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
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Oppenheimer Capital Income Fund
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(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
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(Address of principal executive offices) (Zip code)
Robert G. Zack, Esq.
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
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(Name and address of agent for service)
Registrant's telephone number, including area code: (303) 768-3200
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Date of fiscal year end: August 31
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Date of reporting period: 02/29/2008
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ITEM 1. REPORTS TO STOCKHOLDERS.
FEBRUARY 29, 2008
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Oppenheimer Management
Capital Income Commentaries
Fund and
Semiannual Report
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MANAGEMENT COMMENTARIES
An Interview with Your Fund's Manager
Listing of Top Holdings
SEMIANNUAL REPORT
Listing of Investments
Financial Statements
[OPPENHEIMERFUNDS LOGO]
TOP HOLDINGS AND ALLOCATIONS
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TOP TEN COMMON STOCK INDUSTRIES
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Oil, Gas & Consumable Fuels 8.3%
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Tobacco 6.6
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Diversified Telecommunication Services 3.5
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Insurance 3.5
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Pharmaceuticals 2.2
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Specialty Retail 1.9
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Diversified Financial Services 1.9
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Industrial Conglomerates 1.8
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Aerospace & Defense 1.5
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Electric Utilities 1.0
Portfolio holdings and allocations are subject to change. Percentages are as of
February 29, 2008,and are based on net assets.
TOP TEN COMMON STOCK HOLDINGS
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Altria Group, Inc. 3.7%
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Kinder Morgan Management LLC 3.5
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Loews Corp./Carolina Group 2.9
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Everest Re Group Ltd. 1.9
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CSK Auto Corp. 1.5
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General Electric Co. 1.5
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BP plc, ADR 1.4
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ConocoPhillips 1.3
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AT&T, Inc. 1.2
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Raytheon Co. 1.1
Portfolio holdings and allocations are subject to change. Percentages are as of
February 29, 2008, and are based on net assets.
For up-to-date Top 10 Fund holdings,please visit www.oppenheimerfunds.com.
10 | OPPENHEIMER CAPITAL INCOME FUND
PORTFOLIO ALLOCATION
[PIE CHART]
Bonds and Notes 48.6%
Stocks 41.3
Convertible Corporate Bonds and Notes 6.2
Structured Securities 3.4
Investment Company 0.5
Portfolio holdings and allocations are subject to change. Percentages are as of
February 29, 2008, and are based on the total market value of investments.
11 | OPPENHEIMER CAPITAL INCOME FUND
NOTES
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Total returns include changes in share price and reinvestment of dividends
and capital gains distributions in a hypothetical investment for the
periods shown. Cumulative total returns are not annualized. The Fund's
total returns shown do not reflect the deduction of income taxes on an
individual's investment. Taxes may reduce your actual investment returns on
income or gains paid by the Fund or any gains you may realize if you sell
your shares. INVESTORS SHOULD CONSIDER THE FUND'S INVESTMENT OBJECTIVES,
RISKS, AND OTHER CHARGES AND EXPENSES CAREFULLY BEFORE INVESTING. THE
FUND'S PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE FUND, AND
MAY BE OBTAINED BY ASKING YOUR FINANCIAL ADVISOR, CALLING US AT
1.800.525.7048 OR VISITING OUR WEBSITE AT WWW.OPPENHEIMERFUNDS.COM. READ
THE PROSPECTUS CAREFULLY BEFORE INVESTING.
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.
CLASS A shares of the Fund were first publicly offered on 12/1/70. Unless
otherwise noted, Class A returns include the current maximum initial sales
charge of 5.75%.
CLASS B shares of the Fund were first publicly offered on 8/17/93. Unless
otherwise noted, Class B returns include the applicable contingent deferred
sales charge of 5% (1-year) and 2% (5-year). Because Class B shares convert
to Class A shares 72 months after purchase, the 10-year return for Class B
uses Class A performance for the period after conversion and the ending
account value does not reflect the deduction of any sales charges. Class B
shares are subject to an annual 0.75% asset-based sales charge.
CLASS C shares of the Fund were first publicly offered on 11/1/95. Unless
otherwise noted, Class C returns include the contingent deferred sales
charge of 1% for the 1-year period. Class C shares are subject to an annual
0.75% asset-based sales charge.
CLASS N shares of the Fund were first publicly offered on 3/1/01. Class N
shares are offered only through retirement plans. Unless otherwise noted,
Class N returns include the contingent deferred sales charge of 1% for the
1-year period. Class N shares are subject to an annual 0.25% asset-based
sales charge.
An explanation of the calculation of performance is in the Fund's Statement
of Additional Information.
12 | OPPENHEIMER CAPITAL INCOME FUND
FUND EXPENSES.
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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 redemption
fees (if applicable); 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 29, 2008.
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
Period" 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 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), or a $12.00 fee
imposed annually on accounts valued at less than $500.00 (subject to
exceptions described in
13 | OPPENHEIMER CAPITAL INCOME FUND
FUND EXPENSES Continued
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the Statement of Additional Information). 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.
BEGINNING ENDING EXPENSES
ACCOUNT ACCOUNT PAID DURING
VALUE VALUE 6 MONTHS ENDED
ACTUAL SEPTEMBER 1, 2007 FEBRUARY 29, 2008 FEBRUARY 29, 2008
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Class A $1,000.00 $ 924.40 $4.17
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Class B 1,000.00 920.40 8.30
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Class C 1,000.00 921.10 8.25
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Class N 1,000.00 922.50 6.14
HYPOTHETICAL
(5% return before expenses)
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Class A 1,000.00 1,020.54 4.38
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Class B 1,000.00 1,016.26 8.71
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Class C 1,000.00 1,016.31 8.66
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Class N 1,000.00 1,018.50 6.44
Expenses are equal to the Fund's annualized expense ratio for that class,
multiplied by the average account value over the period, multiplied by 182/366
(to reflect the one-half year period). Those annualized expense ratios,
excluding indirect expenses from affiliated fund, based on the 6-month period
ended February 29, 2008 are as follows:
CLASS EXPENSE RATIOS
- -----------------------------
Class A 0.87%
- -----------------------------
Class B 1.73
- -----------------------------
Class C 1.72
- -----------------------------
Class N 1.28
The expense ratios reflect reduction to custodian expenses and voluntary waivers
or reimbursements of expenses by the Fund's Manager that can be terminated at
any time, without advance notice. 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.
14 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS February 29, 2008 / Unaudited
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SHARES VALUE
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COMMON STOCKS--39.4%
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CONSUMER DISCRETIONARY--2.4%
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HOTELS, RESTAURANTS & LEISURE--0.1%
Carnival Corp. 28,750 $ 1,131,313
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MEDIA--0.4%
Cinemark Holdings, Inc. 670,600 9,683,464
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Comcast Corp., Cl.A Special, Non-Vtg. 1 8,700 168,345
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Time Warner, Inc. 125,000 1,951,250
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11,803,059
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SPECIALTY RETAIL--1.9%
CSK Auto Corp. 1,2 4,497,250 40,790,058
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OfficeMax,Inc 512,500 10,900,875
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51,690,933
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CONSUMER STAPLES--7.7%
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BEVERAGES--0.1%
Coca-Cola Co.(The) 50,000 2,923,000
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FOOD & STAPLES RETAILING--0.1%
SUPERVALU, Inc. 96,000 2,520,000
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FOOD PRODUCTS--0.9%
B&G Foods, Inc. 1,022,500 18,159,600
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B&G Foods, Inc., Cl. A 68,100 676,914
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ConAgra Foods, Inc. 222,500 4,917,250
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23,753,764
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TOBACCO--6.6%
Altria Group, Inc 1,400,000 102,396,000
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Loews Corp./Carolina Group 1,075,000 80,936,750
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183,332,750
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ENERGY--8.9%
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ENERGY EQUIPMENT & SERVICES--0.6%
Diamond Offshore Drilling, Inc. 3 30,000 3,624,900
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Halliburton Co. 57,500 2,202,250
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Transocean,Inc. 3 75,750 10,643,633
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16,470,783
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OIL, GAS & CONSUMABLE FUELS--8.3%
BP plc, ADR 575,000 37,300,250
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Capital Product Partners LP 210,000 4,242,000
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Chevron Corp. 320,000 27,731,200
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ConocoPhillips 422,500 34,944,975
15 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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SHARES VALUE
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OIL, GAS & CONSUMABLE FUELS Continued
Enbridge Energy Management LLC 1 1 $ 3
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Kinder Morgan Management LLC 1 1,775,001 96,755,280
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Marathon Oil Corp. 415,000 22,061,400
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Petroleo Brasileiro SA, ADR 3 40,000 4,693,600
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Tortoise Energy Capital Corp. 60,300 1,543,077
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229,271,785
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FINANCIALS--7.7%
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CAPITAL MARKETS--0.8%
UBS AG 3 725,000 23,446,500
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COMMERCIAL BANKS--0.4%
Wachovia Corp. 3 325,000 9,951,500
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CONSUMER FINANCE--0.2%
American Express Co. 3 137,500 5,816,250
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DIVERSIFIED FINANCIAL SERVICES--1.9%
Bank of America Corp. 3 587,500 23,347,250
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Citigroup, Inc. 3 1,050,000 24,895,500
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KKR Financial Holdings LLC 215,000 3,093,850
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51,336,600
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INSURANCE--3.5%
ACE Ltd. 500,000 28,120,000
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Everest Re Group Ltd. 535,000 51,830,800
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Fidelity National Title Group, Inc., Cl. A 3 350,000 6,163,500
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Hartford Financial Services Group, Inc. (The) 137,500 9,611,250
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95,725,550
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REAL ESTATE INVESTMENT TRUSTS--0.9%
Anthracite Capital, Inc. 1,000,000 6,390,000
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Care Investment Trust, Inc. 423,800 4,526,184
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Crystal River Capital, Inc. 584,750 6,245,130
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iStar Financial, Inc. 450,000 8,869,500
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26,030,814
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HEALTH CARE--2.2%
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PHARMACEUTICALS--2.2%
Abbott Laboratories 150,000 8,032,500
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Bristol-Myers Squibb Co. 62,500 1,413,125
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Johnson & Johnson 200,000 12,392,000
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Novartis AG, ADR 190,000 9,338,500
16 | OPPENHEIMER CAPITAL INCOME FUND
SHARES VALUE
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PHARMACEUTICALS Continued
Pfizer, Inc. 1,275,000 $28,407,000
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Schering-Plough Corp. 3 100,000 2,170,000
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61,753,125
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INDUSTRIALS--3.8%
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AEROSPACE & DEFENSE--1.5%
Lockheed Martin Corp. 62,500 6,450,000
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Raytheon Co. 3 477,500 30,961,100
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United Technologies Corp. 55,000 3,878,050
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41,289,150
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COMMERCIAL SERVICES & SUPPLIES--0.0%
Waste Management, Inc. 22,500 738,675
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INDUSTRIAL CONGLOMERATES--1.8%
General Electric Co. 1,225,000 40,596,500
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Siemens AG, Sponsored ADR 74,150 9,465,989
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50,062,489
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MACHINERY--0.1%
Joy Global, Inc. 30,000 1,991,100
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MARINE--0.3%
Eagle Bulk Shipping, Inc. 175,000 4,660,250
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Paragon Shipping, Inc., Cl. A 42,500 681,700
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Seaspan Corp. 105,000 2,999,850
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8,341,800
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TRADING COMPANIES & DISTRIBUTORS--0.1%
Textainer Group Holdings Ltd. 89,900 1,325,126
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INFORMATION TECHNOLOGY--1.2%
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COMMUNICATIONS EQUIPMENT--0.4%
Corning, Inc. 475,000 11,034,250
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SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5%
Intel Corp. 215,000 4,289,250
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Microchip Technology, Inc. 40,000 1,231,200
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Taiwan Semiconductor Manufacturing Co. Ltd., ADR 375,000 3,652,500
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Texas Instruments, Inc. 175,000 5,243,000
------------
14,415,950
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SOFTWARE--0.3%
Microsoft Corp. 3 250,000 6,805,000
17 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
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SHARES VALUE
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MATERIALS--0.3%
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CHEMICALS--0.3%
BASF SE, Sponsored ADR 37,750 $ 4,762,163
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Eastman Chemical Co. 42,500 2,796,925
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PPG Industries, Inc. 25,000 1,549,500
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9,108,588
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TELECOMMUNICATION SERVICES--3.5%
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DIVERSIFIED TELECOMMUNICATION SERVICES--3.5%
AT&T, Inc. 925,000 32,217,750
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Citizens Communications Co. 1,175,000 12,619,500
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Consolidated Communications Holdings, Inc. 1,275,000 18,372,750
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FairPoint Communications, Inc. 1,387,500 13,653,000
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Verizon Communications, Inc. 25,000 908,000
