 3/15/40 | 423,000 | 480,751 | ||||
Andeavor, 5.125% Sr. Unsec. Nts., 12/15/264 | 2,076,000 | 2,270,565 | ||||
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43 | 650,000 | 645,363 | ||||
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24 | 1,166,000 | 1,243,604 | ||||
BP Capital Markets plc, 1.676% Sr. Unsec. Nts., 5/3/19 | 2,326,000 | 2,326,518 | ||||
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26 | 557,000 | 554,940 | ||||
Cenovus Energy, Inc., 5.40% Sr. Unsec. Nts., 6/15/474 | 222,000 | 210,026 | ||||
Chevron Corp., 1.561% Sr. Unsec. Nts., 5/16/19 | 2,300,000 | 2,299,949 | ||||
Columbia Pipeline Group, Inc.: | ||||||
3.30% Sr. Unsec. Nts., 6/1/20 | 2,069,000 | 2,129,684 | ||||
4.50% Sr. Unsec. Nts., 6/1/25 | 1,109,000 | 1,192,995 | ||||
ConocoPhillips Co.: | ||||||
4.95% Sr. Unsec. Nts., 3/15/26 | 280,000 | 315,107 | ||||
5.95% Sr. Unsec. Nts., 3/15/46 | 523,000 | 675,269 | ||||
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | 641,000 | 630,206 | ||||
Energy Transfer LP, 5.30% Sr. Unsec. Nts., 4/15/47 | 638,000 | 639,221 | ||||
EnLink Midstream Partners LP, 4.85% Sr. Unsec. Nts., 7/15/26 | 566,000 | 593,570 | ||||
Enterprise Products Operating LLC: | ||||||
4.85% Sr. Unsec. Nts., 8/15/42 | 541,000 | 577,039 | ||||
4.90% Sr. Unsec. Nts., 5/15/46 | 246,000 | 267,123 | ||||
EQT Corp., 6.50% Sr. Unsec. Nts., 4/1/18 | 1,102,000 | 1,133,548 | ||||
Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45 | 1,799,000 | 1,914,573 | ||||
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/204 | 15,300,000 | 16,711,119 | ||||
Marathon Oil Corp., 4.40% Sr. Unsec. Nts., 7/15/27 | 1,168,000 | 1,183,972 |
36 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Oil, Gas & Consumable Fuels (Continued) | ||||||
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 | $ | 621,000 | $ 630,117 | |||
ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25 | 1,020,000 | 1,107,656 | ||||
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25 | 989,000 | 996,340 | ||||
Sabine Pass Liquefaction LLC, 4.20% Sr. Sec. Nts., 3/15/28 | 1,157,000 | 1,163,928 | ||||
Shell International Finance BV, 4% Sr. Unsec. Nts., 5/10/46 | 790,000 | 804,286 | ||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.25% Sr. Unsec. Nts., 1/15/25 | 1,660,000 | 1,765,825 | ||||
Williams Partners LP, 3.75% Sr. Unsec. Nts., 6/15/27 | 949,000 | 951,446 | ||||
45,821,352 | ||||||
Financials9.7% | ||||||
Capital Markets2.1% | ||||||
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/244 | 1,741,000 | 1,797,214 | ||||
Bank of New York Mellon Corp. (The), 3% Sub. Nts., 10/30/28 | 966,000 | 953,479 | ||||
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25 | 2,243,000 | 2,328,529 | ||||
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24 | 1,274,000 | 1,337,341 | ||||
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 | 860,000 | 926,117 | ||||
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds2,14 | 2,370,000 | 2,529,975 | ||||
Goldman Sachs Capital II, 4% [US0003M+76.75] Jr. Sub. Perpetual Bonds2,14 | 296,000 | 267,116 | ||||
Goldman Sachs Group, Inc. (The): | ||||||
3.50% Sr. Unsec. Nts., 11/16/26 | 1,367,000 | 1,378,837 | ||||
3.75% Sr. Unsec. Nts., 2/25/26 | 1,323,000 | 1,367,752 | ||||
5.70% [US0003M+388.4] Jr. Sub. Perpetual Bonds, Series L2,14 | 26,600,000 | 27,564,250 | ||||
Morgan Stanley: | ||||||
4.375% Sr. Unsec. Nts., 1/22/47 | 1,657,000 | 1,759,952 | ||||
5.00% Sub. Nts., 11/24/25 | 2,083,000 | 2,296,595 | ||||
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/264 | 2,188,000 | 2,275,520 | ||||
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/322 | 991,000 | 1,006,319 | ||||
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26 | 1,318,000 | 1,343,420 | ||||
S&P Global, Inc., 2.50% Sr. Unsec. Nts., 8/15/18 | 1,529,000 | 1,539,267 | ||||
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27 | 1,389,000 | 1,417,109 | ||||
UBS Group Funding Switzerland AG: | ||||||
4.125% Sr. Unsec. Nts., 4/15/264 | 1,387,000 | 1,473,239 | ||||
4.253% Sr. Unsec. Nts., 3/23/284 | 943,000 | 1,002,742 | ||||
54,564,773 | ||||||
Commercial Banks5.4% | ||||||
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/282 | 2,800,000 | 2,911,244 | ||||
Australia & New Zealand Banking Group Ltd. (New York), 2.625% Unsec. Nts., 5/19/22 | 2,293,000 | 2,322,966 | ||||
Bank of America Corp.: | ||||||
3.248% Sr. Unsec. Nts., 10/21/27 | 1,795,000 | 1,771,504 | ||||
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/282 | 1,235,000 | 1,275,115 | ||||
6.25% [US0003M+370.5] Jr. Sub. Perpetual Bonds2,14 | 1,383,000 | 1,521,646 | ||||
7.75% Jr. Sub. Nts., 5/14/38 | 1,548,000 | 2,273,550 | ||||
8.00% [US0003M+363] Jr. Sub. Perpetual Bonds, Series K2,14 | 25,170,000 | 25,658,298 |
37 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Commercial Banks (Continued) | ||||||
Barclays plc, 4.375% Sr. Unsec. Nts., 1/12/26 | $ | 2,864,000 | $ 3,021,683 | |||
BNP Paribas SA, 4.625% Sub. Nts., 3/13/274 | 1,582,000 | 1,687,503 | ||||
BPCE SA, 4.50% Sub. Nts., 3/15/254 | 1,565,000 | 1,623,728 | ||||
Citigroup, Inc.: | ||||||
4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/482 | 2,278,000 | 2,393,645 | ||||
4.75% Sub. Nts., 5/18/46 | 1,093,000 | 1,179,528 | ||||
Citizens Bank NA (Providence RI): | ||||||
2.55% Sr. Unsec. Nts., 5/13/21 | 1,309,000 | 1,321,523 | ||||
2.65% Sr. Unsec. Nts., 5/26/22 | 553,000 | 557,069 | ||||
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22 | 2,355,000 | 2,366,847 | ||||
Credit Agricole SA, 4.375% Sub. Nts., 3/17/254 | 2,656,000 | 2,772,638 | ||||
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26 | 1,368,000 | 1,428,593 | ||||
First Republic Bank, 4.375% Sub. Nts., 8/1/46 | 942,000 | 949,885 | ||||
Glencore Funding LLC, 4% Sr. Unsec. Nts., 4/16/254 | 1,348,000 | 1,378,152 | ||||
HSBC Holdings plc, 4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/282 | 1,093,000 | 1,151,530 | ||||
Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21 | 1,470,000 | 1,513,999 | ||||
Intesa Sanpaolo SpA, 3.875% Sr. Unsec. Nts., 7/14/274 | 1,864,000 | 1,872,246 | ||||
JPMorgan Chase & Co.: | ||||||
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/282 | 1,829,000 | 1,865,633 | ||||
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/282 | 3,630,000 | 3,771,861 | ||||
4.26% [US0003M+158] Sr. Unsec. Nts., 2/22/482 | 939,000 | 996,124 | ||||
6.10% [US0003M+333] Jr. Sub. Perpetual Bonds2,14 | 6,912,000 | 7,560,000 | ||||
7.90% [US0003M+347] Jr. Sub. Perpetual Bonds, Series 12,14 | 19,362,000 | 20,010,627 | ||||
KeyBank NA (Cleveland OH), 3.40% Sub. Nts., 5/20/26 | 1,878,000 | 1,906,391 | ||||
Lloyds Banking Group plc: | ||||||
6.413% [US0003M+149.5] Jr. Sub. Perpetual Bonds2,4,14 | 125,000 | 142,344 | ||||
6.657% [US0003M+127] Jr. Sub. Perpetual Bonds2,4,14 | 1,913,000 | 2,192,776 | ||||
Manufacturers & Traders Trust Co., 2.50% Sr. Unsec. Nts., 5/18/22 | 1,981,000 | 2,000,734 | ||||
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27 | 2,064,000 | 2,087,104 | ||||
Regions Bank (Birmingham AL), 2.25% Sr. Unsec. Nts., 9/14/18 | 1,896,000 | 1,903,779 | ||||
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22 | 1,539,000 | 1,549,467 | ||||
Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/232 | 1,636,000 | 1,655,534 | ||||
Standard Chartered plc, 2.821% [US0003M+151] Jr. Sub. Perpetual Bonds2,4,14 | 100,000 | 85,938 | ||||
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26 | 991,000 | 993,516 | ||||
US Bancorp: | ||||||
3.10% Sub. Nts., 4/27/26 | 1,392,000 | 1,405,376 | ||||
3.15% Sr. Unsec. Nts., 4/27/27 | 556,000 | 566,830 | ||||
Wells Fargo & Co.: | ||||||
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/282 | 1,863,000 | 1,909,459 | ||||
4.75% Sub. Nts., 12/7/46 | 1,323,000 | 1,444,587 | ||||
7.98% [US0003M+377] Jr. Sub. Perpetual Bonds, Series K2,14 | 13,982,000 | 14,383,982 | ||||
5.90% [US0003M+311] Jr. Sub. Perpetual Bonds, Series S2,14 | 12,443,000 | 13,516,209 | ||||
144,901,163 |
38 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Consumer Finance0.3% | ||||||
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22 | $ | 923,000 | $ 928,422 | |||
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27 | 1,393,000 | 1,425,373 | ||||
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27 | 918,000 | 932,784 | ||||
Discover Financial Services: | ||||||
3.75% Sr. Unsec. Nts., 3/4/25 | 1,087,000 | 1,097,512 | ||||
4.10% Sr. Unsec. Nts., 2/9/27 | 932,000 | 956,571 | ||||
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/194 | 1,657,000 | 1,763,428 | ||||
7,104,090
| ||||||
Diversified Financial Services0.3% | ||||||
Berkshire Hathaway Energy Co., 2% Sr. Unsec. Nts., 11/15/18 | 690,000 | 692,726 | ||||
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/254 | 1,191,000 | 1,226,442 | ||||
Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23 | 1,364,000 | 1,379,773 | ||||
Suntory Holdings Ltd., 1.65% Sr. Unsec. Nts., 9/29/174 | 1,199,000 | 1,199,155 | ||||
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/532 | 2,235,000 | 2,374,687 | ||||
6,872,783
| ||||||
Insurance1.3% | ||||||
Arch Capital Finance LLC, 4.011% Sr. Unsec. Nts., 12/15/26 | 1,372,000 | 1,447,181 | ||||
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | 1,402,000 | 1,543,171 | ||||
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/274 | 593,000 | 587,256 | ||||
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27 | 1,966,000 | 1,974,610 | ||||
Manulife Financial Corp., 4.061% [USSW5+164.7] Sub. Nts., 2/24/322 | 1,402,000 | 1,430,987 | ||||
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47 | 933,000 | 1,017,029 | ||||
MetLife, Inc.: | ||||||
5.25% [US0003M+357.5] Jr. Sub. Perpetual Bonds2,14 | 1,672,000 | 1,733,864 | ||||
10.75% Jr. Sub. Nts., 8/1/39 | 10,900,000 | 18,339,250 | ||||
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/244 | 2,153,000 | 2,294,123 | ||||
Progressive Corp. (The), 4.125% Sr. Unsec. Nts., 4/15/47 | 1,783,000 | 1,888,102 | ||||
Prudential Financial, Inc.: | ||||||
5.20% [US0003M+304] Jr. Sub. Nts., 3/15/442 | 1,779,000 | 1,883,516 | ||||
5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/452 | 426,000 | 457,950 | ||||
RenaissanceRe Finance, Inc., 3.45% Sr. Unsec. Nts., 7/1/27 | 985,000 | 989,975 | ||||
35,587,014
| ||||||
Real Estate Investment Trusts (REITs)0.3% | ||||||
American Tower Corp.: | ||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | 922,000 | 999,089 | ||||
5.90% Sr. Unsec. Nts., 11/1/21 | 1,053,000 | 1,197,273 | ||||
Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18 | 2,182,000 | 2,223,448 | ||||
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27 | 1,131,000 | 1,139,630 | ||||
VEREIT Operating Partnership LP, 3% Sr. Unsec. Nts., 2/6/19 | 859,000 | 869,799 | ||||
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/174 | 1,997,000 | 1,997,052 | ||||
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18 | 475,000 | 475,872 | ||||
8,902,163 |
39 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Health Care1.3% | ||||||
Biotechnology0.3% | ||||||
AbbVie, Inc.: | ||||||
3.60% Sr. Unsec. Nts., 5/14/25 | $ | 1,077,000 | $ 1,115,074 | |||
4.70% Sr. Unsec. Nts., 5/14/45 | 368,000 | 399,780 | ||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45 | 527,000 | 609,093 | ||||
Celgene Corp.: | ||||||
3.875% Sr. Unsec. Nts., 8/15/25 | 1,043,000 | 1,106,379 | ||||
5.00% Sr. Unsec. Nts., 8/15/45 | 257,000 | 294,588 | ||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46 | 922,000 | 1,033,036 | ||||
Shire Acquisitions Investments Ireland DAC: | ||||||
1.90% Sr. Unsec. Nts., 9/23/19 | 2,332,000 | 2,326,168 | ||||
3.20% Sr. Unsec. Nts., 9/23/26 | 1,723,000 | 1,698,998 | ||||
8,583,116
| ||||||
