UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSRS
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5867
Oppenheimer Multi-State Municipal Trust
(Exact name of registrant as specified in charter)
6803 South Tucson Way, Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette
OFI Global Asset Management, Inc.
225 Liberty Street, New York, New York 10281-1008
(Name and address of agent for service)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: July 31
Date of reporting period: 1/29/2016
Item 1. Reports to Stockholders.
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/29/16*
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Barclays Municipal
Bond Index |
6-Month | | 3.35% | | -1.56% | | 3.66% |
1-Year | | -1.19 | | -5.88 | | 2.71 |
5-Year | | 6.29 | | 5.26 | | 5.75 |
10-Year | | 3.21 | | 2.71 | | 4.81 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns for periods of less than one year are not annualized. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677).
Our Twitter handle is @RochesterFunds.
*January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements. Index returns are calculated through January 31, 2016.
2 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 14, 2016): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders:
On February 1, 2016, Puerto Rico made its debt-service payments on securities issued by the Puerto Rico Sales Tax Financing Corporation. The payment for these bonds, which are known as COFINAs, was 99% funded at the end of December and totaled approximately $322 million. The COFINAs are backed by the sales and use tax. The Municipal Finance Authority (MFA) also made its payments on February 1. As expected, the Puerto Rico Finance Corporation (PFC) defaulted on its February 1, 2016 payments.
Also on February 1, Puerto Rico proposed a voluntary “bond exchange” that it said would reduce its debt burden to $26.5 billion, from $49.2 billion. Under the proposal, creditors would exchange existing bonds for “base bonds” and “growth bonds.” Interest payments on the former would not begin until 2018, and payments on the latter would start a decade after the close of the exchange offer—but only if certain revenue levels have been achieved. Many market participants were critical of this proposal’s viability.
Officials from Puerto Rico appeared at a February 2, 2016 hearing of the U.S. House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs. The hearing included lengthy discussions about the benefits of establishing a federal control board to help the Commonwealth remedy its fiscal woes. Oppenheimer Rochester continues to believe that such a board would prove beneficial to the government and its authorities, to bondholders and to the people of Puerto Rico. Subcommittee members continued to press for audited financials from the Commonwealth.
Also in early February, the U.S. Supreme Court announced that it would hear arguments related to the validity of the Puerto Rico Public Corporation Debt and Recovery Act (“the Recovery Act”) on March 22.
On February 10, 2016, Sen. Orrin Hatch, chairman of the Senate Finance Committee, sent Gov. Alejandro Garcia Padilla a long list of questions and asked for a response by March 1. During a press conference on March 2, the governor said that his office was still working on its response, noting “I do not accept ultimatums from anyone.”
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On February 16, 2016, Governor Padilla signed legislation related to the December 2015 debt-restructuring agreement between PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders. The deadline for submitting a rate proposal to the Commonwealth’s Energy Commission was extended to April 22, from March 1.
Also on February 16, Puerto Rico released draft financials for fiscal year 2014. Later in the month, the governor said he expected that year’s audited financials to be ready April 1. In his State of the Commonwealth speech on February 29, the governor chided those who have insisted on seeing the audited financials before agreeing to help Puerto Rico.
On February 24, 2016, OppenheimerFunds, Franklin Advisers and the First Puerto Rico Family of Funds sent a letter to the chairman of the Puerto Rico House Committee on Finance and Budget, Rafael “Tatito” Hernández Montañez, and Puerto Rico’s legislators. The letter addressed the rhetoric coming from the Commonwealth about plans to weaken the COFINA bond structure and protections. Details about the letter can be found at www.oppenheimerfunds.com/puerto_rico.
The next day, two more hearings were held at the U.S. House on developments in Puerto Rico.
In early March, The Bond Buyer reported that PRASA, the Commonwealth’s aqueduct and sewer authority, had created a contingency plan to use if it cannot access the credit markets. On March 10, the Puerto Rico House passed legislation that would allow PRASA to issue new debt and avoid a rate hike; the Puerto Rico Senate has yet to vote on the legislation, which includes several prerequisites.
On March 8, 2016, the governor agreed to postpone until June 1 a 6.5 percentage point increase in the Commonwealth’s business-to-business service tax. This decision is expected to delay Puerto Rico’s transition to a value-added tax, originally slated to begin April 1. Meanwhile, there are calls for the Commonwealth’s tax system to be overhauled.
Our team continues to be an active participant in negotiations with Puerto Rico officials. Shareholders should be confident that we will continue to work to protect our shareholders’ best interests.
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Fund Performance Discussion
Amid low interest rates during the 6-month reporting period that ended January 29, 2016, the last business day of this reporting period, Oppenheimer Rochester New Jersey Municipal Fund provided a total return at net asset value (NAV) of 3.35% and generated high levels of tax-free income. The Fund’s Class A shares provided a distribution yield of 4.99% NAV at the end of this reporting period. The Fund’s Class A shares were ranked second at the end of January 2016, behind this Fund’s Class Y shares, in Lipper’s New Jersey Municipal Debt Funds category for 12-month distribution yield, a calculation that compares fund yields for the trailing 12 months. Tax-free income comprised more than 75% of the Fund’s total return this reporting period, further evidence supporting our focus on yield as the long-term driver of Fund performance.
MARKET OVERVIEW
The Fed Funds target rate, the short-term interest rate set by the Federal Open Market Committee (FOMC), was increased to the range of 0.25% to 0.50% on December 16, 2015, seven years to the day after it had been reduced to the range of zero to 0.25%. The last increase – to 5.25% – was announced June 29, 2006. Despite ongoing concerns about low inflation due to decreasing oil prices and low import prices, the Fed cited steady job growth and a near-normal unemployment rate of 5% as reasons for the increase. In a statement following the December meeting, Fed officials said they expect the economy to
|
The average 12-month distribution yield in Lipper’s New Jersey Municipal Debt Funds category was 3.37% at the end of this reporting period. At 4.99%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 162 basis points higher than the category average. |
warrant only “gradual increases” over the next few years, projecting that interest rates would rise one percentage point per year.
| | | | |
| YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | | |
Dividend Yield w/o sales charge | | | 4.99% | |
Dividend Yield with sales charge | | | 4.75 | |
Standardized Yield | | | 3.82 | |
Taxable Equivalent Yield | | | 7.46 | |
Last distribution (1/26/16) | | $ | 0.039 | |
Total distributions (8/1/15 to 1/31/16) | | $ | 0.240 | |
Endnotes for this discussion begin on page 19 of this report
5 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Many market watchers had predicted the FOMC would raise the Fed Funds target rate at the September 2015 meeting, but the Fed decided otherwise. Citing “underutilization of labor resources and inflation continuing to run below the committee’s longer-run objective,” the Committee voted to keep the short-term rate at zero to 0.25%.
In a speech after the September meeting, Chairman Janet Yellen tried to quell the resulting market volatility saying, “It will likely be appropriate to raise the target range of the Federal Funds rate sometime later this year, and to continue boosting short-term rates at a gradual pace thereafter as the labor market improves further and inflation moves back to our 2% objective.”
While not definitive by any measure, the statement was more specific than earlier announcements from the Fed.
In November 2015, Ms. Yellen again indicated that the central bank would bump up rates slowly, a message that was repeated after the December 2015 increase. The Fed has suggested four rate hikes in 2016 but stressed that the recovery remains slow, and inflation is still feeble. “Rate increases could be faster or slower, based on economic data,” Fed officials said after the December meeting.
The Fed kept interest rates unchanged at the January 2016 meeting, but left open the possibility it could raise short-term rates when it reconvenes in March 2016. In a press release, the Fed indicated it was closely
monitoring the global economy and financial markets, noting that economic growth had slowed since late 2015 and inflation continued to run below the target 2% level.
We remind investors that a change in the Fed Funds rate does not automatically translate into a change in longer-term interest rates, which are determined by the marketplace.
On January 29, 2016, yields on high-grade municipal bonds at the short end of the yield curve were higher than they had been 6 months earlier. However, prices of longer-term, high-grade munis rallied during the same period, and their yields declined. No matter what the Fed does, this Fund’s investment team will seek to meet investors’ desires for competitive levels of tax-free income by searching for value in the muni market.
As of January 29, 2016, the average yield on 30-year, AAA-rated muni bonds was 2.79%, down 41 basis points from July 31, 2015. The average yield on 10-year, AAA-rated muni bonds was 1.81% on January 29, 2016, down 43 basis points from the July 2015 date, and the average yield on 1-year, AAA-rated muni bonds was 0.35%, up 7 basis points from the July 2015 date.
New Jersey began the reporting period on a positive note. Fitch Ratings affirmed its A rating of the state’s general obligation (G.O.) bonds and revised its credit outlook for the state to stable, from negative, noting that New Jersey’s “near-term budget risks have
6 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
abated.” In addition, Fitch analysts reported that the state’s $33.8 billion budget for fiscal year 2016 was in line with projected revenue growth.
At the end of August 2015, New Jersey’s Governor Chris Christie signed legislation authorizing new funding for all of the state’s clean drinking water and waste water infrastructure projects. In addition, state senator Steve Sweeney sponsored two bills to authorize the New Jersey Environmental Infrastructure Trust to provide low-interest loans to help local governments, public authorities, and water utilities pay for various environmental infrastructure projects.
In September 2015, New Jersey’s Local Finance Board unanimously approved Atlantic City’s $262 million budget, including a plan to plug a $101 million shortfall. The budget did not include any tax increases and deferred $39 million in pension and health payments to the state.
Governor Christie rejected an Atlantic City rescue package, which had been approved by state legislators and, in January 2016, optimism for Atlantic City’s gambling-mecca outlook fell. Standard & Poor’s slashed its rating to CCC-minus, from B, citing a “near-term liquidity crisis.” Moody’s Investors Service followed suit, placing the city’s Caa1 rating under review for a possible downgrade. Toward the end of January 2016, in an effort to keep the gambling resort out of bankruptcy, New Jersey’s top-elected officials announced a deal with Atlantic City’s Mayor Donald Guardian to allow increased state intervention.
On October 1, 2015, the New Jersey Institute of Technology broke ground for a new life sciences and engineering facility. The expansion, which is aimed at enhancing infrastructure and instruction at public universities over a period of 20 years, is financed in part by the state’s $750 million Building Our Future Bond Act.
At the end of December, the Port Authority of New York and New Jersey approved a $7.9 billion spending plan for 2016 that incorporated $1.2 billion for debt service, including a $3 billion operating budget and $3.7 billion for capital expenses. In 2015, the Port Authority issued $3.3 billion in consolidated bonds, with $1.3 billion to fund capital projects and $2 billion for pre-refundings. In a pre-refunding, a municipality issues a new bond, the proceeds of which are escrowed in U.S. Treasury bonds and earmarked to pay off a previously issued bond.