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Windstream Corp. 1,565,000 18,404,400
--------------
96,175,400
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UTILITIES--1.7%
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ELECTRIC UTILITIES--1.0%
Cleco Corp. 690,000 15,807,900
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FirstEnergy Corp. 187,500 12,673,125
--------------
28,481,025
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ENERGY TRADERS--0.1%
Constellation Energy Group, Inc. 42,500 3,754,875
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GAS UTILITIES--0.2%
Southern Union Co. 200,000 5,144,000
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MULTI-UTILITIES--0.4%
CenterPoint Energy, Inc. 388,000 5,695,840
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Teco Energy, Inc. 152,500 2,284,450
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Wisconsin Energy Corp. 57,000 2,486,340
--------------
10,466,630
--------------
Total Common Stocks (Cost $846,821,304) 1,086,091,784
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PREFERRED STOCKS--4.8%
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AES Trust III, 6.75% Cv. 242,400 11,489,760
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El Paso Corp., 4.99% Cv. 5,750 7,692,781
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Emmis Communications Corp., 6.25% Cum. Cv., Series A, Non-Vtg. 662,500 17,695,375
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Freeport-McMoRan Copper & Gold, Inc., 6.75% Cv., Non-Vtg. 46,750 6,908,248
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Lucent Technologies Capital Trust I, 7.75% Cum. Cv., Non-Vtg. 39,000 29,835,000
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NRG Energy, Inc., 5.75% Cv. 41,125 14,640,500
18 | OPPENHEIMER CAPITAL INCOME FUND
SHARES VALUE
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PREFERRED STOCKS Continued
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Platinum Underwriters Holdings Ltd., 6% Cv., Series A 2 500,000 $ 15,665,000
- -------------------------------------------------------------------------------------------
Schering-Plough Corp., 6% Cv. 52,500 10,830,750
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Six Flags, Inc., 7.25% Cum. Cv. Preferred Income Equity
Redeemable Shares, Non-Vtg. 650,000 8,580,000
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United Rentals Trust I, 6.50% Cv. Quarterly Income Preferred
Securities, Non-Vtg. 253,569 8,748,131
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Total Preferred Stocks (Cost $155,994,577) 132,085,545
PRINCIPAL
AMOUNT
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MORTGAGE-BACKED OBLIGATIONS--35.1%
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GOVERNMENT AGENCY--22.4%
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FHLMC/FNMA/SPONSORED--22.3%
Federal Home Loan Mortgage Corp.:
4.50%, 5/15/19 $ 9,945,749 9,987,475
5%, 8/15/33-12/15/34 6,192,690 6,125,828
6%, 5/15/18-3/15/33 3,863,939 3,989,071
6.50%, 4/15/18-4/1/34 1,569,558 1,644,502
7%, 9/15/23-3/15/35 7,608,980 8,074,323
8%, 4/1/16 366,738 391,012
9%, 8/1/22-5/1/25 112,028 123,286
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Federal Home Loan Mortgage Corp., Gtd. Real Estate
Mtg. Investment
Conduit Multiclass Pass-Through Certificates:
Series 2006-11, Cl. PS, 13.072%, 3/25/36 4 1,014,010 1,223,083
Series 2034, Cl. Z, 6.50%, 2/15/28 527,160 554,132
Series 2043, Cl. ZP, 6.50%, 4/15/28 1,635,238 1,739,010
Series 2053, Cl. Z, 6.50%, 4/15/28 566,757 602,783
Series 2055, Cl. ZM, 6.50%, 5/15/28 721,070 759,723
Series 2075, Cl. D, 6.50%, 8/15/28 2,010,541 2,139,852
Series 2080, Cl. C, 6.50%, 8/15/28 990,971 1,057,312
Series 2080, Cl. Z, 6.50%, 8/15/28 470,557 500,390
Series 2279, Cl. PK, 6.50%, 1/15/31 1,054,492 1,127,361
Series 2326, Cl. ZP, 6.50%, 6/15/31 563,679 600,879
Series 2461, Cl. PZ, 6.50%, 6/15/32 2,170,163 2,263,042
Series 2500, Cl. FD, 3.621%, 3/15/32 4 250,875 252,345
Series 2526, Cl. FE, 3.521%, 6/15/29 4 356,962 357,434
Series 2538, Cl. F, 3.721%, 12/15/32 4 4,616,712 4,642,077
Series 2551, Cl. FD, 3.521%, 1/15/33 4 275,659 274,366
Series 2676, Cl. KY, 5%, 9/15/23 2,768,000 2,775,184
Series 3025, Cl. SJ, 13.305%, 8/15/35 4 383,465 461,686
Series 3094, Cl. HS, 12.939%, 6/15/34 4 650,887 761,530
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Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security:
Series 176, Cl. IO, 5.484%, 6/1/26 5 460,042 101,069
Series 183, Cl. IO, 4.028%, 4/1/27 5 751,908 167,648
Series 184, Cl. IO, 9.71%, 12/1/26 5 798,149 169,765
Series 192, Cl. IO, 5.638%, 2/1/28 5 243,491 56,672
19 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security: Continued
Series 200, Cl. IO, 4.73%, 1/1/29 5 $ 294,050 $ 59,497
Series 2130, Cl. SC, 18.116%, 3/15/29 5 544,277 58,335
Series 216, Cl. IO, 6.297%, 12/1/31 5 554,645 129,935
Series 224, Cl. IO, 2.939%, 3/1/33 5 1,707,836 407,161
Series 243, Cl. 6, 15.177%, 12/15/32 5 1,058,959 217,929
Series 2796, Cl. SD, 20.063%, 7/15/26 5 835,317 97,042
Series 2802, Cl. AS, 53.659%, 4/15/33 5 1,634,159 118,823
Series 2920, Cl. S, 30.228%, 1/15/35 5 4,616,650 387,579
Series 3000, Cl. SE, 51.937%, 7/15/25 5 5,177,238 389,332
Series 3110, Cl. SL, 76.655%, 2/15/26 5 888,672 66,786
- -----------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp., Principal-Only Stripped
Mtg.-Backed Security:
Series 176, Cl. PO, 5.844%, 6/1/26 6 218,971 184,761
Series 192, Cl. PO, 8.331%, 2/1/28 6 243,491 196,654
- -----------------------------------------------------------------------------------------
Federal National Mortgage Assn.:
4.50%, 5/25/18-8/1/20 29,268,209 29,455,895
4.50%, 3/1/23 7 700,000 700,438
5%, 12/1/17-9/25/35 127,884,920 127,511,151
5%, 3/1/22-3/1/38 7 100,974,000 100,345,745
5.50%, 1/25/33-1/1/38 48,205,263 48,702,572
5.50%, 3/1/22-3/1/38 7 26,584,000 26,992,043
6%, 8/25/32-11/1/33 16,721,416 17,174,160
6%, 3/1/28-3/1/37 7 52,369,000 53,643,371
6%, 3/1/33 8 12,940,708 13,290,367
6.50%, 5/25/17-11/25/31 14,302,480 15,007,545
6.50%, 3/1/37 7 23,604,000 24,463,327
7%, 11/1/17-7/25/35 7,051,658 7,500,612
7.50%, 1/1/33-3/25/33 10,298,265 11,163,215
8.50%, 7/1/32 33,537 37,043
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Federal National Mortgage Assn. Grantor Trust, CMO, Trust
2002-T1, Cl. A2, 7%, 11/25/31 1,613,003 1,732,187
- -----------------------------------------------------------------------------------------
Federal National Mortgage Assn., Gtd. Real Estate
Mtg. Investment Conduit
Pass-Through Certificates:
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 1,495,414 1,576,293
Trust 1998-61, Cl. PL, 6%, 11/25/28 918,139 955,416
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 1,256,007 1,324,294
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 2,064,855 2,216,688
Trust 2001-70, Cl. LR, 6%, 9/25/30 138,789 139,572
Trust 2001-82, Cl. ZA, 6.50%, 1/25/32 831,177 864,167
Trust 2002-9, Cl. PC, 6%, 3/25/17 6,039,764 6,368,864
Trust 2003-130, Cl. CS, 7.83%, 12/25/33 4 877,463 936,299
Trust 2003-17, Cl. EQ, 5.50%, 3/25/23 1,903,000 1,954,411
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,485,000 3,599,479
Trust 2004-101, Cl. BG, 5%, 1/25/20 2,550,000 2,643,920
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,560,000 1,598,582
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 7,321,312 7,498,289
20 | OPPENHEIMER CAPITAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit
Pass-Through Certificates: Continued
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 $ 1,430,000 $ 1,434,286
Trust 2005-59, Cl. NQ, 9.038%, 5/25/35 4 1,077,610 1,173,213
Trust 2006-46, Cl. SW, 12.705%, 6/25/36 4 784,029 935,309
Trust 2006-50, Cl. KS, 12.705%, 6/25/36 4 2,650,198 3,055,614
Trust 2006-50, Cl. SA, 12.705%, 6/25/36 4 1,553,687 1,791,331
Trust 2006-50, Cl. SK, 12.705%, 6/25/36 4 206,094 237,136
Trust 2006-57, Cl. PA, 5.50%, 8/25/27 4,401,045 4,512,312
- -----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Trust 2001-15, Cl. SA, 37.742%, 3/17/31 5 708,928 111,785
Trust 2001-65, Cl. S, 24.113%, 11/25/31 5 2,393,194 312,441
Trust 2001-81, Cl. S, 12.809%, 1/25/32 5 527,308 56,555
Trust 2002-47, Cl. NS, 10.999%, 4/25/32 5 1,032,401 121,241
Trust 2002-51, Cl. S, 11.243%, 8/25/32 5 947,885 111,415
Trust 2002-52, Cl. SD, 10.591%, 9/25/32 5 1,051,557 150,376
Trust 2002-75, Cl. SA, 26.497%, 11/25/32 5 2,888,945 313,185
Trust 2002-77, Cl. SH, 14.932%, 12/18/32 5 677,306 83,478
Trust 2002-89, Cl. S, 35.236%, 1/25/33 5 2,651,933 304,378
Trust 2002-9, Cl. MS, 11.745%, 3/25/32 5 645,294 71,732
Trust 2003-117, Cl. KS, 13.558%, 8/25/33 5 16,977,000 1,460,053
Trust 2003-118, Cl. S, 21.683%, 12/25/33 5 4,368,096 692,300
Trust 2003-33, Cl. SP, 22.471%, 5/25/33 5 2,442,122 298,136
Trust 2003-46, Cl. IH, 5.795%, 6/1/33 5 5,450,110 1,044,642
Trust 2004-54, Cl. DS, 14.528%, 11/25/30 5 1,051,006 104,204
Trust 2005-105, Cl. S, 52.648%, 12/25/35 5 3,928,788 322,461
Trust 2005-19, Cl. SA, 24.563%, 3/25/35 5 11,877,036 1,018,936
Trust 2005-40, Cl. SA, 24.504%, 5/25/35 5 2,698,601 226,296
Trust 2005-6, Cl. SE, 30.212%, 2/25/35 5 3,329,970 299,057
Trust 2005-71, Cl. SA, 41.365%, 8/25/25 5 3,262,453 318,626
Trust 2005-86, Cl. AI, 1.73%, 10/1/35 5 8,130,289 1,765,111
Trust 2005-87, Cl. SE, 71.904%, 10/25/35 5 7,924,355 582,050
Trust 2005-87, Cl. SG, 48.489%, 10/25/35 5 7,055,418 565,587
Trust 2006-119, Cl. MS, 55.227%, 12/25/36 5 2,830,393 258,850
Trust 2006-33, Cl. SP, 41.378%, 5/25/36 5 7,133,587 743,940
Trust 222, Cl. 2, 10.557%, 6/1/23 5 1,723,936 394,297
Trust 240, Cl. 2, 20.669%, 9/1/23 5 2,655,239 650,514
Trust 252, Cl. 2, 13.717%, 11/1/23 5 1,277,161 326,807
Trust 273, Cl. 2, 9.59%, 8/1/26 5 355,353 76,246
Trust 303, Cl. IO, 11.83%, 11/1/29 5 442,627 111,794
Trust 308, Cl. 2, 10.311%, 9/1/30 5 1,188,513 304,228
Trust 321, Cl. 2, (0.193)%, 4/1/32 5 5,217,895 1,282,889
Trust 322, Cl. 2, 6.61%, 4/1/32 5 2,089,545 498,587
Trust 331, Cl. 9, 15.604%, 2/1/33 5 1,410,009 274,181
Trust 334, Cl. 17, 29.169%, 2/1/33 5 833,629 173,695
Trust 334, Cl. 4, 11.211%, 7/1/33 5 13,111,059 2,621,845
Trust 339, Cl. 7, 10.809%, 7/1/33 5 5,231,068 1,039,050
Trust 342, Cl. 2, 3.994%, 9/1/33 5 910,945 212,437
21 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
FHLMC/FNMA/SPONSORED Continued
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued
Trust 344, Cl. 2, (2.506)%, 12/1/33 5 $ 7,990,103 $ 1,839,386
Trust 345, Cl. 9, 11.251%, 1/1/34 5 2,409,180 480,784
Trust 356, Cl. 14, 17.081%, 6/1/35 5 4,876,658 863,157
Trust 362, Cl. 12, 11.146%, 8/1/35 5 4,580,799 802,301
Trust 362, Cl. 13, 11.711%, 8/1/35 5 2,543,251 452,312
- -----------------------------------------------------------------------------------------------------------
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security, Trust 1993-184, Cl. M, 6.226%, 9/25/23 6 620,653 522,894
- -----------------------------------------------------------------------------------------------------------
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 918,126 930,029
- -----------------------------------------------------------------------------------------------------------
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2007-QS6, Cl. A114, 5.75%, 4/25/37 2,150,756 2,165,113
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates:
Series 2003-AR9, Cl. 2A, 4.039%, 9/25/33 4 2,117,616 2,115,559
Series 2006-AR8, Cl. 2A1, 6.132%, 8/25/36 4 6,202,562 6,258,980
--------------
613,505,740
- -----------------------------------------------------------------------------------------------------------
GNMA/GUARANTEED--0.1%
Government National Mortgage Assn., 8.50%, 8/1/17-12/15/17 158,567 173,591
- -----------------------------------------------------------------------------------------------------------
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security:
Series 2001-21, Cl. SB, 27.279%, 1/16/27 5 1,107,649 122,263
Series 2002-15, Cl. SM, 23.344%, 2/16/32 5 1,076,182 146,570
Series 2002-41, Cl. GS, 32.015%, 6/16/32 5 576,957 127,450
Series 2002-76, Cl. SY, 25.295%, 12/16/26 5 2,605,602 325,202
Series 2004-11, Cl. SM, 14.504%, 1/17/30 5 874,637 122,629
Series 2006-47, Cl. SA, 67.67%, 8/16/36 5 8,388,971 723,457
--------------
1,741,162
- -----------------------------------------------------------------------------------------------------------
NON-AGENCY--12.7%
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL--5.9%
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates:
Series 2005-3, Cl. A2, 4.501%, 7/10/43 2,670,000 2,620,106
Series 2006-1, Cl. AM, 5.421%, 9/1/45 4 10,720,000 9,485,928
- -----------------------------------------------------------------------------------------------------------
Banc of America Funding Corp., CMO Pass-Through Certificates,
Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 1,665,904 1,729,903
- -----------------------------------------------------------------------------------------------------------
Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates,
Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 1,362,573 1,400,102
- -----------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-WF1, Asset-Backed Pass-Through
Certificates, Series 2006-WF1, Cl. A2B, 5.536%, 3/1/36 564,708 568,614
- -----------------------------------------------------------------------------------------------------------
Citigroup/Deutsche Bank 2007-CD4 Commercial Mortgage Trust,
Commercial Mtg. Pass-Through Certificates:
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 3,140,000 3,050,346
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 5,710,000 5,350,874
22 | OPPENHEIMER CAPITAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment
Conduit Pass-Through Certificates:
Series 2006-A5, Cl. 1A1, 3.535%, 10/25/36 4 $ 4,412,856 $ 3,955,808
Series 2006-A5, Cl. 1A13, 3.585%, 10/25/36 4 2,298,865 2,180,951
- -----------------------------------------------------------------------------------------------------------
Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through
Certificates:
Series 2006-AB2, Cl. A7, 5.961%, 6/25/36 1,083,552 1,072,444
Series 2006-AB3, Cl. A7, 6.36%, 7/1/36 347,520 341,935
- -----------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg.
Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 1,151,334 1,118,090
- -----------------------------------------------------------------------------------------------------------
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg.
Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 1,544,635 1,565,917
- -----------------------------------------------------------------------------------------------------------
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations:
Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,720,000 1,702,353
Series 2005-C3, Cl. A2, 4.853%, 7/10/45 1,590,000 1,572,521
- -----------------------------------------------------------------------------------------------------------
Greenwich Capital Commercial Funding Corp., Commercial Mtg.
Pass-Through Certificates:
Series 2005-GG3, Cl. A2, 4.305%, 8/10/42 1,990,000 1,958,424
Series 2005-GG5, Cl. A2, 5.117%, 4/10/37 1,750,000 1,735,997
Series 2007-GG9, Cl. A2, 5.381%, 3/10/39 7,590,000 7,419,220
- -----------------------------------------------------------------------------------------------------------
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series
2006-GG8, Cl. A2, 5.479%, 11/10/39 4 12,330,000 12,166,264
- -----------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2004-10F, Mtg. Pass-Through Certificates,
Series 2004-10F, Cl. 2A4, 5%, 8/1/19 12,118,977 12,234,912
- -----------------------------------------------------------------------------------------------------------
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial
Mtg. Pass-Through Certificates:
Series 2005-LDP2, Cl. A2, 4.575%, 7/15/42 640,000 628,780
Series 2005-LDP4, Cl. A2, 4.79%, 10/15/42 2,280,000 2,246,775
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 9,920,000 9,644,952
Series 2006-CB14, Cl. A4, 5.481%, 12/12/44 3,390,000 3,264,792
Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 1,530,000 1,510,606
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C5, Commercial Mtg.
Pass-Through Certificates, Series 2005-C5, Cl. A2, 4.885%, 9/15/30 1,900,000 1,882,971
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2005-C7, Commercial Mtg.
Pass-Through Certificates, Series 2005-C7, Cl. A2, 5.103%, 11/11/30 2,030,000 2,012,519
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg.
Pass-Through Certificates:
Series 2006-C1, Cl. A2, 5.084%, 2/11/31 12,480,000 12,278,860
Series 2006-C1, Cl. AM, 5.217%, 2/11/31 4 6,050,000 5,283,732
- -----------------------------------------------------------------------------------------------------------
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg.
Pass-Through Certificates:
Series 2007-C1, Cl. A2, 5.318%, 1/15/12 7,570,000 7,391,760
Series 2007-C1, Cl. A4, 5.424%, 2/11/40 4,870,000 4,590,388
- -----------------------------------------------------------------------------------------------------------
Mastr Alternative Loan Trust, CMO Pass-Through Certificates,
Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,988,622 1,969,404
23 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
COMMERCIAL Continued
Mastr Asset Securitization Trust 2006-3, Mtg. Pass-Through Certificates,
Series 2006-3, Cl. 2A1, 3.585%, 10/25/36 4 $12,565,510 $ 12,315,181
- -----------------------------------------------------------------------------------------------------------
Prudential Mortgage Capital Co. II LLC, Commercial Mtg. Pass-Through
Certificates, Series PRU-HTG 2000-C1, Cl. A2, 7.306%, 10/6/15 2,380,000 2,454,376
- -----------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2005-C17, Commercial Mtg.
