SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
(Address of principal executive offices) (Zip code)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
![(OPPENHEIMER CAPITAL INCOME FUND)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686801.gif)
August 31, 2010 Oppenheimer Management Capital Income Commentary and Fund Annual Report MANAGEMENT COMMENTARY An Interview with Your Fund’s Portfolio Managers ANNUAL REPORT Listing of Top Holdings Fund Performance Discussion Listing of Investments Financial Statements |
Top Ten Common Stock Industries | ||||
Oil, Gas & Consumable Fuels | 2.3 | % | ||
Pharmaceuticals | 2.0 | |||
Insurance | 2.0 | |||
Chemicals | 1.7 | |||
Beverages | 1.3 | |||
Capital Markets | 1.3 | |||
IT Services | 1.3 | |||
Media | 1.2 | |||
Industrial Conglomerates | 1.2 | |||
Tobacco | 1.0 |
Top Ten Common Stock Holdings | ||||
Tyco International Ltd. | 1.2 | % | ||
International Business Machines Corp. | 1.0 | |||
Philip Morris International, Inc. | 1.0 | |||
Coca-Cola Co. (The) | 1.0 | |||
Exxon Mobil Corp. | 0.9 | |||
Celanese Corp., Series A | 0.9 | |||
Merck & Co., Inc. | 0.9 | |||
Goldman Sachs Group, Inc. (The) | 0.9 | |||
MetLife, Inc. | 0.8 | |||
Mosaic Co. (The) | 0.8 |
6 | OPPENHEIMER CAPITAL INCOME FUND
![(PIE CHART)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686802.gif)
Common Stocks 23.8% Mortgage-Backed Obligations 22.9 Cash Equivalent 18.2 Non-Convertible Corporate Bonds and Notes 14.6 Convertible Corporate Bonds and Notes 11.5 Asset-Backed Securities 6.3 Preferred Stocks 1.4 Event-Linked Bonds 0.6 U.S. Government Obligations 0.6 Options Purchased 0.1 Rights, Warrants and Certificates 0.0 |
7 | OPPENHEIMER CAPITAL INCOME FUND
8 | OPPENHEIMER CAPITAL INCOME FUND
9 | OPPENHEIMER CAPITAL INCOME FUND
10 | OPPENHEIMER CAPITAL INCOME FUND
Comparison of Change in Value of $10,000 Hypothetical Investments in:
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686803.gif)
Russell 3000 Index Barclays Capital U.S. Aggregate Bond Index S&P 500 Index Russell 3000 Value Index $25,000 20,000 $18,713 ( ) 15,000 $10,000 $12,494 ( ) $10,925 ( ) 10,000 $8,807 ( ) $9,425 $8,330 ( ) 5,000 0 8/31/00 8/31/01 8/31/02 8/31/03 8/31/04 8/31/05 8/31/06 8/31/07 8/31/08 8/31/09 8/31/10 Average Annual Total Returns of Class A Shares with Sales Charge of the Fund at 8/31/10 1-Year 4.74% 5-Year –3.89% 10-Year 0.89% |
11 | OPPENHEIMER CAPITAL INCOME FUND
Comparison of Change in Value of $10,000 Hypothetical Investments in:
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686804.gif)
Oppenheimer Capital Income Fund (Class B) Russell 3000 Index Barclays Capital U.S. Aggregate Bond Index S&P 500 Index Russell 3000 Value Index $25,000 20,000 $18,713 ( ) 15,000 $10,000 $12,494 ( ) $11,040 ( ) 10,000 $8,807 ( ) $8,330 ( ) 5,000 0 8/31/00 8/31/01 8/31/02 8/31/03 8/31/04 8/31/05 8/31/06 8/31/07 8/31/08 8/31/09 8/31/10 Average Annual Total Returns of Class B Shares with Sales Charge of the Fund at 8/31/10 1-Year 5.05% 5-Year –3.90% 10-Year 0.99% |
12 | OPPENHEIMER CAPITAL INCOME FUND
Comparison of Change in Value of $10,000 Hypothetical Investments in:
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686805.gif)
Oppenheimer Capital Income Fund (Class C) Russell 3000 Index Barclays Capital U.S. Aggregate Bond Index S&P 500 Index Russell 3000 Value Index $25,000 20,000 $18,713 ( ) 15,000 $10,000 $12,494 ( ) $10,681 ( ) 10,000 $8,807 ( ) $8,330 ( ) 5,000 0 8/31/00 8/31/01 8/31/02 8/31/03 8/31/04 8/31/05 8/31/06 8/31/07 8/31/08 8/31/09 8/31/10 Average Annual Total Returns of Class C Shares with Sales Charge of the Fund at 8/31/10 1-Year 9.19% 5-Year –3.56% 10-Year 0.66% |
13 | OPPENHEIMER CAPITAL INCOME FUND
Comparison of Change in Value of $10,000 Hypothetical Investments in:
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSR/0000950123-10-096524/g06868g0686806.gif)
Oppenheimer Capital Income Fund (Class N) Russell 3000 Index Barclays Capital U.S. Aggregate Bond Index S&P 500 Index Russell 3000 Value Index $20,000 $17,407 ( ) 15,000 $12,182 ( ) $10,000 $10,787 ( ) $10,477 ( ) 10,000 $10,137 ( ) 5,000 0 8/31/02 8/31/03 8/31/04 8/31/05 8/31/06 8/31/07 8/31/08 8/31/09 8/31/10 3/1/018/31/01 Average Annual Total Returns of Class N Shares with Sales Charge of the Fund at 8/31/10 1-Year 9.74% 5-Year –3.11% Since Inception (3/1/01) 0.49% |
14 | OPPENHEIMER CAPITAL INCOME FUND
15 | OPPENHEIMER CAPITAL INCOME FUND
16 | OPPENHEIMER CAPITAL INCOME FUND
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
Actual | March 1, 2010 | August 31, 2010 | August 31, 2010 | |||||||||
Class A | $ | 1,000.00 | $ | 1,035.70 | $ | 5.04 | ||||||
Class B | 1,000.00 | 1,030.20 | 10.08 | |||||||||
Class C | 1,000.00 | 1,031.10 | 9.41 | |||||||||
Class N | 1,000.00 | 1,034.30 | 6.95 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,020.27 | 5.00 | |||||||||
Class B | 1,000.00 | 1,015.32 | 10.01 | |||||||||
Class C | 1,000.00 | 1,015.98 | 9.34 | |||||||||
Class N | 1,000.00 | 1,018.40 | 6.89 |
Class | Expense Ratios | |||
Class A | 0.98 | % | ||
Class B | 1.96 | |||
Class C | 1.83 | |||
Class N | 1.35 |
17 | OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||||
Common Stocks—25.7% | ||||||||
Consumer Discretionary—2.2% | ||||||||
Hotels, Restaurants & Leisure—0.6% | ||||||||
Brinker International, Inc. | 385,000 | $ | 6,063,750 | |||||
Burger King Holdings, Inc. | 240,000 | 3,948,000 | ||||||
10,011,750 | ||||||||
Media—1.2% | ||||||||
Cablevision Systems Corp. New York Group, Cl. A | 199,000 | 4,992,910 | ||||||
Cinemark Holdings, Inc. | 578,000 | 8,444,580 | ||||||
Time Warner Cable, Inc. | 127,500 | 6,580,275 | ||||||
20,017,765 | ||||||||
Multiline Retail—0.4% | ||||||||
Target Corp. | 121,930 | 6,237,939 | ||||||
Consumer Staples—3.0% | ||||||||
Beverages—1.3% | ||||||||
Coca-Cola Co. (The) | 290,000 | 16,216,800 | ||||||
Molson Coors Brewing Co., Cl. B, Non-Vtg. | 125,000 | 5,445,000 | ||||||
21,661,800 | ||||||||
Food & Staples Retailing—0.5% | ||||||||
Wal-Mart Stores, Inc. | 50,000 | 2,507,000 | ||||||
Walgreen Co. | 190,000 | 5,107,200 | ||||||
7,614,200 | ||||||||
Food Products—0.2% | ||||||||
B&G Foods, Inc., Cl. A | 302,500 | 3,230,700 | ||||||
Tobacco—1.0% | ||||||||
Philip Morris International, Inc. | 327,000 | 16,820,880 | ||||||
Energy—2.5% | ||||||||
Energy Equipment & Services—0.2% | ||||||||
Schlumberger Ltd. | 50,000 | 2,666,500 | ||||||
Oil, Gas & Consumable Fuels—2.3% | ||||||||
Apache Corp. | 20,000 | 1,797,000 | ||||||
Chevron Corp. | 65,900 | 4,887,144 | ||||||
CONSOL Energy, Inc. | 90,600 | 2,917,320 | ||||||
Enbridge Energy Management LLC1 | 1 | 5 | ||||||
Exxon Mobil Corp. | 258,800 | 15,310,608 | ||||||
Kinder Morgan Management LLC1 | 1 | 21 | ||||||
Marathon Oil Corp. | 131,750 | 4,017,058 |
18 | OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Royal Dutch Shell plc, B Shares | 94,510 | $ | 2,408,752 | |||||
Ultra Petroleum Corp.1 | 175,000 | 6,826,750 | ||||||
38,164,658 | ||||||||
Financials—4.3% | ||||||||
Capital Markets—1.3% | ||||||||
Bond Street Holdings LLC, Cl. A1,2 | 375,000 | 7,687,500 | ||||||
Goldman Sachs Group, Inc. (The) | 102,000 | 13,967,880 | ||||||
21,655,380 | ||||||||
Commercial Banks—0.3% | ||||||||
Wells Fargo & Co. | 220,000 | 5,181,000 | ||||||
Diversified Financial Services—0.2% | ||||||||
JPMorgan Chase & Co. | 75,000 | 2,727,000 | ||||||
Insurance—2.0% | ||||||||
Aon Corp. | 57,000 | 2,065,680 | ||||||
CNO Financial Group, Inc.1 | 1,400,000 | 6,622,000 | ||||||
Everest Re Group Ltd. | 125,350 | 9,920,199 | ||||||
MetLife, Inc. | 355,200 | 13,355,520 | ||||||
31,963,399 | ||||||||
Real Estate Investment Trusts—0.5% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 150,000 | 2,554,500 | ||||||
Starwood Property Trust, Inc. | 308,800 | 5,873,376 | ||||||
8,427,876 | ||||||||
Health Care—3.4% | ||||||||
Biotechnology—0.8% | ||||||||
Amgen, Inc.1 | 110,000 | 5,614,400 | ||||||
Gilead Sciences, Inc.1 | 251,000 | 7,996,860 | ||||||
13,611,260 | ||||||||
Health Care Equipment & Supplies—0.3% | ||||||||
Zimmer Holdings, Inc.1 | 120,000 | 5,660,400 | ||||||
Health Care Providers & Services—0.3% | ||||||||
WellPoint, Inc.1 | 100,000 | 4,968,000 | ||||||
Pharmaceuticals—2.0% | ||||||||
Biovail Corp. | 63,000 | 1,440,810 | ||||||
Merck & Co., Inc. | 426,604 | 14,999,397 |
19 | OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||||
Pharmaceuticals Continued | ||||||||
Pfizer, Inc. | 618,800 | $ | 9,857,484 | |||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR | 114,000 | 5,766,120 | ||||||
32,063,811 | ||||||||
Industrials—2.6% | ||||||||
Aerospace & Defense—0.4% | ||||||||
Lockheed Martin Corp. | 103,000 | 7,160,560 | ||||||
Electrical Equipment—0.2% | ||||||||
General Cable Corp.1 | 126,200 | 2,807,950 | ||||||
Industrial Conglomerates—1.2% | ||||||||
Tyco International Ltd. | 509,500 | 18,994,160 | ||||||
Machinery—0.7% | ||||||||
Ingersoll-Rand plc | 160,000 | 5,204,800 | ||||||
Navistar International Corp.1 | 34,000 | 1,423,920 | ||||||
WABCO Holdings, Inc.1 | 144,000 | 5,077,440 | ||||||
11,706,160 | ||||||||
Trading Companies & Distributors—0.1% | ||||||||
Aircastle Ltd. | 250,000 | 1,952,500 | ||||||
Information Technology—3.6% | ||||||||
Communications Equipment—0.4% | ||||||||
Research in Motion Ltd.1 | 113,333 | 4,857,452 | ||||||
Tekelec, Inc.1 | 200,000 | 2,192,000 | ||||||
7,049,452 | ||||||||
Computers & Peripherals—1.0% | ||||||||
Apple, Inc.1 | 24,600 | 5,986,902 | ||||||
Hewlett-Packard Co. | 260,000 | 10,004,800 | ||||||
15,991,702 | ||||||||
IT Services—1.3% | ||||||||
Accenture plc, Cl. A | 100,000 | 3,660,000 | ||||||
International Business Machines Corp. | 138,000 | 17,005,740 | ||||||
20,665,740 | ||||||||
Semiconductors & Semiconductor Equipment—0.2% | ||||||||
Intel Corp. | 240,000 | 4,252,800 | ||||||
Software—0.7% | ||||||||
Microsoft Corp. | 155,000 | 3,639,400 | ||||||
Oracle Corp. | 292,000 | 6,388,960 |
20 | OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||||
Software Continued | ||||||||
Take-Two Interactive Software, Inc.1 | 200,000 | $ | 1,664,000 | |||||
11,692,360 | ||||||||
Materials—1.7% | ||||||||
Chemicals—1.7% | ||||||||
Celanese Corp., Series A | 565,446 | 15,097,408 | ||||||
Mosaic Co. (The) | 225,880 | 13,250,121 | ||||||
28,347,529 | ||||||||
Telecommunication Services—0.8% | ||||||||
Diversified Telecommunication Services—0.8% | ||||||||
AT&T, Inc. | 472,500 | 12,771,675 | ||||||
Utilities—1.6% | ||||||||
Electric Utilities—1.0% | ||||||||
Cleco Corp. | 298,000 | 8,442,340 | ||||||
Entergy Corp. | 59,000 | 4,651,560 | ||||||
FirstEnergy Corp. | 75,500 | 2,758,015 | ||||||
15,851,915 | ||||||||
Multi-Utilities—0.6% | ||||||||
CenterPoint Energy, Inc. | 442,500 | 6,544,575 | ||||||
CMS Energy Corp. | 200,000 | 3,500,000 | ||||||
10,044,575 | ||||||||
Total Common Stocks (Cost $401,321,881) | 421,973,396 | |||||||
Preferred Stocks—1.5% | ||||||||
Bank of America Corp., 7.25% Non-Cum. Cv. | 5,000 | 4,750,000 | ||||||
Dole Food Co., Inc., 7% Cv., Non-Vtg.3 | 35,000 | 321,563 | ||||||
H.J. Heinz Finance Co., 8% Cum., Series B3 | 40 | 4,278,750 | ||||||
Mylan, Inc., 6.50% Cv., Non-Vtg. | 6,000 | 6,324,300 | ||||||
PNC Financial Services Group, Inc., 9.875% Non-Cum., Series F, Non-Vtg.4 | 75,000 | 2,163,750 | ||||||