Health Care Equipment & Supplies0.4% | ||||||
Abbott Laboratories: | ||||||
2.35% Sr. Unsec. Nts., 11/22/19 | 2,307,000 | 2,328,563 | ||||
3.75% Sr. Unsec. Nts., 11/30/26 | 1,878,000 | 1,948,132 | ||||
Becton Dickinson & Co.: | ||||||
2.404% Sr. Unsec. Nts., 6/5/20 | 1,442,000 | 1,450,731 | ||||
3.70% Sr. Unsec. Nts., 6/6/27 | 1,706,000 | 1,730,724 | ||||
Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25 | 1,783,000 | 1,871,121 | ||||
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45 | 1,049,000 | 1,195,454 | ||||
10,524,725
| ||||||
Health Care Providers & Services0.4% | ||||||
Aetna, Inc., 2.80% Sr. Unsec. Nts., 6/15/23 | 1,713,000 | 1,739,662 | ||||
Cardinal Health, Inc., 3.41% Sr. Unsec. Nts., 6/15/27 | 1,140,000 | 1,156,087 | ||||
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/224 | 2,894,000 | 3,262,985 | ||||
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25 | 1,386,000 | 1,436,407 | ||||
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23 | 1,820,000 | 1,849,522 | ||||
9,444,663
| ||||||
Life Sciences Tools & Services0.1% | ||||||
Quintiles IMS, Inc., 5% Sr. Unsec. Nts., 10/15/264 | 866,000 | 909,300 | ||||
Thermo Fisher Scientific, Inc.: | ||||||
3.20% Sr. Unsec. Nts., 8/15/27 | 1,134,000 | 1,138,044 | ||||
4.15% Sr. Unsec. Nts., 2/1/24 | 848,000 | 916,300 | ||||
2,963,644
| ||||||
Pharmaceuticals0.1% | ||||||
Allergan Funding SCS: | ||||||
2.35% Sr. Unsec. Nts., 3/12/18 | 717,000 | 719,423 | ||||
3.80% Sr. Unsec. Nts., 3/15/25 | 1,420,000 | 1,487,214 | ||||
2,206,637 |
40 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Industrials1.1% | ||||||
Aerospace & Defense0.3% | ||||||
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/254 | $ | 1,739,000 | $ 1,836,544 | |||
Hexcel Corp., 3.95% Sr. Unsec. Nts., 2/15/27 | 862,000 | 896,052 | ||||
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | 1,275,000 | 1,470,672 | ||||
Textron, Inc.: | ||||||
3.65% Sr. Unsec. Nts., 3/15/27 | 577,000 | 592,459 | ||||
3.875% Sr. Unsec. Nts., 3/1/25 | 628,000 | 659,029 | ||||
4.30% Sr. Unsec. Nts., 3/1/24 | 1,164,000 | 1,247,623 | ||||
United Technologies Corp., 1.778% Jr. Sub. Nts., 5/4/1810 | 403,000 | 403,501 | ||||
7,105,880
| ||||||
Air Freight & Couriers0.0% | ||||||
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47
|
|
439,000
|
|
452,159
| ||
Building Products0.1% | ||||||
Johnson Controls International plc, 1.40% Sr. Unsec. Nts., 11/2/17 | 409,000 | 408,167 | ||||
Owens Corning, 3.40% Sr. Unsec. Nts., 8/15/26 | 1,596,000 | 1,591,685 | ||||
1,999,852
| ||||||
Commercial Services & Supplies0.2% | ||||||
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24 | 1,794,000 | 1,843,635 | ||||
Republic Services, Inc., 3.80% Sr. Unsec. Nts., 5/15/18 | 1,980,000 | 2,009,291 | ||||
Waste Management, Inc., 4.10% Sr. Unsec. Nts., 3/1/45 | 492,000 | 526,885 | ||||
4,379,811
| ||||||
Electrical Equipment0.1% | ||||||
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/234
|
|
2,231,000
|
|
2,334,184
| ||
Industrial Conglomerates0.0% | ||||||
Roper Technologies, Inc.: | ||||||
3.80% Sr. Unsec. Nts., 12/15/26 | 294,000 | 306,889 | ||||
3.85% Sr. Unsec. Nts., 12/15/25 | 1,150,000 | 1,208,733 | ||||
1,515,622
| ||||||
Machinery0.1% | ||||||
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19 | 2,365,000 | 2,361,542 | ||||
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18 | 514,000 | 518,762 | ||||
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26 | 929,000 | 926,797 | ||||
3,807,101
| ||||||
Road & Rail0.1% | ||||||
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35 | 444,000 | 512,379 | ||||
Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46 | 734,000 | 833,947 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/264 | 1,938,000 | 1,943,911 | ||||
3,290,237 |
41 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount |
Value | |||||
Trading Companies & Distributors0.2% | ||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.65% Sr. Unsec. Nts., 7/21/27 | $ | 2,358,000 | $ 2,374,852 | |||
Air Lease Corp.: | ||||||
3.00% Sr. Unsec. Nts., 9/15/23 | 983,000 | 984,620 | ||||
3.625% Sr. Unsec. Nts., 4/1/27 | 1,003,000 | 1,012,414 | ||||
4,371,886
| ||||||
Information Technology1.0% | ||||||
Electronic Equipment, Instruments, & Components0.1% | ||||||
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28 | 1,680,000 | 1,699,222 | ||||
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24 | 368,000 | 405,260 | ||||
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27 | 1,745,000 | 1,878,430 | ||||
3,982,912
| ||||||
Internet Software & Services0.0% | ||||||
VeriSign, Inc.: | ||||||
4.75% Sr. Unsec. Nts., 7/15/274 | 418,000 | 427,363 | ||||
5.25% Sr. Unsec. Nts., 4/1/25 | 670,000 | 720,250 | ||||
1,147,613
| ||||||
IT Services0.3% | ||||||
Broadridge Financial Solutions, Inc., 3.40% Sr. Unsec. Nts., 6/27/26 | 1,138,000 | 1,142,393 | ||||
DXC Technology Co.: | ||||||
2.875% Sr. Unsec. Nts., 3/27/20 | 1,678,000 | 1,707,701 | ||||
4.75% Sr. Unsec. Nts., 4/15/27 | 1,797,000 | 1,926,264 | ||||
Fidelity National Information Services, Inc., 2.85% Sr. Unsec. Nts., 10/15/18 | 550,000 | 556,770 | ||||
Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18 | 2,036,000 | 2,042,545 | ||||
7,375,673
| ||||||
Semiconductors & Semiconductor Equipment0.1% | ||||||
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45 | 621,000 | 735,910 | ||||
QUALCOMM, Inc., 3.25% Sr. Unsec. Nts., 5/20/27 | 1,136,000 | 1,153,577 | ||||
1,889,487
| ||||||
Software0.4% | ||||||
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25 | 705,000 | 759,294 | ||||
Dell International LLC/EMC Corp.: | ||||||
3.48% Sr. Sec. Nts., 6/1/194 | 2,296,000 | 2,347,512 | ||||
6.02% Sr. Sec. Nts., 6/15/264 | 1,409,000 | 1,575,567 | ||||
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/234 | 1,538,000 | 1,628,358 | ||||
Oracle Corp.: | ||||||
2.40% Sr. Unsec. Nts., 9/15/23 | 1,390,000 | 1,394,155 | ||||
2.95% Sr. Unsec. Nts., 5/15/25 | 1,363,000 | 1,390,219 | ||||
VMware, Inc.: | ||||||
2.30% Sr. Unsec. Nts., 8/21/20 | 699,000 | 700,629 | ||||
3.90% Sr. Unsec. Nts., 8/21/27 | 1,151,000 | 1,163,159 | ||||
10,958,893 |
42 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Technology Hardware, Storage & Peripherals0.1% | ||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45 | $ | 1,287,000 | $ 1,422,770 | |||
Hewlett Packard Enterprise Co., 2.45% Sr. Unsec. Nts., 10/5/17 | 526,000 | 526,365 | ||||
1,949,135 | ||||||
Materials1.0% | ||||||
Chemicals0.5% | ||||||
Agrium, Inc.: | ||||||
3.375% Sr. Unsec. Nts., 3/15/25 | 931,000 | 951,536 | ||||
4.125% Sr. Unsec. Nts., 3/15/35 | 465,000 | 469,831 | ||||
CF Industries, Inc., 4.50% Sr. Sec. Nts., 12/1/264 | 1,066,000 | 1,111,465 | ||||
Ecolab, Inc., 2% Sr. Unsec. Nts., 1/14/19 | 2,243,000 | 2,256,052 | ||||
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23 | 2,242,000 | 2,365,310 | ||||
RPM International, Inc.: | ||||||
3.45% Sr. Unsec. Unsub. Nts., 11/15/22 | 1,882,000 | 1,953,956 | ||||
3.75% Sr. Unsec. Nts., 3/15/27 | 581,000 | 598,247 | ||||
Sherwin-Williams Co. (The): | ||||||
3.30% Sr. Unsec. Nts., 2/1/25 | 638,000 | 642,458 | ||||
3.95% Sr. Unsec. Nts., 1/15/26 | 1,122,000 | 1,184,836 | ||||
Yara International ASA, 3.80% Sr. Unsec. Nts., 6/6/264 | 1,405,000 | 1,401,142 | ||||
12,934,833 | ||||||
Construction Materials0.2% | ||||||
CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/454 | 839,000 | 969,721 | ||||
James Hardie International Finance DAC, 5.875% Sr. Unsec. Nts., 2/15/234 | 1,077,000 | 1,136,235 | ||||
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/264 | 558,000 | 566,642 | ||||
Vulcan Materials Co., 3.90% Sr. Unsec. Nts., 4/1/27 | 1,243,000 | 1,291,974 | ||||
3,964,572 | ||||||
Containers & Packaging0.2% | ||||||
International Paper Co.: | ||||||
3.00% Sr. Unsec. Nts., 2/15/27 | 948,000 | 922,585 | ||||
4.80% Sr. Unsec. Nts., 6/15/44 | 914,000 | 987,349 | ||||
Packaging Corp. of America: | ||||||
3.65% Sr. Unsec. Nts., 9/15/24 | 525,000 | 544,531 | ||||
4.50% Sr. Unsec. Nts., 11/1/23 | 1,673,000 | 1,823,970 | ||||
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/254 | 1,855,000 | 1,910,650 | ||||
6,189,085 | ||||||
Metals & Mining0.1% | ||||||
BHP Billiton Finance USA Ltd., 3.85% Sr. Unsec. Nts., 9/30/23 | 1,712,000 | 1,859,848 | ||||
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 | 622,000 | 706,362 | ||||
2,566,210 | ||||||
Paper & Forest Products0.0% | ||||||
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24 | 1,231,000 | 1,263,314 |
43 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Principal Amount | Value | |||||
Telecommunication Services0.7% | ||||||
Diversified Telecommunication Services0.7% | ||||||
AT&T, Inc.: | ||||||
3.40% Sr. Unsec. Nts., 8/14/24 | $ | 945,000 | $ 955,270 | |||
3.80% Sr. Unsec. Nts., 3/15/22 | 2,019,000 | 2,113,215 | ||||
4.35% Sr. Unsec. Nts., 6/15/45 | 1,843,000 | 1,685,692 | ||||
4.90% Sr. Unsec. Nts., 8/14/37 | 1,287,000 | 1,306,609 | ||||
5.15% Sr. Unsec. Nts., 2/14/50 | 1,287,000 | 1,302,852 | ||||
British Telecommunications plc, 9.125% Sr. Unsec. Nts., 12/15/30 | 1,865,000 | 2,892,118 | ||||
Deutsche Telekom International Finance BV, 3.60% Sr. Unsec. Nts., 1/19/274 | 1,124,000 | 1,150,480 | ||||
Telefonica Emisiones SAU: | ||||||
3.192% Sr. Unsec. Nts., 4/27/18 | 2,278,000 | 2,298,771 | ||||
4.103% Sr. Unsec. Nts., 3/8/27 | 627,000 | 656,421 | ||||
5.213% Sr. Unsec. Nts., 3/8/47 | 818,000 | 913,261 | ||||
7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | 799,000 | 1,061,123 | ||||
Verizon Communications, Inc.: | ||||||
1.75% Sr. Unsec. Nts., 8/15/21 | 851,000 | 836,192 | ||||
4.125% Sr. Unsec. Nts., 8/15/46 | 952,000 | 847,327 | ||||
4.522% Sr. Unsec. Nts., 9/15/48 | 1,193,000 | 1,126,461 | ||||
19,145,792 | ||||||
Utilities1.2% | ||||||
Electric Utilities0.9% | ||||||
AEP Texas, Inc., 3.85% Sr. Unsec. Nts., 10/1/254 | 1,159,000 | 1,227,420 | ||||
Cleco Corporate Holdings LLC, 3.743% Sr. Sec. Nts., 5/1/26 | 1,144,000 | 1,172,603 | ||||
Duke Energy Corp.: | ||||||
3.15% Sr. Unsec. Nts., 8/15/27 | 1,135,000 | 1,144,850 | ||||
3.75% Sr. Unsec. Nts., 9/1/46 | 1,086,000 | 1,052,426 | ||||
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23 | 1,392,000 | 1,420,167 | ||||
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/244 | 1,516,000 | 1,537,891 | ||||
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19 | 75,000 | 75,143 | ||||
Enel Finance International NV: | ||||||
3.625% Sr. Unsec. Nts., 5/25/274 | 1,138,000 | 1,154,504 | ||||
6.25% Sr. Unsec. Nts., 9/15/174 | 2,101,000 | 2,103,430 | ||||
Exelon Corp., 4.45% Sr. Unsec. Nts., 4/15/46 | 558,000 | 593,998 | ||||
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46 | 430,000 | 487,814 | ||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 | 588,000 | 700,847 | ||||
Pacific Gas & Electric Co., 3.40% Sr. Unsec. Nts., 8/15/24 | 1,471,000 | 1,541,873 | ||||
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 | 368,000 | 393,532 | ||||
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/214 | 2,055,000 | 2,241,447 | ||||
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18 | 1,953,000 | 2,033,889 | ||||
Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47 | 822,000 | 869,170 | ||||
Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19 | 2,039,000 | 2,038,108 | ||||
TECO Finance, Inc., 6.572% Sr. Unsec. Nts., 11/1/17 | 2,102,000 | 2,117,237 | ||||
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/254 | 1,394,000 | 1,476,934 | ||||
25,383,283 |
44 OPPENHEIMER CAPITAL INCOME FUND
Principal Amount | Value | |||||
Multi-Utilities0.3% | ||||||
Dominion Energy, Inc.: | ||||||
1.875% Sr. Unsec. Nts., 1/15/19 | $ | 1,052,000 | $ 1,052,709 | |||