The New Jersey Turnpike Authority (NJTA) is nearing the end of a $7 billion, 10-year capital improvement program. The New Jersey Turnpike and Garden State Parkway, which are owned and operated by the NJTA, has seen two toll increases in eight years to service the debt of the capital plan adopted in October 2008. The NJTA is expected to raise an additional $1.3 billion of debt over the remainder of the program. Most New Jersey residents, however, oppose a proposed gas tax that lawmakers say is needed to pay for
7 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
transportation improvements, according to a Rutgers University poll.
At the beginning of January 2016, the New Jersey State Department of Treasury announced that tax collections for the state were up 3.9%. Acting treasurer Ford M. Scudder commented that year-to-date revenues surpassed $11.8 billion through December and were ahead of the projected growth rate of 3.4%. Gross income tax, New Jersey’s largest revenue source, is up 6.1% from the year-earlier period and is above the projected yearly growth rate of 3.9%.
At the end of the reporting period, G.O. debt in New Jersey was rated A2 by Moody’s, and A by both S&P and Fitch.
Successful investors, we have found, maintain a long-term perspective regardless of the specific developments associated with any given reporting period. To maximize the benefits that municipal bond funds seek to provide, many investors reinvest their dividends and allow the income generated from their investments to compound over time.
FUND PERFORMANCE
Oppenheimer Rochester New Jersey Municipal Fund held more than 200 securities as of January 29, 2016. The Fund was invested in a broad range of sectors, providing shareholders with a diversity of holdings that we believe would be difficult and costly to replicate in an individual portfolio.
Market conditions created pressure on the dividends of many fixed-income funds this reporting period. This Fund’s Class A dividend, which was 4.1 cents per share at the outset of the reporting period, was reduced to 3.9 cents per share beginning with the November 2015 payout. In all, the Fund distributed 24.0 cents per Class A share this reporting period.
Nonetheless, the tax-exempt status of the Fund’s distributions of net investment income was a boon to investors seeking competitive levels of tax-free income. For a taxable investment to have provided a greater benefit than an investment in this Fund, it would have had to yield more than 7.46%, based on the Fund’s standardized yield as of January 31, 2016, and the top federal and New Jersey income tax rates for 2015. As long-time investors know, yields on fixed-income funds rise when share prices fall, and yields have historically contributed the lion’s share of the long-term total returns generated by bonds.
As of January 29, 2016, the Fund was invested in the hospital/healthcare sector, which represented 19.3% of total assets (19.6% of net assets). Most of the Fund’s holdings in this sector are investment grade, though the Fund also invests across the credit spectrum in this sector.
Securities issued in the Commonwealth of Puerto Rico, which are exempt from federal, state and local income taxes, represented 16.4% of the Fund’s total assets (16.8% of net assets) at the end of this reporting period. Puerto Rico’s “tobacco bonds” are excluded
8 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
The Rochester Portfolio Management Team
from this figure, as they are backed by proceeds from the tobacco Master Settlement Agreement (the MSA) and included in this Fund’s tobacco holdings. The Fund’s Puerto Rico holdings, some of which are insured, include G.O. debt – which is backed by the full faith and taxing authority of state and local governments – and securities from many different sectors.
Most of the Fund’s investments in securities issued in Puerto Rico are supported by taxes and other revenues and are designed to help finance electric utilities, highways and
education, among other things. At the beginning of 2016, the Commonwealth made virtually all of the nearly $1 billion in payments due. A full payment of $368 million was received to cover the debt-service obligations on Puerto Rico’s G.O. securities. PREPA (Puerto Rico’s electric utility authority) also made a full payment of $215 million.
Two authorities, the Puerto Rico Finance Corporation (PFC) and the Puerto Rico Infrastructure and Finance Authority (PRIFA), defaulted on $37 million. According to Gov. Alejandro García Padilla, these defaults were
9 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
The Rochester Credit Research Team
10 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
the result of the emergency measure he authorized to divert revenue and use it to ensure that other debt was paid in full. The Puerto Rican government decided not to make the PFC appropriation, and PRIFA revenues were subject to a “claw back.” Three bond insurers – Ambac, Assured Guaranty and FGIC – have sued the Commonwealth, arguing that the revenues should not have been diverted. On the last day of this reporting period, the Commonwealth filed a motion to dismiss the suits filed by Ambac and Assured Guaranty, which were joined.
Puerto Rico remained in the news throughout this reporting period. On August 21, 2015, the Commonwealth petitioned the U.S. Supreme Court to overturn a February 6, 2015 federal district court ruling that the Puerto Rico Public Corporation Debt Enforcement and Recovery Act (the “Recovery Act”) violated the U.S. Constitution and was invalid. As you may recall, the Recovery Act was passed in late June 2014 and the Oppenheimer Rochester municipal bond funds filed suit immediately, challenging the legislation that was designed to allow PREPA, PRASA (Puerto Rico’s aqueduct and sewer authority) and PRHTA (its highway authority) to restructure their debt under the supervision of a Commonwealth court. Five months later, a federal appeals court unanimously affirmed the judge’s decision.
In its petition, the Commonwealth argued that Puerto Rico’s issuers should have the right to restructure their debt pursuant to the terms set forth in the Commonwealth’s Recovery Act. As
bondholders, we see things differently: The Commonwealth and its issuers agreed to specific and carefully constructed bond covenants when they sold securities, and the contracts should be honored.
On December 4, 2015, the U.S. Supreme Court agreed to hear the Commonwealth’s appeal of the district court and appellate court decisions. Although we cannot guarantee that Oppenheimer Rochester will once again prevail, we continue to believe our legal arguments are strong and wish to assure shareholders that our team will always stand up for bondholders’ best interests. A Supreme Court ruling on the Commonwealth’s petition is expected in June 2016.
Throughout this reporting period, the market also reacted to developments related to the forbearance agreement that was reached in August 2014 between PREPA and many of its creditors, including this Fund. In the agreement, which was extended several times beyond March 31, 2015, its initial expiration date, the bondholders agreed to forbear from exercising rights in connection with events that would constitute a default on PREPA bonds, and PREPA agreed to a variety of financial terms, to make its July 1, 2015 payment and to reach a comprehensive restructuring plan with its creditors by September 1, 2015.
The plan also seeks to reduce and/or restructure some of Puerto Rico’s debt. In a televised address, the governor said, “The plan itself will not get us out of the hole we
11 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
find ourselves in. It’s time that creditors come to the table and share in the sacrifice.” We continue to believe that Puerto Rico must act within the tenets of the law, including its Constitution. Questions about the degree to which Puerto Rico and its agencies and authorities are committed to honoring their debt-service obligations continued to create significant pressure on the prices of their securities.
On September 1, 2015, PREPA and the forbearing bondholders reached an agreement in principle on the major financial terms of a securitization transaction to lower PREPA’s debt service costs. Although the proposed agreement would result in a reduction in the par value of PREPA’s existing bonds, we nevertheless believe the agreement – if implemented – will be a win for bondholders, PREPA and Puerto Ricans.
Investors should note that the new bond structure would be bankruptcy remote, which serves to protect bondholders from event risks; that the term sheet required that the new securitization bonds earn an investment-grade rating; that the deal requires approval by the Puerto Rico Legislature and high participation by all bondholders; and that insurers reach agreement with PREPA on the treatment of the insured bonds. If all goes as planned, bondholders will be further insulated from the risks and uncertainties related to any inefficiency in PREPA’s operations and will not incur the costs that would result from a lengthy and uncertain litigation process. While we expect that all parties will work
toward a restructuring support agreement, we remind investors that there is no guarantee of either a timeline or implementation.
In December 2015, after gaining several extensions related to the debt-restructuring agreement, PREPA announced that it had reached agreement with at least 70% of its creditors and its bond insurers.
PREPA and its forbearing bondholders, a group that includes the Oppenheimer Rochester funds, set a January 21, 2016 deadline for the Puerto Rico Legislature to approve legislation related to the debt-restructuring agreement. No vote was taken by that date, and PREPA asked for an extension to February 12.
The forbearing bondholders responded that the extension and a loan of $115 million were contingent on the approval of a surcharge for PREPA customers. After some back and forth, creditors agreed to provide $111 million of financing through the purchase of new bonds – half to be provided after the passage of the debt-restructuring legislation and the remainder after the securitization structure has been submitted to the Energy Commission for approval. PREPA accepted these terms and the deadline for the legislative vote was extended to February 16.
The Oppenheimer Rochester team has been an active participant in negotiations with Puerto Rico officials, and shareholders should be confident that we will continue to work to protect their best interests.
12 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Meanwhile, in Washington, a December 1, 2015 hearing of the U.S. Senate Committee on the Judiciary, which is chaired by Sen. Chuck Grassley of Iowa, focused on Puerto Rico’s financial and economic circumstances. While Gov. Padilla pressed the senators to consider giving the Commonwealth access to Chapter 9 bankruptcy and asserted that “we have no cash left,” Sen. Grassley was among those who chided the governor because audited financial statements had not been provided. Sen. Grassley, in line with other Republican senators challenged the governor, saying “Let’s not forget that Puerto Rico issued its bonds with the knowledge that Ch. 9 bankruptcy wasn’t an option in the event of a default.” At the end of this reporting period, Democratic lawmakers had not gained traction on their proposals to allow the Commonwealth and/or its authorities to file for Ch. 9 bankruptcy protection.
On December 9, 2015, three Republican senators – Orrin Hatch of Utah, Lisa Murkowski of Alaska and Sen. Grassley of Iowa – introduced the Puerto Rico Assistance Act of 2015. The bill would establish a new authority that could issue bonds and called for as much as $3 billion to help the Commonwealth stabilize its budget and debt, among other provisions. A week later, House Speaker Paul Ryan asked lawmakers to reach a “responsible solution” for Puerto Rico by March 31, 2016.
There was also talk in Congress of amending the omnibus spending bill to provide Puerto Rico access to Ch. 9, but the only measures
included in the bill were related to Medicare funding and additional technical assistance from Treasury. Meanwhile, the Government Development Bank for Puerto Rico (GDB) put forth a plan calling for a “comprehensive single transaction to be accomplished through a voluntary exchange offer.”
Politicians, including some candidates for the presidency, have voiced concerns about Puerto Rico, and we believe the situation will remain political in the near term. In fact, many of the recommendations would require action by the U.S. Congress and/or the Puerto Rico Legislature.
Our investment team will continue to monitor credit rating changes and other developments related to our Puerto Rico holdings closely. Investors should note that deterioration of the Puerto Rican economy could have an adverse impact on Puerto Rico bonds and the performance of the Oppenheimer Rochester municipal funds that hold them, including this Fund. Our team’s commitment to protecting the interests of our shareholders is unwavering.