Wells Fargo & Co., 7.50% Cv., Series L, Non-Vtg. | 7,000 | 6,909,000 | ||||||
Total Preferred Stocks (Cost $17,560,140) | 24,747,363 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
Charter Communications, Inc., Cl. A Wts., Strike Price $46.86, Exp. 11/30/141 (Cost $192,089) | 38,418 | 268,926 |
21 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations—24.8% | ||||||||
Government Agency—20.3% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—17.4% | ||||||||
Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 | $ | 1,521,056 | $ | 1,603,317 | ||||
Federal Home Loan Mortgage Corp.: | ||||||||
4.50%, 5/1/195 | 4,055,500 | 4,303,499 | ||||||
5%, 12/15/34 | 355,040 | 380,522 | ||||||
6%, 5/15/18 | 1,450,731 | 1,569,523 | ||||||
6.50%, 7/1/28-4/1/34 | 503,311 | 558,745 | ||||||
7%, 10/1/31 | 601,575 | 683,217 | ||||||
8%, 4/1/16 | 180,579 | 196,490 | ||||||
9%, 8/1/22-5/1/25 | 61,585 | 68,648 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 2006-11, Cl. PS, 23.60%, 3/25/364 | 712,388 | 1,069,553 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 321,308 | 362,604 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 1,195,962 | 1,258,510 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 304,537 | 343,677 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 | 594,805 | 651,640 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 286,959 | 323,370 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 | 2,047,417 | 2,231,363 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 1,121,222 | 1,265,066 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 1,709,487 | 1,911,017 | ||||||
Series 2500, Cl. FD, 0.776%, 3/15/324 | 156,728 | 157,595 | ||||||
Series 2526, Cl. FE, 0.676%, 6/15/294 | 208,906 | 209,377 | ||||||
Series 2538, Cl. F, 0.876%, 12/15/324 | 2,277,764 | 2,293,221 | ||||||
Series 2551, Cl. FD, 0.676%, 1/15/334 | 146,534 | 146,833 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 | 2,670,656 | 2,940,017 | ||||||
Series 2638, Cl. KG, 4%, 11/1/27 | 6,024,523 | 6,121,911 | ||||||
Series 2648, Cl. JE, 3%, 2/1/30 | 2,339,751 | 2,359,613 | ||||||
Series 2663, Cl. BA, 4%, 8/1/16 | 2,073,852 | 2,121,023 | ||||||
Series 2686, Cl. CD, 4.50%, 2/1/17 | 3,351,249 | 3,432,073 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 939,276 | 966,193 | ||||||
Series 2911, Cl. CU, 5%, 2/1/28 | 2,444,606 | 2,509,647 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 937,215 | 959,274 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 540,400 | 548,593 | ||||||
Series 3019, Cl. MD, 4.75%, 1/1/31 | 2,492,259 | 2,574,456 | ||||||
Series 3025, Cl. SJ, 23.738%, 8/15/354 | 228,896 | 347,145 | ||||||
Series 3033, Cl. UD, 5.50%, 10/1/30 | 2,793,639 | 2,903,598 | ||||||
Series 3061, Cl. MB, 5.50%, 5/1/30 | 1,310,000 | 1,367,040 | ||||||
Series 3094, Cl. HS, 23.372%, 6/15/344 | 457,156 | 666,348 | ||||||
Series 3157, Cl. MC, 5.50%, 2/1/26 | 1,057,037 | 1,057,995 | ||||||
Series 3242, Cl. QA, 5.50%, 3/1/30 | 1,171,461 | 1,207,242 | ||||||
Series 3279, Cl. PH, 6%, 2/1/27 | 1,385,947 | 1,386,276 | ||||||
Series 3291, Cl. NA, 5.50%, 10/1/27 | 688,019 | 693,384 | ||||||
Series 3306, Cl. PA, 5.50%, 10/1/27 | 2,143,027 | 2,177,002 | ||||||
Series R001, Cl. AE, 4.375%, 4/1/15 | 1,330,011 | 1,357,799 |
22 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 12.483%, 4/1/276 | $ | 463,170 | $ | 101,882 | ||||
Series 192, Cl. IO, 9.409%, 2/1/286 | 149,656 | 30,899 | ||||||
Series 2130, Cl. SC, 49.578%, 3/15/296 | 343,676 | 57,532 | ||||||
Series 224, Cl. IO, 4.181%, 3/1/336 | 875,806 | 149,263 | ||||||
Series 243, Cl. 6, 1.192%, 12/15/326 | 572,592 | 92,072 | ||||||
Series 2527, Cl. SG, 14.349%, 2/15/326 | 570,474 | 25,438 | ||||||
Series 2531, Cl. ST, 29.467%, 2/15/306 | 784,187 | 46,104 | ||||||
Series 2639, Cl. SA, 11.475%, 7/15/226 | 2,873,853 | 296,368 | ||||||
Series 2796, Cl. SD, 64.112%, 7/15/266 | 510,911 | 86,738 | ||||||
Series 2802, Cl. AS, 99.896%, 4/15/336 | 701,584 | 57,797 | ||||||
Series 2815, Cl. PT, 8.693%, 11/15/326 | 8,127,465 | 870,072 | ||||||
Series 2920, Cl. S, 66.244%, 1/15/356 | 2,822,736 | 532,209 | ||||||
Series 2937, Cl. SY, 21.458%, 2/15/356 | 12,091,065 | 1,450,154 | ||||||
Series 3000, Cl. SE, 99.999%, 7/15/256 | 2,825,774 | 373,146 | ||||||
Series 3045, Cl. DI, 34.212%, 10/15/356 | 11,373,032 | 1,373,772 | ||||||
Series 3110, Cl. SL, 99.999%, 2/15/266 | 524,167 | 64,430 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.386%, 6/1/267 | 137,253 | 115,945 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 9/1/258 | 5,780,000 | 6,115,963 | ||||||
5%, 9/1/25-9/1/408 | 21,756,000 | 23,115,217 | ||||||
5.50%, 1/25/33-4/1/39 | 6,999,864 | 7,502,521 | ||||||
5.50%, 9/1/25-9/1/408 | 35,724,000 | 38,217,589 | ||||||
6%, 11/1/34-6/1/35 | 24,941,759 | 27,337,937 | ||||||
6%, 9/1/258 | 21,250,000 | 22,900,190 | ||||||
6.50%, 5/25/17-11/25/31 | 4,026,679 | 4,397,896 | ||||||
6.50%, 9/1/408 | 9,197,000 | 10,013,234 | ||||||
7%, 11/1/17-7/25/35 | 932,144 | 1,002,575 | ||||||
7.50%, 1/1/33-3/25/33 | 6,568,100 | 7,478,878 | ||||||
8.50%, 7/1/32 | 15,432 | 17,443 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 | 884,720 | 993,514 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 | 524,848 | 582,185 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 740,726 | 821,856 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 1,292,691 | 1,457,882 | ||||||
Trust 2003-130, Cl. CS, 13.573%, 12/25/334 | 815,048 | 941,214 | ||||||
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 | 1,903,000 | 2,210,117 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 3,553,000 | 4,076,075 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 3,658,000 | 4,001,776 | ||||||
Trust 2004-81, Cl. KC, 4.50%, 4/1/17 | 1,207,680 | 1,235,394 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 1,091,417 | 1,127,081 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 1,898,000 | 2,162,451 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 | 7,504,312 | 8,585,565 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 2,324,181 | 2,399,639 |
23 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn. Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Trust 2005-14, Cl. PC, 5%, 3/1/29 | $ | 1,513,075 | $ | 1,571,961 | ||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 888,957 | 918,424 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 893,754 | 926,707 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 1,430,000 | 1,655,034 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | 4,135,953 | 4,392,567 | ||||||
Trust 2006-46, Cl. SW, 23.232%, 6/25/364 | 574,375 | 855,770 | ||||||
Trust 2006-50, Cl. KS, 23.233%, 6/25/364 | 1,485,345 | 2,042,062 | ||||||
Trust 2006-50, Cl. SK, 23.233%, 6/25/364 | 146,225 | 205,107 | ||||||
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 | 598,452 | 609,114 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 | 5,030,517 | 5,352,031 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 | 5,351,919 | 5,827,112 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-15, Cl. SA, 68.846%, 3/17/316 | 388,563 | 78,936 | ||||||
Trust 2001-65, Cl. S, 41.28%, 11/25/316 | 1,295,821 | 256,910 | ||||||
Trust 2001-81, Cl. S, 32.18%, 1/25/326 | 304,926 | 55,272 | ||||||
Trust 2002-47, Cl. NS, 29.591%, 4/25/326 | 604,038 | 128,601 | ||||||
Trust 2002-51, Cl. S, 29.915%, 8/25/326 | 554,589 | 107,093 | ||||||
Trust 2002-52, Cl. SD, 36.494%, 9/25/326 | 659,480 | 119,261 | ||||||
Trust 2002-60, Cl. SM, 41.454%, 8/25/326 | 1,118,935 | 147,584 | ||||||
Trust 2002-7, Cl. SK, 41.998%, 1/25/326 | 350,249 | 44,966 | ||||||
Trust 2002-75, Cl. SA, 44.017%, 11/25/326 | 1,585,713 | 282,322 | ||||||
Trust 2002-77, Cl. BS, 35.565%, 12/18/326 | 686,692 | 121,233 | ||||||
Trust 2002-77, Cl. JS, 32.646%, 12/18/326 | 1,132,738 | 204,436 | ||||||
Trust 2002-77, Cl. SA, 33.775%, 12/18/326 | 1,063,906 | 196,588 | ||||||
Trust 2002-77, Cl. SH, 41.248%, 12/18/326 | 410,478 | 76,024 | ||||||
Trust 2002-89, Cl. S, 65.176%, 1/25/336 | 1,662,539 | 271,241 | ||||||
Trust 2002-9, Cl. MS, 30.177%, 3/25/326 | 376,556 | 67,524 | ||||||
Trust 2002-90, Cl. SN, 43.258%, 8/25/326 | 576,181 | 76,875 | ||||||
Trust 2002-90, Cl. SY, 45.461%, 9/25/326 | 246,545 | 32,990 | ||||||
Trust 2003-117, Cl. KS, 48.018%, 8/25/336 | 9,373,860 | 1,098,271 | ||||||
Trust 2003-33, Cl. SP, 51.974%, 5/25/336 | 1,387,355 | 180,493 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/336,9 | 3,001,574 | 363,310 | ||||||
Trust 2003-89, Cl. XS, 35.657%, 11/25/326 | 1,489,931 | 81,555 | ||||||
Trust 2004-54, Cl. DS, 46.744%, 11/25/306 | 633,263 | 99,559 | ||||||
Trust 2004-56, Cl. SE, 12.159%, 10/25/336 | 1,677,480 | 188,912 | ||||||
Trust 2005-19, Cl. SA, 62.773%, 3/25/356 | 7,438,739 | 1,224,010 | ||||||
Trust 2005-40, Cl. SA, 60.137%, 5/25/356 | 1,636,577 | 253,497 | ||||||
Trust 2005-6, Cl. SE, 77.84%, 2/25/356 | 2,297,930 | 304,239 | ||||||
Trust 2005-71, Cl. SA, 67.674%, 8/25/256 | 1,862,226 | 297,804 | ||||||
Trust 2005-87, Cl. SE, 99.999%, 10/25/356 | 4,709,037 | 618,397 | ||||||
Trust 2005-87, Cl. SG, 64.538%, 10/25/356 | 8,698,586 | 1,331,012 | ||||||
Trust 2005-93, Cl. SI, 9.214%, 10/25/356 | 2,365,293 | 286,299 | ||||||
Trust 2006-42, Cl. LI, 16.701%, 6/25/366 | 4,431,957 | 548,381 | ||||||
Trust 2006-51, Cl. SA, 37.835%, 6/25/366 | 19,428,606 | 2,288,249 | ||||||
Trust 2008-67, Cl. KS, 26.385%, 8/25/346 | 6,626,729 | 375,802 | ||||||
Trust 222, Cl. 2, 15.092%, 6/1/236 | 1,019,919 | 210,296 | ||||||
Trust 252, Cl. 2, 27.392%, 11/1/236 | 818,605 | 170,790 |
24 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 303, Cl. IO, 21.603%, 11/1/296 | $ | 295,244 | $ | 62,855 | ||||
Trust 308, Cl. 2, 16.827%, 9/1/306 | 751,699 | 166,390 | ||||||
Trust 320, Cl. 2, 4.447%, 4/1/326 | 3,118,354 | 681,300 | ||||||
Trust 321, Cl. 2, 1.981%, 4/1/326 | 2,777,089 | 529,666 | ||||||
Trust 331, Cl. 9, 1.523%, 2/1/336 | 830,276 | 118,857 | ||||||
Trust 334, Cl. 17, 8.826%, 2/1/336 | 495,165 | 84,724 | ||||||
Trust 338, Cl. 2, 0.725%, 7/1/336 | 632,315 | 103,953 | ||||||
Trust 339, Cl. 12, 4.711%, 7/1/336 | 2,006,422 | 269,670 | ||||||
Trust 339, Cl. 7, 0%, 7/1/336,9 | 2,916,616 | 441,768 | ||||||
Trust 343, Cl. 13, 0%, 9/1/336,9 | 1,819,980 | 264,403 | ||||||
Trust 343, Cl. 18, 0%, 5/1/346,9 | 601,480 | 67,774 | ||||||
Trust 345, Cl. 9, 2.515%, 1/1/346 | 1,589,308 | 236,793 | ||||||
Trust 351, Cl. 10, 0%, 4/1/346,9 | 723,242 | 101,583 | ||||||
Trust 351, Cl. 8, 0%, 4/1/346,9 | 1,148,713 | 163,028 | ||||||
Trust 356, Cl. 10, 6.107%, 6/1/356 | 976,708 | 143,392 | ||||||
Trust 356, Cl. 12, 0%, 2/1/356,9 | 492,227 | 65,818 | ||||||
Trust 362, Cl. 13, 3.201%, 8/1/356 | 1,558,393 | 211,235 | ||||||
Trust 364, Cl. 16, 0%, 9/1/356,9 | 2,065,405 | 266,853 | ||||||
Trust 365, Cl. 16, 0%, 3/1/366,9 | 5,349,390 | 606,921 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.438%, 9/25/237 | 385,746 | 352,270 | ||||||
285,186,303 | ||||||||
GNMA/Guaranteed—2.9% | ||||||||
Government National Mortgage Assn.: | ||||||||
4.50%, 9/1/408 | 41,670,000 | 44,241,831 | ||||||
8.50%, 8/1/17-12/15/17 | 87,510 | 96,216 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2001-21, Cl. SB, 84.66%, 1/16/276 | 729,999 | 133,009 | ||||||
