UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-1512
Oppenheimer Capital Income Fund
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Arthur S. Gabinet
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: August 31
Date of reporting period: 2/27/2015
Item 1. Reports to Stockholders.
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 2/27/15*
| | | | | | | | | | |
| | | Class A Shares of the Fund | | | | | | |
| | | Without Sales Charge | | With Sales Charge | | Barclays U.S. Aggregate Bond Index | | Russell 3000 Index | | Reference Index |
| 6-Month | | 1.05% | | -4.76% | | 2.25% | | 5.98% | | 3.67% |
| 1-Year | | 4.72 | | -1.30 | | 5.05 | | 14.12 | | 8.36 |
| 5-Year | | 8.39 | | 7.12 | | 4.29 | | 16.36 | | 8.77 |
| 10-Year | | 2.58 | | 1.98 | | 4.82 | | 8.30 | | 6.63 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 5.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).
*February 27, 2015, was the last business day of the Fund’s semiannual period. See Note 2 of the accompanying Notes to Consolidated Financial Statements. Index returns are calculated through February 28, 2015.
2 OPPENHEIMER CAPITAL INCOME FUND
Fund Performance Discussion
The Fund’s Class A shares (without sales charge) generated a total return of 1.05% during the reporting period. On a relative basis, the Fund underperformed its Reference Index, a customized weighted index comprised of 65% Barclays U.S. Aggregate Bond Index and 35% Russell 3000 Index, which returned 3.67%. Measured separately, the Barclays U.S. Aggregate Bond Index returned 2.25% and the Russell 3000 Index returned 5.98%. The Fund outperformed its peers in the Morningstar Conservative Allocation category, which returned 0.48% during the reporting period. The Fund generated positive absolute results in all three of its strategies: equity/equity-like, high grade fixed income and opportunistic. The high grade fixed income strategy produced the highest absolute returns followed by the equity/equity-like and opportunistic strategies.
The Fund’s Class A shares paid two dividends during the period: $0.0616 per share in September 2014 and $0.1216 per share in December 2014. The prior two dividends were $0.0615 per share paid in March 2014 and $0.0617 per share paid in June 2014. (The Fund’s Class A shares had an NAV of $9.95 per share on 2/27/15.) In addition, we believe that upside/downside capture ratios provide a good measure of the Fund’s downside protection. The upside capture ratio is the cumulative performance of the Fund in all up months divided by the cumulative performance of the index in those months. The downside capture ratio is the cumulative performance of the Fund in all down months divided by the cumulative performance of the index in those months. For the three-year period ended 2/27/15, the Fund’s upside capture was 96% of the Morningstar Conservative Allocation category peer group and its downside capture was 49%. This demonstrates that in up markets during the three-year period, the Fund
captured 96% of the upside of its peers, while in down markets it captured just 49% of the downside. We believe these distributions, combined with our upside/downside capture ratios, are a testament to the Fund’s intelligent blending of multiple asset classes as well as its primary goals of price appreciation, downside risk mitigation and income.
We believe that periodic sharp declines in the equity markets over the last 15 months, including the selloffs in January, September/October and December of 2014, and again in January 2015, suggest that investors should remain mindful of risk. Structural flaws in Europe and Japan remain unresolved, certain emerging markets and many developed markets are stuck in low gear, portions of the Eurozone are on recession watch, continuing issues in Russia/Ukraine and the Middle East have caused spikes in geopolitical risk, and partisan dysfunction in Washington continues unabated. Highly accommodative central
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banks around the world, the Federal Reserve’s (the “Fed”) measured pace of tapering in 2014 and extremely low market volatility for the last several years have helped to mask structural weaknesses that remain unaddressed, in our opinion. The Fund’s multi-asset class approach offers the flexibility to navigate what we see as a dynamic, unpredictable and still challenging environment.
MARKET OVERVIEW
The Fed ended its purchases of U.S. government Treasuries and mortgage-backed securities (“MBS”) under the most recent quantitative easing (“QE”) program in October 2014. This program was designed to help boost the U.S. economy by keeping mortgage rates and other long-term interest rates low, but a primary benefit to investors has turned out to be its contribution to asset price inflation. As the end of the program approached, the market grew concerned about when and how quickly the Fed might raise interest rates. This led to a sharp decline in equities and a spike in volatility during September/October. In fact, the S&P 500 Index fell over 7% during this period as the Chicago Board Options Exchange Volatility Index jumped 118%.
Throughout the reporting period, the U.S. economy grew at a faster pace than any other developed economy, and the unemployment rate continued to fall. Growth in the rest of the world remained subdued. In the Eurozone, the European Central Bank (“ECB”) adopted a number of policies
designed to address persistently slow growth and the risk of deflation. In Japan, which has been mired in economic weakness for years, the Abe administration has adopted even more aggressive economic policies (“Abenomics”) with the Bank of Japan (“BoJ”) executing a massive QE program. However, the results in each region have not been particularly impressive. The Eurozone grew by 1.4% on an annualized basis in 2014 and Japan just emerged from its fourth recession in six years during the final quarter of 2014.
One of the biggest surprises in the reporting period was the sharp rise in the U.S. dollar starting in mid-2014 as the market began to anticipate the end of QE3 and the resulting divergence of monetary policy in various countries. At the same time, commodities began falling, in part because a rising dollar makes commodities priced in U.S. dollars more expensive to foreign buyers. Oil came under significant pressure, with West Texas Intermediate crude falling 45.9% in 2014. A combination of rising supply (principally from growing U.S. shale oil production), weak demand and a rising dollar put pressure on prices.
Due to the confluence of these factors, longer term U.S. Treasury rates swung fairly widely during the reporting period, with the 10-year Treasury yield ultimately falling 35 basis points to end the period at 1.99%. This drop in rates helped U.S. Treasuries generate positive total returns. In contrast, investment-grade corporate bonds
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experienced a more challenging time as the average corporate spread to Treasuries widened. This was driven in part by global growth concerns, geopolitical risk and uncertainty regarding central bank monetary policies.
FUND REVIEW
Equity/equity-like strategy. The Fund’s equity/equity-like strategy may include common stocks, high delta convertible bonds, preferred stocks and structured notes. This strategy produced positive absolute performance, but underperformed the Russell 3000 Index during the reporting period. The Fund’s marginal underweight to equities negatively impacted results versus the Russell 3000 Index. The strongest contributors to performance during the period were Brinker International, UnitedHealth Group and Altria Group.
Brinker International (EAT), a restaurant operator, benefited from an acceleration in same stores sales into solidly positive territory. This improvement comes after years of flattish performance on this metric and is a result of several factors. For example, management has successfully re-engineered the menu and incorporated popular categories like Fresh Mex. In addition, the company has driven better table turnover efficiency as well as customer satisfaction with technology investments in table-top tablets. Finally, Brinker’s stock price benefited from higher overall employment in the U.S. as well as investor anticipation that lower gasoline prices might translate into
better future demand trends for the restaurant sector.
UnitedHealth Group (UNH), the largest U.S. health insurer, has a diversified business model that serves commercial insurance customers, government programs such as Medicare Advantage and Medicaid, and international customers, among others. UNH also owns a fast-growing services business, Optum, which has increasingly become an earnings driver for the company. Despite facing headwinds in 2014 from the implementation of the Affordable Care Act, UNH was able to beat earnings expectations in both the third and fourth quarters. In addition, the company forecast accelerating growth in 2015 as a result of membership gains and disciplined management of medical costs.
Altria Group (MO), a holding company that owns Philip Morris USA, is a leader in the U.S. tobacco industry with over 50% market share. Altria benefited from a variety of factors during the reporting period. For example, there has been a modest improvement in the pace of volume declines for the smokable industry. Additionally, the combination of better employment trends and lower gasoline prices has been a tailwind for Altria’s core customer base. The company’s disciplined pricing strategy has also continued to support both cash flows and earnings. Finally, Altria represents a relative safe haven compared to other consumer staples companies given its lack of foreign currency exposure in a rising dollar environment.
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In contrast, the biggest detractors from performance during the period included LyondellBasell Industries, Quanta Services and HollyFrontier Corp. All three companies were negatively impacted by the sharp decline in energy prices.
LyondellBasell Industries (LYB), a U.S.-based ethylene chemical producer, detracted from performance during the period. The company cracks ethane, a natural gas liquid, to make the chemicals that it sells. In contrast, its European competitors crack oil to make the chemicals they sell. The recent collapse in the price of oil means that LyondellBasell’s feedstock cost advantage has declined. In addition, investors worried that the drop in oil would negatively impact ethylene margins.
Quanta Services (PWR) is a pipeline and electric power engineering and construction company. Quanta detracted from performance after the sharp drop in oil caused investors to reconsider potential risks in the company’s backlog as well as the future prospects for its oilfield construction business. Those concerns put pressure on the stock despite the fact that the company generates about 70% of its revenue from electric power and despite the company’s announcement of a material award of an electric transmission project during the reporting period.
HollyFrontier (HFC), a U.S. mid-continent refiner, was hurt by the selloff in the energy sector as well as several other factors. For
example, the WTI / WTI Midland crude differential fell sharply from $8.30/barrel to $0.75/barrel. This move lowered both the cost advantage and margins for HFC. In addition, the company was hindered by limited opportunities to drop assets down to its MLP (Master Limited Partnership) to enhance value, given the relatively small size of its logistics network versus other refiners. Finally, the stock was hurt by some operational hiccups during the reporting period. We exited our position in HollyFrontier during the reporting period.
Opportunistic strategy. In this strategy we seek asymmetric risk/reward opportunities and investments where the return profile has a low correlation to traditional investment strategies. We also seek investments which can help to achieve our broader investment objectives. At the end of the period, this strategy included investments in senior loans through Oppenheimer Master Loan Fund, LLC, asset-backed securities (“ABS”), corporate bonds, convertible securities and small positions (measured by market value) in derivatives. This strategy produced a positive absolute return, although on a standalone basis it underperformed the Barclays U.S. Aggregate Bond Index during the reporting period. Among the top performers in the opportunistic strategy were our short positions in the Japanese yen, euro and Australian dollar. These currencies fell versus the U.S. dollar, which strengthened in part as a result of an expanding domestic economy, an improving labor market, the end of asset purchases under QE3 (i.e., the Fed’s balance
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sheet stopped expanding) and expectations that the Fed will raise rates in 2015.
Long U.S. dollar / short Japanese yen. Japan slipped into its fourth recession in the last six years during the reporting period, only to emerge again during the final quarter of 2014. The economic rebound following the hike in the consumption tax in April 2014 was significantly weaker than expected, leading to expectations that more quantitative easing and currency devaluation would be needed to help revive growth. In fact, that is precisely what occurred as the BoJ doubled down on its QE program on October 31, sending the yen sharply lower versus the dollar. Against this backdrop, the Fed tapered its QE program steadily throughout 2014, and officially ended its program purchases on October 31. This normalization of monetary policy in the U.S. (at least on a relative basis) helped send the dollar sharply higher against a number of major currencies, including the yen.
Long U.S. dollar / short euro. Growth in the Eurozone slowed during 2014 and deflationary pressures increased. In response, the ECB renewed its commitment to stimulating both growth and inflation. In January 2015, the ECB announced the details of its own QE program which commenced in March. The ECB plans to expand its balance sheet by €1.1 trillion through monthly purchases of €60 billion in sovereign and other debt. The euro weakened significantly versus the dollar as the market started to discount the relative strength of the U.S.
economy versus that of the Eurozone plus relatively tighter monetary policy in the U.S.
Long U.S. dollar / short Australian dollar. A combination of slowing growth in China (Australia’s largest trading partner), falling commodity prices and reduced investment in the Australian resource sector has negatively impacted growth in Australia. In particular, weakness in the country’s primary export commodities of iron ore and metallurgical coal has pressured both the economy and the currency. Responding to this growth slowdown, the Australian central bank cut interest rates in February 2015, which has further pressured the Aussie dollar.
In contrast, the biggest detractors from performance during the period included the corporate debt of Appvion, our positions in gold, and payer swaptions in Japan.
The corporate debt of Appvion Inc., a privately held paper manufacturer, suffered from overall pressure on the loan market in the fourth quarter of 2014. In addition, the company faced some manufacturing issues as it previously shuttered capacity and outsourced certain production. The problem arose in part because this transition has taken longer than expected. Appvion has also faced increasing foreign competition. This combination of factors has reduced cash flows, which has put downward pressure on the bonds.
Our long position in gold detracted from performance as the yellow metal fell by 5.8%
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(or $74) to $1,213 per troy ounce as of 2/27/15. Commodities in general were under pressure in the second half of 2014, and gold was no exception. Investors wrestled with the end of the Fed’s QE3 program in October, while at the same time the ECB prepared to launch its own QE effort and the BoJ continued to pump money into the economy. Furthermore, the dollar rose sharply from mid-July 2014 into mid-March 2015 while inflation expectations generally declined. This combination of factors tends to be bearish for gold, and put pressure on pricing during the reporting period.
Our positions in Japanese payer swaptions, which are derivatives that benefit from rising interest rates in Japan, detracted from performance as well. The yield on 10-year Japanese Government Bonds was volatile as the country vacillated between deflation and inflation, and it ultimately fell 16 basis points to end the period at 0.33%. The BoJ’s aggressive QE program plus that country’s failure to approach a 2% inflation target have left interest rates quite low despite the postponement of a second tax increase intended to address fiscal imbalances. We believe the first two arrows in the Abenomics quiver are well understood—monetary and fiscal stimulus. In our view, it is the third arrow that presents a real challenge—structural reform. Because we believe Japan will have difficulty implementing the kind of reform needed, we are comfortable holding these swaptions which we think should perform well if Abenomics begins to falter or if the inflation
target is actually achieved. In our view, these positions provide attractive optionality if rates start backing up.
High grade fixed income strategy. The high grade fixed income strategy contributed to results and on a standalone basis outperformed the Barclays U.S. Aggregate Bond Index during the reporting period. This strategy continued to favor corporate bonds, mortgages and other securitized products over government bonds.
The U.S. dollar climbed steadily against most major currencies during the reporting period. Both domestic and international credit assets sold off late in 2014, with high yield debt (and to a lesser degree, senior bank loans) in the energy sector hit hard. The 10-year Treasury yield rallied to end the reporting period at 1.99%, or 35 basis points below where it started. The Treasury curve continued to flatten as a strong bid pushed up prices on the 30-year bond as well as the 10-year note, although to a lesser degree. Structured sectors like MBS issued by U.S. agencies, commercial mortgage-backed securities (“CMBS”) and ABS all held in relatively well, modestly outperforming Treasuries. In contrast, investment grade corporate bonds experienced a more challenging period in late 2014 as the average corporate spread to Treasuries widened marginally. This was driven primarily by global growth concerns, geopolitical risk and uncertainty regarding central bank monetary policies. The Fund’s allocation to agency MBS contributed to
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performance during the reporting period due to strong technicals and the “flight to quality” trade as credit sold off. Our positions in CMBS and ABS also contributed to performance in part because their solid yield levels were able to offset some modest spread widening.
STRATEGY & OUTLOOK
The macro environment remains complex and we continue to see numerous cross currents. While equities look interesting versus bonds in the mid to longer term, we see a shorter-term disconnect between the strong performance in equities, softness in earnings growth and negative earnings revisions. Simply put, the U.S. equity market moved meaningfully ahead of earnings growth in 2012-2013, and valuations climbed to the point where U.S. equities are no longer inexpensive, which means security selection really matters and volatility is likely to increase. (We have already started to see this with the S&P 500 Index moving 1% or more on an intraday basis for 18 of the 20 trading days in January.) Extremely accommodative monetary policy around the world has impacted all asset classes, including equities, and has been an important driver of rising asset prices during the last several years. This exceptional accommodation has continued in 2015 with a host of central banks cutting rates so far this year (e.g., China, India, Russia, Australia, Canada, Indonesia, Switzerland, Sweden, Turkey, Denmark, Poland, Thailand, Romania, Hungary, Egypt and Peru).
In addition, numerous central banks have accelerated their existing QE efforts, including the BoJ, which did so on October 31 (the same day the Fed ended its purchases under QE3). The ECB has done so as well, and in the process has moved its balance sheet from contraction to expansion. More specifically, the size of the ECB’s balance sheet contracted in 2014 as numerous borrowers under the Long-Term Refinancing Operation program repaid their funds early. In March 2015, the ECB commenced its QE program, which entails expanding its balance sheet by €1.1 trillion through monthly purchases of sovereign and other debt. For purposes of comparison, the Fed expanded its balance sheet by $1.1 trillion in 2013 and by $463 billion in 2014. Although the Fed has stopped purchases under its most recent program, the combination of the ECB’s new QE program and the BoJ’s acceleration of its existing QE program will more than make up for the cessation of the Fed’s purchases, further adding to global liquidity.
Under these circumstances, we believe that any normalization of rates and/or the withdrawal of central bank stimulus could pressure risk asset prices significantly. We also believe that there is more risk lurking beneath the surface of the market than many investors recognize, but it has been masked by unusually accommodative monetary policy, unusually low interest rates, unusually low volatility and adequate market liquidity. More broadly, Treasury rates seem range bound in the near term absent some exogenous shock, with yields oscillating between 1.5% to 3%.
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9 OPPENHEIMER CAPITAL INCOME FUND |
In the longer run, however, we do not believe rates this low are sustainable. Although the U.S. economy expanded at just 2.4% in 2014, that growth rate was extremely attractive compared to other developed markets around the world. The yield on the 10-year Treasury at 1.99% (as of 2/27/15) is also an order of magnitude higher than those in other parts of the developed world, with yields on 10-year German bunds and 10-year Japanese Government Bonds both (coincidentally) at 0.33% on that date. Japan is becoming more desperate as consumption falls and evidence mounts that Abenomics is not working. That policy was designed to revive the Japanese economy with “three arrows.” The third arrow in the quiver—meaningful structural reform—is proving to be a significant challenge. The Japanese economy fell into its fourth recession in six years during the reporting period, despite the BoJ’s aggressive QE efforts. The economy did not bounce back as expected from an increase in the consumption tax. In our view, early evidence that the market is becoming disillusioned with Abenomics has centered around a weakening yen. Additional evidence will likely involve investors’ loss of faith in the supposed omnipotence of the BoJ and the efficacy of its continuing QE efforts. This could eventually lead investors to be less responsive to central bank talk and require more actions.
Against this backdrop, growth in Europe is stagnating with numerous countries facing an increasing risk of deflation. Precisely because growth is so slow in the Eurozone, the ECB
has now implemented its own form of QE six years after the U.S. first went down that path. Its recent Targeted Long Term Refinancing Operation program has not proved to be particularly effective thus far in restarting lending by banks. While we believe the ECB’s acceleration of QE and its balance sheet expansion could help inflate asset prices in the near term (precisely what has occurred so far in 2015), the real impediment to growth is the lack of meaningful structural reform over the past six years.
Thus far in 2015, central banks around the world have resorted to more aggressive policy, including a constant parade of surprise interest rate cuts. In this regard, the Swiss National Bank surprised the market in January by removing the franc’s cap against the euro after having recently reiterated its commitment to that cap. Partly as a result, 10-year Swiss bonds had a nominal yield of -0.12% as of 3/24/15. German bunds also have negative nominal yields several years out the interest rate curve. Increasingly across parts of Europe, zero interest rate policies are morphing into negative interest rate policies. In contrast, the Fed ended its latest QE program in October, which has helped to send the dollar steadily higher against many major currencies. Partly as a result of this, as well as issues specific to the various regions in question, we generally hold positions that are long the U.S. dollar and short other currencies. We believe this relative divergence in monetary policy could ultimately feed through to interest rates. Currently the moves that historically could
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have occurred in the rates markets are being pushed to the currency markets due to the central banks’ aggressive monetary policies holding rates low.
We are mindful that U.S. equity valuations are pushing up against the edge of bubble territory after several years when S&P 500 performance ran well ahead of earnings growth, leading to significant multiple expansion. In fact, the only time in the last four decades when the S&P 500 Index has traded at a higher P/E multiple on next 12 months’ consensus earnings was during the Tech Bubble in 1997-2000. Furthermore, volatility has been artificially restrained by highly accommodative monetary policy, and could pick up again on a more sustained basis now that the Fed has ended its purchases under QE3. In the past few years, whenever equities sold off, buyers typically stepped in quickly because valuations were still relatively attractive. Since valuations are
less attractive today, selloffs could be steeper and it could take longer for buyers to appear. Moreover, banking regulations are significantly stricter, the fixed income markets are a lot less liquid, and banks are taking on much less risk. Under these circumstances, we believe that any softness in the markets could lead to more volatility on the fixed income side than we have seen in recent years.
Accordingly, we continue to pick our spots, selecting securities that we believe offer attractive risk-adjusted returns. We remain focused, as always, on controlling volatility and mitigating downside risk. We expect to be in a low return world for a while. We believe that the ability to generate attractive returns efficiently and without taking on undue risk will be of greater value to investors in a low return world, and that is where our investment team’s efforts are focused.
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Michelle Borré, CFA Portfolio Manager |
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Krishna Memani Portfolio Manager |
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Portfolio Positioning*
PORTFOLIO POSITIONING
| | | | | | |
| | | Long | | Short | | Net |
| | | | | | | |
| High-Grade Fixed Income Strategy | | 45.0% | | -4.9% | | 40.1% |
| | | | | | | |
| Equity Strategy | | 32.5 | | -0.8 | | 31.7 |
| | | | | | | |
| Opportunistic Strategy | | 26.3 | | -9.0 | | 17.2 |
| | | | | | | |
HIGH GRADE FIXED INCOME STRATEGY
| | | | | | |
| | | Long | | Short | | Net |
| | | | | | | |
| U.S. Agency Mortgage-Backed Securities | | 15.3% | | –% | | 15.3% |
| | | | | | | |
| Corporate Bonds/Corporate Exposure | | 18.4 | | -4.9 | | 13.5 |
| | | | | | | |
| Asset-Backed Securities | | 5.9 | | – | | 5.9 |
| | | | | | | |
| Commercial Mortgage-Backed Securities | | 3.0 | | – | | 3.0 |
| | | | | | | |
| Non-Agency Mortgage-Backed Securities | | 2.2 | | – | | 2.2 |
| | | | | | | |
| U.S. Treasuries | | 0.2 | | – | | 0.2 |
| | | | | | | |
| U.S. Agencies | | 0.1 | | – | | 0.1 |
| | | | | | | |
TOP TEN EQUITY HOLDINGS
| | | | | | |
| | | Long | | Short | | Net |
| | | | | | | |
| Novartis AG, ADR | | 1.3% | | –% | | 1.3% |
| | | | | | | |
| Starwood Property Trust, Inc. | | 1.2 | | – | | 1.2 |
| | | | | | | |
| Honeywell International, Inc. | | 1.0 | | – | | 1.0 |
| | | | | | | |
| Brinker International, Inc. | | 1.0 | | – | | 1.0 |
| | | | | | | |
| PPL Corp. | | 1.0 | | – | | 1.0 |
| | | | | | | |
| Cinemark Holdings, Inc. | | 0.9 | | – | | 0.9 |
| | | | | | | |
| ACE Ltd. | | 0.9 | | – | | 0.9 |
| | | | | | | |
| BCE, Inc. | | 0.8 | | – | | 0.8 |
| | | | | | | |
| Northrop Grumman Corp. | | 0.8 | | – | | 0.8 |
| | | | | | | |
| UnitedHealth Group, Inc. | | 0.7 | | – | | 0.7 |
| | | | | | | |
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OPPORTUNISTIC STRATEGY
| | | | | | |
| | | Long | | Short | | Net |
| | | | | | | |
| Senior Loans | | 14.1% | | –% | | 14.1% |
| | | | | | | |
| Asset-Backed Securities | | 6.0 | | – | | 6.0 |
| | | | | | | |
| Corporate Bonds | | 3.3 | | – | | 3.3 |
| | | | | | | |
| Commodities | | 0.9 | | – | | 0.9 |
| | | | | | | |
| Low Delta Convertible Bonds | | 0.8 | | – | | 0.8 |
| | | | | | | |
| Low Delta Preferred Stock | | 0.3 | | – | | 0.3 |
| | | | | | | |
| Derivatives | | 1.0 | | -9.0 | | -8.1 |
| | | | | | | |
Portfolio holdings and allocations are dollar-weighted based on total net assets and are subject to change. Percentages are as of February 27, 2015. Holdings exclude cash and cash equivalents. As of February 27, 2015, the Fund’s high grade strategy held approximately 4.5% in cash and the opportunistic strategy held approximately 9.5% in cash. Negative weightings may result from the use of leverage. Leverage involves the use of various financial instruments or borrowed capital in an attempt to increase investment return. Leverage risks include potential for higher volatility, greater decline of the Fund’s net asset value and fluctuations of dividends and distributions paid by the Fund. Asset tables may not display cash weightings. Net total exposure may not equal the sum of long and short exposure due to rounding.
*February 27, 2015, was the last business day of the Fund’s semiannual period. See Note 2 of the accompanying Notes to Consolidated Financial Statements.