Given the degree to which Oppenheimer Rochester funds have been cited in news coverage about the economic and fiscal challenges facing Puerto Rico, we feel compelled to remind investors that all fund investments are actively managed. Our team is responsive to the dynamics of the market and may choose to adjust trading strategies in the interest of maximizing the potential benefits to our shareholders. Further, while we remain
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committed to keeping investors informed about our basic investing strategies, we do not provide comment about near-term trading strategies as we believe doing so might allow other market participants to impair our team’s ability to deliver shareholder value.
Please note: An important update on post-reporting-period developments that could have implications for the Fund’s Puerto Rico holdings can be found on page 3 of this report.
Municipal bonds backed by proceeds from the tobacco MSA, the national litigation settlement with U.S. tobacco manufacturers, represented 11.8% of the Fund’s total assets (12.0% of net assets) at the end of this reporting period.
We believe the securities we hold in this sector are fundamentally sound credits, and we like that “tobacco bonds” can provide tax-exempt income for investors as well as benefits to the issuing states and territories. During this reporting period, our long-term view of the sector continued to be bullish and, given attractive valuations, we believe that it is likely we will continue to hold a greater percentage of tobacco bonds in our portfolios than our peers. As in prior reporting periods, the tobacco bonds this Fund held during this reporting period, including those issued in Puerto Rico and the U.S. Virgin Islands, made all scheduled payments of interest and principal on time and in full.
G.O. securities comprised 9.2% of total assets (9.3% of net assets) as of January 29, 2016. Within this sector, the Fund held bonds issued in various New Jersey municipalities, the Northern Mariana Islands, and the Commonwealth of Puerto Rico at the end of this reporting period. While they have not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe, and many of our funds have overweight positions in these bonds relative to muni funds offered by other asset managers.
The Fund continued to be invested in the highways and commuter facilities sector this reporting period, which represented 7.3% of total assets (7.5% of net assets) as of January 29, 2016. The bonds in this sector, two of which were issued in Puerto Rico, are used to build and maintain roadways and highway amenities.
The Fund was also invested in securities used to finance marine and aviation facilities this reporting period, including two in the Northern Mariana Islands. Many of these securities are high-grade investments that are backed by the valuable collateral of the projects whose construction they finance. As of January 29, 2016, 6.8% of the Fund’s total assets (7.0% of net assets) were invested in the marine/aviation facilities sector.
The Fund’s holdings in municipal bonds issued by utilities represented 6.2% of total assets (6.3% of net assets) at the end of this reporting period. This set of holdings included
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electric utilities with 2.9% of total assets (2.9% of net assets), water utilities with 2.6% of total assets (2.7% of net assets), and sewer utilities with 0.7% of total assets (0.7% of net assets) as of January 29, 2016. Our holdings in these sectors consist of securities in the mid-range of the credit spectrum and include two bonds issued in Guam and others issued by PREPA and PRASA.
The sales tax revenue sector represented 6.1% of the Fund’s total assets (6.3% of net assets) as of January 29, 2016. Debt-service payments on securities in this sector are paid using the issuing municipality’s sales tax revenue. Nearly all of the Fund’s holdings in this sector as of the end of this reporting period were issued in Puerto Rico.
Transportation Infrastructure bonds constituted 5.3% of the Fund’s total assets (5.4% net assets) as of January 29, 2016. This type of financing supports the construction of critical projects such as rail, bridges, ports, and public buildings.
As of January 29, 2016, 4.6% of the Fund’s total assets (4.6% of net assets) continued to be invested in the higher education sector, with five holdings issued in Puerto Rico. The investment-grade bonds we hold in this sector have regularly provided high levels of tax-free income with what we believe to be far less credit risk than their external ratings would suggest.
The student loans sector represented 4.3% of the Fund’s total assets (4.4% of net assets) as
of January 29, 2016. Bonds in this sector provide a service to students, families, schools and educators through municipal public-purpose entities with the mission of increasing post-secondary education access, affordability and success.
The Fund was also invested in the municipal leases sector this reporting period, which accounted for 3.0% of the Fund’s total assets (3.0% of net assets) as of January 29, 2016. As state and local governments seek new ways to reduce costs and improve near-term cash flow, many lease all types of assets, including office space for public sector employees. The bonds held by this Fund are backed by the proceeds of these lease arrangements and, as of the end of this reporting period, the Fund was invested in several bonds issued in Puerto Rico.
During this reporting period, the Fund maintained an investment in municipal inverse-floating rate securities, which are tax-exempt securities with interest payments that move inversely to changes in short-term interest rates. “Inverse floaters” continued to provide welcomed levels of tax-free income to funds across the industry during this reporting period. We continue to believe that “inverse floaters” are an essential element of this Fund’s portfolio because they can produce attractive yields under certain market conditions.
Our approach to municipal bond investing is flexible and responsive to market conditions. Shareholders should note that market
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conditions during this reporting period did not affect the Fund’s overall investment goals or cause it to pay any capital gain distributions. In closing, we believe that the Fund’s structure and sector composition as well as our time-tested strategies will continue to benefit fixed-income investors through interest rate and economic cycles.
INVESTMENT STRATEGY
The Rochester investment team focuses exclusively on municipal bonds and has consistently used a time-tested, value-oriented and security-specific approach to fund management. We know that market conditions can and do fluctuate, but we do not waver in our belief in the power of tax-free yield to help investors achieve their long-term objectives.
This Fund invests primarily in investment-grade municipal securities. It may invest up to 25% of its total assets in below-investment grade securities, or “junk” bonds; the percentage of assets is measured at the time of purchase as is the credit quality of the securities.
Additionally, the credit quality is based on Nationally Recognized Statistical Rating Organization (“NRSRO”) ratings or, if no NRSRO rating, on internal ratings. As of January 29, 2016, market movements or rating changes of municipal bonds, notably the Fund’s investments in Puerto Rico paper, caused the Fund’s below-investment-grade holdings to exceed this threshold. As a result, no further purchases of below-investment-grade bonds will be made until the Fund’s
holdings of these types of bonds is once again below 25% of total assets.
Our team continually searches for bonds that we believe are undervalued and can provide a meaningful level of tax-free income until maturity. Rather than making allocation shifts based on expected market conditions, we search the marketplace for what we believe to be the best values for generating income. It remains important to note that we do not manage our funds based on predictions of interest rate changes.
Instead, our investment approach involves scouring the market for municipal securities that meet our stringent credit criteria and buying bonds that we believe will deliver above-average yields relative to peer funds. We focus on identifying inefficiencies in market pricing that can lead to investment advantages. We seek to maintain a thoughtful mix of industry sectors, maturities and credit ratings in this Fund’s portfolio.
The Rochester team also prospects for yield-enhancing opportunities in the secondary market, often picking up odd lots that we believe can add significant incremental yield to our portfolios. We will also look for non-rated issues with solid credit qualities, which we believe can often help enhance a fund’s tax-free yield. Investors should note that non-rated or unrated securities may or may not be the equivalent of investment grade securities.
16 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
The Rochester Way, we believe, distinguishes our approach to municipal investing from those of our competitors.
Daniel G. Loughran,
Senior Vice President, Senior Portfolio Manager and
Team Leader, on behalf of the rest of the Rochester
portfolio management team: Scott S. Cottier, Troy E.
Willis, Mark R. DeMitry, Michael L. Camarella, Charles
S. Pulire and Elizabeth S. Mossow.
17 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Top Holdings and Allocations
TOP TEN CATEGORIES
| | | | |
Hospital/Healthcare | | | 19.3% | |
Tobacco Master Settlement Agreement | | | 11.8 | |
General Obligation | | | 9.2 | |
Highways/Commuter Facilities | | | 7.3 | |
Marine/Aviation Facilities | | | 6.8 | |
Sales Tax Revenue | | | 6.1 | |
Transportation Infrastructure | | | 5.3 | |
Higher Education | | | 4.6 | |
Student Loans | | | 4.3 | |
Municipal Leases | | | 3.0 | |
Portfolio holdings are subject to change. Percentages are as of January 29, 2016, and are based on total assets. January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements.
CREDIT ALLOCATION
| | | | | | | | | | | | |
| | | NRSRO-
Rated | | | Sub-
Adviser-
Rated | | | Total | |
AAA | | | 0.0% | | | | 0.0% | | | | 0.0% | |
AA | | | 17.7 | | | | 0.0 | | | | 17.7 | |
A | | | 22.1 | | | | 0.0 | | | | 22.1 | |
BBB | | | 27.9 | | | | 2.9 | | | | 30.8 | |
BB or lower | | | 22.3 | | | | 7.1 | | | | 29.4 | |
Total | | | 90.0% | | | | 10.0% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 29, 2016, and are subject to change. OppenheimerFunds, Inc. determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as Standard & Poor’s. For any security rated by an NRSRO other than S&P, the sub-adviser, OppenheimerFunds, Inc., converts that security’s rating to the equivalent S&P rating. If two or more NRSROs have assigned a rating to a security, the highest rating is used. For securities not rated by an NRSRO, the sub-adviser uses its own credit analysis to assign ratings in categories similar to those of S&P. The use of similar categories is not an indication that the sub-adviser’s credit analysis process is consistent or comparable with any NRSRO’s process were that NRSRO to rate the same security.
For the purposes of this Credit Allocation table, securities rated within the NRSROs’ four highest categories—AAA, AA, A and BBB—are investment-grade securities. For further details, please consult the Fund’s prospectus or Statement of Additional Information.
18 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Performance
DISTRIBUTION YIELDS
As of 1/29/16
| | | | | | | | |
| | Without Sales
Charge | | | | With Sales
Charge | | |
Class A | | 4.99% | | | | 4.75% | | |
Class B | | 4.32 | | | | | | |
Class C | | 4.34 | | | | | | |
Class Y | | 5.11 | | | | | | |
| | | | | | | | | | | | | | |
| STANDARDIZED YIELDS | | | | | | | | | | TAXABLE EQUIVALENT YIELDS | | | | |
| | | | | | | |
| For the 30 Days Ended 1/31/16 | | | | | | | | | | As of 1/31/16 | | | | |
| Class A | | 3.82% | | | | | | | | Class A | | 7.46% | | |
| Class B | | 3.26 | | | | | | | | Class B | | 6.37 | | |
| Class C | | 3.27 | | | | | | | | Class C | | 6.39 | | |
| Class Y | | 4.16 | | | | | | | | Class Y | | 8.13 | | |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/29/16
| | | | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since Inception |
Class A (ONJAX) | | 3/1/94 | | 3.35% | | -1.19% | | 6.29% | | 3.21% | | 4.66% |
Class B (ONJBX) | | 3/1/94 | | 3.06 | | -1.83 | | 5.44 | | 2.72 | | 4.44 |
Class C (ONJCX) | | 8/29/95 | | 2.96 | | -1.93 | | 5.48 | | 2.42 | | 3.98 |
Class Y (ONJYX) | | 11/29/10 | | 3.42 | | -0.95 | | 6.45 | | N/A | | 4.87 |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/29/16
| | | | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since Inception |
Class A (ONJAX) | | 3/1/94 | | -1.56% | | -5.88% | | 5.26% | | 2.71% | | 4.42% |
Class B (ONJBX) | | 3/1/94 | | -1.94 | | -6.53 | | 5.12 | | 2.72 | | 4.44 |
Class C (ONJCX) | | 8/29/95 | | 1.96 | | -2.86 | | 5.48 | | 2.42 | | 3.98 |
Class Y (ONJYX) | | 11/29/10 | | 3.42 | | -0.95 | | 6.45 | | N/A | | 4.87 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investments. Returns for periods of less than one year are not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of
19 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5- year); and for Class C, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion.
