Oppenheimer Capital Income Fund

N-Q 1 d521305dnq.htm OPPENHEIMER CAPITAL INCOME FUND Oppenheimer Capital Income Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-1512

Oppenheimer Capital Income Fund

(Exact name of registrant as specified in charter)

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices) (Zip code)

Cynthia Lo Bessette

OFI Global Asset Management, Inc.

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

(Name and address of agent for service)

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

Date of fiscal year end: August 31

Date of reporting period: 11/30/2017

Item 1. Schedule of Investments.

CONSOLIDATED

STATEMENT OF INVESTMENTS November 30, 2017 Unaudited


	Shares		Value
Common Stocks—35.6%
Consumer Discretionary—0.8%
Media—0.8%
DISH Network Corp., Cl. A¹		273,794	$	13,867,666
Live Nation Entertainment, Inc.¹		201,830		9,159,045
				23,026,711

Consumer Staples—2.2%
Beverages—0.5%
Coca-Cola Co. (The)		310,150		14,195,566

Tobacco—1.7%
Altria Group, Inc.		411,945		27,942,229
Philip Morris International, Inc.		198,200		20,365,050
				48,307,279

Energy—3.7%
Energy Equipment & Services—0.5%
Halliburton Co.		144,306		6,029,105
Schlumberger Ltd.		105,926		6,657,449
				12,686,554

Oil, Gas & Consumable Fuels—3.2%
Canadian Natural Resources Ltd.		150,888		5,117,900
Chevron Corp.		121,748		14,486,794
ConocoPhillips		223,212		11,357,027
EOG Resources, Inc.		118,140		12,088,085
Newfield Exploration Co.¹		163,786		5,065,901
Noble Energy, Inc.		181,832		4,782,182
Occidental Petroleum Corp.		189,953		13,391,686
TOTAL SA, Sponsored ADR		297,640		16,831,542
Valero Energy Corp.		84,318		7,219,307
				90,340,424

Financials—6.1%
Capital Markets—0.4%
Goldman Sachs Group, Inc. (The)		23,550		5,831,922
Raymond James Financial, Inc.		57,990		5,120,517
				10,952,439

Commercial Banks—2.0%
JPMorgan Chase & Co.		102,580		10,721,661
M&T Bank Corp.		216,220		36,530,369
PNC Financial Services Group, Inc. (The)		48,960		6,881,818
				54,133,848

Insurance—2.1%
Allstate Corp. (The)		208,840		21,439,514

1 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Shares		Value
Insurance (Continued)
Chubb Ltd.		249,550	$	37,959,051
				59,398,565

Real Estate Investment Trusts (REITs)—1.6%
American Assets Trust, Inc.		105,080		4,135,949
Blackstone Mortgage Trust, Inc., Cl. A		767,810		25,122,743
Starwood Property Trust, Inc.		762,540		16,531,867
				45,790,559

Health Care—5.3%
Biotechnology—0.4%
Shire plc, ADR		80,170		11,925,287

Health Care Equipment & Supplies—0.7%
Abbott Laboratories		110,460		6,226,630
Medtronic plc		158,310		13,002,000
				19,228,630

Health Care Providers & Services—2.2%
Cigna Corp.		111,300		23,565,549
HCA Healthcare, Inc.¹		72,729		6,181,965
UnitedHealth Group, Inc.		138,494		31,600,176
				61,347,690

Pharmaceuticals—2.0%
Allergan plc		61,280		10,652,303
Bristol-Myers Squibb Co.		97,900		6,186,301
Merck & Co., Inc.		207,200		11,451,944
Novartis AG, Sponsored ADR		162,910		13,977,678
Roche Holding AG		49,296		12,439,439
				54,707,665

Industrials—6.3%
Aerospace & Defense—3.3%
L3 Technologies, Inc.		98,160		19,493,594
Lockheed Martin Corp.		100,660		32,122,619
Northrop Grumman Corp.		76,840		23,620,616
Raytheon Co.		79,650		15,225,098
				90,461,927

Airlines—0.2%
United Continental Holdings, Inc.¹		72,186		4,570,818

Commercial Services & Supplies—1.3%
Johnson Controls International plc		390,011		14,680,014
Republic Services, Inc., Cl. A		329,550		21,400,977
				36,080,991

2 OPPENHEIMER CAPITAL INCOME FUND


	Shares		Value
Construction & Engineering—0.3%
Granite Construction, Inc.		116,440	$	7,728,123

Industrial Conglomerates—1.0%
General Electric Co.		748,660		13,692,991
Honeywell International, Inc.		100,053		15,604,266
				29,297,257

Road & Rail—0.2%
Union Pacific Corp.		44,750		5,660,875

Information Technology—4.9%
Communications Equipment—1.2%
Cisco Systems, Inc.		730,152		27,234,670
CommScope Holding Co., Inc.¹		222,500		8,007,775
				35,242,445

Internet Software & Services—1.1%
Alphabet, Inc., Cl. A¹		29,310		30,370,143

Semiconductors & Semiconductor Equipment—1.4%
QUALCOMM, Inc.		235,330		15,611,792
Xilinx, Inc.		326,702		22,709,056
				38,320,848

Technology Hardware, Storage & Peripherals—1.2%
Apple, Inc.		191,105		32,841,394

Materials—1.9%
Chemicals—0.6%
Celanese Corp., Cl. A		157,093		16,846,654

Containers & Packaging—1.1%
Packaging Corp. of America		99,160		11,760,376
Sonoco Products Co.		330,830		17,702,713
				29,463,089

Metals & Mining—0.2%
Steel Dynamics, Inc.		132,000		5,082,000

Telecommunication Services—2.4%
Diversified Telecommunication Services—2.4%
AT&T, Inc.		628,350		22,859,373
BCE, Inc.		481,180		23,005,216
Verizon Communications, Inc.		386,550		19,671,529
				65,536,118

Utilities—2.0%
Electric Utilities—1.4%
Edison International		210,650		17,119,526

3 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Shares		Value
Electric Utilities (Continued)
NextEra Energy, Inc.		100,998	$	15,961,724
PG&E Corp.		105,280		5,710,387
				38,791,637

Multi-Utilities—0.6%
CMS Energy Corp.		357,070		17,817,793
Total Common Stocks (Cost $999,356,803)				990,153,329

Preferred Stocks—1.3%
Citigroup Capital XIII, 7.75% [US0003M+637] Cum., Non-Vtg.²		1,066,101		29,232,489
M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg.		1,833		1,869,660
M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg.		4,500		4,590,000
Total Preferred Stocks (Cost $34,750,672)				35,692,149
	Principal Amount
Asset-Backed Securities—7.7%
American Credit Acceptance Receivables Trust:
Series 2014-4, Cl. D, 5.24%, 2/10/22³	$	410,000		413,434
Series 2015-1, Cl. B, 2.85%, 2/12/21³		237,866		238,027
Series 2015-3, Cl. B, 3.56%, 10/12/21³		644,385		646,883
Series 2015-3, Cl. C, 4.84%, 10/12/21³		960,000		981,697
Series 2015-3, Cl. D, 5.86%, 7/12/22³		955,000		977,839
Series 2016-4, Cl. B, 2.11%, 2/12/21³		1,365,000		1,364,831
Series 2017-3, Cl. B, 2.25%, 1/11/21³		425,000		423,974
AmeriCredit Automobile Receivables Trust:
Series 2013-4, Cl. D, 3.31%, 10/8/19		350,000		351,746
Series 2015-2, Cl. D, 3.00%, 6/8/21		1,555,000		1,570,687
Series 2017-2, Cl. D, 3.42%, 4/18/23		2,065,000		2,086,424
Series 2017-4, Cl. D, 3.08%, 12/18/23		1,610,000		1,603,180
Bear Stearns Structured Products Trust:
Series 2007-EMX1, Cl. A2, 2.629% [US0001M+130], 3/25/37^2,3		5,900,000		5,843,351
Series 2007-EMX1, Cl. M1, 3.329% [US0001M+200], 3/25/37^2,3		8,000,000		7,540,018
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 2.25% [LIBOR01M+100], 9/15/41^2,4,5		1,252,018		678,228
Cabela’s Credit Card Master Note Trust:
Series 2013-2A, Cl. A2, 1.90% [LIBOR01M+65], 8/16/21^2,3		785,000		787,901
Series 2016-1, Cl. A1, 1.78%, 6/15/22		2,095,000		2,086,029
Series 2016-1, Cl. A2, 2.10% [LIBOR01M+85], 6/15/22²		4,190,000		4,232,644
Capital Auto Receivables Asset Trust:
Series 2014-1, Cl. D, 3.39%, 7/22/19		580,000		583,203
Series 2017-1, Cl. D, 3.15%, 2/20/25³		275,000		274,200
Capital One Multi-Asset Execution Trust:
Series 2016-A1, Cl. A1, 1.70% [LIBOR01M+45], 2/15/22²		2,690,000		2,702,734
Series 2016-A3, Cl. A3, 1.34%, 4/15/22		2,320,000		2,298,230
CarFinance Capital Auto Trust:
Series 2014-1A, Cl. D, 4.90%, 4/15/20³		1,035,000		1,051,090
Series 2015-1A, Cl. A, 1.75%, 6/15/21³		212,714		212,578
CarMax Auto Owner Trust:
Series 2015-2, Cl. D, 3.04%, 11/15/21		655,000		659,256

4 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Asset-Backed Securities (Continued)
CarMax Auto Owner Trust: (Continued)
Series 2015-3, Cl. D, 3.27%, 3/15/22	$	1,975,000	$	1,984,695
Series 2016-1, Cl. D, 3.11%, 8/15/22		1,300,000		1,312,980
Series 2016-3, Cl. D, 2.94%, 1/17/23		760,000		753,352
Series 2016-4, Cl. D, 2.91%, 4/17/23		1,710,000		1,691,486
Series 2017-1, Cl. D, 3.43%, 7/17/23		1,565,000		1,569,362
Series 2017-4, Cl. D, 3.30%, 5/15/24		705,000		701,674
CCG Receivables Trust, Series 2017-1, Cl. B, 2.75%, 11/14/23³		1,580,000		1,567,439
Chase Issuance Trust, Series 2014-A5, Cl. A5, 1.62% [LIBOR01M+37], 4/15/21²		1,690,000		1,697,209
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/23³		910,000		909,725
Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21		4,420,000		4,432,404
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25		475,000		475,776
CPS Auto Receivables Trust:
Series 2013-C, Cl. D, 6.59%, 8/15/19³		685,000		696,943
Series 2017-C, Cl. A, 1.78%, 9/15/20³		506,593		506,200
Series 2017-C, Cl. B, 2.30%, 7/15/21³		685,000		682,673
CPS Auto Trust:
Series 2017-A, Cl. B, 2.68%, 5/17/21³		210,000		210,594
Series 2017-D, Cl. B, 2.43%, 1/18/22³		1,180,000		1,177,134
Credit Acceptance Auto Loan Trust, Series 2017-3A, Cl. C, 3.48%, 10/15/26⁴		1,415,000		1,414,775
CWABS Asset-Backed Certificates Trust, Series 2005-14, Cl. 1A1, 1.559% [US0001M+23], 4/25/36²		883,653		885,529
Dell Equipment Finance Trust, Series 2017-2, Cl. B, 2.47%, 10/24/22³		470,000		468,467
Discover Card Execution Note Trust:
Series 2012-A6, Cl. A6, 1.67%, 1/18/22		2,105,000		2,094,462
Series 2016-A1, Cl. A1, 1.64%, 7/15/21		3,855,000		3,845,955
Series 2016-A4, Cl. A4, 1.39%, 3/15/22		4,235,000		4,188,480
Drive Auto Receivables Trust:
Series 2015-BA, Cl. D, 3.84%, 7/15/21³		115,000		117,109
Series 2015-CA, Cl. D, 4.20%, 9/15/21³		445,000		455,824
Series 2016-BA, Cl. C, 3.19%, 7/15/22³		1,040,000		1,049,848
Series 2016-CA, Cl. C, 3.02%, 11/15/21³		980,000		989,261
Series 2016-CA, Cl. D, 4.18%, 3/15/24³		1,070,000		1,102,624
Series 2017-1, Cl. B, 2.36%, 3/15/21		1,065,000		1,067,118
Series 2017-2, Cl. B, 2.25%, 6/15/21		685,000		686,012
Series 2017-2, Cl. C, 2.75%, 9/15/23		750,000		752,404
Series 2017-3, Cl. C, 2.80%, 7/15/22		785,000		786,982
Series 2017-AA, Cl. C, 2.98%, 1/18/22³		1,210,000		1,219,252
Series 2017-AA, Cl. D, 4.16%, 5/15/24³		1,410,000		1,447,966
Series 2017-BA, Cl. D, 3.72%, 10/17/22³		1,525,000		1,536,951
DT Auto Owner Trust:
Series 2014-2A, Cl. D, 3.68%, 4/15/21³		1,745,677		1,754,206
Series 2015-2A, Cl. D, 4.25%, 2/15/22³		780,000		795,169
Series 2016-1A, Cl. B, 2.79%, 5/15/20³		267,779		267,875
Series 2016-4A, Cl. E, 6.49%, 9/15/23³		495,000		510,680
Series 2017-1A, Cl. C, 2.70%, 11/15/22³		565,000		564,013