4.90% Sr. Unsec. Nts., 8/1/41 | 920,000 | 1,037,674 | ||||
NiSource Finance Corp., 3.49% Sr. Unsec. Nts., 5/15/27 | 1,667,000 | 1,710,812 | ||||
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19 | 1,897,000 | 1,882,879 | ||||
Virginia Electric & Power Co., 2.95% Sr. Unsec. Nts., 1/15/22 | 1,555,000 | 1,601,312 | ||||
7,285,386 | ||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $569,136,951) | 588,996,319 | |||||
Convertible Corporate Bond and Note0.8% | ||||||
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40 (Cost $20,657,781)4 | 20,500,000 | 20,935,625 | ||||
Corporate Loans1.5% | ||||||
Axalta Coating Systems US Holdings, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.296% [LIBOR4+200], 6/1/242 | 13,150,000 | 13,200,680 | ||||
Delos Finance Sarl, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.296% [LIBOR4+200], 10/6/232
|
|
17,000,000
|
|
17,081,464
| ||
Neiman Marcus Group Ltd. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.481% [LIBOR12+325], 10/25/202 | 3,267,673 | 2,421,345 | ||||
TransDigm, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche F, 4.239% [LIBOR12+300], 6/9/232 | 5,954,887 | 5,969,775 | ||||
| ||||||
Total Corporate Loans (Cost $39,142,229) | 38,673,264 |
Exercise Expiration | |
Notional Amount |
|
|||||||||||||||||||||
Price | Date | (000s) | Contracts | |||||||||||||||||||||
Exchange-Traded Option Purchased0.1% | ||||||||||||||||||||||||
S&P 500 Index Call1 (Cost $2,035,543) | USD | 2,500.000 | 10/20/17 | USD 247,165 | USD 1,000 | 1,720,000 | ||||||||||||||||||
Counter- party |
||||||||||||||||||||||||
Over-the-Counter Option Purchased0.0% | ||||||||||||||||||||||||
CNH Currency Put1 (Cost $2,350,110) |
CITNA-B | CNH7.300 | 11/29/17 | CNH 2,133,100 | 758,100,000 | 100,069 | ||||||||||||||||||
Counter- party |
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000s) |
|||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased0.0% | ||||||||||||||||||||||||
Interest Rate Swap maturing 1/28/30 Call1 | GSCOI | Receive | Three-Month USD BBA LIBOR |
2.974% | 1/24/20 | USD | 60,450 | $ | 1,393,151 |
45 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Value | |||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased (Continued) | ||||||||||||||||||||||||||||
Interest Rate Swap maturing 11/21/28 Call1 | GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
0.850% | 11/19/18 JPY | 512,000 | $ | 9,506 | ||||||||||||||||||
Interest Rate Swap maturing 11/22/27 Call1 | GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
1.070 | 11/20/17 JPY | 8,437,000 | 2 | |||||||||||||||||||
Interest Rate Swap maturing 7/25/28 Call1 | GSCOI | Receive | |
Six-Month JPY BBA LIBOR |
|
1.050 | 7/23/18 JPY | 2,000,000 | 7,653 | |||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $4,937,969) | 1,410,312 |
Shares | ||||||
Investment Companies24.4% | ||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E, 0.97%15,16 | 65,992,768 | 65,992,768 | ||||
Oppenheimer Master Loan Fund, LLC1,15 | 15,497,138 | 256,563,263 | ||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y15 | 60,077,426 | 300,987,903 | ||||
SPDR Gold Trust Exchange Traded Fund1 | 201,900 | 25,403,058 | ||||
Total Investment Companies (Cost $652,892,402)
|
648,946,992
| |||||
Total Investments, at Value (Cost $3,052,435,293) | 113.9% | 3,026,275,481 | ||||
Net Other Assets (Liabilities) | (13.9) | (368,428,656) | ||||
Net Assets | 100.0% | $ 2,657,846,825 | ||||
Footnotes to Consolidated Statement of Investments
1. Non-income producing security.
2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].
3. Restricted security. The aggregate value of restricted securities at period end was $25,960,062, which represents 0.98% of the Funds net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Airspeed Ltd., Series 2007-1A, Cl. G1, 1.497% [LIBOR01M+27], 6/15/32 | 9/16/10-3/31/15 | $ | 13,111,961 | $ | 13,242,526 | $ | 130,565 | |||||||||
Airspeed Ltd., Series 2007-1A, Cl. G2, 1.507% [LIBOR01M+28], 6/15/32 | 4/8/11 | 6,566,542 | 6,528,263 | (38,279) | ||||||||||||
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 2.227% [LIBOR01M+100], 9/15/41 | 5/15/13 | 1,053,564 | 648,707 | (404,857) | ||||||||||||
Raspro Trust, Series 2005-1A, Cl. G, 1.674% [LIBOR03M+40], 3/23/24 | 6/11/13-7/7/15 | 3,839,017 | 3,830,573 | (8,444) |
46 OPPENHEIMER CAPITAL INCOME FUND
Footnotes to Consolidated Statement of Investments (continued)
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) | ||||||||
Westlake Automobile Receivables Trust, | ||||||||||||
Series 2017-2A, Cl. E, 4.63%, 7/15/24 | 8/1/17 | $ 1,709,993 | $ | 1,709,993 | $ | |||||||
$ 26,281,077 | $ | 25,960,062 | $ (321,015) | |||||||||
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 $227,807,839 or 8.57% 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. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Consolidated Notes.
7. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $5,958,112 or 0.22% of the Funds net assets at period end.
8. Interest rate is less than 0.0005%.
9. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $92,577 or 0.00% of the Funds net assets at period end.
10. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.
11. 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 $1,365,335. See Note 6 of the accompanying Consolidated Notes.
12. 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 $3,267,458. See Note 6 of the accompanying Consolidated Notes.
13. 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 Consolidated Notes.
14. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
15. 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 August 31, 2017 | |||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. Ea | 103,649,970 | 836,781,467 | 874,438,669 | 65,992,768 | ||||||||||
Oppenheimer Master Loan Fund, LLC | 15,497,138 | | | 15,497,138 |
47 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Footnotes to Consolidated Statement of Investments (continued)
Shares August 31, 2016 |
Gross Additions | Gross Reductions |
Shares August 31, 2017 | |||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 18,286,561 | 64,816,813 | 23,025,948 | 60,077,426 | ||||||||
Value | Income | Realized Gain (Loss) |
Change in Gain (Loss) | |||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. Ea | $ 65,992,768 | $ | 332,719 | $ | | $ | ||||||
Oppenheimer Master Loan Fund, LLC | 256,563,263 | 15,276,041 | b | 175,263 | b | 3,570,072b | ||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 300,987,903 | 1,917,066 | 40,648 | (40,648) | ||||||||
Total | $ 623,543,934 | $ | 17,525,826 | $ | 215,911 | $ 3,529,424 | ||||||
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.
16. Rate shown is the 7-day yield at period end.
Forward Currency Exchange Contracts as of August 31, 2017 |
Counter -party |
Settlement Month(s) |
Currency (000s) |
Currency Sold (000s) |
Unrealized Appreciation |
Unrealized Depreciation | |||||||||||||||||
BAC | 09/2017 | USD | 26,174 | THB | 892,000 | $ | $ 690,727 | |||||||||||||||
BOA | 09/2017 | EUR | 5,965 | USD | 6,820 | 283,334 | | |||||||||||||||
BOA | 09/2017 | USD | 22,980 | CAD | 30,965 | | 1,818,049 | |||||||||||||||
BOA | 09/2017 | USD | 6,724 | EUR | 5,965 | | 379,215 | |||||||||||||||
CITNA-B | 09/2017 | USD | 18,475 | JPY | 2,024,000 | 58,592 | | |||||||||||||||
JPM | 11/2017 | USD | 17,184 | CNH | 122,000 | | 1,233,779 | |||||||||||||||
TDB | 09/2017 | USD | 17,886 | AUD | 23,730 | | 976,652 | |||||||||||||||
Total Unrealized Appreciation and Depreciation | $ 341,926 | $ 5,098,422 | ||||||||||||||||||||
Futures Contracts as of August 31, 2017 |
Description | Exchange | Buy/Sell | Expiration Date |
Number Contracts |
Notional Amount (000s) |
Value | Unrealized (Depreciation) | |||||||||||||||||||
Euro-BONO | EUX | Sell | 9/7/17 | 93 | EUR 15,295 | $ | 15,457,588 | $ (162,113) | ||||||||||||||||||
Euro-BTP | EUX | Sell | 12/7/17 | 143 | EUR 23,076 | 23,071,861 | 3,902 | |||||||||||||||||||
Euro-BUND | EUX | Buy | 9/7/17 | 244 | EUR 47,865 | 47,950,754 | 85,783 | |||||||||||||||||||
Euro-OAT | EUX | Sell | 9/7/17 | 84 | EUR 15,019 | 15,075,668 | (57,084) | |||||||||||||||||||
United States Treasury Long Bonds | CBT | Buy | 12/19/17 | 157 | USD 24,489 | 24,506,719 | 17,422 | |||||||||||||||||||
United States Treasury Nts., 10 yr. United States Treasury Nts., 2 yr. |
|
CBT CBT |
|
|
Sell Buy |
|
|
12/19/17 12/29/17 |
|
|
788 599 |
|
|
USD 99,972 USD 129,579 |
|
|
100,063,688 129,571,188 |
|
(91,366) (7,763) |
48 OPPENHEIMER CAPITAL INCOME FUND
Futures Contracts (Continued) |
Description | Exchange | Buy/Sell | Expiration Date |
Number Contracts |
Notional Amount (000s) |
Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||
United States Treasury Nts., 5 yr. | CBT | Sell | 12/29/17 | 104 | USD 12,315 | $ | 12,324,000 | $ (8,865) | ||||||||||||||||
United States Ultra Bonds | CBT | Buy | 12/19/17 | 239 | USD 40,225 | 40,405,938 | 180,820 | |||||||||||||||||
$ (39,264) | ||||||||||||||||||||||||
Over-the-Counter Options Written at August 31, 2017 |
Description | Counter -party |
Exercise Price |
Expiration Date |
Number of Contracts |
Notional Amount (000s) |
Premiums Received |
Value | |||||||||||||||||||||
CNH Currency Put |
CITNA-B | CNH 8.000 | 11/29/17 | CNH (830,800,000) | CNH 2,338 | $ | 864,032 | $ | |
Centrally Cleared Credit Default Swaps at August 31, 2017 |
Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized (Depreciation) | |||||||||||||||
CDX.HY.28 | Buy | 5.000% | 6/20/22 | USD 20,000 | $ 1,364,444 | $ (1,611,570) | $ (247,126) | |||||||||||||||
CDX.IG.23 | Sell | 1.000 | 12/20/19 | USD 25,000 | (177,124) | 438,027 | 260,903 | |||||||||||||||
CDX.IG.25 | Sell | 1.000 | 12/20/20 | USD 4,800 | (50,881) | 104,699 | 53,818 | |||||||||||||||
CDX.IG.26 | Sell | 1.000 | 6/20/21 | USD 6,400 | (86,068) | 148,901 | 62,833 | |||||||||||||||
CDX.IG.28 | Sell | 1.000 | 6/20/22 | USD 1,940 | (35,158) | 40,557 | 5,399 | |||||||||||||||
CDX.NA.HY.21 | Buy | 5.000 | 12/20/18 | USD 14,535 | 900,363 | (771,396) | 128,967 | |||||||||||||||
CDX.NA.HY.25 | Buy | 5.000 | 12/20/20 | USD 6,615 | 346,920 | (526,654) | (179,734) | |||||||||||||||
iTraxx.Main.27 | Buy | 1.000 | 6/20/22 | EUR 32,500 | 775,487 | (870,328) | (94,841) | |||||||||||||||
Neiman Marcus Group LLC (The) | Buy | 5.000 | 12/20/20 | USD 3,095 | 179,341 | 833,785 | 1,013,126 | |||||||||||||||
Total Centrally Cleared Credit Default Swaps | $ 3,217,324 | $(2,213,979) | $ 1,003,345 | |||||||||||||||||||
Over-the-Counter Credit Default Swaps at August 31, 2017 |
Reference Asset |
Counter- party |
Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | Unrealized (Depreciation) | ||||||||||||||||||||||||
CDX.NA.HY.21 | CITNA-B | Sell | 5.000% | 12/20/18 | USD | 1,812 | $ 1,011,495 | $ | (216,673 | ) | $ 794,822 | |||||||||||||||||||||
CDX.NA.HY.21 | GSCOI | Sell | 5.000 | 12/20/18 | USD | 551 | 301,068 | (65,869 | ) | 235,199 | ||||||||||||||||||||||
CDX.NA.HY.25 | GSCOI | Sell | 5.000 | 12/20/20 | USD | 2,244 | 1,489,410 | (833,935 | ) | 655,475 | ||||||||||||||||||||||
Total Over-the-Counter Credit Default Swaps | $ 2,801,973 | $ | (1,116,477 | ) | $ 1,685,496 | |||||||||||||||||||||||||||
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
49 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED
STATEMENT OF INVESTMENTS Continued
Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||
Investment Grade Corporate Debt Indexes | $1,940,000 | $ | BBB+ | |||||
Non-Investment Grade Corporate Debt Indexes | 40,807,122 | 21,150,000 | BB+ to BB- | |||||
|
||||||||
Total | $42,747,122 | $21,150,000 | ||||||
|
* Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of 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.