Pass-Through Certificates, Series 2005-C17, Cl. A2, 4.782%, 3/15/42 3,571,381 3,538,534
- -----------------------------------------------------------------------------------------------------------
Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg.
Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.272%, 11/15/48 2,145,000 2,097,213
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through
Certificates, Series 2006-AR8, Cl. 1A4, 5.884%, 8/1/46 4 10,799,138 10,898,029
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through
Certificates, Series 2004-V, Cl. 1A1, 3.833%, 10/1/34 4 6,933,576 6,961,774
--------------
164,201,355
- -----------------------------------------------------------------------------------------------------------
MANUFACTURED HOUSING--0.4%
Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.024%, 9/25/36 4 5,608,147 5,665,199
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.107%, 3/25/36 4 5,621,033 5,653,673
--------------
11,318,872
- -----------------------------------------------------------------------------------------------------------
MULTIFAMILY--2.8%
Banc of America Mortgage Securities, Inc., CMO Pass-Through Certificates:
Series 2003-E, Cl. 2A2, 4.35%, 6/25/33 4 3,283,178 3,280,852
Series 2005-F, Cl. 2A3, 4.717%, 7/25/35 4 4,064,506 4,072,567
- -----------------------------------------------------------------------------------------------------------
Bear Stearns ARM Trust 2006-4, Mtg. Pass-Through Certificates, Series
2006-4, Cl. 2A1, 5.802%, 10/25/36 4 5,012,821 4,710,769
- -----------------------------------------------------------------------------------------------------------
Citigroup Mortgage Loan Trust, Inc. 2006-AR5, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 1A3A, 5.89%, 7/25/36 4 5,201,542 5,290,448
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through
Certificates, Series 2004-28CB, Cl. 2A4, 5.75%, 1/25/35 3,452,000 3,297,889
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-85CB, Mtg. Pass-Through
Certificates, Series 2005-85CB, Cl. 2A3, 5.50%, 2/25/36 2,580,000 2,485,737
- -----------------------------------------------------------------------------------------------------------
Countrywide Home Loans Servicing LP, Mtg. Pass-Through Certificates:
Series 2003-46, Cl. 1A2, 4.12%, 1/19/34 4 2,871,042 2,922,023
Series 2005-HYB1, Cl. 5A1, 4.995%, 3/25/35 4 3,800,007 3,726,976
Series 2007-HY1, Cl. 1A1, 5.694%, 4/25/37 4 4,050,335 4,093,222
- -----------------------------------------------------------------------------------------------------------
GMAC Mortgage Corp. Loan Trust, Mtg. Pass-Through Certificates:
Series 2005-AR4, Cl. 2A1, 5.292%, 7/19/35 4 4,432,488 4,258,677
Series 2004-J4, Cl. A7, 5.50%, 9/25/34 2,390,000 2,317,802
- -----------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 3A1, 5.152%, 11/25/35 4 6,447,448 6,493,876
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2007-2, Mtg. Pass-Through
Certificates, Series 2007-2, Cl. 2A1, 6.003%, 6/25/37 4 5,503,810 5,539,685
24 | OPPENHEIMER CAPITAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
MULTIFAMILY Continued
Wells Fargo Mortgage Backed Securities 2006-AR5 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR5, Cl. 2A1, 5.535%, 4/1/36 4 $2,655,038 $ 2,682,481
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg.
Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.996%, 12/25/34 4 1,316,157 1,317,091
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through
Certificates, Series 2004-S, Cl. A1, 3.541%, 9/25/34 4 1,116,913 1,099,033
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR2, Cl. 2A2, 4.542%, 3/25/35 4 809,419 810,722
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR4 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR4, Cl. 2A2, 4.522%, 4/25/35 4 1,355,705 1,366,684
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates:
Series 2006-AR10, Cl. 4A1, 5.283%, 7/25/36 4 12,287,734 12,428,721
Series 2006-AR10, Cl. 2A1, 5.662%, 7/25/36 4 2,063,890 2,090,742
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR2, Cl. 2A6, 5.107%, 3/25/36 4 1,091,002 1,062,032
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36 4 1,219,944 1,230,151
--------------
76,578,180
- -----------------------------------------------------------------------------------------------------------
RESIDENTIAL--3.6%
Chase Mortgage Finance Trust 2005-S1, Multiclass Mtg. Pass-Through
Certificates, Series 2005-S1, Cl. 1A5, 5.50%, 5/25/35 1,440,000 1,468,059
- -----------------------------------------------------------------------------------------------------------
CitiMortgage Alternative Loan Trust 2006-A1, Real Estate Mtg. Investment
Conduit Pass-Through Certificates, Series 2006-A1, Cl. 2A1, 5.25%, 3/1/21 3,700,978 3,672,281
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2004-28CB, Mtg. Pass-Through
Certificates, Series 2004-28CB, Cl. 3A1, 6%, 1/1/35 7 3,485,952 3,323,259
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-18CB, Mtg. Pass-Through
Certificates, Series 2005-18CB, Cl. A8, 5.50%, 5/25/36 3,480,000 3,466,657
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-21CB, Mtg. Pass-Through
Certificates, Series 2005-21CB, Cl. A7, 5.50%, 6/1/35 3,978,849 3,799,546
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J1, Mtg. Pass-Through Certificates,
Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 2,947,306 3,035,866
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J10, Mtg. Pass-Through Certificates,
Series 2005-J10, Cl. 1A17, 5.50%, 10/1/35 7,840,000 7,374,852
- -----------------------------------------------------------------------------------------------------------
Countrywide Alternative Loan Trust 2005-J3, Mtg. Pass-Through Certificates,
Series 2005-J3, Cl. 3A1, 6.50%, 9/25/34 2,598,677 2,651,195
- -----------------------------------------------------------------------------------------------------------
Fremont Home Loan Trust 2006-C, Mtg.-Backed Certificates, Series 2006-C,
Cl. M1, 3.435%, 10/25/36 4 5,000,000 1,771,874
- -----------------------------------------------------------------------------------------------------------
GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates,
Series 2007-AR1, Cl. 4A1, 5.836%, 3/1/37 4 6,211,774 6,023,899
- -----------------------------------------------------------------------------------------------------------
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through
Certificates, Series 2006-3, Cl. 2A1, 6.086%, 10/25/36 4 8,926,271 9,002,116
25 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
RESIDENTIAL Continued
Merrill Lynch Mortgage Investors Trust 2007-3, Mtg. Pass-Through
Certificates, Series 2007-3, Cl. 1A1, 5.867%, 9/1/37 4,9 $ 5,803,828 $ 5,687,752
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley Mortgage Loan Trust 2006-AR, Mtg. Pass-Through
Certificates, Series 2006-AR, Cl. 5A3, 5.427%, 6/25/36 4 1,590,000 1,609,521
- -----------------------------------------------------------------------------------------------------------
RALI Series 2006-QS5 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS5, Cl. 2A2, 6%, 4/25/08 1,352,962 1,355,860
- -----------------------------------------------------------------------------------------------------------
STARM Mortgage Loan Trust 2007-S1, Mtg. Pass-Through Certificates,
Series 2007-S1, Cl. 3A1, 5.007%, 8/1/22 4 12,233,455 11,848,725
- -----------------------------------------------------------------------------------------------------------
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates:
Series 2007-HY6, Cl. 2A1, 5.699%, 6/25/37 4 3,836,176 3,835,934
Series 2006-AR12, Cl. 2A1, 5.75%, 10/25/36 4 5,996,682 6,029,352
- -----------------------------------------------------------------------------------------------------------
Washington Mutual Mortgage Loan Trust, Mtg. Pass-Through Certificates,
Series 2007-1, Cl. 1A8, 6%, 2/25/37 5,922,329 6,012,703
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities 2005-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR12, Cl. 2A6, 4.334%, 7/1/35 4 3,363,688 3,331,945
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage Backed Securities 2006-AR10 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR10, Cl. 5A3, 5.595%, 7/1/36 4 2,021,938 2,038,280
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2003-6 Trust, Mtg. Pass-Through
Certificates, Series 2003-6, Cl. 1A1, 5%, 6/25/18 2,219,886 2,245,607
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.943%, 10/1/35 4 4,680,252 4,759,231
- -----------------------------------------------------------------------------------------------------------
Wells Fargo Mortgage-Backed Securities 2006-AR5 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR5, Cl. 2A2, 5.535%, 4/1/36 4 4,690,693 4,221,624
--------------
98,566,138
--------------
Total Mortgage-Backed Obligations (Cost $953,987,381) 965,911,447
- -----------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--1.3%
- -----------------------------------------------------------------------------------------------------------
Ace Securities Corp. Home Equity Loan Trust, Asset-Backed Pass-Through
Certificates, Series 2006-ASP5, Cl. M1, 3.415%, 10/25/36 4 3,400,000 1,679,152
- -----------------------------------------------------------------------------------------------------------
Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series
2005-1A, Cl. A2, 3.174%, 4/20/09 4,10 300,000 299,043
- -----------------------------------------------------------------------------------------------------------
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates,
Series 2004-W8, Cl. A2, 3.615%, 5/25/34 4 2,123,397 1,986,273
- -----------------------------------------------------------------------------------------------------------
Bear Stearns Asset Backed Securities I Trust 2006-HE7, Asset-Backed
Certificates, Series 2006-HE7, Cl. 1M1, 3.535%, 9/25/36 4 4,062,000 2,029,999
- -----------------------------------------------------------------------------------------------------------
Capital One Prime Auto Receivables Trust, Automobile Asset-Backed
Certificates, Series 2005-1, Cl. A4, 3.141%, 4/15/11 4 7,400,000 7,365,677
- -----------------------------------------------------------------------------------------------------------
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.,
Series 2003-C4, Cl. C4, 5%, 6/10/15 430,000 375,421
- -----------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2002-4, Asset-Backed Certificates,
Series 2002-4, Cl. A1, 3.875%, 2/25/33 4 44,821 41,260
26 | OPPENHEIMER CAPITAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES Continued
- -----------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-11, Asset-Backed Certificates,
Series 2005-11, Cl. AF2, 4.657%, 2/25/36 $ 960,000 $ 955,537
- -----------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-16, Asset-Backed Certificates,
Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36 4 920,000 898,441
- -----------------------------------------------------------------------------------------------------------
CWABS Asset-Backed Certificates Trust 2005-17, Asset-Backed Certificates,
Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36 4 620,000 616,124
- -----------------------------------------------------------------------------------------------------------
Honda Auto Receivables Owner Trust, Automobile Receivable Obligations,
Series 2005-2, Cl. A4, 4.15%, 10/15/10 1,328,595 1,334,475
- -----------------------------------------------------------------------------------------------------------
Household Home Equity Loan Trust, Home Equity Loan Pass-Through
Certificates, Series 2005-3, Cl. A1, 3.374%, 1/20/35 4 883,877 848,335
- -----------------------------------------------------------------------------------------------------------
Lehman XS Trust, Mtg. Pass-Through Certificates:
Series 2005-10, Cl. 2A3B, 5.55%, 1/25/36 955,470 952,381
Series 2005-2, Cl. 2A1B, 5.18%, 8/25/35 4 667,461 675,952
Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 562,388 565,437
- -----------------------------------------------------------------------------------------------------------
Mastr Asset-Backed Securities Trust 2006-HE4, Mtg. Pass-Through
Certificates, Series 2006-HE4, Cl. M2, 3.415%, 11/25/36 4 2,500,000 563,330
- -----------------------------------------------------------------------------------------------------------
MBNA Credit Card Master Note Trust, Credit Card Receivables,
Series 2003-C7, Cl. C7, 4.471%, 3/15/16 4 4,080,000 3,480,807
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley ABS Capital I, Inc. Trust 2006-NC4, Mtg. Pass-Through
Certificates, Series 2006-NC4, Cl. M2, 3.435%, 6/25/36 4 2,500,000 1,100,827
- -----------------------------------------------------------------------------------------------------------
Option One Mortgage Loan Trust, Asset-Backed Certificates, Series 2006-2,
Cl. 2A2, 3.235%, 7/1/36 4 1,930,000 1,849,828
- -----------------------------------------------------------------------------------------------------------
RASC Series 2006-EMX4 Trust, Home Equity Mtg. Asset-Backed Pass-
Through Certificates, Series 2006-EMX4, Cl. M1, 3.415%, 6/25/36 4 4,000,000 1,991,677
- -----------------------------------------------------------------------------------------------------------
RASC Series 2006-EMX7 Trust, Home Equity Mtg. Asset-Backed Pass-
Through Certificates, Series 2006-EMX7, Cl. M2, 3.445%, 8/25/36 4 3,500,000 1,500,953
- -----------------------------------------------------------------------------------------------------------
RASC Series 2006-EMX9 Trust, Home Equity Mtg. Asset-Backed Pass-
Through Certificates, Series 2006-EMX9, Cl. M1, 3.445%, 11/25/36 4 3,400,000 1,390,445
- -----------------------------------------------------------------------------------------------------------
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-
Through Certificates, Series 2006-KS7, Cl. A1, 3.185%, 9/25/36 4 648,556 641,723
- -----------------------------------------------------------------------------------------------------------
Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-BNC3, Cl. A2, 3.175%, 9/25/36 4 1,241,787 1,200,340
- -----------------------------------------------------------------------------------------------------------
Structured Asset Securities Corp., Mtg. Pass-Through Certificates,
Series 2005-4XS, Cl. 3A1, 5.18%, 3/26/35 286,355 286,934
--------------
Total Asset-Backed Securities (Cost $38,854,283) 34,630,371
- -----------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--0.1%
- -----------------------------------------------------------------------------------------------------------
U.S. Treasury Nts., 4.25%, 9/30/12 11 (Cost $2,249,141) 2,260,000 2,439,566
- -----------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES--15.5%
- -----------------------------------------------------------------------------------------------------------
Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 2,665,000 2,515,589
- -----------------------------------------------------------------------------------------------------------
Allied Waste North America, Inc., 5.75% Sr. Sec. Nts., Series B, 2/15/11 5,000,000 4,900,000
27 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES Continued
- -----------------------------------------------------------------------------------------------------------
Bank of America Corp., 8% Unsec. Perpetual Nts., Series K 12 $ 8,130,000 $ 8,437,777
- -----------------------------------------------------------------------------------------------------------
Barclays Bank plc, 6.278% Perpetual Bonds 12 13,840,000 11,627,261
- -----------------------------------------------------------------------------------------------------------
Beazer Homes USA, Inc., 8.375% Sr. Nts., 4/15/12 800,000 616,000
- -----------------------------------------------------------------------------------------------------------
Belo Corp., 8% Sr. Unsec. Unsub. Nts., 11/1/08 7,130,000 7,219,125
- -----------------------------------------------------------------------------------------------------------
Buckeye Partners LP, 4.625% Sr. Nts., 7/15/13 3,140,000 3,138,750
- -----------------------------------------------------------------------------------------------------------
Canadian National Resources Ltd., 5.90% Nts., 2/1/18 1,075,000 1,103,227
- -----------------------------------------------------------------------------------------------------------
Capmark Financial Group, Inc., 5.875% Nts., 5/10/12 10 6,110,000 4,143,277
- -----------------------------------------------------------------------------------------------------------
CCH I Holdings LLC:
9.92% Sr. Unsec. Nts., 4/1/14 20,000,000 9,700,000
13.50% Sr. Unsec. Unsub. Nts., 1/15/14 14,000,000 9,170,000
- -----------------------------------------------------------------------------------------------------------
CCH I Holdings LLC/CCH I Holdings Capital Corp., 11% Sr. Sec. Nts., 10/1/15 64,075,000 44,852,500
- -----------------------------------------------------------------------------------------------------------
CCH I LLC, 11% Sr. Sec. Nts., 10/1/15 29,072,000 20,059,680
- -----------------------------------------------------------------------------------------------------------
CDX High Yield Index, 7.625% Pass-Through Certificates, Series 8-T1, 6/29/12 72,500,000 67,649,750
- -----------------------------------------------------------------------------------------------------------
Centex Corp., 5.80% Sr. Unsec. Nts., 9/15/09 3,100,000 2,884,026
- -----------------------------------------------------------------------------------------------------------
Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,400,000 2,487,384
- -----------------------------------------------------------------------------------------------------------
Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 5,601,000 5,544,990
- -----------------------------------------------------------------------------------------------------------
Chiquita Brands International, Inc.:
7.50% Sr. Unsec. Nts., 11/1/14 5,000,000 4,375,000
8.875% Sr. Unsec. Unsub. Nts., 12/1/15 10,000,000 9,025,000
- -----------------------------------------------------------------------------------------------------------
CIT Group Funding Co. of Canada, 4.65% Sr. Unsec. Nts., 7/1/10 2,035,000 1,960,210
- -----------------------------------------------------------------------------------------------------------
Citigroup, Inc., 8.30% Jr. Sub. Bonds, 12/21/57 4 5,275,000 5,370,393
- -----------------------------------------------------------------------------------------------------------
Clear Channel Communications, Inc., 6.25% Nts., 3/15/11 1,965,000 1,651,681
- -----------------------------------------------------------------------------------------------------------
Clorox Co. (The), 5% Sr. Unsec. Nts., 3/1/13 7 840,000 852,004
- -----------------------------------------------------------------------------------------------------------
Countrywide Home Loans, Inc., 3.25% Nts., Series L, 5/21/08 9,210,000 8,961,422
- -----------------------------------------------------------------------------------------------------------
Cox Enterprises, Inc., 4.375% Nts., 5/1/08 10 4,720,000 4,723,299
- -----------------------------------------------------------------------------------------------------------
CSC Holdings, Inc.:
7.25% Sr. Unsec. Nts., 7/15/08 2,590,000 2,602,950
7.625% Sr. Unsec. Debs., 7/15/18 3,000,000 2,760,000
- -----------------------------------------------------------------------------------------------------------
D.R. Horton, Inc., 8% Sr. Nts., 2/1/09 3,615,000 3,596,925
- -----------------------------------------------------------------------------------------------------------
Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 3,361,000 4,092,582
- -----------------------------------------------------------------------------------------------------------
Dillard's, Inc., 6.625% Unsec. Nts., 11/15/08 9 1,240,000 1,240,000
- -----------------------------------------------------------------------------------------------------------
Eastman Kodak Co., 3.625% Nts., Series A, 5/15/08 2,785,000 2,785,000
- -----------------------------------------------------------------------------------------------------------
EchoStar DBS Corp., 5.75% Sr. Unsec. Nts., 10/1/08 3,890,000 3,894,863
- -----------------------------------------------------------------------------------------------------------
El Paso Corp., 6.50% Sr. Unsec. Nts., 6/1/08 578,000 581,924
- -----------------------------------------------------------------------------------------------------------
Equus Cayman Finance Ltd., 5.50% Unsub. Nts., 9/12/08 10 1,450,000 1,462,979
- -----------------------------------------------------------------------------------------------------------
Ford Motor Credit Co., 9.75% Sr. Unsec. Nts., 9/15/10 6,100,000 5,739,533
- -----------------------------------------------------------------------------------------------------------
Gap, Inc. (The), 10.05% Unsub. Nts., 12/15/08 4 359,000 370,668
- -----------------------------------------------------------------------------------------------------------
General Motors Acceptance Corp., 8% Bonds, 11/1/31 4,400,000 3,333,730
- -----------------------------------------------------------------------------------------------------------
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 10,020,000 8,907,730
28 | OPPENHEIMER CAPITAL INCOME FUND
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
NON-CONVERTIBLE CORPORATE BONDS AND NOTES Continued
- -----------------------------------------------------------------------------------------------------------
HBOS plc, 6.413% Sub. Perpetual Bonds, Series A 10,12 $17,900,000 $14,203,203
- -----------------------------------------------------------------------------------------------------------
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35 4 15,290,000 13,922,187
- -----------------------------------------------------------------------------------------------------------
Hyundai Motor Manufacturing Alabama LLC, 5.30% Sr. Unsec. Nts.,
12/19/08 10 1,645,000 1,670,300
- -----------------------------------------------------------------------------------------------------------
IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 4,9 1,410,000 1,427,625
- -----------------------------------------------------------------------------------------------------------
K. Hovnanian Enterprises, Inc., 8.875% Sr. Sub. Nts., 4/1/12 1,600,000 896,000
- -----------------------------------------------------------------------------------------------------------
Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 2,910,000 2,970,598
- -----------------------------------------------------------------------------------------------------------
Lennar Corp., 7.625% Sr. Unsec. Nts., 3/1/09 6,595,000 6,265,250
- -----------------------------------------------------------------------------------------------------------
Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 10,000,000 8,150,000
- -----------------------------------------------------------------------------------------------------------
Liberty Media Corp., 7.875% Sr. Nts., 7/15/09 4,045,000 4,133,857
- -----------------------------------------------------------------------------------------------------------
Liberty Media LLC, 7.75% Sr. Nts., 7/15/09 2,950,000 3,010,080
- -----------------------------------------------------------------------------------------------------------
MBIA, Inc., 5.70% Sr. Unsec. Unsub. Nts., 12/1/34 8 1,980,000 1,363,937
- -----------------------------------------------------------------------------------------------------------
MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/66 4 10,060,000 8,722,483
- -----------------------------------------------------------------------------------------------------------
MGM Mirage, Inc., 6% Sr. Sec. Nts., 10/1/09 7,570,000 7,570,000
- -----------------------------------------------------------------------------------------------------------
Monongahela Power Co., 7.36% Unsec. Nts., Series A, 1/15/10 3,155,000 3,388,931
- -----------------------------------------------------------------------------------------------------------
NCR Corp., 7.125% Sr. Unsec. Unsub. Nts., 6/15/09 2,630,000 2,746,880
- -----------------------------------------------------------------------------------------------------------
PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 10 743,088 763,398
- -----------------------------------------------------------------------------------------------------------
Popular North America, Inc.:
3.875% Sr. Bonds, Series E, 10/1/08 3,420,000 3,400,072
4.70% Nts., 6/30/09 3,665,000 3,681,298
- -----------------------------------------------------------------------------------------------------------
Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 10 4,100,000 5,116,980
- -----------------------------------------------------------------------------------------------------------
Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 10 3,380,000 3,992,301
- -----------------------------------------------------------------------------------------------------------
Pulte Homes, Inc., 4.875% Nts., 7/15/09 4,650,000 4,440,750
- -----------------------------------------------------------------------------------------------------------
Qwest Corp.:
5.625% Unsec. Nts., 11/15/08 9 363,000 363,000
8.875% Unsec. Unsub. Nts., 3/15/12 7,195,000 7,545,756
- -----------------------------------------------------------------------------------------------------------
Rite Aid Corp., 6.875% Sr. Unsec. Debs., 8/15/13 11 15,000,000 9,825,000
- -----------------------------------------------------------------------------------------------------------
Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 442,000 453,050
- -----------------------------------------------------------------------------------------------------------
SLM Corp.:
3.95% Nts., Series A, 8/15/08 2,665,000 2,623,533
4% Nts., 1/15/09 2,770,000 2,671,139
- -----------------------------------------------------------------------------------------------------------
Spansion LLC, 11.25% Sr. Nts., 1/15/16 10 3,000,000 2,085,000
- -----------------------------------------------------------------------------------------------------------
Tenet Healthcare Corp., 9.875% Sr. Nts., 7/1/14 6,500,000 6,101,875
- -----------------------------------------------------------------------------------------------------------
TEPPCO Partners LP, 6.125% Nts., 2/1/13 1,395,000 1,418,482
- -----------------------------------------------------------------------------------------------------------
Tribune Co., 5.50% Nts., Series E, 10/6/08 9 2,625,000 2,375,625
- -----------------------------------------------------------------------------------------------------------
Univision Communications, Inc., 3.875% Sr. Unsec. Nts., 10/15/08 875,000 854,219
- -----------------------------------------------------------------------------------------------------------
Valero Logistics Operations LP, 6.05% Nts., 3/15/13 2,692,000 2,788,979
- -----------------------------------------------------------------------------------------------------------
Westar Energy, Inc., 7.125% Sr. Unsec. Nts., 8/1/09 3,030,000 3,184,342
--------------
Total Non-Convertible Corporate Bonds and Notes (Cost $485,776,753) 428,463,359
29 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS AND NOTES--6.6%
- -----------------------------------------------------------------------------------------------------------
Advanced Micro Devices, Inc., 5.75% Cv. Sr. Unsec. Nts., 8/15/12 $ 3,500,000 $ 2,795,625
- -----------------------------------------------------------------------------------------------------------
Anthracite Capital, Inc., 11.75% Cv. Sr. Unsec. Nts., 9/1/27 10 5,500,000 4,633,750
- -----------------------------------------------------------------------------------------------------------
CSK Auto, Inc., 7.25% Cv. Sr. Unsec. Nts., 12/15/25 4,10 11,000,000 10,546,250
- -----------------------------------------------------------------------------------------------------------
Human Genome Sciences, Inc., 2.25% Cv. Unsec. Sub. Nts., 8/15/12 17,500,000 12,621,875
- -----------------------------------------------------------------------------------------------------------
KKR Financial Holdings LLC, 7% Cv. Sr. Unsec. Nts., 7/15/12 10 20,000,000 17,225,000
- -----------------------------------------------------------------------------------------------------------
Liberty Media Corp., 0.75% Cv. Sr. Unsec. Unsub. Debs., 3/30/23 10,000,000 10,325,000
- -----------------------------------------------------------------------------------------------------------
Liberty Media Corp., 3.25% Exchangeable Sr. Unsec. Debs., 3/15/31
(exchangeable for Viacom, Inc., Cl. B common stock or cash based
on the value thereof) 110,000,000 78,512,500
- -----------------------------------------------------------------------------------------------------------
Liberty Media Corp., 3.50% Exchangeable Sr. Unsec. Debs., 1/15/31
(exchangeable for Motorola, Inc., common stock or cash based on
the value of that stock) 3,534,480 2,332,142
- -----------------------------------------------------------------------------------------------------------
NII Holdings, Inc., 3.125% Cv. Sr. Unsec. Nts., 6/15/12 22,500,000 19,631,250
- -----------------------------------------------------------------------------------------------------------
Pantry, Inc. (The), 3% Cv. Sr. Sub. Nts., 11/15/12 27,500,000 23,478,125
--------------
Total Convertible Corporate Bonds and Notes (Cost $210,899,046) 182,101,517
- -----------------------------------------------------------------------------------------------------------
STRUCTURED SECURITIES--3.6%
- -----------------------------------------------------------------------------------------------------------
Allegro Investment Corp. SA, Cv. Equity Linked Nts., 5.05%, Exp. 3/17/08
(linked to Comcast Corp. common stock) 9 617,700 11,792,881
- -----------------------------------------------------------------------------------------------------------
Bank of America NA, Cv. Linked Nts., Series VNDA, 10.60%, Exp. 5/5/08
(linked to Vanda Pharmaceuticals, Inc., common stock) 696,200 3,522,772
- -----------------------------------------------------------------------------------------------------------
Bear Stearns Global Asset Holdings Ltd., Cv. Equity Linked Nts., Series 6693,
4.35%, Exp. 6/30/08 (linked to Wal-Mart Stores, Inc.) 9 325,000 16,131,798
- -----------------------------------------------------------------------------------------------------------
Blue Wings Ltd. Catastrophe Linked Bonds, Series A, 7.655%, 1/10/12 4,9 3,000,000 3,032,550
- -----------------------------------------------------------------------------------------------------------
Calabash Re II Ltd. Catastrophe Linked Nts., Series A1, 13.391%, 1/8/10 4,9 3,000,000 3,061,050
- -----------------------------------------------------------------------------------------------------------
Credit Suisse First Boston, Inc. (New York), Cv. Equity Linked Nts., 5.69%,
Exp. 4/21/08 (linked to Williams Cos., Inc. (The)) 354,000 11,501,458
- -----------------------------------------------------------------------------------------------------------
Deutsche Bank AG, Exchangeable Total Return Linked Nts., 4.64%,
Exp. 3/19/08 9 22,000 1,729,530
- -----------------------------------------------------------------------------------------------------------
Fremantle Ltd. Catastrophe Linked Nts., Cl. B, 6.91%, 6/28/10 4,10 1,000,000 1,005,825
- -----------------------------------------------------------------------------------------------------------
Goldman Sachs Group, Inc. (The):
Cv. Equity Linked Nts., 8%, Exp. 3/10/08 (linked to XM Satellite Radio, Inc.) 9 700,281 9,329,143
Cv. Linked Nts., 6%, 9/29/08 (linked to Microsoft Corp. common stock) 9 527,100 14,471,003
Cv. Mandatory Exchangeable Nts., 8.70%, Exp. 5/27/08 (linked to Applied
Materials, Inc.) 9 789,500 14,844,179
- -----------------------------------------------------------------------------------------------------------
Lakeside Re Ltd. Catastrophe Linked Nts., 11.33%, 12/31/09 4,10 3,000,000 3,129,900
- -----------------------------------------------------------------------------------------------------------
Morgan Stanley, Performance Equity Linked Redemption Quarterly-pay
Securities 8.67%, Exp. 3/7/08 (exchangeable for Vanda Pharmaceutical, Inc.
common stock) 9 598,100 2,592,764
- -----------------------------------------------------------------------------------------------------------
Successor Euro Wind Ltd. Catastrophe Linked Nts., Series AIII, 10.90%,
12/6/08 4,9 3,000,000 3,081,000
--------------
Total Structured Securities (Cost $126,333,828) 99,225,853
30 | OPPENHEIMER CAPITAL INCOME FUND
SHARES VALUE
- --------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------
INVESTMENT COMPANY--0.5%
- --------------------------------------------------------------------------------------------------------------
Oppenheimer Institutional Money Market Fund, Cl. E, 3.99% 2,13
(Cost $14,729,977) 14,729,977 $ 14,729,977
- --------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS, AT VALUE (COST $2,835,646,290) 106.9% 2,945,679,419
- --------------------------------------------------------------------------------------------------------------
LIABILITIES IN EXCESS OF OTHER ASSETS (6.9) (190,541,794)
--------------------------------
NET ASSETS 100.0% $ 2,755,137,625
================================
FOOTNOTES TO STATEMENT OF INVESTMENTS
1. Non-income producing security.
2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at
or during the period ended February 29, 2008, by virtue of the Fund owning at
least 5% of the voting securities of the issuer or as a result of the Fund and
the issuer having the same investment adviser. Transactions during the period in
which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES
AUGUST 31, 2007 ADDITIONS REDUCTIONS FEBRUARY 29, 2008
- ------------------------------------------------------------------------------------------------------------------------
Care Investment Trust, Inc. a 1,175,000 -- 751,200 423,800
CSK Auto Corp. 4,715,000 -- 217,750 4,497,250
E*TRADE Financial Corp., 6.125% Cum. Cv. 1,177,500 397,500 1,575,000 --
Oppenheimer Institutional
Money Market Fund, Cl. E -- 663,152,065 648,422,088 14,729,977
Platinum Underwriters Holdings Ltd., 6% Cv.,
Series A 1,005,000 -- 505,000 500,000
DIVIDEND REALIZED
VALUE INCOME GAIN (LOSS)
- ------------------------------------------------------------------------------------------------------------------------
Care Investment Trust, Inc. a $ -- b $ 291,185 $ (3,191,336)
CSK Auto Corp. 40,790,058 -- 248,124
E*TRADE Financial Corp., 6.125% Cum. Cv. -- 602,926 (32,762,977)
Oppenheimer Institutional
Money Market Fund, Cl. E 14,729,977 1,225,317 --
Platinum Underwriters Holdings Ltd., 6% Cv.,
Series A 15,665,000 678,750 791,554
-------------------------------------------
$71,185,035 $2,798,178 $ (34,914,635)
===========================================
a. No longer an affiliate as of February 29, 2008.
b. The security is no longer an affiliate, therefore, the value has been
excluded from this table.