5 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Asset-Backed Securities (Continued)
DT Auto Owner Trust: (Continued)
Series 2017-1A, Cl. D, 3.55%, 11/15/22³	$	1,060,000	$	1,062,333
Series 2017-1A, Cl. E, 5.79%, 2/15/24³		1,025,000		1,043,167
Series 2017-2A, Cl. B, 2.44%, 2/15/21³		855,000		856,856
Series 2017-2A, Cl. D, 3.89%, 1/15/23³		1,165,000		1,176,472
Series 2017-3A, Cl. B, 2.40%, 5/17/21³		1,235,000		1,232,991
Series 2017-3A, Cl. E, 5.60%, 8/15/24³		1,015,000		1,026,787
Series 2017-4A, Cl. C, 2.86%, 7/17/23³		110,000		110,007
Series 2017-4A, Cl. D, 3.47%, 7/17/23³		1,675,000		1,676,889
Series 2017-4A, Cl. E, 5.15%, 11/15/24³		990,000		993,171
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/44³		1,131,834		1,130,675
Evergreen Credit Card Trust, Series 2016-3, Cl. A, 1.75% [LIBOR01M+50], 11/16/20^2,³		3,015,000		3,026,007
Exeter Automobile Receivables Trust:
Series 2013-2A, Cl. D, 6.81%, 8/17/20³		1,947,108		1,970,999
Series 2014-2A, Cl. C, 3.26%, 12/16/19³		708,613		711,938
Series 2017-3A, Cl. A, 2.05%, 12/15/21³		1,012,882		1,012,505
Fieldstone Mortgage Investment Trust, Series 2004-5, Cl. M3, 3.354% [US0001M+202.5], 2/25/35²		5,355,862		5,156,099
Flagship Credit Auto Trust:
Series 2013-2, Cl. D, 6.26%, 2/16/21³		435,000		439,781
Series 2014-1, Cl. D, 4.83%, 6/15/20³		200,000		202,932
Series 2016-1, Cl. C, 6.22%, 6/15/22³		2,410,000		2,538,732
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43³		112,551		112,005
GM Financial Automobile Leasing Trust, Series 2017-3, Cl. C, 2.73%, 9/20/21		795,000		788,776
GSAMP Trust:
Series 2005-HE4, Cl. M3, 2.109% [US0001M+78], 7/25/45²		13,300,000		13,230,268
Series 2005-HE5, Cl. M3, 1.789% [US0001M+46], 11/25/35²		4,060,889		3,901,649
Series 2007-HS1, Cl. M4, 3.579% [US0001M+225], 2/25/47²		4,849,000		5,035,941
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, 1.779% [US0001M+45], 12/25/35²		5,480,000		5,479,731
Long Beach Mortgage Loan Trust, Series 2005-WL3, Cl. M1, 1.974% [US0001M+64.5], 11/25/35²		2,390,000		2,364,606
Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 1.709% [US0001M+38], 12/25/35²		12,287,000		12,020,279
Navistar Financial Dealer Note Master Owner Trust II:
Series 2016-1, Cl. D, 4.538% [LIBOR01M+330], 9/27/21^2,3		495,000		495,855
Series 2017-1, Cl. C, 2.788% [LIBOR01M+155], 6/27/22^2,3		400,000		402,450
Series 2017-1, Cl. D, 3.538% [LIBOR01M+230], 6/27/22^2,3		465,000		465,172
New Century Home Equity Loan Trust:
Series 2005-1, Cl. M2, 2.049% [US0001M+72], 3/25/35²		4,383,661		4,164,884
Series 2005-2, Cl. M3, 2.064% [US0001M+73.5], 6/25/35²		5,500,000		5,494,948
Nissan Auto Lease Trust, Series 2017-A, Cl. A3, 1.91%, 4/15/20		1,575,000		1,572,391
RASC Series Trust, Series 2006-KS2, Cl. M2, 1.719% [US0001M+39], 3/25/36²		4,875,000		4,743,681
Raspro Trust, Series 2005-1A, Cl. G, 1.725% [LIBOR03M+40], 3/23/24^2,4		3,564,637		3,518,739
Santander Drive Auto Receivables Trust:
Series 2013-4, Cl. E, 4.67%, 1/15/20³		2,055,000		2,059,283

6 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Asset-Backed Securities (Continued)
Santander Drive Auto Receivables Trust: (Continued)
Series 2013-A, Cl. E, 4.71%, 1/15/21³	$	1,530,000	$	1,543,242
Series 2014-1, Cl. E, 3.92%, 5/17/21		395,000		398,943
Series 2016-2, Cl. D, 3.39%, 4/15/22		825,000		835,725
Series 2017-1, Cl. D, 3.17%, 4/17/23		1,085,000		1,088,571
Series 2017-1, Cl. E, 5.05%, 7/15/24³		2,735,000		2,821,092
Series 2017-2, Cl. D, 3.49%, 7/17/23		390,000		394,085
Series 2017-3, Cl. D, 3.20%, 11/15/23		2,695,000		2,696,066
Santander Retail Auto Lease Trust, Series 2017-A, Cl. C, 2.96%, 11/21/22³		1,275,000		1,277,760
SG Mortgage Securities Trust, Series 2005-OPT1, Cl. M2, 1.779% [US0001M+45], 10/25/35²		6,129,000		5,929,678
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/22³		1,075,000		1,073,096
Verizon Owner Trust, Series 2017-3A, Cl. A1A, 2.06%, 4/20/22³		1,260,000		1,257,989
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, 2.84%, 4/17/23³		1,105,000		1,104,384
Westlake Automobile Receivables Trust:
Series 2016-1A, Cl. E, 6.52%, 6/15/22³		1,295,000		1,333,678
Series 2017-2A, Cl. E, 4.63%, 7/15/24⁴		1,710,000		1,717,502
World Financial Network Credit Card Master Trust:
Series 2012-D, Cl. A, 2.15%, 4/17/23		1,040,000		1,040,763
Series 2016-B, Cl. A, 1.44%, 6/15/22		2,455,000		2,448,444
Series 2017-A, Cl. A, 2.12%, 3/15/24		2,775,000		2,764,555
Series 2017-B, Cl. A, 1.98%, 6/15/23		2,105,000		2,101,122
Series 2017-C, Cl. A, 2.31%, 8/15/24		2,845,000		2,845,222
Total Asset-Backed Securities (Cost $205,500,061)				213,869,708

Mortgage-Backed Obligations—20.7%
Government Agency—13.9%
FHLMC/FNMA/FHLB/Sponsored—10.5%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 5/1/19		133,242		135,331
5.00%, 12/1/34		43,073		46,963
6.00%, 5/1/18		80		81
6.50%, 7/1/28-4/1/34		118,533		131,331
7.00%, 10/1/31		100,857		112,142
9.00%, 8/1/22-5/1/25		4,870		5,198
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 67.244%, 4/1/27⁶		82,440		15,209
Series 192,Cl. IO, 99.999%, 2/1/28⁶		26,795		5,055
Series 243,Cl. 6, 0.00%, 12/15/32^6,7		86,376		14,992
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		2,076,813		2,073,207
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.- Backed Security, Series 176, Cl. PO, 4.127%, 6/1/26⁸		27,337		25,424
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2034,Cl. Z, 6.50%, 2/15/28		62,250		68,959
Series 2043,Cl. ZP, 6.50%, 4/15/28		284,240		316,585
Series 2053,Cl. Z, 6.50%, 4/15/28		56,027		62,079
Series 2279,Cl. PK, 6.50%, 1/15/31		115,646		129,028
Series 2326,Cl. ZP, 6.50%, 6/15/31		51,615		56,815

7 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)
Series 2427,Cl. ZM, 6.50%, 3/15/32	$	211,921	$	233,133
Series 2461,Cl. PZ, 6.50%, 6/15/32		248,449		275,490
Series 2564,Cl. MP, 5.00%, 2/15/18		51,597		51,714
Series 2585,Cl. HJ, 4.50%, 3/15/18		25,589		25,631
Series 2626,Cl. TB, 5.00%, 6/15/33		219,256		231,137
Series 2635,Cl. AG, 3.50%, 5/15/32		65,361		66,628
Series 2707,Cl. QE, 4.50%, 11/15/18		100,014		100,684
Series 2770,Cl. TW, 4.50%, 3/15/19		15,637		15,812
Series 3010,Cl. WB, 4.50%, 7/15/20		100,673		102,508
Series 3025,Cl. SJ, 20.166% [(3.667) x LIBOR01M+2,475], 8/15/35²		31,103		45,619
Series 3030,Cl. FL, 1.65% [LIBOR01M+40], 9/15/35²		465,909		468,101
Series 3645,Cl. EH, 3.00%, 12/15/20		8,758		8,810
Series 3741,Cl. PA, 2.15%, 2/15/35		530,020		530,190
Series 3815,Cl. BD, 3.00%, 10/15/20		8,584		8,611
Series 3822,Cl. JA, 5.00%, 6/15/40		94,187		96,937
Series 3840,Cl. CA, 2.00%, 9/15/18		6,804		6,793
Series 3848,Cl. WL, 4.00%, 4/15/40		413,251		422,854
Series 3857,Cl. GL, 3.00%, 5/15/40		35,678		36,115
Series 4221,Cl. HJ, 1.50%, 7/15/23		937,112		924,646
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates,
Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 86.24%, 3/15/29⁶		61,050		9,830
Series 2796,Cl. SD, 99.999%, 7/15/26⁶		111,110		16,651
Series 2815,Cl. PT, 99.999%, 11/15/32⁶		153,785		1,148
Series 2920,Cl. S, 50.773%, 1/15/35⁶		631,147		100,911
Series 2922,Cl. SE, 13.925%, 2/15/35⁶		159,859		26,938
Series 2937,Cl. SY, 17.447%, 2/15/35⁶		1,796,938		278,465
Series 2981,Cl. AS, 9.17%, 5/15/35⁶		1,321,601		179,523
Series 3397,Cl. GS, 0.00%, 12/15/37^6,7		304,590		50,111
Series 3424,Cl. EI, 0.00%, 4/15/38^6,7		110,711		9,849
Series 3450,Cl. BI, 17.985%, 5/15/38⁶		741,894		111,899
Series 3606,Cl. SN, 17.308%, 12/15/39⁶		317,457		49,365
Federal National Mortgage Assn.:
2.50%, 12/1/32⁹		15,585,000		15,550,603
3.00%, 12/1/32⁹		54,280,000		55,301,133
3.50%, 12/1/47⁹		66,755,000		68,425,232
4.00%, 12/1/47⁹		55,560,000		58,038,494
4.50%, 12/1/47⁹		53,735,000		57,137,664
5.00%, 12/1/47⁹		15,020,000		16,240,376
Federal National Mortgage Assn. Pool:
5.00%, 3/1/21		20,136		20,508
5.50%, 2/1/35-4/1/39		959,703		1,066,595
6.50%, 10/1/19-11/1/31		316,292		354,306
7.00%, 12/1/32-4/1/35		23,671		25,324
7.50%, 1/1/33-3/1/33		1,539,801		1,800,496
8.50%, 7/1/32		6,482		6,954