Glossary: | ||
Counterparty Abbreviations | ||
BAC | Barclays Bank plc | |
BOA | Bank of America NA | |
CITNA-B | Citibank NA | |
GSCOI | Goldman Sachs International | |
JPM | JPMorgan Chase Bank NA | |
TDB | Toronto Dominion Bank | |
Currency abbreviations indicate amounts reporting in currencies | ||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CNH | Offshore Chinese Renminbi | |
EUR | Euro | |
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.28 | 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.IG.28 | 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 | |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
iTraxx.Main.27 | Credit Default Swap Trading Index for a Specific Basket of Securities | |
LIBOR01M | ICE LIBOR USD 1 Month | |
LIBOR03M | ICE LIBOR USD 3 Month | |
LIBOR12 | London Interbank Offered Rate-Quarterly |
50 OPPENHEIMER CAPITAL INCOME FUND
Definitions (Continued) | ||
LIBOR4 | London Interbank Offered Rate-Quarterly | |
OAT | French Government Bonds | |
S&P | Standard & Poors | |
US0001M | ICE LIBOR USD 1 Month | |
US0003M | ICE LIBOR USD 3 Month | |
USSW5 | USD Swap Semi 30/360 5 Year | |
Exchange Abbreviations | ||
CBT | Chicago Board of Trade | |
EUX | European Stock Exchange |
See accompanying Notes to Consolidated Financial Statements.
51 OPPENHEIMER CAPITAL INCOME FUND
ASSETS AND LIABILITIES August 31, 2017
Assets | ||
Investments, at valuesee accompanying consolidated statement of investments: | ||
Unaffiliated companies (cost $2,423,258,227) | $ 2,402,731,547 | |
Affiliated companies (cost $629,177,066) | 623,543,934 | |
| ||
3,026,275,481 | ||
Cash | 4,975,325 | |
Cash used for collateral on futures | 1,593,800 | |
Cash used for collateral on OTC derivatives | 316,000 | |
Cash used for collateral on centrally cleared swaps | 4,350,836 | |
Unrealized appreciation on forward currency exchange contracts | 341,926 | |
Centrally cleared swaps, at value (net premiums paid $169,890) | 1,565,969 | |
Receivables and other assets: | ||
Investments sold (including $204,862,933 sold on a when-issued or delayed delivery basis) | 242,636,882 | |
Interest, dividends and principal paydowns | 9,171,928 | |
Shares of beneficial interest sold | 1,251,602 | |
Variation margin receivable | 246,587 | |
Other | 257,143 | |
| ||
Total assets
|
3,292,983,479
| |
Liabilities | ||
Unrealized depreciation on forward currency exchange contracts | 5,098,422 | |
Swaps, at value (premiums received $2,801,973) | 1,116,477 | |
Centrally cleared swaps, at value (premiums received $3,387,214) | 3,779,948 | |
Options written, at value (premiums received $864,032) | | |
Payables and other liabilities: | ||
Investments purchased (including $576,818,490 purchased on a when-issued or delayed delivery basis) | 620,735,779 | |
Shares of beneficial interest redeemed | 3,332,544 | |
Distribution and service plan fees | 429,501 | |
Variation margin payable | 307,622 | |
Trustees compensation | 176,015 | |
Shareholder communications | 25,669 | |
Dividends | 6 | |
Other | 134,671 | |
| ||
Total liabilities | 635,136,654
| |
Net Assets | $ 2,657,846,825 | |
| ||
Composition of Net Assets | ||
Par value of shares of beneficial interest | $263,390 | |
Additional paid-in capital | 2,824,737,796 | |
Accumulated net investment income | 13,547,898 | |
Accumulated net realized loss on investments and foreign currency transactions | (153,365,657) | |
Net unrealized depreciation on investments and translation of assets and liabilities denominated in foreign currencies | (27,336,602) | |
| ||
Net Assets | $ 2,657,846,825 | |
|
52 OPPENHEIMER CAPITAL INCOME FUND
Net Asset Value Per Share | ||
Class A Shares: | ||
Net asset value and redemption price per share (based on net assets of $1,584,023,758 and 156,148,557 shares of beneficial interest outstanding) | $10.14 | |
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) | $10.76 | |
Class B Shares: | ||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $4,911,155 and 495,085 shares of beneficial interest outstanding) | $9.92 | |
Class C Shares: | ||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $375,080,489 and 38,242,185 shares of beneficial interest outstanding) | $9.81 | |
Class I Shares: | ||
Net asset value, redemption price and offering price per share (based on net assets of $ 20,175,938 and 1,989,901 shares of beneficial interest outstanding) | $10.14 | |
Class R Shares: | ||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $51,324,265 and 5,131,873 shares of beneficial interest outstanding) | $10.00 | |
Class Y Shares: | ||
Net asset value, redemption price and offering price per share (based on net assets of $ 622,331,220 and 61,381,992 shares of beneficial interest outstanding) | $10.14 |
See accompanying Notes to Consolidated Financial Statements.
53 OPPENHEIMER CAPITAL INCOME FUND
OPERATIONS For the Year Ended August 31, 2017
Allocation of Income and Expenses from Master Funds1 | ||||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: Interest |
$ | 14,705,106 | ||
Dividends | 570,935 | |||
Net expenses | (892,608) | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 14,383,433 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $2,108) | 43,301,973 | |||
Dividends: Unaffiliated companies (net of foreign withholding taxes of $770,210) |
30,724,085 | |||
Affiliated companies | 2,249,785 | |||
Fee income on when-issued securities | 4,575,093 | |||
Total investment income | 80,850,936 | |||
Expenses | ||||
Management fees | 14,224,961 | |||
Distribution and service plan fees: Class A |
3,887,981 | |||
Class B | 79,059 | |||
Class C | 4,000,699 | |||
Class R | 182,243 | |||
Transfer and shareholder servicing agent fees: Class A |
3,659,428 | |||
Class B | 17,496 | |||
Class C | 880,729 | |||
Class I | 4,899 | |||
Class R | 81,885 | |||
Class Y | 1,174,620 | |||
Shareholder communications: Class A |
57,900 | |||
Class B | 1,687 | |||
Class C | 16,322 | |||
Class I | 29 | |||
Class R | 1,501 | |||
Class Y | 16,554 | |||
Trustees compensation | 95,492 | |||
Borrowing fees | 54,607 | |||
Custodian fees and expenses | 19,417 | |||
Other | 388,618 | |||
Total expenses | 28,846,127 | |||
Less reduction to custodian expenses | (4) | |||
Less waivers and reimbursements of expenses | (1,612,591) | |||
Net expenses | 27,233,532 | |||
Net Investment Income | 68,000,837 |
54 OPPENHEIMER CAPITAL INCOME FUND
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment transactions in: | ||
Unaffiliated companies (includes premiums on options exercised) |
$ 169,193,233 | |
Affiliated companies |
40,648 | |
Closing and expiration of futures contracts | (3,981,029) | |
Foreign currency transactions | 8,003,115 | |
Swap contracts | (3,682,577) | |
Closing and expiration of swaption contracts written | 228,806 | |
Net realized gain allocated from Oppenheimer Master Loan Fund, LLC | 175,263 | |
| ||
Net realized gain | 169,977,459 | |
Net change in unrealized appreciation/depreciation on: | ||
Investment transactions in: | ||
Unaffiliated companies |
(87,543,125) | |
Affiliated companies |
(40,648) | |
Translation of assets and liabilities denominated in foreign currencies | (6,635,724) | |
Futures contracts | 189,116 | |
Option contracts written | 337,632 | |
Swap contracts | 2,108,312 | |
Swaption contracts written | 9,480 | |
Net change in unrealized appreciation/depreciation allocated from Oppenheimer Master Loan Fund, LLC | 3,570,072 | |
| ||
Net change in unrealized appreciation/depreciation
|
(88,004,885)
| |
Net Increase in Net Assets Resulting from Operations | $ 149,973,411 | |
|
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.
55 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS
Year Ended | Year Ended | |||||||
August 31, 2017 | August 31, 2016 | |||||||
Operations | ||||||||
Net investment income | $ | 68,000,837 | $ 67,615,034 | |||||
Net realized gain | 169,977,459 | 585,565 | ||||||
Net change in unrealized appreciation/depreciation | (88,004,885 | ) | 64,552,494 | |||||
|
| |||||||
Net increase in net assets resulting from operations
|
|
149,973,411
|
|
132,753,093
| ||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (44,632,911 | ) | (49,660,564) | |||||
Class B | (159,191 | ) | (347,447) | |||||
Class C | (8,069,787 | ) | (9,245,987) | |||||
Class I | (497,594 | ) | (453,824) | |||||
Class R | (859,896 | ) | (762,315) | |||||
Class Y | (15,247,130 | ) | (14,306,602) | |||||
|
| |||||||
|
(69,466,509
|
)
|
(74,776,739)
| |||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (189,977,382 | ) | (50,000,323) | |||||
Class B | (7,423,467 | ) | (8,043,352) | |||||
Class C | (56,832,545 | ) | 7,414,517 | |||||
Class I | 4,521,969 | 2,089,587 | ||||||
Class R | 18,387,755 | 3,882,943 | ||||||
Class Y | 125,398,162 | 24,107,618 | ||||||
|
| |||||||
|
(105,925,508
|
)
|
(20,549,010)
| |||||
Net Assets | ||||||||
Total increase (decrease) | (25,418,606 | ) | 37,427,344 | |||||
Beginning of period | 2,683,265,431 | 2,645,838,087 | ||||||
|
| |||||||
End of period (including accumulated net investment income of $13,547,898 and $13,178,382, respectively) | $ | 2,657,846,825 | $ 2,683,265,431 | |||||
|
|
See accompanying Notes to Consolidated Financial Statements.
56 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS
Class A |
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
August 31, | August 31, | August 31, | August 29, | August 30, | ||||||||||||||
2017 | 2016 | 2015 | 20141 | 20131 | ||||||||||||||
Per Share Operating Data | ||||||||||||||||||
Net asset value, beginning of period | $9.84 | $9.62 | $10.03 | $9.29 | $9.17 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income2 | 0.26 | 0.25 | 0.25 | 0.34 | 0.29 | |||||||||||||
Net realized and unrealized gain (loss) | 0.31 | 0.25 | (0.35) | 0.71 | 0.19 | |||||||||||||
|
| |||||||||||||||||
Total from investment operations | 0.57 | 0.50 | (0.10) | 1.05 | 0.48 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||
Dividends from net investment income | (0.27) | (0.28) | (0.31) | (0.31) | (0.36) | |||||||||||||
Net asset value, end of period | $10.14 | $9.84 | $9.62 | $10.03 | $9.29 | |||||||||||||
|
| |||||||||||||||||
Total Return, at Net Asset Value3 | 5.84% | 5.31% | (1.07)% | 11.44% | 5.30% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Net assets, end of period (in thousands) | $1,584,024 | $1,723,245 | $1,735,068 | $1,730,245 | $1,512,076 | |||||||||||||
Average net assets (in thousands) | $1,662,753 | $1,712,506 | $1,764,700 | $1,627,867 | $1,468,782 | |||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||
Net investment income | 2.63% | 2.66% | 2.54% | 3.55% | 3.07% | |||||||||||||
Expenses excluding specific expenses listed below | 1.05% | 1.05% | 1.05% | 1.04% | 0.98% | |||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||
|
| |||||||||||||||||
Total expenses7 | 1.05% | 1.05% | 1.05% | 1.04% | 0.98% | |||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.99% | 1.00% | 0.99% | 0.98% | 0.93% | |||||||||||||
Portfolio turnover rate8 | 92% | 54% | 79% | 93% | 84% |
57 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 | 1.07 | % | ||||||
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 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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 |
See accompanying Notes to Consolidated Financial Statements.