3. A sufficient amount of liquid assets has been designated to cover outstanding
written call options.
4. Represents the current interest rate for a variable or increasing rate
security.
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 $27,736,489 or 1.01% of the Fund's net assets
as of February 29, 2008.
31 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
6. 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 $904,309 or 0.03% of the Fund's net assets as of
February 29, 2008.
7. When-issued security or delayed delivery to be delivered and settled after
February 29, 2008. See Note 1 of accompanying Notes.
8. All or a portion of the security is held in collateralized accounts to cover
initial margin requirements on open futures contracts. The aggregate market
value of such securities is $4,427,003. See Note 5 of accompanying Notes.
9. Illiquid security. The aggregate value of illiquid securities as of February
29, 2008 was $91,159,900, which represents 3.31% of the Fund's net assets. See
Note 8 of accompanying Notes.
10. 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 $75,000,505 or 2.72% of the Fund's net
assets as of February 29, 2008.
11. A sufficient amount of liquid assets has been designated to cover
outstanding written put options.
12. 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.
13. Rate shown is the 7-day yield as of February 29, 2008.
- --------------------------------------------------------------------------------
FUTURE CONTRACTS AS OF FEBRUARY 29, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
UNREALIZED
NUMBER OF EXPIRATION APPRECIATION
CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
U.S. Long Bond Buy 866 6/19/08 $ 102,729,250 $ 2,417,673
U.S. Treasury Nts., 2 yr. Sell 702 6/30/08 150,875,156 (1,099,182)
U.S. Treasury Nts., 5 yr. Sell 275 6/30/08 31,418,750 (325,814)
U.S. Treasury Nts., 10 yr. Sell 272 6/19/08 31,900,500 (701,900)
-------------
$ 290,777
=============
- --------------------------------------------------------------------------------
WRITTEN OPTIONS AS OF FEBRUARY 29, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
NUMBER OF EXERCISE EXPIRATION
DESCRIPTION TYPE CONTRACTS PRICE DATE PREMIUM VALUE
- -------------------------------------------------------------------------------------------------------
American Express Co. Call 1,375 $ 50.00 3/24/08 $ 132,624 $ 11,000
AT&T, Inc. Put 5,250 40.00 7/21/08 2,382,253 3,360,000
Baker Hughes, Inc. Put 1,000 65.00 3/24/08 231,997 120,000
Bank of America Corp. Call 1,000 45.00 3/24/08 81,999 10,000
Bank of America Corp. Call 4,875 42.50 3/24/08 845,296 170,625
BJ Services Co. Put 925 27.50 4/21/08 320,970 222,000
Citigroup, Inc. Call 6,500 27.50 3/24/08 155,178 84,500
Citigroup, Inc. Put 250 30.00 3/24/08 111,749 150,000
Comcast Corp., Cl.A Special,
Non-Vtg. Put 750 20.00 7/21/08 231,036 146,250
Comcast Corp., Cl.A Special,
Non-Vtg. Put 750 17.50 7/21/08 138,623 63,750
Comcast Corp., Cl.A Special,
Non-Vtg. Put 5,131 20.00 1/19/09 1,617,612 1,411,025
Comcast Corp., Cl.A Special,
Non-Vtg. Put 3,901 22.50 1/19/09 1,906,008 1,677,430
CVS Corp. Put 2,000 40.00 5/19/08 906,486 350,000
Diamond Offshore Drilling, Inc. Call 300 135.00 3/24/08 32,850 21,000
32 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
WRITTEN OPTIONS: Continued
- --------------------------------------------------------------------------------
NUMBER OF EXERCISE EXPIRATION
DESCRIPTION TYPE CONTRACTS PRICE DATE PREMIUM VALUE
- --------------------------------------------------------------------------------------------------------------------
Fidelity National Title Group, Inc., Cl. A Call 375 $ 20.00 3/24/08 $ 23,062 $ --
Fidelity National Title Group, Inc., Cl. A Call 625 22.50 3/24/08 28,625 --
Marathon Oil Corp. Put 2,500 55.00 7/21/08 1,617,475 1,500,000
Microsoft Corp. Call 250 35.00 3/24/08 8,250 500
Novartis AG, ADR Put 1,500 55.00 4/21/08 481,763 870,000
Petroleo Brasileiro SA, ADR Call 75 105.00 3/24/08 117,524 119,250
Petroleo Brasileiro SA, ADR Call 100 110.00 3/24/08 97,699 103,000
Petroleo Brasileiro SA, ADR Call 225 100.00 3/24/08 442,570 402,750
Raytheon Co. Call 2,900 60.00 3/24/08 1,934,279 1,421,000
Raytheon Co. Call 250 65.00 3/24/08 64,249 33,750
Raytheon Co. Call 1,625 62.50 3/24/08 750,742 463,125
Schering-Plough Corp. Call 175 30.00 5/19/08 13,403 875
Siemens AG, Sponsored ADR Put 35 145.00 7/21/08 67,794 67,900
Sunoco, Inc. Put 950 65.00 3/24/08 605,143 418,000
Time Warner, Inc. Put 1,000 16.00 3/24/08 39,000 65,000
Transocean, Inc. Call 300 150.00 3/24/08 31,950 39,000
UBS AG Call 3,500 40.00 4/21/08 135,386 52,500
UBS AG Call 1,000 40.00 6/23/08 99,324 90,000
United Technologies Corp. Put 975 75.00 3/24/08 484,570 438,750
Wachovia Corp. Call 1,500 35.00 3/24/08 209,600 37,500
Wachovia Corp. Call 1,750 35.00 4/21/08 189,748 183,750
Walgreen Co. Put 1,500 35.00 3/24/08 235,497 45,000
-----------------------------
$ 16,772,334 $ 14,149,230
=============================
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS AS OF FEBRUARY 29, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE (RECEIVED) VALUE
- ----------------------------------------------------------------------------------------------------------------------------
Barclays Bank
plc:
Beazer Homes USA, Inc. Sell $ 825 2.100% 6/20/08 $ -- $ (22,419)
Capmark Financial Group, Inc. Sell 1,570 1.000 6/20/12 -- (441,610)
CDX.NA.IG.9 Index Sell 22,280 0.600 12/20/12 (139,226) (845,486)
Countrywide Home Loans, Inc. Sell 1,980 0.750 9/20/08 -- (120,133)
Dillard's, Inc. Sell 4,290 1.900 12/20/08 -- (19,704)
iStar Financial, Inc. Sell 6,305 4.400 12/20/12 -- (297,766)
Lehman Brothers Holdings, Inc. Sell 3,335 0.490 9/20/10 -- (86,113)
Merrill Lynch & Co., Inc. Sell 6,235 0.680 9/20/08 -- 7,538
Six Flags, Inc. Sell 1,560 8.250 12/20/08 -- (122,753)
Toys "R" Us, Inc. Sell 1,695 1.450 9/20/08 -- (64,042)
- ----------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
ArvinMeritor, Inc. Sell 2,660 1.550 9/20/08 -- (70,721)
CenturyTel, Inc. Buy 1,565 1.300 3/20/13 -- 11,043
CenturyTel, Inc. Buy 825 1.740 3/20/13 -- --
Freescale Semiconductor, Inc. Sell 1,555 0.600 3/20/08 -- (1,210)
Freescale Semiconductor,Inc. Sell 1,665 0.750 3/20/08 -- (666)
Intelsat Ltd. Sell 1,705 3.450 9/20/08 -- (32,225)
33 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000s) RATE DATE (RECEIVED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Credit Suisse
International:
Continued
iStar Financial, Inc. Sell $ 615 4.000% 12/20/12 $ -- $ (39,356)
Quebecor World, Inc. Sell 1,685 2.600 3/4/08 -- (985,976)
Rite Aid Corp. Sell 815 7.500 3/20/09 -- (26,726)
Rite Aid Corp. Sell 2,660 0.875 6/20/08 -- (75,616)
Saks, Inc. Sell 2,680 2.000 9/20/08 -- 13,419
The Goodyear Tire & Rubber Co. Sell 2,520 1.550 9/20/08 -- 5,489
TXU Corp. Sell 1,055 5.910 12/20/12 -- (38,397)
TXU Corp. Sell 1,000 6.050 12/20/12 -- (31,313)
TXU Corp. Sell 1,050 6.000 12/20/12 -- (34,784)
Univision Communications, Inc. Sell 760 0.750 3/20/08 -- (5,592)
Wachovia Corp. Sell 3,525 1.000 3/20/09 -- 969
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
ABX.HE.AA.06-2 Index Sell 710 0.170 5/25/46 (85,193) (398,842)
Allied Waste North America, Inc. Sell 920 2.000 9/20/09 -- (3,202)
Allied Waste North America, Inc. Sell 1,440 2.000 9/20/09 -- (5,011)
AMBAC Financial Group, Inc. Sell 4,635 4.550 9/20/08 -- 31,708
AMBAC Financial Group, Inc. Sell 3,665 4.550 9/20/08 -- 24,559
Capital One Bank Buy 3,630 1.700 12/20/12 -- 272,239
Capital One Bank Buy 1,930 1.800 12/20/12 -- 136,806
CDX.NA.IG.9 Index Sell 45,060 0.600 12/20/12 (271,541) (1,747,092)
Centex Corp. Sell 310 1.550 9/20/09 -- (18,607)
CenturyTel, Inc. Buy 1,530 1.300 3/20/13 -- 10,796
Citigroup, Inc. Sell 3,450 5.000 12/20/08 -- (65,640)
Countrywide Home Loans, Inc. Sell 1,190 3.250 9/20/08 -- (50,607)
Dillard's, Inc. Sell 720 0.750 9/20/08 -- (16,518)
Georgia-Pacific Corp. Sell 2,535 1.750 9/20/08 -- (20,052)
Intelsat Ltd. Sell 690 2.850 9/20/08 -- (16,089)
iStar Financial, Inc. Sell 3,030 2.925 12/20/08 -- (86,613)
iStar Financial, Inc. Sell 1,765 3.000 12/20/08 -- (49,175)
iStar Financial, Inc. Sell 1,025 4.320 12/20/12 -- (51,526)
iStar Financial, Inc. Sell 360 4.500 12/20/12 -- (15,632)
Lehman Brothers Holdings, Inc. Sell 5,220 2.070 3/20/09 -- 6,494
Lehman Brothers Holdings, Inc. Sell 2,985 1.410 9/20/08 -- 5,018
Levi Strauss & Co. Sell 1,545 1.000 9/20/08 -- 2,138
Levi Strauss & Co. Sell 1,155 0.900 9/20/08 -- 728
MBIA, Inc. Sell 1,680 0.520 9/20/08 -- (136,174)
MBIA, Inc. Sell 1,665 0.600 9/20/08 -- (133,989)
MBIA, Inc. Sell 3,420 4.900 12/20/12 -- (227,167)
Merrill Lynch & Co., Inc. Sell 3,615 1.850 6/20/08 -- 25,923
Owens-Illinois, Inc. Sell 1,410 1.250 9/20/08 -- 3,033
Tenet Healthcare Corp. Sell 2,695 1.600 3/20/09 -- (30,206)
The Bear Stearns Cos., Inc. Sell 6,195 2.350 9/20/08 -- 6,034
34 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000s) RATE DATE (RECEIVED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Deutsche Bank AG:
Continued
Wachovia Corp. Sell $ 7,845 1.000% 3/20/09 $ -- $ 2,157
Washington Mutual, Inc. Sell 745 4.500 12/20/08 -- (12,199)
Washington Mutual, Inc. Sell 3,670 4.500 12/20/08 -- (60,096)
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
Capital Markets
LP:
ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (20,598) (141,245)
ABX.HE.AA.06-2 Index Sell 570 0.170 5/25/46 (225,137) (322,039)
Capmark Financial Group, Inc. Sell 1,710 0.950 6/20/12 -- (483,585)
Dole Food Co., Inc. Sell 2,540 3.880 9/20/08 -- (109,192)
First Data Corp. Sell 1,690 1.150 9/20/08 -- (17,257)
K. Hovnanian Enterprises, Inc. Sell 905 6.750 9/20/08 -- (33,255)
Quebecor World, Inc. Sell 765 3.000 3/4/08 -- (447,363)
- ------------------------------------------------------------------------------------------------------------------------------------
Goldman Sachs
International:
Amkor Technology, Inc. Sell 240 2.650 9/20/08 -- 1,372
Citigroup, Inc. Sell 1,835 1.250 9/20/08 -- (72,027)
D.R. Horton, Inc. Sell 1,190 4.210 12/20/08 -- 10,382
First Data Corp. Sell 1,900 4.700 3/20/09 -- 46,919
General Mills, Inc. Sell 4,090 0.380 12/20/12 -- (618)
iStar Financial, Inc. Sell 700 3.950 12/20/12 -- (45,116)
Merrill Lynch & Co., Inc. Sell 8,260 1.850 6/20/08 -- 59,232
Morgan Stanley Sell 5,390 1.500 9/20/08 -- 26,718
Pulte Homes, Inc. Sell 2,315 2.750 9/20/09 -- (22,793)
R.H. Donnelley Corp. Sell 3,925 9.000 3/20/09 -- (33,677)
Sara Lee Corp. Buy 2,055 0.419 9/20/12 -- 150
Six Flags, Inc. Sell 1,500 10.850 12/20/08 -- (83,079)
Smurfit-Stone Container
Enterprises, Inc. Sell 2,515 1.450 9/20/08 -- 5,689
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special
Financing, Inc.:
ABX.HE.AA.06-2 Index Sell 350 0.170 5/25/46 (85,730) (195,664)
Ambac Assurance Corp. Sell 1,945 4.650 9/20/08 -- 14,179
Capital One Bank Buy 2,155 1.800 12/20/12 -- 152,755
CenturyTel, Inc. Buy 1,840 1.430 3/20/13 -- (2,035)
Companhia Vale Do Rio Doce Sell 2,630 1.590 3/20/17 -- (189,215)
CVRD Inco Ltd. Buy 2,630 0.710 3/20/17 -- 83,747
D.R. Horton, Inc. Sell 2,125 4.200 12/20/08 -- 18,330
Dillard's, Inc. Sell 1,560 2.250 12/20/08 -- 25,049
Dillard's, Inc. Sell 4,530 2.250 12/20/08 -- 72,738
Dole Food Co., Inc. Sell 2,390 3.450 9/20/08 -- (110,177)
General Mills, Inc. Sell 4,955 0.400 12/20/12 -- 3,855
Harrah's Operating Co., Inc. Sell 4,480 2.600 12/20/08 -- (142,115)
Harrah's Operating Co., Inc. Sell 855 5.000 3/20/10 (42,750) (48,903)
Levi Strauss & Co. Sell 2,200 1.750 9/20/08 -- 15,492
Morgan Stanley Sell 6,310 0.640 9/20/08 -- 2,890
Nortel Networks Corp. Sell 410 1.850 9/20/08 -- 1,248
Residential Capital LLC Sell 4,410 5.000 6/20/08 (573,300) (424,948)
35 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
PAY/
NOTIONAL RECEIVE PREMIUM
SWAP BUY/SELL AMOUNT FIXED TERMINATION PAID/
COUNTERPARTY REFERENCE ENTITY CREDIT PROTECTION (000S) RATE DATE (RECEIVED) VALUE
- ------------------------------------------------------------------------------------------------------------------------------------
Lehman Brothers
Special
Financing,
Inc.:
Continued
R.H. Donnelley Corp. Sell $ 485 5.000% 3/20/09 $ (48,500) $ (48,500)
Rite Aid Corp. Sell 2,250 3.300 9/20/08 -- (77,715)
Saks, Inc. Sell 2,300 2.200 12/20/08 -- 17,222
The Bear Stearns Cos., Inc. Sell 6,200 2.100 9/20/08 -- (5,574)
Toys "R" Us, Inc. Sell 2,200 3.300 9/20/08 -- (53,238)
Tribune Co. Sell 2,910 7.350 12/20/08 -- (378,283)
Univision Communications, Inc. Sell 590 3.000 12/20/08 -- (55,731)
Univision Communications, Inc. Sell 5,120 3.000 12/20/08 -- (483,630)
Washington Mutual, Inc. Sell 1,730 4.400 12/20/08 -- (29,995)
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
& Co.