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Share Class Performance
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 2/27/15
| | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year |
| Class A (OPPEX) | | 12/1/70 | | 1.05% | | 4.72% | | 8.39% | | 2.58% |
| Class B (OPEBX) | | 8/17/93 | | 0.65% | | 3.91% | | 7.39% | | 2.05% |
| Class C (OPECX) | | 11/1/95 | | 0.63% | | 3.95% | | 7.51% | | 1.74% |
| Class I (OCIIX) | | 12/27/13 | | 1.28% | | 5.18% | | 6.27% * | | N/A |
| Class R (OCINX) | | 3/1/01 | | 0.94% | | 4.54% | | 8.07% | | 2.23% |
| Class Y (OCIYX) | | 1/28/11 | | 1.19% | | 5.00% | | 7.55% * | | N/A |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 2/27/15
| | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year |
| Class A (OPPEX) | | 12/1/70 | | -4.76% | | -1.30% | | 7.12% | | 1.98% |
| Class B (OPEBX) | | 8/17/93 | | -4.31% | | -1.09% | | 7.09% | | 2.05% |
| Class C (OPECX) | | 11/1/95 | | -0.36% | | 2.95% | | 7.51% | | 1.74% |
| Class I (OCIIX) | | 12/27/13 | | 1.28% | | 5.18% | | 6.27% * | | N/A |
| Class R (OCINX) | | 3/1/01 | | -0.05% | | 3.54% | | 8.07% | | 2.23% |
| Class Y (OCIYX) | | 1/28/11 | | 1.19% | | 5.00% | | 7.55% * | | N/A |
* Shows performance since inception.
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 5.75%; for Class B shares, the contingent deferred sales charge (“CDSC”) of 5% (1-year) and 2% (5-year); and for Class C shares, the 1% CDSC for the 1-year period. Prior to 7/1/14, Class R shares were named Class N shares. Beginning 7/1/14, new purchases of Class R shares will no longer be subject to a CDSC upon redemption (any CDSC will remain in effect for purchases prior to 7/1/14). There is no sales charge for Class I and Y shares. Because Class B shares convert to Class A shares 72 months after purchase, 10-year returns for Class B shares reflect Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized.
The Fund’s performance is compared to the performance of the Russell 3000 Index, the Barclays U.S. Aggregate Bond Index and the Fund’s Reference Index. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The Barclays U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. corporate government and mortgage-backed securities. The Fund’s Reference Index is a customized weighted index currently comprised of 65% of the Barclays U.S. Aggregate Bond Index and 35% of the
|
| 14 OPPENHEIMER CAPITAL INCOME FUND |
Russell 3000 Index. The Indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the Indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.
|
| 15 OPPENHEIMER CAPITAL INCOME FUND |
Fund Expenses
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended February 27, 2015.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended February 27, 2015” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
|
| 16 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| Actual | | Beginning Account Value September 1, 2014 | | Ending Account Value February 27, 2015 | | Expenses Paid During 6 Months Ended February 27, 2015 | | |
| Class A | | $ 1,000.00 | | $ 1,010.50 | | $ 4.92 | | |
| Class B | | 1,000.00 | | 1,006.50 | | 8.80 | | |
| Class C | | 1,000.00 | | 1,006.30 | | 8.74 | | |
| Class I | | 1,000.00 | | 1,012.80 | | 2.78 | | |
| Class R | | 1,000.00 | | 1,009.40 | | 6.16 | | |
| Class Y | | 1,000.00 | | 1,011.90 | | 3.78 | | |
| | | |
Hypothetical (5% return before expenses) | | | | | | |
| Class A | | 1,000.00 | | 1,019.78 | | 4.94 | | |
| Class B | | 1,000.00 | | 1,015.93 | | 8.84 | | |
| Class C | | 1,000.00 | | 1,015.98 | | 8.79 | | |
| Class I | | 1,000.00 | | 1,021.90 | | 2.80 | | |
| Class R | | 1,000.00 | | 1,018.54 | | 6.19 | | |
| Class Y | | 1,000.00 | | 1,020.91 | | 3.79 | | |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 180/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended February 27, 2015 are as follows:
| | | | |
| Class | | Expense Ratios | |
| Class A | | | 0.99 | % |
| Class B | | | 1.77 | |
| Class C | | | 1.76 | |
| Class I | | | 0.56 | |
| Class R | | | 1.24 | |
| Class Y | | | 0.76 | |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
|
| 17 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS February 27, 2015* Unaudited
| | | | | | | | |
| | | Shares | | | Value | |
| Common Stocks—30.6% | | | | | | | | |
| Consumer Discretionary—3.4% | |
| Hotels, Restaurants & Leisure—1.0% | |
| Brinker International, Inc. | | | 438,801 | | | $ | 26,091,108 | |
| | | | | | | | | |
| Media—1.0% | |
| Cinemark Holdings, Inc. | | | 591,430 | | | | 24,083,029 | |
| DISH Network Corp., Cl. A1 | | | 49,915 | | | | 3,745,622 | |
| | | | | | | 27,828,651 | |
| | | | | | | | | |
| Multiline Retail—1.4% | |
| Macy’s, Inc. | | | 308,237 | | | | 19,640,861 | |
| Target Corp. | | | 229,531 | | | | 17,634,867 | |
| | | | | | | 37,275,728 | |
| | | | | | | | | |
| Consumer Staples—1.5% | |
| Beverages—0.4% | |
| Coca-Cola Co. (The) | | | 273,000 | | | | 11,820,900 | |
| | | | | | | | | |
| Tobacco—1.1% | |
| Altria Group, Inc. | | | 278,335 | | | | 15,667,477 | |
| Philip Morris International, Inc. | | | 159,000 | | | | 13,190,640 | |
| | | | | | | 28,858,117 | |
| | | | | | | | | |
| Energy—2.2% | |
| Energy Equipment & Services—0.3% | |
| Schlumberger Ltd. | | | 77,600 | | | | 6,530,816 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels—1.9% | |
| Canadian Natural Resources Ltd. | | | 121,200 | | | | 3,525,184 | |
| Chevron Corp. | | | 66,830 | | | | 7,129,425 | |
| ConocoPhillips | | | 132,160 | | | | 8,616,832 | |
| EOG Resources, Inc. | | | 123,000 | | | | 11,035,560 | |
| Exxon Mobil Corp. | | | 38,420 | | | | 3,401,707 | |
| Noble Energy, Inc. | | | 107,280 | | | | 5,066,834 | |
| Royal Dutch Shell plc, Cl. B | | | 113,953 | | | | 3,877,463 | |
| Valero Energy Corp. | | | 135,280 | | | | 8,345,423 | |
| | | | | | | 50,998,428 | |
| | | | | | | | | |
| Financials—5.2% | |
| Capital Markets—0.3% | |
| Goldman Sachs Group, Inc. (The) | | | 37,810 | | | | 7,175,960 | |
| | | | | | | | | |
| Commercial Banks—1.4% | |
| Citigroup, Inc. | | | 126,500 | | | | 6,631,130 | |
| JPMorgan Chase & Co. | | | 91,000 | | | | 5,576,480 | |
| M&T Bank Corp. | | | 99,000 | | | | 11,979,000 | |
| Wells Fargo & Co. | | | 201,340 | | | | 11,031,418 | |
| | | | | | | 35,218,028 | |
| | | | | | | | | |
| Insurance—1.4% | |
| ACE Ltd. | | | 202,470 | | | | 23,083,605 | |
|
| 18 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Shares | | | Value | |
| Insurance (Continued) | |
| Allstate Corp. (The) | | | 209,140 | | | $ | 14,765,284 | |
| | | | | | | 37,848,889 | |
| | | | | | | | | |
| Real Estate Investment Trusts (REITs)—2.1% | |
| American Assets Trust, Inc. | | | 205,000 | | | | 8,409,100 | |
| Blackstone Mortgage Trust, Inc., Cl. A | | | 301,450 | | | | 8,714,919 | |
| Macerich Co. (The) | | | 100,000 | | | | 8,365,000 | |
| Outfront Media, Inc. | | | 5,769 | | | | 172,782 | |
| Starwood Property Trust, Inc. | | | 1,263,430 | | | | 30,827,692 | |
| | | | | | | 56,489,493 | |
| | | | | | | | | |
| Health Care—5.2% | |
| Health Care Equipment & Supplies—0.6% | |
| Baxter International, Inc. | | | 182,000 | | | | 12,585,300 | |
| Medtronic plc | | | 43,020 | | | | 3,337,922 | |
| | | | | | | 15,923,222 | |
| | | | | | | | | |
| Health Care Providers & Services—1.2% | |
| HCA Holdings, Inc.1 | | | 37,829 | | | | 2,706,287 | |
| UnitedHealth Group, Inc. | | | 173,000 | | | | 19,657,990 | |
| Universal Health Services, Inc., Cl. B | | | 72,270 | | | | 8,191,804 | |
| | | | | | | 30,556,081 | |
| | | | | | | | | |
| Pharmaceuticals—3.4% | |
| Actavis plc1 | | | 61,680 | | | | 17,971,085 | |
| Merck & Co., Inc. | | | 329,110 | | | | 19,266,099 | |
| Novartis AG, ADR1 | | | 339,050 | | | | 34,718,720 | |
| Roche Holding AG | | | 67,738 | | | | 18,370,835 | |
| | | | | | | 90,326,739 | |
| | | | | | | | | |
| Industrials—4.5% | |
| Aerospace & Defense—2.1% | |
| Honeywell International, Inc. | | | 259,700 | | | | 26,674,133 | |
| Lockheed Martin Corp. | | | 38,500 | | | | 7,701,925 | |
| Northrop Grumman Corp. | | | 127,300 | | | | 21,094,883 | |
| | | | | | | 55,470,941 | |
| | | | | | | | | |
| Airlines—0.1% | |
| United Continental Holdings, Inc.1 | | | 57,415 | | | | 3,742,309 | |
| | | | | | | | | |
| Commercial Services & Supplies—0.7% | |
| Republic Services, Inc., Cl. A | | | 284,340 | | | | 11,635,193 | |
| Tyco International plc | | | 170,850 | | | | 7,213,287 | |
| | | | | | | 18,848,480 | |
| | | | | | | | | |
| Construction & Engineering—0.7% | |
| Quanta Services, Inc.1 | | | 605,000 | | | | 17,411,900 | |
| | | | | | | | | |
| Machinery—0.4% | |
| Flowserve Corp. | | | 173,840 | | | | 10,800,679 | |
|
| 19 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Shares | | | Value | |
| Trading Companies & Distributors—0.5% | |
| AerCap Holdings NV1 | | | 291,216 | | | $ | 12,959,112 | |
| | | | | | | | | |
| Information Technology—3.4% | |
| Communications Equipment—1.6% | |
| Cisco Systems, Inc. | | | 165,222 | | | | 4,875,701 | |
| Juniper Networks, Inc. | | | 508,561 | | | | 12,159,694 | |
| QUALCOMM, Inc. | | | 237,780 | | | | 17,241,428 | |
| Telefonaktiebolaget LM Ericsson, Cl. B | | | 640,000 | | | | 8,282,031 | |
| | | | | | | 42,558,854 | |
| | | | | | | | | |
| Internet Software & Services—0.5% | |
| Google, Inc., Cl. A1 | | | 18,910 | | | | 10,639,333 | |
| Google, Inc., Cl. C1 | | | 4,730 | | | | 2,641,232 | |
| | | | | | | 13,280,565 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment—0.6% | |
| Xilinx, Inc. | | | 414,400 | | | | 17,558,128 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals—0.7% | |
| Apple, Inc. | | | 137,655 | | | | 17,683,161 | |
| | | | | | | | | |
| Materials—1.2% | |
| Chemicals—1.2% | |
| Celanese Corp., Series A, Cl. A | | | 156,250 | | | | 8,923,438 | |
| LyondellBasell Industries NV, Cl. A | | | 167,286 | | | | 14,371,540 | |
| Methanex Corp. | | | 168,000 | | | | 9,122,400 | |
| | | | | | | 32,417,378 | |
| | | | | | | | | |
| Telecommunication Services—1.6% | |
| Diversified Telecommunication Services—1.6% | |
| AT&T, Inc. | | | 167,750 | | | | 5,797,440 | |
| BCE, Inc. | | | 503,650 | | | | 22,064,906 | |
| Verizon Communications, Inc. | | | 291,450 | | | | 14,412,203 | |
| | | | | | | 42,274,549 | |
| | | | | | | | | |
| Utilities—2.4% | |
| Electric Utilities—2.0% | |
| Edison International | | | 257,230 | | | | 16,527,027 | |
| NextEra Energy, Inc. | | | 96,395 | | | | 9,973,027 | |
| PPL Corp. | | | 764,121 | | | | 26,056,526 | |
| | | | | | | 52,556,580 | |
| | | | | | | | | |
| Multi-Utilities—0.4% | |
| CMS Energy Corp. | | | 343,350 | | | | 12,061,886 | |
| Total Common Stocks (Cost $703,607,940) | | | | | | | 812,566,682 | |
| | | | | | | | | |
| Preferred Stocks—0.3% | |
| M&T Bank Corp., 6.375% Cum., Series A, Non-Vtg., 6.375%2 | | | 1,833 | | | | 2,034,630 | |
| M&T Bank Corp., 6.375% Cum., Series C, Non-Vtg., 6.375%2 | | | 4,500 | | | | 4,657,500 | |
| Total Preferred Stocks (Cost $6,345,341) | | | | | | | 6,692,130 | |
|
| 20 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Asset-Backed Securities—11.2% | | | | | | | | |
| Auto Loan—5.2% | |
| American Credit Acceptance Receivables Trust: | | | | | | | | |
| Series 2012-2,Cl. D, 5.91%, 7/15/193 | | $ | 1,435,000 | | | $ | 1,439,273 | |
| Series 2012-3,Cl. C, 2.78%, 9/17/183 | | | 325,000 | | | | 325,621 | |
| Series 2013-2,Cl. B, 2.84%, 5/15/193 | | | 1,663,000 | | | | 1,676,650 | |
| Series 2014-1,Cl. B, 2.39%, 11/12/193 | | | 2,585,000 | | | | 2,595,480 | |
| Series 2014-2,Cl. A, 0.99%, 10/10/173 | | | 1,041,829 | | | | 1,040,924 | |
| Series 2014-2,Cl. B, 2.26%, 3/10/203 | | | 725,000 | | | | 725,871 | |
| Series 2014-3,Cl. B, 2.43%, 6/10/203 | | | 1,615,000 | | | | 1,628,050 | |
| Series 2014-4,Cl. B, 2.60%, 10/12/203 | | | 875,000 | | | | 871,395 | |
| AmeriCredit Automobile Receivables Trust: | | | | | | | | |
| Series 2012-2,Cl. D, 3.38%, 4/9/18 | | | 1,470,000 | | | | 1,506,318 | |
| Series 2012-2,Cl. E, 4.85%, 8/8/193 | | | 1,130,000 | | | | 1,168,557 | |
| Series 2012-4,Cl. D, 2.68%, 10/9/18 | | | 2,345,000 | | | | 2,366,531 | |
| Series 2012-5,Cl. D, 2.35%, 12/10/18 | | | 1,280,000 | | | | 1,291,591 | |
| Series 2013-1,Cl. C, 1.57%, 1/8/19 | | | 2,890,000 | | | | 2,886,114 | |
| Series 2013-2,Cl. E, 3.41%, 10/8/203 | | | 1,735,000 | | | | 1,758,335 | |
| Series 2013-4,Cl. D, 3.31%, 10/8/19 | | | 415,000 | | | | 425,586 | |
| Series 2013-5,Cl. D, 2.86%, 12/9/19 | | | 3,125,000 | | | | 3,140,750 | |
| Series 2014-2,Cl. D, 2.57%, 7/8/20 | | | 1,210,000 | | | | 1,196,827 | |
| Series 2014-2,Cl. E, 3.37%, 11/8/21 | | | 1,735,000 | | | | 1,723,518 | |
| Series 2014-3,Cl. D, 3.13%, 10/8/20 | | | 1,705,000 | | | | 1,715,003 | |
| Series 2014-4,Cl. D, 3.07%, 11/9/20 | | | 1,370,000 | | | | 1,373,610 | |
| California Republic Auto Receivables Trust: | | | | | | | | |
| Series 2013-2,Cl. C, 3.32%, 8/17/20 | | | 1,105,000 | | | | 1,113,978 | |
| Series 2014-2,Cl. C, 3.29%, 3/15/21 | | | 415,000 | | | | 415,348 | |
| Series 2014-4,Cl. C, 3.56%, 9/15/21 | | | 625,000 | | | | 628,141 | |
| Capital Auto Receivables Asset Trust: | | | | | | | | |
| Series 2013-1,Cl. D, 2.19%, 9/20/21 | | | 725,000 | | | | 726,359 | |
| Series 2013-4,Cl. D, 3.22%, 5/20/19 | | | 505,000 | | | | 511,243 | |
| Series 2014-1,Cl. D, 3.39%, 7/22/19 | | | 580,000 | | | | 588,552 | |
| Series 2014-3,Cl. D, 3.14%, 2/20/20 | | | 900,000 | | | | 903,198 | |
| Series 2015-1,Cl. D, 3.16%, 8/20/20 | | | 1,020,000 | | | | 1,017,763 | |
| CarFinance Capital Auto Trust: | | | | | | | | |
| Series 2013-1A,Cl. A, 1.65%, 7/17/173 | | | 85,794 | | | | 85,869 | |
| Series 2013-2A,Cl. B, 3.15%, 8/15/193 | | | 2,460,000 | | | | 2,500,185 | |
| Series 2014-1A,Cl. A, 1.46%, 12/17/183 | | | 471,278 | | | | 470,556 | |
| Series 2015-1A,Cl. A, 1.75%, 6/15/213 | | | 1,480,000 | | | | 1,474,537 | |
| Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/163 | | | 113,989 | | | | 114,835 | |
| CPS Auto Receivables Trust: | | | | | | | | |
| Series 2012-B,Cl. A, 2.52%, 9/16/193 | | | 607,667 | | | | 611,235 | |
| Series 2014-A,Cl. A, 1.21%, 8/15/183 | | | 1,723,638 | | | | 1,720,177 | |
| Series 2014-B,Cl. A, 1.11%, 11/15/183 | | | 1,287,433 | | | | 1,282,337 | |
| Series 2014-C,Cl. A, 1.31%, 2/15/193 | | | 1,482,728 | | | | 1,480,960 | |
| CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/193 | | | 222,022 | | | | 223,179 | |
| Credit Acceptance Auto Loan Trust: | | | | | | | | |
| Series 2013-1A,Cl. B, 1.83%, 4/15/213 | | | 980,000 | | | | 976,964 | |
| Series 2013-2A,Cl. B, 2.26%, 10/15/213 | | | 2,360,000 | | | | 2,368,404 | |
| Series 2014-1A,Cl. B, 2.29%, 4/15/223 | | | 1,065,000 | | | | 1,063,359 | |
| Series 2014-2A,Cl. B, 2.67%, 9/15/223 | | | 910,000 | | | | 905,746 | |
| Series 2015-1A,Cl. C, 3.30%, 7/17/233 | | | 1,405,000 | | | | 1,402,956 | |
|
| 21 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Auto Loan (Continued) | |
| DT Auto Owner Trust: | | | | | | | | |
| Series 2012-1A,Cl. D, 4.94%, 7/16/183 | | $ | 706,028 | | | $ | 714,962 | |
| Series 2013-1A,Cl. D, 3.74%, 5/15/203 | | | 750,000 | | | | 756,839 | |
| Series 2013-2A,Cl. D, 4.18%, 6/15/203 | | | 2,390,000 | | | | 2,424,355 | |
| Series 2014-1A,Cl. D, 3.98%, 1/15/213 | | | 1,785,000 | | | | 1,799,219 | |
| Series 2014-2A,Cl. D, 3.68%, 4/15/213 | | | 2,745,000 | | | | 2,751,961 | |
| Series 2014-3A,Cl. D, 4.47%, 11/15/213 | | | 1,240,000 | | | | 1,247,354 | |
| Series 2015-1A,Cl. C, 2.87%, 11/16/203 | | | 1,100,000 | | | | 1,099,890 | |
| Exeter Automobile Receivables Trust: | | | | | | | | |
| Series 2012-2A,Cl. B, 2.22%, 12/15/173 | | | 750,000 | | | | 753,098 | |
| Series 2012-2A,Cl. C, 3.06%, 7/16/183 | | | 185,000 | | | | 186,395 | |
| Series 2013-2A,Cl. B, 3.09%, 7/16/183 | | | 3,860,000 | | | | 3,894,030 | |
| Series 2013-2A,Cl. C, 4.35%, 1/15/193 | | | 1,450,000 | | | | 1,473,060 | |
| Series 2014-1A,Cl. B, 2.42%, 1/15/193 | | | 1,160,000 | | | | 1,155,995 | |
| Series 2014-1A,Cl. C, 3.57%, 7/15/193 | | | 1,160,000 | | | | 1,163,348 | |
| Series 2014-2A,Cl. A, 1.06%, 8/15/183 | | | 352,834 | | | | 351,574 | |
| Series 2014-2A,Cl. B, 2.17%, 5/15/193 | | | 2,000,000 | | | | 1,973,206 | |
| Series 2014-2A,Cl. C, 3.26%, 12/16/193 | | | 565,000 | | | | 555,704 | |
| First Investors Auto Owner Trust: | | | | | | | | |
| Series 2012-1A,Cl. C, 3.54%, 11/15/173 | | | 425,000 | | | | 430,636 | |
| Series 2012-1A,Cl. D, 5.65%, 4/15/183 | | | 770,000 | | | | 791,836 | |
| Series 2013-3A,Cl. B, 2.32%, 10/15/193 | | | 1,840,000 | | | | 1,856,701 | |
| Series 2013-3A,Cl. C, 2.91%, 1/15/203 | | | 785,000 | | | | 792,349 | |
| Series 2013-3A,Cl. D, 3.67%, 5/15/203 | | | 580,000 | | | | 584,165 | |
| Series 2014-1A,Cl. D, 3.28%, 4/15/213 | | | 1,705,000 | | | | 1,691,323 | |
| Series 2014-3A,Cl. D, 3.85%, 2/15/223 | | | 860,000 | | | | 863,323 | |
| Flagship Credit Auto Trust: | | | | | | | | |
| Series 2014-1,Cl. A, 1.21%, 4/15/193 | | | 805,668 | | | | 804,083 | |
| Series 2014-2,Cl. A, 1.43%, 12/16/193 | | | 1,590,701 | | | | 1,589,237 | |
| GM Financial Automobile Leasing Trust, Series 2014-1A, Cl. D, 2.51%, 3/20/193 | | | 3,835,000 | | | | 3,855,839 | |
| Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1, Cl. D, 2.471%, 10/25/192,3 | | | 705,000 | | | | 705,344 | |
| Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.421%, 9/25/182,3 | | | 1,790,000 | | | | 1,791,566 | |
| Santander Drive Auto Receivables Trust: | | | | | | | | |
| Series 2012-4,Cl. D, 3.50%, 6/15/18 | | | 2,785,000 | | | | 2,849,418 | |
| Series 2012-6,Cl. D, 2.52%, 9/17/18 | | | 3,340,000 | | | | 3,361,461 | |
| Series 2012-AA,Cl. D, 2.46%, 12/17/183 | | | 3,565,000 | | | | 3,576,494 | |
| Series 2013-1,Cl. C, 1.76%, 1/15/19 | | | 2,070,000 | | | | 2,076,143 | |
| Series 2013-1,Cl. D, 2.27%, 1/15/19 | | | 895,000 | | | | 892,016 | |
| Series 2013-2,Cl. C, 1.95%, 3/15/19 | | | 2,310,000 | | | | 2,322,365 | |
| Series 2013-2,Cl. D, 2.57%, 3/15/19 | | | 1,260,000 | | | | 1,278,360 | |
| Series 2013-3,Cl. C, 1.81%, 4/15/19 | | | 3,650,000 | | | | 3,651,666 | |
| Series 2013-4,Cl. D, 3.92%, 1/15/20 | | | 495,000 | | | | 515,235 | |
| Series 2013-4,Cl. E, 4.67%, 1/15/203 | | | 2,055,000 | | | | 2,146,829 | |
| Series 2013-5,Cl. C, 2.25%, 6/17/19 | | | 4,160,000 | | | | 4,199,535 | |
| Series 2013-5,Cl. D, 2.73%, 10/15/19 | | | 1,560,000 | | | | 1,569,685 | |
| Series 2013-A,Cl. C, 3.12%, 10/15/193 | | | 3,335,000 | | | | 3,418,992 | |
| Series 2013-A,Cl. E, 4.71%, 1/15/213 | | | 1,530,000 | | | | 1,600,177 | |
| Series 2014-1,Cl. C, 2.36%, 4/15/20 | | | 3,985,000 | | | | 4,010,875 | |
| Series 2014-1,Cl. D, 2.91%, 4/15/20 | | | 1,025,000 | | | | 1,030,430 | |
|
| 22 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Auto Loan (Continued) | |
| Santander Drive Auto Receivables Trust: (Continued) | | | | | | | | |
| Series 2014-4,Cl. D, 3.10%, 11/16/20 | | $ | 1,055,000 | | | $ | 1,058,437 | |
| Series 2015-1,Cl. D, 3.24%, 4/15/21 | | | 1,600,000 | | | | 1,603,653 | |
| SNAAC Auto Receivables Trust: | | | | | | | | |
| Series 2012-1A,Cl. C, 4.38%, 6/15/173 | | | 841,729 | | | | 843,232 | |
| Series 2013-1A,Cl. C, 3.07%, 8/15/183 | | | 600,000 | | | | 608,889 | |
| Series 2014-1A,Cl. A, 1.03%, 9/17/183 | | | 531,177 | | | | 531,010 | |
| Series 2014-1A,Cl. D, 2.88%, 1/15/203 | | | 730,000 | | | | 737,127 | |
| TCF Auto Receivables Owner Trust, Series 2014-1A, Cl. C, 3.12%, 4/15/213 | | | 525,000 | | | | 522,241 | |
| United Auto Credit Securitization Trust: | | | | | | | | |
| Series 2013-1,Cl. C, 2.22%, 12/15/173 | | | 620,000 | | | | 621,373 | |
| Series 2014-1,Cl. D, 2.38%, 10/15/183 | | | 870,000 | | | | 859,901 | |
| Westlake Automobile Receivables Trust: | | | | | | | | |
| Series 2014-1A,Cl. D, 2.20%, 2/15/213 | | | 775,000 | | | | 769,519 | |
| Series 2014-2A,Cl. D, 2.86%, 7/15/213 | | | 940,000 | | | | 941,638 | |
| | | | | | | 139,095,978 | |
| | | | | | | | | |
| Credit Card—0.1% | |
| Citibank Credit Card Issuance Trust, Series 2013-A6, Cl. A6, 1.32%, 9/7/18 | | | 2,300,000 | | | | 2,314,695 | |
| | | | | | | | | |
| Equipment—0.4% | |
| CLI Funding V LLC: | | | | | | | | |
| Series 2014-1A,Cl. A, 3.29%, 6/18/293 | | | 3,636,850 | | | | 3,659,804 | |
| Series 2014-2A,Cl. A, 3.38%, 10/18/293 | | | 2,682,500 | | | | 2,695,675 | |
| Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/293 | | | 2,576,389 | | | | 2,589,503 | |
| FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/433 | | | 328,690 | | | | 325,602 | |
| Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/443 | | | 875,418 | | | | 875,476 | |
| | | | | | | 10,146,060 | |
| | | | | | | | | |
| Home Equity Loan—2.8% | |
| Bear Stearns Structured Products Trust: | | | | | | | | |
| Series 2007-EMX1,Cl. A2, 1.471%, 3/25/372,3 | | | 5,900,000 | | | | 5,445,960 | |
| Series 2007-EMX1,Cl. M1, 2.171%, 3/25/372,3 | | | 8,000,000 | | | | 6,877,216 | |
| Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/443 | | | 1,693,154 | | | | 1,683,649 | |
| JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Cl. M2, 0.621%, 12/25/352 | | | 5,480,000 | | | | 4,560,681 | |
| Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-NC1, Cl. M1, 0.551%, 12/25/352 | | | 12,287,000 | | | | 10,440,411 | |
| New Century Home Equity Loan Trust: | | | | | | | | |
| Series 2005-1,Cl. M2, 0.891%, 3/25/352 | | | 16,966,576 | | | | 14,917,217 | |
| Series 2005-2,Cl. M3, 0.661%, 6/25/352 | | | 5,500,000 | | | | 4,505,914 | |
| RAMP Trust, Series 2006-EFC1, Cl. M2, 0.571%, 2/25/362 | | | 5,490,000 | | | | 4,507,844 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Cl. A2, 0.491%, 5/25/372,3 | | | 22,036,189 | | | | 20,106,105 | |
| TAL Advantage V LLC: | | | | | | | | |
| Series 2014-1A,Cl. A, 3.51%, 2/22/393 | | | 1,737,000 | | | | 1,747,389 | |
| Series 2014-2A,Cl. A1, 1.70%, 5/20/393 | | | 533,655 | | | | 528,499 | |
| | | | | | | 75,320,885 | |
|
| 23 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Loans: Other—2.7% | |
| Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.434%, 5/10/322,4 | | $ | 17,254,426 | | | $ | 17,104,313 | |
| Airspeed Ltd.: | | | | | | | | |
| Series 2007-1A,Cl. G1, 0.442%, 6/15/322,4 | | | 27,980,918 | | | | 23,501,596 | |
| Series 2007-1A,Cl. G2, 0.452%, 6/15/322,4 | | | 9,486,822 | | | | 8,178,065 | |
| Blade Engine Securitization Ltd.: | | | | | | | | |
| Series 2006-1A,Cl. A1, 1.173%, 9/15/412 | | | 1,613,937 | | | | 1,211,854 | |
| Series 2006-1A,Cl. B, 3.173%, 9/15/412,4 | | | 6,881,747 | | | | 2,826,143 | |
| Series 2006-1AW,Cl. A1, 0.473%, 9/15/412,4 | | | 22,214,158 | | | | 17,017,239 | |
| Raspro Trust, Series 2005-1A, Cl. G, 0.647%, 3/23/242,4 | | | 499,908 | | | | 486,810 | |
| | | | | | | 70,326,020 | |
| Total Asset-Backed Securities (Cost $296,544,837) | | | | | | | 297,203,638 | |
| | | | | | | | | |
| Mortgage-Backed Obligations—21.1% | | | | | | | | |
| Government Agency—15.3% | |
| FHLMC/FNMA/FHLB/Sponsored—15.3% | |
| Federal Home Loan Mortgage Corp. Gold Pool: | | | | | | | | |
| 4.50%, 5/1/19 | | | 734,622 | | | | 772,656 | |
| 5.00%, 12/1/34 | | | 75,181 | | | | 83,447 | |
| 6.00%, 5/1/18 | | | 181,298 | | | | 188,947 | |
| 6.50%, 7/1/28-4/1/34 | | | 188,990 | | | | 219,168 | |
| 7.00%, 10/1/31 | | | 254,522 | | | | 293,462 | |
| 8.00%, 4/1/16 | | | 8,267 | | | | 8,373 | |
| 9.00%, 8/1/22-5/1/25 | | | 15,593 | | | | 17,262 | |
| Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
| Series 183,Cl. IO, 11.336%, 4/1/275 | | | 152,075 | | | | 28,850 | |
| Series 192,Cl. IO, 4.768%, 2/1/285 | | | 46,837 | | | | 8,041 | |
| Series 243,Cl. 6, 0.00%, 12/15/325,6 | | | 162,282 | | | | 28,416 | |
| Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22 | | | 4,716,103 | | | | 4,800,486 | |
| Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.107%, 6/1/267 | | | 51,094 | | | | 48,055 | |
| Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | | | | | | | | |
| Series 2034,Cl. Z, 6.50%, 2/15/28 | | | 108,675 | | | | 123,955 | |
| Series 2043,Cl. ZP, 6.50%, 4/15/28 | | | 496,163 | | | | 555,056 | |
| Series 2053,Cl. Z, 6.50%, 4/15/28 | | | 97,254 | | | | 110,951 | |
| Series 2279,Cl. PK, 6.50%, 1/15/31 | | | 202,992 | | | | 233,821 | |
| Series 2326,Cl. ZP, 6.50%, 6/15/31 | | | 87,217 | | | | 97,702 | |
| Series 2426,Cl. BG, 6.00%, 3/15/17 | | | 253,880 | | | | 262,457 | |
| Series 2427,Cl. ZM, 6.50%, 3/15/32 | | | 351,506 | | | | 408,111 | |
| Series 2461,Cl. PZ, 6.50%, 6/15/32 | | | 475,537 | | | | 558,104 | |
| Series 2564,Cl. MP, 5.00%, 2/15/18 | | | 1,425,064 | | | | 1,493,909 | |
| Series 2585,Cl. HJ, 4.50%, 3/15/18 | | | 806,993 | | | | 845,715 | |
| Series 2626,Cl. TB, 5.00%, 6/15/33 | | | 575,292 | | | | 622,318 | |
| Series 2635,Cl. AG, 3.50%, 5/15/32 | | | 121,206 | | | | 126,849 | |
| Series 2707,Cl. QE, 4.50%, 11/15/18 | | | 703,666 | | | | 739,686 | |
| Series 2770,Cl. TW, 4.50%, 3/15/19 | | | 94,631 | | | | 99,677 | |
| Series 3010,Cl. WB, 4.50%, 7/15/20 | | | 424,055 | | | | 447,580 | |
| Series 3025,Cl. SJ, 24.119%, 8/15/352 | | | 61,544 | | | | 90,629 | |
|
| 24 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| FHLMC/FNMA/FHLB/Sponsored (Continued) | |
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit
Multiclass Pass-Through Certificates: (Continued) | | | | | | | | |
| Series 3030,Cl. FL, 0.572%, 9/15/352 | | $ | 811,188 | | | $ | 816,442 | |
| Series 3645,Cl. EH, 3.00%, 12/15/20 | | | 47,479 | | | | 48,922 | |
| Series 3741,Cl. PA, 2.15%, 2/15/35 | | | 2,730,351 | | | | 2,782,015 | |
| Series 3815,Cl. BD, 3.00%, 10/15/20 | | | 84,859 | | | | 87,154 | |
| Series 3822,Cl. JA, 5.00%, 6/15/40 | | | 366,151 | | | | 388,270 | |
| Series 3840,Cl. CA, 2.00%, 9/15/18 | | | 64,740 | | | | 65,612 | |
| Series 3848,Cl. WL, 4.00%, 4/15/40 | | | 1,102,303 | | | | 1,129,225 | |
| Series 3857,Cl. GL, 3.00%, 5/15/40 | | | 87,959 | | | | 90,124 | |
| Series 4221,Cl. HJ, 1.50%, 7/15/23 | | | 1,751,924 | | | | 1,766,288 | |
| Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
| Series 2130,Cl. SC, 49.30%, 3/15/295 | | | 141,741 | | | | 34,393 | |
| Series 2796,Cl. SD, 48.904%, 7/15/265 | | | 190,662 | | | | 41,080 | |
| Series 2815,Cl. PT, 0.00%, 11/15/325,6 | | | 2,173,173 | | | | 158,827 | |
| Series 2920,Cl. S, 47.21%, 1/15/355 | | | 1,095,052 | | | | 224,920 | |
| Series 2922,Cl. SE, 4.862%, 2/15/355 | | | 268,213 | | | | 55,241 | |
| Series 2937,Cl. SY, 14.03%, 2/15/355 | | | 3,503,093 | | | | 685,833 | |
| Series 3201,Cl. SG, 2.074%, 8/15/365 | | | 973,765 | | | | 163,319 | |
| Series 3397,Cl. GS, 12.43%, 12/15/375 | | | 583,770 | | | | 102,856 | |
| Series 3424,Cl. EI, 2.114%, 4/15/385 | | | 269,105 | | | | 36,644 | |
| Series 3450,Cl. BI, 6.332%, 5/15/385 | | | 1,344,346 | | | | 266,020 | |
| Series 3606,Cl. SN, 0.00%, 12/15/395,6 | | | 575,331 | | | | 93,380 | |
| Federal National Mortgage Assn.: | | | | | | | | |
| 3.00%, 3/1/308 | | | 35,635,000 | | | | 37,309,568 | |
| 3.50%, 3/1/458 | | | 82,755,000 | | | | 86,731,123 | |
| 4.00%, 3/1/458 | | | 175,745,000 | | | | 187,923,587 | |
| 4.50%, 3/1/308 | | | 1,390,000 | | | | 1,455,591 | |
| 5.00%, 3/1/458 | | | 19,910,000 | | | | 22,087,657 | |
| 6.00%, 3/1/458 | | | 6,075,000 | | | | 6,909,719 | |
| Federal National Mortgage Assn. Pool: | | | | | | | | |
| 3.50%, 12/1/20-2/1/22 | | | 2,575,338 | | | | 2,733,644 | |
| 5.00%, 3/1/21 | | | 166,813 | | | | 175,840 | |
| 5.50%, 2/1/35-4/1/39 | | | 2,409,208 | | | | 2,713,619 | |
| 6.50%, 5/1/17-11/1/31 | | | 929,021 | | | | 1,040,240 | |
| 7.00%, 11/1/17-7/1/35 | | | 71,531 | | | | 78,861 | |
| 7.50%, 1/1/33-3/1/33 | | | 2,528,695 | | | | 3,061,453 | |
| 8.50%, 7/1/32 | | | 9,716 | | | | 11,232 | |
| Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
| Series 222,Cl. 2, 20.19%, 6/25/235 | | | 328,701 | | | | 59,463 | |
| Series 252,Cl. 2, 38.132%, 11/25/235 | | | 309,486 | | | | 47,771 | |
| Series 303,Cl. IO, 32.026%, 11/25/295 | | | 128,216 | | | | 32,148 | |
| Series 308,Cl. 2, 25.629%, 9/25/305 | | | 305,165 | | | | 51,656 | |
| Series 320,Cl. 2, 7.463%, 4/25/325 | | | 1,093,876 | | | | 225,264 | |
| Series 321,Cl. 2, 0.00%, 4/25/325,6 | | | 818,411 | | | | 190,795 | |
| Series 331,Cl. 9, 10.138%, 2/25/335 | | | 304,983 | | | | 65,989 | |
| Series 334,Cl. 17, 17.293%, 2/25/335 | | | 176,662 | | | | 38,825 | |
| Series 339,Cl. 12, 0.00%, 6/25/335,6 | | | 607,728 | | | | 157,867 | |
| Series 339,Cl. 7, 0.00%, 11/25/335,6 | | | 742,951 | | | | 147,451 | |
|
| 25 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| FHLMC/FNMA/FHLB/Sponsored (Continued) | |
| Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued) | | | | | | | | |
| Series 343,Cl. 13, 0.00%, 9/25/335,6 | | $ | 591,197 | | | $ | 117,781 | |
| Series 343,Cl. 18, 0.00%, 5/25/345,6 | | | 173,722 | | | | 34,498 | |
| Series 345,Cl. 9, 0.00%, 1/25/345,6 | | | 278,909 | | | | 55,120 | |
| Series 351,Cl. 10, 0.00%, 4/25/345,6 | | | 203,751 | | | | 40,626 | |
| Series 351,Cl. 8, 0.00%, 4/25/345,6 | | | 337,381 | | | | 67,247 | |
| Series 356,Cl. 10, 0.00%, 6/25/355,6 | | | 252,902 | | | | 50,605 | |
| Series 356,Cl. 12, 0.00%, 2/25/355,6 | | | 123,061 | | | | 25,700 | |
| Series 362,Cl. 13, 0.00%, 8/25/355,6 | | | 428,448 | | | | 90,573 | |
| Series 364,Cl. 16, 0.00%, 9/25/355,6 | | | 501,882 | | | | 106,492 | |
| Series 365,Cl. 16, 0.00%, 3/25/365,6 | | | 1,278,299 | | | | 251,040 | |
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | | | | | | | | |
| Series 1993-87,Cl. Z, 6.50%, 6/25/23 | | | 285,129 | | | | 317,475 | |
| Series 1998-61,Cl. PL, 6.00%, 11/25/28 | | | 144,356 | | | | 164,496 | |
| Series 1999-54,Cl. LH, 6.50%, 11/25/29 | | | 224,031 | | | | 256,285 | |
| Series 2001-51,Cl. OD, 6.50%, 10/25/31 | | | 400,757 | | | | 458,262 | |
| Series 2003-100,Cl. PA, 5.00%, 10/25/18 | | | 2,182,870 | | | | 2,302,496 | |
| Series 2003-130,Cl. CS, 13.758%, 12/25/332 | | | 244,428 | | | | 287,698 | |
| Series 2003-28,Cl. KG, 5.50%, 4/25/23 | | | 718,950 | | | | 806,933 | |
| Series 2003-84,Cl. GE, 4.50%, 9/25/18 | | | 141,480 | | | | 148,367 | |
| Series 2004-101,Cl. BG, 5.00%, 1/25/20 | | | 448,871 | | | | 462,864 | |
| Series 2004-25,Cl. PC, 5.50%, 1/25/34 | | | 370,968 | | | | 392,685 | |
| Series 2005-104,Cl. MC, 5.50%, 12/25/25 | | | 3,599,729 | | | | 4,040,233 | |
| Series 2005-31,Cl. PB, 5.50%, 4/25/35 | | | 1,430,000 | | | | 1,711,581 | |
| Series 2005-73,Cl. DF, 0.421%, 8/25/352 | | | 1,951,618 | | | | 1,959,942 | |
| Series 2006-11,Cl. PS, 23.94%, 3/25/362 | | | 192,475 | | | | 295,294 | |
| Series 2006-46,Cl. SW, 23.572%, 6/25/362 | | | 148,428 | | | | 214,071 | |
| Series 2006-50,Cl. KS, 23.573%, 6/25/362 | | | 307,872 | | | | 445,887 | |
| Series 2006-50,Cl. SK, 23.573%, 6/25/362 | | | 48,636 | | | | 68,473 | |
| Series 2008-75,Cl. DB, 4.50%, 9/25/23 | | | 581,566 | | | | 607,647 | |
| Series 2009-113,Cl. DB, 3.00%, 12/25/20 | | | 1,602,257 | | | | 1,646,010 | |
| Series 2009-36,Cl. FA, 1.111%, 6/25/372 | | | 464,274 | | | | 476,182 | |
| Series 2009-37,Cl. HA, 4.00%, 4/25/19 | | | 739,276 | | | | 765,105 | |
| Series 2009-70,Cl. TL, 4.00%, 8/25/19 | | | 2,428,869 | | | | 2,512,987 | |
| Series 2010-43,Cl. KG, 3.00%, 1/25/21 | | | 653,485 | | | | 672,405 | |
| Series 2011-15,Cl. DA, 4.00%, 3/25/41 | | | 285,993 | | | | 300,190 | |
| Series 2011-3,Cl. EL, 3.00%, 5/25/20 | | | 2,642,723 | | | | 2,716,341 | |
| Series 2011-3,Cl. KA, 5.00%, 4/25/40 | | | 1,162,641 | | | | 1,272,729 | |
| Series 2011-38,Cl. AH, 2.75%, 5/25/20 | | | 69,758 | | | | 71,434 | |
| Series 2011-82,Cl. AD, 4.00%, 8/25/26 | | | 1,366,173 | | | | 1,420,850 | |
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
| Series 2001-15,Cl. SA, 36.257%, 3/17/315 | | | 118,199 | | | | 17,498 | |
| Series 2001-65,Cl. S, 20.276%, 11/25/315 | | | 287,871 | | | | 56,986 | |
| Series 2001-81,Cl. S, 18.506%, 1/25/325 | | | 75,631 | | | | 20,401 | |
| Series 2002-47,Cl. NS, 25.95%, 4/25/325 | | | 178,010 | | | | 45,758 | |
| Series 2002-51,Cl. S, 26.133%, 8/25/325 | | | 163,438 | | | | 34,616 | |
| Series 2002-52,Cl. SD, 33.147%, 9/25/325 | | | 231,337 | | | | 56,169 | |
| Series 2002-60,Cl. SM, 22.541%, 8/25/325 | | | 243,142 | | | | 47,232 | |
|
| 26 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| FHLMC/FNMA/FHLB/Sponsored (Continued) | |
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) | | | | | | | | |
| Series 2002-7,Cl. SK, 19.313%, 1/25/325 | | $ | 76,723 | | | $ | 15,529 | |
| Series 2002-75,Cl. SA, 24.574%, 11/25/325 | | | 350,341 | | | | 85,237 | |
| Series 2002-77,Cl. BS, 19.469%, 12/18/325 | | | 151,715 | | | | 35,271 | |
| Series 2002-77,Cl. SH, 29.812%, 12/18/325 | | | 113,943 | | | | 23,019 | |
| Series 2002-89,Cl. S, 45.636%, 1/25/335 | | | 570,857 | | | | 162,348 | |
| Series 2002-9,Cl. MS, 20.86%, 3/25/325 | | | 101,133 | | | | 23,280 | |
| Series 2002-90,Cl. SN, 23.438%, 8/25/325 | | | 125,203 | | | | 24,322 | |
| Series 2002-90,Cl. SY, 29.489%, 9/25/325 | | | 60,541 | | | | 11,351 | |
| Series 2003-33,Cl. SP, 21.787%, 5/25/335 | | | 328,370 | | | | 68,182 | |
| Series 2003-46,Cl. IH, 0.00%, 6/25/235,6 | | | 638,444 | | | | 83,196 | |
| Series 2004-54,Cl. DS, 37.264%, 11/25/305 | | | 224,031 | | | | 43,940 | |
| Series 2004-56,Cl. SE, 7.966%, 10/25/335 | | | 456,585 | | | | 78,470 | |
| Series 2005-12,Cl. SC, 8.407%, 3/25/355 | | | 130,464 | | | | 28,196 | |
| Series 2005-19,Cl. SA, 45.52%, 3/25/355 | | | 2,603,664 | | | | 563,358 | |
| Series 2005-40,Cl. SA, 46.801%, 5/25/355 | | | 582,437 | | | | 100,703 | |
| Series 2005-52,Cl. JH, 2.707%, 5/25/355 | | | 1,344,982 | | | | 235,339 | |
| Series 2005-6,Cl. SE, 55.322%, 2/25/355 | | | 999,984 | | | | 163,049 | |
| Series 2005-93,Cl. SI, 13.145%, 10/25/355 | | | 717,686 | | | | 115,135 | |
| Series 2008-55,Cl. SA, 0.00%, 7/25/385,6 | | | 415,688 | | | | 58,481 | |
| Series 2009-8,Cl. BS, 0.00%, 2/25/245,6 | | | 503,407 | | | | 32,355 | |
| Series 2012-40,Cl. PI, 0.926%, 4/25/415 | | | 4,390,243 | | | | 828,310 | |
| Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.616%, 9/25/237 | | | 128,761 | | | | 123,266 | |
| | | | | | | 406,415,212 | |
| | | | | | | | | |
| GNMA/Guaranteed—0.0% | |
| Government National Mortgage Assn. I Pool: | | | | | | | | |
| 8.50%, 8/15/17-12/15/17 | | | 16,814 | | | | 17,743 | |
| Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | | | | | | | | |
| Series 2002-15,Cl. SM, 58.203%, 2/16/325 | | | 304,189 | | | | 61,072 | |
| Series 2002-41,Cl. GS, 19.564%, 6/16/325 | | | 134,947 | | | | 22,626 | |
| Series 2002-76,Cl. SY, 53.081%, 12/16/265 | | | 748,860 | | | | 154,302 | |
| Series 2007-17,Cl. AI, 18.658%, 4/16/375 | | | 2,253,401 | | | | 501,697 | |
| Series 2011-52,Cl. HS, 9.054%, 4/16/415 | | | 2,618,165 | | | | 532,866 | |
| | | | | | | 1,290,306 | |
| | | | | | | | | |
| Non-Agency—5.8% | |
| Commercial—4.5% | |
| Banc of America Commercial Mortgage Trust: | | | | | | | | |
| Series 2006-5,Cl. AM, 5.448%, 9/10/47 | | | 1,890,000 | | | | 1,972,550 | |
| Series 2006-6,Cl. AM, 5.39%, 10/10/45 | | | 3,885,000 | | | | 4,113,807 | |
| Banc of America Funding Trust, Series 2006-G, Cl. 2A4, 0.464%, 7/20/362 | | | 4,200,000 | | | | 3,917,273 | |
| BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.27%, 9/26/352,3 | | | 1,355,053 | | | | 1,381,171 | |
| Bear Stearns ARM Trust: | | | | | | | | |
| Series 2005-2,Cl. A1, 2.68%, 3/25/352 | | | 2,567,441 | | | | 2,599,218 | |
| Series 2005-9,Cl. A1, 2.43%, 10/25/352 | | | 1,817,821 | | | | 1,796,862 | |
|
| 27 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Commercial (Continued) | |
| Bear Stearns Asset Backed Securities I Trust, Series 2005-HE6, Cl. M2, 1.176%, 6/25/352 | | $ | 4,972,443 | | | $ | 4,595,621 | |
| Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/412 | | | 1,780,000 | | | | 1,885,941 | |
| CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.351%, 1/15/462 | | | 2,170,000 | | | | 2,249,595 | |
| Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.442%, 1/25/362 | | | 1,510,554 | | | | 1,431,247 | |
| Citigroup Commercial Mortgage Trust: | | | | | | | | |
| Series 2008-C7,Cl. AM, 6.15%, 12/10/492 | | | 1,860,000 | | | | 2,036,432 | |
| Series 2013-GC11,Cl. D, 4.458%, 4/10/462,3 | | | 800,000 | | | | 788,268 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/352 | | | 2,927,265 | | | | 2,903,643 | |
| COMM Mortgage Trust: | | | | | | | | |
| Series 2006-C7,Cl. AM, 5.772%, 6/10/462 | | | 3,460,000 | | | | 3,641,935 | |
| Series 2012-CR4,Cl. D, 4.575%, 10/15/452,3 | | | 180,000 | | | | 183,324 | |
| Series 2012-CR5,Cl. E, 4.335%, 12/10/452,3 | | | 280,000 | | | | 279,152 | |
| Series 2013-CR7,Cl. D, 4.354%, 3/10/462,3 | | | 2,075,000 | | | | 2,011,973 | |
| Series 2014-CR21,Cl. AM, 3.987%, 12/10/47 | | | 4,370,000 | | | | 4,626,812 | |
| COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0%, 12/10/455,6 | | | 5,953,456 | | | | 553,359 | |
| Commercial Mortgage Trust: | | | | | | | | |
| Series 2006-GG7,Cl. AM, 5.787%, 7/10/382 | | | 200,000 | | | | 209,991 | |
| Series 2007-GG11,Cl. AM, 5.867%, 12/10/492 | | | 3,335,000 | | | | 3,613,086 | |
| Series 2007-GG9,Cl. AM, 5.475%, 3/10/39 | | | 2,330,000 | | | | 2,445,498 | |
| Credit Suisse Commercial Mortgage Trust: | | | | | | | | |
| Series 2006-C1,Cl. AJ, 5.466%, 2/15/392 | | | 1,000,000 | | | | 1,036,738 | |
| Series 2006-C4,Cl. AM, 5.509%, 9/15/39 | | | 1,420,000 | | | | 1,498,023 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/402 | | | 1,600,000 | | | | 1,634,570 | |
| CSMC: | | | | | | | | |
| Series 2006-6,Cl. 1A4, 6.00%, 7/25/36 | | | 1,795,086 | | | | 1,483,068 | |
| Series 2009-13R,Cl. 4A1, 2.623%, 9/26/362,3 | | | 495,125 | | | | 499,065 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.557%, 11/10/462,3 | | | 260,000 | | | | 287,200 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 0.821%, 11/25/352 | | | 902,783 | | | | 690,328 | |
| FREMF Mortgage Trust: | | | | | | | | |
| Series 2012-K501,Cl. C, 3.443%, 11/25/462,3 | | | 175,000 | | | | 179,214 | |
| Series 2013-K25,Cl. C, 3.618%, 11/25/452,3 | | | 350,000 | | | | 346,137 | |
| Series 2013-K26,Cl. C, 3.60%, 12/25/452,3 | | | 460,000 | | | | 453,993 | |
| Series 2013-K27,Cl. C, 3.497%, 1/25/462,3 | | | 400,000 | | | | 390,239 | |
| Series 2013-K28,Cl. C, 3.494%, 6/25/462,3 | | | 2,460,000 | | | | 2,411,460 | |
| Series 2013-K502,Cl. C, 3.188%, 3/25/452,3 | | | 720,000 | | | | 732,724 | |
| Series 2013-K712,Cl. C, 3.368%, 5/25/452,3 | | | 730,000 | | | | 727,042 | |
| Series 2013-K713,Cl. C, 3.165%, 4/25/462,3 | | | 480,000 | | | | 472,609 | |
| Series 2014-K715,Cl. C, 4.124%, 2/25/462,3 | | | 155,000 | | | | 159,016 | |
| GS Mortgage Securities Trust, Series 2006-GG6, Cl. AM, 5.554%, 4/10/382 | | | 895,000 | | | | 925,004 | |
| GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/372,3 | | | 1,856,257 | | | | 1,716,798 | |
| GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.221%, 7/25/352 | | | 544,187 | | | | 541,094 | |
|
| 28 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Commercial (Continued) | |
| JP Morgan Chase Commercial Mortgage Securities Corp.: | | | | | | | | |
| Series 2012-C6,Cl. E, 5.207%, 5/15/452,3 | | $ | 2,035,000 | | | $ | 2,127,720 | |
| Series 2012-LC9,Cl. E, 4.422%, 12/15/472,3 | | | 975,000 | | | | 967,392 | |
| JP Morgan Chase Commercial Mortgage Securities Trust: | | | | | | | | |
| Series 2005-CB13,Cl. AM, 5.288%, 1/12/432 | | | 80,000 | | | | 81,968 | |
| Series 2006-CB16,Cl. AJ, 5.623%, 5/12/45 | | | 1,265,000 | | | | 1,294,048 | |
| Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/452 | | | 3,920,000 | | | | 4,117,760 | |
| JP Morgan Mortgage Trust: | | | | | | | | |
| Series 2007-A1,Cl. 5A1, 2.556%, 7/25/352 | | | 1,545,901 | | | | 1,551,701 | |
| Series 2007-S3,Cl. 1A90, 7.00%, 8/25/37 | | | 1,416,683 | | | | 1,314,421 | |
| JP Morgan Resecuritization Trust: | | | | | | | | |
| Series 2009-11,Cl. 5A1, 2.623%, 9/26/362,3 | | | 1,892,458 | | | | 1,896,868 | |
| Series 2009-5,Cl. 1A2, 2.612%, 7/26/362,3 | | | 1,394,394 | | | | 1,210,122 | |
| JPMBB Commercial Mortgage Securities Trust: | | | | | | | | |
| Series 2014-C25,Cl. AS, 4.065%, 11/15/47 | | | 1,825,000 | | | | 1,956,508 | |
| Series 2014-C26,Cl. AS, 3.80%, 1/15/48 | | | 905,000 | | | | 949,543 | |
| LB-UBS Commercial Mortgage Trust, Series 2006-C4, Cl. AM, 5.858%, 6/15/382 | | | 1,085,000 | | | | 1,144,477 | |
| Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/432 | | | 2,315,000 | | | | 2,448,501 | |
| Morgan Stanley Bank of America Merrill Lynch Trust: | | | | | | | | |
| Series 2012-C6,Cl. E, 4.661%, 11/15/452,3 | | | 545,000 | | | | 552,589 | |
| Series 2013-C7,Cl. D, 4.301%, 2/15/462,3 | | | 1,245,000 | | | | 1,221,616 | |
| Series 2013-C8,Cl. D, 4.171%, 12/15/482,3 | | | 485,000 | | | | 467,083 | |
| Series 2014-C19,Cl. AS, 3.832%, 12/15/47 | | | 3,650,000 | | | | 3,842,652 | |
| Morgan Stanley Capital I Trust: | | | | | | | | |
| Series 2007-IQ13,Cl. AM, 5.406%, 3/15/44 | | | 4,240,000 | | | | 4,509,017 | |
| Series 2007-IQ15,Cl. AM, 5.907%, 6/11/492 | | | 1,700,000 | | | | 1,823,479 | |
| Morgan Stanley Reremic Trust, Series 2012-R3, Cl. 1B, 1.958%, 11/26/362,3 | | | 1,928,917 | | | | 1,388,177 | |
| Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.36%, 6/26/462,3 | | | 2,650,186 | | | | 2,678,156 | |
| RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.158%, 7/26/452,3 | | | 441,545 | | | | 440,880 | |
| Structured Adjustable Rate Mortgage Loan Trust: | | | | | | | | |
| Series 2004-10,Cl. 2A, 2.395%, 8/25/342 | | | 965,185 | | | | 958,890 | |
| Series 2007-6,Cl. 3A1, 4.532%, 7/25/372 | | | 1,362,883 | | | | 1,053,986 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.889%, 5/10/632,3 | | | 240,000 | | | | 241,902 | |
| Wachovia Bank Commercial Mortgage Trust: | | | | | | | | |
| Series 2005-C22,Cl. AM, 5.319%, 12/15/442 | | | 665,000 | | | | 681,700 | |
| Series 2007-C30,Cl. AM, 5.383%, 12/15/43 | | | 350,000 | | | | 372,426 | |