January 29, 2016 was the last business day of the Fund’s 6-month reporting period.
The Fund’s performance is compared to the performance of the Barclays Municipal Bond Index, an index of a broad range of investment-grade municipal bonds that is a measure of the general municipal bond market. Indices are unmanaged and cannot be purchased by investors. While index comparisons may be useful to provide a benchmark for the Fund’s
performance, it must be noted that the Fund’s investments are not limited to the investments comprising the index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
Distribution yields for Class A shares are based on dividends of $0.039 for the 26-day accrual period ended January 26, 2016. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value on January 26, 2016; for the yield with sales charge, the denominator is the Class A maximum offering price
on that date. Distribution yields for Class B, C and Y are annualized based on dividends of $0.0339, $0.0340 and $0.0400, respectively, for the 26-day accrual period ended January 26, 2016, and on the corresponding net asset values on that date.
Standardized yield is based on the Fund’s net investment income for the 30-day period ended January 31, 2016, and either that date’s maximum offering price (for Class A shares) or net asset value (for the other classes). Each result is compounded semiannually and annualized. Falling share prices artificially increase yields.
The average distribution yield in Lipper’s New Jersey Municipal Debt Funds category was calculated based on the distributions and the final net asset values (NAVs) of the reporting period for the funds in each category. The 12-month distribution yield is the sum of a fund’s total trailing 12-month interest and dividend payments divided by the last month’s ending share price (at NAV) plus any capital gains distributed over the same period. The calculation included 49 NAVs, one for each class of each fund in the category; a fund can have up to 4 classes. Lipper yields do not include sales charges – which, if included, would reduce results.
Taxable equivalent yield is based on the standardized yield and the 2015 top federal and New Jersey tax rate of 48.8%. Calculations factor in the 3.8% tax on unearned income under the Patient Protection and Affordable Care Act, as applicable. A portion of the Fund’s distributions may be subject to tax; distributions may also increase an investor’s exposure to the alternative minimum tax. Capital gains distributions are taxable as capital gains. Tax treatments of the Fund’s distributions and capital gains may vary by state; investors should consult a tax advisor to determine if the Fund is appropriate for them. Each result is compounded semiannually and annualized. Falling share prices artificially increase yields. This Report must be preceded or accompanied by a Fund prospectus.
The average yields for AAA-rated municipal securities are provided by Municipal Market Advisors (MMA) and are based on its benchmark of general obligation bonds structured with
20 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
a 5% coupon. The MMA 5% benchmark is constructed using yields from the leading underwriters, who represent a significant percentage of the primary activity of the top 10 underwriters and therefore the total issuance.
Investments in “tobacco bonds,” which are backed by the proceeds a state or territory receives from the 1998 national litigation settlement with tobacco manufacturers, may be vulnerable to economic and/or legislative events that affect issuers in a particular municipal market sector. Annual payments by MSA-participating manufacturers, for example, hinge on many factors, including annual domestic cigarette shipments, inflation and the relative market share of non-participating manufacturers. To date, we believe consumption figures remain within an acceptable range of the assumptions used to structure MSA bonds. Future MSA payments could be reduced if consumption were to fall more rapidly than originally forecast.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency and involve investment risks, including the possible loss of the principal amount invested.
21 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Fund Expenses
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended January 29, 2016.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended January 29, 2016” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
22 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | |
| Actual | | Beginning Account Value August 1, 2015 | | Ending Account Value January 29, 2016 | | Expenses Paid During 6 Months Ended January 29, 2016 |
Class A | | $ 1,000.00 | | $ 1,033.50 | | $ 5.93 |
Class B | | 1,000.00 | | 1,030.60 | | 9.74 |
Class C | | 1,000.00 | | 1,029.60 | | 9.68 |
Class Y | | 1,000.00 | | 1,034.20 | | 5.17 |
| | | |
Hypothetical (5% return before expenses) | | | | | | |
Class A | | 1,000.00 | | 1,019.05 | | 5.89 |
Class B | | 1,000.00 | | 1,015.32 | | 9.67 |
Class C | | 1,000.00 | | 1,015.37 | | 9.62 |
Class Y | | 1,000.00 | | 1,019.79 | | 5.14 |
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 funds, based on the 6-month period ended January 29, 2016 are as follows:
| | | | | | |
| Class | | Expense Ratios | | | |
Class A | | | 1.17 | % | | |
Class B | | | 1.92 | | | |
Class C | | | 1.91 | | | |
Class Y | | | 1.02 | | | |
23 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENT OF INVESTMENTS January 29, 2016* Unaudited | | |
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | |
| Municipal Bonds and Notes—105.9% | |
| New Jersey—73.2% | |
| | $40,000 | | | Atlantic City, NJ GO | | | 5.000 % | | | | 12/01/2024 | | | $ | 33,735 | |
| | |
| | 370,000 | | | Bayonne, NJ Parking Authority1 | | | 5.000 | | | | 06/15/2027 | | | | 371,498 | |
| | |
| | 6,065,000 | | | Bayonne, NJ Redevel. Agency1 | | | 7.625 | | | | 04/01/2038 | | | | 7,310,084 | |
| | |
| | 10,000 | | | Bergen County, NJ HDC1 | | | 6.750 | | | | 10/01/2018 | | | | 10,041 | |
| | |
| | 35,000 | | | Bergen County, NJ Improvement Authority (Community Action Program) | | | 5.250 | | | | 12/01/2034 | | | | 35,132 | |
| | |
| | 1,000,000 | | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2034 | | | | 1,124,870 | |
| | |
| | 1,000,000 | | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2033 | | | | 1,126,380 | |
| | |
| | 1,000,000 | | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2035 | | | | 1,122,610 | |
| | |
| | 2,000,000 | | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.000 | | | | 11/01/2031 | | | | 2,208,580 | |
| | |
| | 3,000,000 | | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 11/01/2039 | | | | 3,131,310 | |
| | |
| | 3,000,000 | | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 11/01/2044 | | | | 3,109,470 | |
| | |
| | 1,665,000 | | | Casino Reinvestment Devel. Authority of NJ | | | 5.250 | | | | 01/01/2024 | | | | 1,688,626 | |
| | |
| | 60,000 | | | Casino Reinvestment Devel. Authority of NJ | | | 5.250 | | | | 06/01/2017 | | | | 60,218 | |
| | |
| | 175,000 | | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee) | | | 5.250 | | | | 01/01/2018 | | | | 177,483 | |
| | |
| | 175,000 | | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee) | | | 5.250 | | | | 01/01/2022 | | | | 177,483 | |
| | |
| | 395,000 | | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee)1 | | | 5.000 | | | | 01/01/2025 | | | | 399,898 | |
| | |
| | 1,000,000 | | | Casino Reinvestment Devel. Authority of NJ (Luxury Tax)1 | | | 5.000 | | | | 11/01/2028 | | | | 1,120,620 | |
| | |
| | 155,000 | | | Essex County, NJ Improvement Authority (Newark)1 | | | 5.125 | | | | 04/01/2029 | | | | 155,217 | |
| | |
| | 250,000 | | | Essex County, NJ Improvement Authority (Newark)1 | | | 6.250 | | | | 11/01/2030 | | | | 282,805 | |
| | |
| | 20,000 | | | Essex County, NJ Improvement Authority (Sportsplex)1 | | | 5.625 | | | | 10/01/2023 | | | | 20,059 | |
| | |
| | 105,000 | | | Essex County, NJ Improvement Authority (Sportsplex)1 | | | 5.625 | | | | 10/01/2027 | | | | 105,259 | |
| | |
| | 1,000,000 | | | Hudson County, NJ Improvement Authority1 | | | 6.000 | | | | 01/01/2040 | | | | 1,139,200 | |
| | |
| | 2,655,000 | | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.500 | | | | 06/01/2041 | | | | 3,109,695 | |
| | |
| | 1,500,000 | | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.000 | | | | 06/01/2035 | | | | 1,677,525 | |
| | |
| | 1,250,000 | | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.000 | | | | 06/01/2038 | | | | 1,389,375 | |
| | |
| | 2,535,000 | | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.000 | | | | 01/01/2032 | | | | 1,953,851 | |
| | |
| | 1,100,000 | | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.125 | | | | 01/01/2037 | | | | 853,611 | |
| | |
| | 410,000 | | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.000 | | | | 01/01/2020 | | | | 380,693 | |
| | |
| | 20,000 | | | Middlesex County, NJ Improvement Authority (South Plainfield Urban Renewal)1 | | | 5.500 | | | | 09/01/2030 | | | | 20,079 | |
| | |
| | 10,000 | | | Mount Holly, NJ Municipal Utilities Authority1 | | | 5.000 | | | | 12/01/2016 | | | | 10,042 | |
| | |
| | 25,000 | | | Neptune City, NJ Hsg. Authority1 | | | 6.000 | | | | 04/01/2019 | | | | 25,066 | |
| | |
| | 605,000 | | | New Brunswick, NJ Parking Authority1 | | | 5.000 | | | | 09/01/2029 | | | | 696,869 | |
| | |
| | 445,000 | | | New Brunswick, NJ Parking Authority1 | | | 5.000 | | | | 09/01/2027 | | | | 516,779 | |
24 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | | | | | |
| | $430,000 | | | Newark, NJ GO1 | | | 5.000 | % | | | 07/15/2029 | | | $ | 469,556 | |
| | 2,000,000 | | | Newark, NJ GO1 | | | 5.000 | | | | 07/15/2029 | | | | 2,183,980 | |
| | 315,000 | | | Newark, NJ Hsg. Authority (Port Newark Marine Terminal Rental)1 | | | 5.000 | | | | 01/01/2032 | | | | 376,135 | |