Series 2002-15, Cl. SM, 71.564%, 2/16/326 | 670,320 | 129,465 | ||||||
Series 2002-41, Cl. GS, 71.552%, 6/16/326 | 399,918 | 92,633 | ||||||
Series 2002-76, Cl. SY, 76.602%, 12/16/266 | 1,780,930 | 340,104 | ||||||
Series 2004-11, Cl. SM, 61.80%, 1/17/306 | 590,699 | 143,561 | ||||||
Series 2006-47, Cl. SA, 78.232%, 8/16/366 | 10,592,814 | 1,719,523 | ||||||
46,896,342 | ||||||||
Non-Agency—4.5% | ||||||||
Commercial—2.4% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-1, Cl. AM, 5.421%, 9/1/45 | 5,615,000 | 5,598,632 | ||||||
Series 2007-1, Cl. A4, 5.451%, 1/1/17 | 2,525,000 | 2,635,239 | ||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | 3,250,000 | 2,790,327 |
25 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Commercial Continued | ||||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.294%, 12/1/494 | $ | 3,635,000 | $ | 3,173,313 | ||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 | 440,000 | 458,190 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 1,375,000 | 1,403,646 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 78,603 | 60,439 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 285,078 | 288,767 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/163 | 2,415,000 | 2,478,185 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.804%, 5/25/354 | 2,149,210 | 1,599,711 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 | 3,200,000 | 3,198,792 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 4/1/13 | 2,590,000 | 2,691,337 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 590,000 | 604,648 | ||||||
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 | 520,000 | 544,877 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 7/1/37 | 2,781,873 | 2,370,193 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. A2, 5.084%, 2/11/31 | 3,034,890 | 3,062,452 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A5, Mtg. Pass-Through Certificates, Series 2005-A5, Cl. A9, 2.752%, 6/1/354 | 2,226,437 | 1,961,558 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 6.098%, 2/1/514 | 1,800,000 | 1,832,213 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 7/1/17 | 1,835,000 | 1,913,341 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 4.951%, 12/1/354 | 1,324,198 | 1,101,797 | ||||||
39,767,657 |
26 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations Continued | ||||||||
Manufactured Housing—0.1% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.632%, 3/25/364 | $ | 1,846,827 | $ | 1,538,561 | ||||
Multifamily—0.6% | ||||||||
Bear Stearns ARM Trust 2005-10, Mtg. Pass-Through Certificates, Series 2005-10, Cl. A3, 3.358%, 10/1/354 | 6,030,000 | 4,814,343 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 | 2,305,000 | 2,396,315 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.802%, 2/1/354 | 1,744,203 | 1,671,010 | ||||||
8,881,668 | ||||||||
Other—0.3% | ||||||||
Greenwich Capital Commercial Mortgage 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 5,315,000 | 5,576,983 | ||||||
Residential—1.1% | ||||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 2,235,941 | 2,036,700 | ||||||
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 | 2,600,879 | 2,203,189 | ||||||
Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates, Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 | 7,840,000 | 6,762,074 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 2,216,519 | 2,037,448 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3 A1, 2.447%, 5/1/344 | 3,766,960 | 3,548,423 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.915%, 9/1/344 | 2,082,949 | 2,003,728 | ||||||
18,591,562 | ||||||||
Total Mortgage-Backed Obligations (Cost $391,161,124) | 406,439,076 |
27 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—6.9% | ||||||||
Airspeed Ltd., Airplane Receivables, Series 2007-1 A, Cl. G1, 0.546%, 6/15/322,4 | $ | 13,274,063 | $ | 10,221,028 | ||||
Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.89%, 9/17/12 | 1,670,000 | 1,674,855 | ||||||
Ally Master Owner Trust 2010-1, Asset-Backed Certificates, Series 2010-1, Cl. A, 2.026%, 1/15/133,4 | 1,710,000 | 1,743,789 | ||||||
Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/133 | 1,390,000 | 1,428,655 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 745,000 | 745,434 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 | 690,000 | 691,885 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.224%, 5/25/344 | 2,123,397 | 1,882,457 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A2, 0.91%, 10/15/12 | 1,070,000 | 1,073,245 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 5,650,000 | 5,719,653 | ||||||
Bayview Financial Mortgage Pass-Through Trust 2006-A, Mtg. Pass-Through Certificates, Series 2006-A, Cl. 2A4, 0.56%, 2/28/414 | 2,068,990 | 1,696,928 | ||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.276%, 9/15/412,4 | 13,257,203 | 9,744,044 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/153 | 514,563 | 543,422 | ||||||
Chrysler Financial Lease Trust, Asset-Backed Nts., Series 2010-A, Cl. A2, 1.78%, 6/15/113 | 1,835,000 | 1,840,903 | ||||||
CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/103 | 838,889 | 839,613 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 | 430,000 | 453,292 | ||||||
CNH Equipment Trust, Asset-Backed Certificates: | ||||||||
Series 2009-B, Cl. A3, 2.97%, 3/15/13 | 1,405,893 | 1,417,941 | ||||||
Series 2010-A, Cl. A2, 0.81%, 3/25/15 | 2,110,000 | 2,113,312 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2002-4, Cl. A1, 1.004%, 2/25/334 | 39,800 | 34,499 | ||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/364 | 752,915 | 607,348 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/364 | 421,518 | 340,939 | ||||||
CWHEQ Home Equity Loan Trust, Home Equity Loan Asset-Backed Certificates: | ||||||||
Series 2006-S2, Cl. A2, 5.627%, 7/1/27 | 34,192 | 29,435 | ||||||
Series 2006-S5, Cl. A2, 5.681%, 6/1/35 | 16,716,962 | 9,908,938 |
28 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Daimler Chrysler Auto Trust 2007-A, Automobile Receivable Nts., Series 2007-A, Cl. A4, 5.28%, 3/8/13 | $ | 1,970,000 | $ | 2,039,940 | ||||
Discover Card Master Trust, Credit Card Receivables, Series 2008-A3, Cl. A3, 5.10%, 10/15/13 | 1,660,000 | 1,707,241 | ||||||
DT Auto Owner Trust, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/153 | 1,233,407 | 1,239,564 | ||||||
Ellington Loan Acquisition Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. A2A2, 1.064%, 5/27/373,4 | 2,021,516 | 1,801,499 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/133 | 1,600,000 | 1,603,199 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.: | ||||||||
Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 356,390 | 356,797 | ||||||
Series 2009-E, Cl. A2, 0.80%, 3/15/12 | 3,458,918 | 3,461,472 | ||||||
Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 2,425,000 | 2,494,219 | ||||||
Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.826%, 9/15/124 | 1,700,000 | 1,730,661 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.926%, 12/15/143,4 | 1,770,000 | 1,809,855 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 870,000 | 912,599 | ||||||
GMACM Home Equity Loan Trust 2007-HE2, GMACM Home Equity Loan-Backed Term Nts.: | ||||||||
Series 2007-HE2, Cl. A2, 6.054%, 12/1/37 | 17,555,143 | 9,647,455 | ||||||
Series 2007-HE2, Cl. A4, 6.424%, 12/1/374 | 12,476,244 | 6,936,941 | ||||||
Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 | 1,605,761 | 1,609,566 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Class A1, 2.60%, 2/15/143 | 1,710,000 | 1,736,805 | ||||||
Home Equity Mortgage Trust 2005-HF1, Home Equity Loan-Backed Nts.: | ||||||||
Series 2005-HF1, Cl. A2B, 0.614%, 2/25/364 | 1,700,944 | 838,360 | ||||||
Series 2005-HF1, Cl. A2B, 0.614%, 2/25/364 | 1,281,137 | 631,445 | ||||||
Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11 | 792,379 | 793,478 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.526%, 1/20/354 | 632,690 | 607,190 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.626%, 3/15/164 | 1,800,000 | 1,765,826 | ||||||
Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.336%, 12/15/134 | 1,462,994 | 1,457,594 | ||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.522%, 6/17/112,4 | 1,315,000 | 1,303,199 |
29 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
Morgan Stanley Structured Trust I 2001-1, Asset-Backed Certificates, Series 2004-1, Cl. A1, 0.344%, 6/25/374 | $ | 1,763,983 | $ | 1,630,439 | ||||
Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.914%, 1/26/153,4 | 2,850,000 | 2,859,169 | ||||||
Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.426%, 1/15/133,4 | 1,720,000 | 1,747,830 | ||||||
Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.364%, 7/1/364 | 1,004,095 | 694,912 | ||||||
Santander Drive Auto Receivables Trust 2010-2, Automobile Receivable Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 | 1,635,000 | 1,635,000 | ||||||
Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 | 1,300,000 | 1,302,436 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 1,680,000 | 1,735,192 | ||||||
Total Asset-Backed Securities (Cost $110,957,033) | 112,841,498 | |||||||
U.S. Government Obligations—0.6% | ||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||
2.875%, 2/9/15 | 2,650,000 | 2,815,005 | ||||||
5%, 2/16/17 | 910,000 | 1,070,469 | ||||||
5.25%, 4/18/16 | 1,600,000 | 1,895,046 | ||||||
Federal National Mortgage Assn. Nts.: | ||||||||
2.375%, 7/28/15 | 2,380,000 | 2,467,936 | ||||||
4.875%, 12/15/16 | 760,000 | 887,194 | ||||||
5%, 3/15/16 | 1,010,000 | 1,178,686 | ||||||
Total U.S. Government Obligations (Cost $9,769,007) | 10,314,336 | |||||||
Non-Convertible Corporate Bonds and Notes—15.8% | ||||||||
Consumer Discretionary—2.3% | ||||||||
Automobiles—0.3% | ||||||||
DaimlerChrysler North America Holding Corp./Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 | 1,510,000 | 1,726,117 | ||||||
Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 | 3,270,000 | 3,275,566 | ||||||
5,001,683 | ||||||||
Diversified Consumer Services—0.1% | ||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 | 1,625,000 | 1,702,188 | ||||||
Hotels, Restaurants & Leisure—0.2% | ||||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/153 | 1,589,000 | 1,693,259 | ||||||
Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 | 1,810,000 | 1,972,466 | ||||||
3,665,725 |
30 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Household Durables—0.2% | ||||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 | $ | 2,615,000 | $ | 2,962,910 | ||||
Leisure Equipment & Products—0.2% | ||||||||
Mattel, Inc.: | ||||||||
5.625% Sr. Unsec. Nts., 3/15/13 | 1,475,000 | 1,599,115 | ||||||
6.125% Sr. Unsec. Nts., 6/15/11 | 1,610,000 | 1,668,337 | ||||||
3,267,452 | ||||||||
Media—0.9% | ||||||||
CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 | 1,580,000 | 2,057,640 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | 1,030,000 | 1,451,141 | ||||||
DirecTV Holdings LLC/DirecTV Financing Co., Inc., 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 | 2,915,000 | 3,217,530 | ||||||
DISH DBS Corp., 7.875% Sr. Unsec. Nts., 9/1/19 | 1,340,000 | 1,403,650 | ||||||