International
plc:
Beazer Homes USA, Inc. Sell 1,825 2.150 6/20/08 -- (49,142)
Countrywide Home Loans, Inc. Sell 4,905 0.420 6/20/09 -- (326,663)
Countrywide Home Loans, Inc. Sell 1,275 0.750 9/20/08 -- (77,358)
First Data Corp. Sell 995 1.350 9/20/08 -- (8,670)
Ford Motor Co. Sell 3,060 7.150 12/20/16 -- (65,102)
Ford Motor Co. Sell 1,455 7.050 12/20/16 -- (94,341)
General Motors Corp. Sell 1,525 5.800 12/20/16 -- (169,392)
General Motors Corp. Sell 1,480 5.750 12/20/16 -- (167,841)
Harrah's Operating Co., Inc. Sell 1,430 2.200 9/20/08 -- (31,905)
Inco Ltd. Buy 1,605 0.700 3/20/17 -- 51,593
Inco Ltd. Buy 1,615 0.630 3/20/17 -- 71,780
J.C. Penney Co., Inc. Sell 1,540 1.070 12/20/17 -- (108,949)
J.C. Penney Co., Inc. Sell 1,585 1.300 12/20/17 -- (85,641)
K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- (37,310)
K. Hovnanian Enterprises, Inc. Sell 815 1.850 6/20/08 -- (37,310)
Kohl's Corp. Buy 2,310 0.660 12/20/17 -- 140,360
Kohl's Corp. Buy 2,375 0.870 12/20/17 -- 106,493
Residential Capital LLC Sell 3,845 6.120 9/20/08 -- (660,140)
Residential Capital LLC Sell 965 5.000 6/20/08 (130,275) (92,987)
Residential Capital LLC Sell 1,345 5.000 6/20/08 (195,025) (129,604)
Residential Capital LLC Sell 2,475 5.000 6/20/08 (358,875) (238,491)
Sara Lee Corp. Buy 2,645 0.418 9/20/12 -- 309
Sara Lee Corp. Buy 4,345 0.390 9/20/12 -- 5,896
Toys "R" Us, Inc. Sell 1,000 2.550 9/20/08 -- (29,706)
Tribune Co. Sell 1,595 1.000 6/20/08 -- (151,721)
Vale Overseas Ltd. Sell 1,605 1.170 3/20/17 -- (134,440)
Vale Overseas Ltd. Sell 1,615 1.100 3/20/17 -- (143,110)
- ------------------------------------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital
Services, Inc.:
ABX.HE.AA.06-2 Index Sell 250 0.170 5/25/46 (19,973) (139,760)
ABX.HE.AA.06-2 Index Sell 480 0.170 5/25/46 (47,998) (265,260)
Lennar Corp. Sell 1,700 2.900 12/20/08 -- (43,947)
-----------------------------
$ (2,244,121) $ (12,352,315)
=============================
36 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS AS OF FEBRUARY 29, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------
Three-Month
Credit Suisse International $ 6,910,000 USD BBA LIBOR 5.428% 8/7/17 $ 576,011
- -------------------------------------------------------------------------------------------------
Three-Month
Deutsche Bank AG 5,830,000 USD BBA LIBOR 5.445 8/8/17 493,125
-------------
$ 1,069,136
=============
Index abbreviation is as follows:
BBA LIBOR British Bankers' Association London-Interbank Offered Rate
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS AS OF FEBRUARY 29, 2008 ARE AS FOLLOWS:
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------
Barclays Bank plc:
If negative, If positive, the
the absolute Total Return of
value of the the Lehman
Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 20
$ 19,330,000 8.5+ Index basis points 6/1/08 $ (884,071)
If negative, If positive, the
the absolute Total Return of
value of the the Lehman
Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 25
28,100,000 8.5+ Index basis points 5/1/08 (1,284,029)
- -------------------------------------------------------------------------------------------------
If negative,
the absolute If positive, the
value of the Total Return of
Lehman the Lehman
Brothers U.S. Brothers U.S.
CMBS AAA CMBS AAA
Citibank NA 19,200,000 Index Index 2/1/09 (821,922)
- -------------------------------------------------------------------------------------------------
If negative, If positive, the
the absolute Total Return of
value of the the Lehman
Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
Deutsche Bank CMBS AAA Index plus 55
AG 1,000,000 8.5+ Index basis points 5/1/08 (63,610)
- -------------------------------------------------------------------------------------------------
If negative,
the absolute If positive, the
value of the Total Return of
Lehman the Lehman
Goldman Sachs Brothers U.S. Brothers U.S.
Capital Markets CMBS AAA CMBS AAA 8.5+
LP 14,500,000 8.5+ Index Index 3/1/09 (183,478)
37 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.:
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 40
$ 22,700,000 8.5+ Index basis points 6/1/08 $ (1,469,693)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 30
3,600,000 8.5+ Index basis points 8/1/08 (233,481)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 25
20,000,000 8.5+ Index basis points 5/1/08 (1,292,633)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA Index
CMBS AAA plus 25 basis
19,300,000 Index points 2/1/09 (825,308)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 20
9,500,000 8.5+ Index basis points 5/1/08 (613,644)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 15
49,500,000 8.5+ Index basis points 8/1/09 (3,204,801)
38 | OPPENHEIMER CAPITAL INCOME FUND
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- -------------------------------------------------------------------------------------------------------
Lehman Brothers
Special Financing,
Inc.: Continued
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 55
$ 19,283,000 8.5+ Index basis points 5/1/08 $ (1,234,723)
If negative, the
absolute value If positive, the
of the Lehman Total Return of
Brothers U.S. the Lehman
CMBS AAA Brothers U.S.
4,560,000 Index CMBS AAA Index 3/1/09 --
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 25
4,560,000 8.5+ Index basis points 3/1/08 (294,720)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 45
25,562,000 8.5+ Index basis points 5/1/08 (1,638,695)
- -------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital
Services, Inc.:
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 40
16,100,000 8.5+ Index basis points 6/1/08 (1,037,156)
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index plus 90
19,330,000 8.5+ Index basis points 6/1/08 (1,225,687)
39 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FOOTNOTES TO STATEMENT OF INVESTMENTS Continued
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS: Continued
- --------------------------------------------------------------------------------
SWAP NOTIONAL PAID BY RECEIVED BY TERMINATION
COUNTERPARTY AMOUNT THE FUND THE FUND DATE VALUE
- --------------------------------------------------------------------------------------------------------
Morgan Stanley
Capital Services,
Inc.: Continued
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 25
$ 20,000,000 8.5+ Index basis points 5/1/08 $ (1,286,060)
If negative, the
absolute value If positive, the
of the Lehman Total Return of
Brothers U.S. the Lehman
CMBS AAA Brothers U.S.
36,500,000 Index CMBS AAA Index 3/1/09 (160,934)
- -------------------------------------------------------------------------------------------------------
If positive, the
If negative, the Total Return of
absolute value the Lehman
of the Lehman Brothers U.S.
Brothers U.S. CMBS AAA 8.5+
CMBS AAA Index minus 20
UBS AG 6,700,000 8.5+ Index basis points 5/1/08 (426,938)
--------------
$ (18,181,583)
==============
Abbreviation is as follows:
CMBS Commercial Mortgage Backed Securities
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
40 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited
- --------------------------------------------------------------------------------
February 29, 2008
- -------------------------------------------------------------------------------------------------------------
ASSETS
- -------------------------------------------------------------------------------------------------------------
Investments, at value-see accompanying statement of investments:
Unaffiliated companies (cost $2,777,017,836) $ 2,874,494,384
Affiliated companies (cost $58,628,454) 71,185,035
-----------------
2,945,679,419
- -------------------------------------------------------------------------------------------------------------
Cash 575,207
- -------------------------------------------------------------------------------------------------------------
Swaps, at value (premiums received $1,305,975) 1,635,095
- -------------------------------------------------------------------------------------------------------------
Receivables and other assets:
Investments sold (including $137,331,067 sold on a when-issued or delayed delivery basis) 140,698,312
Interest, dividends and principal paydowns 24,304,857
Shares of beneficial interest sold 541,779
Futures margins 5,148
Other 146,833
-----------------
Total assets 3,113,586,650
- -------------------------------------------------------------------------------------------------------------
LIABILITIES
- -------------------------------------------------------------------------------------------------------------
Options written, at value (premiums received $16,772,334)-
see accompanying statement of investments 14,149,230
- -------------------------------------------------------------------------------------------------------------
Swaps, at value (premiums received $938,146) 31,099,857
- -------------------------------------------------------------------------------------------------------------
Payables and other liabilities:
Investments purchased (including $293,906,379 purchased on a when-issued or delayed
delivery basis) 307,475,533
Shares of beneficial interest redeemed 3,928,986
Distribution and service plan fees 862,596
Transfer and shareholder servicing agent fees 284,659
Shareholder communications 199,765
Trustees' compensation 33,073
Dividends 1,652
Other 413,674
-----------------
Total liabilities 358,449,025
- -------------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,755,137,625
=================
- -------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- -------------------------------------------------------------------------------------------------------------
Par value of shares of beneficial interest $ 254,867
- -------------------------------------------------------------------------------------------------------------
Additional paid-in capital 2,621,310,339
- -------------------------------------------------------------------------------------------------------------
Accumulated net investment income 20,821,589
- -------------------------------------------------------------------------------------------------------------
Accumulated net realized gain on investments 27,024,461
- -------------------------------------------------------------------------------------------------------------
Net unrealized appreciation on investments 85,726,369
-----------------
NET ASSETS $ 2,755,137,625
=================
41 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF ASSETS AND LIABILITIES Unaudited / Continued
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE PER SHARE
- ----------------------------------------------------------------------------------------------------------
Class A Shares:
Net asset value and redemption price per share (based on net assets
of $2,377,480,876 and 219,502,805 shares of beneficial interest outstanding) $ 10.83
Maximum offering price per share (net asset value plus sales charge of 5.75% of offering price) $ 11.49
- ----------------------------------------------------------------------------------------------------------
Class B Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $189,801,853 and 17,751,501 shares
of beneficial interest outstanding) $ 10.69
- ----------------------------------------------------------------------------------------------------------
Class C Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $150,340,216 and 14,120,721 shares
of beneficial interest outstanding) $ 10.65
- ----------------------------------------------------------------------------------------------------------
Class N Shares:
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $37,514,680 and 3,492,439 shares
of beneficial interest outstanding) $ 10.74
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
42 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF OPERATIONS Unaudited
- --------------------------------------------------------------------------------
For the Six Months Ended February 29, 2008
- --------------------------------------------------------------------------------------
INVESTMENT INCOME
- --------------------------------------------------------------------------------------
Interest (net of foreign withholding taxes of $747) $ 57,026,591
- --------------------------------------------------------------------------------------
Dividends:
Unaffiliated companies (net of foreign withholding taxes of $55,661) 27,924,944
Affiliated companies 2,798,178
- --------------------------------------------------------------------------------------
Fee income 289,423
- --------------------------------------------------------------------------------------
Other income 54,229
--------------
Total investment income 88,093,365
- --------------------------------------------------------------------------------------
EXPENSES
- --------------------------------------------------------------------------------------
Management fees 7,957,588
- --------------------------------------------------------------------------------------
Distribution and service plan fees:
Class A 2,739,698
Class B 1,078,569
Class C 856,645
Class N 102,534
- --------------------------------------------------------------------------------------
Transfer and shareholder servicing agent fees:
Class A 1,399,589
Class B 171,322
Class C 137,000
Class N 47,195
- --------------------------------------------------------------------------------------
Shareholder communications:
Class A 147,939
Class B 29,205
Class C 12,908
Class N 2,754
- --------------------------------------------------------------------------------------
Custodian fees and expenses 98,674
- --------------------------------------------------------------------------------------
Trustees' compensation 28,119
- --------------------------------------------------------------------------------------
Administration service fees 750
- --------------------------------------------------------------------------------------
Other 134,553
--------------
Total expenses 14,945,042
Less reduction to custodian expenses (26,249)
Less waivers and reimbursements of expenses (24,664)
--------------
Net expenses 14,894,129
- --------------------------------------------------------------------------------------
NET INVESTMENT INCOME 73,199,236
43 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENT OF OPERATIONS Unaudited / Continued
- --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
- -------------------------------------------------------------------------------------
Net realized gain (loss) on:
Investments:
Unaffiliated companies (including premiums on options exercised) 175,021,610
Affiliated companies (34,914,635)
Closing and expiration of option contracts written (3,359,770)
Closing and expiration of futures contracts (2,427,303)
Short positions (1,181,888)
Swap contracts (21,628,052)
Increase from payment by affiliate 590
----------------
Net realized gain 111,510,552
- -------------------------------------------------------------------------------------
Net change in unrealized appreciation (depreciation) on:
Investments (395,415,471)
Futures contracts (22,227)
Option contracts written 2,353,090
Swap contracts (25,223,681)
----------------
Net change in unrealized appreciation (418,308,289)
- -------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $ (233,598,501)
================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
44 | OPPENHEIMER CAPITAL INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 29, 2008 AUGUST 31,
(UNAUDITED) 2007
- ---------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------
OPERATIONS
- ---------------------------------------------------------------------------------------------------------
Net investment income $ 73,199,236 $ 112,902,168
- ---------------------------------------------------------------------------------------------------------
Net realized gain 111,510,552 209,279,877
- ---------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation (418,308,289) (8,530,190)
---------------------------------------
Net increase (decrease) in net assets resulting from operations (233,598,501) 313,651,855
- ---------------------------------------------------------------------------------------------------------
DIVIDENDS AND/OR DISTRIBUTIONS TO SHAREHOLDERS
- ---------------------------------------------------------------------------------------------------------
Dividends from net investment income:
Class A (70,214,481) (87,959,430)
Class B (4,859,745) (6,228,396)
Class C (3,905,655) (4,351,749)
Class N (1,021,720) (1,156,756)
---------------------------------------
(80,001,601) (99,696,331)
- ---------------------------------------------------------------------------------------------------------
Distributions from net realized gain:
Class A (207,021,194) (10,162,632)
Class B (17,190,304) (1,003,861)
Class C (13,819,876) (663,061)
Class N (3,214,999) (143,710)
---------------------------------------
(241,246,373) (11,973,264)
- ---------------------------------------------------------------------------------------------------------
BENEFICIAL INTEREST TRANSACTIONS
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets resulting from
beneficial interest transactions:
Class A 99,869,953 (11,635,942)
Class B (11,987,787) (35,557,029)
Class C (2,979,829) 10,405,264
Class N 316,941 6,641,449
---------------------------------------
85,219,278 (30,146,258)
- ---------------------------------------------------------------------------------------------------------
NET ASSETS
- ---------------------------------------------------------------------------------------------------------
Total increase (decrease) (469,627,197) 171,836,002
- ---------------------------------------------------------------------------------------------------------
Beginning of period 3,224,764,822 3,052,928,820
---------------------------------------
End of period (including accumulated net investment income of
$20,821,589 and $27,623,954, respectively) $ 2,755,137,625 $ 3,224,764,822
=======================================
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
45 | OPPENHEIMER CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
FEBRUARY 29, 2008 YEAR ENDED AUGUST 31,
CLASS A (UNAUDITED) 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING
DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 13.10 $ 12.28 $ 12.63 $ 11.84 $ 11.22 $ 9.76
- ------------------------------------------------------------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income .30 1 .47 1 .39 1 .38 1 .46 .54
Net realized and
unrealized gain
(loss) (1.22) .82 .16 1.28 .69 1.35
--------------------------------------------------------------------------------------------------------
Total from
investment
operations (.92) 1.29 .55 1.66 1.15 1.89
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to
shareholders:
Dividends from net
investment income (.34) (.42) (.37) (.48) (.53) (.43)
Distributions from
net realized gain (1.01) (.05) (.53) (.39) -- --
--------------------------------------------------------------------------------------------------------
Total dividends
and/or distributions
to shareholders (1.35) (.47) (.90) (.87) (.53) (.43)
- ------------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.83 $ 13.10 $ 12.28 $ 12.63 $ 11.84 $ 11.22
========================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT
NET ASSET VALUE 2 (7.56)% 10.50% 4.68% 14.40% 10.32% 20.10%
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
- ------------------------------------------------------------------------------------------------------------------------------------
Net assets, end
of period
(in thousands) $ 2,377,481 $ 2,754,566 $ 2,594,507 $ 2,670,552 $ 2,379,956 $ 2,130,486
- ------------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 2,612,233 $ 2,809,861 $ 2,608,268 $ 2,565,609 $ 2,356,948 $ 1,900,896
- ------------------------------------------------------------------------------------------------------------------------------------
Ratios to average
net assets: 3
Net investment
income 4.94% 3.54% 3.21% 3.09% 3.85% 5.41%
Total expenses 0.87% 4,5,6 0.88% 4,5,6 0.91% 0.89% 5 0.89% 5,7 0.93% 5
- ------------------------------------------------------------------------------------------------------------------------------------
Portfolio
turnover rate 44% 8 66% 8 66% 8 55% 8 52% 141%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an 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 of less than one
full year. Returns do not reflect the deduction of taxes that a shareholder
would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods of less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended February 29, 2008 0.87%
Year Ended August 31, 2007 0.88%
5. Reduction to custodian expenses less than 0.005%.
6. Voluntary waiver or reimbursement of indirect management fees less than
0.005%.