| WaMu Mortgage Pass-Through Certificates Trust: | | | | | | | | |
| Series 2005-AR14,Cl. 1A4, 2.341%, 12/25/352 | | | 984,107 | | | | 955,817 | |
| Series 2005-AR16,Cl. 1A1, 2.339%, 12/25/352 | | | 1,104,657 | | | | 1,055,801 | |
| Wells Fargo Mortgage-Backed Securities Trust: | | | | | | | | |
| Series 2005-AR10,Cl. 1A1, 2.614%, 6/25/352 | | | 3,144,047 | | | | 3,221,220 | |
| Series 2005-AR15,Cl. 1A6, 2.613%, 9/25/352 | | | 1,144,843 | | | | 1,091,728 | |
| Series 2006-AR7,Cl. 2A4, 2.613%, 5/25/362 | | | 134,327 | | | | 127,554 | |
| Series 2006-AR8,Cl. 2A4, 2.601%, 4/25/362 | | | 665,930 | | | | 650,838 | |
| Series 2007-16,Cl. 1A1, 6.00%, 12/28/37 | | | 696,285 | | | | 721,749 | |
| Series 2007-AR3,Cl. A4, 5.76%, 4/25/372 | | | 45,808 | | | | 45,036 | |
| Series 2007-AR8,Cl. A1, 2.609%, 11/25/372 | | | 968,908 | | | | 857,585 | |
|
| 29 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Commercial (Continued) | |
| WF-RBS Commercial Mortgage Trust: | | | | | | | | |
| Series 2012-C10,Cl. D, 4.458%, 12/15/452,3 | | $ | 890,000 | | | $ | 881,674 | |
| Series 2012-C7,Cl. E, 4.845%, 6/15/452,3 | | | 500,000 | | | | 517,220 | |
| Series 2012-C8,Cl. E, 4.876%, 8/15/452,3 | | | 1,390,000 | | | | 1,431,592 | |
| Series 2013-C11,Cl. D, 4.182%, 3/15/452,3 | | | 278,000 | | | | 271,978 | |
| Series 2013-C15,Cl. D, 4.482%, 8/15/462,3 | | | 625,000 | | | | 615,894 | |
| WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/443,5,6 | | | 18,477,504 | | | | 969,191 | |
| | | | | | | 120,129,539 | |
| | | | | | | | | |
| Multi-Family—0.1% | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Cl. 1A2A, 5.271%, 6/25/362 | | | 740,448 | | | | 679,964 | |
| Wells Fargo Mortgage-Backed Securities Trust: | | | | | | | | |
| Series 2005-AR15,Cl. 1A2, 2.613%, 9/25/352 | | | 2,183,383 | | | | 2,137,680 | |
| Series 2006-AR2,Cl. 2A3, 2.613%, 3/25/362 | | | 499,782 | | | | 495,297 | |
| | | | | | | 3,312,941 | |
| | | | | | | | | |
| Residential—1.2% | |
| Asset-Backed Funding Certificates Trust, Series 2005-HE2, Cl. M3, 0.951%, 6/25/352 | | | 4,000,000 | | | | 3,696,580 | |
| Banc of America Funding Trust: | | | | | | | | |
| Series 2007-1,Cl. 1A3, 6.00%, 1/25/37 | | | 325,360 | | | | 296,124 | |
| Series 2007-C,Cl. 1A4, 5.293%, 5/20/362 | | | 311,080 | | | | 300,698 | |
| Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37 | | | 971,034 | | | | 867,261 | |
| Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/362 | | | 2,495,049 | | | | 2,493,541 | |
| Bear Stearns Asset Backed Securities I Trust, Series 2004-HE9, Cl. M2, 1.968%, 11/25/342 | | | 4,087,053 | | | | 3,740,132 | |
| Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.281%, 7/25/362 | | | 513,091 | | | | 505,310 | |
| CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/492 | | | 4,310,000 | | | | 4,512,551 | |
| CHL Mortgage Pass-Through Trust: | | | | | | | | |
| Series 2005-26,Cl. 1A8, 5.50%, 11/25/35 | | | 1,136,699 | | | | 1,085,860 | |
| Series 2006-6,Cl. A3, 6.00%, 4/25/36 | | | 476,382 | | | | 463,564 | |
| Countrywide Alternative Loan Trust: | | | | | | | | |
| Series 2005-21CB,Cl. A7, 5.50%, 6/25/35 | | | 1,258,028 | | | | 1,213,162 | |
| Series 2005-J10,Cl. 1A17, 5.50%, 10/25/35 | | | 4,730,551 | | | | 4,486,398 | |
| Countrywide Asset-Backed Certificates, Series 2004-6, Cl. M5, 2.076%, 8/25/342 | | | 1,064,193 | | | | 944,937 | |
| GMACM Home Equity Loan Trust, Series 2007-HE2, Cl. A2, 6.054%, 12/25/372 | | | 17,023 | | | | 16,771 | |
| GSR Mortgage Loan Trust, Series 2006-5F, Cl. 2A1, 6%, 6/25/36 | | | 415,256 | | | | 395,465 | |
| Home Equity Mortgage Trust: | | | | | | | | |
| Series 2005-HF1,Cl. A2B, 0.871%, 2/25/362 | | | 389,673 | | | | 378,184 | |
| Series 2005-HF1,Cl. A3B, 0.871%, 2/25/362 | | | 293,498 | | | | 284,845 | |
| RAMP Trust, Series 2005-RS2, Cl. M4, 0.891%, 2/25/352 | | | 4,469,000 | | | | 4,016,768 | |
| WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.419%, 10/25/332 | | | 781,888 | | | | 800,380 | |
|
| 30 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Residential (Continued) | | | | | | | | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2,
5.742%, 10/25/362 | | $ | 679,191 | | | $ | 660,845 | |
| | | | | | | 31,159,376 | |
| Total Mortgage-Backed Obligations (Cost $553,767,181) | | | | | | | 562,307,374 | |
| | | | | | | | | |
| U.S. Government Obligations—0.3% | | | | | | | | |
| Federal National Mortgage Assn. Nts., 1%, 9/27/17 | | | 2,429,000 | | | | 2,433,814 | |
| United States Treasury Nts.: | | | | | | | | |
| 0.75%, 2/28/18 | | | 418,000 | | | | 414,571 | |
| 1.50%, 5/31/199 | | | 4,530,000 | | | | 4,551,237 | |
| Total U.S. Government Obligations (Cost $7,389,701) | | | | | | | 7,399,622 | |
| | | | | | | | | |
| Non-Convertible Corporate Bonds and Notes—19.8% | | | | | | | | |
| Consumer Discretionary—2.5% | | | | | | | | |
| Auto Components—0.1% | | | | | | | | |
| Johnson Controls, Inc.: | | | | | | | | |
| 1.40% Sr. Unsec. Nts., 11/2/17 | | | 409,000 | | | | 406,962 | |
| 4.625% Sr. Unsec. Nts., 7/2/44 | | | 1,032,000 | | | | 1,120,351 | |
| | | | | | | 1,527,313 | |
| | | | | | | | | |
| Automobiles—0.5% | | | | | | | | |
| Daimler Finance North America LLC: | | | | | | | | |
| 1.30% Sr. Unsec. Nts., 7/31/153 | | | 1,775,000 | | | | 1,780,614 | |
| 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 | | | 1,218,000 | | | | 1,906,242 | |
| Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24 | | | 4,903,000 | | | | 5,070,320 | |
| General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43 | | | 1,821,000 | | | | 2,270,683 | |
| Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/173 | | | 1,960,000 | | | | 1,955,337 | |
| Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/163 | | | 1,502,000 | | | | 1,545,669 | |
| | | | | | | 14,528,865 | |
| | | | | | | | | |
| Diversified Consumer Services—0.1% | | | | | | | | |
| Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24 | | | 2,155,000 | | | | 2,289,688 | |
| | | | | | | | | |
| Hotels, Restaurants & Leisure—0.2% | | | | | | | | |
| Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18 | | | 560,000 | | | | 561,864 | |
| Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16 | | | 1,860,000 | | | | 1,865,489 | |
| Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16 | | | 336,000 | | | | 347,678 | |
| Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 | | | 944,000 | | | | 1,116,344 | |
| Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16 | | | 1,797,000 | | | | 1,923,056 | |
| | | | | | | 5,814,431 | |
| | | | | | | | | |
| Household Durables—0.3% | | | | | | | | |
| Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 | | | 1,897,000 | | | | 1,996,592 | |
| Lennar Corp., 4.75% Sr. Unsec. Nts., 11/15/22 | | | 2,125,000 | | | | 2,178,125 | |
| Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23 | | | 1,893,000 | | | | 1,921,395 | |
| Whirlpool Corp.: | | | | | | | | |
| 1.35% Sr. Unsec. Nts., 3/1/17 | | | 521,000 | | | | 522,260 | |
|
| 31 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Household Durables (Continued) | | | | | | | | |
| Whirlpool Corp.: (Continued) | | | | | | | | |
| 1.65% Sr. Unsec. Nts., 11/1/17 | | $ | 510,000 | | | $ | 513,530 | |
| | | | | | | 7,131,902 | |
| | | | | | | | | |
| Leisure Equipment & Products—0.1% | | | | | | | | |
| Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18 | | | 2,288,000 | | | | 2,265,733 | |
| | | | | | | | | |
| Media—0.7% | | | | | | | | |
| 21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 | | | 786,000 | | | | 1,027,564 | |
| CCO Holdings LLC/CCO Holdings Capital Corp., 6.50% Sr. Unsec. Nts., 4/30/21 | | | 2,083,000 | | | | 2,200,169 | |
| Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 | | | 1,025,000 | | | | 1,494,838 | |
| Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 | | | 816,000 | | | | 926,576 | |
| DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42 | | | 1,315,000 | | | | 1,356,963 | |
| Historic TW, Inc.: | | | | | | | | |
| 8.05% Sr. Unsec. Nts., 1/15/16 | | | 311,000 | | | | 329,466 | |
| 9.15% Debs., 2/1/23 | | | 560,000 | | | | 772,028 | |
| Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24 | | | 1,000,000 | | | | 1,060,275 | |
| Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23 | | | 2,107,000 | | | | 2,164,942 | |
| Numericable-SFR, 4.875% Sr. Sec. Nts., 5/15/193 | | | 2,018,000 | | | | 2,025,568 | |
| Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/163 | | | 433,000 | | | | 447,573 | |
| Sky plc, 3.75% Sr. Unsec. Nts., 9/16/243 | | | 1,157,000 | | | | 1,196,013 | |
| Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42 | | | 2,331,000 | | | | 2,340,203 | |
| Time Warner, Inc., 4.65% Sr. Unsec. Nts., 6/1/44 | | | 594,000 | | | | 646,143 | |
| Viacom, Inc.: | | | | | | | | |
| 2.50% Sr. Unsec. Nts., 12/15/16 | | | 835,000 | | | | 854,257 | |
| 4.85% Sr. Unsec. Nts., 12/15/34 | | | 729,000 | | | | 753,514 | |
| | | | | | | 19,596,092 | |
| | | | | | | | | |
| Multiline Retail—0.1% | | | | | | | | |
| Family Tree Escrow LLC, 5.75% Sr. Unsec. Nts., 3/1/233 | | | 2,295,000 | | | | 2,426,963 | |
| Macy’s Retail Holdings, Inc., 4.50% Sr. Unsec. Nts., 12/15/34 | | | 544,000 | | | | 573,885 | |
| | | | | | | 3,000,848 | |
| | | | | | | | | |
| Specialty Retail—0.2% | | | | | | | | |
| Bed Bath & Beyond, Inc., 5.165% Sr. Unsec. Nts., 8/1/44 | | | 546,000 | | | | 594,584 | |
| Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21 | | | 2,142,000 | | | | 2,245,887 | |
| Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44 | | | 649,000 | | | | 776,684 | |
| Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24 | | | 2,019,000 | | | | 2,057,942 | |
| Sally Holdings LLC/Sally Capital, Inc., 5.75% Sr. Unsec. Nts., 6/1/22 | | | 16,000 | | | | 17,040 | |
| Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24 | | | 960,000 | | | | 972,621 | |
| | | | | | | 6,664,758 | |
| | | | | | | | | |
| Textiles, Apparel & Luxury Goods—0.2% | | | | | | | | |
| Levi Strauss & Co., 6.875% Sr. Unsec. Nts., 5/1/22 | | | 1,745,000 | | | | 1,928,225 | |
|
| 32 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Textiles, Apparel & Luxury Goods (Continued) | | | | | | | | |
| PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 | | $ | 2,071,000 | | | $ | 2,117,597 | |
| | | | | | | 4,045,822 | |
| | | | | | | | | |
| Consumer Staples—1.1% | | | | | | | | |
| Beverages—0.3% | | | | | | | | |
| Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | | | 1,646,000 | | | | 2,562,652 | |
| Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21 | | | 1,996,000 | | | | 2,038,415 | |
| Pernod Ricard SA: | | | | | | | | |
| 2.95% Sr. Unsec. Nts., 1/15/173 | | | 1,944,000 | | | | 1,996,263 | |
| 4.25% Sr. Unsec. Nts., 7/15/223 | | | 1,313,000 | | | | 1,414,013 | |
| | | | | | | 8,011,343 | |
| | | | | | | | | |
| Food & Staples Retailing—0.3% | | | | | | | | |
| CVS Health Corp., 5.30% Sr. Unsec. Nts., 12/5/43 | | | 510,000 | | | | 629,068 | |
| Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40 | | | 1,033,000 | | | | 1,126,452 | |
| Kroger Co., 6.90% Sr. Unsec. Nts., 4/15/38 | | | 546,000 | | | | 748,169 | |
| Kroger Co. (The), 6.40% Sr. Unsec. Nts., 8/15/17 | | | 1,928,000 | | | | 2,151,594 | |
| Walgreens Boots Alliance, Inc., 1.75% Sr. Unsec. Nts., 11/17/17 | | | 970,000 | | | | 980,418 | |
| Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44 | | | 1,043,000 | | | | 1,163,795 | |
| | | | | | | 6,799,496 | |
| | | | | | | | | |
| Food Products—0.4% | | | | | | | | |
| Bunge Ltd. Finance Corp.: | | | | | | | | |
| 5.10% Sr. Unsec. Unsub. Nts., 7/15/15 | | | 1,412,000 | | | | 1,434,038 | |
| 8.50% Sr. Unsec. Nts., 6/15/19 | | | 1,799,000 | | | | 2,203,777 | |
| ConAgra Foods, Inc., 1.35% Sr. Unsec. Nts., 9/10/15 | | | 1,271,000 | | | | 1,272,593 | |
| Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17 | | | 1,315,000 | | | | 1,317,233 | |
| TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22 | | | 2,165,000 | | | | 2,235,362 | |
| Tyson Foods, Inc.: | | | | | | | | |
| 4.875% Sr. Unsec. Nts., 8/15/34 | | | 667,000 | | | | 751,145 | |
| 6.60% Sr. Unsec. Nts., 4/1/16 | | | 1,728,000 | | | | 1,829,691 | |
| | | | | | | 11,043,839 | |
| | | | | | | | | |
| Tobacco—0.1% | | | | | | | | |
| Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 | | | 1,209,000 | | | | 2,154,128 | |
| Reynolds American, Inc., 6.75% Sr. Unsec. Nts., 6/15/17 | | | 1,732,000 | | | | 1,925,885 | |
| | | | | | | 4,080,013 | |
| | | | | | | | | |
| Energy—1.8% | | | | | | | | |
| Energy Equipment & Services—0.1% | | | | | | | | |
| Nabors Industries, Inc.: | | | | | | | | |
| 2.35% Sr. Unsec. Nts., 9/15/16 | | | 1,532,000 | | | | 1,536,314 | |
| 4.625% Sr. Unsec. Nts., 9/15/21 | | | 790,000 | | | | 764,127 | |
| Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22 | | | 809,000 | | | | 782,622 | |
| Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42 | | | 600,000 | | | | 524,871 | |
| | | | | | | 3,607,934 | |
| | | | | | | | | |
| Oil, Gas & Consumable Fuels—1.7% | | | | | | | | |
| Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 | | | 1,002,000 | | | | 1,244,934 | |
|
| 33 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Oil, Gas & Consumable Fuels (Continued) | | | | | | | | |
| CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17 | | $ | 2,056,000 | | | $ | 2,049,201 | |
| DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/153 | | | 1,290,000 | | | | 1,312,365 | |
| Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42 | | | 1,012,000 | | | | 1,098,241 | |
| El Paso Pipeline Partners Operating Co. LLC, 4.10% Sr. Unsec. Nts., 11/15/15 | | | 790,000 | | | | 807,052 | |
| EnLink Midstream Partners LP: | | | | | | | | |
| 2.70% Sr. Unsec. Nts., 4/1/19 | | | 1,802,000 | | | | 1,797,974 | |
| 4.40% Sr. Unsec. Nts., 4/1/24 | | | 534,000 | | | | 569,218 | |
| Enterprise Products Operating LLC, 3.75% Sr. Unsec. Nts., 2/15/25 | | | 928,000 | | | | 966,807 | |
| Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/213 | | | 2,444,000 | | | | 2,635,761 | |
| Lukoil International Finance BV, 6.125% Sr. Unsec. Nts., 11/9/203 | | | 14,000,000 | | | | 13,137,264 | |
| Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44 | | | 594,000 | | | | 628,549 | |
| Origin Energy Finance Ltd.: | | | | | | | | |
| 3.50% Sr. Unsec. Nts., 10/9/183 | | | 2,066,000 | | | | 2,102,044 | |
| 5.45% Sr. Unsec. Nts., 10/14/213 | | | 1,326,000 | | | | 1,442,445 | |
| Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25 | | | 460,000 | | | | 463,047 | |
| Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17 | | | 2,024,000 | | | | 2,204,984 | |
| Plains All American Pipeline LP/PAA Finance Corp., 3.60% Sr. Unsec. Nts., 11/1/24 | | | 1,713,000 | | | | 1,761,339 | |
| Southwestern Energy Co., 4.05% Sr. Unsec. Nts., 1/23/20 | | | 2,071,000 | | | | 2,123,744 | |
| Spectra Energy Partners LP: | | | | | | | | |
| 4.60% Sr. Unsec. Nts., 6/15/21 | | | 1,078,000 | | | | 1,184,568 | |
| 4.75% Sr. Unsec. Nts., 3/15/24 | | | 888,000 | | | | 990,925 | |
| Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22 | | | 1,466,000 | | | | 1,511,200 | |
| Williams Partners LP: | | | | | | | | |
| 3.60% Sr. Unsec. Nts., 3/15/22 | | | 969,000 | | | | 970,330 | |
| 4.50% Sr. Unsec. Nts., 11/15/23 | | | 2,156,000 | | | | 2,264,479 | |
| Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/213 | | | 1,753,000 | | | | 1,878,636 | |
| | | | | | | 45,145,107 | |
| | | | | | | | | |
| Financials—7.1% | | | | | | | | |
| Capital Markets—1.5% | | | | | | | | |
| Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/243 | | | 1,662,000 | | | | 1,701,414 | |
| Blackstone Holdings Finance Co. LLC, 5% Sr. Unsec. Nts., 6/15/443 | | | 2,067,000 | | | | 2,268,169 | |
| Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24 | | | 3,046,000 | | | | 3,173,280 | |
| Goldman Sachs Capital II, 4% Jr. Sub. Perpetual Bonds2,10 | | | 5,993,000 | | | | 4,726,979 | |
| Goldman Sachs Group, Inc. (The): | | | | | | | | |
| 3.50% Sr. Unsec. Nts., 1/23/25 | | | 2,295,000 | | | | 2,323,325 | |
| 5.70% Jr. Sub. Perpetual Bonds, Series L2,10 | | | 2,206,000 | | | | 2,285,967 | |
| Lazard Group LLC: | | | | | | | | |
| 3.75% Sr. Unsec. Nts., 2/13/25 | | | 562,000 | | | | 559,721 | |
| 4.25% Sr. Unsec. Nts., 11/14/20 | | | 1,678,000 | | | | 1,788,975 | |
| Macquarie Bank Ltd., 2.40% Sr. Unsec. Nts., 1/21/203 | | | 2,764,000 | | | | 2,764,846 | |
| Mellon Capital IV, 4% Jr. Sub. Perpetual Bonds2,10 | | | 6,000,000 | | | | 5,062,500 | |
| Morgan Stanley: | | | | | | | | |
| 4.30% Sr. Unsec. Nts., 1/27/45 | | | 1,340,000 | | | | 1,382,411 | |
|
| 34 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Capital Markets (Continued) | | | | | | | | |
| Morgan Stanley: (Continued) | | | | | | | | |
| 5.00% Sub. Nts., 11/24/25 | | $ | 2,067,000 | | | $ | 2,280,955 | |
| 6.25% Sr. Unsec. Nts., 8/28/17 | | | 1,000,000 | | | | 1,110,134 | |
| 5.45% Jr. Sub. Perpetual Bonds, Series H2,10 | | | 2,261,000 | | | | 2,316,394 | |
| Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16 | | | 1,864,000 | | | | 1,881,048 | |
| Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 | | | 1,477,000 | | | | 1,703,266 | |
| UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 12,10 | | | 3,098,000 | | | | 3,221,920 | |
| | | | | | | 40,551,304 | |
| | | | | | | | | |
| Commercial Banks—3.3% | | | | | | | | |
| Bank of America Corp.: | | | | | | | | |
| 7.75% Jr. Sub. Nts., 5/14/38 | | | 1,818,000 | | | | 2,644,436 | |
| 8.00% Jr. Sub. Perpetual Bonds, Series K2,10 | | | 2,153,000 | | | | 2,308,662 | |
| Citigroup, Inc.: | | | | | | | | |
| 2.40% Sr. Unsec. Nts., 2/18/20 | | | 3,687,000 | | | | 3,676,920 | |
| 6.675% Sub. Nts., 9/13/43 | | | 1,056,000 | | | | 1,409,423 | |
| 5.95% Jr. Sub. Perpetual Bonds, Series D2,10 | | | 2,293,000 | | | | 2,324,529 | |
| Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds2,4,10 | | | 1,825,000 | | | | 2,176,313 | |
| FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26 | | | 2,179,000 | | | | 2,274,305 | |
| HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/352 | | | 4,460,000 | | | | 4,555,890 | |
| HSBC USA, Inc., 2.35% Sr. Unsec. Nts., 3/5/208 | | | 775,000 | | | | 776,707 | |
| Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/243 | | | 1,985,000 | | | | 2,047,885 | |
| JPMorgan Chase & Co.: | | | | | | | | |
| 3.625% Sr. Unsec. Nts., 5/13/24 | | | 4,340,000 | | | | 4,507,107 | |
| 7.90% Jr. Sub. Perpetual Bonds, Series 12,10 | | | 4,500,000 | | | | 4,879,687 | |
| 6.75% Jr. Sub. Perpetual Bonds, Series S2,10 | | | 1,947,000 | | | | 2,111,872 | |
| Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds2,3,10 | | | 1,913,000 | | | | 2,156,907 | |
| Manufacturers & Traders Trust Co., 2.90% Sr. Unsec. Nts., 2/6/25 | | | 2,249,000 | | | | 2,232,333 | |
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds2,4,10 | | | 2,765,000 | | | | 2,875,600 | |
| Regions Bank, Birmingham AL, 6.45% Sub. Nts., 6/26/37 | | | 1,608,000 | | | | 2,022,782 | |
| Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U2,10 | | | 2,000,000 | | | | 2,210,000 | |
| Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds2,3,10 | | | 1,980,000 | | | | 2,073,060 | |
| SunTrust Banks, Inc.: | | | | | | | | |
| 3.60% Sr. Unsec. Nts., 4/15/16 | | | 1,987,000 | | | | 2,044,929 | |
| 5.625% Jr. Sub. Perpetual Bonds2,10 | | | 2,158,000 | | | | 2,215,996 | |
| Wachovia Capital Trust III, 5.57% Jr. Sub. Perpetual Bonds2,10 | | | 11,000,000 | | | | 10,986,250 | |
| Wells Fargo & Co.: | | | | | | | | |
| 5.875% Jr. Sub. Perpetual Bonds2,10 | | | 849,000 | | | | 895,695 | |
| 7.98% Jr. Sub. Perpetual Bonds, Series K2,10 | | | 18,000,000 | | | | 19,755,000 | |
| 5.90% Jr. Sub. Perpetual Bonds, Series S2,10 | | | 1,719,000 | | | | 1,795,805 | |
| | | | | | | 86,958,093 | |
| | | | | | | | | |
| Consumer Finance—0.3% | | | | | | | | |
| Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31 | | | 1,699,000 | | | | 2,198,081 | |
|
| 35 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Consumer Finance (Continued) | | | | | | | | |
| Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25 | | $ | 2,741,000 | | | $ | 2,708,982 | |
| Discover Financial Services, 3.95% Sr. Unsec. Nts., 11/6/24 | | | 1,635,000 | | | | 1,670,045 | |
| Synchrony Financial: | | | | | | | | |
| 2.70% Sr. Unsec. Nts., 2/3/20 | | | 1,664,000 | | | | 1,664,889 | |
| 3.75% Sr. Unsec. Nts., 8/15/21 | | | 720,000 | | | | 747,792 | |
| | | | | | | 8,989,789 | |
| | | | | | | | | |
| Diversified Financial Services—0.1% | | | | | | | | |
| Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/532 | | | 2,050,000 | | | | 2,137,125 | |
| | | | | | | | | |
| Insurance—1.5% | | | | | | | | |
| AIA Group Ltd., 4.875% Sr. Unsec. Nts., 3/11/443 | | | 1,692,000 | | | | 1,972,823 | |
| AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45 | | | 1,583,000 | | | | 1,804,487 | |
| Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/233 | | | 1,485,000 | | | | 1,601,050 | |
| Liberty Mutual Group, Inc.: | | | | | | | | |
| 4.25% Sr. Unsec. Nts., 6/15/233 | | | 2,276,000 | | | | 2,424,072 | |
| 4.85% Sr. Unsec. Nts., 8/1/443 | | | 1,213,000 | | | | 1,306,750 | |
| Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/672 | | | 4,008,000 | | | | 3,905,295 | |
| MetLife, Inc., 10.75% Jr. Sub. Nts., 8/1/39 | | | 10,000,000 | | | | 16,740,000 | |
| Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/442 | | | 1,281,000 | | | | 1,304,763 | |
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds2,4,10 | | | 3,920,000 | | | | 4,123,840 | |
| TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/243 | | | 2,138,000 | | | | 2,262,979 | |
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/372,4 | | | 2,238,000 | | | | 2,391,862 | |
| | | | | | | 39,837,921 | |
| | | | | | | | | |
| Real Estate—0.0% | | | | | | | | |
| Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17 | | | 800,000 | | | | 797,471 | |
| | | | | | | | | |
| Real Estate Investment Trusts (REITs)—0.3% | | | | | | | | |
| American Tower Corp.: | | | | | | | | |
| 5.05% Sr. Unsec. Unsub. Nts., 9/1/20 | | | 922,000 | | | | 1,007,615 | |
| 5.90% Sr. Unsec. Nts., 11/1/21 | | | 1,053,000 | | | | 1,205,746 | |
| Corrections Corp. of America: | | | | | | | | |
| 4.125% Sr. Unsec. Nts., 4/1/20 | | | 1,328,000 | | | | 1,347,920 | |
| 4.625% Sr. Unsec. Nts., 5/1/23 | | | 661,000 | | | | 664,305 | |
| Hospitality Properties Trust, 4.65% Sr. Unsec. Nts., 3/15/24 | | | 963,000 | | | | 995,568 | |
| Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16 | | | 1,312,000 | | | | 1,405,115 | |
| WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/173 | | | 1,303,000 | | | | 1,308,981 | |
| | | | | | | 7,935,250 | |
| | | | | | | | | |
| Real Estate Management & Development—0.1% | | | | | | | | |
| Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25 | | | 2,476,000 | | | | 2,485,114 | |
| | | | | | | | | |
| Health Care—1.1% | | | | | | | | |
| Biotechnology—0.1% | | | | | | | | |
| Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41 | | | 1,154,000 | | | | 1,464,920 | |
| | | | | | | | | |
| Health Care Equipment & Supplies—0.2% | | | | | | | | |
| Becton Dickinson & Co., 4.685% Sr. Unsec. Nts., 12/15/44 | | | 1,266,000 | | | | 1,388,122 | |
|
| 36 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Health Care Equipment & Supplies (Continued) | | | | | | | | |
| CareFusion Corp.: | | | | | | | | |
| 1.45% Sr. Unsec. Nts., 5/15/17 | | $ | 1,914,000 | | | $ | 1,917,428 | |
| 3.875% Sr. Unsec. Nts., 5/15/24 | | | 934,000 | | | | 973,205 | |
| DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16 | | | 2,135,000 | | | | 2,176,705 | |
| | | | | | | 6,455,460 | |
| | | | | | | | | |
| Health Care Providers & Services—0.5% | | | | | | | | |
| Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24 | | | 1,064,000 | | | | 1,102,676 | |
| CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21 | | | 2,120,000 | | | | 2,220,700 | |
| Express Scripts Holding Co., 3.50% Sr. Unsec. Nts., 6/15/24 | | | 1,720,000 | | | | 1,762,364 | |
| Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/223 | | | 1,706,000 | | | | 1,923,515 | |
| Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25 | | | 2,184,000 | | | | 2,217,175 | |
| LifePoint Hospitals, Inc., 5.50% Sr. Unsec. Nts., 12/1/21 | | | 2,150,000 | | | | 2,295,125 | |
| McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44 | | | 950,000 | | | | 1,091,098 | |
| | | | | | | 12,612,653 | |
| | | | | | | | | |
| Life Sciences Tools & Services—0.1% | | | | | | | | |
| Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16 | | | 123,000 | | | | 125,638 | |
| Thermo Fisher Scientific, Inc.: | | | | | | | | |
| 4.15% Sr. Unsec. Nts., 2/1/24 | | | 605,000 | | | | 650,732 | |
| 5.00% Sr. Unsec. Nts., 6/1/15 | | | 881,000 | | | | 891,299 | |
| 5.30% Sr. Unsec. Nts., 2/1/44 | | | 717,000 | | | | 853,041 | |
| | | | | | | 2,520,710 | |
| | | | | | | | | |
| Pharmaceuticals—0.2% | | | | | | | | |
| Actavis Funding SCS, 1.30% Sr. Unsec. Nts., 6/15/17 | | | 1,250,000 | | | | 1,235,212 | |
| Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20 | | | 1,756,000 | | | | 1,990,614 | |
| Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18 | | | 1,929,000 | | | | 1,929,000 | |
| | | | | | | 5,154,826 | |
| | | | | | | | | |
| Industrials—1.6% | | | | | | | | |
| Aerospace & Defense—0.2% | | | | | | | | |
| BAE Systems Holdings, Inc., 3.80% Sr. Unsec. Nts., 10/7/243 | | | 1,667,000 | | | | 1,755,484 | |
| L-3 Communications Corp.: | | | | | | | | |
| 1.50% Sr. Unsec. Nts., 5/28/17 | | | 497,000 | | | | 492,543 | |
| 3.95% Sr. Unsec. Nts., 5/28/24 | | | 1,397,000 | | | | 1,427,988 | |
| Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43 | | | 530,000 | | | | 597,374 | |
| Textron, Inc.: | | | | | | | | |
| 3.875% Sr. Unsec. Nts., 3/1/25 | | | 628,000 | | | | 648,675 | |
| 4.30% Sr. Unsec. Nts., 3/1/24 | | | 957,000 | | | | 1,012,521 | |
| | | | | | | 5,934,585 | |
| | | | | | | | | |
| Building Products—0.1% | | | | | | | | |
| Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 | | | 1,974,000 | | | | 2,076,237 | |
| | | | | | | | | |
| Commercial Services & Supplies—0.3% | | | | | | | | |
| Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20 | | | 1,786,000 | | | | 1,830,650 | |
| Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24 | | | 2,654,000 | | | | 2,764,083 | |
|
| 37 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Commercial Services & Supplies (Continued) | | | | | | | | |
| R.R. Donnelley & Sons Co., 7.625% Sr. Unsec. Nts., 6/15/20 | | $ | 2,025,000 | | | $ | 2,298,375 | |
| Republic Services, Inc., 5.70% Sr. Unsec. Nts., 5/15/41 | | | 909,000 | | | | 1,155,805 | |
| | | | | | | 8,048,913 | |
| | | | | | | | | |
| Electrical Equipment—0.1% | | | | | | | | |
| Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/233 | | | 1,478,000 | | | | 1,548,353 | |
| | | | | | | | | |
| Industrial Conglomerates—0.1% | | | | | | | | |
| General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B2,10 | | | 3,284,000 | | | | 3,665,765 | |
| | | | | | | | | |
| Machinery—0.2% | | | | | | | | |
| Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23 | | | 938,000 | | | | 1,001,188 | |
| Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23 | | | 1,793,000 | | | | 1,929,727 | |
| Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15 | | | 1,748,000 | | | | 1,824,400 | |
| | | | | | | 4,755,315 | |
| | | | | | | | | |
| Professional Services—0.2% | | | | | | | | |
| Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/173 | | | 1,948,000 | | | | 1,961,118 | |
| Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20 | | | 2,205,000 | | | | 2,249,100 | |
| | | | | | | 4,210,218 | |
| | | | | | | | | |
| Road & Rail—0.2% | | | | | | | | |
| Burlington Northern Santa Fe LLC, 3% Sr. Unsec. Nts., 3/15/23 | | | 1,655,000 | | | | 1,686,845 | |
| ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/453 | | | 669,000 | | | | 681,105 | |
| Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23 | | | 1,687,000 | | | | 1,665,901 | |
| Penske Truck Leasing Co. LP/PTL Finance Corp.: | | | | | | | | |
| 2.50% Sr. Unsec. Nts., 3/15/163 | | | 1,862,000 | | | | 1,891,120 | |
| 4.25% Sr. Unsec. Nts., 1/17/233 | | | 865,000 | | | | 905,978 | |
| | | | | | | 6,830,949 | |
| | | | | | | | | |
| Trading Companies & Distributors—0.2% | | | | | | | | |
| Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21 | | | 2,199,000 | | | | 2,275,965 | |
| International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19 | | | 1,948,000 | | | | 2,147,670 | |
| | | | | | | 4,423,635 | |
| | | | | | | | | |
| Information Technology—0.9% | | | | | | | | |
| Communications Equipment—0.1% | | | | | | | | |
| Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23 | | | 1,628,000 | | | | 1,634,309 | |
| | | | | | | | | |
| Electronic Equipment, Instruments, & Components—0.2% | | | | | | | | |
| Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 | | | 2,152,000 | | | | 2,362,943 | |
| Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22 | | | 2,620,000 | | | | 2,813,752 | |
| | | | | | | 5,176,695 | |
| | | | | | | | | |
| IT Services—0.2% | | | | | | | | |
| Fidelity National Information Services, Inc.: | | | | | | | | |
| 1.45% Sr. Unsec. Nts., 6/5/17 | | | 1,804,000 | | | | 1,801,730 | |
|
| 38 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| IT Services (Continued) | | | | | | | | |
| Fidelity National Information Services, Inc.: (Continued) | | | | | | | | |
| 3.50% Sr. Unsec. Nts., 4/15/23 | | $ | 1,105,000 | | | $ | 1,108,470 | |
| Xerox Corp.: | | | | | | | | |
| 2.75% Sr. Unsec. Nts., 9/1/20 | | | 969,000 | | | | 968,890 | |
| 2.95% Sr. Unsec. Nts., 3/15/17 | | | 798,000 | | | | 822,485 | |
| 6.75% Sr. Unsec. Nts., 2/1/17 | | | 398,000 | | | | 437,144 | |
| | | | | | | 5,138,719 | |
| | | | | | | | | |
| Semiconductors & Semiconductor Equipment—0.1% | | | | | | | | |
| Micron Technology, Inc., 5.50% Sr. Unsec. Nts., 2/1/253 | | | 2,290,000 | | | | 2,352,975 | |
| | | | | | | | | |
| Software—0.1% | | | | | | | | |
| Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/233 | | | 2,270,000 | | | | 2,360,800 | |
| Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24 | | | 1,524,000 | | | | 1,612,785 | |
| | | | | | | 3,973,585 | |
| | | | | | | | | |
| Technology Hardware, Storage & Peripherals—0.2% | | | | | | | | |
| Apple, Inc., 4.45% Sr. Unsec. Nts., 5/6/44 | | | 1,124,000 | | | | 1,257,459 | |
| Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16 | | | 1,789,000 | | | | 1,825,506 | |
| Seagate HDD Cayman: | | | | | | | | |
| 3.75% Sr. Unsec. Nts., 11/15/18 | | | 1,660,000 | | | | 1,721,576 | |
| 4.75% Sr. Unsec. Nts., 1/1/253 | | | 846,000 | | | | 897,505 | |
| | | | | | | 5,702,046 | |
| | | | | | | | | |
| Materials—1.5% | | | | | | | | |
| Chemicals—0.4% | | | | | | | | |
| Agrium, Inc.: | | | | | | | | |
| 3.375% Sr. Unsec. Nts., 3/15/25 | | | 931,000 | | | | 929,488 | |
| 4.125% Sr. Unsec. Nts., 3/15/35 | | | 465,000 | | | | 459,999 | |
| Eastman Chemical Co.: | | | | | | | | |
| 3.00% Sr. Unsec. Nts., 12/15/15 | | | 973,000 | | | | 989,544 | |
| 4.65% Sr. Unsec. Nts., 10/15/44 | | | 565,000 | | | | 596,200 | |
| LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43 | | | 558,000 | | | | 632,938 | |
| Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24 | | | 1,340,000 | | | | 1,353,330 | |
| Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20 | | | 2,065,000 | | | | 2,153,795 | |
| RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 | | | 1,901,000 | | | | 1,859,515 | |
| Valspar Corp. (The), 3.30% Sr. Unsec. Nts., 2/1/25 | | | 638,000 | | | | 639,659 | |
| | | | | | | 9,614,468 | |
| | | | | | | | | |
| Construction Materials—0.2% | | | | | | | | |
| CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16 | | | 1,748,000 | | | | 1,792,817 | |
| James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/233 | | | 2,242,000 | | | | 2,306,458 | |
| | | | | | | 4,099,275 | |
| | | | | | | | | |
| Containers & Packaging—0.3% | | | | | | | | |
| Ball Corp., 4% Sr. Unsec. Nts., 11/15/23 | | | 1,905,000 | | | | 1,881,188 | |
| Packaging Corp. of America: | | | | | | | | |
| 3.65% Sr. Unsec. Nts., 9/15/24 | | | 525,000 | | | | 525,468 | |
| 4.50% Sr. Unsec. Nts., 11/1/23 | | | 1,393,000 | | | | 1,495,373 | |
|
| 39 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Containers & Packaging (Continued) | | | | | | | | |
| Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20 | | $ | 3,292,000 | | | $ | 3,355,815 | |
| Silgan Holdings, Inc., 5% Sr. Unsec. Nts., 4/1/20 | | | 1,742,000 | | | | 1,816,035 | |
| | | | | | | 9,073,879 | |
| | | | | | | | | |
| Metals & Mining—0.2% | | | | | | | | |
| Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23 | | | 595,000 | | | | 605,788 | |
| Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23 | | | 487,000 | | | | 447,204 | |
| Glencore Canada Corp., 6% Sr. Unsec. Unsub. Nts., 10/15/15 | | | 1,687,000 | | | | 1,736,000 | |
| Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/243 | | | 1,768,000 | | | | 1,862,517 | |
| Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44 | | | 622,000 | | | | 648,567 | |
| Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24 | | | 1,063,000 | | | | 1,061,042 | |
| | | | | | | 6,361,118 | |
| | | | | | | | | |
| Paper & Forest Products—0.4% | | | | | | | | |
| Appvion, Inc., 9% Sec. Nts., 6/1/203 | | | 15,000,000 | | | | 10,368,750 | |
| International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44 | | | 874,000 | | | | 918,955 | |
| | | | | | | 11,287,705 | |
| | | | | | | | | |
| Telecommunication Services—1.1% | | | | | | | | |
| Diversified Telecommunication Services—1.0% | | | | | | | | |
| AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45 | | | 1,264,000 | | | | 1,197,768 | |
| British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 | | | 1,383,000 | | | | 2,250,050 | |
| CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21 | | | 1,900,000 | | | | 2,094,750 | |
| Cox Communications, Inc.: | | | | | | | | |
| 3.85% Sr. Unsec. Nts., 2/1/253 | | | 1,243,000 | | | | 1,284,065 | |
| 5.875% Sr. Unsec. Nts., 12/1/163 | | | 2,103,000 | | | | 2,266,903 | |
| Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16 | | | 2,138,000 | | | | 2,245,903 | |
| Frontier Communications Corp., 7.625% Sr. Unsec. Nts., 4/15/24 | | | 2,085,000 | | | | 2,241,375 | |
| Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 | | | 1,157,000 | | | | 1,342,120 | |
| Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 | | | 806,000 | | | | 1,104,886 | |
| T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21 | | | 1,730,000 | | | | 1,822,987 | |
| Verizon Communications, Inc.: | | | | | | | | |
| 3.50% Sr. Unsec. Nts., 11/1/24 | | | 923,000 | | | | 946,278 | |
| 4.50% Sr. Unsec. Nts., 9/15/20 | | | 4,749,000 | | | | 5,226,916 | |
| 5.012% Sr. Unsec. Nts., 8/21/543 | | | 520,000 | | | | 545,629 | |
| 6.40% Sr. Unsec. Nts., 2/15/38 | | | 968,000 | | | | 1,223,825 | |
| | | | | | | 25,793,455 | |
| | | | | | | | | |
| Wireless Telecommunication Services—0.1% | | | | | | | | |
| America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 | | | 770,000 | | | | 790,428 | |
| Rogers Communications, Inc., 6.75% Sr. Unsec. Nts., 3/15/15 | | | 554,000 | | | | 555,069 | |
| Vodafone Group plc: | | | | | | | | |
| 4.375% Sr. Unsec. Unsub. Nts., 2/19/43 | | | 554,000 | | | | 552,232 | |
|
| 40 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| | | Principal Amount | | | Value | |
| Wireless Telecommunication Services (Continued) | | | | | | | | |
| Vodafone Group plc: (Continued) | | | | | | | | |
| 6.25% Sr. Unsec. Nts., 11/30/32 | | $ | 605,000 | | | $ | 742,674 | |
| | | | | | | 2,640,403 | |
| | | | | | | | | |
| Utilities—1.1% | | | | | | | | |
| Electric Utilities—0.5% | | | | | | | | |
| American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/443 | | | 560,000 | | | | 644,365 | |
| EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/213 | | | 2,130,000 | | | | 2,341,147 | |
| Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/173 | | | 2,010,000 | | | | 2,239,192 | |
| ITC Holdings Corp.: | | | | | | | | |
| 3.65% Sr. Unsec. Nts., 6/15/24 | | | 1,670,000 | | | | 1,728,635 | |
| 5.30% Sr. Unsec. Nts., 7/1/43 | | | 510,000 | | | | 608,118 | |
| Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20 | | | 368,000 | | | | 407,465 | |
| PPL Capital Funding, Inc.: | | | | | | | | |
| 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 | | | 1,413,000 | | | | 1,459,606 | |
| 4.20% Sr. Sec. Nts., 6/15/22 | | | 678,000 | | | | 736,458 | |
| PPL WEM Holdings Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/213 | | | 2,185,000 | | | | 2,498,755 | |
| Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/253 | | | 1,394,000 | | | | 1,458,389 | |
| | | | | | | 14,122,130 | |
| | | | | | | | | |
| Independent Power and Renewable Electricity Producers—0.1% | | | | | | | | |
| Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16 | | | 1,335,000 | | | | 1,350,216 | |
| NRG Yield Operating LLC, 5.375% Sr. Unsec. Nts., 8/15/243 | | | 1,691,000 | | | | 1,792,460 | |
| | | | | | | 3,142,676 | |
| | | | | | | | | |
| Multi-Utilities—0.5% | | | | | | | | |
| Berkshire Hathaway Energy Co., 4.50% Sr. Unsec. Nts., 2/1/45 | | | 1,124,000 | | | | 1,248,708 | |
| CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17 | | | 1,629,000 | | | | 1,771,239 | |
| CMS Energy Corp.: | | | | | | | | |
| 3.875% Sr. Unsec. Nts., 3/1/24 | | | 1,021,000 | | | | 1,088,584 | |
| 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 | | | 1,791,000 | | | | 2,021,342 | |
| Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54 | | | 505,000 | | | | 571,389 | |
| Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44 | | | 859,000 | | | | 942,649 | |
| Dominion Resources, Inc., 2.50% Sr. Unsec. Nts., 12/1/19 | | | 1,550,000 | | | | 1,575,495 | |
| NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44 | | | 926,000 | | | | 1,065,863 | |
| TECO Finance, Inc., 6.75% Sr. Unsec. Nts., 5/1/15 | | | 1,168,000 | | | | 1,179,597 | |
| | | | | | | 11,464,866 | |
| Total Non-Convertible Corporate Bonds and Notes (Cost $509,365,330) | | | | | | | 526,526,094 | |
| | | | | | | | | |
| Convertible Corporate Bonds and Notes—0.8% | | | | | | | | |
| Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/404 | | | 18,500,000 | | | | 20,257,500 | |
| SEACOR Holdings, Inc.: | | | | | | | | |
| 2.50% Cv. Sr. Unsec. Nts., 12/15/27 | | | 1,000,000 | | | | 1,051,875 | |
|
| 41 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Principal Amount | | | Value | |
| Convertible Corporate Bonds and Notes (Continued) | | | | | | | | | | | | | | | | | | | | | |
| SEACOR Holdings, Inc.: (Continued) | | | | | | | | | |
| 3.00% Cv. Sr. Unsec. Nts., 11/15/28 | | | $ | 666,000 | | | $ | 593,515 | |
| Total Convertible Corporate Bonds and Notes (Cost $21,736,033) | | | | | | | | 21,902,890 | |
| | | | | | | | | | |
| Corporate Loans—4.0% | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Appvion, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.75%, 6/28/192 | | | | 17,730,000 | | | | 17,397,563 | |
| AZ Chem US, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 4.50%, 6/10/212 | | | | 14,013,699 | | | | 14,031,216 | |
| Celanese US Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche C3, 2.42%, 10/31/182 | | | | 9,850,500 | | | | 9,903,860 | |
| Dynegy, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 4.00%, 4/23/202 | | | | 9,850,000 | | | | 9,828,113 | |
| Energy Future Intermediate Holding Co. LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Delayed Draw, 4.25%, 6/20/162 | | | | 20,000,000 | | | | 20,125,000 | |
| Intelsat Jackson Holdings SA, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B2, 3.75%, 6/30/192 | | | | 17,511,840 | | | | 17,406,768 | |
| International Lease Finance Corp., Sr. Sec. Credit Facilities Term Loan, Tranche B, 3.50%, 2/26/212 | | | | 17,000,000 | | | | 17,037,196 | |
| Total Corporate Loans (Cost $105,769,007) | | | | | | | | 105,729,716 | |
| | | | |
| | | | Exercise Expiration | | | | | | | | | | |
| | | | | | | | | Price | | | Date | | | | | | Contracts | | | | |
| Exchange-Traded Options Purchased—0.0% | | | | | | | | | | | | | | | | | |
| S&P 500 Index Call1 | | | | USD 2,150.000 | | | | 5/15/15 | | | | USD | | | | 162 | | | | 380,700 | |
| S&P 500 Index Call1 | | | | USD 2,140.000 | | | | 3/20/15 | | | | USD | | | | 165 | | | | 90,750 | |
| S&P 500 Index Call1 | | | | USD 2,125.000 | | | | 3/20/15 | | | | USD | | | | 225 | | | | 227,250 | |
| Total Exchange-Traded Options Purchased (Cost $1,377,477) | | | | | | | | 698,700 | |
| | | | | | | |
| | | | | | Pay/Receive | | | | | | | | | | | | Notional | | | | |
| | | | | | Floating | | | Floating | | | Fixed Expiration | | | Amount | | | | |
| | | Counterparty | | | Rate | | | Rate | | | Rate | | | Date | | | (000’s) | | | | |
| Over-the-Counter Interest Rate Swaptions Purchased—0.1% | |
Interest Rate Swap maturing 1/25/26 Put1 | | | GSG | | | | Receive | | |
| Six-Month JPY
BBA LIBOR |
| | | 1.870 | % | | | 1/21/16 | JPY | | | 5,406,000 | | | | 16,011 | |
Interest Rate Swap maturing 11/22/27 Call1 | | | GSG | | | | Receive | | |
| Six-Month JPY
BBA LIBOR |
| | | 1.070 | | | | 11/20/17 | JPY | | | 8,437,000 | | | | 1,316,905 | |
Interest Rate Swap maturing 2/28/27 Put1 | | | JPM | | | | Receive | | |
| Three-
Month USD
BBA LIBOR |
| | | 4.500 | | | | 2/24/17 | USD | | | 50,000 | | | | 438,833 | |
|
| 42 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | Pay/Receive | | | | | | | | | | | | Notional | | | | |
| | | | | | Floating | | | Floating | | | Fixed Expiration | | | Amount | | | | |