Grupo Televisa SA, 6.625% Sr. Unsec. Bonds, 1/15/40 | 1,313,000 | 1,497,368 | ||||||
Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 | 1,540,000 | 1,732,500 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 | 865,000 | 1,141,030 | ||||||
Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 | 928,000 | 1,141,574 | ||||||
Virgin Media Secured Finance plc, 6.50% Sr. Sec. Nts., 1/15/18 | 1,620,000 | 1,692,900 | ||||||
15,335,333 | ||||||||
Multiline Retail—0.1% | ||||||||
J.C. Penney Co., Inc., (Holding Co.), 7.40% Nts., 4/1/37 | 1,630,000 | 1,664,638 | ||||||
Specialty Retail—0.3% | ||||||||
Limited Brands, Inc., 7% Sr. Unsec. Unsub. Nts., 5/1/20 | 1,682,000 | 1,766,100 | ||||||
Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 | 2,120,000 | 2,200,630 | ||||||
3,966,730 | ||||||||
Consumer Staples—1.3% | ||||||||
Beverages—0.3% | ||||||||
Anheuser-Busch InBev Worldwide, Inc., 7.75% Sr. Unsec. Unsub. Nts., 1/15/193 | 2,405,000 | 3,087,222 | ||||||
Constellation Brands, Inc., 8.375% Sr. Nts., 12/15/14 | 1,445,000 | 1,578,663 | ||||||
4,665,885 | ||||||||
Food & Staples Retailing—0.1% | ||||||||
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 | 734,000 | 1,029,436 |
31 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Food Products—0.8% | ||||||||
Bunge Ltd. Finance Corp.: | ||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 | $ | 460,000 | $ | 488,497 | ||||
8.50% Sr. Unsec. Nts., 6/15/19 | 880,000 | 1,066,471 | ||||||
Chiquita Brands International, Inc., 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 | 10,000,000 | 10,175,000 | ||||||
Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 | 1,330,000 | 1,400,493 | ||||||
13,130,461 | ||||||||
Tobacco—0.1% | ||||||||
Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 | 1,255,000 | 1,663,570 | ||||||
Lorillard Tobacco Co., 8.125% Sr. Unsec. Nts., 5/1/40 | 985,000 | 1,045,990 | ||||||
2,709,560 | ||||||||
Energy—1.4% | ||||||||
Energy Equipment & Services—0.2% | ||||||||
Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 | 1,670,000 | 1,682,054 | ||||||
Weatherford International Ltd., 6.50% Sr. Unsec. Bonds, 8/1/36 | 1,059,000 | 1,107,353 | ||||||
Weatherford International, Inc., 6.625% Sr. Unsec. Unsub. Nts., Series B, 11/15/11 | 296,000 | 310,930 | ||||||
3,100,337 | ||||||||
Oil, Gas & Consumable Fuels—1.2% | ||||||||
El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 | 1,775,000 | 1,943,625 | ||||||
Energy Transfer Partners LP, 7.50% Sr. Unsec. Unsub. Bonds, 7/1/38 | 1,147,000 | 1,344,234 | ||||||
Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 | 1,595,000 | 1,636,465 | ||||||
Hess Corp., 5.60% Sr. Unsec. Unsub. Bonds., 2/15/41 | 260,000 | 271,509 | ||||||
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 | 2,960,000 | 3,233,933 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 | 730,000 | 804,934 | ||||||
Pipeline Funding Co. LLC, 7.50% Sr. Sec. Nts., 1/15/303 | 1,181,000 | 1,275,845 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143 | 945,000 | 1,049,008 | ||||||
Rockies Express Pipeline LLC, 5.625% Sr. Unsec. Unsub. Nts., 4/15/203 | 1,135,000 | 1,145,805 | ||||||
Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18 | 1,598,000 | 1,809,735 | ||||||
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 | 130,000 | 139,153 | ||||||
Williams Cos., Inc. (The), Credit Linked Certificates Trust V, 6.375% Sr. Unsec. Nts., 10/1/103 | 1,225,000 | 1,228,742 | ||||||
Williams Partners LP/Williams Partners Finance Corp., 7.25% Sr. Unsec. Nts., 2/1/17 | 1,490,000 | 1,763,336 | ||||||
Woodside Finance Ltd., 4.50% Nts., 11/10/143 | 2,380,000 | 2,532,777 | ||||||
20,179,101 |
32 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Financials—5.9% | ||||||||
Capital Markets—1.1% | ||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/193 | $ | 2,402,000 | $ | 2,563,789 | ||||
Discover Bank, 7% Sub. Nts., 4/15/20 | 1,620,000 | 1,736,175 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 | 1,785,000 | 1,671,576 | ||||||
Goldman Sachs Group, Inc. (The), 5.375% Sr. Unsec. Unsub. Nts., 3/15/20 | 1,752,000 | 1,812,924 | ||||||
Macquarie Group Ltd., 4.875% Sr. Unsec. Nts., 8/10/173 | 2,678,000 | 2,714,879 | ||||||
Morgan Stanley: | ||||||||
5.50% Sr. Unsec. Unsub. Nts., 7/24/203 | 709,000 | 716,193 | ||||||
5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 | 4,020,000 | 4,218,648 | ||||||
6.25% Sr. Unsec. Nts., 8/28/17 | 1,000,000 | 1,090,158 | ||||||
UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 | 1,664,000 | 1,672,902 | ||||||
18,197,244 | ||||||||
Commercial Banks—1.2% | ||||||||
Barclays Bank plc, 6.278% Perpetual Bonds10 | 3,630,000 | 3,040,125 | ||||||
Comerica Capital Trust II, 6.576% Bonds, 2/20/374 | 1,996,000 | 1,876,240 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 | 2,580,000 | 2,244,600 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/354 | 2,670,000 | 2,439,713 | ||||||
KeyCorp, 3.75% Sr. Nts., 8/13/15 | 756,000 | 765,101 | ||||||
Regions Financial Corp., 5.75% Sr. Unsec. Unsub. Nts., 6/15/15 | 3,080,000 | 3,131,722 | ||||||
Royal Bank of Scotland (The) plc, 5.625% Sr. Unsec. Unsub. Nts., 8/24/20 | 1,635,000 | 1,682,240 | ||||||
Sanwa Bank Ltd. (The), 7.40% Sub. Nts., 6/15/11 | 1,578,000 | 1,645,317 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 | 3,355,000 | 3,480,813 | ||||||
20,305,871 | ||||||||
Consumer Finance—0.2% | ||||||||
Capital One Capital IV, 6.745% Sub. Bonds, 2/17/374 | 2,660,000 | 2,560,250 | ||||||
Diversified Financial Services—1.2% | ||||||||
Citigroup, Inc.: | ||||||||
5.375% Sr. Unsec. Nts., 8/9/20 | 4,130,000 | 4,179,250 | ||||||
6.01% Sr. Unsec. Nts., 1/15/15 | 1,650,000 | 1,779,456 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 | 9,315,000 | 9,829,449 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 | 3,465,000 | 3,977,065 | ||||||
19,765,220 | ||||||||
Insurance—1.8% | ||||||||
American International Group, Inc.: | ||||||||
5.05% Sr. Unsec. Nts., 10/1/15 | 2,135,000 | 2,100,306 | ||||||
5.85% Sr. Unsec. Nts., Series G, 1/16/18 | 1,368,000 | 1,326,960 |
33 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Insurance Continued | ||||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 | $ | 1,247,000 | $ | 1,410,720 | ||||
Genworth Financial, Inc., 8.625% Sr. Unsec. Unsub. Nts., 12/15/16 | 2,800,000 | 3,066,092 | ||||||
Hartford Financial Services Group, Inc. (The): | ||||||||
5.25% Sr. Unsec. Nts., 10/15/11 | 1,685,000 | 1,746,321 | ||||||
6.625% Sr. Unsec. Unsub. Nts., 3/30/40 | 1,167,000 | 1,159,424 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/133 | 2,230,000 | 2,189,195 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 | 3,205,000 | 2,724,250 | ||||||
Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 | 1,668,000 | 1,670,228 | ||||||
MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 | 5,000,000 | 6,345,450 | ||||||
Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/103 | 1,660,000 | 1,663,250 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds3,10 | 3,291,000 | 2,868,923 | ||||||
ZFS Finance USA Trust IV, 5.875% Sub. Bonds, 5/9/323 | 1,895,000 | 1,702,987 | ||||||
29,974,106 | ||||||||
Real Estate Investment Trusts—0.4% | ||||||||
AvalonBay Communities, Inc., 6.625% Sr. Unsec. Unsub. Nts., 9/15/11 | 715,000 | 753,453 | ||||||
Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 | 859,000 | 887,756 | ||||||
Liberty Property LP, 7.25% Sr. Unsec. Unsub. Nts., 3/15/11 | 1,670,000 | 1,715,123 | ||||||
Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 | 652,000 | 676,991 | ||||||
ProLogis, 7.625% Sr. Unsec. Nts., 8/15/14 | 1,465,000 | 1,584,116 | ||||||
5,617,439 | ||||||||
Health Care—0.5% | ||||||||
Biotechnology—0.1% | ||||||||
Genzyme Corp., 5% Sr. Nts., 6/15/203 | 1,600,000 | 1,788,157 | ||||||
Health Care Providers & Services—0.2% | ||||||||
HCA, Inc., 8.50% Sr. Sec. Nts., 4/15/19 | 1,595,000 | 1,756,494 | ||||||
WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 | 1,360,000 | 1,380,653 | ||||||
3,137,147 | ||||||||
Life Sciences Tools & Services—0.2% | ||||||||
Life Technologies Corp., 6% Sr. Nts., 3/1/20 | 2,735,000 | 3,129,874 | ||||||
Industrials—1.1% | ||||||||
Aerospace & Defense—0.3% | ||||||||
Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 | 1,625,000 | 1,641,250 | ||||||
Meccanica Holdings USA, Inc., 7.375% Sr. Unsec. Unsub. Nts., 7/15/393 | 2,060,000 | 2,367,826 | ||||||
4,009,076 |
34 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Commercial Services & Supplies—0.4% | ||||||||
Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 | $ | 1,125,000 | $ | 1,395,835 | ||||
Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 | 1,661,000 | 1,773,118 | ||||||
R.R. Donnelley & Sons Co., 5.625% Sr. Unsec. Nts., 1/15/12 | 1,615,000 | 1,657,709 | ||||||
Republic Services, Inc., 6.75% Sr. Unsec. Unsub. Nts., 8/15/11 | 1,240,000 | 1,301,334 | ||||||
6,127,996 | ||||||||
Electrical Equipment—0.1% | ||||||||
Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 | 1,571,000 | 1,823,587 | ||||||
Industrial Conglomerates—0.2% | ||||||||
General Electric Capital Corp.: | ||||||||
4.25% Sr. Unsec. Nts., Series A, 6/15/12 | 1,475,000 | 1,536,419 | ||||||
5.875% Unsec. Unsub. Nts., 1/14/38 | 605,000 | 625,948 | ||||||
Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 | 1,360,000 | 1,718,304 | ||||||
3,880,671 | ||||||||
Machinery—0.1% | ||||||||
SPX Corp., 7.625% Sr. Unsec. Nts., 12/15/14 | 1,360,000 | 1,472,200 | ||||||
Information Technology—0.4% | ||||||||
Communications Equipment—0.1% | ||||||||
Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 | 1,555,000 | 1,658,582 | ||||||
Electronic Equipment & Instruments—0.2% | ||||||||
Agilent Technologies, Inc., 5% Sr. Unsec. Unsub. Nts., 7/15/20 | 2,894,000 | 3,080,536 | ||||||
Software—0.1% | ||||||||
Oracle Corp., 5.375% Sr. Bonds, 7/15/403 | 1,672,000 | 1,825,036 | ||||||
Materials—1.0% | ||||||||
Chemicals—0.2% | ||||||||
Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 | 1,490,000 | 1,709,775 | ||||||
CF Industries, Inc., 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 | 1,627,000 | 1,716,485 | ||||||
3,426,260 | ||||||||
Containers & Packaging—0.2% | ||||||||
Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 | 1,790,000 | 1,928,725 | ||||||
Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 | 1,517,000 | 1,641,644 | ||||||
3,570,369 | ||||||||
Metals & Mining—0.6% | ||||||||
Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 | 2,347,000 | 2,608,500 | ||||||
Teck Resources Ltd., 10.75% Sr. Sec. Nts., 5/15/19 | 2,353,000 | 2,927,972 | ||||||
Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 | 279,000 | 311,801 |
35 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Non-Convertible Corporate Bonds and Notes Continued | ||||||||
Metals & Mining Continued | ||||||||
Vale Overseas Ltd., 6.875% Sr. Unsec. Nts., 11/10/39 | $ | 1,190,000 | $ | 1,370,726 | ||||
Xstrata Canada Corp.: | ||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 | 1,190,000 | 1,282,323 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 | 1,071,000 | 1,179,002 | ||||||
9,680,324 | ||||||||
Telecommunication Services—1.1% | ||||||||