7. Voluntary waiver of transfer agent fees less than 0.005%.
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 29, 2008 $ 1,064,805,161 $ 954,156,675
Year Ended August 31, 2007 $ 1,266,252,411 $ 1,359,901,233
Year Ended August 31, 2006 $ 2,212,763,141 $ 2,305,352,091
Year Ended August 31, 2005 $ 3,541,353,653 $ 3,677,756,448
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
46 | OPPENHEIMER CAPITAL INCOME FUND
SIX MONTHS
ENDED
FEBRUARY 29, 2008 YEAR ENDED AUGUST 31,
CLASS B (UNAUDITED) 2007 2006 2005 2004 2003
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING
DATA
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 12.94 $ 12.14 $ 12.49 $ 11.72 $ 11.10 $ 9.67
- ------------------------------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment income .25 1 .35 1 .28 1 .28 1 .36 .45
Net realized and
unrealized
gain (loss) (1.21) .81 .16 1.26 .68 1.33
-------------------------------------------------------------------------------------------------
Total from
investment operations (.96) 1.16 .44 1.54 1.04 1.78
- ------------------------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions to
shareholders:
Dividends from
net investment income (.28) (.31) (.26) (.38) (.42) (.35)
Distributions from
net realized gain (1.01) (.05) (.53) (.39) -- --
-------------------------------------------------------------------------------------------------
Total dividends
and/or distributions
to shareholders (1.29) (.36) (.79) (.77) (.42) (.35)
- ------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.69 $ 12.94 $ 12.14 $ 12.49 $ 11.72 $ 11.10
=================================================================================================
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT NET
ASSET VALUE 2 (7.96)% 9.54% 3.84% 13.40% 9.46% 18.94%
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL
DATA
- ------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (in thousands) $ 189,802 $ 240,849 $ 258,812 $ 299,093 $ 316,568 $ 343,074
- ------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 216,536 $ 262,574 $ 273,916 $ 304,769 $ 349,853 $ 312,457
- ------------------------------------------------------------------------------------------------------------------------------
Ratios to average
net assets: 3
Net investment income 4.09% 2.70% 2.37% 2.25% 3.00% 4.55%
Total expenses 1.73% 4,5,6 1.71% 4,5,6 1.74% 1.73% 5 1.76% 5,7 1.81% 5
- ------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 44% 8 66% 8 66% 8 55% 8 52% 141%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended February 29, 2008 1.73%
Year Ended August 31, 2007 1.71%
5. Reduction to custodian expenses less than 0.005%.
6. Voluntary waiver or reimbursement of indirect management fees less than
0.005%.
7. Voluntary waiver of transfer agent fees less than 0.005%.
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 29, 2008 $ 1,064,805,161 $ 954,156,675
Year Ended August 31, 2007 $ 1,266,252,411 $ 1,359,901,233
Year Ended August 31, 2006 $ 2,212,763,141 $ 2,305,352,091
Year Ended August 31, 2005 $ 3,541,353,653 $ 3,677,756,448
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
47 | OPPENHEIMER CAPITAL INCOME FUND
FINANCIAL HIGHLIGHTS Continued
- --------------------------------------------------------------------------------
SIX MONTHS
ENDED
FEBRUARY 29, 2008 YEAR ENDED AUGUST 31,
CLASS C (UNAUDITED) 2007 2006 2005 2004 2003
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $ 12.89 $ 12.10 $ 12.46 $ 11.69 $ 11.09 $ 9.66
- -------------------------------------------------------------------------------------------------------------------------------
Income (loss)
from investment
operations:
Net investment income .25 1 .36 1 .29 1 .28 1 .35 .45
Net realized and
unrealized gain (loss) (1.20) .79 .15 1.26 .69 1.34
-------------------------------------------------------------------------------------------
Total from
investment operations (.95) 1.15 .44 1.54 1.04 1.79
- -------------------------------------------------------------------------------------------------------------------------------
Dividends and/or
distributions
to shareholders:
Dividends from net
investment income (.28) (.31) (.27) (.38) (.44) (.36)
Distributions from
net realized gain (1.01) (.05) (.53) (.39) -- --
-------------------------------------------------------------------------------------------
Total dividends and/or
distributions to
shareholders (1.29) (.36) (.80) (.77) (.44) (.36)
- -------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $ 10.65 $ 12.89 $ 12.10 $ 12.46 $ 11.69 $ 11.09
===========================================================================================
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN, AT
NET ASSET VALUE 2 (7.89)% 9.53% 3.83% 13.52% 9.40% 19.05%
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -------------------------------------------------------------------------------------------------------------------------------
Net assets, end of
period (in thousands) $ 150,340 $ 184,782 $ 163,959 $ 167,013 $ 133,368 $ 93,797
- -------------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 171,947 $ 182,640 $ 165,514 $ 150,410 $ 122,458 $ 75,459
- -------------------------------------------------------------------------------------------------------------------------------
Ratios to average
net assets: 3
Net investment
income 4.09% 2.74% 2.40% 2.27% 3.01% 4.55%
Total expenses 1.72% 4,5,6 1.69% 4,5,6 1.71% 1.71% 5 1.72% 5,7 1.78% 5
- -------------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 44% 8 66% 8 66% 8 55% 8 52% 141%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period, with all dividends and distributions reinvested in additional shares on
the reinvestment date, and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would pay
on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended February 29, 2008 1.72%
Year Ended August 31, 2007 1.69%
5. Reduction to custodian expenses less than 0.005%.
6. Voluntary waiver or reimbursement of indirect management fees less than
0.005%.
7. Voluntary waiver of transfer agent fees less than 0.005%.
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 29, 2008 $ 1,064,805,161 $ 954,156,675
Year Ended August 31, 2007 $ 1,266,252,411 $ 1,359,901,233
Year Ended August 31, 2006 $ 2,212,763,141 $ 2,305,352,091
Year Ended August 31, 2005 $ 3,541,353,653 $ 3,677,756,448
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
48 | OPPENHEIMER CAPITAL INCOME FUND
SIX MONTHS
ENDED
FEBRUARY 29, 2008 YEAR ENDED AUGUST 31,
CLASS N (UNAUDITED) 2007 2006 2005 2004 2003
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
PER SHARE OPERATING DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning
of period $ 13.00 $ 12.20 $ 12.55 $ 11.78 $ 11.16 $ 9.73
- -----------------------------------------------------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income .27 1 .42 1 .34 1 .34 1 .39 .46
Net realized and unrealized
gain (loss) (1.21) .80 .16 1.26 .72 1.37
-------------------------------------------------------------------------------------
Total from investment
operations (.94) 1.22 .50 1.60 1.11 1.83
- -----------------------------------------------------------------------------------------------------------------------------
Dividends and/or distributions
to shareholders:
Dividends from net investment
income (.31) (.37) (.32) (.44) (.49) (.40)
Distributions from net
realized gain (1.01) (.05) (.53) (.39) -- --
-------------------------------------------------------------------------------------
Total dividends and/or
distributions to shareholders (1.32) (.42) (.85) (.83) (.49) (.40)
- -----------------------------------------------------------------------------------------------------------------------------
Net asset value,end of period $ 10.74 $ 13.00 $ 12.20 $ 12.55 $ 11.78 $ 11.16
=====================================================================================
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL RETURN,AT NET ASSET
VALUE 2 (7.75)% 10.01% 4.32% 13.95% 10.01% 19.45%
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------
Net assets,end of period
(in thousands) $ 37,515 $ 44,568 $ 35,651 $ 29,444 $ 16,692 $ 9,023
- -----------------------------------------------------------------------------------------------------------------------------
Average net assets
(in thousands) $ 41,193 $ 41,919 $ 32,598 $ 22,974 $ 13,301 $ 5,968
- -----------------------------------------------------------------------------------------------------------------------------
Ratios to average net
assets: 3
Net investment income 4.53% 3.19% 2.82% 2.73% 3.42% 4.92%
Total expenses 1.28% 4,5,6 1.25% 4,5,6 1.30% 1.24% 5 1.28% 5,7 1.35% 5
- -----------------------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 44% 8 66% 8 66% 8 55% 8 52% 141%
1. Per share amounts calculated based on the average shares outstanding during
the period.
2. Assumes an investment on the business day before the first day of the fiscal
period,with all dividends and distributions reinvested in additional shares on
the reinvestment date,and redemption at the net asset value calculated on the
last business day of the fiscal period. Sales charges are not reflected in the
total returns. Total returns are not annualized for periods less than one full
year. Returns do not reflect the deduction of taxes that a shareholder would
pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Total expenses including indirect expenses from affiliated fund were as
follows:
Six Months Ended February 29, 2008 1.28%
Year Ended August 31, 2007 1.25%
5. Reduction to custodian expenses less than 0.005%.
6. Voluntary waiver or reimbursement of indirect management fees less than
0.005%.
7. Voluntary waiver of transfer agent fees less than 0.005%.
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 29, 2008 $1,064,805,161 $ 954,156,675
Year Ended August 31, 2007 $1,266,252,411 $1,359,901,233
Year Ended August 31, 2006 $2,212,763,141 $2,305,352,091
Year Ended August 31, 2005 $3,541,353,653 $3,677,756,448
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
49 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Oppenheimer Capital Income Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment company.
The Fund's investment objective is to seek as much current income as is
compatible with prudent investment. The Fund has a secondary objective to
conserve principal while providing an opportunity for capital appreciation. The
Fund's investment adviser is OppenheimerFunds, Inc. (the "Manager").
The Fund offers Class A, Class B, Class C and Class N shares. Class A
shares are sold at their offering price, which is normally net asset value plus
a front-end sales charge. Class B, Class C and Class N shares are sold without a
front-end sales charge but may be subject to a contingent deferred sales charge
("CDSC"). Class N shares are sold only through retirement plans. Retirement
plans that offer Class N shares may impose charges on those accounts. 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 N have separate distribution and/or service plans.
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.
- --------------------------------------------------------------------------------
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. Securities may be
valued primarily using dealer-supplied valuations or a portfolio pricing service
authorized by the Board of Trustees. Securities traded on a registered U.S.
securities exchange are valued based on the last sale price of the security
traded on that exchange prior to the time when the Fund's assets are valued.
Securities whose principal exchange is NASDAQ(R) are valued based on the closing
price reported by NASDAQ 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 closing "bid" and "asked"
prices, and if not, at the closing bid price. Securities traded on foreign
exchanges are valued based on the last sale price on the principal exchange on
which the security is traded, as identified by the portfolio pricing service,
prior to the time when the Fund's assets are valued. In the absence of a sale,
the security is valued at the official closing price on the principal exchange.
Corporate, government and municipal debt instruments having a remaining maturity
in excess of sixty days and all mortgage-backed securities, collateralized
mortgage obligations and other asset-backed securities will be valued at the
mean between the "bid" and "asked" prices. Securities for which market
quotations are not readily available are valued at their fair value. Securities
whose values have been materially affected by what the Manager identifies as a
significant event occurring before the Fund's assets
50 | OPPENHEIMER CAPITAL INCOME FUND
are valued but after the close of their respective exchanges will be fair
valued. Fair value is determined in good faith using consistently applied
procedures under the supervision of the Board of Trustees. Shares of a
registered investment company that are not traded on an exchange are valued at
the acquired investment company's net asset value per share. "Money market-type"
debt instruments with remaining maturities 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.
- --------------------------------------------------------------------------------
STRUCTURED SECURITIES. The Fund invests in structured securities whose market
values, interest rates and/or redemption prices are linked to the performance of
underlying foreign currencies, interest rate spreads, stock market indices,
prices of individual securities, commodities or other financial instruments or
the occurrence of other specific events. The structured securities are often
leveraged, increasing the volatility of each note's market value relative to the
change in the underlying linked financial element or event. Fluctuations in
value of these securities are recorded as unrealized gains and losses in the
accompanying Statement of Operations. The Fund records a realized gain or loss
when a structured security is sold or matures.
- --------------------------------------------------------------------------------
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 maintains
internally designated assets with a market value equal to or greater than the
amount of its purchase commitments. 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 29, 2008, 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 $ 293,906,379
Sold securities 137,331,067
51 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
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.
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; counterparty credit risk. To assure its
future payment of the purchase price, the Fund maintains internally designated
assets with a market value equal to or greater than the payment obligation under
the roll.
- --------------------------------------------------------------------------------
SECURITIES SOLD SHORT. The Fund may short sale when-issued securities for future
settlement. The value of the open short position is recorded as a liability, and
the Fund records an unrealized gain or loss for the value of the open short
position. The Fund records a realized gain or loss when the short position is
closed out.
As of February 29, 2008, the Fund held no securities sold short.
- --------------------------------------------------------------------------------
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
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 Statement of Operations.
52 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
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. IMMF is a registered open-end management investment company,
regulated as a money market fund under the Investment Company Act of 1940, as
amended. The Manager is also the investment adviser of IMMF. The Fund's
investment in IMMF is included in the Statement of Investments. 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.
- --------------------------------------------------------------------------------
INVESTMENTS WITH OFF-BALANCE SHEET RISK. The Fund enters into financial
instrument transactions (such as swaps, futures, options and other derivatives)
that may have offbalance sheet market risk. Offbalance sheet market risk
exists when the maximum potential loss on a particular financial instrument is
greater than the value of such financial instrument, as reflected in the Fund's
Statement of Assets and Liabilities.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
FEDERAL TAXES. The Fund intends to comply with provisions of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of its investment company taxable income, including any net
realized gain on investments not offset by capital loss carryforwards, if any,
to shareholders. Therefore, no federal income or excise tax provision is
required. The Fund files income tax returns in U.S. federal and applicable state
jurisdictions. The statute of limitations on the Fund's tax return filings
generally remain open for the three preceding fiscal reporting period ends.
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.
As of February 29, 2008, the Fund had available for federal income tax
purposes an estimated capital loss carryforward of zero. This estimated capital
loss carryforward represents carryforward as of the end of the last fiscal year,
increased for losses deferred under tax accounting rules to the current fiscal
year and is 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 29, 2008, it is estimated that the Fund will utilize $24,036,359
53 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES Continued
of capital loss carryforward to offset realized capital gains. During the fiscal
year ended August 31, 2007, the Fund did not utilize any capital loss
carryforward to offset capital gains realized in that fiscal year.
As of August 31, 2007, the Fund had $24,036,359 of straddle losses which
were deferred.
The approximate 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 29, 2008 are noted
below. 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.
Federal tax cost of securities $ 2,846,512,328
Federal tax cost of other investments (130,772,388)
---------------
Total federal tax cost $ 2,715,739,940
===============
Gross unrealized appreciation $ 338,447,331
Gross unrealized depreciation (263,587,000)
---------------
Net unrealized appreciation $ 74,860,331
===============
- --------------------------------------------------------------------------------
TRUSTEES' COMPENSATION. The Board of Trustees 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
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 to the compensation deferral plan.