| | | Counterparty | | | Rate | | | Rate | | | Rate | | | Date | | | (000’s) | | | Value | |
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) | |
Interest Rate Swap maturing 4/13/26 Call1 | | | JPM | | | | Receive | | |
| Three-
Month USD
BBA LIBOR |
| | | 3.468% | | | | 4/11/16 | USD | | | 33,000 | | | $ | 299,186 | |
Interest Rate Swap maturing 4/13/26 Call1 | | | JPM | | | | Receive | | |
| Three-
Month USD
BBA LIBOR |
| | | 3.410 | | | | 4/11/16 | USD | | | 33,000 | | | | 321,133 | |
Interest Rate Swap maturing 4/27/26 Call1 | | | JPM | | | | Receive | | |
| Three-
Month USD
BBA LIBOR |
| | | 3.373 | | | | 4/25/16 | USD | | | 30,000 | | | | 323,437 | |
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $8,747,006) | | | | | | | | | | | | 2,715,505 | |
| | | | | | | | |
| | | Shares | | | | |
| Investment Companies—24.8% | | | | | | | | |
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.11%11,12 | | | 311,242,379 | | | | 311,242,379 | |
| Oppenheimer Master Loan Fund, LLC1,11 | | | 18,401,410 | | | | 269,162,645 | |
| Oppenheimer Ultra-Short Duration Fund, Cl. Y11 | | | 6,068,306 | | | | 60,804,425 | |
| SPDR Gold Trust Exchange Traded Fund1,13 | | | 166,000 | | | | 19,282,560 | |
| Total Investment Companies (Cost $664,941,751) | | | | | | | 660,492,009 | |
| | | | | | | | |
| | | | | | | | | |
| Total Investments, at Value (Cost $2,879,591,604) | | | 113.0 | % | | | 3,004,234,360 | |
| Net Other Assets (Liabilities) | | | (13.0 | ) | | | (344,628,700 | ) |
| Net Assets | | | 100.0 | % | | $ | 2,659,605,660 | |
| | | | | | | | |
Footnotes to Consolidated Statement of Investments
*February 27, 2015 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.
1. Non-income producing security.
2. Represents the current interest rate for a variable or increasing rate security.
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 $269,652,633 or 10.14% of the Fund’s net assets as of February 27, 2015.
|
| 43 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Consolidated Statement of Investments (Continued)
4. Restricted security. The aggregate value of restricted securities as of February 27, 2015 was $100,939,281, which represents 3.80% of the Fund’s net assets. See Note 4 of the accompanying Consolidated Notes. Information concerning restricted securities is as follows:
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Unrealized | |
| | | Acquisition | | | | | | | | | Appreciation/ | |
| Security | | Dates | | | Cost | | | Value | | | (Depreciation) | |
| Aircraft Lease Securitisation Ltd., Series 2007-1A, Cl. G3, 0.434%, 5/10/32 | | | 5/14/13-1/9/15 | | | $ | 16,741,670 | | | $ | 17,104,313 | | | $ | 362,643 | |
| Airspeed Ltd., Series 2007-1A, Cl. G1, 0.442%, 6/15/32 | | | 7/28/10-10/21/10 | | | | 23,448,462 | | | | 23,501,596 | | | | 53,134 | |
| Airspeed Ltd., Series 2007-1A, Cl. G2, 0.452%, 6/15/32 | | | 4/8/11 | | | | 8,248,314 | | | | 8,178,065 | | | | (70,249 | ) |
| Blade Engine Securitization Ltd., Series 2006-1A, Cl. B, 3.173%, 9/15/41 | | | 11/10/09 | | | | 4,609,814 | | | | 2,826,143 | | | | (1,783,671 | ) |
| Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.473%, 9/15/41 | | | 4/19/13-5/29/13 | | | | 16,987,620 | | | | 17,017,239 | | | | 29,619 | |
| Clearwire Communications LLC/Clearwire Finance, Inc., 8.25% Cv. Sr. Unsec. Nts., 12/1/40 | | | 9/23/13-12/11/14 | | | | 20,070,033 | | | | 20,257,500 | | | | 187,467 | |
| Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds | | | 10/27/14-11/13/14 | | | | 2,099,417 | | | | 2,176,313 | | | | 76,896 | |
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds | | | 5/1/13-5/8/13 | | | | 2,800,150 | | | | 2,875,600 | | | | 75,450 | |
| Raspro Trust, Series 2005-1A, Cl. G, 0.647%, 3/23/24 | | | 6/11/13 | | | | 463,883 | | | | 486,810 | | | | 22,927 | |
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds | | | 3/10/10-2/3/15 | | | | 3,737,267 | | | | 4,123,840 | | | | 386,573 | |
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 | | | 11/20/13-12/8/14 | | | | 2,343,026 | | | | 2,391,862 | | | | 48,836 | |
| | | | | | $ | 101,549,656 | | | $ | 100,939,281 | | | $ | (610,375 | ) |
| | | | | | | | | | | | | | | | |
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $9,637,575 or 0.36% of the Fund’s net assets as of February 27, 2015.
6. Interest rate is less than 0.0005%.
7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $171,321 or 0.01% of the Fund’s net assets as of February 27, 2015.
8. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after February 27, 2015. See Note 4 of the accompanying Consolidated Notes.
|
| 44 OPPENHEIMER CAPITAL INCOME FUND |
Footnotes to Consolidated Statement of Investments (Continued)
9. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 5 of the accompanying Consolidated Notes.
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, as amended, at or during the period ended February 27, 2015, 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 August 29, 2014a | | | Gross Additions | | | Gross Reductions | | | Shares February 27, 2015 | |
| Oppenheimer Institutional Money Market Fund, Cl. E | | | 142,722,250 | | | | 683,773,794 | | | | 515,253,665 | | | | 311,242,379 | |
| Oppenheimer Master Loan Fund, LLC | | | 18,401,410 | | | | — | | | | — | | | | 18,401,410 | |
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | | | 6,058,107 | | | | 10,199 | | | | — | | | | 6,068,306 | |
| | | | | | | | | | | | |
| | | Value | | | Income | | | Realized Loss | |
| Oppenheimer Institutional Money Market Fund, Cl. E | | $ | 311,242,379 | | | $ | 126,654 | | | $ | — | |
| Oppenheimer Master Loan Fund, LLC | | | 269,162,645 | | | | 7,283,216b | | | | (2,813,393)b | |
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | | | 60,804,425 | | | | 95,611 | | | | — | |
| Total | | $ | 641,209,449 | | | $ | 7,505,481 | | | $ | (2,813,393) | |
| | | | | | | | | | | | |
a. August 29, 2014 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.
b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
12. Rate shown is the 7-day yield as of February 27, 2015.
13. All or a portion of this security is owned by the subsidiary. See accompanying Consolidated Notes.
| | | | | | | | | | | | | | | | | | | | |
| Forward Currency Exchange Contracts as of February 27, 2015 | |
| Counterparty | | Settlement Month(s) | | Currency Purchased
(000’s) | | | | | | Currency Sold
(000’s) | | | Unrealized
Appreciation | |
BOA | | 04/2015 | | USD | | | 8,533 | | | | AUD | | | $ | 277,885 | | | $ | 277,885 | |
BOA | | 04/2015 | | USD | | | 25,814 | | | | JPY | | | | 380,679 | | | | 380,679 | |
JPM | | 04/2015 | | USD | | | 19,460 | | | | EUR | | | | 506,282 | | | | 506,282 | |
MSCO | | 04/2015 | | USD | | | 20,964 | | | | CAD | | | | 174,576 | | | | 174,576 | |
Total Unrealized Appreciation | | | | | | | | | | | | | | | | | | $ | 1,339,422 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Futures Contracts as of February 27, 2015 | |
| Description | | Exchange | | | Buy/Sell | | | Expiration Date | | | Number of Contracts | | | Value | | | Unrealized Appreciation (Depreciation) | |
90 Day Euro | | | CME | | | | Sell | | | | 12/19/16 | | | | 125 | | | $ | 30,745,313 | | | $ | (198,301) | |
Euro-BTP | | | EUX | | | | Sell | | | | 3/9/15 | | | | 50 | | | | 7,883,148 | | | | (386,731) | |
United States Treasury Long Bonds | | | CBT | | | | Buy | | | | 6/19/15 | | | | 21 | | | | 3,398,719 | | | | 7,227 | |
United States Treasury Nts., 2 yr. | | | CBT | | | | Sell | | | | 6/30/15 | | | | 175 | | | | 38,251,172 | | | | (15,408) | |
United States Treasury Nts., 5 yr. | | | CBT | | | | Sell | | | | 6/30/15 | | | | 85 | | | | 10,138,906 | | | | (6,861) | |
|
| 45 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Futures Contracts (Continued) | |
| Description | | | | | Exchange | | | Buy/Sell | | | Expiration Date | | | Number of Contracts | | | Value | | | Unrealized Appreciation (Depreciation) | |
United States Treasury Nts., 10 yr. | | | | | | | CBT | | | | Sell | | | | 6/19/15 | | | | 637 | | | $ | 81,406,609 | | | $ | (244,332) | |
United States Treasury Ultra Bonds | | | | | | | CBT | | | | Buy | | | | 6/19/15 | | | | 239 | | | | 40,219,219 | | | | 228,885 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | (615,521) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit Default Swaps at February 27, 2015 | |
| Reference Asset | | | | | Buy/Sell Protection | | | Fixed Rate | | | Maturity Date | | | Notional Amount (000’s) | | | Premiums Received/(Paid) | | | Value | |
| CDX.IG.22 | | | | | | | Sell | | | | 1.000% | | | | 6/20/19 | USD | | | 25,000 | | | $ | 496,010 | | | $ | 533,836 | |
| CDX.NA.HY.22 | | | | | | | Buy | | | | 5.000 | | | | 6/20/19 | USD | | | 19,600 | | | | (1,700,300) | | | | (1,746,004) | |
| iTraxx.Main.21 | | | | | | | Buy | | | | 1.000 | | | | 6/20/19 | EUR | | | 19,000 | | | | (496,756) | | | | (554,277) | |
| Total of Centrally Cleared Credit Default Swaps | | | | | | | | | | | $ | (1,701,046) | | | $ | (1,766,445) | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Over-the-Counter Credit Default Swaps at February 27, 2015 | |
| Reference Asset | | Counterparty | | | Buy/Sell
Protection | | | Fixed
Rate | | | Maturity
Date | | | Notional
Amount
(000’s) | | | Premiums
Received/(Paid) | | | Value | |
| Federative Republic of Brazil | | | GSG | | | | Buy | | | | 1.000% | | | | 3/20/20 | USD | | | 5,000 | | | $ | 326,220 | | | $ | 313,035 | |
| Federative Republic of Brazil | | | JPM | | | | Buy | | | | 1.000 | | | | 3/20/20 | USD | | | 10,000 | | | | 448,843 | | | | 626,071 | |
| Kingdom of Spain | | | BOA | | | | Buy | | | | 1.000 | | | | 3/20/20 | USD | | | 15,000 | | | | 15,205 | | | | (50,194) | |
| Portuguese Republic | | | JPM | | | | Buy | | | | 1.000 | | | | 3/20/20 | USD | | | 3,790 | | | | 211,554 | | | | 54,188 | |
| Portuguese Republic | | | JPM | | | | Buy | | | | 1.000 | | | | 3/20/20 | USD | | | 6,210 | | | | 319,151 | | | | 88,788 | |
| Total of Over-the-Counter Credit Default Swaps | | | | | | | | | | | | | | | $ | 1,320,973 | | | $ | 1,031,888 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
| | | | | | | | | | | | |
Type of Reference Asset on which the Fund Sold Protection | | Total Maximum Potential Payments for Selling Credit Protection (Undiscounted) | | | Amount Recoverable* | | | Reference Asset Rating Range** | |
| | | |
Investment Grade Corporate Debt Indexes | | | $25,000,000 | | | | $- | | | | 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| Over-the-Counter Total Return Swaps at February 27, 2015 | |
| Reference Asset | | Counterparty | | | Pay/Receive
Total
Return* | | | Floating Rate | | | Maturity
Date | | | Notional Amount
(000’s) | | | Value | |
Blackstone Group LP | | | GSG | | | | Receive | | |
| Twelve-Month
USD BBA LIBOR
plus 53 basis
points |
| | | 12/4/15 | USD | | | 14,948 | | | $ | 348,685 | |
|
| 46 OPPENHEIMER CAPITAL INCOME FUND |
|
| Over-the-Counter Total Return Swaps (Continued) |
* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
Glossary:
Counterparty Abbreviations
| | |
| BOA | | Bank of America NA |
| GSG | | Goldman Sachs Group, Inc. (The) |
| JPM | | JPMorgan Chase Bank NA |
| MSCO | | Morgan Stanley Capital Services, Inc. |
Currency abbreviations indicate amounts reporting in currencies
| | |
| AUD | | Australian Dollar |
| CAD | | Canadian Dollar |
| EUR | | Euro |
| JPY | | Japanese Yen |
Definitions
| | |
| BBA LIBOR | | British Bankers’ Association London - Interbank Offered Rate |
| CDX.IG.22 | | Markit CDX Investment Grade Index |
| CDX.NA.HY.22 | | Markit CDX North American High Yield |
| iTraxx.Main 21 | | Credit Default Swap Trading Index for a Specific Basket of Securities |
Exchange Abbreviations
| | |
| CBT | | Chicago Board of Trade |
| CME | | Chicago Mercantile Exchanges |
| EUX | | European Stock Exchange |
| OTC | | Over-the-Counter |
See accompanying Notes to Consolidated Financial Statements.
|
| 47 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF
ASSETS AND LIABILITIES February 27, 20151 Unaudited
| | | | |
| |
| Assets | | | | |
| Investments, at value—see accompanying statement of investments: | | | | |
| Unaffiliated companies (cost $2,234,530,985) | | $ | 2,363,024,911 | |
| Affiliated companies (cost $645,060,619) | | | 641,209,449 | |
| | | | |
| | | 3,004,234,360 | |
| |
| Cash | | | 5,933,934 | |
| |
| Cash used for collateral on futures | | | 1,400,000 | |
| |
| Cash used for collateral on centrally cleared swaps | | | 2,684,954 | |
| |
| Unrealized appreciation on foreign currency exchange contracts | | | 1,339,422 | |
| |
| Swaps, at value (premiums received $1,305,768) | | | 1,430,767 | |
| |
| Centrally cleared swaps, at value (premiums received $496,010) | | | 533,836 | |
| |
| Receivables and other assets: | | | | |
| Investments sold (including $41,646,797 sold on a when-issued or delayed delivery basis) | | | 50,475,070 | |
| Interest, dividends and principal paydowns | | | 10,671,295 | |
| Shares of beneficial interest sold | | | 7,864,505 | |
| Variation margin receivable | | | 113,169 | |
| Other | | | 351,099 | |
| | | | |
| Total assets | | | 3,087,032,411 | |
|
| |
| Liabilities | | | | |
| Swaps, at value (premiums received $15,205) | | | 50,194 | |
| |
| Centrally cleared swaps, at value (premiums paid $2,197,056) | | | 2,300,281 | |
| |
| Payables and other liabilities: | | | | |
| Investments purchased (including $384,391,028 purchased on a when-issued or delayed delivery basis) | | | 420,276,712 | |
| Shares of beneficial interest redeemed | | | 3,983,452 | |
| Distribution and service plan fees | | | 438,030 | |
| Trustees’ compensation | | | 166,758 | |
| Variation margin payable | | | 137,696 | |
| Shareholder communications | | | 21,425 | |
| Other | | | 52,203 | |
| | | | |
| Total liabilities | | | 427,426,751 | |
|
| |
Net Assets | | $ | 2,659,605,660 | |
| | | | |
|
| |
| Composition of Net Assets | | | | |
| Par value of shares of beneficial interest | | $ | 268,555 | |
| |
| Additional paid-in capital | | | 2,874,147,400 | |
| |
| Accumulated net investment income | | | 17,543,304 | |
| |
| Accumulated net realized loss on investments and foreign currency transactions | | | (357,679,915) | |
| |
| Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | | | 125,326,316 | |
| | | | |
Net Assets | | $ | 2,659,605,660 | |
| | | | |
|
| 48 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 $1,792,175,130 and 180,081,704 shares of beneficial interest outstanding) | | | $9.95 | |
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) | | | $10.56 | |
| |
Class B Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $25,510,712 and 2,621,327 shares of beneficial interest outstanding) | | | $9.73 | |
| |
Class C Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $381,518,030 and 39,539,914 shares of beneficial interest outstanding) | | | $9.65 | |
| |
Class I Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $12,936,187 and 1,300,360 shares of beneficial interest outstanding) | | | $9.95 | |
| |
Class R Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $26,358,890 and 2,682,629 shares of beneficial interest outstanding) | | | $9.83 | |
| |
Class Y Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $421,106,711 and 42,329,039 shares of beneficial interest outstanding) | | | $9.95 | |
1. February 27, 2015 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
|
| 49 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF
OPERATIONS For the Six Months Ended February 27, 20151 Unaudited
| | | | |
| |
| Allocation of Income and Expenses from Master Fund2 | | | | |
| Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | | | | |
| Interest | | $ | 7,214,862 | |
| Dividends | | | 68,354 | |
| Net expenses | | | (461,050) | |
| | | | |
| Net investment income allocated from Oppenheimer Master Loan Fund, LLC | | | 6,822,166 | |
|
| |
| Investment Income | | | | |
| Interest | | | 22,345,002 | |
| |
| Dividends: | | | | |
| Unaffiliated companies (net of foreign withholding taxes of $143,084) | | | 14,477,393 | |
| Affiliated companies | | | 222,265 | |
| |
| Fee income on when-issued securities | | | 2,826,112 | |
| | | | |
| Total investment income | | | 39,870,772 | |
|
| |
| Expenses | | | | |
| Management fees | | | 6,658,976 | |
| |
| Distribution and service plan fees: | | | | |
| Class A | | | 2,026,654 | |
| Class B | | | 131,902 | |
| Class C | | | 1,675,917 | |
| Class R | | | 58,833 | |
| |
| Transfer and shareholder servicing agent fees: | | | | |
| Class A | | | 1,903,284 | |
| Class B | | | 29,127 | |
| Class C | | | 368,823 | |
| Class I | | | 1,800 | |
| Class R | | | 26,845 | |
| Class Y | | | 389,828 | |
| |
| Shareholder communications: | | | | |
| Class A | | | 36,716 | |
| Class B | | | 2,304 | |
| Class C | | | 4,660 | |
| Class R | | | 576 | |
| Class Y | | | 2,032 | |
| |
| Trustees’ compensation | | | 47,918 | |
| |
| Custodian fees and expenses | | | 9,699 | |
| |
| Other | | | 175,661 | |
| | | | |
| Total expenses | | | 13,551,555 | |
| Less reduction to custodian expenses | | | (56) | |
| Less waivers and reimbursements of expenses | | | (696,082) | |
| | | | |
| Net expenses | | | 12,855,417 | |
|
| |
| Net Investment Income | | | 33,837,521 | |
|
| 50 OPPENHEIMER CAPITAL INCOME FUND |
| | | | |
| |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain on: | | | | |
| Investments from unaffiliated companies (includes premiums on options exercised) | | $ | 78,925,448 | |
| Closing and expiration of futures contracts | | | 2,093,263 | |
| Foreign currency transactions | | | 8,109,606 | |
| Swap contracts | | | 2,734,120 | |
| |
| Net realized loss allocated from Oppenheimer Master Loan Fund, LLC | | | (2,813,393) | |
| | | | |
| Net realized gain | | | 89,049,044 | |
| |
| Net change in unrealized appreciation/depreciation on: | | | | |
| Investments | | | (88,826,274) | |
| Translation of assets and liabilities denominated in foreign currencies | | | (1,928,080) | |
| Futures contracts | | | (1,373,408) | |
| Swap contracts | | | 1,061,156 | |
| |
| Net change in unrealized appreciation/depreciation allocated from: | | | | |
| Oppenheimer Master Loan Fund, LLC | | | (3,267,215) | |
| | | | |
| Net change in unrealized appreciation/depreciation | | | (94,333,821) | |
|
| |
Net Increase in Net Assets Resulting from Operations | | $ | 28,552,744 | |
| | | | |
1. February 27, 2015 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Consolidated Notes.
2. The Fund invests in an affiliated mutual fund that expects to be treated as a partnership for tax purposes. See Note 4 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
|
| 51 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED STATEMENT OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended February 27, 20151 (Unaudited) | | | Year Ended August 29, 20141 | |
| |
| Operations | | | | | | | | |
| Net investment income | | $ | 33,837,521 | | | $ | 72,001,578 | |
| |
| Net realized gain | | | 89,049,044 | | | | 61,127,118 | |
| |
| Net change in unrealized appreciation/depreciation | | | (94,333,821) | | | | 87,655,084 | |
| | | | | | | | |
| Net increase in net assets resulting from operations | | | 28,552,744 | | | | 220,783,780 | |
| |
| Dividends and/or Distributions to Shareholders | | | | | | | | |
| Dividends from net investment income: | | | | | | | | |
| Class A | | | (32,183,207) | | | | (51,014,563) | |
| Class B | | | (394,740) | | | | (742,478) | |
| Class C | | | (5,295,794) | | | | (5,616,817) | |
| Class I | | | (247,091) | | | | (136,486) | |
| Class R2 | | | (420,343) | | | | (644,299) | |
| Class Y | | | (7,080,955) | | | | (4,983,131) | |
| | | | |
| | | (45,622,130) | | | | (63,137,774) | |
| |
| Beneficial Interest Transactions | | | | | | | | |
| Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
| Class A | | | 75,579,827 | | | | 93,742,312 | |
| Class B | | | (3,244,319) | | | | (7,075,925) | |
| Class C | | | 87,432,671 | | | | 96,329,387 | |
| Class I | | | 2,123,804 | | | | 10,640,476 | |
| Class R2 | | | 2,727,751 | | | | 2,040,556 | |
| Class Y | | | 141,961,149 | | | | 162,382,444 | |
| | | | | | | | |
| | | 306,580,883 | | | | 358,059,250 | |
| |
| Net Assets | | | | | | | | |
| Total increase | | | 289,511,497 | | | | 515,705,256 | |
| |
| Beginning of period | | | 2,370,094,163 | | | | 1,854,388,907 | |
| | | | | | | | |
| | |
| End of period (including accumulated net investment income of $17,543,304 and $29,327,913, respectively) | | $ | 2,659,605,660 | | | $ | 2,370,094,163 | |
| | | | |
1. February 27, 2015 and August 29, 2014 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Consolidated Notes.
2. Effective July 1, 2014, Class N shares were renamed Class R. See Note 2 of the accompanying Consolidated Notes.
See accompanying Notes to Consolidated Financial Statements.