58 OPPENHEIMER CAPITAL INCOME FUND
Class B | Year Ended August 31, 2017 |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 | |||||||||||||
Per Share Operating Data | ||||||||||||||||||
Net asset value, beginning of period | $9.62 | $9.41 | $9.81 | $9.09 | $8.98 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income2 | 0.19 | 0.18 | 0.17 | 0.26 | 0.19 | |||||||||||||
Net realized and unrealized gain (loss) | 0.29 | 0.23 | (0.34) | 0.68 | 0.19 | |||||||||||||
|
| |||||||||||||||||
Total from investment operations | 0.48 | 0.41 | (0.17) | 0.94 | 0.38 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||
Dividends from net investment income | (0.18) | (0.20) | (0.23) | (0.22) | (0.27) | |||||||||||||
Net asset value, end of period | $9.92 | $9.62 | $9.41 | $9.81 | $9.09 | |||||||||||||
|
| |||||||||||||||||
Total Return, at Net Asset Value3 | 5.04% | 4.45% | (1.79)% | 10.48% | 4.24% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Net assets, end of period (in thousands) | $4,911 | $12,108 | $19,917 | $29,021 | $33,683 | |||||||||||||
Average net assets (in thousands) | $7,921 | $15,539 | $24,439 | $30,985 | $38,619 | |||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||
Net investment income | 1.91% | 1.96% | 1.79% | 2.70% | 2.10% | |||||||||||||
Expenses excluding specific expenses listed below | 1.83% | 1.82% | 1.82% | 1.94% | 2.07% | |||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||
|
| |||||||||||||||||
Total expenses7 | 1.83% | 1.82% | 1.82% | 1.94% | 2.07% | |||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.77% | 1.76% | 1.76% | 1.83% | 1.94% | |||||||||||||
Portfolio turnover rate8 | 92% | 54% | 79% | 93% | 84% |
59 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 | 1.85 | % | ||||||
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 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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 |
See accompanying Notes to Consolidated Financial Statements.
60 OPPENHEIMER CAPITAL INCOME FUND
Class C | Year Ended August 31, 2017 |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
|||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.52 | $9.32 | $9.74 | $9.03 | $8.93 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.18 | 0.17 | 0.17 | 0.26 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.30 | 0.24 | (0.35) | 0.69 | 0.19 | |||||||||||||||
|
|
|||||||||||||||||||
Total from investment operations | 0.48 | 0.41 | (0.18) | 0.95 | 0.39 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.19) | (0.21) | (0.24) | (0.24) | (0.29) | |||||||||||||||
Net asset value, end of period | $9.81 | $9.52 | $9.32 | $9.74 | $9.03 | |||||||||||||||
|
|
|||||||||||||||||||
Total Return, at Net Asset Value3 | 5.13% | 4.47% | (1.89)% | 10.66% | 4.41% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $375,081 | $420,117 | $403,758 | $296,136 | $182,920 | |||||||||||||||
Average net assets (in thousands) | $400,146 | $413,522 | $369,218 | $230,619 | $140,184 | |||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||
Net investment income | 1.87% | 1.87% | 1.75% | 2.76% | 2.24% | |||||||||||||||
Expenses excluding specific expenses listed below | 1.81% | 1.82% | 1.81% | 1.82% | 1.80% | |||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|||||||||||||||||||
Total expenses7 | 1.81% | 1.82% | 1.81% | 1.82% | 1.80% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.75% | 1.76% | 1.75% | 1.76% | 1.75% | |||||||||||||||
Portfolio turnover rate8 | 92% | 54% | 79% | 93% | 84% |
61 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 | 1.83 | % | ||||||
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 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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 |
See accompanying Notes to Consolidated Financial Statements.
62 OPPENHEIMER CAPITAL INCOME FUND
Class I | Year Ended August 31, 2017 |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Period Ended August 29, 2014 1,2 | ||||||||||
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 | 0.30 | 0.30 | 0.29 | 0.26 | ||||||||||
Net realized and unrealized gain (loss) | 0.31 | 0.24 | (0.35) | 0.31 | ||||||||||
|
| |||||||||||||
Total from investment operations | 0.61 | 0.54 | (0.06) | 0.57 | ||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||
Dividends from net investment income | (0.31) | (0.32) | (0.35) | (0.14) | ||||||||||
Net asset value, end of period | $10.14 | $9.84 | $9.62 | $10.03 | ||||||||||
|
| |||||||||||||
Total Return, at Net Asset Value4 | 6.29% | 5.78% | (0.65)% | 6.01% | ||||||||||
Ratios/Supplemental Data | ||||||||||||||
Net assets, end of period (in thousands) | $20,176 | $15,142 | $12,625 | $10,894 | ||||||||||
Average net assets (in thousands) | $16,342 | $14,088 | $12,629 | $7,047 | ||||||||||
Ratios to average net assets:5,6 | ||||||||||||||
Net investment income | 3.04% | 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 | 0.56% | 0.57% | 0.56% | 0.58% | ||||||||||
Portfolio turnover rate9 | 92% | 54% | 79% | 93% |
63 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 | 0.64 | % | ||||||
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 | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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.
64 OPPENHEIMER CAPITAL INCOME FUND
Class R | Year Ended August 31, 2017 |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 | |||||||||||||
Per Share Operating Data | ||||||||||||||||||
Net asset value, beginning of period | $9.71 | $9.50 | $9.91 | $9.18 | $9.07 | |||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||
Net investment income2 | 0.23 | 0.23 | 0.22 | 0.31 | 0.25 | |||||||||||||
Net realized and unrealized gain (loss) | 0.30 | 0.24 | (0.35) | 0.70 | 0.19 | |||||||||||||
|
| |||||||||||||||||
Total from investment operations | 0.53 | 0.47 | (0.13) | 1.01 | 0.44 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||
Dividends from net investment income | (0.24) | (0.26) | (0.28) | (0.28) | (0.33) | |||||||||||||
Net asset value, end of period | $10.00 | $9.71 | $9.50 | $9.91 | $9.18 | |||||||||||||
|
| |||||||||||||||||
Total Return, at Net Asset Value3 | 5.57% | 5.02% | (1.32)% | 11.15% | 4.98% | |||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Net assets, end of period (in thousands) | $51,324 | $31,806 | $27,151 | $23,798 | $20,075 | |||||||||||||
Average net assets (in thousands) | $37,273 | $28,769 | $25,957 | $22,251 | $20,943 | |||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||
Net investment income | 2.33% | 2.39% | 2.28% | 3.27% | 2.73% | |||||||||||||
Expenses excluding specific expenses listed below | 1.30% | 1.31% | 1.30% | 1.32% | 1.33% | |||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||
|
| |||||||||||||||||
Total expenses7 | 1.30% | 1.31% | 1.30% | 1.32% | 1.33% | |||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.24% | 1.25% | 1.24% | 1.26% | 1.28% | |||||||||||||
Portfolio turnover rate8 | 92% | 54% | 79% | 93% | 84% |
65 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 |
1.32 | % | ||||||
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 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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 |
See accompanying Notes to Consolidated Financial Statements.
66 OPPENHEIMER CAPITAL INCOME FUND
Class Y | Year Ended August 31, 2017 |
Year Ended August 31, 2016 |
Year Ended August 31, 2015 |
Year Ended August 29, 20141 |
Year Ended August 30, 20131 |
|||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $9.84 | $9.62 | $10.03 | $9.29 | $9.18 | |||||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income2 | 0.28 | 0.27 | 0.27 | 0.37 | 0.30 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.31 | 0.25 | (0.35) | 0.70 | 0.19 | |||||||||||||||
|
|
|||||||||||||||||||
Total from investment operations | 0.59 | 0.52 | (0.08) | 1.07 | 0.49 | |||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (0.29) | (0.30) | (0.33) | (0.33) | (0.38) | |||||||||||||||
Net asset value, end of period | $10.14 | $9.84 | $9.62 | $10.03 | $9.29 | |||||||||||||||
|
|
|||||||||||||||||||
Total Return, at Net Asset Value3 | 6.21% | 5.47% | (0.82)% | 11.74% | 5.49% | |||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $622,331 | $480,847 | $447,319 | $280,000 | $105,635 | |||||||||||||||
Average net assets (in thousands) | $534,372 | $453,299 | $401,249 | $162,609 | $63,500 | |||||||||||||||
Ratios to average net assets:4,5 | ||||||||||||||||||||
Net investment income | 2.85% | 2.86% | 2.74% | 3.77% | 3.27% | |||||||||||||||
Expenses excluding specific expenses listed below | 0.81% | 0.82% | 0.82% | 0.81% | 0.72% | |||||||||||||||
Interest and fees from borrowings | 0.00%6 | 0.00%6 | 0.00%6 | 0.00% | 0.00% | |||||||||||||||
|
|
|||||||||||||||||||
Total expenses7 | 0.81% | 0.82% | 0.82% | 0.81% | 0.72% | |||||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.75% | 0.76% | 0.76% | 0.75% | 0.67% | |||||||||||||||
Portfolio turnover rate8 | 92% | 54% | 79% | 93% | 84% |
67 OPPENHEIMER CAPITAL INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
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:
Year Ended August 31, 2017 | 0.83 | % | ||||||
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 | % |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
Purchase Transactions | Sale Transactions | |||||
Year Ended August 31, 2017 | $4,620,692,203 | $4,544,059,262 | ||||
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 |
See accompanying Notes to Consolidated Financial Statements.
68 OPPENHEIMER CAPITAL INCOME FUND
FINANCIAL STATEMENTS August 31, 2017
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. 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 swap contracts) and exchange traded funds related to gold or other special minerals (Gold ETFs). The Fund applies its investment restrictions and compliance policies and procedures, on a look-through basis, to the Subsidiary.
The financial statements have been consolidated and include accounts of the Fund and the
69 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At period end, the Fund owned 9,723 shares with net assets of $25,384,627 in the Subsidiary. Other financial information at period end:
Total market value of investments | $ | 25,403,058 | ||
Net assets | $ | 25,384,627 | ||
Net income (loss) | $ | (210,732) | ||
Net realized gain (loss) | $ | | ||
Net change in unrealized appreciation/depreciation | $ | 209,976 |
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 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.
Investment Income. Dividend income is recorded on the ex-dividend date or upon
70 OPPENHEIMER CAPITAL INCOME FUND
2. Significant Accounting Policies (Continued)
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%. Effective July 17, 2017, the rate changed to the Federal Funds rate plus 2.00%. 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 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 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, including any net realized gain on investments not offset by capital loss carryforwards, if any, 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
71 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
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, 2017, 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.
The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.
Undistributed Net Investment Income |
Undistributed Long-Term Gain |
Accumulated Loss Carryforward1,2,3,4 |
Net Unrealized Depreciation Based on Cost of Securities and Other Investments for Federal Income Tax Purposes |
|||||||||
|
||||||||||||
$7,144,648 | $ | $158,287,471 | $12,363,076 |
1. At period end, the Fund had $158,283,472 of net capital loss carryforward available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.
Expiring | ||||
|
||||
2018 | $ | 158,283,472 |
2. The Fund had $3,999 of straddle losses which were deferred.
3. During the reporting period, the Fund utilized $148,718,360 of capital loss carryforward to offset capital gains
72 OPPENHEIMER CAPITAL INCOME FUND
2. Significant Accounting Policies (Continued)
realized in that fiscal year.
4. During the previous reporting period, the Fund utilized $3,000,239 of capital loss carryforward to offset capital gains realized in that fiscal year.
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.
Accordingly, the following amounts have been reclassified for the reporting period. Net assets of the Fund were unaffected by the reclassifications.
Increase to Accumulated Net Investment Income |
Increase to Accumulated Net Realized Loss on Investments | |
| ||
$1,835,188 | $1,835,188 |
The tax character of distributions paid during the reporting periods:
Year Ended | Year Ended | |||||
August 31, 2017 | August 31, 2016 | |||||
|
||||||
Distributions paid from: | ||||||
Ordinary income | $ 69,466,509 | $ | 74,776,739 |
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 | $ | 3,039,193,508 | ||
Federal tax cost of other investments | 67,865,988 | |||
|
|
|||
Total federal tax cost | $ | 3,107,059,496 | ||
|
|
|||
Gross unrealized appreciation |
$ |
58,329,496 |
| |
Gross unrealized depreciation | (70,692,572) | |||
|
|
|||
Net unrealized depreciation | $ | (12,363,076) | ||
|
|
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
73 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
2. Significant Accounting Policies (Continued)
operations during the reporting period. Actual results could differ from those estimates.
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 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 primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-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, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Funds assets are valued.
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, short-term notes, 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. Pricing services generally price debt securities assuming orderly transactions of an institutional round lot size, but some trades may occur in smaller, odd lot sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable
74 OPPENHEIMER CAPITAL INCOME FUND
3. Securities Valuation (Continued)
securities, the credit quality, yield, maturity, as well as other appropriate factors.