8 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 99.999%, 6/25/23⁶	$	162,183	$	21,129
Series 252,Cl. 2, 99.999%, 11/25/23⁶		143,730		21,619
Series 303,Cl. IO, 83.729%, 11/25/29⁶		75,491		18,533
Series 308,Cl. 2, 51.752%, 9/25/30⁶		183,700		49,836
Series 320,Cl. 2, 42.041%, 4/25/32⁶		666,738		166,522
Series 321,Cl. 2, 13.483%, 4/25/32⁶		452,001		107,857
Series 331,Cl. 9, 21.943%, 2/25/33⁶		181,716		37,543
Series 334,Cl. 17, 19.177%, 2/25/33⁶		95,466		18,830
Series 339,Cl. 12, 0.00%, 6/25/33^6,7		317,226		73,799
Series 339,Cl. 7, 0.00%, 11/25/33^6,7		383,246		80,107
Series 343,Cl. 13, 0.00%, 9/25/33^6,7		343,684		77,034
Series 343,Cl. 18, 0.00%, 5/25/34^6,7		92,077		19,551
Series 345,Cl. 9, 0.00%, 1/25/34^6,7		155,080		32,406
Series 351,Cl. 10, 0.00%, 4/25/34^6,7		103,397		22,520
Series 351,Cl. 8, 0.00%, 4/25/34^6,7		181,788		36,375
Series 356,Cl. 10, 0.00%, 6/25/35^6,7		129,549		28,323
Series 356,Cl. 12, 0.00%, 2/25/35^6,7		63,865		14,026
Series 362,Cl. 13, 0.00%, 8/25/35^6,7		232,405		51,907
Series 364,Cl. 16, 0.00%, 9/25/35^6,7		276,213		61,716
Series 365,Cl. 16, 0.00%, 3/25/36^6,7		622,390		127,366
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23		140,684		150,510
Series 1998-61,Cl. PL, 6.00%, 11/25/28		79,688		88,092
Series 1999-54,Cl. LH, 6.50%, 11/25/29		124,721		138,392
Series 2001-51,Cl. OD, 6.50%, 10/25/31		198,428		214,396
Series 2003-100,Cl. PA, 5.00%, 10/25/18		176,707		177,685
Series 2003-130,Cl. CS, 11.445% [(2) x LIBOR01M+1,410], 12/25/33²		77,602		82,953
Series 2003-28,Cl. KG, 5.50%, 4/25/23		318,703		335,343
Series 2003-84,Cl. GE, 4.50%, 9/25/18		12,308		12,379
Series 2004-25,Cl. PC, 5.50%, 1/25/34		73,759		74,834
Series 2005-104,Cl. MC, 5.50%, 12/25/25		1,700,625		1,791,542
Series 2005-31,Cl. PB, 5.50%, 4/25/35		1,430,000		1,588,579
Series 2005-73,Cl. DF, 1.578% [LIBOR01M+25], 8/25/35²		591,826		594,310
Series 2006-11,Cl. PS, 19.699% [(3.667) x LIBOR01M+2,456.67], 3/25/36²		107,242		170,709
Series 2006-46,Cl. SW, 19.332% [(3.667) x LIBOR01M+2,419.92], 6/25/36²		74,594		112,646
Series 2006-50,Cl. KS, 19.333% [(3.667) x LIBOR01M+2,420], 6/25/36²		148,561		228,127
Series 2006-50,Cl. SK, 19.333% [(3.667) x LIBOR01M+2,420], 6/25/36²		30,103		45,895
Series 2008-75,Cl. DB, 4.50%, 9/25/23		66,037		66,451
Series 2009-113,Cl. DB, 3.00%, 12/25/20		179,845		180,545
Series 2009-36,Cl. FA, 2.268% [LIBOR01M+94], 6/25/37²		154,460		157,933
Series 2009-37,Cl. HA, 4.00%, 4/25/19		34,751		34,808
Series 2009-70,Cl. TL, 4.00%, 8/25/19		178,214		178,705
Series 2010-43,Cl. KG, 3.00%, 1/25/21		114,499		115,107

9 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)
Series 2011-15,Cl. DA, 4.00%, 3/25/41	$	93,907	$	95,865
Series 2011-3,Cl. EL, 3.00%, 5/25/20		308,713		309,643
Series 2011-3,Cl. KA, 5.00%, 4/25/40		562,274		596,758
Series 2011-38,Cl. AH, 2.75%, 5/25/20		6,816		6,819
Series 2011-82,Cl. AD, 4.00%, 8/25/26		256,341		258,706
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security:
Series 2001-15,Cl. SA, 99.999%, 3/17/31⁶		22,590		1,521
Series 2001-65,Cl. S, 49.206%, 11/25/31⁶		164,572		32,465
Series 2001-81,Cl. S, 43.099%, 1/25/32⁶		40,792		7,780
Series 2002-47,Cl. NS, 39.92%, 4/25/32⁶		98,314		20,037
Series 2002-51,Cl. S, 30.135%, 8/25/32⁶		90,265		17,566
Series 2002-52,Cl. SD, 73.241%, 9/25/32⁶		141,004		29,308
Series 2002-60,Cl. SM, 24.878%, 8/25/32⁶		127,542		21,215
Series 2002-7,Cl. SK, 33.829%, 1/25/32⁶		39,658		7,082
Series 2002-75,Cl. SA, 39.126%, 11/25/32⁶		199,926		40,450
Series 2002-77,Cl. BS, 31.334%, 12/18/32⁶		86,578		17,656
Series 2002-77,Cl. SH, 47.825%, 12/18/32⁶		59,134		11,600
Series 2002-89,Cl. S, 71.816%, 1/25/33⁶		321,321		67,715
Series 2002-9,Cl. MS, 41.133%, 3/25/32⁶		54,052		10,142
Series 2002-90,Cl. SN, 25.588%, 8/25/32⁶		65,676		10,925
Series 2002-90,Cl. SY, 32.923%, 9/25/32⁶		33,456		5,675
Series 2003-33,Cl. SP, 37.195%, 5/25/33⁶		179,082		40,035
Series 2003-46,Cl. IH, 0.00%, 6/25/23^6,7		287,671		29,196
Series 2004-54,Cl. DS, 99.999%, 11/25/30⁶		129,545		22,347
Series 2004-56,Cl. SE, 13.056%, 10/25/33⁶		238,993		47,711
Series 2005-12,Cl. SC, 36.343%, 3/25/35⁶		75,291		10,848
Series 2005-19,Cl. SA, 62.391%, 3/25/35⁶		1,551,461		269,686
Series 2005-40,Cl. SA, 63.182%, 5/25/35⁶		340,800		48,106
Series 2005-52,Cl. JH, 38.401%, 5/25/35⁶		844,293		123,493
Series 2005-6,Cl. SE, 99.999%, 2/25/35⁶		678,183		117,248
Series 2005-93,Cl. SI, 15.823%, 10/25/35⁶		373,284		53,897
Series 2008-55,Cl. SA, 0.00%, 7/25/38^6,7		152,032		15,219
Series 2009-8,Cl. BS, 0.00%, 2/25/24^6,7		11,067		450
Series 2011-96,Cl. SA, 7.07%, 10/25/41⁶		908,592		140,450
Series 2012-134,Cl. SA, 6.13%, 12/25/42⁶		2,679,677		536,201
Series 2012-40,Cl. PI, 6.218%, 4/25/41⁶		2,796,070		422,396
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.135%, 9/25/23⁸		63,628		59,336
				292,764,674

GNMA/Guaranteed—3.4%
Government National Mortgage Assn. II Pool:
3.50%, 12/1/47⁹		29,785,000		30,792,571
4.00%, 12/1/47⁹		60,570,000		63,234,131

10 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
GNMA/Guaranteed (Continued)
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 99.999%, 2/16/32⁶	$	164,110	$	1,007
Series 2002-41,Cl. GS, 99.999%, 6/16/32⁶		36,600		2,391
Series 2002-76,Cl. SY, 99.999%, 12/16/26⁶		352,281		42,890
Series 2007-17,Cl. AI, 47.326%, 4/16/37⁶		1,471,870		252,637
Series 2011-52,Cl. HS, 24.954%, 4/16/41⁶		1,670,861		238,183
				94,563,810

Non-Agency—6.8%
Commercial—2.8%
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 3.41% [H15T1Y+210], 9/26/35^2,3		410,385		412,394
CD Commercial Mortgage Trust:
Series 2016-CD2,Cl. AM, 3.668%, 11/10/49¹⁰		1,035,000		1,060,155
Series 2017-CD3,Cl. AS, 3.833%, 2/10/50		1,475,000		1,523,961
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through
Certificates, Series 2017-CD6, Cl. XA, 12.409%, 11/13/50⁶		5,880,000		399,797
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.364%, 1/25/36¹⁰		892,084		870,215
Citigroup Commercial Mortgage Trust:
Series 2012-GC8,Cl. AAB, 2.608%, 9/10/45		411,317		414,289
Series 2014-GC21,Cl. AAB, 3.477%, 5/10/47		710,000		734,518
Citigroup Commercial Mortgage Trust, Interest-Only Commercial
Mtg. Pass-Through Certificates, Series 2017-C4, Cl. XA, 13.62%, 10/12/50⁶		15,384,018		1,228,097
COMM Mortgage Trust:
Series 2013-CR13,Cl. ASB, 3.706%, 11/12/46		1,355,000		1,410,348
Series 2013-CR6,Cl. AM, 3.147%, 3/10/46³		1,520,000		1,531,785
Series 2013-CR7,Cl. D, 4.426%, 3/10/46^3,10		2,075,000		1,651,026
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		4,410,000		4,618,811
Series 2014-LC15,Cl. AM, 4.198%, 4/10/47		980,000		1,036,003
Series 2014-UBS6,Cl. AM, 4.048%, 12/10/47		3,020,000		3,158,350
Series 2015-CR23,Cl. AM, 3.801%, 5/10/48		1,760,000		1,814,917
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security,
Series 2012-CR5, Cl. XA, 24.786%, 12/10/45⁶		4,991,456		288,331
Connecticut Avenue Securities, Series 2017-C04, Cl. 2M2, 4.178%
[US0001M+285], 11/25/29²		1,310,000		1,341,985
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36		1,146,879		1,003,845
Deutsche Bank Commercial Mortgage Trust, Series 2016-C1, Cl. AM, 3.539%, 5/10/49		945,000		955,794
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8,
Cl. 1A6, 1.979% [US0001M+65], 11/25/35²		501,779		359,692
FREMF Mortgage Trust:
Series 2011-K702,Cl. B, 4.937%, 4/25/44^3,10		360,000		360,905
Series 2013-K25,Cl. C, 3.744%, 11/25/45^3,10		350,000		345,711
Series 2013-K26,Cl. C, 3.721%, 12/25/45^3,10		460,000		454,736
Series 2013-K27,Cl. C, 3.615%, 1/25/46^3,10		400,000		393,285
Series 2013-K28,Cl. C, 3.61%, 6/25/46^3,10		2,460,000		2,416,776

11 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Commercial (Continued)
FREMF Mortgage Trust: (Continued)
Series 2013-K712,Cl. C, 3.477%, 5/25/45^3,10	$	730,000	$	732,992
Series 2013-K713,Cl. C, 3.274%, 4/25/46^3,10		480,000		479,547
Series 2014-K714,Cl. C, 3.98%, 1/25/47^3,10		325,000		326,764
Series 2014-K715,Cl. C, 4.266%, 2/25/46^3,10		155,000		158,033
Series 2014-K717,Cl. B, 3.753%, 11/25/47^3,10		190,000		194,613
Series 2015-K44,Cl. B, 3.81%, 1/25/48^3,10		170,000		172,643
Series 2017-K62,Cl. B, 4.004%, 1/25/50^3,10		150,000		153,075
GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Cl. A, 2.933%, 6/5/31³		740,000		746,707
GS Mortgage Securities Trust:
Series 2013-GC12,Cl. AAB, 2.678%, 6/10/46		255,000		257,272
Series 2013-GC16,Cl. AS, 4.649%, 11/10/46		455,000		489,780
Series 2014-GC18,Cl. AAB, 3.648%, 1/10/47		620,000		643,818
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/37^3,10		1,050,935		1,013,920
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2012-LC9,Cl. A4, 2.611%, 12/15/47		160,000		159,599
Series 2013-C10,Cl. AS, 3.372%, 12/15/47		2,090,000		2,116,671
Series 2013-C16,Cl. AS, 4.517%, 12/15/46		2,005,000		2,150,690
Series 2013-LC11,Cl. AS, 3.216%, 4/15/46		273,000		276,300
Series 2013-LC11,Cl. ASB, 2.554%, 4/15/46		375,000		376,438
Series 2014-C20,Cl. AS, 4.043%, 7/15/47		1,570,000		1,641,979
Series 2016-JP3,Cl. A2, 2.435%, 8/15/49		1,355,000		1,351,180
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.591%, 7/25/35¹⁰		839,417		862,844
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 3.388%, 7/26/36^3,10		822,407		788,243
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C17,Cl. ASB, 3.705%, 1/15/47		285,000		296,585
Series 2014-C18,Cl. A3, 3.578%, 2/15/47		715,000		732,647
Series 2014-C19,Cl. ASB, 3.584%, 4/15/47		295,000		305,610
Series 2014-C24,Cl. B, 4.116%, 11/15/47¹⁰		1,945,000		1,998,819
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		3,600,000		3,770,326
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		1,775,000		1,830,638
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Cl. AS, 3.385%, 12/15/49		1,480,000		1,478,747
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C7,Cl. AAB, 2.469%, 2/15/46		200,000		199,989
Series 2013-C9,Cl. AS, 3.456%, 5/15/46		1,670,000		1,692,588
Series 2014-C14,Cl. B, 4.794%, 2/15/47¹⁰		80,000		85,022
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		3,650,000		3,764,590
Series 2016-C30,Cl. AS, 3.175%, 9/15/49		2,555,000		2,492,452
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.963%, 11/26/36^3,10		1,862,448		1,666,210
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.149%, 6/26/46^3,10		870,598		872,382
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 3.018%, 7/26/45^3,10		186,509		191,133