|
| 52 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class A | | Six Months Ended February 27, 20151 (Unaudited) | | | Year Ended August 29, 2014 1 | | | Year Ended August 30, 2013 1 | | | Year Ended August 31, 2012 | | | Year Ended August 31, 2011 | | | Year Ended August 31, 2010 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.03 | | | $ | 9.29 | | | $ | 9.17 | | | $ | 8.70 | | | $ | 8.18 | | | $ | 7.50 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.14 | | | | 0.34 | | | | 0.29 | | | | 0.28 | | | | 0.31 | | | | 0.30 | |
| Net realized and unrealized gain (loss) | | | (0.04) | | | | 0.71 | | | | 0.19 | | | | 0.54 | | | | 0.58 | | | | 0.53 | |
| Total from investment operations | | | 0.10 | | | | 1.05 | | | | 0.48 | | | | 0.82 | | | | 0.89 | | | | 0.83 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.18) | | | | (0.31) | | | | (0.36) | | | | (0.35) | | | | (0.37) | | | | (0.15) | |
| |
| Net asset value, end of period | | $ | 9.95 | | | $ | 10.03 | | | $ | 9.29 | | | $ | 9.17 | | | $ | 8.70 | | | $ | 8.18 | |
| | | | |
|
| |
| Total Return, at Net Asset Value3 | | | 1.05% | | | | 11.44% | | | | 5.30% | | | | 9.69% | | | | 11.06% | | | | 11.13% | |
|
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period | | | | | | | | | | | | | | | | | | | | | | | | |
| (in thousands) | | $ | 1,792,175 | | | $ | 1,730,245 | | | $ | 1,512,076 | | | $ | 1,422,232 | | | $ | 1,423,082 | | | $ | 1,450,829 | |
| |
| Average net assets (in thousands) | | $ | 1,744,757 | | | $ | 1,627,867 | | | $ | 1,468,782 | | | $ | 1,400,955 | | | $ | 1,486,145 | | | $ | 1,512,770 | |
| |
| Ratios to average net assets:4 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.81%5 | | | | 3.55%5 | | | | 3.07%5 | | | | 3.18%5 | | | | 3.55%5 | | | | 3.75% | |
| Total expenses6 | | | 1.05%5 | | | | 1.04%5 | | | | 0.98%5 | | | | 1.00%5 | | | | 0.99%5 | | | | 1.02% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.99%5 | | | | 0.98%5 | | | | 0.93%5 | | | | 0.96%5 | | | | 0.96%5 | | | | 0.90% | |
| |
| Portfolio turnover rate7 | | | 50% | | | | 93% | | | | 84% | | | | 80% | | | | 92% | | | | 77% | |
|
| 53 OPPENHEIMER CAPITAL INCOME FUND |
1. February 27, 2015, August 29, 2014 and August 30, 2013 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | |
| | | | | |
Six Months Ended February 27, 2015 | | 1.07% | |
Year Ended August 29, 2014 | | 1.06% | |
Year Ended August 30, 2013 | | 1.00% | |
Year Ended August 31, 2012 | | 1.02% | |
Year Ended August 31, 2011 | | 1.01% | |
Year Ended August 31, 2010 | | 1.04% | |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Year Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
Year Ended August 30, 2013 | | | $3,481,764,612 | | | | $3,521,818,336 | |
Year Ended August 31, 2012 | | | $3,053,290,246 | | | | $3,030,115,715 | |
Year Ended August 31, 2011 | | | $3,228,874,778 | | | | $3,180,407,334 | |
Year Ended August 31, 2010 | | | $3,224,346,084 | | | | $3,374,267,286 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 54 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | Six Months
Ended
February
27, 20151
(Unaudited) | | | Year Ended
August 29,
2014 1 | | | Year Ended
August 30,
2013 1 | | | Year Ended
August 31,
2012 | | | Year Ended
August 31,
2011 | | | Year Ended
August 31,
2010 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.81 | | | $ | 9.09 | | | $ | 8.98 | | | $ | 8.51 | | | $ | 8.01 | | | $ | 7.36 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.10 | | | | 0.26 | | | | 0.19 | | | | 0.19 | | | | 0.22 | | | | 0.22 | |
| Net realized and unrealized gain (loss) | | | (0.04) | | | | 0.68 | | | | 0.19 | | | | 0.54 | | | | 0.57 | | | | 0.52 | |
| Total from investment operations | | | 0.06 | | | | 0.94 | | | | 0.38 | | | | 0.73 | | | | 0.79 | | | | 0.74 | |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.14) | | | | (0.22) | | | | (0.27) | | | | (0.26) | | | | (0.29) | | | | (0.09) | |
| Net asset value, end of period | | $ | 9.73 | | | $ | 9.81 | | | $ | 9.09 | | | $ | 8.98 | | | $ | 8.51 | | | $ | 8.01 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value3 | | | 0.65% | | | | 10.48% | | | | 4.24% | | | | 8.80% | | | | 9.94% | | | | 10.05% | |
| | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 25,511 | | | $ | 29,021 | | | $ | 33,683 | | | $ | 43,790 | | | $ | 50,221 | | | $ | 65,079 | |
| Average net assets (in thousands) | | $ | 26,703 | | | $ | 30,985 | | | $ | 38,619 | | | $ | 45,562 | | | $ | 60,410 | | | $ | 75,369 | |
| Ratios to average net assets:4 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.05% | 5 | | | 2.70% | 5 | | | 2.10% | 5 | | | 2.20% | 5 | | | 2.55% | 5 | | | 2.81% | |
| Total expenses6 | | | 1.83% | 5 | | | 1.94% | 5 | | | 2.07% | 5 | | | 2.12% | 5 | | | 2.12% | 5 | | | 2.14% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.77% | 5 | | | 1.83% | 5 | | | 1.94% | 5 | | | 1.94% | 5 | | | 1.97% | 5 | | | 1.85% | |
| Portfolio turnover rate7 | | | 50% | | | | 93% | | | | 84% | | | | 80% | | | | 92% | | | | 77% | |
|
| 55 OPPENHEIMER CAPITAL INCOME FUND |
1. February 27, 2015, August 29, 2014 and August 30, 2013 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | |
| | | | | |
Six Months Ended February 27, 2015 | | 1.85% | |
Year Ended August 29, 2014 | | 1.96% | |
Year Ended August 30, 2013 | | 2.09% | |
Year Ended August 31, 2012 | | 2.14% | |
Year Ended August 31, 2011 | | 2.14% | |
Year Ended August 31, 2010 | | 2.16% | |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Year Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
Year Ended August 30, 2013 | | | $3,481,764,612 | | | | $3,521,818,336 | |
Year Ended August 31, 2012 | | | $3,053,290,246 | | | | $3,030,115,715 | |
Year Ended August 31, 2011 | | | $3,228,874,778 | | | | $3,180,407,334 | |
Year Ended August 31, 2010 | | | $3,224,346,084 | | | | $3,374,267,286 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 56 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | Six Months
Ended
February 27,
20151
(Unaudited) | | | Year Ended
August 29,
2014 1 | | | Year Ended
August 30,
2013 1 | | | Year Ended
August 31,
2012 | | | Year Ended
August 31,
2011 | | | Year Ended
August 31,
2010 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.74 | | | $ | 9.03 | | | $ | 8.93 | | | $ | 8.47 | | | $ | 7.98 | | | $ | 7.33 | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.10 | | | | 0.26 | | | | 0.20 | | | | 0.20 | | | | 0.23 | | | | 0.23 | |
| Net realized and unrealized gain (loss) | | | (0.04) | | | | 0.69 | | | | 0.19 | | | | 0.53 | | | | 0.56 | | | | 0.52 | |
| Total from investment operations | | | 0.06 | | | | 0.95 | | | | 0.39 | | | | 0.73 | | | | 0.79 | | | | 0.75 | |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.15) | | | | (0.24) | | | | (0.29) | | | | (0.27) | | | | (0.30) | | | | (0.10) | |
| Net asset value, end of period | | $ | 9.65 | | | $ | 9.74 | | | $ | 9.03 | | | $ | 8.93 | | | $ | 8.47 | | | $ | 7.98 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value3 | | | 0.63% | | | | 10.66% | | | | 4.41% | | | | 8.91% | | | | 10.00% | | | | 10.19% | |
| | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 381,518 | | | $ | 296,136 | | | $ | 182,920 | | | $ | 112,220 | | | $ | 98,566 | | | $ | 100,299 | |
| Average net assets (in thousands) | | $ | 338,291 | | | $ | 230,619 | | | $ | 140,184 | | | $ | 101,423 | | | $ | 102,156 | | | $ | 106,999 | |
| Ratios to average net assets:4 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.03% | 5 | | | 2.76% | 5 | | | 2.24% | 5 | | | 2.32% | 5 | | | 2.67% | 5 | | | 2.88% | |
| Total expenses6 | | | 1.82% | 5 | | | 1.82% | 5 | | | 1.80% | 5 | | | 1.86% | 5 | | | 1.87% | 5 | | | 1.89% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.76% | 5 | | | 1.76% | 5 | | | 1.75% | 5 | | | 1.82% | 5 | | | 1.84% | 5 | | | 1.77% | |
| Portfolio turnover rate7 | | | 50% | | | | 93% | | | | 84% | | | | 80% | | | | 92% | | | | 77% | |
|
| 57 OPPENHEIMER CAPITAL INCOME FUND |
1. February 27, 2015, August 29, 2014 and August 30, 2013 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | |
| | | | | |
Six Months Ended February 27, 2015 | | 1.84% | |
Year Ended August 29, 2014 | | 1.84% | |
Year Ended August 30, 2013 | | 1.82% | |
Year Ended August 31, 2012 | | 1.88% | |
Year Ended August 31, 2011 | | 1.89% | |
Year Ended August 31, 2010 | | 1.91% | |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Year Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
Year Ended August 30, 2013 | | | $3,481,764,612 | | | | $3,521,818,336 | |
Year Ended August 31, 2012 | | | $3,053,290,246 | | | | $3,030,115,715 | |
Year Ended August 31, 2011 | | | $3,228,874,778 | | | | $3,180,407,334 | |
Year Ended August 31, 2010 | | | $3,224,346,084 | | | | $3,374,267,286 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 58 OPPENHEIMER CAPITAL INCOME FUND |
| | | | | | | | |
| Class I | | Six Months
Ended
February 27,
20151
(Unaudited) | | | Period Ended
August 29,
20141,2 | |
| |
| Per Share Operating Data | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.03 | | | $ | 9.60 | |
| |
| Income (loss) from investment operations: | | | | | | | | |
| Net investment income3 | | | 0.16 | | | | 0.26 | |
| Net realized and unrealized gain (loss) | | | (0.03) | | | | 0.31 | |
| | | | |
| Total from investment operations | | | 0.13 | | | | 0.57 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | |
| Dividends from net investment income | | | (0.21) | | | | (0.14) | |
| |
| Net asset value, end of period | | $ | 9.95 | | | $ | 10.03 | |
| | | | |
|
| |
| Total Return, at Net Asset Value4 | | | 1.28% | | | | 6.01% | |
|
| |
| Ratios/Supplemental Data | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 12,936 | | | $ | 10,894 | |
| |
| Average net assets (in thousands) | | $ | 12,116 | | | $ | 7,047 | |
| |
| Ratios to average net assets:5,6 | | | | | | | | |
| Net investment income | | | 3.24% | | | | 3.87% | |
| Total expenses7 | | | 0.62% | | | | 0.64% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.56% | | | | 0.58% | |
| |
| Portfolio turnover rate8 | | | 50% �� | | | | 93% | |
1. February 27, 2015 and August 29, 2014 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. For the period from December 27, 2013 (inception of offering) to August 29, 2014.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
5. Annualized for periods less than one full year.
6. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | | | | | |
| Six Months Ended February 27, 2015 | | | 0.64 | % | | | | |
| Period Ended August 29, 2014 | | | 0 .66 | % | | | | |
8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
| Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Period Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 59 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class R | | Six Months
Ended
February 27, 2015 1
(Unaudited) | | | Year Ended
August 29,
2014 1 | | | Year Ended
August 30,
2013 1 | | | Year Ended
August 31,
2012 | | | Year Ended
August 31,
2011 | | | Year Ended
August 31,
2010 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 9.91 | | | $ | 9.18 | | | $ | 9.07 | | | $ | 8.60 | | | $ | 8.09 | | | $ | 7.42 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.12 | | | | 0.31 | | | | 0.25 | | | | 0.25 | | | | 0.27 | | | | 0.27 | |
| Net realized and unrealized gain (loss) | | | (0.03) | | | | 0.70 | | | | 0.19 | | | | 0.54 | | | | 0.58 | | | | 0.52 | |
| | | | |
| Total from investment operations | | | 0.09 | | | | 1.01 | | | | 0.44 | | | | 0.79 | | | | 0.85 | | | | 0.79 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.17) | | | | (0.28) | | | | (0.33) | | | | (0.32) | | | | (0.34) | | | | (0.12) | |
| |
| Net asset value, end of period | | $ | 9.83 | | | $ | 9.91 | | | $ | 9.18 | | | $ | 9 .07 | | | $ | 8.60 | | | $ | 8.09 | |
| | | | |
|
| |
| Total Return, at Net Asset Value3 | | | 0.94% | | | | 11.15% | | | | 4.98% | | | | 9.44% | | | | 10.65% | | | | 10.74% | |
|
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 26,359 | | | $ | 23,798 | | | $ | 20,075 | | | $ | 20,994 | | | $ | 20,319 | | | $ | 22,533 | |
| |
| Average net assets (in thousands) | | $ | 24,617 | | | $ | 22,251 | | | $ | 20,943 | | | $ | 20,340 | | | $ | 22,331 | | | $ | 24,365 | |
| |
| Ratios to average net assets:4 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 2.55%5 | | | | 3.27%5 | | | | 2.73%5 | | | | 2.84%5 | | | | 3.18%5 | | | | 3.37% | |
| Total expenses6 | | | 1.30%5 | | | | 1.32%5 | | | | 1.33%5 | | | | 1.34%5 | | | | 1.35%5 | | | | 1.42% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.24%5 | | | | 1.26%5 | | | | 1.28%5 | | | | 1.30%5 | | | | 1.32%5 | | | | 1.28% | |
| |
| Portfolio turnover rate7 | | | 50% | | | | 93% | | | | 84% | | | | 80% | | | | 92% | | | | 77% | |
|
| 60 OPPENHEIMER CAPITAL INCOME FUND |
1. February 27, 2015, August 29, 2014 and August 30, 2013 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
4. Annualized for periods less than one full year.
5. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | | | | | |
| Six Months Ended February 27, 2015 | | | 1.32 | % | | | | |
Year Ended August 29, 2014 | | | 1.34 | % | | | | |
| Year Ended August 30, 2013 | | | 1.35 | % | | | | |
Year Ended August 31, 2012 | | | 1.36 | % | | | | |
| Year Ended August 31, 2011 | | | 1.37 | % | | | | |
Year Ended August 31, 2010 | | | 1.44 | % | | | | |
7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Year Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
Year Ended August 30, 2013 | | | $3,481,764,612 | | | | $3,521,818,336 | |
Year Ended August 31, 2012 | | | $3,053,290,246 | | | | $3,030,115,715 | |
Year Ended August 31, 2011 | | | $3,228,874,778 | | | | $3,180,407,334 | |
Year Ended August 31, 2010 | | | $3,224,346,084 | | | | $3,374,267,286 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 61 OPPENHEIMER CAPITAL INCOME FUND |
CONSOLIDATED FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | |
| Class Y | | Six Months
Ended February 27,
20151
(Unaudited) | | | Year Ended
August 29,
2014 1 | | | Year Ended
August 30,
2013 1 | | | Year Ended
August 31,
2012 | | | Period Ended August 31,
20112 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | $ | 10.03 | | | $ | 9.29 | | | $ | 9.18 | | | $ | 8.70 | | | $ | 8.63 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.15 | | | | 0.37 | | | | 0.30 | | | | 0.30 | | | | 0.21 | |
| Net realized and unrealized gain (loss) | | | (0.03) | | | | 0.70 | | | | 0.19 | | | | 0.55 | | | | 0.004 | |
| | | | |
| Total from investment operations | | | 0.12 | | | | 1.07 | | | | 0.49 | | | | 0.85 | | | | 0.21 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.20) | | | | (0.33) | | | | (0.38) | | | | (0.37) | | | | (0.14) | |
| |
| Net asset value, end of period | | $ | 9.95 | | | $ | 10.03 | | | $ | 9.29 | | | $ | 9.18 | | | $ | 8.70 | |
| | | | |
|
| |
| Total Return, at Net Asset Value5 | | | 1.19% | | | | 11.74% | | | | 5.49% | | | | 10.17% | | | | 2.44% | |
|
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ | 421,107 | | | $ | 280,000 | | | $ | 105,635 | | | $ | 23,119 | | | $ | 4,890 | |
| |
| Average net assets (in thousands) | | $ | 357,695 | | | $ | 162,609 | | | $ | 63,500 | | | $ | 7,746 | | | $ | 3,287 | |
| |
| Ratios to average net assets:6,7 | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 3.01% | | | | 3.77% | | | | 3.27% | | | | 3.46% | | | | 4.04% | |
| Total expenses8 | | | 0.82% | | | | 0.81% | | | | 0.72% | | | | 0.69% | | | | 0.59% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.76% | | | | 0.75% | | | | 0.67% | | | | 0.65% | | | | 0.56% | |
| |
| Portfolio turnover rate9 | | | 50% | | | | 93% | | | | 84% | | | | 80% | | | | 92% | |
|
| 62 OPPENHEIMER CAPITAL INCOME FUND |
1. February 27, 2015, August 29, 2014 and August 30, 2013 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. For the period from January 28, 2011 (inception of offering) to August 31, 2011.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Less than $0.005 per share.
5. 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. The returns do not include adjustments in accordance with generally accepted accounting principles required at the period end for financial reporting purposes.
6. Annualized for periods less than one full year.
7. Includes the Fund’s share of the allocated expenses and/or net investment income from Oppenheimer Master Loan Fund, LLC.
8. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:
| | | | | | | | |
| Six Months Ended February 27, 2015 | | | 0.84 | % | | | | |
Year Ended August 29, 2014 | | | 0.83 | % | | | | |
| Year Ended August 30, 2013 | | | 0.74 | % | | | | |
Year Ended August 31, 2012 | | | 0.71 | % | | | | |
| Period Ended August 31, 2011 | | | 0.61 | % | | | | |
9. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:
| | | | | | | | |
| | | Purchase Transactions | | | Sale Transactions | |
Six Months Ended February 27, 2015 | | | $2,045,337,323 | | | | $1,887,688,722 | |
Year Ended August 29, 2014 | | | $2,958,051,509 | | | | $2,894,379,022 | |
Year Ended August 30, 2013 | | | $3,481,764,612 | | | | $3,521,818,336 | |
Year Ended August 31, 2012 | | | $3,053,290,246 | | | | $3,030,115,715 | |
Period Ended August 31, 2011 | | | $3,228,874,778 | | | | $3,180,407,334 | |
See accompanying Notes to Consolidated Financial Statements.
|
| 63 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED
FINANCIAL STATEMENTS February 27, 20151 Unaudited
1. Organization
Oppenheimer Capital Income Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds will be allowed. As of July 1, 2014, Class N shares were renamed Class R shares. Class N shares subject to a contingent deferred sales charge (“CDSC”) on July 1, 2014, will continue to be subject to a CDSC after the shares are renamed. Purchases of Class R shares occurring on or after July 1, 2014, will not be subject to a CDSC upon redemption. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and R shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies consistently followed by the Fund.
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Semiannual and Annual Periods. The last day of the Fund’s semiannual and annual periods was the last day the New York Stock Exchange was open for trading. The Fund’s consolidated financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
|
| 64 OPPENHEIMER CAPITAL INCOME FUND |
2. Significant Accounting Policies (Continued)
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Capital Income Fund Cayman Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) and exchange traded funds related to gold or other special minerals (“Gold ETF’s”). The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At February 27, 2015, the Fund owned 9,632 shares with net assets of $23,399,163.
| | | | |
Other financial information at February 27, 2015: | | | | |
Total market value of investments | | $ | 19,282,560 | |
Net assets | | $ | 23,399,163 | |
Net income (loss) | | $ | (89,266 | ) |
Net realized gain (loss) | | $ | — | |
Net change in unrealized appreciation/depreciation | | $ | (745,301 | ) |
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Consolidated Statement of Operations.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
|
| 65 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. generally accepted accounting principles, are recorded on the ex-dividend date. Income distributions, if any, are declared and paid quarterly. Capital gain distributions, if any, are declared and paid annually. The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Consolidated Statement of Operations, are amortized or accreted daily.