| | 2,875,000 | | | Newark, NJ Hsg. Authority (South Ward Police Facility)1 | | | 6.750 | | | | 12/01/2038 | | | | 3,387,009 | |
| | 750,000 | | | NJ EDA1 | | | 5.000 | | | | 06/15/2029 | | | | 804,990 | |
| | 2,095,000 | | | NJ EDA1 | | | 5.000 | | | | 06/15/2028 | | | | 2,256,902 | |
| | 3,000,000 | | | NJ EDA1 | | | 5.000 | | | | 06/15/2035 | | | | 3,208,320 | |
| | 3,000,000 | | | NJ EDA1 | | | 5.000 | | | | 06/15/2036 | | | | 3,201,090 | |
| | 25,000 | | | NJ EDA (Cadbury at Cherry Hill)1 | | | 5.500 | | | | 07/01/2028 | | | | 21,826 | |
| | 410,000 | | | NJ EDA (Cadbury at Cherry Hill)1 | | | 5.500 | | | | 07/01/2018 | | | | 407,146 | |
| | 3,100,000 | | | NJ EDA (Cranes Mill)1 | | | 5.100 | | | | 06/01/2027 | | | | 3,111,997 | |
| | 130,000 | | | NJ EDA (Dept. of Human Services)1 | | | 6.250 | | | | 07/01/2024 | | | | 132,950 | |
| | 1,525,000 | | | NJ EDA (Drew University)1 | | | 5.250 | | | | 07/01/2021 | | | | 1,776,747 | |
| | 6,000,000 | | | NJ EDA (GMT Realty)1 | | | 6.875 | | | | 01/01/2037 | | | | 6,000,000 | |
| | 16,855,000 | | | NJ EDA (Hamilton Care)1 | | | 6.650 | | | | 11/01/2037 | | | | 17,416,609 | |
| | 3,050,000 | | | NJ EDA (Harrogate)1 | | | 5.875 | | | | 12/01/2026 | | | | 3,050,519 | |
| | 10,000 | | | NJ EDA (Hillcrest Health Service) | | | 7.250 | 2 | | | 01/01/2018 | | | | 9,697 | |
| | 90,000 | | | NJ EDA (Metromall Urban Renewal)1 | | | 6.500 | | | | 04/01/2031 | | | | 90,167 | |
| | 60,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.000 | | | | 07/01/2029 | | | | 60,312 | |
| | 20,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.000 | | | | 07/01/2034 | | | | 20,195 | |
| | 1,040,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.250 | | | | 07/01/2017 | | | | 1,056,286 | |
| | 100,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.000 | | | | 07/01/2023 | | | | 101,281 | |
| | 260,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.250 | | | | 07/01/2033 | | | | 263,050 | |
| | 505,000 | | | NJ EDA (Motor Vehicle Surcharges)1 | | | 5.250 | | | | 07/01/2031 | | | | 510,924 | |
| | 2,500,000 | | | NJ EDA (MSU Student Hsg.)1 | | | 5.750 | | | | 06/01/2031 | | | | 2,822,150 | |
| | 65,000 | | | NJ EDA (Municipal Rehabilitation)1 | | | 5.000 | | | | 04/01/2028 | | | | 65,147 | |
| | 5,320,000 | | | NJ EDA (New Jersey American Water Company)1 | | | 5.600 | | | | 11/01/2034 | | | | 6,010,589 | |
| | 4,350,000 | | | NJ EDA (New Jersey American Water Company)1 | | | 5.700 | | | | 10/01/2039 | | | | 4,945,211 | |
| | 95,000 | | | NJ EDA (New Jersey Transit Corp.) | | | 5.750 | | | | 12/15/2017 | | | | 95,350 | |
| | 20,000 | | | NJ EDA (New Jersey Transit Corp.) | | | 5.750 | | | | 12/15/2017 | | | | 20,074 | |
| | 1,400,000 | | | NJ EDA (Newark Downtown District Management Corp.)1 | | | 5.125 | | | | 06/15/2037 | | | | 1,432,942 | |
| | 800,000 | | | NJ EDA (Newark Downtown District Management Corp.)1 | | | 5.125 | | | | 06/15/2027 | | | | 824,832 | |
| | 650,000 | | | NJ EDA (Paterson Charter School Science & Technology)1 | | | 6.000 | | | | 07/01/2032 | | | | 665,613 | |
| | 1,900,000 | | | NJ EDA (Paterson Charter School Science & Technology)1 | | | 6.100 | | | | 07/01/2044 | | | | 1,925,099 | |
| | 1,500,000 | | | NJ EDA (Paterson Charter School)1 | | | 5.000 | | | | 07/01/2032 | | | | 1,402,575 | |
| | 2,500,000 | | | NJ EDA (Paterson Charter School)1 | | | 5.300 | | | | 07/01/2044 | | | | 2,291,125 | |
| | 850,000 | | | NJ EDA (Rutgers University)1 | | | 5.000 | | | | 06/15/2038 | | | | 983,034 | |
| | 3,690,000 | | | NJ EDA (School Facilities Construction)1 | | | 5.000 | | | | 03/01/2030 | | | | 3,983,835 | |
| | 1,000,000 | | | NJ EDA (School Facilities)1 | | | 5.250 | | | | 09/01/2026 | | | | 1,095,700 | |
| | 50,000 | | | NJ EDA (St. Barnabas Medical Center) | | | 6.750 | 2 | | | 07/01/2018 | | | | 48,182 | |
| | 65,000 | | | NJ EDA (St. Barnabas Medical Center) | | | 6.833 | 2 | | | 07/01/2021 | | | | 56,991 | |
| | 25,000 | | | NJ EDA (St. Barnabas Medical Center) | | | 7.153 | 2 | | | 07/01/2020 | | | | 22,536 | |
| | 110,000 | | | NJ EDA (State Office Buildings)1 | | | 5.000 | | | | 06/15/2020 | | | | 111,166 | |
| | 2,200,000 | | | NJ EDA (Team Academy Charter School)1 | | | 6.000 | | | | 10/01/2043 | | | | 2,498,518 | |
25 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENT OF INVESTMENTS Unaudited / Continued | | |
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | | | | | |
| | $10,000,000 | | | NJ EDA (The Goethals Bridge Replacement)1 | | | 5.375 | % | | | 01/01/2043 | | | $ | 11,184,500 | |
| | 1,500,000 | | | NJ EDA (UMM Energy Partners)1 | | | 5.000 | | | | 06/15/2037 | | | | 1,556,340 | |
| | 1,250,000 | | | NJ EDA (UMM Energy Partners)1 | | | 5.125 | | | | 06/15/2043 | | | | 1,301,413 | |
| | 100,000 | | | NJ Educational Facilities Authority (Dorm Safety) | | | 5.000 | | | | 03/01/2016 | | | | 100,422 | |
| | 2,735,000 | | | NJ Educational Facilities Authority (Georgian Court University)1 | | | 5.000 | | | | 07/01/2033 | | | | 2,859,087 | |
| | 875,000 | | | NJ Educational Facilities Authority (Georgian Court University)1 | | | 5.250 | | | | 07/01/2027 | | | | 919,196 | |
| | 2,115,000 | | | NJ Educational Facilities Authority (Higher Education)1 | | | 5.000 | | | | 06/15/2026 | | | | 2,348,136 | |
| | 125,000 | | | NJ Educational Facilities Authority (Higher Education)1 | | | 5.000 | | | | 09/01/2018 | | | | 125,515 | |
| | 50,000 | | | NJ Educational Facilities Authority (Higher Education) | | | 5.000 | | | | 09/01/2017 | | | | 50,207 | |
| | 120,000 | | | NJ Educational Facilities Authority (Kean University)1 | | | 5.250 | | | | 09/01/2029 | | | | 134,413 | |
| | 5,000 | | | NJ Educational Facilities Authority (Public Library)1 | | | 5.000 | | | | 09/01/2022 | | | | 5,015 | |
| | 30,000 | | | NJ Educational Facilities Authority (Richard Stockton College)1 | | | 5.125 | | | | 07/01/2028 | | | | 32,738 | |
| | 1,000,000 | | | NJ Educational Facilities Authority (Rider University)1 | | | 5.000 | | | | 07/01/2037 | | | | 1,078,590 | |
| | 15,000 | | | NJ Educational Facilities Authority (Stevens Institute of Technology) | | | 5.000 | | | | 07/01/2028 | | | | 15,056 | |
| | 5,000 | | | NJ Educational Facilities Authority (Stevens Institute of Technology)1 | | | 5.000 | | | | 07/01/2018 | | | | 5,273 | |
| | 3,000,000 | | | NJ Health Care Facilities Financing Authority (Barnabas Health)1 | | | 5.000 | | | | 07/01/2044 | | | | 3,340,770 | |
| | 2,000,000 | | | NJ Health Care Facilities Financing Authority (Barnabas Health)1 | | | 5.625 | | | | 07/01/2032 | | | | 2,360,060 | |
| | 7,085,000 | | | NJ Health Care Facilities Financing Authority (Catholic Health East)1 | | | 5.000 | | | | 11/15/2033 | | | | 8,051,890 | |
| | 1,000,000 | | | NJ Health Care Facilities Financing Authority (Hebrew Old Age Center of Atlantic City)1 | | | 5.375 | | | | 11/01/2036 | | | | 841,070 | |
| | 750,000 | | | NJ Health Care Facilities Financing Authority (Hebrew Old Age Center of Atlantic City)1 | | | 5.300 | | | | 11/01/2026 | | | | 685,935 | |
| | 1,010,000 | | | NJ Health Care Facilities Financing Authority (Holy Name Hospital)1 | | | 5.000 | | | | 07/01/2036 | | | | 1,018,737 | |
| | 295,000 | | | NJ Health Care Facilities Financing Authority (Hospital Asset Transformation)1 | | | 5.250 | | | | 10/01/2038 | | | | 310,219 | |
| | 1,500,000 | | | NJ Health Care Facilities Financing Authority (Kennedy Health System)1 | | | 5.000 | | | | 07/01/2031 | | | | 1,681,005 | |
| | 9,430,000 | | | NJ Health Care Facilities Financing Authority (Raritan Bay Medical Center) | | | 7.250 | | | | 07/01/2027 | | | | 9,445,182 | |
| | 2,080,000 | | | NJ Health Care Facilities Financing Authority (RWJ University Hospital)1 | | | 5.000 | | | | 07/01/2035 | | | | 2,083,141 | |
| | 15,000 | | | NJ Health Care Facilities Financing Authority (St. Barnabas Corp.) | | | 6.621 | 2 | | | 07/01/2017 | | | | 14,715 | |
| | 17,955,000 | | | NJ Health Care Facilities Financing Authority (St. Barnabas Corp./St. Barnabas Medical Center Obligated Group) | | | 6.250 | 2 | | | 07/01/2030 | | | | 8,867,975 | |
| | 10,000,000 | | | NJ Health Care Facilities Financing Authority (St. Joseph’s Hospital & Medical Center)1 | | | 6.625 | | | | 07/01/2038 | | | | 11,053,000 | |
26 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | | | | | |
| | $1,960,000 | | | NJ Health Care Facilities Financing Authority (St. Luke’s Warren Hospital)1 | | | 5.000 | % | | | 08/15/2034 | | | $ | 2,213,702 | |
| | 6,040,000 | | | NJ Health Care Facilities Financing Authority (Trinitas Hospital/Marillac Corp. Obligated Group)1 | | | 5.250 | | | | 07/01/2023 | | | | 6,381,260 | |
| | 2,000,000 | | | NJ Health Care Facilities Financing Authority (University Hospital)1 | | | 5.000 | | | | 07/01/2046 | | | | 2,255,220 | |
| | 125,000 | | | NJ Health Care Facilities Financing Authority (Virtua Health Obligated Group)1 | | | 5.750 | | | | 07/01/2033 | | | | 141,804 | |
| | 90,000 | | | NJ Higher Education Assistance Authority1 | | | 5.750 | | | | 12/01/2029 | | | �� | 101,229 | |
| | 2,875,000 | | | NJ Higher Education Assistance Authority1 | | | 5.500 | | | | 12/01/2025 | | | | 3,255,161 | |
| | 13,715,000 | | | NJ Higher Education Student Assistance Authority (Student Loans)1 | | | 6.125 | | | | 06/01/2030 | | | | 14,829,207 | |
| | 15,000 | | | NJ Hsg. & Mtg. Finance Agency1 | | | 5.400 | | | | 11/01/2016 | | | | 15,113 | |
| | 570,000 | | | NJ Hsg. & Mtg. Finance Agency (Multifamily)1 | | | 5.000 | | | | 11/01/2036 | | | | 571,932 | |
| | 3,495,000 | | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.)3 | | | 4.625 | | | | 10/01/2027 | | | | 3,566,820 | |
| | 1,330,000 | | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.)3 | | | 5.000 | | | | 10/01/2037 | | | | 1,346,692 | |
| | 110,000 | | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.375 | | | | 10/01/2028 | | | | 114,126 | |
| | 160,000 | | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.150 | | | | 10/01/2023 | | | | 171,786 | |