12 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Commercial (Continued)
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 3.368%, 8/25/34¹⁰	$	464,605	$	467,469
Structured Agency Credit Risk Debt Nts., Series 2017-DNA2, Cl. M2, 4.778% [US0001M+345], 10/25/29²		1,055,000		1,122,134
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C5, Cl. XA, 11.765%, 11/15/50⁶		10,050,000		734,596
Wells Fargo Commercial Mortgage Trust:
Series 2015-C29,Cl. AS, 4.013%, 6/15/48¹⁰		1,250,000		1,309,571
Series 2016-C37,Cl. AS, 4.018%, 12/15/49		2,665,000		2,799,893
WF-RBS Commercial Mortgage Trust:
Series 2012-C7,Cl. E, 4.98%, 6/15/45^3,10		500,000		420,828
Series 2013-C14,Cl. AS, 3.488%, 6/15/46		1,045,000		1,066,057
Series 2014-C20,Cl. AS, 4.176%, 5/15/47		905,000		945,032
Series 2014-C22,Cl. A3, 3.528%, 9/15/57		320,000		329,904
Series 2014-C25,3.984%, 11/15/47¹⁰		1,085,000		1,125,433
Series 2014-LC14,Cl. AS, 4.351%, 3/15/47¹⁰		1,000,000		1,057,338
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 32.375%, 3/15/44^3,6		12,545,090		390,977
				78,025,804

Residential—4.0%
Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 2.109% [US0001M+78], 6/25/35²		4,000,000		4,026,667
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		142,385		133,250
Series 2007-C,Cl. 1A4, 3.431%, 5/20/36¹⁰		153,348		144,544
Series 2014-R7,Cl. 3A1, 3.392%, 3/26/36^3,10		1,274,768		1,275,392
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6.00%, 3/25/37		450,960		433,967
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 3.26% [H15T1Y+245], 3/25/35²		1,355,519		1,372,975
Series 2005-9,Cl. A1, 3.52% [H15T1Y+230], 10/25/35²		937,998		959,779
Series 2006-1,Cl. A1, 3.67% [H15T1Y+225], 2/25/36²		1,348,151		1,354,337
Bear Stearns Asset Backed Securities I Trust, Series 2005-HE6, Cl. M2, 2.334% [US0001M+100.5], 6/25/35²		3,286,232		3,334,790
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		573,375		525,727
Series 2006-6,Cl. A3, 6.00%, 4/25/36		289,080		256,048
Citigroup Mortgage Loan Trust, Inc.:
Series 2004-OPT1,Cl. M3, 2.274% [US0001M+94.5], 10/25/34²		3,750,000		3,748,755
Series 2006-AR1,Cl. 1A1, 3.21% [H15T1Y+240], 10/25/35²		2,632,498		2,650,696
Connecticut Avenue Securities:
Series 2014-C02,Cl. 1M1, 2.278% [US0001M+95], 5/25/24²		931,894		934,914
Series 2014-C02,Cl. 2M1, 2.278% [US0001M+95], 5/25/24²		7,109		7,111
Series 2014-C03,Cl. 1M1, 2.528% [US0001M+120], 7/25/24²		61,247		61,279
Series 2014-C03,Cl. 1M2, 4.328% [US0001M+300], 7/25/24²		2,070,000		2,195,865
Series 2016-C03,Cl. 1M1, 3.329% [US0001M+200], 10/25/28²		106,418		108,191

13 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Residential (Continued)
Connecticut Avenue Securities: (Continued)
Series 2016-C07,Cl. 2M1, 2.629% [US0001M+130], 5/25/29²	$	1,192,462	$	1,198,971
Series 2016-C07,Cl. 2M2, 5.679% [US0001M+435], 5/25/29²		870,000		957,738
Series 2017-C02,Cl. 2M1, 2.478% [US0001M+115], 9/25/29²		2,171,500		2,188,577
Series 2017-C02,Cl. 2M2, 4.978% [US0001M+365], 9/25/29²		1,975,000		2,102,422
Series 2017-C03,Cl. 1M1, 2.279% [US0001M+95], 10/25/29²		1,674,012		1,683,085
Series 2017-C06,Cl. 1M1, 2.079% [US0001M+75], 2/25/30²		1,062,194		1,064,855
Series 2017-C07,Cl. 1M2, 3.643% [US0001M+240], 5/25/30²		1,475,000		1,482,932
Countrywide Alternative Loan Trust:
Series 2005-21CB,Cl. A7, 5.50%, 6/25/35		745,767		714,848
Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35		2,737,486		2,500,715
GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/37¹⁰		8,548		8,394
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.521%, 7/25/35¹⁰		267,808		269,701
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 1.639% [US0001M+31], 7/25/35²		332,089		331,967
Impac Secured Assets Corp., Series 2004-4, Cl. M4, 2.754% [US0001M+142.5], 2/25/35²		5,000,000		4,740,868
RAMP Trust:
Series 2005-RS2,Cl. M4, 2.049% [US0001M+72], 2/25/35²		4,469,000		4,470,809
Series 2005-RS6,Cl. M4, 2.304% [US0001M+97.5], 6/25/35²		5,700,000		5,717,078
Series 2006-EFC1,Cl. M2, 1.729% [US0001M+40], 2/25/36²		5,490,000		5,417,438
Structured Agency Credit Risk Debt Nts.:
Series 2013-DN2,Cl. M2, 5.579% [US0001M+425], 11/25/23²		1,630,000		1,800,747
Series 2014-DN1,Cl. M3, 5.828% [US0001M+450], 2/25/24²		1,180,000		1,365,887
Series 2014-DN2,Cl. M3, 4.928% [US0001M+360], 4/25/24²		1,835,000		2,025,962
Series 2014-HQ2,Cl. M3, 5.078% [US0001M+375], 9/25/24²		2,270,000		2,564,103
Series 2015-HQA2,Cl. M2, 4.129% [US0001M+280], 5/25/28²		239,991		247,948
Series 2016-DNA1,Cl. M2, 4.228% [US0001M+290], 7/25/28²		500,000		515,686
Series 2016-DNA2,Cl. M1, 2.578% [US0001M+125], 10/25/28²		231,240		231,343
Series 2016-DNA3,Cl. M1, 2.428% [US0001M+110], 12/25/28²		717,506		718,785
Series 2016-DNA4,Cl. M1, 2.129% [US0001M+80], 3/25/29²		733,003		733,925
Series 2016-DNA4,Cl. M3, 5.129% [US0001M+380], 3/25/29²		2,290,000		2,513,859
Series 2016-HQA2,Cl. M1, 2.529% [US0001M+120], 11/25/28²		352,777		353,207
Series 2016-HQA3,Cl. M1, 2.129% [US0001M+80], 3/25/29²		3,117,743		3,122,586
Series 2016-HQA3,Cl. M3, 5.179% [US0001M+385], 3/25/29²		2,180,000		2,397,104
Series 2016-HQA4,Cl. M1, 2.129% [US0001M+80], 4/25/29²		1,817,085		1,819,413
Series 2016-HQA4,Cl. M3, 5.229% [US0001M+390], 4/25/29²		2,270,000		2,491,687
Series 2017-DNA3,Cl. M2, 3.828% [US0001M+250], 3/25/30²		1,050,000		1,060,612
Series 2017-HQA1,Cl. M1, 2.529% [US0001M+120], 8/25/29²		1,697,635		1,714,454
Series 2017-HQA1,Cl. M2, 4.879% [US0001M+355], 8/25/29²		2,180,000		2,311,013
Series 2017-HQA3,Cl. M1, 1.879% [US0001M+55], 4/25/30²		1,839,447		1,839,749
Series 2017-HQA3,Cl. M2, 3.679% [US0001M+235], 4/25/30²		2,535,000		2,539,206
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007- GEL2, Cl. A2, 1.649% [US0001M+32], 5/25/37^2,3		10,275,333		10,217,448
WaMu Mortgage Pass-Through Certificates Trust:
Series 2003-AR10,Cl. A7, 3.448%, 10/25/33¹⁰		438,384		444,045
Series 2005-AR14,Cl. 1A4, 3.325%, 12/25/35¹⁰		574,005		562,441

14 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Residential (Continued)
WaMu Mortgage Pass-Through Certificates Trust: (Continued)
Series 2005-AR16,Cl. 1A1, 3.001%, 12/25/35¹⁰	$	637,543	$	623,442
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 3.562%, 9/25/35¹⁰		1,004,319		975,713
Series 2005-AR15,Cl. 1A6, 3.562%, 9/25/35¹⁰		513,980		495,729
Series 2005-AR4,Cl. 2A2, 3.357%, 4/25/35¹⁰		2,449,530		2,464,519
Series 2006-AR10,Cl. 1A1, 3.338%, 7/25/36¹⁰		345,675		337,555
Series 2006-AR10,Cl. 5A5, 3.388%, 7/25/36¹⁰		1,611,055		1,627,251
Series 2006-AR2,Cl. 2A3, 3.392%, 3/25/36¹⁰		224,471		226,731
Series 2006-AR7,Cl. 2A4, 3.336%, 5/25/36¹⁰		111,745		110,922
Series 2006-AR8,Cl. 2A1, 3.574%, 4/25/36¹⁰		1,479,905		1,499,147
Series 2006-AR8,Cl. 2A4, 3.574%, 4/25/36¹⁰		283,534		287,221
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		219,033		229,507
				110,843,632
Total Mortgage-Backed Obligations (Cost $569,473,966)				576,197,920

U.S. Government Obligations—0.2%
United States Treasury Nts.:
0.75%, 2/28/18¹¹		202,000		201,728
1.50%, 5/31/19^{11,12, 13}		4,530,000		4,512,924
Total U.S. Government Obligations (Cost $4,740,880)				4,714,652

Non-Convertible Corporate Bonds and Notes—22.6%
Consumer Discretionary—2.8%
Auto Components—0.0%
Lear Corp., 3.80% Sr. Unsec. Nts., 9/15/27		1,373,000		1,373,684

Automobiles—0.6%
Daimler Finance North America LLC:
2.20% Sr. Unsec. Nts., 5/5/20³		1,947,000		1,938,071
8.50% Sr. Unsec. Unsub. Nts., 1/18/31		1,277,000		1,912,946
Ford Motor Credit Co. LLC:
2.425% Sr. Unsec. Nts., 6/12/20		1,506,000		1,500,665
3.664% Sr. Unsec. Nts., 9/8/24		1,526,000		1,537,556
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		631,000		734,215
General Motors Financial Co., Inc., 3.15% Sr. Unsec. Nts., 6/30/22		2,051,000		2,054,733
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45		666,000		717,200
Hyundai Capital America, 1.75% Sr. Unsec. Nts., 9/27/19³		2,363,000		2,320,344
Nissan Motor Acceptance Corp., 2.15% Sr. Unsec. Nts., 9/28/20³		1,466,000		1,456,172
Volkswagen Group of America Finance LLC, 2.45% Sr. Unsec. Nts., 11/20/19³		2,290,000		2,295,341
ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/25³		1,737,000		1,857,079
				18,324,322