Loans are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include information obtained from market participants regarding broker-dealer price quotations.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include market information relevant to the underlying reference asset such as the price of financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates, or the occurrence of other specific events.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
Securities for which market quotations are not readily available 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. Those standardized fair valuation methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager regularly compares prior day prices 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
75 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
3. Securities Valuation (Continued)
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 may be 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, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes amounts that are included in the Funds Statement of Assets and Liabilities at period end based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
|
||||||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary |
$ | 22,302,707 | $ | | $ | | $ | 22,302,707 | ||||||||
Consumer Staples |
59,551,440 | | | 59,551,440 | ||||||||||||
Energy |
85,345,842 | | | 85,345,842 | ||||||||||||
Financials |
145,279,987 | | | 145,279,987 | ||||||||||||
Health Care |
125,314,366 | 12,356,916 | | 137,671,282 | ||||||||||||
Industrials |
160,020,840 | | | 160,020,840 | ||||||||||||
Information Technology |
120,605,873 | | | 120,605,873 | ||||||||||||
Materials |
45,237,671 | | | 45,237,671 | ||||||||||||
Telecommunication Services |
63,540,311 | | | 63,540,311 | ||||||||||||
Utilities |
60,647,128 | | | 60,647,128 | ||||||||||||
Preferred Stocks | 28,704,800 | 6,499,491 | | 35,204,291 |
76 OPPENHEIMER CAPITAL INCOME FUND
3. Securities Valuation (Continued)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
|
||||||||||||||||
Investments, at Value: (Continued) | ||||||||||||||||
Asset-Backed Securities | $ | | $ | 212,058,326 | $ | 648,707 | $ | 212,707,033 | ||||||||
Mortgage-Backed Obligations | | 572,632,340 | | 572,632,340 | ||||||||||||
U.S. Government Obligations | | 4,746,155 | | 4,746,155 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | | 588,996,319 | | 588,996,319 | ||||||||||||
Convertible Corporate Bond and Note | | 20,935,625 | | 20,935,625 | ||||||||||||
Corporate Loans | | 38,673,264 | | 38,673,264 | ||||||||||||
Exchange-Traded Option Purchased | 1,720,000 | | | 1,720,000 | ||||||||||||
Over-the-Counter Option Purchased | | 100,069 | | 100,069 | ||||||||||||
Over-the-Counter Interest Rate | ||||||||||||||||
Swaptions Purchased | | 1,410,312 | | 1,410,312 | ||||||||||||
Investment Companies | 392,383,729 | 256,563,263 | | 648,946,992 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | 1,310,654,694 | 1,714,972,080 | 648,707 | 3,026,275,481 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Centrally cleared swaps, at value | | 1,565,969 | | 1,565,969 | ||||||||||||
Futures contracts | 287,927 | | | 287,927 | ||||||||||||
Forward currency exchange contracts | | 341,926 | | 341,926 | ||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 1,310,942,621 | $ | 1,716,879,975 | $ | 648,707 | $ | 3,028,471,303 | ||||||||
|
|
|||||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | $ | | $ | (1,116,477) | $ | | $ | (1,116,477) | ||||||||
Centrally cleared swaps, at value | | (3,779,948) | | (3,779,948) | ||||||||||||
Options written, at value | | | | | ||||||||||||
Futures contracts | (327,191) | | | (327,191) | ||||||||||||
Forward currency exchange contracts | | (5,098,422) | | (5,098,422) | ||||||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (327,191) | $ | (9,994,847) | $ | | $ | (10,322,038) | ||||||||
|
|
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.
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
77 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
4. Investments and Risks (Continued)
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 16.4% of the Master Fund at period end.
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.
78 OPPENHEIMER CAPITAL INCOME FUND
4. Investments and Risks (Continued)
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a when-issued basis, and may purchase or sell securities on a delayed delivery basis. When-issued or delayed delivery refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
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 | $576,818,490 | |||
Sold securities | 204,862,933 |
The Fund may enter into forward roll transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
79 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
4. Investments and Risks (Continued)
At period end, the counterparty pledged $287,000 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $113,362 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. There were no securities not accruing interest at period end.
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
80 OPPENHEIMER CAPITAL INCOME FUND
5. Market Risk Factors (Continued)
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, 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 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.
81 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
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 may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $33,233,956 and $177,692,722, 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
82 OPPENHEIMER CAPITAL INCOME FUND
6. Use of Derivatives (Continued)
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 may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.
During the reporting period, the Fund had an ending monthly average market value of $212,153,410 and $135,859,485 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.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put, or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Interest Rate Options. The Fund may purchase or write call and put options on treasury and/or euro futures to increase or decrease exposure to interest rate risk. A purchased call or
83 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
Index/Security Options. The Fund may purchase or write call and put options on individual equity securities and/or equity indexes to increase or decrease exposure to equity risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call 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 $333,692 and $1,375,260 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. 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.
During the reporting period, the Fund had an ending monthly average market value of $265,691 on written put options.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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
84 OPPENHEIMER CAPITAL INCOME FUND
6. Use of Derivatives (Continued)
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 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 may purchase or sell credit protection through credit default swaps to increase or decrease 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.
For the reporting period, the Fund had ending monthly average notional amounts of $114,274,855 and $54,261,944 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
85 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
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 may enter into interest rate swaps in which it pays the fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Typically, if relative interest rates rise, floating payments under a swap agreement will be greater than the fixed payments.
For the reporting period, the Fund had ending monthly average notional amounts of $5,170,097 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 may purchase swaptions which give it the option to enter into an interest rate swap in which it pays a floating or fixed interest rate and receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion of this swaption becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may purchase swaptions which give it the option to buy or sell credit protection
86 OPPENHEIMER CAPITAL INCOME FUND
6. Use of Derivatives (Continued)
through credit default swaps in order to decrease or increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection 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 $2,004,146 and $31,651 on purchased and written swaptions, respectively.
At period end, the Fund had no written swaption contracts outstanding.
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
87 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
6. Use of Derivatives (Continued)
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 $466,179.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. 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.
88 OPPENHEIMER CAPITAL INCOME FUND
6. Use of Derivatives (Continued)
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities 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 of Assets & |
Financial Instruments Available for Offset |
Financial Instruments Collateral Received** |
Cash Collateral Received** |
Net Amount | |||||||||||||
Bank of America NA | $ | 283,334 | $ | (283,334) | $ | | $ | | $ | |||||||||
Citibank NA | 158,661 | (158,661) | | | | |||||||||||||
Goldman Sachs International | 1,410,312 | (899,804) | (466,179) | | 44,329 | |||||||||||||
|
| |||||||||||||||||
$ | 1,852,307 | $ | (1,341,799) | $ | (466,179) | $ | | $ 44,329 | ||||||||||
|
|
*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 of Assets & |
Financial Instruments Available for Offset |
Financial Instruments Collateral Pledged** |
Cash Collateral Pledged** |
Net Amount | |||||||||||||||
Bank of America NA | $ | (2,197,264) | $ | 283,334 | $ | 1,429,590 | $ | 34,000 | $ | (450,340) | ||||||||||
Barclays Bank plc | (690,727) | | 638,037 | | (52,690) | |||||||||||||||
Citibank NA | (216,673) | 158,661 | 58,012 | | |
89 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS 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 | |||||||||||
Goldman Sachs International | $ | (899,804) | $ | 899,804 | $ | | $ | $ | ||||||||
JPMorgan Chase Bank NA | (1,233,779) | | 914,921 | 282,000 | (36,858) | |||||||||||
Toronto Dominion Bank | (976,652) | | | | (976,652) | |||||||||||
|
| |||||||||||||||
$ | (6,214,899) | $ | 1,341,799 | $ | 3,040,560 | $ 316,000 | $ (1,516,540) | |||||||||
|
|
*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 | $ | 1,116,477 | |||||||||
Interest rate contracts | Centrally cleared swaps, at value | $ | 1,565,969 | Centrally cleared swaps, at value | 3,779,948 | |||||||
Equity contracts | Variation margin receivable | 246,587 | * | Variation margin payable | 307,622 | * | ||||||
Forward exchange contracts | Unrealized appreciation on forward currency exchange contracts | 341,926 | Unrealized depreciation on forward currency exchange contracts | 5,098,422 | ||||||||
Equity contracts | Investments, at value | 1,720,000 | ** | |||||||||
Forward exchange contracts | Investments, at value | 100,069 | ** | |||||||||
Interest rate contracts | Investments, at value | 1,410,312 | ** | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 5,384,863 | $ | 10,302,469 | ||||||||
|
|
|
|
|
|
*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.
The effect of derivative instruments on the Consolidated Statement of Operations is as follows:
90 OPPENHEIMER CAPITAL INCOME FUND
6. Use of Derivatives (Continued)
Amount of Realized Gain or (Loss) Recognized on Derivatives |
||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investment transactions on options |
Closing and of swaption written |
Closing and expiration of futures contracts |
|||||||||
Credit contracts | $ | (682,588) | $ | 228,806 | $ | | ||||||
Equity contracts | (1,513,901) | | | |||||||||
Forward exchange contracts | 1,104,256 | | | |||||||||
Interest rate contracts | (1,498,714) | | (3,981,029) | |||||||||
|
|
|||||||||||
Total | $ | (2,590,947) | $ | 228,806 | $ | (3,981,029) | ||||||
|
|
*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 transactions |
Swap contracts | Total | |||||||
Credit contracts | $ | | $ | (3,385,358) | $ (3,839,140) | |||||
Equity contracts | | | (1,513,901) | |||||||
Forward exchange contracts | 6,737,215 | | 7,841,471 | |||||||
Interest rate contracts | | (297,219) | (5,776,962) | |||||||
|
| |||||||||
Total | $ | 6,737,215 | $ | (3,682,577) | $ (3,288,532) | |||||
|
|
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||
Derivatives Not Accounted for as Hedging Instruments |
Investments* | Option written |
Swaption written |
Futures contracts | ||||||||||
Credit contracts | $ | (6,038) | $ | | $ | 9,480 | $ | |||||||
Equity contracts | (315,543) | | | | ||||||||||
Forward exchange contracts | (1,804,001) | 337,632 | | | ||||||||||
Interest rate contracts | 187,272 | | | 189,116 | ||||||||||
|
| |||||||||||||
Total | $ | (1,938,310) | $ | 337,632 | $ | 9,480 | $ 189,116 | |||||||
|
|
91 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS 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 currencies |
Swap contracts | Total | |||||||||
Credit contracts | $ | | $ | 2,182,830 | $ | 2,186,272 | ||||||
Equity contracts | | | (315,543) | |||||||||
Forward exchange contracts | (6,716,698) | | (8,183,067) | |||||||||
Interest rate contracts | | (74,518) | 301,870 | |||||||||
|
|
|||||||||||
Total | $ | (6,716,698) | $ | 2,108,312 | $ | (6,010,468) | ||||||
|
|
*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:
Year Ended August 31, 2017 | Year Ended August 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold | 13,503,190 | $ | 134,303,665 | 22,114,630 | $ | 211,686,219 | ||||||||||
Dividends and/or distributions reinvested | 4,254,741 | 42,179,895 | 4,912,205 | 46,602,086 | ||||||||||||
Redeemed | (36,742,628 | ) | (366,460,942 | ) | (32,212,207 | ) | (308,288,628) | |||||||||
|
|
|||||||||||||||
Net decrease | (18,984,697 | ) | $ | (189,977,382 | ) | (5,185,372 | ) | $ | (50,000,323) | |||||||
|
|
|||||||||||||||
Class B | ||||||||||||||||
Sold | 40,700 | $ | 395,847 | 139,395 | $ | 1,302,899 | ||||||||||
Dividends and/or distributions reinvested | 16,200 | 156,856 | 36,697 | 340,610 | ||||||||||||
Redeemed | (820,551 | ) | (7,976,170 | ) | (1,034,620 | ) | (9,686,861) | |||||||||
|
|
|||||||||||||||
Net decrease | (763,651 | ) | $ | (7,423,467 | ) | (858,528 | ) | $ | (8,043,352) | |||||||
|
|
|||||||||||||||
Class C | ||||||||||||||||
Sold | 5,462,749 | $ | 52,579,149 | 11,180,368 | $ | 103,545,856 | ||||||||||
Dividends and/or distributions reinvested | 741,809 | 7,121,396 | 877,942 | 8,072,868 | ||||||||||||
Redeemed | (12,080,759 | ) | (116,533,090 | ) | (11,254,410 | ) | (104,204,207) | |||||||||
|
|
|||||||||||||||
Net increase (decrease) | (5,876,201 | ) | $ | (56,832,545 | ) | 803,900 | $ | 7,414,517 | ||||||||
|
|
|||||||||||||||
Class I | ||||||||||||||||
Sold | 803,929 | $ | 8,050,947 | 646,631 | $ | 6,161,787 | ||||||||||
Dividends and/or distributions reinvested | 50,101 | 496,570 | 47,826 | 453,491 | ||||||||||||
Redeemed | (403,679 | ) | (4,025,548 | ) | (467,275 | ) | (4,525,691) | |||||||||
|
|
|||||||||||||||
Net increase | 450,351 | $ | 4,521,969 | 227,182 | $ | 2,089,587 | ||||||||||
|
|
92 OPPENHEIMER CAPITAL INCOME FUND
7. Shares of Beneficial Interest (Continued)
Year Ended August 31, 2017 | Year Ended August 31, 2016 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
|
||||||||||||||||
Class R | ||||||||||||||||
Sold | 2,763,935 | $ | 27,328,592 | 1,125,399 | $ | 10,595,667 | ||||||||||
Dividends and/or distributions reinvested | 84,256 | 825,249 | 76,875 | 720,135 | ||||||||||||
Redeemed | (992,909 | ) | (9,766,086 | ) | (784,489 | ) | (7,432,859) | |||||||||
|
|
|||||||||||||||
Net increase | 1,855,282 | $ | 18,387,755 | 417,785 | $ | 3,882,943 | ||||||||||
|
|
|||||||||||||||
|
||||||||||||||||
Class Y | ||||||||||||||||
Sold | 28,295,834 | $ | 282,621,289 | 22,027,993 | $ | 210,819,968 | ||||||||||
Dividends and/or distributions reinvested | 1,253,476 | 12,435,046 | 1,174,846 | 11,139,830 | ||||||||||||
Redeemed | (17,057,606 | ) | (169,658,173 | ) | (20,815,765 | ) | (197,852,180) | |||||||||
|
|
|||||||||||||||
Net increase | 12,491,704 | $ | 125,398,162 | 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 | $2,356,040,781 | $2,404,386,118 | ||||||
U.S. government and government agency obligations | 8,157,009 | 12,176,971 | ||||||
To Be Announced (TBA) mortgage-related securities | 4,620,692,203 | 4,544,059,262 |
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 0.54% 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
93 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS 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, which shall be calculated after any applicable fee waivers. 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
94 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.