| | 20,000 | | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.500 | | | | 10/01/2038 | | | | 20,724 | |
| | 100,000 | | | NJ South Jersey Port Corp.1 | | | 5.250 | | | | 01/01/2030 | | | | 100,219 | |
| | 12,080,000 | | | NJ Tobacco Settlement Financing Corp.1 | | | 5.000 | | | | 06/01/2041 | | | | 10,156,139 | |
| | 5,000,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.500 | | | | 06/15/2041 | | | | 5,415,000 | |
| | 4,518,000 | | | NJ Transportation Trust Fund Authority1 | | | 6.000 | | | | 06/15/2035 | | | | 5,133,713 | |
| | 10,000,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.875 | | | | 12/15/2038 | | | | 10,955,400 | |
| | 1,625,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.000 | | | | 06/15/2038 | | | | 1,710,426 | |
| | 5,000,000 | | | NJ Turnpike Authority1 | | | 5.000 | | | | 01/01/2034 | | | | 5,867,350 | |
| | 5,000,000 | | | NJ Turnpike Authority1 | | | 5.000 | | | | 01/01/2038 | | | | 5,673,800 | |
| | 100,000 | | | Passaic Valley, NJ Sewage Commissioners | | | 5.000 | | | | 12/01/2023 | | | | 100,389 | |
| | 200,000 | | | Passaic Valley, NJ Sewage Commissioners | | | 5.000 | | | | 12/01/2022 | | | | 200,778 | |
| | 10,500,000 | | | Port Authority NY/NJ, 143rd Series3 | | | 5.000 | | | | 10/01/2030 | | | | 10,577,175 | |
| | 5,380,000 | | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2030 | | | | 6,396,820 | |
| | 6,330,000 | | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2029 | | | | 7,555,300 | |
| | 4,000,000 | | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2038 | | | | 4,616,600 | |
| | 3,650,000 | | | South Jersey, NJ Transportation Authority1 | | | 5.000 | | | | 11/01/2039 | | | | 4,007,627 | |
| | 45,000 | | | Union County, NJ Improvement Authority (Linden Airport) | | | 5.000 | | | | 03/01/2028 | | | | 45,154 | |
| | 40,000 | | | West Milford, NJ Township (Municipal Utilties Authority)1 | | | 5.375 | | | | 08/01/2031 | | | | 40,055 | |
| | | | | | | | | | | | | | | 301,768,841 | |
| New York—4.6% | | | | | | | | | | | | |
| | 8,685,000 | | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 5.750 | | | | 12/01/2025 | | | | 8,917,758 | |
| | 5,100,000 | | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 6.500 | | | | 12/01/2028 | | | | 5,126,775 | |
| | 2,689,000 | | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 5.750 | | | | 12/01/2022 | | | | 2,748,965 | |
| | 2,105,000 | | | Port Authority NY/NJ (KIAC)1 | | | 6.750 | | | | 10/01/2019 | | | | 2,105,126 | |
| | | | | | | | | | | | | | | 18,898,624 | |
27 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENT OF INVESTMENTS Unaudited / Continued | | |
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
U.S. Possessions—28.1% | | | | | | | | | | | | |
$10,000 | | Guam Hsg. Corp. (Single Family Mtg.)1 | | | 5.750 | % | | | 09/01/2031 | | | $ | 10,886 | |
125,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2024 | | | | 151,131 | |
125,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2023 | | | | 150,627 | |
250,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2030 | | | | 297,095 | |
120,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 06/01/2017 | | | | 120,660 | |
3,760,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 06/01/2030 | | | | 3,367,456 | |
2,355,000 | | Northern Mariana Islands Ports Authority, Series A1 | | | 6.250 | | | | 03/15/2028 | | | | 2,149,149 | |
1,005,000 | | Northern Mariana Islands Ports Authority, Series A1 | | | 5.500 | | | | 03/15/2031 | | | | 936,037 | |
2,525,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2038 | | | | 1,759,445 | |
1,000,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 6.125 | 4 | | | 07/01/2024 | | | | 703,490 | |
225,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.375 | | | | 05/15/2033 | | | | 229,252 | |
18,645,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.625 | | | | 05/15/2043 | | | | 18,677,069 | |
18,900,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.500 | | | | 05/15/2039 | | | | 18,984,294 | |
26,000,000 | | Puerto Rico Children’s Trust Fund (TASC) | | | 7.031 | 2 | | | 05/15/2055 | | | | 762,840 | |
5,000,000 | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2029 | | | | 3,181,400 | |
2,795,000 | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2039 | | | | 1,765,601 | |
2,150,000 | | Puerto Rico Commonwealth GO | | | 5.250 | | | | 07/01/2037 | | | | 1,355,360 | |
3,205,000 | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2041 | | | | 2,032,419 | |
6,085,000 | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2039 | | | | 3,873,589 | |
3,000,000 | | Puerto Rico Commonwealth GO | | | 6.500 | | | | 07/01/2040 | | | | 1,917,120 | |
8,350,000 | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2036 | | | | 5,295,403 | |
3,000,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 7.000 | | | | 07/01/2043 | | | | 1,773,900 | |
1,990,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.000 | | | | 07/01/2042 | | | | 1,172,548 | |
1,700,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.000 | | | | 07/01/2029 | | | | 1,002,235 | |
45,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.050 | | | | 07/01/2042 | | | | 26,519 | |
5,000,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2030 | | | | 2,947,000 | |
550,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2031 | | | | 324,165 | |
3,000,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2028 | | | | 1,768,680 | |
50,000 | | Puerto Rico Electric Power Authority, Series CCC5 | | | 5.000 | | | | 07/01/2021 | | | | 29,546 | |
90,000 | | Puerto Rico Electric Power Authority, Series CCC5 | | | 5.000 | | | | 07/01/2025 | | | | 53,087 | |
80,000 | | Puerto Rico Electric Power Authority, Series TT5 | | | 5.000 | | | | 07/01/2037 | | | | 47,147 | |
100,000 | | Puerto Rico Electric Power Authority, Series TT5 | | | 5.000 | | | | 07/01/2023 | | | | 59,026 | |
395,000 | | Puerto Rico Electric Power Authority, Series XX5 | | | 5.250 | | | | 07/01/2035 | | | | 232,754 | |
750,000 | | Puerto Rico Highway & Transportation Authority | | | 5.750 | | | | 07/01/2020 | | | | 327,472 | |
3,000,000 | | Puerto Rico Highway & Transportation Authority, Series L | | | 5.250 | | | | 07/01/2038 | | | | 2,734,800 | |
3,000,000 | | Puerto Rico Infrastructure7 | | | 7.050 | 2 | | | 07/01/2042 | | | | 261,150 | |
975,000 | | Puerto Rico Infrastructure | | | 7.000 | 2 | | | 07/01/2035 | | | | 249,834 | |
2,610,000 | | Puerto Rico Infrastructure6 | | | 5.000 | | | | 07/01/2041 | | | | 326,250 | |
4,750,000 | | Puerto Rico Infrastructure7 | | | 5.000 | | | | 07/01/2037 | | | | 593,750 | |
575,000 | | Puerto Rico Infrastructure7 | | | 5.000 | | | | 07/01/2027 | | | | 71,875 | |
400,000 | | Puerto Rico Infrastructure (Mepsi Campus)1 | | | 6.500 | | | | 10/01/2037 | | | | 204,608 | |
100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 04/01/2027 | | | | 89,011 | |
100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.375 | | | | 04/01/2042 | | | | 86,375 | |
930,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 03/01/2036 | | | | 784,827 | |
100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.125 | | | | 04/01/2032 | | | | 86,897 | |
175,000 | | Puerto Rico ITEMECF (Cogeneration Facilities)1 | | | 6.625 | | | | 06/01/2026 | | | | 169,136 | |
1,000,000 | | Puerto Rico ITEMECF (Polytechnic University)1 | | | 5.000 | | | | 08/01/2032 | | | | 862,240 | |
2,000,000 | | Puerto Rico Municipal Finance Agency, Series A | | | 5.250 | | | | 08/01/2020 | | | | 2,007,460 | |
200,000 | | Puerto Rico Public Buildings Authority | | | 7.000 | | | | 07/01/2025 | | | | 123,454 | |
28 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
U.S. Possessions (Continued) | | | | | | | | | | | | |
$305,000 | | Puerto Rico Public Buildings Authority | | | 5.250 | % | | | 07/01/2033 | | | $ | 168,509 | |
1,000,000 | | Puerto Rico Public Buildings Authority | | | 5.625 | | | | 07/01/2039 | | | | 546,800 | |
1,000,000 | | Puerto Rico Public Buildings Authority1 | | | 6.000 | | | | 07/01/2028 | | | | 1,015,550 | |
5,000,000 | | Puerto Rico Public Buildings Authority | | | 5.250 | | | | 07/01/2042 | | | | 2,725,600 | |
1,530,000 | | Puerto Rico Public Buildings Authority, Series D | | | 5.250 | | | | 07/01/2036 | | | | 833,881 | |
5,235,000 | | Puerto Rico Public Finance Corp., Series B7 | | | 6.000 | | | | 08/01/2026 | | | | 772,163 | |
6,800,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.500 | | | | 08/01/2044 | | | | 2,673,148 | |
9,850,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.375 | | | | 08/01/2039 | | | | 3,762,208 | |
10,935,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2042 | | | | 4,190,073 | |
4,850,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2022 | | | | 1,962,650 | |
2,500,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2021 | | | | 1,018,100 | |
325,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.375 | | | | 08/01/2039 | | | | 127,358 | |
14,000,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.750 | | | | 08/01/2057 | | | | 9,003,400 | |
3,100,000 | | V.I. Tobacco Settlement Financing Corp. | | | 7.625 | 2 | | | 05/15/2035 | | | | 265,794 | |
2,050,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.875 | 2 | | | 05/15/2035 | | | | 245,385 | |
1,100,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.500 | 2 | | | 05/15/2035 | | | | 144,012 | |
| | | | | | | | | | | | | | 115,590,700 | |
Total Investments, at Value (Cost $463,673,862)—105.9% | | | | | | | | | | | 436,258,165 | |
Net Other Assets (Liabilities)—(5.9) | | | | | | | | | | | (24,112,426 | ) |
Net Assets—100.0% | | | | | | | | | | $ | 412,145,739 | |
| | | | | | | | | | | | | | |
Footnotes to Statement of Investments
* January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
1. All or a portion of the security position has been segregated for collateral to cover borrowings. See Note 9 of the accompanying Notes.