Diversified Consumer Services—0.1%
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24		1,729,000		1,826,256

15 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Hotels, Restaurants & Leisure—0.1%
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/25³	$	1,210,000	$	1,291,675
Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22		975,000		990,180
Royal Caribbean Cruises Ltd., 2.65% Sr. Unsec. Nts., 11/28/20		2,086,000		2,091,123
				4,372,978

Household Durables—0.5%
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20⁹		2,163,000		2,163,115
Leggett & Platt, Inc., 3.50% Sr. Unsec. Nts., 11/15/27		1,178,000		1,169,483
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25		2,233,000		2,313,946
Newell Brands, Inc.:
2.15% Sr. Unsec. Nts., 10/15/18		1,412,000		1,414,250
5.00% Sr. Unsec. Nts., 11/15/23		2,306,000		2,440,642
5.50% Sr. Unsec. Nts., 4/1/46		669,000		794,324
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27		1,676,000		1,769,940
Toll Brothers Finance Corp.:
4.375% Sr. Unsec. Nts., 4/15/23		1,720,000		1,788,800
4.875% Sr. Unsec. Nts., 3/15/27		485,000		503,187
				14,357,687

Internet & Catalog Retail—0.2%
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44		675,000		794,349
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25		4,050,000		4,143,285
				4,937,634

Leisure Equipment & Products—0.1%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		2,288,000		2,270,840

Media—0.5%
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46		928,000		981,041
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/47		1,653,000		1,674,636
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec.
Nts., 11/15/22		2,206,000		2,897,713
Historic TW, Inc., 9.15% Debs., 2/1/23		560,000		722,323
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		790,000		828,911
Sky plc:
3.75% Sr. Unsec. Nts., 9/16/24³		1,104,000		1,135,658
6.10% Sr. Unsec. Nts., 2/15/18³		752,000		757,934
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		1,618,000		1,501,992
Time Warner, Inc., 3.875% Sr. Unsec. Nts., 1/15/26		100,000		101,558
Viacom, Inc.:
2.25% Sr. Unsec. Nts., 2/4/22		462,000		439,730
3.45% Sr. Unsec. Nts., 10/4/26		559,000		531,297
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26³		2,196,000		2,272,860
				13,845,653

Multiline Retail—0.1%
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23		2,140,000		2,249,675

16 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Specialty Retail—0.4%
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19	$	412,000	$	408,863
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		1,381,000		1,482,245
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22		2,164,000		2,340,799
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		2,300,000		2,332,932
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25		1,245,000		1,251,225
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		2,318,000		2,258,653
				10,074,717

Textiles, Apparel & Luxury Goods—0.2%
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/26³		2,183,000		2,236,920
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25		1,633,000		1,709,555
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		1,029,000		1,049,580
				4,996,055

Consumer Staples—1.5%
Beverages—0.5%
Anheuser-Busch InBev Finance, Inc.:
1.90% Sr. Unsec. Nts., 2/1/19		2,720,000		2,715,502
3.65% Sr. Unsec. Nts., 2/1/26		764,000		785,042
4.90% Sr. Unsec. Nts., 2/1/46		545,000		616,614
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		1,561,000		2,456,723
Constellation Brands, Inc., 2.25% Sr. Unsec. Nts., 11/6/20		2,327,000		2,312,301
Molson Coors Brewing Co.:
2.10% Sr. Unsec. Nts., 7/15/21		2,184,000		2,139,067
4.20% Sr. Unsec. Nts., 7/15/46		324,000		322,080
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/22³		2,234,000		2,371,670
				13,718,999

Food & Staples Retailing—0.1%
CVS Health Corp., 2.125% Sr. Unsec. Nts., 6/1/21		2,440,000		2,392,689
Kroger Co. (The):
2.00% Sr. Unsec. Nts., 1/15/19		156,000		155,765
6.90% Sr. Unsec. Nts., 4/15/38		596,000		758,188
				3,306,642

Food Products—0.5%
Bunge Ltd. Finance Corp.:
3.25% Sr. Unsec. Nts., 8/15/26		1,427,000		1,372,572
8.50% Sr. Unsec. Nts., 6/15/19		2,057,000		2,242,376
Kraft Heinz Foods Co.:
3.95% Sr. Unsec. Nts., 7/15/25		1,290,000		1,329,331
4.375% Sr. Unsec. Nts., 6/1/46		1,433,000		1,386,963
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/26³		1,303,000		1,374,665
Mondelez International Holdings Netherlands BV, 1.625% Sr. Unsec. Nts., 10/28/19³		2,454,000		2,421,680
Smithfield Foods, Inc., 2.70% Sr. Unsec. Nts., 1/31/20³		2,326,000		2,319,020

17 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Food Products (Continued)
TreeHouse Foods, Inc., 6.00% Sr. Unsec. Nts., 2/15/24³	$	1,482,000	$	1,557,953
				14,004,560

Tobacco—0.4%
Altria Group, Inc., 4.00% Sr. Unsec. Nts., 1/31/24		1,613,000		1,718,871
BAT Capital Corp.:
2.297% Sr. Unsec. Nts., 8/14/20³		2,410,000		2,398,896
3.557% Sr. Unsec. Nts., 8/15/27³		1,165,000		1,165,329
Imperial Brands Finance plc, 2.05% Sr. Unsec. Nts., 7/20/18³		2,365,000		2,365,117
Philip Morris International, Inc., 2.50% Sr. Unsec. Nts., 11/2/22		2,059,000		2,037,238
Reynolds American, Inc., 5.85% Sr. Unsec. Nts., 8/15/45		817,000		998,636
				10,684,087

Energy—2.0%
Energy Equipment & Services—0.2%
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45		551,000		604,729
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25		1,300,000		1,372,159
Schlumberger Holdings Corp.:
1.90% Sr. Unsec. Nts., 12/21/17³		2,205,000		2,205,251
4.00% Sr. Unsec. Nts., 12/21/25³		1,276,000		1,333,469
				5,515,608

Oil, Gas & Consumable Fuels—1.8%
Anadarko Petroleum Corp.:
4.50% Sr. Unsec. Nts., 7/15/44		431,000		419,329
6.20% Sr. Unsec. Nts., 3/15/40		423,000		502,485
Andeavor, 5.125% Sr. Unsec. Nts., 12/15/26³		2,156,000		2,356,845
Andeavor Logistics LP/Tesoro Logistics Finance Corp., 5.25% Sr. Unsec. Nts., 1/15/25		895,000		945,344
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43		715,000		726,122
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24		1,165,000		1,240,039
BP Capital Markets plc, 1.676% Sr. Unsec. Nts., 5/3/19		2,326,000		2,315,227
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26		557,000		545,658
Cenovus Energy, Inc., 5.40% Sr. Unsec. Nts., 6/15/47³		222,000		227,013
Chevron Corp., 1.561% Sr. Unsec. Nts., 5/16/19		2,300,000		2,287,355
Columbia Pipeline Group, Inc.:
3.30% Sr. Unsec. Nts., 6/1/20		2,069,000		2,103,688
4.50% Sr. Unsec. Nts., 6/1/25		1,097,000		1,167,797
ConocoPhillips Co.:
4.95% Sr. Unsec. Nts., 3/15/26		280,000		316,052
5.95% Sr. Unsec. Nts., 3/15/46		511,000		668,232
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		641,000		666,665
Energy Transfer LP, 5.30% Sr. Unsec. Nts., 4/15/47		638,000		623,502
Energy Transfer Partners LP, 6.625% [US0003M+415.5] Jr. Sub. Perpetual Bonds^2,14		211,000		208,494
EnLink Midstream Partners LP, 4.85% Sr. Unsec. Nts., 7/15/26		566,000		591,946
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		541,000		576,472

18 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Enterprise Products Operating LLC: (Continued) 4.90% Sr. Unsec. Nts., 5/15/46	$	271,000	$	292,941
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20		2,304,000		2,295,878
Kinder Morgan, Inc., 5.55% Sr. Unsec. Nts., 6/1/45		1,874,000		2,005,013
Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/20³		16,315,000		17,750,883
Marathon Oil Corp., 4.40% Sr. Unsec. Nts., 7/15/27		1,168,000		1,200,105
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44		621,000		656,955
ONEOK Partners LP, 4.90% Sr. Unsec. Nts., 3/15/25		982,000		1,052,187
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25		1,111,000		1,115,780
Sabine Pass Liquefaction LLC, 4.20% Sr. Sec. Nts., 3/15/28		1,157,000		1,167,626
Shell International Finance BV, 4.00% Sr. Unsec. Nts., 5/10/46		860,000		881,723
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. Nts., 10/1/27		1,364,000		1,344,321
Williams Partners LP:
3.75% Sr. Unsec. Nts., 6/15/27		949,000		943,448
5.25% Sr. Unsec. Nts., 3/15/20		996,000		1,056,516
				50,251,641

Financials—9.6%
Capital Markets—2.0%
Apollo Management Holdings LP, 4.00% Sr. Unsec. Nts., 5/30/24³		1,355,000		1,390,635
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/27³		958,000		944,068
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25		2,243,000		2,308,798
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24		1,274,000		1,317,354
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26		860,000		921,134
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds^2,14		2,245,000		2,393,731
Goldman Sachs Capital II, 4.00% [US0003M+76.75] Jr. Sub. Perpetual Bonds^2,14		296,000		261,430
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 11/16/26		1,351,000		1,353,717
3.75% Sr. Unsec. Nts., 2/25/26		1,299,000		1,331,802
4.017% [US0003M+137.3] Sr. Unsec. Nts., 10/31/38²		946,000		965,445
5.70% [US0003M+388.4] Jr. Sub. Perpetual Bonds, Series L^2,14		28,450,000		29,304,923
Morgan Stanley:
4.375% Sr. Unsec. Nts., 1/22/47		1,657,000		1,770,844
5.00% Sub. Nts., 11/24/25		2,083,000		2,279,607
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/26³		2,188,000		2,318,842
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/32²		991,000		982,325
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26		1,318,000		1,323,161
S&P Global, Inc., 2.50% Sr. Unsec. Nts., 8/15/18		1,529,000		1,534,362
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27		1,419,000		1,433,270
UBS Group Funding Switzerland AG:
4.125% Sr. Unsec. Nts., 4/15/26³		870,000		912,424
4.253% Sr. Unsec. Nts., 3/23/28³		943,000		988,862
				56,036,734

19 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Commercial Banks—5.6%
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/28²	$	2,800,000	$	2,894,965
Australia & New Zealand Banking Group Ltd. (New York), 2.625% Unsec. Nts., 5/19/22		2,293,000		2,292,161
Bank of America Corp.:
3.248% Sr. Unsec. Nts., 10/21/27		1,795,000		1,776,185
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/28²		1,235,000		1,277,612
6.25% [US0003M+370.5] Jr. Sub. Perpetual Bonds^2,14		16,494,000		18,287,722
7.75% Jr. Sub. Nts., 5/14/38		1,548,000		2,292,398
8.00% [US0003M+363] Jr. Sub. Perpetual Bonds, Series K^2,14		10,804,000		10,898,751
Barclays plc, 4.375% Sr. Unsec. Nts., 1/12/26		2,202,000		2,292,165
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24		1,911,000		1,901,012
BNP Paribas SA:
3.50% Sr. Unsec. Nts., 11/16/27³		965,000		954,473
4.625% Sub. Nts., 3/13/27³		1,582,000		1,687,110
BPCE SA, 4.50% Sub. Nts., 3/15/25³		1,565,000		1,632,837
Citigroup, Inc.:
4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/48²		2,278,000		2,409,092
4.75% Sub. Nts., 5/18/46		1,093,000		1,177,209
Citizens Bank NA (Providence RI):
2.55% Sr. Unsec. Nts., 5/13/21		1,309,000		1,305,910
2.65% Sr. Unsec. Nts., 5/26/22		553,000		550,015
Commonwealth Bank of Australia, 3.15% Sr. Unsec. Nts., 9/19/27³		1,872,000		1,848,097
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22		2,355,000		2,341,329
Credit Agricole SA, 4.375% Sub. Nts., 3/17/25³		2,656,000		2,779,350
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26		1,368,000		1,411,014
First Republic Bank, 4.375% Sub. Nts., 8/1/46		942,000		943,236
Glencore Funding LLC, 4.00% Sr. Unsec. Nts., 4/16/25³		1,298,000		1,318,495
HSBC Holdings plc, 4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/28²		1,093,000		1,136,823
Huntington Bancshares, Inc., 3.15% Sr. Unsec. Nts., 3/14/21		1,470,000		1,495,732
Intesa Sanpaolo SpA, 3.875% Sr. Unsec. Nts., 7/14/27³		1,864,000		1,868,474
JPMorgan Chase & Co.:
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/28²		1,829,000		1,849,209
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/28²		3,630,000		3,739,411
6.10% [US0003M+333] Jr. Sub. Perpetual Bonds^2,14		27,204,000		30,060,420
Lloyds Banking Group plc:
6.413% [US0003M+149.5] Jr. Sub. Perpetual Bonds^2,3,14		125,000		144,062
6.657% [US0003M+127] Jr. Sub. Perpetual Bonds^2,3,14		1,913,000		2,233,427
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27		2,064,000		2,051,747
Regions Bank (Birmingham AL), 2.25% Sr. Unsec. Nts., 9/14/18		1,896,000		1,898,864
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22		1,539,000		1,532,900
Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/23²		1,636,000		1,639,298
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26		991,000		979,176
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22		1,402,000		1,396,714
US Bancorp:
3.10% Sub. Nts., 4/27/26		1,365,000		1,357,383
3.15% Sr. Unsec. Nts., 4/27/27		556,000		554,859