Year 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 | |||||
| ||||||||||
August 31, 2017 | $368,414 | $33,667 | $10,836 | $34,677 | $ |
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 $179,386. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
Effective January 1, 2017, the Transfer Agent has voluntarily agreed to waive fees and/or reimburse Fund expenses in an amount equal to 0.015% of average annual net assets for Classes A, B, C, R and Y.
During the reporting period, the Transfer Agent waived fees and/or reimbursed the Fund for transfer agent and shareholder servicing agent fees as follows:
95 OPPENHEIMER CAPITAL INCOME FUND
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS Continued
9. Fees and Other Transactions with Affiliates (Continued)
Class A | $ | 164,363 | ||
Class B | 673 | |||
Class C | 39,389 | |||
Class R | 3,977 | |||
Class Y | 55,716 |
This fee waiver and/or reimbursement may be terminated at any time.
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 $1,169,087 for these management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Funds prospectus, unless approved by the Board.
10. Borrowings and Other Financing
Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 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.
96 OPPENHEIMER CAPITAL INCOME FUND
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Board of Trustees and Shareholders of Oppenheimer Capital Income Fund: We have audited the accompanying consolidated statement of assets and liabilities of Oppenheimer Capital Income Fund (the Fund) and subsidiary, including the consolidated statement of investments, as of August 31, 2017, and the related consolidated statement of operations for the year then ended, the consolidated statements of changes in net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years or periods in the five-year period then ended. These consolidated financial statements and consolidated financial highlights are the responsibility of the Funds management. Our responsibility is to express an opinion on these consolidated financial statements and consolidated financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with the custodian, transfer agent and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the consolidated financial statements and consolidated financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Capital Income Fund and subsidiary as of August 31, 2017, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the consolidated financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Denver, Colorado
October 25, 2017
97 OPPENHEIMER CAPITAL INCOME FUND
FEDERAL INCOME TAX INFORMATION Unaudited
In early 2017, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2016.
Dividends, if any, paid by the Fund during the reporting period which are not designated as capital gain distributions should be multiplied by the maximum amount allowable but not less than 34.15% to arrive at the amount eligible for the corporate dividend-received deduction.
A portion, if any, of the dividends paid by the Fund during the reporting period which are not designated as capital gain distributions are eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. The maximum amount allowable but not less than $31,945,437 of the Funds fiscal year taxable income may be eligible for the lower individual income tax rates. In early 2017, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates.
Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the reporting period, the maximum amount allowable but not less than $40,204,259 of the ordinary distributions to be paid by the Fund qualifies as an interest related dividend.
The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.
98 OPPENHEIMER CAPITAL INCOME FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (OFI Global or the Adviser), a wholly-owned subsidiary of OppenheimerFunds, Inc. (OFI or the Sub-Adviser) (OFI Global and OFI together the Managers) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the Agreements). Each year, the Board of Trustees (the Board), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Managers and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Boards conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers key personnel who provide such services. The Managers duties include providing the Fund with the services of the portfolio managers and the Sub-Advisers investment team, who provide research, analysis and other advisory services in regard to the Funds investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Funds investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Funds operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Funds shares. OFI Global also provides the Fund with office space, facilities and equipment.
99 OPPENHEIMER CAPITAL INCOME FUND
BOARD APPROVAL OF THE FUNDS INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
The Board also considered the quality of the services provided and the quality of the Managers resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers advisory, administrative, accounting, legal, compliance and risk management services, and information the Board has received regarding the experience and professional qualifications of the Managers key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Michelle Borré and Krishna Memani, the portfolio managers for the Fund, and the Sub-Advisers investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Funds service agreements. The Board concluded, in light of the Managers experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board also reviewed information, prepared by the Managers and by the independent consultant, comparing the Funds historical performance to relevant benchmarks or market indices and to the performance of other retail funds in the 30% to 50% equity allocation category. The Board considered that the Fund outperformed its category median for the three- and five-year periods, although it underperformed its category median for the one- and ten-year period.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board noted that the Adviser, not the Fund, pays the Sub-Advisers fee under the sub-advisory agreement. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail funds in the 30% to 50% equity allocation category with comparable asset levels and distribution features. The Board noted that the Funds contractual management fee was lower than its peer group median and category median and its total expenses, net of waivers, were higher than its peer group median and lower than its category median.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers costs in serving as the Funds investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality
100 OPPENHEIMER CAPITAL INCOME FUND
services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Funds assets grow and which are appropriate given the Funds current size.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers affiliates and research provided to the Adviser in connection with permissible brokerage arrangements (soft dollar arrangements).
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through August 31, 2018. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
101 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.
102 OPPENHEIMER CAPITAL INCOME FUND
TRUSTEES AND OFFICERS Unaudited
Name, Position(s) Held with the Fund, Length of Service, Year of Birth | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/ Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
Robert J. Malone, Chairman of the Board of Trustees (since 2016), Trustee (since 2002) Year of Birth: 1944 |
Chairman - Colorado Market of MidFirst Bank (since January 2015); Chairman of the Board (2012-2016) and Director (August 2005-January 2016) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2016); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Director of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990- 1991) and Member (1984-1999) of Young Presidents Organization. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Andrew J. Donohue, Trustee (since 2017) Year of Birth: 1950 |
Of Counsel, Shearman & Sterling LLP (since September 2017); Chief of Staff of the U.S. Securities and Exchange Commission (regulator) (June 2015-February 2017); Managing Director and Investment Company General Counsel of Goldman Sachs (investment bank) (November 2012-May 2015); Partner at Morgan Lewis & Bockius, LLP (law firm) (March 2011-October 2012); Director of the Division of Investment Management of U.S. Securities and Exchange Commission (regulator) (May 2006-November 2010); Global General Counsel of Merrill Lynch Investment Managers (investment firm) (May 2003-May 2006); General Counsel (October 1991-November 2001) and Executive Vice President (January 1993-November 2001) of OppenheimerFunds, Inc. (investment firm) (June 1991-November 2001). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Donohue has served on the Boards of certain Oppenheimer funds since 2017, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Jon S. Fossel, Trustee (since 1990) Year of Birth: 1942 |
Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (2005-2015); Director of Jack Creek Preserve Foundation (non-profit organization) (since March 2005); Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (OAC) (parent holding company of the Sub- |
103 OPPENHEIMER CAPITAL INCOME FUND
TRUSTEES AND OFFICERS Unaudited / continued
Jon S. Fossel, Continued |
Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Richard F. Grabish, Trustee (since 2012) Year of Birth: 1948 |
Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Year of Birth: 1946 |
Trustee of Monterey Institute for International Studies (educational organization) (2000-2014); Board Member of Middlebury College (educational organization) (December 2005-June 2011); Director (1991-2016), Vice Chairman of the Board (2006-2009) and Chairman of the Board (2010-2013) of American Funds Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Bostons Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. |
104 OPPENHEIMER CAPITAL INCOME FUND
Victoria J. Herget, Trustee (since 2012) Year of Birth:1951 |
Board Chair (2008-2015) and Director (2004-Present), United Educators (insurance company); Trustee (since 2000) and Chair (since 2010), Newberry Library (independent research library); Trustee, Mather LifeWays (senior living organization) (since 2001); Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985- 1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (investment adviser) (and its predecessor firms); Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee, BoardSource (non-profit organization) (2006-2009) and Chicago City Day School (K-8 School) (1994-2005). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
F. William Marshall, Jr., Trustee (since 2000) Year of Birth: 1942 |
Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (1996-2015), MML Series Investment Fund (investment company) (1996-2015) and Mass Mutual Premier Funds (investment company) (January 2012-December 2015); President and Treasurer of the SIS Charitable Fund (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999- July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. | |
Karen L. Stuckey, Trustee (since 2012) Year of Birth: 1953 |
Member (since May 2015) of Desert Mountain Community Foundation Advisory Board (non-profit organization); Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Trustee (1992-2006); member of Executive, Nominating and Audit Committees and Chair of Finance Committee (1992-2006), and Emeritus Trustee (since 2006) of Lehigh University; and member, Womens Investment Management Forum (professional organization) since inception. Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations. |
105 OPPENHEIMER CAPITAL INCOME FUND
TRUSTEES AND OFFICERS Unaudited / continued
James D. Vaughn, Trustee (since 2012) Year of Birth:1945 |
Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee and Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, during which time he has become familiar with the Funds (and other Oppenheimer funds) financial, accounting, regulatory and investment matters and has contributed to the Boards deliberations.
| |
INTERESTED TRUSTEE AND OFFICER | Mr. Steinmetz is an Interested Trustee because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as Chairman of the Sub-Adviser and officer and director of the Manager. Both as a Trustee and as an officer, Mr. Steinmetz serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Steinmetzs address is 225 Liberty Street, New York, New York 10281-1008. | |
Arthur P. Steinmetz, Trustee (since 2015), President and Principal Executive Officer (since 2014) Year of Birth: 1958 |
Chairman of the Sub-Adviser (since January 2015); CEO and Chairman of the Manager (since July 2014), President of the Manager (since May 2013), a Director of the Manager (since January 2013), Director of the Sub-Adviser (since July 2014), President, Management Director and CEO of Oppenheimer Acquisition Corp. (the Sub-Advisers parent holding company) (since July 2014), and President and Director of OFI SteelPath, Inc. (since January 2013). Chief Investment Officer of the OppenheimerFunds advisory entities from (January 2013-December 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009).An officer of 101 portfolios in the OppenheimerFunds complex.
| |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Mr. Memani, Mss. Borré, Lo Bessette, Foxson and Picciotto, 225 Liberty Street, New York, New York 10281-1008, for Mr. Petersen, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Michelle Borré, Vice President (since 2009) Year of Birth: 1967 |
Senior Vice President of the Sub-Adviser (since January 2016); Senior Portfolio Manager of the Sub-Adviser (since April 2009);Vice President of the Sub-Adviser (April 2003-January 2016); Senior Research Analyst of the Sub-Adviser (February 2003-April 2009). Ms. Borré held various positions, including Managing Director and Partner, at J&W Seligman (July 1996 -January 2003); Adjunct Professor of Finance and Economics at Columbia Business School (2003-2013); Served on the Executive Advisory Board at the Heilbrunn Center for Graham and Dodd Investing at Columbia Business School (from 2004 to 2005). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. |
106 OPPENHEIMER CAPITAL INCOME FUND
Krishna Memani, Vice President (since 2009) Year of Birth: 1960 |
President of the Sub-Adviser (since January 2013); Executive Vice President of the Manager (since January 2014) and Chief Investment Officer of the OppenheimerFunds advisory entities (since January 2014). Chief Investment Officer, Fixed Income of the Sub-Adviser (January 2013-December 2013); Head of the Investment Grade Fixed Income Team of the Sub-Adviser (March 2009-January 2014); Director of Fixed Income of the Sub-Adviser (October 2010-December 2012); Senior Vice President of the Sub-Adviser (March 2009-December 2012) and Senior Vice President of OFI Global Institutional, Inc. (April 2009-December 2012). Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009). Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006). Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of other portfolios in the OppenheimerFunds complex. | |
Cynthia Lo Bessette, Secretary and Chief Legal Officer (since 2011) Year of Birth: 1969 |
Executive Vice President, General Counsel and Secretary of the Manager (since February 2016); Senior Vice President and Deputy General Counsel of the Manager (March 2015-February 2016); Chief Legal Officer of the Sub-Adviser and the Distributor (since February 2016); Vice President, General Counsel and Secretary of Oppenheimer Acquisition Corp. (since February 2016); General Counsel of OFI SteelPath, Inc., VTL Associates, LLC and Index Management Solutions, LLC (since February 2016); Chief Legal Officer of OFI Global Institutional, Inc., HarbourView Asset Management Corporation, OFI Global Trust Company, Oppenheimer Real Asset Management, Inc., OFI Private Investments Inc., Shareholder Services, Inc. and Trinity Investment Management Corporation (since February 2016); Corporate Counsel (February 2012-March 2015) and Deputy Chief Legal Officer (April 2013-March 2015) of Jennison Associates LLC; Assistant General Counsel (April 2008-September 2009) and Deputy General Counsel (October 2009-February 2012) of Lord Abbett & Co. LLC. An officer of 101 portfolios in the OppenheimerFunds complex. | |
Jennifer Foxson, Vice President and Chief Business Officer (since 2014) Year of Birth: 1969 |
Senior Vice President of OppenheimerFunds Distributor, Inc. (since June 2014); Vice President of OppenheimerFunds Distributor, Inc. (April 2006-June 2014); Vice President of the Sub-Adviser (January 1998-March 2006); Assistant Vice President of the Sub-Adviser (October 1991-December 1998). An officer of 101 portfolios in the OppenheimerFunds complex. | |
Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer (since 2014) Year of Birth: 1973 |
Senior Vice President and Chief Compliance Officer of the Manager (since March 2014); Chief Compliance Officer of the Sub-Adviser, OFI SteelPath, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2014); Managing Director of Morgan Stanley Investment Management Inc. and certain of its various affiliated entities; Chief Compliance Officer of various Morgan Stanley Funds (May 2010-January 2014); Chief Compliance Officer of Morgan Stanley Investment Management Inc. (April 2007-January 2014). An officer of 101 portfolios in the OppenheimerFunds complex. | |
Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer (since 2016) Year of Birth: 1970 |
Senior Vice President of the Manager (since January 2017); Vice President of the Manager (January 2013-January 2017); Vice President of the Sub-Adviser (February 2007-December 2012); Assistant Vice President of the Sub-Adviser (August 2002- 2007). An officer of 101 portfolios in the OppenheimerFunds complex. | |
The Funds Statement of Additional Information contains additional information about the Funds Trustees and Officers and is available without charge upon request by calling 1.800.CALL OPP (225.5677). |
107 OPPENHEIMER CAPITAL INCOME FUND
OPPENHEIMER CAPITAL INCOME FUND
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 |
© 2017 OppenheimerFunds, Inc. All rights reserved.