Custodian Fees. “Custodian fees and expenses” in the Consolidated Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 0.50%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remain open for the three preceding fiscal reporting period ends.
|
| 66 OPPENHEIMER CAPITAL INCOME FUND |
2. Significant Accounting Policies (Continued)
During the fiscal year ended August 29, 2014, the Fund utilized $57,614,761 capital loss carryforward to offset capital gains realized in that fiscal year. The Fund had straddle losses of $70,848 which were deferred. Details of the fiscal year ended August 29, 2014 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
| |
| 2018 | | $ | 438,676,020 | |
As of February 27, 2015, it is estimated that the capital loss carryforwards would be $349,626,976 expiring by 2018. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the six months ended February 27, 2015, it is estimated that the Fund will utilize $89,049,044 of capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains may differ from their ultimate characterization for federal income tax purposes. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of February 27, 2015 are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| | | | |
Federal tax cost of securities | | $ | 2,881,129,084 | |
Federal tax cost of other investments | | | 212,278,534 | |
| | | | |
Total federal tax cost | | $ | 3,093,407,618 | |
| | | | |
Gross unrealized appreciation | | $ | 197,020,529 | |
Gross unrealized depreciation | | | (74,536,573) | |
| | | | |
Net unrealized appreciation | | $ | 122,483,956 | |
| | | | |
Use of Estimates. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
|
| 67 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a
|
| 68 OPPENHEIMER CAPITAL INCOME FUND |
3. Securities Valuation (Continued)
remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| | |
| Security Type | | Standard inputs generally considered by third-party pricing vendors |
|
| Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. |
|
| Loans | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
|
| Event-linked bonds | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
|
| Structured securities | | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. |
|
| Swaps | | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized
|
| 69 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Consolidated Statement of Assets and Liabilities as of February 27, 2015 based on valuation input level:
|
| 70 OPPENHEIMER CAPITAL INCOME FUND |
3. Securities Valuation (Continued)
| | | | | | | | | | | | | | | | |
| | | Level 1—
Unadjusted
Quoted Prices | | | Level 2— Other Significant Observable Inputs | | | Level 3—
Significant
Unobservable
Inputs | | | Value | |
| |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 91,195,487 | | | $ | — | | | $ | — | | | $ | 91,195,487 | |
Consumer Staples | | | 40,679,017 | | | | — | | | | — | | | | 40,679,017 | |
Energy | | | 53,651,781 | | | | 3,877,463 | | | | — | | | | 57,529,244 | |
Financials | | | 136,732,370 | | | | — | | | | — | | | | 136,732,370 | |
Health Care | | | 118,435,207 | | | | 18,370,835 | | | | — | | | | 136,806,042 | |
Industrials | | | 119,233,421 | | | | — | | | | — | | | | 119,233,421 | |
Information Technology | | | 82,798,677 | | | | 8,282,031 | | | | — | | | | 91,080,708 | |
Materials | | | 32,417,378 | | | | — | | | | — | | | | 32,417,378 | |
Telecommunication Services | | | 42,274,549 | | | | — | | | | — | | | | 42,274,549 | |
Utilities | | | 64,618,466 | | | | — | | | | — | | | | 64,618,466 | |
Preferred Stocks | | | — | | | | 6,692,130 | | | | — | | | | 6,692,130 | |
Asset-Backed Securities | | | — | | | | 280,186,399 | | | | 17,017,239 | | | | 297,203,638 | |
Mortgage-Backed Obligations | | | — | | | | 562,307,374 | | | | — | | | | 562,307,374 | |
U.S. Government Obligations | | | — | | | | 7,399,622 | | | | — | | | | 7,399,622 | |
Non-Convertible Corporate Bonds and Notes | | | — | | | | 526,526,094 | | | | — | | | | 526,526,094 | |
Convertible Corporate Bonds and Notes | | | — | | | | 21,902,890 | | | | — | | | | 21,902,890 | |
Corporate Loans | | | — | | | | 105,729,716 | | | | — | | | | 105,729,716 | |
Exchange-Traded Options | | | | | | | | | | | | | | | | |
Purchased | | | 698,700 | | | | — | | | | — | | | | 698,700 | |
Over-the-Counter Interest Rate | | | | | | | | | | | | | | | | |
Swaptions Purchased | | | — | | | | 2,715,505 | | | | — | | | | 2,715,505 | |
Investment Companies | | | 391,329,364 | | | | 269,162,645 | | | | — | | | | 660,492,009 | |
| | | | |
Total Investments, at Value | | | 1,174,064,417 | | | | 1,813,152,704 | | | | 17,017,239 | | | | 3,004,234,360 | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Swaps, at value | | | — | | | | 1,430,767 | | | | — | | | | 1,430,767 | |
Centrally cleared swaps, at value | | | — | | | | 533,836 | | | | — | | | | 533,836 | |
Futures contracts | | | 236,112 | | | | — | | | | — | | | | 236,112 | |
Foreign currency exchange contracts | | | — | | | | 1,339,422 | | | | — | | | | 1,339,422 | |
| | | | |
Total Assets | | $ | 1,174,300,529 | | | $ | 1,816,456,729 | | | $ | 17,017,239 | | | $ | 3,007,774,497 | |
| | | | |
| | | | |
Liabilities Table | | | | | | | | | | | | | | | | |
Other Financial Instruments: | | | | | | | | | | | | | | | | |
Swaps, at value | | $ | — | | | $ | (50,194) | | | $ | — | | | $ | (50,194) | |
Centrally cleared swaps, at value | | | — | | | | (2,300,281) | | | | — | | | | (2,300,281) | |
Futures contracts | | | (851,633) | | | | — | | | | — | | | | (851,633) | |
| | | | |
Total Liabilities | | $ | (851,633) | | | $ | (2,350,475) | | | $ | — | | | $ | (3,202,108) | |
| | | | |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
|
| 71 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| | | | | | | | |
| | | Transfers out of Level 2* | | | Transfers into Level 3* | |
| |
Assets Table | | | | | | | | |
Investments, at Value: | | | | | | | | |
Asset-Backed Securities | | $ | (17,949,268) | | | $ | 17,949,268 | |
| | | | |
Total Assets | | $ | (17,949,268) | | | $ | 17,949,268 | |
| | | | |
*Transferred from Level 2 to Level 3 because of the lack of observable market data.
4. Investments and Risks
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Consolidated Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in Oppenheimer Master Fund. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC (the “Master Fund”). The Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in the Master Fund, the Fund will have greater exposure to the risks of the Master Fund.
The investment objective of the Master Fund is to seek income. The Fund’s investment in the Master Fund is included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its investment in the master fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Fund. As a shareholder, the Fund is subject to its proportional share of the Master Fund’s expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Master Fund.
|
| 72 OPPENHEIMER CAPITAL INCOME FUND |
4. Investments and Risks (Continued)
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of February 27, 2015, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
| | | | |
| | | When-Issued or
Delayed Delivery
Basis Transactions | |
| |
Purchased securities | | | $384,391,028 | |
Sold securities | | | 41,646,797 | |
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
|
| 73 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
At the six months ended February 27, 2015, the Fund pledged $432,016 of collateral to the counterparty for forward roll transactions.
Restricted Securities. As of February 27, 2015, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
5. Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Market Risk Factors. In accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
|
| 74 OPPENHEIMER CAPITAL INCOME FUND |
5. Risk Exposures and the Use of Derivative Instruments (Continued)
Credit Risk. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
|
| 75 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities as a receivable (or payable) and in the Consolidated Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the six months ended February 27, 2015, the Fund had daily average contract amounts on forward contracts to buy and sell of $2,672,418 and $43,684,130, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and
|
| 76 OPPENHEIMER CAPITAL INCOME FUND |
5. Risk Exposures and the Use of Derivative Instruments (Continued)
losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations. Realized gains (losses) are reported in the Consolidated Statement of Operations at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
During the six months ended February 27, 2015, the Fund had an ending monthly average market value of $65,498,898 and $152,218,201 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Consolidated Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Consolidated Statement of Operations.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
|
| 77 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has purchased call options on individual equity securities and/or equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the six months ended February 27, 2015, the Fund had an ending monthly average market value of $1,683,588 on purchased call options.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of February 27, 2015, the Fund had no outstanding written options.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Consolidated Statement of Operations.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps
|
| 78 OPPENHEIMER CAPITAL INCOME FUND |
5. Risk Exposures and the Use of Derivative Instruments (Continued)
have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
For the six months ended February 27, 2015, the Fund had ending monthly average notional amounts of $50,824,628 and $25,000,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
|
| 79 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
For the six months ended February 27, 2015, the Fund had ending monthly average notional amount of $12,435,027 total return swaps which are long the reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Consolidated Statement of Operations for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate increases relative to the preset interest rate.
|
| 80 OPPENHEIMER CAPITAL INCOME FUND |
5. Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has purchased swaptions which gives it the option to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the six months ended February 27, 2015, the Fund had an ending monthly average market value of $2,978,905 on purchased swaptions.
As of February 27, 2015, the Fund had no outstanding written swaptions.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of February 27, 2015, the Fund has required certain counterparties to post collateral of $4,682,548.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
|
| 81 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.
With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
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| 82 OPPENHEIMER CAPITAL INCOME FUND |
5. Risk Exposures and the Use of Derivative Instruments (Continued)
The following table presents by counterparty the Fund’s OTC derivative assets net of the related collateral pledged by the Fund at February 27, 2015:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Consolidated | |
| | | | | | Statement of Assets & Liabilities | | | | |
| Counterparty | | Gross Amount
of Assets in the
Consolidated
Statement of
Assets & Liabilities* | | | Financial
Instruments
Available for
Offset | | | Financial
Instruments
Collateral
Received** | | | Cash Collateral
Received** | | | Net Amount | |
| |
Bank of America NA | | $ | 658,564 | | | $ | (50,194) | | | $ | (424,925) | | | $ | — | | | $ | 183,445 | |
Goldman Sachs Group, Inc. (The) | | | 1,994,636 | | | | — | | | | (1,782,721) | | | | — | | | | 211,915 | |
JPMorgan Chase Bank NA | | | 2,657,918 | | | | — | | | | (2,184,721) | | | | — | | | | 473,197 | |
Morgan Stanley Capital Services, Inc. | | | 174,576 | | | | — | | | | (174,576) | | | | — | | | | — | |
| | | | |
| | $ | 5,485,694 | | | $ | (50,194) | | | $ | (4,566,943) | | | $ | — | | | $ | 868,557 | |
| | | | |
* OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.
** Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.
The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at February 27, 2015:
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts Not Offset in the Consolidated | |
| | | | | | Statement of Assets & Liabilities | | | | |
| Counterparty | | Gross Amount of
Liabilities in the
Consolidated
Statement of
Assets &
Liabilities* | | | Financial
Instruments
Available for
Offset | | | Financial
Instruments
Collateral
Pledged** | | | Cash Collateral
Pledged** | | | Net Amount | |
| |
Bank of America NA | | $ | (50,194) | | | $ | 50,194 | | | $ | — | | | $ | — | | | $ | — | |
* OTC derivatives are reported gross on the Consolidated Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.
** Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Consolidated Statements of Investments may exceed these amounts.
The following table presents the valuations of derivative instruments by risk exposure as reported within the Consolidated Statement of Assets and Liabilities as of February 27, 2015:
|
| 83 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
5. Risk Exposures and the Use of Derivative Instruments (Continued)
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| Derivatives Not | | | | | | | | | | |
| Accounted for as | | Consolidated Statement | | | | | Consolidated Statement | | | |
| Hedging | | of Assets and Liabilities | | | | | of Assets and Liabilities | | | |
| Instruments | | Location | | Value | | | Location | | Value | |
| |
| Credit contracts | | Swaps, at value | | $ | 1,082,082 | | | Swaps, at value | | $ | 50,194 | |
| Equity contracts | | Swaps, at value | | | 348,685 | | | | | | | |
| Credit contracts | | Centrally cleared swaps, at value | | | 533,836 | | | Centrally cleared swaps, at value | | | 2,300,281 | |
| Interest rate contracts | | Variation margin receivable | | | 113,169* | | | Variation margin payable | | | 137,696* | |
| Foreign exchange contracts | | Unrealized appreciation on foreign currency exchange contracts | | | 1,339,422 | | | | | | | |
| Interest rate contracts | | Investments, at value | | | 3,414,205** | | | | | | | |
| | | | | | | | | | | | |
Total | | | | $ | 6,831,399 | | | | | $ | 2,488,171 | |
| | | | | | | | | | | | |
*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Consolidated Statement of Assets and Liabilities upon receipt or payment.
**Amounts relate to purchased option contracts and purchased swaption contracts.
The effect of derivative instruments on the Consolidated Statement of Operations is as follows:
| | | | | | | | | | | | | | | | | | | | |
Amount of Realized Gain or (Loss) Recognized on Derivatives | |
| | | Investment | | | Closing and | | | | | | | | | | |
| Derivatives Not | | from | | | expiration of | | | Foreign | | | | | | | |
| Accounted for as | | unaffiliated | | | futures | | | currency | | | | | | | |
| Hedging Instruments | | companies | | | contracts | | | transactions | | | Swap contracts | | | Total | |
| |
Credit contracts | | $ | (478,671) | | | $ | — | | | $ | — | | | $ | 182,998 | | | $ | (295,673) | |
Equity contracts | | | 210,561 | | | | (1,469,539) | | | | — | | | | 2,551,122 | | | | 1,292,144 | |
Foreign exchange contracts | | | — | | | | — | | | | 8,184,015 | | | | — | | | | 8,184,015 | |
Interest rate contracts | | | 21,043 | | | | 3,562,802 | | | | — | | | | — | | | | 3,583,845 | |
| | | | |
Total | | $ | (247,067) | | | $ | 2,093,263 | | | $ | 8,184,015 | | | $ | 2,734,120 | | | $ | 12,764,331 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | |
| Derivatives Not | | | | | | | | Translation of assets | | | | | | | |
| Accounted for as | | | | | | | | and liabilities | | | | | | | |
| Hedging | | | | | Futures | | | denominated in | | | | | | | |
| Instruments | | Investments* | | | contracts | | | foreign currencies | | | Swap contracts | | | Total | |
| |
Credit contracts | | $ | 395,427 | | | $ | — | | | $ | — | | | $ | 1,629,003 | | | $ | 2,024,430 | |
Equity contracts | | | — | | | | — | | | | — | | | | (567,847) | | | | (567,847) | |
Foreign exchange contracts | | | — | | | | — | | | | 1,004,037 | | | | — | | | | 1,004,037 | |
Interest rate contracts | | | (3,293,475) | | | | (1,373,408) | | | | — | | | | — | | | | (4,666,883) | |
| | | | |
Total | | $ | (2,898,048) | | | $ | (1,373,408) | | | $ | 1,004,037 | | | $ | 1,061,156 | | | $ | (2,206,263) | |
| | | | |
*Includes purchased option contracts and purchased swaption contracts, if any.
|
| 84 OPPENHEIMER CAPITAL INCOME FUND |
6. Shares of Beneficial Interest
The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended February 27, 2015 | | | Year Ended August 29, 20141 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class A | | | | | | | | | | | | | | | | |
Sold | | | 18,760,971 | | | $ | 185,072,589 | | | | 30,612,663 | | | $ | 297,503,045 | |
Dividends and/or distributions reinvested | | | 3,059,285 | | | | 30,183,280 | | | | 4,998,073 | | | | 48,245,642 | |
Redeemed | | | (14,162,857) | | | | (139,676,042) | | | | (25,973,757) | | | | (252,006,375) | |
| | | | |
Net increase | | | 7,657,399 | | | $ | 75,579,827 | | | | 9,636,979 | | | $ | 93,742,312 | |
| | | | |
| | | | | | | | | | | | | |
Class B | | | | | | | | | | | | | | | | |
Sold | | | 187,299 | | | $ | 1,809,279 | | | | 493,290 | | | $ | 4,690,506 | |
Dividends and/or distributions reinvested | | | 40,002 | | | | 386,194 | | | | 77,285 | | | | 729,934 | |
Redeemed | | | (563,340) | | | | (5,439,792) | | | | (1,320,532) | | | | (12,496,365) | |
| | | | |
Net decrease | | | (336,039) | | | $ | (3,244,319) | | | | (749,957) | | | $ | (7,075,925) | |
| | | | |
| | | | | | | | | | | | | |
Class C | | | | | | | | | | | | | | | | |
Sold | | | 11,868,257 | | | $ | 113,641,764 | | | | 13,863,707 | | | $ | 131,347,607 | |
Dividends and/or distributions reinvested | | | 480,499 | | | | 4,597,917 | | | | 529,432 | | | | 4,973,417 | |
Redeemed | | | (3,220,705) | | | | (30,807,010) | | | | (4,240,827) | | | | (39,991,637) | |
| | | | |
Net increase | | | 9,128,051 | | | $ | 87,432,671 | | | | 10,152,312 | | | $ | 96,329,387 | |
| | | | |
| | | | | | | | | | | | | |
Class I | | | | | | | | | | | | | | | | |
Sold | | | 351,826 | | | $ | 3,469,509 | | | | 1,203,751 | | | $ | 11,790,222 | |
Dividends and/or distributions reinvested | | | 25,061 | | | | 246,877 | | | | 13,863 | | | | 136,337 | |
Redeemed | | | (162,370) | | | | (1,592,582) | | | | (131,771) | | | | (1,286,083) | |
| | | | |
Net increase | | | 214,517 | | | $ | 2,123,804 | | | | 1,085,843 | | | $ | 10,640,476 | |
| | | | |
| | | | | | | | | | | | | |
Class R2 | | | | | | | | | | | | | | | | |
Sold | | | 589,003 | | | $ | 5,734,089 | | | | 672,917 | | | $ | 6,462,401 | |
Dividends and/or distributions reinvested | | | 40,617 | | | | 395,532 | | | | 64,032 | | | | 610,875 | |
Redeemed | | | (348,627) | | | | (3,401,870) | | | | (523,132) | | | | (5,032,720) | |
| | | | |
Net increase | | | 280,993 | | | $ | 2,727,751 | | | | 213,817 | | | $ | 2,040,556 | |
| | | | |
| | | | | | | | | | | | | |
Class Y | | | | | | | | | | | | | | | | |
Sold | | | 20,227,253 | | | $ | 199,286,330 | | | | 22,294,789 | | | $ | 218,353,652 | |
Dividends and/or distributions reinvested | | | 498,838 | | | | 4,912,406 | | | | 363,289 | | | | 3,511,939 | |
Redeemed | | | (6,305,023) | | | | (62,237,587) | | | | (6,122,066) | | | | (59,483,147) | |
| | | | |
Net increase | | | 14,421,068 | | | $ | 141,961,149 | | | | 16,536,012 | | | $ | 162,382,444 | |
| | | | |
|
| 85 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
6. Shares of Beneficial Interest (Continued)
1. For the year ended August 29, 2014, for Class A, Class B, Class C, Class R and Class Y shares, and for the period from December 27, 2013 (inception of offering) to August 29, 2014, for Class I shares.
2. Effective July 1, 2014, Class N shares were renamed Class R.
7. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IMMF, for the six months ended February 27, 2015 were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
| |
Investment securities | | | $1,103,052,877 | | | | $938,603,986 | |
U.S. government and government agency obligations | | | 120,788,276 | | | | 160,489,680 | |
To Be Announced (TBA) mortgage-related securities | | | 2,045,337,323 | | | | 1,887,688,722 | |
8. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
| | | | |
| Fee Schedule | | | |
Up to $100 million | | | 0.75% | |
Next $100 million | | | 0.70 | |
Next $100 million | | | 0.65 | |
Next $100 million | | | 0.60 | |
Next $100 million | | | 0.55 | |
Next $4.5 billion | | | 0.50 | |
Over $5 billion | | | 0.48 | |
The Manager also provides investment management related services to the Subsidiary. The Subsidiary pays the Manager a monthly management fee at an annual rate according to the above schedule. The Subsidiary also pays certain other expenses including custody and directors’ fees.
The Fund’s management fee for the six months ended February 27, 2015 was 0.54% of average annual net assets before any Subsidiary management fees or any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these
|
| 86 OPPENHEIMER CAPITAL INCOME FUND |
8. Fees and Other Transactions with Affiliates (Continued)
services are detailed in the Consolidated Statement of Operations and Consolidated Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Consolidated Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Distribution and Service Plan for Class A Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund pays a service fee to the Distributor at an annual rate of 0.25% of the daily net assets of Class A shares. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal services and maintenance of accounts of their customers that hold Class A shares. Under the Plan, the Fund may also pay an asset-based sales charge to the Distributor. However, the Fund’s Board has currently set the rate at zero. Fees incurred by the Fund under the Plan are detailed in the Consolidated Statement of Operations.
Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the
|
| 87 OPPENHEIMER CAPITAL INCOME FUND |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares daily net assets and 0.25% on Class R shares daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees vote annually to approve its continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Consolidated Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
| | | | | | | | | | | | | | | | | | | | |
| Six Months Ended | | Class A Front-End Sales Charges Retained by Distributor | | | Class A Contingent Deferred Sales Charges Retained by Distributor | | | Class B Contingent Deferred Sales Charges Retained by Distributor | | | Class C Contingent Deferred Sales Charges Retained by Distributor | | | Class R Contingent Deferred Sales Charges Retained by Distributor | |
| |
| February 27, 2015 | | | $404,567 | | | | $8,957 | | | | $12,197 | | | | $34,598 | | | | $2,416 | |
Waivers and Reimbursements of Expenses. The Manager has contractually agreed to waive the management fee it receives from the Fund in an amount equal to the management fee it receives from the Subsidiary. During the six months ended February 27, 2015, the Manager waived $79,910.
The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF, Oppenheimer Ultra-Short Duration Fund and the Master Fund. During the six months ended February 27, 2015, the Manager waived fees and/or reimbursed the Fund $616,172 for management fees.
These undertakings may be modified or terminated as set forth according to the terms in the prospectus.
9. Pending Litigation
In 2009, seven class action lawsuits were filed in the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc., the Fund’s principal underwriter and distributor (the “Distributor”), and certain funds (but not including the Fund) advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “Defendant Funds”). The lawsuits also named as defendants certain officers and current and former trustees of the respective Defendant Funds. The lawsuits raised claims under federal securities laws and alleged, among other things, that the disclosure documents of the respective Defendant Funds contained misrepresentations and omissions and that the respective Defendant Funds’ investment policies were not followed. The plaintiffs in these actions sought unspecified damages, equitable relief and awards of attorneys’ fees and litigation expenses. The Defendant Funds’ Boards of Trustees also engaged counsel to
|
| 88 OPPENHEIMER CAPITAL INCOME FUND |
9. Pending Litigation (Continued)
represent the Funds and the present and former Independent Trustees named in those suits. In March 2014, the parties in six of these lawsuits executed stipulations and agreements of settlement resolving those actions. In July 2014, the court entered an order and final judgment approving the settlements as fair, reasonable and adequate. The settlements do not resolve a seventh outstanding lawsuit relating to Oppenheimer Rochester California Municipal Fund (the “California Fund Suit”). OFI believes the California Fund Suit is without legal merit and is defending the suit vigorously. While it is premature to render any opinion as to the outcome in the California Fund Suit, or whether any costs that OFI may bear in defending the California Fund Suit might not be reimbursed by insurance, OFI believes the California Fund Suit should not impair the ability of OFI or the Distributor to perform their respective duties to the Fund, and that the outcome of the California Fund Suit should not have any material effect on the operations of any of the Oppenheimer funds.
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| 89 OPPENHEIMER CAPITAL INCOME FUND |
PORTFOLIO PROXY VOTING POLICIES AND PROCEDURES;
UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Procedures under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Procedures is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
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| 90 OPPENHEIMER CAPITAL INCOME FUND |
OPPENHEIMER CAPITAL INCOME FUND
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| Trustees and Officers | | Sam Freedman, Chairman of the Board of Trustees and Trustee Jon S. Fossel, Trustee Richard F. Grabish, Trustee Beverly L. Hamilton, Trustee Victoria J. Herget, Trustee Robert J. Malone, Trustee F. William Marshall, Jr., Trustee Karen L. Stuckey, Trustee James D. Vaughn, Trustee Michelle Borré, Vice President Krishna Memani, Vice President William F. Glavin, Jr., Trustee Arthur P. Steinmetz, President and Principal Executive Officer Arthur S. Gabinet, Secretary and Chief Legal Officer Jennifer Sexton, Vice President and Chief Business Officer Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer |
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| Manager | | OFI Global Asset Management, Inc. |
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| Sub-Adviser | | OppenheimerFunds, Inc. |
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| Distributor | | OppenheimerFunds Distributor, Inc. |
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| Transfer and Shareholder Servicing Agent | | OFI Global Asset Management, Inc. |
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| Sub-Transfer Agent | | Shareholder Services, Inc. DBA OppenheimerFunds Services |
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Independent Registered Public Accounting Firm | | KPMGLLP |
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| Legal Counsel | | K&L Gates LLP |
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| | The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2015 OppenheimerFunds, Inc. All rights reserved.
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| 91 OPPENHEIMER CAPITAL INCOME FUND |
PRIVACY POLICY NOTICE
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
| — | | Applications or other forms |
| — | | When you create a user ID and password for online account access |
| — | | When you enroll in eDocs Direct, 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 |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
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| 92 OPPENHEIMER CAPITAL INCOME FUND |
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
| — | | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
| — | | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
| — | | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Visit us at oppenheimerfunds.com for 24-hour access to account information and transactions or call us at 800 CALL OPP (800 225 5677) for 24-hour automated information and automated transactions. Representatives also available Mon–Fri 8am-8pm ET.
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Visit Us oppenheimerfunds.com Call Us 800 225 5677 Follow Us | | |
 | | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2015 OppenheimerFunds Distributor, Inc. All rights reserved. RS0300.001.0215 April 22, 2015 |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 2/27/2015, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.
There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
| (a) | (1) Not applicable to semiannual reports. |
(2) Exhibits attached hereto.
(3) Not applicable.
| (b) | Exhibit attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Capital Income Fund
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| By: | | /s/ Arthur P. Steinmetz |
| | Arthur P. Steinmetz |
| | Principal Executive Officer |
| Date: | | 4/10/2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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| By: | | /s/ Arthur P. Steinmetz |
| | Arthur P. Steinmetz |
| | Principal Executive Officer |
| Date: | | 4/10/2015 |
| | |
| By: | | /s/ Brian W. Wixted |
| | Brian W. Wixted |
| | Principal Financial Officer |
| Date: | | 4/10/2015 |