20 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Commercial Banks (Continued)
Wells Fargo & Co.:
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/28²	$	1,938,000	$	1,961,747
4.75% Sub. Nts., 12/7/46		1,323,000		1,449,809
5.90% [US0003M+311] Jr. Sub. Perpetual Bonds, Series S^2,14		30,350,000		32,891,813
				154,513,006

Consumer Finance—0.2%
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22		923,000		911,765
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27		1,393,000		1,402,710
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27		918,000		927,521
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		926,000		933,551
4.10% Sr. Unsec. Nts., 2/9/27		932,000		952,200
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/19³		1,657,000		1,738,927
				6,866,674

Diversified Financial Services—0.2%
Berkshire Hathaway Energy Co., 2.00% Sr. Unsec. Nts., 11/15/18		690,000		690,530
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25³		909,000		926,156
Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23		1,364,000		1,355,093
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/53²		2,290,000		2,423,965
				5,395,744

Insurance—1.1%
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		1,402,000		1,491,298
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/27³		593,000		577,527
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27		1,966,000		1,934,902
Manulife Financial Corp., 4.061% [USISDA05+164.7] Sub. Nts., 2/24/32²		1,402,000		1,410,079
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47		933,000		1,019,659
MetLife, Inc.:
5.25% [US0003M+357.5] Jr. Sub. Perpetual Bonds^2,14		1,672,000		1,744,732
10.75% Jr. Sub. Nts., 8/1/39		10,900,000		18,284,750
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/24³		1,739,000		1,833,147
Prudential Financial, Inc.:
5.20% [US0003M+304] Jr. Sub. Nts., 3/15/44²		1,849,000		1,962,251
5.375% [US0003M+303.1] Jr. Sub. Nts., 5/15/45²		426,000		459,015
				30,717,360

Real Estate Investment Trusts (REITs)—0.4%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		922,000		981,365
5.90% Sr. Unsec. Nts., 11/1/21		1,053,000		1,172,713
Boston Properties LP, 3.70% Sr. Unsec. Nts., 11/15/18		2,182,000		2,209,916
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27		1,156,000		1,148,253
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20		2,382,000		2,393,787
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26		2,118,000		2,282,145
Ventas Realty LP/Ventas Capital Corp., 2.00% Sr. Unsec. Nts., 2/15/18		679,000		679,359

21 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Real Estate Investment Trusts (REITs) (Continued)
VEREIT Operating Partnership LP, 3.00% Sr. Unsec. Nts., 2/6/19	$	859,000	$	864,599
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		475,000		475,705
				12,207,842

Thrifts & Mortgage Finance—0.1%
Nationwide Building Society, 4.125% [USISDA05+184.9] Sub. Nts., 10/18/32²		1,399,000		1,400,165

Health Care—1.5%
Biotechnology—0.3%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		1,365,000		1,396,691
4.70% Sr. Unsec. Nts., 5/14/45		420,000		458,223
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		527,000		606,082
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25		1,319,000		1,360,768
5.00% Sr. Unsec. Nts., 8/15/45		257,000		283,661
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46		922,000		1,036,887
Shire Acquisitions Investments Ireland DAC:
1.90% Sr. Unsec. Nts., 9/23/19		2,332,000		2,310,583
3.20% Sr. Unsec. Nts., 9/23/26		2,008,000		1,932,793
				9,385,688

Health Care Equipment & Supplies—0.4%
Abbott Laboratories:
2.35% Sr. Unsec. Nts., 11/22/19		2,307,000		2,310,826
3.75% Sr. Unsec. Nts., 11/30/26		2,038,000		2,081,448
Becton Dickinson & Co.:
2.404% Sr. Unsec. Nts., 6/5/20		1,442,000		1,433,637
3.70% Sr. Unsec. Nts., 6/6/27		1,806,000		1,803,210
Boston Scientific Corp., 3.85% Sr. Unsec. Nts., 5/15/25		1,883,000		1,948,115
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/25³		89,000		91,225
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45		1,049,000		1,198,025
				10,866,486

Health Care Providers & Services—0.4%
Anthem, Inc., 2.50% Sr. Unsec. Nts., 11/21/20		2,403,000		2,405,883
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22³		3,044,000		3,365,099
Laboratory Corp. of America Holdings:
2.625% Sr. Unsec. Nts., 2/1/20		2,385,000		2,395,646
3.60% Sr. Unsec. Nts., 2/1/25		1,386,000		1,414,389
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23		1,910,000		1,914,906
				11,495,923

Life Sciences Tools & Services—0.2%
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20		1,799,000		1,929,297
Quintiles IMS, Inc., 5.00% Sr. Unsec. Nts., 10/15/26³		2,151,000		2,258,550

22 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Life Sciences Tools & Services (Continued)
Thermo Fisher Scientific, Inc.:
3.20% Sr. Unsec. Nts., 8/15/27	$	1,194,000	$	1,177,988
4.15% Sr. Unsec. Nts., 2/1/24		848,000		897,942
				6,263,777

Pharmaceuticals—0.2%
Allergan Funding SCS:
3.00% Sr. Unsec. Nts., 3/12/20		2,286,000		2,308,116
3.80% Sr. Unsec. Nts., 3/15/25		1,710,000		1,723,559
Zoetis, Inc., 3.00% Sr. Unsec. Nts., 9/12/27		556,000		539,460
				4,571,135

Industrials—1.2%
Aerospace & Defense—0.3%
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/25³		1,739,000		1,805,374
Hexcel Corp., 3.95% Sr. Unsec. Nts., 2/15/27		862,000		877,324
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., 12/1/27^3,9		916,000		916,348
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		1,295,000		1,470,480
Rolls-Royce plc, 2.375% Sr. Unsec. Nts., 10/14/20³		635,000		632,005
Textron, Inc.:
3.65% Sr. Unsec. Nts., 3/15/27		577,000		585,094
3.875% Sr. Unsec. Nts., 3/1/25		628,000		652,262
4.30% Sr. Unsec. Nts., 3/1/24		1,164,000		1,232,851
United Technologies Corp., 1.778% Jr. Sub. Nts., 5/4/18¹⁰		403,000		402,679
				8,574,417

Air Freight & Couriers—0.0%
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47		489,000		508,605

Building Products—0.1%
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27		1,758,000		1,752,164
Owens Corning, 3.40% Sr. Unsec. Nts., 8/15/26		1,577,000		1,542,963
				3,295,127

Commercial Services & Supplies—0.1%
Republic Services, Inc., 3.80% Sr. Unsec. Nts., 5/15/18		1,980,000		1,997,044

Electrical Equipment—0.1%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23³		2,231,000		2,338,088

Industrial Conglomerates—0.2%
Carlisle Cos, Inc., 3.75% Sr. Unsec. Nts., 12/1/27		1,289,000		1,296,278
Roper Technologies, Inc.:
3.00% Sr. Unsec. Nts., 12/15/20		1,976,000		2,007,984
3.80% Sr. Unsec. Nts., 12/15/26		1,844,000		1,898,886
				5,203,148

23 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Machinery—0.2%
CNH Industrial NV, 3.85% Sr. Unsec. Nts., 11/15/27	$	1,291,000	$	1,284,762
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19		2,365,000		2,350,098
Stanley Black & Decker, Inc., 2.451% Sub. Nts., 11/17/18		514,000		516,469
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26		929,000		906,273
				5,057,602

Road & Rail—0.1%
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35		444,000		508,379
Norfolk Southern Corp., 4.65% Sr. Unsec. Nts., 1/15/46		664,000		751,935
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/26³		1,845,000		1,819,315
				3,079,629

Trading Companies & Distributors—0.1%
Air Lease Corp.:
3.00% Sr. Unsec. Nts., 9/15/23		983,000		978,308
3.625% Sr. Unsec. Nts., 4/1/27		1,003,000		999,340
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28		1,940,000		1,914,955
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25		574,000		586,341
				4,478,944

Information Technology—1.1%
Electronic Equipment, Instruments, & Components—0.1%
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28		1,680,000		1,677,608
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24		368,000		402,960
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27		1,745,000		1,831,850
				3,912,418

Internet Software & Services—0.1%
VeriSign, Inc.:
4.75% Sr. Unsec. Nts., 7/15/27		1,285,000		1,331,581
5.25% Sr. Unsec. Nts., 4/1/25		670,000		732,813
				2,064,394

IT Services—0.3%
Broadridge Financial Solutions, Inc., 3.40% Sr. Unsec. Nts., 6/27/26		1,067,000		1,051,801
DXC Technology Co.:
2.875% Sr. Unsec. Nts., 3/27/20		1,678,000		1,690,890
4.75% Sr. Unsec. Nts., 4/15/27		1,729,000		1,843,253
Fidelity National Information Services, Inc., 2.85% Sr. Unsec. Nts., 10/15/18		550,000		553,990
Total System Services, Inc., 2.375% Sr. Unsec. Nts., 6/1/18		2,036,000		2,038,792
				7,178,726

Semiconductors & Semiconductor Equipment—0.0%
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45		621,000		746,959

24 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Software—0.4%
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25	$	705,000	$	746,406
Dell International LLC/EMC Corp.:
3.48% Sr. Sec. Nts., 6/1/19³		2,296,000		2,326,342
6.02% Sr. Sec. Nts., 6/15/26³		1,409,000		1,550,340
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/23³		1,538,000		1,612,008
Oracle Corp.:
2.40% Sr. Unsec. Nts., 9/15/23		1,390,000		1,370,057
2.95% Sr. Unsec. Nts., 5/15/25		1,468,000		1,473,709
VMware, Inc.:
2.30% Sr. Unsec. Nts., 8/21/20		699,000		694,526
3.90% Sr. Unsec. Nts., 8/21/27		1,151,000		1,153,241
				10,926,629

Technology Hardware, Storage & Peripherals—0.2%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		1,407,000		1,548,378
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., 10/15/20		2,248,000		2,304,427
NetApp, Inc., 2.00% Sr. Unsec. Nts., 9/27/19		1,047,000		1,039,578
				4,892,383

Materials—1.0%
Chemicals—0.5%
Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		831,000		835,145
4.125% Sr. Unsec. Nts., 3/15/35		465,000		474,793
CF Industries, Inc., 4.50% Sr. Sec. Nts., 12/1/26³		1,799,000		1,882,622
Ecolab, Inc., 2.00% Sr. Unsec. Nts., 1/14/19		2,243,000		2,241,735
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23		2,001,000		2,156,077
RPM International, Inc.:
3.45% Sr. Unsec. Unsub. Nts., 11/15/22		1,882,000		1,936,465
3.75% Sr. Unsec. Nts., 3/15/27		581,000		584,078
Sherwin-Williams Co. (The):
3.30% Sr. Unsec. Nts., 2/1/25		638,000		634,579
3.95% Sr. Unsec. Nts., 1/15/26		1,122,000		1,171,800
Yara International ASA, 3.80% Sr. Unsec. Nts., 6/6/26³		1,405,000		1,397,880
				13,315,174