Diversified Telecommunication Services—1.0% | ||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 | 1,513,000 | 1,742,206 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 | 1,000,000 | 1,377,168 | ||||||
Embarq Corp., 6.738% Sr. Unsec. Nts., 6/1/13 | 1,590,000 | 1,728,626 | ||||||
Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 | 1,615,000 | 1,715,938 | ||||||
Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 | 1,517,000 | 1,710,418 | ||||||
Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 | 2,795,000 | 2,804,070 | ||||||
Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 | 1,320,000 | 1,322,086 | ||||||
Telus Corp., 8% Nts., 6/1/11 | 1,511,000 | 1,588,209 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 | 993,000 | 1,167,752 | ||||||
Windstream Corp., 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 | 1,390,000 | 1,442,125 | ||||||
16,598,598 | ||||||||
Wireless Telecommunication Services—0.1% | ||||||||
American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 | 1,156,000 | 1,342,405 | ||||||
Utilities—0.8% | ||||||||
Electric Utilities—0.4% | ||||||||
Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/123 | 1,263,000 | 1,364,596 | ||||||
FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 | 980,000 | 1,011,568 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 | 1,100,000 | 1,103,652 | ||||||
Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/193 | 1,685,000 | 2,236,524 | ||||||
5,716,340 | ||||||||
Energy Traders—0.1% | ||||||||
Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 | 1,925,000 | 2,222,120 | ||||||
Multi-Utilities—0.3% | ||||||||
CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 | 1,625,000 | 1,664,949 | ||||||
NiSource Finance Corp., 10.75% Sr. Unsec. Nts., 3/15/16 | 2,048,000 | 2,686,968 | ||||||
Sempra Energy, 9.80% Sr. Unsec. Nts., 2/15/19 | 780,000 | 1,098,281 | ||||||
5,450,198 | ||||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $241,757,898) | 258,741,045 |
36 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Convertible Corporate Bonds and Notes—12.5% | ||||||||
Consumer Discretionary—1.4% | ||||||||
Media—0.5% | ||||||||
Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31 (exchangeable for Viacom, Inc., Cl. B common stock or cash based on the value thereof) | $ | 13,500,000 | $ | 8,572,500 | ||||
Specialty Retail—0.9% | ||||||||
CSK Auto, Inc., 6.75% Cv. Sr. Unsec. Nts., 12/15/253,4 | 11,000,000 | 14,231,250 | ||||||
Consumer Staples—1.9% | ||||||||
Food & Staples Retailing—0.9% | ||||||||
Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 | 15,000,000 | 14,137,500 | ||||||
Food Products—1.0% | ||||||||
Chiquita Brands International, Inc., 4.25% Cv. Sr. Unsec. Unsub. Nts., 8/15/16 | 17,600,000 | 16,324,000 | ||||||
Energy—1.5% | ||||||||
Energy Equipment & Services—0.7% | ||||||||
Transocean, Inc., 1.625% Cv. Sr. Unsec. Unsub. Nts., Series A, 12/15/37 | 11,000,000 | 10,876,250 | ||||||
Oil, Gas & Consumable Fuels—0.8% | ||||||||
Carrizo Oil & Gas, Inc., 4.375% Cv. Sr. Unsec. Nts., 6/1/28 | 14,500,000 | 13,611,875 | ||||||
Financials—0.6% | ||||||||
Commercial Banks—0.6% | ||||||||
PNC Financial Services Group, Inc., 4% Cv. Sr. Unsec. Nts., 2/1/11 | 9,500,000 | 9,654,375 | ||||||
Health Care—2.9% | ||||||||
Biotechnology—1.3% | ||||||||
Amylin Pharmaceuticals, Inc.: | ||||||||
2.50% Cv. Sr. Unsec. Nts., 4/15/11 | 10,103,000 | 10,027,228 | ||||||
3% Cv. Sr. Unsec. Nts., 6/15/14 | 13,000,000 | 11,700,000 | ||||||
21,727,228 | ||||||||
Health Care Equipment & Supplies—0.7% | ||||||||
Hologic, Inc., 2% Cv. Sr. Unsec. Unsub. Nts., 12/15/374 | 12,000,000 | 10,905,000 | ||||||
Health Care Providers & Services—0.5% | ||||||||
LifePoint Hospitals, Inc.: | ||||||||
3.25% Cv. Sr. Unsec. Sub. Nts., 8/15/25 | 4,000,000 | 3,875,000 | ||||||
3.50% Cv. Sr. Unsec. Sub. Nts., 5/15/14 | 5,000,000 | 4,775,000 | ||||||
8,650,000 | ||||||||
Pharmaceuticals—0.4% | ||||||||
Biovail Corp., 5.375% Cv. Sr. Unsec. Nts., 8/1/143 | 4,200,000 | 6,898,500 | ||||||
Industrials—1.1% | ||||||||
Electrical Equipment—0.3% | ||||||||
General Cable Corp., 4.50% Cv. Unsec. Sub. Nts., 11/15/294 | 4,925,000 | 4,321,688 | ||||||
Machinery—0.7% | ||||||||
Navistar International Corp., 3% Cv. Sr. Sub. Nts., 10/15/14 | 9,800,000 | 10,743,250 |
37 | OPPENHEIMER CAPITAL INCOME FUND
Principal | ||||||||
Amount | Value | |||||||
Convertible Corporate Bonds and Notes Continued | ||||||||
Trading Companies & Distributors—0.1% | ||||||||
United Rentals North America, Inc., 1.875% Cv. Sr. Unsec. Sub. Nts., 10/15/23 | $ | 2,300,000 | $ | 2,294,250 | ||||
Information Technology—2.1% | ||||||||
Communications Equipment—1.2% | ||||||||
Alcatel-Lucent USA, Inc., 2.875% Cv. Sr. Unsec. Unsub. Debs., Series B, 6/15/25 | 22,210,000 | 19,794,663 | ||||||
Semiconductors & Semiconductor Equipment—0.9% | ||||||||
Advanced Micro Devices, Inc.: | ||||||||
5.75% Cv. Sr. Unsec. Nts., 8/15/12 | 5,203,000 | 5,248,526 | ||||||
6% Cv. Sr. Unsec. Nts., 5/1/15 | 7,007,000 | 6,893,136 | ||||||
Teradyne, Inc., 4.50% Cv. Sr. Unsec. Nts., 3/15/14 | 1,250,000 | 2,239,063 | ||||||
14,380,725 | ||||||||
Telecommunication Services—1.0% | ||||||||
Wireless Telecommunication Services—1.0% | ||||||||
NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 | 17,750,000 | 17,261,870 | ||||||
Total Convertible Corporate Bonds and Notes (Cost $182,151,904) | 204,384,924 | |||||||
Event-Linked Bonds—0.7% | ||||||||
Eurus II Ltd. Catastrophe Linked Bonds, Series 09-1, Cl. A, 7.643%, 4/6/123,4 | 1,923,000 | 2,493,179 | ||||||
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.354%, 8/10/113,4 | 2,000,000 | 2,020,800 | ||||||
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.75%, 2/3/143,4 | 2,100,000 | 2,052,698 | ||||||
Longpoint Re Ltd. Catastrophe Linked Nts., 5.40%, 12/24/123,4 | 1,606,000 | 1,577,574 | ||||||
Midori Ltd. Catastrophe Linked Nts., 3.276%, 10/24/123,4 | 3,000,000 | 2,985,000 | ||||||
Total Event-Linked Bonds (Cost $11,324,848) | 11,129,251 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased—0.1% | ||||||||||||||||
Cliffs Natural Resources, Inc. Put1 | 10/18/10 | $ | 60.00 | 500 | 225,000 | |||||||||||
Euro (EUR) Call1 | 4/25/11 | 1.10 | 2,000,000 | 466,672 | ||||||||||||
Euro (EUR) Call1 | 6/15/11 | 1.00 | 4,000,000 | 474,863 | ||||||||||||
Total Options Purchased (Cost $1,626,507) | 1,166,535 |
38 | OPPENHEIMER CAPITAL INCOME FUND
Shares | Value | |||||||
Investment Company—19.7% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.26%11,12 (Cost $323,019,783) | 323,019,783 | $ | 323,019,783 | |||||
Total Investments, at Value (Cost $1,690,842,214) | 108.3 | % | 1,775,026,133 | |||||
Liabilities in Excess of Other Assets | (8.3 | ) | (136,286,296 | ) | ||||
Net Assets | 100.0 | % | $ | 1,638,739,837 | ||||
1. | Non-income producing security. | |
2. | Restricted security. The aggregate value of restricted securities as of August 31, 2010 was $28,955,771, which represents 1.77% of the Fund’s net assets. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Date | Cost | Value | Appreciation | ||||||||||||
Airspeed Ltd., Airplane Receivables, Series 2007-1 A, Cl. G1, 0.546%, 6/15/32 | 7/28/10 | $ | 10,129,879 | $ | 10,221,028 | $ | 91,149 | |||||||||
Blade Engine Securitization Ltd., Asset-Backed Certificates, Series 2006-1A, Cl. B, 3.276%, 9/15/41 | 11/10/09 | 8,395,489 | 9,744,044 | 1,348,555 | ||||||||||||
Bond Street Holdings LLC, Cl. A | 11/4/09 | 7,500,000 | 7,687,500 | 187,500 | ||||||||||||
Morgan Stanley Resecuritization Trust, Automobile Receivable Nts., Series 2010-F, Cl. A, 0.522%, 6/17/11 | 1/11/10 | 1,302,408 | 1,303,199 | 791 | ||||||||||||
$ | 27,327,776 | $ | 28,955,771 | $ | 1,627,995 | |||||||||||
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 $94,545,815 or 5.77% of the Fund’s net assets as of August 31, 2010. | |
4. | Represents the current interest rate for a variable or increasing rate security. | |
5. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $1,184,134. See Note 5 of the accompanying 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 $24,941,886 or 1.52% of the Fund’s net assets as of August 31, 2010. | |
7. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $468,215 or 0.03% of the Fund’s net assets as of August 31, 2010. | |
8. | When-issued security or delayed delivery to be delivered and settled after August 31, 2010. See Note 1 of the accompanying Notes. | |
9. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. |
39 | OPPENHEIMER CAPITAL INCOME FUND
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended August 31, 2010, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
August 31, 2009 | Additions | Reductions | August 31, 2010 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 365,623,670 | 626,610,860 | 669,214,747 | 323,019,783 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 323,019,783 | $ | 731,966 |
12. | Rate shown is the 7-day yield as of August 31, 2010. |
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 36,267,454 | $ | — | $ | — | $ | 36,267,454 | ||||||||
Consumer Staples | 49,327,580 | — | — | 49,327,580 | ||||||||||||
Energy | 38,422,406 | 2,408,752 | — | 40,831,158 | ||||||||||||
Financials | 62,267,155 | 7,687,500 | — | 69,954,655 | ||||||||||||
Health Care | 56,303,471 | — | — | 56,303,471 | ||||||||||||
Industrials | 42,621,330 | — | — | 42,621,330 | ||||||||||||
Information Technology | 59,652,054 | — | — | 59,652,054 | ||||||||||||
Materials | 28,347,529 | — | — | 28,347,529 | ||||||||||||
Telecommunication Services | 12,771,675 | — | — | 12,771,675 | ||||||||||||
Utilities | 25,896,490 | — | — | 25,896,490 | ||||||||||||
Preferred Stocks | 13,233,300 | 11,514,063 | — | 24,747,363 | ||||||||||||
Rights, Warrants and Certificates | 268,926 | — | — | 268,926 | ||||||||||||
Mortgage-Backed Obligations | — | 406,439,076 | — | 406,439,076 | ||||||||||||
Asset-Backed Securities | — | 112,841,498 | — | 112,841,498 | ||||||||||||
U.S. Government Obligations | — | 10,314,336 | — | 10,314,336 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | — | 258,741,045 | — | 258,741,045 |
40 | OPPENHEIMER CAPITAL INCOME FUND
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Convertible Corporate Bonds and Notes | $ | — | $ | 204,384,924 | $ | — | $ | 204,384,924 | ||||||||
Event-Linked Bonds | — | 11,129,251 | — | 11,129,251 | ||||||||||||
Options Purchased | 225,000 | 941,535 | — | 1,166,535 | ||||||||||||
Investment Company | 323,019,783 | — | — | 323,019,783 | ||||||||||||
Total Investments, at Value | 748,624,153 | 1,026,401,980 | — | 1,775,026,133 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | 944,688 | — | — | 944,688 | ||||||||||||
Appreciated swaps, at value | — | 41,369 | — | 41,369 | ||||||||||||
Depreciated swaps, at value | — | 463,450 | — | 463,450 | ||||||||||||
Total Assets | $ | 749,568,841 | $ | 1,026,906,799 | $ | — | $ | 1,776,475,640 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures margins | $ | (192,418 | ) | $ | — | $ | — | $ | (192,418 | ) | ||||||
Depreciated swaps, at value | — | (666,896 | ) | — | (666,896 | ) | ||||||||||
Total Liabilities | $ | (192,418 | ) | $ | (666,896 | ) | $ | — | $ | (859,314 | ) | |||||
Change in | Accretion/ | |||||||||||||||||||||||