2. Zero coupon bond reflects effective yield on the date of purchase.
3. Security represents the underlying municipal bond with respect to an inverse floating rate security held by the Fund. The bond was purchased by the Fund and subsequently transferred to a trust, which issued the related inverse floating rate security. See Note 4 of the accompanying Notes.
4. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
5. Subject to a forbearance agreement. Rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
6. This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the contractual interest rate.
7. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
29 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENT OF INVESTMENTS Unaudited / Continued | | |
To simplify the listings of securities, abbreviations are used per the table below:
| | |
EDA | | Economic Devel. Authority |
GO | | General Obligation |
HDC | | Housing Devel. Corp. |
ITEMECF | | Industrial, Tourist, Educational, Medical and Environmental Community Facilities |
JFK | | John Fitzgerald Kennedy |
MSU | | Montclair State University |
NY/NJ | | New York/New Jersey |
RWJ | | Robert Wood Johnson |
TASC | | Tobacco Settlement Asset-Backed Bonds |
V.I. | | United States Virgin Islands |
See accompanying Notes to Financial Statements.
30 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENT OF ASSETS AND LIABILITIES January 29, 20161 Unaudited | | |
| | | | |
| Assets | | | |
Investments, at value (cost $463,673,862)—see accompanying statement of investments | | $ | 436,258,165 | |
| | |
Cash | | | 581,466 | |
| | |
Receivables and other assets: | | | | |
Interest | | | 5,366,629 | |
Shares of beneficial interest sold | | | 68,548 | |
Other | | | 165,809 | |
| | | | |
Total assets | | | 442,440,617 | |
| Liabilities | | | |
| Payables and other liabilities: | | | |
Payable for short-term floating rate notes issued (See Note 4) | | | 22,065,000 | |
Payable for borrowings (See Note 9) | | | 7,100,000 | |
Shares of beneficial interest redeemed | | | 645,941 | |
Dividends | | | 292,500 | |
Trustees’ compensation | | | 72,908 | |
Distribution and service plan fees | | | 49,431 | |
Interest expense on borrowings | | | 2,896 | |
Shareholder communications | | | 2,075 | |
Other | | | 64,127 | |
| | | | |
Total liabilities | | | 30,294,878 | |
| Net Assets | | $ 412,145,739 | |
| | | | |
| | | | |
| Composition of Net Assets | | | |
Paid-in capital | | $ | 598,174,279 | |
| | |
Accumulated net investment income | | | 3,256,497 | |
| | |
Accumulated net realized loss on investments | | | (161,869,340 | ) |
| | |
Net unrealized depreciation on investments | | | (27,415,697 | ) |
| | | | |
Net Assets | | $ | 412,145,739 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
31 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL 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 $262,517,547 and 27,890,921 shares of beneficial interest outstanding) | | $ | 9.41 | |
| |
| Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 9.88 | |
| | |
| |
| Class B Shares: | | | | |
| |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $3,464,642 and 367,077 shares of beneficial interest outstanding) | | $ | 9.44 | |
| | |
| |
| Class C Shares: | | | | |
| |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $123,980,433 and 13,156,523 shares of beneficial interest outstanding) | | $ | 9.42 | |
| | |
| |
| Class Y Shares: | | | | |
| |
| Net asset value, redemption price and offering price per share (based on net assets of $22,183,117 and 2,354,487 shares of beneficial interest outstanding) | | $ | 9.42 | |
See accompanying Notes to Financial Statements.
32 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
STATEMENT OF OPERATIONS For the Six Months Ended January 29, 20161 Unaudited | | |
| | | | |
| Investment Income | | | |
Interest | | $ | 12,920,288 | |
| Expenses | | | |
Management fees | | | 1,160,238 | |
| | |
Distribution and service plan fees: | | | | |
Class A | | | 191,690 | |
Class B | | | 17,427 | |
Class C | | | 571,642 | |
| | |
Transfer and shareholder servicing agent fees: | | | | |
Class A | | | 130,388 | |
Class B | | | 1,938 | |
Class C | | | 63,551 | |
Class Y | | | 11,307 | |
| | |
Shareholder communications: | | | | |
Class A | | | 5,174 | |
Class B | | | 282 | |
Class C | | | 2,775 | |
Class Y | | | 379 | |
| | |
Borrowing fees | | | 563,074 | |
| | |
Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 87,677 | |
| | |
Custodian fees and expenses | | | 8,083 | |
| | |
Interest expense on borrowings | | | 7,169 | |
| | |
Trustees’ compensation | | | 3,291 | |
| | |
Other | | | 98,815 | |
| | | | |
Total expenses | | | 2,924,900 | |
| | |
Net Investment Income | | | 9,995,388 | |
| Realized and Unrealized Gain | | | |
Net realized gain on investments | | | 1,502,625 | |
| | |
Net change in unrealized appreciation/depreciation on investments | | | 1,926,008 | |
| | |
Net Increase in Net Assets Resulting from Operations | | $ | 13,424,021 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
33 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| STATEMENTS OF CHANGES IN NET ASSETS | | |
| | | | | | | | | | |
| | | Six Months Ended January 29, 20161 (Unaudited) | | | | | Year Ended July 31, 2015 | |
Operations | | | | | | | | | | |
Net investment income | | $ | 9,995,388 | | | | | $ | 22,131,340 | |
Net realized gain (loss) | | | 1,502,625 | | | | | | (8,229,498 | ) |
Net change in unrealized appreciation/depreciation | | | 1,926,008 | | | | | | (6,240,853 | ) |
Net increase in net assets resulting from operations | | | 13,424,021 | | | | | | 7,660,989 | |
Dividends and/or Distributions to Shareholders | | | | | | | | | | |
Dividends from net investment income: | | | | | | | | | | |
Class A | | | (6,701,538 | ) | | | | | (15,406,697 | ) |
Class B | | | (84,365 | ) | | | | | (239,014 | ) |
Class C | | | (2,784,081 | ) | | | | | (6,175,481 | ) |
Class Y | | | (597,251 | ) | | | | | (1,309,505 | ) |
| | | | (10,167,235 | ) | | | | | (23,130,697 | ) |
Beneficial Interest Transactions | | | | | | | | | | |
Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | | | |
Class A | | | (3,402,623 | ) | | | | | (32,683,565 | ) |
Class B | | | (1,011,916 | ) | | | | | (1,767,809 | ) |
Class C | | | (8,489,409 | ) | | | | | (5,925,078 | ) |
Class Y | | | (1,570,660 | ) | | | | | 690,570 | |
| | | | (14,474,608 | ) | | | | | (39,685,882 | ) |
Net Assets | | | | | | | | | | |
Total decrease | | | (11,217,822 | ) | | | | | (55,155,590 | ) |
Beginning of period | | | 423,363,561 | | | | | | 478,519,151 | |
End of period (including accumulated net investment income of $3,256,497 and $3,428,344, respectively) | | $ | 412,145,739 | | | | | $ | 423,363,561 | |
| | | | | | | | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
34 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
STATEMENT OF CASH FLOWS For the Six Months Ended January 29, 20161 Unaudited | | |
| | | | |
Cash Flows from Operating Activities | | | | |
Net increase in net assets from operations | | $ | 13,424,021 | |
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | | | | |
Purchase of investment securities | | | (17,759,145 | ) |
Proceeds from disposition of investment securities | | | 37,798,065 | |
Short-term investment securities, net | | | 982,253 | |
Premium amortization | | | 773,216 | |
Discount accretion | | | (881,725 | ) |
Net realized gain on investments | | | (1,502,625 | ) |
Net change in unrealized appreciation/depreciation on investments | | | (1,926,008 | ) |
Change in assets: | | | | |
Decrease in other assets | | | 341,066 | |
Decrease in interest receivable | | | 371,395 | |
Decrease in receivable for securities sold | | | 4,353,237 | |
Change in liabilities: | | | | |
Decrease in other liabilities | | | (33,250 | ) |
Net cash provided by operating activities | | | 35,940,500 | |
Cash Flows from Financing Activities | | | | |
Proceeds from borrowings | | | 35,400,000 | |
Payments on borrowings | | | (45,100,000 | ) |
Payments on short-term floating rate notes issued | | | (135,000 | ) |
Proceeds from shares sold | | | 26,214,918 | |
Payments on shares redeemed | | | (50,472,510 | ) |
Cash distributions paid | | | (1,833,577 | ) |
Net cash used in financing activities | | | (35,926,169 | ) |
Net increase in cash | | | 14,331 | |
Cash, beginning balance | | | 567,135 | |
Cash, ending balance | | $ | 581,466 | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $8,361,519.