Construction Materials—0.2%
CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/45³		839,000		962,646
James Hardie International Finance DAC, 5.875% Sr. Unsec. Nts., 2/15/23³		1,077,000		1,137,581
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/26³		548,000		543,337
Vulcan Materials Co., 3.90% Sr. Unsec. Nts., 4/1/27		1,714,000		1,752,856
				4,396,420

Containers & Packaging—0.2%
International Paper Co.:
3.00% Sr. Unsec. Nts., 2/15/27		1,038,000		1,005,171
4.80% Sr. Unsec. Nts., 6/15/44		914,000		986,509

25 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Containers & Packaging (Continued)
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24	$	525,000	$	536,813
4.50% Sr. Unsec. Nts., 11/1/23		1,228,000		1,326,856
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25³		1,855,000		1,910,650
				5,765,999

Metals & Mining—0.1%
Anglo American Capital plc:
3.625% Sr. Unsec. Nts., 9/11/24³		556,000		552,481
4.00% Sr. Unsec. Nts., 9/11/27³		1,010,000		993,727
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		622,000		712,900
				2,259,108

Paper & Forest Products—0.0%
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24		1,231,000		1,286,395

Telecommunication Services—0.8%
Diversified Telecommunication Services—0.8%
AT&T, Inc.:
3.40% Sr. Unsec. Nts., 8/14/24		945,000		943,098
3.80% Sr. Unsec. Nts., 3/15/22		2,019,000		2,090,493
4.35% Sr. Unsec. Nts., 6/15/45		1,843,000		1,671,191
5.15% Sr. Unsec. Nts., 2/14/50		1,607,000		1,596,917
British Telecommunications plc, 9.125% Sr. Unsec. Nts., 12/15/30		1,965,000		2,922,644
Deutsche Telekom International Finance BV, 2.225% Sr. Unsec. Nts., 1/17/20³		2,313,000		2,304,813
Telefonica Emisiones SAU:
3.192% Sr. Unsec. Nts., 4/27/18		2,278,000		2,289,409
4.103% Sr. Unsec. Nts., 3/8/27		657,000		673,338
5.213% Sr. Unsec. Nts., 3/8/47		818,000		901,679
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		799,000		1,056,483
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26		2,069,000		2,272,652
Verizon Communications, Inc.:
1.75% Sr. Unsec. Nts., 8/15/21		851,000		827,892
4.125% Sr. Unsec. Nts., 8/15/46		1,202,000		1,095,264
4.522% Sr. Unsec. Nts., 9/15/48		1,193,000		1,157,696
				21,803,569

Utilities—1.1%
Electric Utilities—0.7%
AEP Texas, Inc., 3.85% Sr. Unsec. Nts., 10/1/25³		1,003,000		1,047,609
Cleco Corporate Holdings LLC, 3.743% Sr. Sec. Nts., 5/1/26		955,000		958,129
Duke Energy Corp.:
3.15% Sr. Unsec. Nts., 8/15/27		1,135,000		1,123,303
3.75% Sr. Unsec. Nts., 9/1/46		460,000		448,568
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23		1,392,000		1,399,974
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/24³		1,516,000		1,528,863
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19		1,482,000		1,477,899
Enel Finance International NV, 3.625% Sr. Unsec. Nts., 5/25/27³		1,173,000		1,155,632

26 OPPENHEIMER CAPITAL INCOME FUND


	Principal Amount		Value
Electric Utilities (Continued)
Exelon Corp., 4.45% Sr. Unsec. Nts., 4/15/46	$	602,000	$	644,444
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46		577,000		642,702
ITC Holdings Corp.:
3.35% Sr. Unsec. Nts., 11/15/27³		54,000		54,018
5.30% Sr. Unsec. Nts., 7/1/43		527,000		626,716
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., 9/15/24³		193,000		195,895
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		368,000		389,844
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/21³		2,055,000		2,209,073
Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18		1,953,000		2,006,087
Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47		822,000		866,553
Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19		2,039,000		2,026,825
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/25³		1,221,000		1,268,407
				20,070,541

Multi-Utilities—0.4%
Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25% Sr. Unsec. Nts., 12/1/27		1,208,000		1,207,818
Black Hills Corp., 2.50% Sr. Unsec. Nts., 1/11/19		1,228,000		1,230,134
Dominion Energy, Inc.:
1.875% Sr. Unsec. Nts., 1/15/19		1,052,000		1,047,780
4.90% Sr. Unsec. Nts., 8/1/41		807,000		910,487
NiSource Finance Corp., 3.49% Sr. Unsec. Nts., 5/15/27		1,827,000		1,850,832
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19		1,897,000		1,869,283
Virginia Electric & Power Co., 2.95% Sr. Unsec. Nts., 1/15/22		1,555,000		1,578,167
				9,694,501
Total Non-Convertible Corporate Bonds and Notes (Cost $612,995,164)				628,677,392

Convertible Corporate Bond and Note—0.7%
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40 (Cost $20,500,000)⁴		20,500,000		20,645,550

Corporate Loans—3.1%
Axalta Coating Systems US Holdings, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.333% [LIBOR4+200], 6/1/24²		18,829,649		18,919,881
Delos Finance Sarl, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.333% [LIBOR4+200], 10/6/23²		17,000,000		17,159,375
Hilton Wordwide Finance LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 3.432% 10/25/23^9,10		13,640,000		13,726,028
Neiman Marcus Group Ltd. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.492% [LIBOR12+325], 10/25/20²		3,259,207		2,664,627
TransDigm, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.10%-4.333% 6/9/23¹⁰		5,939,850		5,949,739
TransDigm, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 4.317% 8/22/24^9,10		15,000,000		15,087,885

27 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued


	Principal Amount		Value
Corporate Loans (Continued)
Vistra Operations Co. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 4.08% 12/14/23^9,10	$	13,616,000	$	13,713,899
Total Corporate Loans (Cost $87,412,213)				87,221,434

Exercise
Price

Expiration
Date

Notional

Amount

(000’s)

Contracts

(000’s)

Exchange-Traded Option Purchased—0.2%

S&P 500 Index Call¹ (Cost $2,460,337)

USD

2,640.000

2/16/18

USD 299,706

USD 1

5,218,520

Counter-
party

Over-the-Counter Option Purchased—0.1%

CNH Currency Put¹ (Cost $1,660,802)

GSCO-OT

CNH6.787

11/15/18

CNH 1,068

CNH 532,230

1,593,497

Pay/Receive
Floating
Rate

Floating
Rate

Fixed
Rate

Expiration
Date

Notional

Amount

(000’s)

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

Interest Rate Swap maturing 1/28/30 Call¹

GSCOI

Receive

Three-
Month USD

BBA LIBOR

2.974%

1/24/20

USD

60,450

1,354,495

Interest Rate Swap maturing 11/21/28 Call¹

GSCOI

Receive

Six-Month
JPY BBA
LIBOR

0.850

11/19/18

JPY

512,000

5,791

Interest Rate Swap maturing 11/24/30 Call¹

BAC

Receive

Three-
Month USD

BBA LIBOR

2.595

11/20/20

USD

3,000

124,868

Interest Rate Swap maturing 7/25/28 Call¹

GSCOI

Receive

Six-Month
JPY BBA
LIBOR

1.050

7/23/18

JPY

2,000,000

1,290

Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $3,121,706)

1,486,444


	Shares
Investment Companies—22.4%
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.03%^15,16		58,584,108		58,584,108
Oppenheimer Master Loan Fund, LLC¹⁵		15,497,138		258,831,703
Oppenheimer Ultra-Short Duration Fund, Cl. Y¹⁵		55,556,110		278,336,112
SPDR Gold Trust Exchange Traded Fund^1,17		215,700		26,121,270
Total Investment Companies (Cost $627,094,771)				621,873,193

Total Investments, at Value (Cost $3,169,067,375)		114.7%		3,187,343,788
Net Other Assets (Liabilities)		(14.7)		(409,420,238)
Net Assets		100.0%	$	2,777,923,550

28 OPPENHEIMER CAPITAL INCOME FUND

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. 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 $221,678,235 or 7.98% of the Fund’s net assets at period end.

4. Restricted security. The aggregate value of restricted securities at period end was $27,974,794, which represents 1.01% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:


Security	Acquisition Dates		Cost		Value		Unrealized Appreciation/ (Depreciation)
Blade Engine Securitization Ltd., Series 2006-1A, Cl. A1, 2.25% [LIBOR01M+100], 9/15/41		5/15/13	$	1,027,866	$	678,228	$	(349,638)
Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40		9/23/13-10/30/15		20,500,000		20,645,550		145,550
Credit Acceptance Auto Loan Trust, Series 2017-3A, Cl. C, 3.48%, 10/15/26		10/17/17		1,414,775		1,414,775		—
Raspro Trust, Series 2005-1A, Cl. G, 1.725% [LIBOR03M+40], 3/23/24		6/11/13-7/7/15		3,501,979		3,518,739		16,760
Westlake Automobile Receivables Trust, Series 2017-2A, Cl. E, 4.63%, 7/15/24		8/1/17		1,709,993		1,717,502		7,509

			$	28,154,613	$	27,974,794	$	(179,819)

5. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying

Consolidated Notes.

6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $7,694,271 or 0.28% of the Fund’s net assets at period end.

7. Interest rate is less than 0.0005%.

8. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $84,760 or less than 0.005% of the Fund’s net assets at period end.

9. 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.

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 $1,349,904. See Note 6 of the accompanying Consolidated Notes.

29 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

Footnotes to Consolidated Statement of Investments (Continued)

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 $380,560. 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 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, 2017		Gross Additions			Gross Reductions			Shares November 30, 2017
Oppenheimer Institutional Government Money Market Fund, Cl. E		65,992,768		244,381,259			251,789,919			58,584,108
Oppenheimer Master Loan Fund, LLC		15,497,138		—			—			15,497,138
Oppenheimer Ultra-Short Duration Fund, Cl. Y		60,077,426		2,464,712			6,986,028			55,556,110

	Value		Income			Realized Gain (Loss)			Change in Unrealized Gain (Loss)
Oppenheimer Institutional Government Money Market Fund, Cl. E	$	58,584,108	$	139,508		$	—		$	—
Oppenheimer Master Loan Fund, LLC		258,831,703		4,205,804	^a		(1,394,511)	^a		(319,945)	^a
Oppenheimer Ultra-Short Duration Fund, Cl. Y		278,336,112		973,111			—			(1)

Total	$	595,751,923	$	5,318,423		$	(1,394,511)		$	(319,946)

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

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

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


Forward Currency Exchange Contracts as of November 30, 2017
Counter -party	Settlement Month(s)		Currency Purchased (000’s)				Currency Sold (000’s)		Unrealized Appreciation		Unrealized Depreciation
BOA		12/2017		USD	21,834	CAD		26,550	$	1,252,492	$	—
BOA		11/2018		USD	969	CNH		6,580		—		3,536
BOA		12/2017		USD	1,557	THB		51,000		—		4,634
CITNA-B		12/2017		USD	1,106	AUD		1,465		—		1,822
CITNA-B		11/2018		USD	36,267	CNH		246,180		—		106,054
CITNA-B		12/2017		USD	18,788	JPY		2,024,000		796,694		—
DEU		12/2017		USD	1,069	JPY		120,000		2,500		—
JPM		12/2017		USD	26,989	THB		892,000		—		326,786

30 OPPENHEIMER CAPITAL INCOME FUND

Forward Currency Exchange Contracts (Continued)

Counter

Settlement

Currency

Currency Sold

Unrealized

-party

Month(s)

Purchased (000’s)

(000’s)

Appreciation

Depreciation

TDB

12/2017

USD

19,048

AUD

23,730

1,100,028

—

Total Unrealized Appreciation and Depreciation

3,151,714

442,832


Futures Contracts as of November 30, 2017
										Unrealized
		Expiration	Number Notional Amount							Appreciation/
Description	Buy/Sell	Date	of Contracts			(000’s)		Value		(Depreciation)

Euro-BONO	Sell	12/7/17		99	EUR		16,279	$	16,445,017	$	(166,435)
Euro-BTP	Sell	12/7/17		151	EUR		24,401		25,318,248		(917,004)
Euro-BUND	Buy	12/7/17		270	EUR		52,190		52,292,919		103,140
Euro-OAT	Sell	12/7/17		73	EUR		13,578		13,783,083		(205,485)
United States Treasury Long Bonds	Buy	3/20/18		79	USD		12,067		11,985,781		(81,032)
United States Treasury Nts., 10 yr.	Sell	3/20/18		720	USD		89,798		89,313,750		484,640
United States Treasury Nts., 2 yr	Buy	3/29/18		272	USD		58,361		58,318,500		(42,929)
United States Treasury Nts., 5 yr.	Sell	3/29/18		15	USD		1,748		1,745,156		3,008
United States Ultra Bonds	Buy	3/20/18		384	USD		64,011		63,312,000		(698,990)