Value as of | unrealized | (amortization) | Net | |||||||||||||||||||||
August 31, | Realized | appreciation/ | of premium/ | purchases | Value as of | |||||||||||||||||||
2009 | gain (loss) | depreciation | discount1 | (sales) | August 31, 2010 | |||||||||||||||||||
Assets Table | ||||||||||||||||||||||||
Investments, at Value: | ||||||||||||||||||||||||
Asset-Backed Securities | $ | 36,648,238 | $ | 11,876,074 | $ | (3,802,139 | ) | $ | 291,724 | $ | (45,013,897 | ) | $ | — | ||||||||||
Convertible Corporate Bonds and Notes | 91,045 | (7,163,333 | ) | 7,072,288 | — | — | — | |||||||||||||||||
Total Assets | $ | 36,739,283 | $ | 4,712,741 | $ | 3,270,149 | $ | 291,724 | $ | (45,013,897 | ) | $ | — | |||||||||||
1. | Included in net investment income. |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
U.S. Treasury Long Bonds | Buy | 668 | 12/21/10 | $ | 90,200,875 | $ | 841,828 | |||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 303 | 12/31/10 | 66,399,610 | (14,561 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 160 | 12/31/10 | 19,251,250 | (62,796 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 512 | 12/21/10 | 64,320,000 | 11,592 | |||||||||||||||
$ | 776,063 | |||||||||||||||||||
41 | OPPENHEIMER CAPITAL INCOME FUND
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Republic of Germany | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | $ | 50,000 | 0.25 | % | 9/20/15 | $ | (596,126 | ) | $ | 463,450 | $ | (132,676 | ) | ||||||||||||||
Total | 50,000 | (596,126 | ) | 463,450 | (132,676 | ) | ||||||||||||||||||||||
Starwood Hotels & Resorts (ITT) | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | 5,000 | 5.00 | 9/20/14 | 290,566 | (615,032 | ) | (324,466 | ) | |||||||||||||||||||
Total | 5,000 | 290,566 | (615,032 | ) | (324,466 | ) | ||||||||||||||||||||||
Vale Inco Ltd.: | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,605 | 0.70 | 3/20/17 | — | 17,108 | 17,108 | |||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Buy | 1,615 | 0.63 | 3/20/17 | — | 24,261 | 24,261 | |||||||||||||||||||||
Total | 3,220 | — | 41,369 | 41,369 | ||||||||||||||||||||||||
Vale Overseas: | ||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,605 | 1.17 | 3/20/17 | — | (22,311 | ) | (22,311 | ) | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | Sell | 1,615 | 1.10 | 3/20/17 | — | (29,553 | ) | (29,553 | ) | |||||||||||||||||||
Total | 3,220 | — | (51,864 | ) | (51,864 | ) | ||||||||||||||||||||||
Grand Total Buys | (305,560 | ) | (110,213 | ) | (415,773 | ) | ||||||||||||||||||||||
Grand Total Sells | — | (51,864 | ) | (51,864 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | (305,560 | ) | $ | (162,077 | ) | $ | (467,637 | ) | |||||||||||||||||||
Total Maximum | ||||||||||||
Type of Reference | Potential Payments | |||||||||||
Asset on which | for Selling Credit | Reference | ||||||||||
the Fund Sold | Protection | Amount | Asset Rating | |||||||||
Protection | (Undiscounted) | Recoverable* | Range** | |||||||||
Investment Grade Single Name Corporate Debt | $ | 3,220,000 | $ | — | BBB+ |
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
42 | OPPENHEIMER CAPITAL INCOME FUND
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Goldman Sachs International | Credit Default Buy Protection | $ | 55,000 | $ | (151,582 | ) | ||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Buy Protection | 3,220 | 41,369 | ||||||||
Credit Default Sell Protection | 3,220 | (51,864 | ) | |||||||
(10,495 | ) | |||||||||
Total Swaps | $ | (162,077 | ) | |||||||
43 | OPPENHEIMER CAPITAL INCOME FUND
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $1,367,822,431) | $ | 1,452,006,350 | ||
Affiliated companies (cost $323,019,783) | 323,019,783 | |||
1,775,026,133 | ||||
Cash | 488,157 | |||
Cash used for collateral on futures | 1,390,437 | |||
Appreciated swaps, at value (upfront payments $0) | 41,369 | |||
Depreciated swaps, at value (upfront payments paid $596,126) | 463,450 | |||
Receivables and other assets: | ||||
Investments sold (including $31,153,708 sold on a when-issued or delayed delivery basis) | 32,915,290 | |||
Interest, dividends and principal paydowns | 9,392,208 | |||
Futures margins | 944,688 | |||
Shares of beneficial interest sold | 288,480 | |||
Other | 94,210 | |||
Total assets | 1,821,044,422 | |||
Liabilities | ||||
Depreciated swaps, at value (upfront payments received $290,566) | 666,896 | |||
Payables and other liabilities: | ||||
Investments purchased (including $176,013,003 purchased on a when-issued or delayed delivery basis) | 177,735,272 | |||
Shares of beneficial interest redeemed | 2,355,377 | |||
Distribution and service plan fees | 714,374 | |||
Transfer and shareholder servicing agent fees | 292,959 | |||
Futures margins | 192,418 | |||
Shareholder communications | 165,996 | |||
Trustees’ compensation | 114,430 | |||
Other | 66,863 | |||
Total liabilities | 182,304,585 | |||
Net Assets | $ | 1,638,739,837 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 200,931 | ||
Additional paid-in capital | 2,202,505,039 | |||
Accumulated net investment income | 36,798,434 | |||
Accumulated net realized loss on investments and foreign currency transactions | (685,256,604 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 84,492,037 | |||
Net Assets | $ | 1,638,739,837 | ||
44 | OPPENHEIMER CAPITAL INCOME FUND
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $1,450,829,392 and 177,450,167 shares of beneficial interest outstanding) | $ | 8.18 | ||
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) | $ | 8.68 | ||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $65,078,733 and 8,122,066 shares of beneficial interest outstanding) | $ | 8.01 | ||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $100,299,009 and 12,572,204 shares of beneficial interest outstanding) | $ | 7.98 | ||
Class N Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $22,532,703 and 2,786,425 shares of beneficial interest outstanding) | $ | 8.09 |
45 | OPPENHEIMER CAPITAL INCOME FUND
Investment Income | ||||
Interest (net of foreign withholding taxes of $1,319) | $ | 56,933,380 | ||
Dividends: | ||||
Unaffiliated companies (net of foreign withholding taxes of $26,189) | 14,740,435 | |||
Affiliated companies | 731,966 | |||
Fee income on when-issued securities | 7,575,846 | |||
Other income | 50,624 | |||
Total investment income | 80,032,251 | |||
Expenses | ||||
Management fees | 9,348,985 | |||
Distribution and service plan fees: | ||||
Class A | 3,571,050 | |||
Class B | 752,413 | |||
Class C | 1,068,973 | |||
Class N | 116,616 | |||
Transfer and shareholder servicing agent fees: | ||||
Class A | 2,967,196 | |||
Class B | 388,582 | |||
Class C | 317,360 | |||
Class N | 86,759 | |||
Shareholder communications: | ||||
Class A | 307,515 | |||
Class B | 45,901 | |||
Class C | 29,951 | |||
Class N | 5,393 | |||
Trustees’ compensation | 65,323 | |||
Custodian fees and expenses | 12,094 | |||
Other | 312,889 | |||
Total expenses | 19,397,000 | |||
Less waivers and reimbursements of expenses | (2,159,750 | ) | ||
Net expenses | 17,237,250 | |||
Net Investment Income | 62,795,001 |
46 | OPPENHEIMER CAPITAL INCOME FUND
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies | $ | 81,766,772 | ||
Closing and expiration of option contracts written | 1,054,828 | |||
Closing and expiration of swaption contracts | (1,369,500 | ) | ||
Closing and expiration of futures contracts | 12,031,835 | |||
Foreign currency transactions | (10,743 | ) | ||
Swap contracts | (4,441,909 | ) | ||
Net realized gain | 89,031,283 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 27,542,737 | |||
Translation of assets and liabilities denominated in foreign currencies | (363,972 | ) | ||
Futures contracts | 333,962 | |||
Option contracts written | 166,426 | |||
Swap contracts | 1,928,264 | |||
Net change in unrealized appreciation/depreciation | 29,607,417 | |||
Net Increase in Net Assets Resulting from Operations | $ | 181,433,701 | ||
47 | OPPENHEIMER CAPITAL INCOME FUND
Year Ended August 31, | 2010 | 2009 | ||||||
Operations | ||||||||
Net investment income | $ | 62,795,001 | $ | 103,442,025 | ||||
Net realized gain (loss) | 89,031,283 | (836,225,523 | ) | |||||
Net change in unrealized appreciation/depreciation | 29,607,417 | 80,186,880 | ||||||
Net increase (decrease) in net assets resulting from operations | 181,433,701 | (652,596,618 | ) | |||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (28,175,758 | ) | (23,672,687 | ) | ||||
Class B | (807,947 | ) | (1,130,595 | ) | ||||
Class C | (1,265,780 | ) | (1,023,144 | ) | ||||
Class N | (376,426 | ) | (316,687 | ) | ||||
(30,625,911 | ) | (26,143,113 | ) | |||||
Distributions from net realized gain: | ||||||||
Class A | — | (37,059,071 | ) | |||||
Class B | — | (2,469,624 | ) | |||||
Class C | — | (2,220,061 | ) | |||||
Class N | — | (586,051 | ) | |||||
— | (42,334,807 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (203,089,496 | ) | (25,970,924 | ) | ||||
Class B | (29,255,483 | ) | (21,629,291 | ) | ||||
Class C | (22,007,806 | ) | 20,299,818 | |||||
Class N | (4,277,077 | ) | 40,957 | |||||
(258,629,862 | ) | (27,259,440 | ) | |||||
Net Assets | ||||||||
Total decrease | (107,822,072 | ) | (748,333,978 | ) | ||||
Beginning of period | 1,746,561,909 | 2,494,895,887 | ||||||
End of period (including accumulated net investment income (loss) of $36,798,434 and $(4,085,160), respectively) | $ | 1,638,739,837 | $ | 1,746,561,909 | ||||
48 | OPPENHEIMER CAPITAL INCOME FUND
Class A Year Ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.50 | $ | 10.44 | $ | 13.10 | $ | 12.28 | $ | 12.63 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .30 | .48 | .59 | .47 | .39 | |||||||||||||||
Net realized and unrealized gain (loss) | .53 | (3.11 | ) | (1.74 | ) | .82 | .16 | |||||||||||||
Total from investment operations | .83 | (2.63 | ) | (1.15 | ) | 1.29 | .55 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.15 | ) | (.12 | ) | (.50 | ) | (.42 | ) | (.37 | ) | ||||||||||
Distributions from net realized gain | — | (.19 | ) | (1.01 | ) | (.05 | ) | (.53 | ) | |||||||||||
Total dividends and/or distributions to shareholders | (.15 | ) | (.31 | ) | (1.51 | ) | (.47 | ) | (.90 | ) | ||||||||||
Net asset value, end of period | $ | 8.18 | $ | 7.50 | $ | 10.44 | $ | 13.10 | $ | 12.28 | ||||||||||
Total Return, at Net Asset Value2 | 11.13 | % | (25.18 | )% | (9.51 | )% | 10.50 | % | 4.68 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,450,829 | $ | 1,521,396 | $ | 2,176,214 | $ | 2,754,566 | $ | 2,594,507 | ||||||||||
Average net assets (in thousands) | $ | 1,512,770 | $ | 1,388,938 | $ | 2,458,736 | $ | 2,809,861 | $ | 2,608,268 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 3.75 | % | 6.64 | % | 5.11 | % | 3.54 | % | 3.21 | % | ||||||||||
Total expenses | 1.02 | %4 | 1.02 | %4 | 0.91 | %4 | 0.88 | %4 | 0.91 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 0.90 | % | 0.94 | % | 0.91 | % | 0.88 | % | 0.91 | % | ||||||||||
Portfolio turnover rate5 | 77 | % | 92 | % | 68 | % | 66 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2010 | 1.04 | % | ||
Year Ended August 31, 2009 | 1.03 | % | ||
Year Ended August 31, 2008 | 0.91 | % | ||