108 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.
109 OPPENHEIMER CAPITAL INCOME FUND
PRIVACY POLICY NOTICE Continued
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).
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111 OPPENHEIMER CAPITAL INCOME FUND
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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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Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved.
RA0300.001.0817 October 22, 2017 |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.
Item 3. Audit Committee Financial Expert.
The Board of Trustees of the registrant has determined that Karen L. Stuckey, the Chairwoman of the Boards Audit Committee, is the audit committee financial expert and that Ms. Stuckey is independent for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
The principal accountant for the audit of the registrants annual financial statements billed $77,100 in fiscal 2017 and $65,000 in fiscal 2016.
(b) | Audit-Related Fees |
The principal accountant for the audit of the registrants annual financial statements billed $6,000 in fiscal 2017 and $5,341 in fiscal 2016.
The principal accountant for the audit of the registrants annual financial statements billed $289,000 in fiscal 2017 and $704,560 in fiscal 2016 to the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: Internal control reviews, GIPS attestation procedures, custody exams, and additional audit services.
(c) | Tax Fees |
The principal accountant for the audit of the registrants annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016.
The principal accountant for the audit of the registrants annual financial statements billed $528,317 in fiscal 2017 and $237,933 in fiscal 2016 to the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-
planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) | All Other Fees |
The principal accountant for the audit of the registrants annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016.
The principal accountant for the audit of the registrants annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016 to the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrants retirement plan with respect to its Trustees.
(e) | (1) During its regularly scheduled periodic meetings, the registrants audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.
Under applicable laws, pre-approval of non-audit services may be waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to its principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.
(2) 0%
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrants annual financial statements billed $817,317 in fiscal 2017 and $942,493 in fiscal 2016 to the registrant and the registrants investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrants audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrants investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence. No such services were rendered. |
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 8/31/2017, 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) Exhibit attached hereto. |
(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: | 10/13/2017 |
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: | 10/13/2017 |
By: | /s/ Brian S. Petersen | |
Brian S. Petersen | ||
Principal Financial Officer | ||
Date: | 10/13/2017 |
CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS OF
THE OPPENHEIMER FUNDS, OPPENHEIMERFUNDS, INC., OFI GLOBAL ASSET
MANAGEMENT, INC. AND OFI STEELPATH, INC.
This Code of Ethics for Principal Executive and Financial Officers (referred to in this document as the Code) has been adopted by each of the investment companies for which OppenheimerFunds, Inc. (OFI), OFI Global Asset Management, Inc. (OFI Global) , OFI SteelPath, Inc. (OFI SteelPath) or one of OFIs other subsidiaries (referred to collectively in this document as OFI) acts as investment adviser (individually, a Fund and collectively, the Funds), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406.
This Code applies to OFIs and each Funds principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (Covered Officers). A listing of positions currently within the ambit of Covered Officers is attached as Exhibit A.1
INTRODUCTION / DEFINITION / POLICY STATEMENT:
In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Funds financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Funds business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.
It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFIs fiduciary duties to each Fund, the Covered Officers may, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds.
POLICY DETAILS:
A. | POLICY STATEMENT |
1 The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code.
Overview. As a means of implementing Section 406 of SOX (Section 406), the SEC has adopted certain rules that require a mutual fund to disclose:
| Whether or not it has adopted a code of ethics that applies to the mutual funds principal executive officer, principal financial officer, principal accounting officer, controller or any other person that performs similar functions (each a Covered Officer and, collectively, the Covered Officers); |
| Why, if it has not adopted such code, it has not done so; and |
| Amendments to, and waivers from, the code of ethics relating to any of the Covered Officers. |
Section 406 defines a code of ethics to mean such standards as are reasonable necessary to promote:
| Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
| Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the issuer; and |
| Compliance with applicable laws, rules and regulations. |
This Code of Ethics for Principal Executive and Financial Officers (the Executive Code) sets forth standards and procedures to ensure compliance with SOX Section 406 and shall apply to each Covered Officer of the Funds and ETF Trust (referred to herein as the Funds).
Honest and ethical conduct. This Executive Code is intended to assure that the behavior of Covered Officers does not put, or appear to put, the interests of other parties above those of the Funds and that conflicts of interest are identified and handled ethically. A conflict of interest occurs when a Covered Officer allows, or appears to allow, advantages that could otherwise be avoided or ameliorated, to other parties at the expense of a Fund. Such advantages may benefit a Covered Officers own private interests over the interests of the Funds. Conflicts of interest may also arise when, in addition to serving as a Covered Officer of the Funds, a Covered Officer also holds a position as an officer or employee of an investment adviser or other entity retained by a Fund. A conflict of interest may be created if a Covered Officer who also serves as an officer or employee of an investment adviser to the Funds, provides benefits to another party that are improper, or that are a breach of the Covered Officers fiduciary relationship to the Funds, if the benefit was derived from such Covered Officers position with the Funds.
The compliance programs and procedures of the Funds and the investment adviser(s) to the Funds are designed to prevent, or identify and correct, violations of provisions set forth in the Investment Company Act and the Investment Advisers Act, including certain conflict of interest provisions. The obligations imposed by this Executive Code on Covered Officers are separate and in addition to any obligations imposed on such persons under any other procedures, such as the Code of Ethics adopted by the Funds and the investment advisers to the Funds pursuant to Rule 17j-1 under the Investment Company Act. This Executive Code does not, and is not intended to, repeat or replace these programs and procedures. Violations of such other programs
and procedures shall be addressed in accordance with the applicable program or procedure, unless or until it is determined that a violation of such program and procedure is also a violation of this Executive Code.
If a Covered Officer becomes aware of a conflict of interest or perceives there to be a conflict of interest, such Covered Officer shall promptly report the matter to the Funds Chief Compliance Officer or the OFI General Counsel. Upon receipt of a report, the Chief Compliance Officer or OFI General Counsel will take prompt steps to determine whether a conflict or perceived conflict of interest exists. If it is determined that an actual or perceived conflict of interest exists, the Chief Compliance Officer or OFI General Counsel will take steps to resolve the conflict or the appearance of a conflict. If it is determined that no conflict or appearance of a conflict exists, the Chief Compliance Officer or OFI General Counsel shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the matter may be referred to the Funds Boards.
Prohibited Activity: No Covered Officer shall, in connection with carrying out his or her duties on behalf of the Funds:
| Use information concerning business and affairs of the Funds, including the investment intentions of the Funds, for personal gain to himself or herself, his or her family or friends or any other person, or in a manner detrimental to the interests of the Funds or the shareholders of the Funds; |
| Use his or her ability to influence investment intentions for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the Funds or the shareholders of the Funds; |
| Use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of Funds or the shareholders of the Funds; |
| Intentionally take any action or fail to take any action in connection with his or her official acts on behalf of the Funds that causes the Funds to violate applicable laws, rules and regulations; |
| Employ any device, scheme, artifice or manipulative practice to defraud the Funds or the shareholders of the Funds; |
| Intentionally cause the Funds to make any untrue statement of a material fact or omit to state a material fact that conflicts with statements made in official documents, regulatory filings, financial statements or communications to the public; |
| Intentionally cause the Funds to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that the Funds file with, |
or submit to, the SEC and in other public communications; |
| Intentionally mislead or fail to provide material information to the independent auditors of the Funds or to the Board of Trustees/Directors or the officers of the Funds or their investment adviser(s) in connection with financial reporting matters; |
| Intentionally cause a Fund to be financially disadvantaged or to bear unwarranted expenses; |
| Retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code. |
Waivers. Covered Officers requesting a waiver of any of the provisions of the Executive Code must submit a written request for such waiver to the Compliance Department, setting forth the basis of such request and all necessary facts upon which such request can be evaluated.
The Compliance Department shall review such request and make a written determination thereon, which shall be binding. The Compliance Department may, in reviewing such request, consult in its discretion with legal counsel to the Funds, or the Board, if applicable.
In determining whether to waive any of the provisions of this Code, the Compliance Department shall consider whether the proposed waiver:
| Is prohibited by this Executive Code; |
| Is consistent with honest and ethical conduct; and |
| Will result in a conflict of interest between the Covered Officers personal and professional obligations to a Fund. |
For purposes of clarification, a determination by a Board as to the appropriate handling of a conflict of interest that has been disclosed to it and that does not involve unethical or fraudulent conduct does not constitute a waiver of this Executive Code.
Sanctions. Any violation of this Executive Code shall be subject to the imposition of such sanctions as may be deemed appropriate under the circumstances and may include, without limitation, a letter of censure, suspension from employment or termination of employment.
B. | POLICY IMPLEMENTATION |
Each Covered Officer shall:
| Certify that he or she has received, read and understands his or her obligations under the Executive Code (upon becoming subject to the Executive Code and annually thereafter); and |
| At least annually, all Covered Officers shall certify that they have compiled with the requirements of the Executive Code and that they have disclosed or reported violations of the Executive Code to the Chief Compliance Officer; and |
| Promptly report to the Chief Compliance Officer of the Funds or the General Counsel if he or she becomes aware of any actual or perceived conflict of interest. |
The Compliance Department shall:
| Maintain the current list of Covered Officers; |
| Furnish each Covered Officer with this Executive Code when such individual becomes subject to the Executive Code and annually thereafter; |
| Periodically inform each Covered Officer of his or her duties and obligations under this Executive Code; |
| Provide Fund Treasury with information with respect to amendments to, or waivers of, this Executive Code; |
| Provide the Boards with a quarterly report setting forth: |
o | A description of any report submitted by a Covered Officer of a conflict of interest or perceived conflict of interest and the disposition thereof; |
o | A description of any request for a waiver from the Executive Code and the disposition thereof; |
o | Any violation of the Executive Code that has been reported or detected and the sanction imposed; |
o | Any other significant information arising under the Executive Code. |
Fund Treasury shall ensure that the applicable Form N-CSR:
| Provides disclosure to the effect that the Funds have adopted the Executive Code; |
| Includes the current Executive Code as an exhibit; and |
| Provides disclosure with respect to any waivers that have been granted under the Executive Code. |
Amendments. At least annually, the Board of each Fund shall review the Executive Code and consider whether any amendments are necessary or desirable. Proposed amendments to the Executive Code shall be presented to the Boards for review and approval at such times other than the annual review as deemed necessary or desirable by the Chief Compliance Officer.
Approved by the Denver Board of the Oppenheimer Funds on August 2016
Approved by the New York of the Oppenheimer Funds on September 2016
Approved by OFI Legal and Compliance on July 2016
Exhibit A
Positions Covered by this Code of Ethics for Principal Executive and Financial Officers*
Each Oppenheimer fund
President (Principal Executive Officer)
Treasurer (Principal Financial Officer)
OppenheimerFunds, Inc., OFI Global Asset Management, Inc., OFI SteelPath, Inc., and VTL Associates, LLC
President (Principal Executive Officer)
Chief Executive Officer (Principal Executive Officer)
Chief Financial Officer Principal Financial Officer)
Treasurer (Principal Financial Officer)
* | There are no other positions with the Funds, OFI, OFI Global, OFI SteelPath, Inc., or VTL Associates, LLC held by persons who perform similar functions to those listed above. |
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: 10/13/2017
/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: 10/13/2017
/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 8/31/2017 (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: 10/13/2017 | Date: 10/13/2017 |
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