										$	(1,521,087)


Centrally Cleared Credit Default Swaps at November 30, 2017
							Notional				Premiums				Unrealized
	Buy/Sell		Fixed		Maturity		Amount				Received/				Appreciation/
Reference Asset	Protection		Rate		Date				(000’s)		(Paid)		Value		(Depreciation)

CDX.HY.28		Buy		5.000%		6/20/22		USD		19,800	$	1,350,800	$	(1,846,288)	$	(495,488)
CDX.HY.29		Buy		5.000		12/20/22		USD		1,500		112,100		(128,849)		(16,749)
CDX.IG.23		Sell		1.000		12/20/19		USD		25,000		(177,124)		409,408		232,284
CDX.IG.25		Sell		1.000		12/20/20		USD		4,800		(50,881)		105,739		54,858
CDX.IG.26		Sell		1.000		6/20/21		USD		6,400		(86,068)		152,970		66,902
CDX.IG.28		Sell		1.000		6/20/22		USD		1,940		(35,158)		45,042		9,884
CDX.IG.29		Sell		1.000		12/20/22		USD		2,700		(58,250)		66,236		7,986
CDX.NA.HY.21		Buy		5.000		12/20/18		USD		14,382		890,885		(532,694)		358,191
CDX.NA.HY.25		Buy		5.000		12/20/20		USD		6,548		343,380		(501,802)		(158,422)
Federation of Malayasia		Buy		1.000		12/20/22		USD		33,400		495,512		(632,356)		(136,844)
Federation of Malayasia		Buy		1.000		12/20/22		USD		50,000		720,077		(946,640)		(226,563)
iTraxx.Main.27		Buy		1.000		6/20/22		EUR		32,500		775,487		(1,076,468)		(300,981)
iTraxx.Main.28		Buy		1.000		12/20/22		EUR		1,900		54,835		(60,064)		(5,229)
Neiman Marcus Group LLC (The)		Buy		5.000		12/20/20		USD		3,095		179,341		595,916		775,257

Total Centrally Cleared Credit Default Swaps											$	4,514,936		$(4,349,850)	$	165,086

31 OPPENHEIMER CAPITAL INCOME FUND

CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

Over-the-Counter Credit Default Swaps at November 30, 2017

Notional

Premiums

Unrealized

Reference

Counter-

Buy/Sell

Fixed

Maturity

Amount

Received/

Appreciation/

Asset

party

Protection

Rate

Date

(000’s)

(Paid)

Value

(Depreciation)

CDX.NA.HY.21

CITNA-B

Sell

5.000%

12/20/18

USD

1,689

942,651

(288,236)

654,415

CDX.NA.HY.21

GSCOI

Sell

5.000

12/20/18

USD

513

280,576

(87,624)

192,952

CDX.NA.HY.25

GSCOI

Sell

5.000

12/20/20

USD

2,121

1,407,556

(826,850)

580,706

Total Over-the-Counter Credit Default Swaps

2,630,783

(1,202,710)

1,428,073

The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:

Total Maximum

Potential Payments for

Reference

Type of Reference Asset on which

Selling Credit Protection

Amount

Asset Rating

the Fund Sold Protection

(Undiscounted)

Recoverable*

Range**

Investment Grade Corporate Debt Indexes

$ 4,640,000

$ —

BBB to BBB+

Non-Investment Grade Corporate Debt Indexes

40,522,963

20,929,500

B+ to BB+

Total

$ 45,162,963

$ 20,929,500

* 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 & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.


Glossary:
Counterparty Abbreviations
BAC		Barclays Bank plc
BOA		Bank of America NA
CITNA-B		Citibank NA
DEU		Deutsche Bank AG
GSCOI		Goldman Sachs International
GSCO-OT		Goldman Sachs Bank USA
JPM		JPMorgan Chase Bank NA
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

32 OPPENHEIMER CAPITAL INCOME FUND

Definitions (Continued)


CDX.HY.28		Markit CDX High Yield Index
CDX.HY.29		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.IG.29		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
iTraxx.Main.28		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-Monthly
LIBOR4		London Interbank Offered Rate-Quarterly
OAT		French Government Bonds
S&P		Standard & Poor’s
US0001M		ICE LIBOR USD 1 Month
US0003M		ICE LIBOR USD 3 Month
USISDA05		USD ICE Swap Rate 11:00am NY 5 Year
USSW5		USD Swap Semi 30/360 5 Year

33 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS November 30, 2017 Unaudited

1. Organization

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

2. Significant Accounting Policies

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

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.

At period end, the Fund owned 10,409 shares with net assets of $26,101,406 in the Subsidiary.

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.

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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at least quarterly or more frequently, if necessary.

34 OPPENHEIMER CAPITAL INCOME FUND

3. Securities Valuation (Continued)

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 Fund’s 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 Fund’s assets are valued.

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

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, 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 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

35 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)

derived using the nearest dated forward currency rate.

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

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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. 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 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 Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

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

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

36 OPPENHEIMER CAPITAL INCOME FUND

3. Securities Valuation (Continued)

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

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

The 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 at period end based on valuation input level:


	Level 1— Unadjusted Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value
Assets Table
Investments, at Value:
Common Stocks
Consumer Discretionary	$	23,026,711	$	—	$	—	$	23,026,711
Consumer Staples		62,502,845		—		—		62,502,845
Energy		103,026,978		—		—		103,026,978
Financials		170,275,411		—		—		170,275,411
Health Care		134,769,833		12,439,439		—		147,209,272
Industrials		173,799,991		—		—		173,799,991
Information Technology		136,774,830		—		—		136,774,830
Materials		51,391,743		—		—		51,391,743
Telecommunication Services		65,536,118		—		—		65,536,118
Utilities		56,609,430		—		—		56,609,430
Preferred Stocks		29,232,489		6,459,660		—		35,692,149
Asset-Backed Securities		—		213,191,480		678,228		213,869,708
Mortgage-Backed Obligations		—		576,197,920		—		576,197,920
U.S. Government Obligations		—		4,714,652		—		4,714,652
Non-Convertible Corporate Bonds and Notes		—		628,677,392		—		628,677,392
Convertible Corporate Bond and Note		—		20,645,550		—		20,645,550
Corporate Loans		—		87,221,434		—		87,221,434
Exchange-Traded Option Purchased		5,218,520		—		—		5,218,520
Over-the-Counter Option Purchased		—		1,593,497		—		1,593,497
Over-the-Counter Interest Rate Swaptions Purchased		—		1,486,444		—		1,486,444
Investment Companies		363,041,490		258,831,703		—		621,873,193

Total Investments, at Value		1,375,206,389		1,811,459,171		678,228		3,187,343,788
Other Financial Instruments:
Centrally cleared swaps, at value		—		1,375,311		—		1,375,311
Futures contracts		590,788		—		—		590,788
Forward currency exchange contracts		—		3,151,714		—		3,151,714

Total Assets	$	1,375,797,177	$	1,815,986,196	$	678,228	$	3,192,461,601

37 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

3. Securities Valuation (Continued)


	Level 1— Unadjusted Quoted Prices		Level 2— Other Significant Observable Inputs		Level 3— Significant Unobservable Inputs		Value

Liabilities Table
Other Financial Instruments:
Swaps, at value	$	—	$	(1,202,710)	$	—	$	(1,202,710)
Centrally cleared swaps, at value		—		(5,725,161)		—		(5,725,161)
Futures contracts		(2,111,875)		—		—		(2,111,875)
Forward currency exchange contracts		—		(442,832)		—		(442,832)

Total Liabilities	$	(2,111,875)	$	(7,370,703)	$	—	$	(9,482,578)

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

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 Fund’s investments in Affiliated Funds are included in the Consolidated Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.

Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

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”), 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

38 OPPENHEIMER CAPITAL INCOME FUND

4. Investments and Risks (Continued)

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 Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.

The investment objective of the Master Fund is to seek income. The Fund’s investment in the Master Fund is included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investment in the master fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Fund. As a shareholder, the Fund is subject to its proportional share of the Master Fund’s expenses, including its management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Master Fund. The Fund owns 18.0% 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.

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

39 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

4. Investments and Risks (Continued)

At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:


	When-Issued or Delayed Delivery Basis Transactions
Purchased securities		$428,797,218
Sold securities		17,230,884

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

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

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

At period end, the counterparty pledged $20,000 of collateral to the Fund for forward roll transactions.

At period end, the Fund pledged $290,899 of collateral to the counterparty for forward roll transactions.

Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.

Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the

Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite

40 OPPENHEIMER CAPITAL INCOME FUND

4. Investments and Risks (Continued)

direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.

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

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 Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the

U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

6. Use of Derivatives

The Fund’s investment objective not only permits the Fund to purchase investment securities,

41 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

6. Use of Derivatives (Continued)

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 Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.

The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.

Forward Currency Exchange Contracts

The Fund may enter into forward currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.

Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations in the annual and semiannual reports.

The Fund 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

42 OPPENHEIMER CAPITAL INCOME FUND

6. Use of Derivatives (Continued)

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 $8,405,889 and $114,255,180, respectively.

Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.

Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund 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 $233,769,802 and $146,692,889 on futures contracts purchased and sold, respectively.

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

43 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

6. Use of Derivatives (Continued)

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.

Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid.

Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations in the annual and semiannual reports.

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.

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 $3,528,175 and $437,606 on purchased call options and purchased put options, respectively.

Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.

The risk in writing a call option is the market price of the underlying security increasing above the strike price and the option being exercised. The Fund must then purchase the underlying security at the higher market price and deliver it for the strike price or, if it owns the underlying security, deliver it at the strike price and forego any benefit from the increase in the price of the underlying security above the strike price. The risk in writing a put option is the market price of the underlying security decreasing below the strike price and the option being exercised. The Fund must then purchase the underlying security at the strike price when the market price of the underlying security is below the strike price. Alternatively, the Fund could

44 OPPENHEIMER CAPITAL INCOME FUND

6. Use of Derivatives (Continued)

also close out a written option position, in which case the risk is that the closing transaction will require a premium to be paid by the Fund that is greater than the premium the Fund received. When writing options, the Fund has the additional risk that there may be an illiquid market where the Fund is unable to close the contact. The risk in buying an option is that the Fund pays a premium for the option, and the option may be worth less than the premium paid or expire worthless.

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

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

Swap Contracts

The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.

Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations in the annual and semiannual reports.

Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.

Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).

45 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

6. Use of Derivatives (Continued)

The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.

The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.

If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations in the annual and semiannual reports.

The Fund 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 $104,235,649 and $43,280,043 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.

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

Swaption Transactions

The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.

Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised

46 OPPENHEIMER CAPITAL INCOME FUND

6. Use of Derivatives (Continued)

swaption contract, a gain or loss is reported in the Consolidated Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.

The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.

The Fund 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.

During the reporting period, the Fund had an ending monthly average market value of $1,473,142 on purchased swaptions.

Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.

To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

At period end, the Fund has required certain counterparties to post collateral of $1,932,601.

47 OPPENHEIMER CAPITAL INCOME FUND

NOTES TO CONSOLIDATED

STATEMENT OF INVESTMENTS Unaudited / Continued

6. Use of Derivatives (Continued)

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.

With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the

48 OPPENHEIMER CAPITAL INCOME FUND

6. Use of Derivatives (Continued)

mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.

49 OPPENHEIMER CAPITAL INCOME FUND

Item 2. Controls and Procedures.

(a)

Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 11/30/2017, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

(b)

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

Item 3. Exhibits.

Exhibits attached hereto.

SIGNATURES

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

Oppenheimer Capital Income Fund


By:		/s/ Arthur P. Steinmetz
		Arthur P. Steinmetz
		Principal Executive Officer
Date:		1/10/2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By:		/s/ Arthur P. Steinmetz

		Arthur P. Steinmetz
		Principal Executive Officer
Date:		1/10/2018


By:		/s/ Brian S. Petersen
		Brian S. Petersen
		Principal Financial Officer
Date:		1/10/2018