Year Ended August 31, 2007 | 0.88 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2010 | $ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 | $ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 | $ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 | $ | 1,266,252,411 | $ | 1,359,901,233 | ||||
Year Ended August 31, 2006 | $ | 2,212,763,141 | $ | 2,305,352,091 |
49 | OPPENHEIMER CAPITAL INCOME FUND
Class B Year Ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.36 | $ | 10.31 | $ | 12.94 | $ | 12.14 | $ | 12.49 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .22 | .41 | .49 | .35 | .28 | |||||||||||||||
Net realized and unrealized gain (loss) | .52 | (3.09 | ) | (1.71 | ) | .81 | .16 | |||||||||||||
Total from investment operations | .74 | (2.68 | ) | (1.22 | ) | 1.16 | .44 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.09 | ) | (.08 | ) | (.40 | ) | (.31 | ) | (.26 | ) | ||||||||||
Distributions from net realized gain | — | (.19 | ) | (1.01 | ) | (.05 | ) | (.53 | ) | |||||||||||
Total dividends and/or distributions to shareholders | (.09 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | (.79 | ) | ||||||||||
Net asset value, end of period | $ | 8.01 | $ | 7.36 | $ | 10.31 | $ | 12.94 | $ | 12.14 | ||||||||||
Total Return, at Net Asset Value2 | 10.05 | % | (25.94 | )% | (10.20 | )% | 9.54 | % | 3.84 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 65,079 | $ | 87,518 | $ | 153,650 | $ | 240,849 | $ | 258,812 | ||||||||||
Average net assets (in thousands) | $ | 75,369 | $ | 88,562 | $ | 193,912 | $ | 262,574 | $ | 273,916 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 2.81 | % | 5.80 | % | 4.27 | % | 2.70 | % | 2.37 | % | ||||||||||
Total expenses | 2.14 | %4 | 2.03 | %4 | 1.75 | %4 | 1.71 | %4 | 1.74 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.85 | % | 1.85 | % | 1.75 | % | 1.71 | % | 1.74 | % | ||||||||||
Portfolio turnover rate5 | 77 | % | 92 | % | 68 | % | 66 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2010 | 2.16 | % | ||
Year Ended August 31, 2009 | 2.04 | % | ||
Year Ended August 31, 2008 | 1.75 | % | ||
Year Ended August 31, 2007 | 1.71 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2010 | $ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 | $ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 | $ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 | $ | 1,266,252,411 | $ | 1,359,901,233 | ||||
Year Ended August 31, 2006 | $ | 2,212,763,141 | $ | 2,305,352,091 |
50 | OPPENHEIMER CAPITAL INCOME FUND
Class C Year Ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.33 | $ | 10.26 | $ | 12.89 | $ | 12.10 | $ | 12.46 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .23 | .41 | .49 | .36 | .29 | |||||||||||||||
Net realized and unrealized gain (loss) | .52 | (3.07 | ) | (1.71 | ) | .79 | .15 | |||||||||||||
Total from investment operations | .75 | (2.66 | ) | (1.22 | ) | 1.15 | .44 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.10 | ) | (.08 | ) | (.40 | ) | (.31 | ) | (.27 | ) | ||||||||||
Distributions from net realized gain | — | (.19 | ) | (1.01 | ) | (.05 | ) | (.53 | ) | |||||||||||
Total dividends and/or distributions to shareholders | (.10 | ) | (.27 | ) | (1.41 | ) | (.36 | ) | (.80 | ) | ||||||||||
Net asset value, end of period | $ | 7.98 | $ | 7.33 | $ | 10.26 | $ | 12.89 | $ | 12.10 | ||||||||||
Total Return, at Net Asset Value2 | 10.19 | % | (25.85 | )% | (10.22 | )% | 9.53 | % | 3.83 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 100,299 | $ | 112,970 | $ | 130,753 | $ | 184,782 | $ | 163,959 | ||||||||||
Average net assets (in thousands) | $ | 106,999 | $ | 82,632 | $ | 156,924 | $ | 182,640 | $ | 165,514 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 2.88 | % | 5.77 | % | 4.29 | % | 2.74 | % | 2.40 | % | ||||||||||
Total expenses | 1.89 | %4 | 1.91 | %4 | 1.72 | %4 | 1.69 | %4 | 1.71 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.77 | % | 1.80 | % | 1.72 | % | 1.69 | % | 1.71 | % | ||||||||||
Portfolio turnover rate5 | 77 | % | 92 | % | 68 | % | 66 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2010 | 1.91 | % | ||
Year Ended August 31, 2009 | 1.92 | % | ||
Year Ended August 31, 2008 | 1.72 | % | ||
Year Ended August 31, 2007 | 1.69 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2010 | $ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 | $ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 | $ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 | $ | 1,266,252,411 | $ | 1,359,901,233 | ||||
Year Ended August 31, 2006 | $ | 2,212,763,141 | $ | 2,305,352,091 |
51 | OPPENHEIMER CAPITAL INCOME FUND
Class N Year Ended August 31, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.42 | $ | 10.36 | $ | 13.00 | $ | 12.20 | $ | 12.55 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .27 | .44 | .54 | .42 | .34 | |||||||||||||||
Net realized and unrealized gain (loss) | .52 | (3.09 | ) | (1.71 | ) | .80 | .16 | |||||||||||||
Total from investment operations | .79 | (2.65 | ) | (1.17 | ) | 1.22 | .50 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.12 | ) | (.10 | ) | (.46 | ) | (.37 | ) | (.32 | ) | ||||||||||
Distributions from net realized gain | — | (.19 | ) | (1.01 | ) | (.05 | ) | (.53 | ) | |||||||||||
Total dividends and/or distributions to shareholders | (.12 | ) | (.29 | ) | (1.47 | ) | (.42 | ) | (.85 | ) | ||||||||||
Net asset value, end of period | $ | 8.09 | $ | 7.42 | $ | 10.36 | $ | 13.00 | $ | 12.20 | ||||||||||
Total Return, at Net Asset Value2 | 10.74 | % | (25.54 | )% | (9.78 | )% | 10.01 | % | 4.32 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 22,533 | $ | 24,678 | $ | 34,279 | $ | 44,568 | $ | 35,651 | ||||||||||
Average net assets (in thousands) | $ | 24,365 | $ | 21,877 | $ | 39,025 | $ | 41,919 | $ | 32,598 | ||||||||||
Ratios to average net assets:3 | ||||||||||||||||||||
Net investment income | 3.37 | % | 6.25 | % | 4.74 | % | 3.19 | % | 2.82 | % | ||||||||||
Total expenses | 1.42 | %4 | 1.44 | %4 | 1.29 | %4 | 1.25 | %4 | 1.30 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.28 | % | 1.31 | % | 1.29 | % | 1.25 | % | 1.30 | % | ||||||||||
Portfolio turnover rate5 | 77 | % | 92 | % | 68 | % | 66 | % | 66 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Total expenses including indirect expenses from affiliated fund were as follows: |
Year Ended August 31, 2010 | 1.44 | % | ||
Year Ended August 31, 2009 | 1.45 | % | ||
Year Ended August 31, 2008 | 1.29 | % | ||
Year Ended August 31, 2007 | 1.25 | % |
5. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended August 31, 2010 | $ | 3,224,346,084 | $ | 3,374,267,286 | ||||
Year Ended August 31, 2009 | $ | 3,381,592,419 | $ | 3,374,427,225 | ||||
Year Ended August 31, 2008 | $ | 2,702,200,766 | $ | 2,534,331,052 | ||||
Year Ended August 31, 2007 | $ | 1,266,252,411 | $ | 1,359,901,233 | ||||
Year Ended August 31, 2006 | $ | 2,212,763,141 | $ | 2,305,352,091 |
52 | OPPENHEIMER CAPITAL INCOME FUND
53 | OPPENHEIMER CAPITAL INCOME FUND
54 | OPPENHEIMER CAPITAL INCOME FUND
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $ | 176,013,003 | ||
Sold securities | 31,153,708 |
55 | OPPENHEIMER CAPITAL INCOME FUND
56 | OPPENHEIMER CAPITAL INCOME FUND
Net Unrealized | ||||||||||||||||
Appreciation | ||||||||||||||||
Based on Cost of | ||||||||||||||||
Securities and | ||||||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||||||
Income | Gain | Carryforward1,2,3,4,5,6 | Tax Purposes | |||||||||||||
$ | 40,193,668 | $ | — | $ | 680,527,221 | $ | 76,191,288 |
1. | As of August 31, 2010, the Fund had $678,311,739 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of August 31, 2010, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2015 | $ | 24,730,218 | ||
2016 | 34,541,632 | |||
2017 | 96,200,452 | |||
2018 | 522,839,437 | |||
Total | $ | 678,311,739 | ||
2. | The Fund had $15,042 of post-October foreign currency losses which were deferred. | |
3. | The Fund had $90,922 of post-October passive foreign investment company losses which were deferred. | |
4. | The Fund had $2,109,518 of straddle losses which were deferred. | |
5. | During the fiscal year ended August 31, 2010, the Fund did not utilize any capital loss carryforward. | |
6. | During the fiscal year ended August 31, 2009, the Fund did not utilize any capital loss carryforward. |
57 | OPPENHEIMER CAPITAL INCOME FUND
Increase to | ||||||||||||
Increase to | Accumulated Net | |||||||||||
Increase Paid-in | Accumulated Net | Realized Loss on | ||||||||||
Capital | Investment Income | Investments | ||||||||||
$ | 61,582,902 | $ | 8,714,504 | $ | 70,297,406 |
Year Ended | Year Ended | |||||||
August 31, 2010 | August 31, 2009 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 30,625,911 | $ | 26,143,113 | ||||
Long-term capital gain | — | 42,334,807 | ||||||
Total | $ | 30,625,911 | $ | 68,477,920 | ||||
Federal tax cost of securities | $ | 1,698,543,974 | ||
Federal tax cost of other investments | 68,998,502 | |||
Total federal tax cost | $ | 1,767,542,476 | ||
Gross unrealized appreciation | $ | 115,078,441 | ||
Gross unrealized depreciation | (38,887,153 | ) | ||
Net unrealized appreciation | $ | 76,191,288 | ||
58 | OPPENHEIMER CAPITAL INCOME FUND
59 | OPPENHEIMER CAPITAL INCOME FUND
Year Ended August 31, 2010 | Year Ended August 31, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold | 7,802,417 | $ | 62,259,184 | 9,880,448 | $ | 70,888,124 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 3,233,169 | 25,949,865 | 7,730,381 | 57,108,730 | ||||||||||||
Acquisition—Note 7 | — | — | 29,547,222 | 216,876,613 | ||||||||||||
Redeemed | (36,463,678 | ) | (291,298,545 | ) | (52,675,189 | ) | (370,844,391 | ) | ||||||||
Net decrease | (25,428,092 | ) | $ | (203,089,496 | ) | (5,517,138 | ) | $ | (25,970,924 | ) | ||||||
Class B | ||||||||||||||||
Sold | 981,464 | $ | 7,705,110 | 1,280,276 | $ | 8,915,666 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 97,144 | 767,180 | 477,971 | 3,449,546 | ||||||||||||
Acquisition—Note 7 | — | — | 1,634,241 | 11,782,874 | ||||||||||||
Redeemed | (4,842,340 | ) | (37,727,773 | ) | (6,415,128 | ) | (45,777,377 | ) | ||||||||
Net decrease | (3,763,732 | ) | $ | (29,255,483 | ) | (3,022,640 | ) | $ | (21,629,291 | ) | ||||||
Class C | ||||||||||||||||
Sold | 985,137 | $ | 7,685,204 | 1,362,292 | $ | 9,566,933 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 139,709 | 1,098,074 | 415,028 | 2,977,269 | ||||||||||||
Acquisition—Note 7 | — | — | 5,533,783 | 39,732,560 | ||||||||||||
Redeemed | (3,959,894 | ) | (30,791,084 | ) | (4,645,103 | ) | (31,976,944 | ) | ||||||||
Net increase (decrease) | (2,835,048 | ) | $ | (22,007,806 | ) | 2,666,000 | $ | 20,299,818 | ||||||||
Class N | ||||||||||||||||
Sold | 555,027 | $ | 4,384,592 | 567,745 | $ | 3,968,082 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 43,036 | 342,472 | 115,562 | 842,718 | ||||||||||||
Acquisition—Note 7 | — | — | 504,245 | 3,660,819 | ||||||||||||
Redeemed | (1,136,715 | ) | (9,004,141 | ) | (1,172,891 | ) | (8,430,662 | ) | ||||||||
Net increase (decrease) | (538,652 | ) | $ | (4,277,077 | ) | 14,661 | $ | 40,957 | ||||||||
60 | OPPENHEIMER CAPITAL INCOME FUND