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date or upon
exdividend 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 Statement of Operations,
are amortized or accreted daily.
54 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
CUSTODIAN FEES. "Custodian fees and expenses" in the 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.
- --------------------------------------------------------------------------------
OTHER. 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.
- --------------------------------------------------------------------------------
2. 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 29, 2008 YEAR ENDED AUGUST 31, 2007
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
CLASS A
Sold 7,036,200 $ 86,617,170 24,786,266 $ 331,214,040
Dividends and/or
distributions reinvested 22,498,158 259,387,255 6,895,270 90,699,242
Redeemed (20,281,323) (246,134,472) (32,639,197) (433,549,224)
--------------------------------------------------------------------
Net increase (decrease) 9,253,035 $ 99,869,953 (957,661) $ (11,635,942)
====================================================================
- --------------------------------------------------------------------------------------------------
CLASS B
Sold 1,001,977 $ 12,090,857 3,288,092 $ 43,051,303
Dividends and/or
distributions reinvested 1,843,385 20,971,273 524,751 6,819,291
Redeemed (3,703,783) (45,049,917) (6,522,576) (85,427,623)
--------------------------------------------------------------------
Net decrease (858,421) $ (11,987,787) (2,709,733) $ (35,557,029)
====================================================================
55 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
2. SHARES OF BENEFICIAL INTEREST Continued
SIX MONTHS ENDED FEBRUARY 29, 2008 YEAR ENDED AUGUST 31, 2007
SHARES AMOUNT SHARES AMOUNT
- -------------------------------------------------------------------------------------------------
CLASS C
Sold 1,028,390 $ 12,451,786 3,136,488 $ 41,107,707
Dividends and/or
distributions reinvested 1,409,037 15,955,669 341,526 4,431,983
Redeemed (2,646,977) (31,387,284) (2,698,666) (35,134,426)
---------------------------------------------------------------
Net increase (decrease) (209,550) $ (2,979,829) 779,348 $ 10,405,264
===============================================================
- -------------------------------------------------------------------------------------------------
CLASS N
Sold 483,514 $ 5,819,579 1,516,523 $ 20,001,127
Dividends and/or
distributions reinvested 341,315 3,905,200 94,066 1,230,137
Redeemed (760,216) (9,407,838) (1,105,867) (14,589,815)
---------------------------------------------------------------
Net increase 64,613 $ 316,941 504,722 $ 6,641,449
===============================================================
- --------------------------------------------------------------------------------
3. 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 29, 2008, were as follows:
PURCHASES SALES
- -------------------------------------------------------------------------------------
Investment securities $1,207,862,782 $1,528,742,052
U.S. government and government agency obligations 5,148,572 3,641,283
To Be Announced (TBA) mortgage-related securities 1,064,805,161 954,156,675
- --------------------------------------------------------------------------------
4. 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
- --------------------------------------------------------------------------------
ADMINISTRATION SERVICE FEES. The Fund pays the Manager a fee of $1,500 per year
for preparing and filing the Fund's tax returns.
- --------------------------------------------------------------------------------
TRANSFER AGENT FEES. OppenheimerFunds Services ("OFS"), a division of the
Manager, acts as the transfer and shareholder servicing agent for the Fund. The
Fund pays OFS a per account fee. For the six months ended February 29, 2008, the
Fund paid $1,794,607 to OFS for services to the Fund.
56 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
SERVICE PLAN FOR CLASS A SHARES. The Fund has adopted a Service Plan (the
"Plan") for Class A shares under Rule 12b-1 of the Investment Company Act of
1940. Under the Plan, the Fund reimburses the Distributor for a portion of its
costs incurred for services provided to accounts that hold Class A shares.
Reimbursement is made periodically at an annual rate of up to 0.25% of the
average annual net assets of Class A shares of the Fund. The Distributor
currently uses all of those fees to pay dealers, brokers, banks and other
financial institutions periodically for providing personal service and
maintenance of accounts of their customers that hold Class A shares. Any
unreimbursed expenses the Distributor incurs with respect to Class A shares in
any fiscal year cannot be recovered in subsequent periods. Fees incurred by the
Fund under the Plan are detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
DISTRIBUTION AND SERVICE PLANS FOR CLASS B, CLASS C AND CLASS N SHARES. The Fund
has adopted Distribution and Service Plans (the "Plans") for Class B, Class C
and Class N shares under Rule 12b-1 of the Investment Company Act of 1940 to
compensate the Distributor for its services in connection with the distribution
of those shares and servicing accounts. Under the Plans, the Fund pays the
Distributor an annual asset-based sales charge of 0.75% on Class B and Class C
shares and 0.25% on Class N shares. The Distributor also receives a service fee
of 0.25% per year under each plan. If either the Class B, Class C or Class N
plan is terminated by the Fund or by the shareholders of a class, the Board of
Trustees and its independent trustees must determine whether the Distributor
shall be entitled to payment from the Fund of all or a portion of the service
fee and/or asset-based sales charge in respect to shares sold prior to the
effective date of such termination. The Distributor's aggregate uncompensated
expenses under the Plans at December 31, 2007 for Class B, Class C and Class N
shares were $7,867,890, $4,479,584 and $738,535, respectively. Fees incurred by
the Fund under the Plans are detailed in the Statement of Operations.
- --------------------------------------------------------------------------------
SALES CHARGES. Front-end sales charges and contingent deferred sales charges
("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.
CLASS A CLASS B CLASS C CLASS N
CLASS A CONTINGENT CONTINGENT CONTINGENT CONTINGENT
FRONT-END DEFERRED DEFERRED DEFERRED DEFERRED
SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES SALES CHARGES
RETAINED BY RETAINED BY RETAINED BY RETAINED BY RETAINED BY
SIX MONTHS ENDED DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR DISTRIBUTOR
- -------------------------------------------------------------------------------------------------------------
February 29, 2008 $ 297,913 $ 55,042 $ 141,864 $ 10,721 $ 967
57 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES Continued
WAIVERS AND REIMBURSEMENTS OF EXPENSES. OFS has voluntarily agreed to limit
transfer and shareholder servicing agent fees for all classes to 0.35% of
average annual net assets per class. This undertaking may be amended or
withdrawn at any time.
The Manager will waive fees and/or reimburse Fund expenses in an amount
equal to the indirect management fees incurred through the Fund's investment in
IMMF. During the six months ended February 29, 2008, the Manager waived $24,664
for IMMF management fees.
During the six months ended February 29, 2008, the Manager voluntarily
reimbursed the Fund $590 for certain transactions. The payment increased the
Fund's total return by less than 0.01%.
- --------------------------------------------------------------------------------
5. FUTURES CONTRACTS
A futures contract is a commitment to buy or sell a specific amount of a
financial instrument at a negotiated price on a stipulated future date. The Fund
may buy and sell futures contracts that relate to broadly based securities
indices (financial futures), debt securities (interest rate futures), foreign
currencies, individual stocks and various commodities (commodity index futures).
The Fund may also buy or write put or call options on these futures contracts.
Futures contracts 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.
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. Subsequent payments (variation margin) are
made or received by the Fund each day. The variation margin payments are equal
to the daily changes in the contract value and are recorded as unrealized gains
and losses.
Futures contracts are reported on a schedule following the Statement of
Investments. Securities held in collateralized accounts to cover initial margin
requirements on open futures contracts are noted in the Statement of
Investments. Cash held by the broker 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 Statement of Assets and
Liabilities. The net change in unrealized appreciation and depreciation is
reported in the Statement of Operations. Realized gains (losses) are reported in
the Statement of Operations at the closing or expiration of futures contracts.
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.
- --------------------------------------------------------------------------------
6. OPTION ACTIVITY
The Fund may buy and sell put and call options, or write put and covered call
options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security at a fixed price, upon
exercise of the option.
58 | OPPENHEIMER CAPITAL INCOME FUND
Options are valued daily based upon the last sale price on the principal
exchange on which the option is traded. 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 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
Statement of Operations.
Securities designated to cover outstanding call or put options are noted
in the Statement of Investments where applicable. Options written are reported
in a schedule following the Statement of Investments and as a liability in the
Statement of Assets and Liabilities.
The risk in writing a call option is that the Fund gives up the
opportunity for profit if the market price of the security increases and the
option is exercised. 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.
Written option activity for the six months ended February 29, 2008 was as
follows:
CALL OPTIONS PUT OPTIONS
-------------------------- -----------------------------
NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF
CONTRACTS PREMIUMS CONTRACTS PREMIUMS
- -----------------------------------------------------------------------------------------------
Options outstanding as of
August 31, 2007 40,834 $ 13,543,701 10,316 $ 6,014,598
Options written 127,593 19,756,688 85,367 20,519,609
Options closed or expired (117,987) (18,582,167) (52,813) (12,147,486)
Options exercised (21,740) (9,323,864) (14,453) (3,008,745)
--------------------------------------------------------------
Options outstanding as of
February 29, 2008 28,700 $ 5,394,358 28,417 $ 11,377,976
==============================================================
- --------------------------------------------------------------------------------
7. 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, or the
occurrence of a credit event, over a specified period. Such contracts may
include interest rate, equity, debt, index, total return, credit and currency
swaps.
Swaps are marked to market daily using primarily quotations from pricing
services, counterparties and brokers. Swap contracts are reported on a schedule
following the Statement of Investments. The value of the contracts is separately
disclosed on the 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 at termination or settlement. The net change in this amount during
the period is included on the Statement of Operations. The Fund
59 | OPPENHEIMER CAPITAL INCOME FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
7. SWAP CONTRACTS Continued
also records any periodic payments received from (paid to) the counterparty,
including at termination, under such contracts as realized gain (loss) on the
Statement of Operations.
Risks of entering into swap contracts include credit, market and liquidity
risk. Credit risk arises from the possibility that the counterparty will
default. If the counterparty defaults, the Fund's loss will consist of the net
amount of contractual payments that the Fund has not yet received. Market risk
is the risk that the value of the contract will depreciate due to unfavorable
changes in the reference asset. If there is an illiquid market for the
agreement, the Fund may be unable to close the contract prior to contract
termination.
- --------------------------------------------------------------------------------
CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract
that enables an investor to buy or sell protection against a defined-issuer
credit event. The Fund may enter into credit default swaps on a single security,
or a basket of securities.
In a credit default swap contract, the purchaser of the contract will pay
a periodic interest fee, similar to an insurance premium, on the notional amount
of the swap contract to the counterparty (the seller of the contract). If there
is a credit event (for example, bankruptcy or a failure to timely pay interest
or principal), the purchaser will exercise the contract and will receive a
payment from the seller of the contract equal to the notional value of the
credit default swap contract less the value of the underlying security. In the
event that the credit default swap is exercised due to a credit event, the
difference between the value of the underlying security and the notional amount
is recorded as realized gain (loss) and is included on the Statement of
Operations.
Risks of credit default swaps include, but are not limited to, the cost of
paying for credit protection if there are no credit events, pricing transparency
when assessing the cost of a credit default swap, and the need to fund the
delivery obligation (either cash or defaulted securities).
- --------------------------------------------------------------------------------
INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between
counterparties to exchange periodic interest payments on the notional amount of
the contract. One cash flow stream will typically be a floating rate payment
based upon a specified index while the other is typically a fixed rate.
Interest rate swap agreements include interest rate risk. There is a risk,
based on movements of interest rates in the future, the payments made by the
Fund under a swap agreement will be greater than the payments it received.
- --------------------------------------------------------------------------------
TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between
counterparties to exchange a set of future cash flows on the notional amount of
the contract. One cash flow is typically based on a reference interest rate or
index and the other on the total return of a reference asset such as a security,
a basket of securities, or an index. The total return includes appreciation or
depreciation on the reference asset, plus any interest or dividend payments.
60 | OPPENHEIMER CAPITAL INCOME FUND
- --------------------------------------------------------------------------------
8. ILLIQUID SECURITIES
As of February 29, 2008, investments in securities included issues that are
illiquid. Investments may be illiquid because they do not have an active trading
market, making it difficult to value them or dispose of them promptly at an
acceptable price. The Fund will not invest more than 10% of its net assets
(determined at the time of purchase and reviewed periodically) in illiquid
securities. Securities that are illiquid are marked with an applicable footnote
on the Statement of Investments.
- --------------------------------------------------------------------------------
9. RECENT ACCOUNTING PRONOUNCEMENT
In September 2006, Financial Accounting Standards Board ("FASB") issued
Statement of Financial Accounting Standards ("SFAS") No. 157, FAIR VALUE
MEASUREMENTS. This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and expands
disclosures about fair value measurements. SFAS No. 157 applies to fair value
measurements already required or permitted by existing standards. SFAS No. 157
is effective for financial statements issued for fiscal years beginning after
November 15, 2007, and interim periods within those fiscal years. As of February
29, 2008, the Manager does not believe the adoption of SFAS No. 157 will
materially impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements on changes in net assets for the
period.
61 | 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
1.800.525.7048, (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
1.800.525.7048, 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
http://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.
62 | OPPENHEIMER CAPITAL INCOME FUND
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.
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 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
1. The Fund's Governance Committee (the "Committee") will evaluate potential
Board candidates to assess their qualifications. The Committee shall have
the authority, upon approval of the Board, to retain an executive search
firm to assist in this effort. The Committee may consider recommendations
by business and personal contacts of current Board members and by executive
search firms which the Committee may engage from time to time and may also
consider shareholder recommendations. The Committee may consider the advice
and recommendation of the Funds' investment manager and its affiliates in
making the selection.
2. The Committee shall screen candidates for Board membership. The Committee
has not established specific qualifications that it believes must be met by
a trustee nominee. In evaluating trustee nominees, the Committee considers,
among other things, an individual's background, skills, and experience;
whether the individual is an "interested person" as defined in the
Investment Company Act of 1940; and whether the individual would be deemed
an "audit committee financial expert" within the meaning of applicable SEC
rules. The Committee also considers whether the individual's background,
skills, and experience will complement the background, skills, and
experience of other nominees and will contribute to the Board. There are
no differences in the manner in which the Committee evaluates nominees for
trustees based on whether the nominee is recommended by a shareholder.
3. The Committee may consider nominations from shareholders for the Board at
such times as the Committee meets to consider new nominees for the Board.
The Committee shall have the sole discretion to determine the candidates to
present to the Board and, in such cases where required, to shareholders.
Recommendations for trustee nominees should, at a minimum, be accompanied
by the following:
o the name, address, and business, educational, and/or other pertinent
background of the person being recommended;
o a statement concerning whether the person is an "interested person" as
defined in the Investment Company Act of 1940;
o any other information that the Funds would be required to include in a
proxy statement concerning the person if he or she was nominated; and
o the name and address of the person submitting the recommendation and,
if that person is a shareholder, the period for which that person held
Fund shares.
The recommendation also can include any additional information which the
person submitting it believes would assist the Committee in evaluating the
recommendation.
4. Shareholders should note that a person who owns securities issued by
Massachusetts Mutual Life Insurance Company (the parent company of the
Funds' investment adviser) would be deemed an "interested person" under the
Investment Company Act of 1940. In addition, certain other relationships
with Massachusetts Mutual Life Insurance Company or its subsidiaries, with
registered broker-dealers, or with the Funds' outside legal counsel may
cause a person to be deemed an "interested person."
5. Before the Committee decides to nominate an individual as a trustee,
Committee members and other directors customarily interview the individual
in person. In addition, the individual customarily is asked to complete a
detailed questionnaire which is designed to elicit information which must
be disclosed under SEC and stock exchange rules and to determine whether
the individual is subject to any statutory disqualification from serving as
a trustee of a registered investment company.
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 02/29/2008, 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
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: 04/16/2008
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ John V. Murphy
---------------------------
John V. Murphy
Principal Executive Officer
Date: 04/16/2008
By: /s/ Brian W. Wixted
---------------------------
Brian W. Wixted
Principal Financial Officer
Date: 04/16/2008