Purchases | Sales | |||||||
Investment securities | $ | 945,298,125 | $ | 1,148,115,561 | ||||
U.S. government and government agency obligations | 18,870,486 | 20,611,909 | ||||||
To Be Announced (TBA) mortgage-related securities | 3,224,346,084 | 3,374,267,286 |
Fee Schedule | ||||
Up to $100 million | 0.75 | % | ||
Next $100 million | 0.70 | |||
Next $100 million | 0.65 | |||
Next $100 million | 0.60 | |||
Next $100 million | 0.55 | |||
Next $4.5 billion | 0.50 | |||
Over $5 billion | 0.48 |
61 | OPPENHEIMER CAPITAL INCOME FUND
Class B | $ | 9,122,449 | ||
Class C | 8,298,014 | |||
Class N | 976,338 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
August 31, 2010 | $ | 218,616 | $ | 61 | $ | 156,749 | $ | 5,819 | $ | 2,285 |
62 | OPPENHEIMER CAPITAL INCOME FUND
Class B | $ | 122,502 | ||
Class N | 4,669 |
63 | OPPENHEIMER CAPITAL INCOME FUND
64 | OPPENHEIMER CAPITAL INCOME FUND
65 | OPPENHEIMER CAPITAL INCOME FUND
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives Not | Statement of | Statement of | ||||||||||
Accounted for | Assets and | Assets and | ||||||||||
as Hedging | Liabilities | Liabilities | ||||||||||
Instruments | Location | Value | Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 41,369 | |||||||||
Credit contracts | Depreciated swaps, at value | 463,450 | Depreciated swaps, at value | $ | 666,896 | |||||||
Equity contracts | Investments, at value | 225,000 | ** | |||||||||
Foreign exchange contracts | Investments, at value | 941,535 | ** | |||||||||
Interest rate contracts | Futures margins | 944,688 | * | Futures margins | 192,418 | * | ||||||
Total | $ | 2,616,042 | $ | 859,314 | ||||||||
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Closing and | Closing and | |||||||||||||||||||||||
Derivatives Not | Investments | expiration of | expiration | Closing and | ||||||||||||||||||||
Accounted for | from | swaption | of option | expiration of | ||||||||||||||||||||
as Hedging | unaffiliated | contracts | contracts | futures | Swap | |||||||||||||||||||
Instruments | companies* | written | written | contracts | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | (4,441,909 | ) | $ | (4,441,909 | ) | ||||||||||
Equity contracts | (4,791,974 | ) | — | 1,054,828 | — | — | (3,737,146 | ) | ||||||||||||||||
Foreign exchange contracts | 253,500 | — | — | — | — | 253,500 | ||||||||||||||||||
Interest rate contracts | — | (1,369,500 | ) | — | 12,031,835 | — | 10,662,335 | |||||||||||||||||
Total | $ | (4,538,474 | ) | $ | (1,369,500 | ) | $ | 1,054,828 | $ | 12,031,835 | $ | (4,441,909 | ) | $ | 2,736,780 | |||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||
Derivatives Not | Option | |||||||||||||||||||
Accounted for as | contracts | Futures | Swap | |||||||||||||||||
Hedging Instruments | Investments* | written | contracts | contracts | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | 1,928,264 | $ | 1,928,264 | ||||||||||
Equity contracts | 1,005,813 | 166,426 | — | — | 1,172,239 | |||||||||||||||
Foreign exchange contracts | (423,465 | ) | — | — | — | (423,465 | ) | |||||||||||||
Interest rate contracts | — | — | 333,962 | — | 333,962 | |||||||||||||||
Total | $ | 582,348 | $ | 166,426 | $ | 333,962 | $ | 1,928,264 | $ | 3,011,000 | ||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
66 | OPPENHEIMER CAPITAL INCOME FUND
67 | OPPENHEIMER CAPITAL INCOME FUND
68 | OPPENHEIMER CAPITAL INCOME FUND
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of August 31, 2009 | 2,600 | $ | 474,488 | 1,300 | $ | 535,586 | ||||||||||
Options written | 350 | 174,751 | 175 | 137,944 | ||||||||||||
Options closed or expired | (2,950 | ) | (649,239 | ) | (1,475 | ) | (673,530 | ) | ||||||||
Options outstanding as of August 31, 2010 | — | $ | — | — | $ | — | ||||||||||
69 | OPPENHEIMER CAPITAL INCOME FUND
70 | OPPENHEIMER CAPITAL INCOME FUND
71 | OPPENHEIMER CAPITAL INCOME FUND
Call Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of August 31, 2009 | $ | — | $ | — | ||||
Swaptions written | 1,000,000,000 | 3,600,000 | ||||||
Swaptions closed or expired | (1,000,000,000 | ) | (3,600,000 | ) | ||||
Swaptions outstanding as of August 31, 2010 | $ | — | $ | — | ||||
Exchange Ratio to | Shares of | Value of Issued | ||||||||||||||
One Share of the | Beneficial | Shares of | Combined Net | |||||||||||||
Convertible | Interest Issued | Beneficial | Assets on | |||||||||||||
Securities | by the Fund | Interest | August 6, 20091 | |||||||||||||
Class A | 1.526814 | 23,616,168 | $ | 173,342,676 | $ | 1,512,969,527 | ||||||||||
Class B | 1.558386 | 1,634,241 | $ | 11,782,874 | $ | 86,825,315 | ||||||||||
Class C | 1.561290 | 5,533,783 | $ | 39,732,560 | $ | 112,512,301 | ||||||||||
Class N | 1.543169 | 504,245 | $ | 3,660,819 | $ | 24,319,909 | ||||||||||
Class M2 | 1.525141 | 5,931,054 | $ | 43,533,937 | Combined in Class A |
1. | The net assets acquired included net unrealized depreciation of $5,988,078 and an unused capital loss carryforward of $110,959,837, potential utilization subject to tax limitations. | |
2. | The Fund issued Class A shares in exchange for Class M shares of Convertible Securities. |
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73 | OPPENHEIMER CAPITAL INCOME FUND
October 20, 2010
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Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 73 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
George C. Bowen, Trustee (since 1998) Age: 73 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Bowen has served on the Boards of certain Oppenheimer funds since 1998, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 1999) Age: 71 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 68 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent |
80 | OPPENHEIMER CAPITAL INCOME FUND
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Jon S. Fossel, Continued | holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 69 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 63 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991- April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 65 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
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Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
F. William Marshall, Jr., Trustee (since 2000) Age: 68 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 40 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 52 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004- March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004- October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005- March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003- November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006- September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007- July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 65 portfolios as a Trustee/Director and 96 portfolios as an Officer in the OppenheimerFunds complex. Mr. Glavin has served on the Boards of certain Oppenheimer funds since 2009, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
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Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Memani, Keffer, Zack and Ms. Borré, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Michelle Borré, Vice President and Portfolio Manager (since 2009) Age: 43 | Vice President of the Manager (since April 2003) and a Senior Research Analyst of the Manager (February 2003-April 2009). Prior to joining the Manager, Managing Director and Partner at J&W Seligman (July 1996-January 2003); Adjunct Assistant Professor of Finance and Economics at Columbia Business School (2003-2005); served on the Executive Advisory Board at the Heilbrunn Center for Graham and Dodd Investing at Columbia Business School (2004-2005). A portfolio manager and an officer of 1 portfolio in the OppenheimerFunds complex. | |
Krishna Memani, Vice President and Portfolio Manager (since 2009) Age: 50 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Thomas W. Keffer, Vice President and Chief Business Officer (since 2009) Age: 55 | Senior Vice President of the Manager (since March 1997); Director of Investment Brand Management of the Manager (since November 1997); Senior Vice President of OppenheimerFunds Distributor, Inc. (since December 1997). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 59 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 50 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 96 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 62 | Executive Vice President (since January 2004) and General Counsel-Corporate (since March 2002) of the Manager; General Counsel of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds |
83 | OPPENHEIMER CAPITAL INCOME FUND
Name, Position(s) Held with the Fund, Length of Service, Age | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Robert G. Zack, Continued | International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001). An officer of 96 portfolios in the OppenheimerFunds complex. |
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Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP |
85 | OPPENHEIMER CAPITAL INCOME FUND
• | Applications or other forms | ||
• | When you create a user ID and password for online account access | ||
• | When you enroll in eDocs Direct, our electronic document delivery service | ||
• | Your transactions with us, our affiliates or others | ||
• | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited | ||
• | When you set up challenge questions to reset your password online |
86 | OPPENHEIMER CAPITAL INCOME FUND
• | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. | ||
• | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | ||
• | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
87 | OPPENHEIMER CAPITAL INCOME FUND
(a) | Audit Fees |
(b) | Audit-Related Fees |
(c) | Tax Fees |
(d) | All Other Fees |
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. | |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. | ||
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. | ||
(2) 100% | ||
(f) | Not applicable as less than 50%. | |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $344,499 in fiscal 2010 and $218,966 in fiscal 2009 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include |
any prohibited non-audit services as defined by the Securities Exchange Act of 1934. | ||
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
b) Not applicable.
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, |
upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. | ||
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. | |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. | ||
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Exhibit attached hereto. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
Oppenheimer Capital Income Fund | ||||
By: | /s/ William F. Glavin, Jr. | |||
Principal Executive Officer | ||||
Date: | 10/11/2010 |
By: | /s/ William F. Glavin, Jr. | |||
Principal Executive Officer | ||||
Date: | 10/11/2010 | |||
By: | /s/ Brian W. Wixted | |||
Principal Financial Officer | ||||
Date: | 10/11/2010 |