Cash paid for interest on borrowings—$6,364.
Cash paid for interest on short-term floating rate notes issued—$87,677.
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
35 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | |
Class A | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
Per Share Operating Data | | | | | | | | | | | | |
Net asset value, beginning of period | | $9.34 | | $9.67 | | $9.60 | | $10.68 | | $9.75 | | $10.14
|
Income (loss) from investment operations: | | | | | | | | | | | | |
Net investment income2 | | 0.24 | | 0.48 | | 0.52 | | 0.50 | | 0.54 | | 0.64 |
Net realized and unrealized gain (loss) | | 0.07 | | (0.31) | | 0.07 | | (1.05) | | 1.00 | | (0.41) |
Total from investment operations | | 0.31 | | 0.17 | | 0.59 | | (0.55) | | 1.54 | | 0.23 |
Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
Dividends from net investment income | | (0.24) | | (0.50) | | (0.52) | | (0.53) | | (0.61) | | (0.62) |
Net asset value, end of period | | $9.41 | | $9.34 | | $9.67 | | $9.60 | | $10.68 | | $9.75 |
| | | | | | | | | | | | |
|
| |
Total Return, at Net Asset Value3 | | 3.35% | | 1.64% | | 6.40% | | (5.43)% | | 16.21% | | 2.46% |
| | | | | | |
| | | | | | | | | | | | |
Ratios/Supplemental Data | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | $262,518 | | $263,873 | | $306,172 | | $368,177 | | $421,443 | | $359,697 |
Average net assets (in thousands) | | $262,249 | | $301,779 | | $326,496 | | $425,664 | | $385,776 | | $377,127 |
Ratios to average net assets:4 | | | | | | | | | | | | |
Net investment income | | 4.99% | | 4.89% | | 5.58% | | 4.80% | | 5.31% | | 6.62% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 0.86% | | 0.87% | | 0.83% | | 0.76% | | 0.76% | | 0.77% |
Interest and fees from borrowings | | 0.27% | | 0.23% | | 0.15% | | 0.11% | | 0.08% | | 0.10% |
Interest and fees on short-term floating rate notes issued5 | | 0.04% | | 0.07% | | 0.08% | | 0.06% | | 0.11% | | 0.19% |
Total expenses | | 1.17% | | 1.17% | | 1.06% | | 0.93% | | 0.95% | | 1.06% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.17% | | 1.17% | | 1.06% | | 0.91% | | 0.93% | | 1.05% |
Portfolio turnover rate | | 4% | | 7% | | 30% | | 24% | | 18% | | 15% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
36 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | |
| Class B | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
|
Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $9.36 | | $9.69 | | $9.62 | | $10.70 | | $9.77 | | $10.15 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.20 | | 0.41 | | 0.45 | | 0.42 | | 0.46 | | 0.56 |
| Net realized and unrealized gain (loss) | | 0.08 | | (0.31) | | 0.06 | | (1.06) | | 0.99 | | (0.40) |
| | |
Total from investment operations | | 0.28 | | 0.10 | | 0.51 | | (0.64) | | 1.45 | | 0.16 |
|
Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
Dividends from net investment income | | (0.20) | | (0.43) | | (0.44) | | (0.44) | | (0.52) | | (0.54) |
|
Net asset value, end of period | | $9.44 | | $9.36 | | $9.69 | | $9.62 | | $10.70 | | $9.77 |
| | |
|
|
Total Return, at Net Asset Value3 | | 3.06% | | 0.86% | | 5.55% | | (6.24)% | | 15.20% | | 1.71% |
|
|
Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $ 3,465 | | $ 4,444 | | $ 6,351 | | $ 10,331 | | $ 18,879 | | $ 23,305 |
|
| Average net assets (in thousands) | | $3,894 | | $5,540 | | $7,822 | | $15,007 | | $20,307 | | $28,889 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 4.27% | | 4.13% | | 4.81% | | 3.96% | | 4.50% | | 5.78% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 1.61% | | 1.63% | | 1.63% | | 1.61% | | 1.61% | | 1.61% |
| Interest and fees from borrowings | | 0.27% | | 0.23% | | 0.15% | | 0.11% | | 0.08% | | 0.10% |
| Interest and fees on short-term floating rate notes issued5 | | 0.04% | | 0.07% | | 0.08% | | 0.06% | | 0.11% | | 0.19% |
| | |
| Total expenses | | 1.92% | | 1.93% | | 1.86% | | 1.78% | | 1.80% | | 1.90% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.92% | | 1.93% | | 1.86% | | 1.76% | | 1.78% | | 1.89% |
|
| Portfolio turnover rate | | 4% | | 7% | | 30% | | 24% | | 18% | | 15% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
37 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| FINANCIAL HIGHLIGHTS Continued | | |
| | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $9.35 | | $9.68 | | $9.61 | | $10.69 | | $9.76 | | $10.14 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.20 | | 0.40 | | 0.45 | | 0.42 | | 0.46 | | 0.57 |
| Net realized and unrealized gain (loss) | | 0.07 | | (0.30) | | 0.06 | | (1.05) | | 1.00 | | (0.41) |
| | |
| Total from investment operations | | 0.27 | | 0.10 | | 0.51 | | (0.63) | | 1.46 | | 0.16 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.20) | | (0.43) | | (0.44) | | (0.45) | | (0.53) | | (0.54) |
|
| Net asset value, end of period | | $9.42 | | $9.35 | | $9.68 | | $9.61 | | $10.69 | | $9.76 |
| | |
|
|
| Total Return, at Net Asset Value3 | | 2.96% | | 0.87% | | 5.60% | | (6.15)% | | 15.32% | | 1.79% |
|
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $123,980 | | $ 131,468 | | $ 142,154 | | $ 173,766 | | $ 187,934 | | $ 159,119 |
|
| Average net assets (in thousands) | | $127,806 | | $142,243 | | $150,721 | | $194,185 | | $169,315 | | $166,762 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 4.26% | | 4.06% | | 4.83% | | 4.04% | | 4.55% | | 5.85% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 1.60% | | 1.62% | | 1.59% | | 1.52% | | 1.52% | | 1.54% |
| Interest and fees from borrowings | | 0.27% | | 0.23% | | 0.15% | | 0.11% | | 0.08% | | 0.10% |
| Interest and fees on short-term floating rate notes issued5 | | 0.04% | | 0.07% | | 0.08% | | 0.06% | | 0.11% | | 0.19% |
| | |
| Total expenses | | 1.91% | | 1.92% | | 1.82% | | 1.69% | | 1.71% | | 1.83% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.91% | | 1.92% | | 1.82% | | 1.67% | | 1.69% | | 1.82% |
| | | | | | | | | | | | |
|
| Portfolio turnover rate | | 4% | | 7% | | 30% | | 24% | | 18% | | 15% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
38 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Period
Ended
July 29,
20111 |
|
Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $9.35 | | $9.68 | | $9.60 | | $10.69 | | $9.76 | | $9.86 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.24 | | 0.49 | | 0.54 | | 0.52 | | 0.55 | | 0.41 |
| Net realized and unrealized gain (loss) | | 0.08 | | (0.30) | | 0.07 | | (1.07) | | 1.00 | | (0.10) |
| | |
Total from investment operations | | 0.32 | | 0.19 | | 0.61 | | (0.55) | | 1.55 | | 0.31 |
|
Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
Dividends from net investment income | | (0.25) | | (0.52) | | (0.53) | | (0.54) | | (0.62) | | (0.41) |
|
Net asset value, end of period | | $9.42 | | $9.35 | | $9.68 | | $9.60 | | $10.69 | | $9.76 |
| | |
|
|
Total Return, at Net Asset Value3 | | 3.42% | | 1.79% | | 6.66% | | (5.40)% | | 16.34% | | 3.48% |
|
|
Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $22,183 | | $23,579 | | $23,842 | | $23,351 | | $23,882 | | $9,232 |
|
| Average net assets (in thousands) | | $22,743 | | $25,005 | | $20,998 | | $25,821 | | $15,130 | | $4,339 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 5.15% | | 5.02% | | 5.71% | | 4.94% | | 5.33% | | 6.48% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 0.71% | | 0.72% | | 0.69% | | 0.62% | | 0.63% | | 0.62% |
| Interest and fees from borrowings | | 0.27% | | 0.23% | | 0.15% | | 0.11% | | 0.08% | | 0.10% |
| Interest and fees on short-term floating rate notes issued5 | | 0.04% | | 0.07% | | 0.08% | | 0.06% | | 0.11% | | 0.19% |
| | |
| Total expenses | | 1.02% | | 1.02% | | 0.92% | | 0.79% | | 0.82% | | 0.91% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.02% | | 1.02% | | 0.92% | | 0.77% | | 0.80% | | 0.90% |
|
| Portfolio turnover rate | | 4% | | 7% | | 30% | | 24% | | 18% | | 15% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
39 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS January 29, 2016 Unaudited | | |
1. Organization
Oppenheimer Rochester New Jersey Municipal Fund (the “Fund”) is a separate series of Oppenheimer Multi-State Municipal Trust, a non-diversified, open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek tax-free income. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B and C shares have separate distribution and/or service plans under which they pay fees. Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
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.
40 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. 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.
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 overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends.
During the fiscal year ended July 31, 2015, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended July 31, 2015 capital loss carryforwards are included in the table below. Capital loss
41 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
2. Significant Accounting Policies (Continued)
carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
Expiring | |
2016 | | $ | 1,484,285 | |
2017 | | | 18,113,753 | |
2018 | | | 22,257,929 | |
No expiration | | | 121,387,028 | |
| | | | |
Total | | $ | 163,242,995 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $41,855,967 expiring by 2018 and $119,884,403, which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will utilize $1,502,625 of capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| | | | |
Federal tax cost of securities | | $ | 441,677,4551 | |
| | | | |
Gross unrealized appreciation | | $ | 24,118,987 | |
Gross unrealized depreciation | | | (51,538,934) | |
| | | | |
Net unrealized depreciation | | $ | (27,419,947) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $22,000,657, which has otherwise been recognized for financial reporting purposes, related to bonds placed into trusts in conjunction with certain investment transactions. See the Inverse Floating Rate Securities note in Note 4.
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
42 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
3. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation�� for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage
43 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
3. Securities Valuation (Continued)
obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| | |
| Security Type | | Standard inputs generally considered by third-party pricing vendors |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. |
| Loans | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
| Event-linked bonds | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior
44 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
3. Securities Valuation (Continued)
day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:
| | | | | | | | | | | | | | | | |
| | | Level 1—
Unadjusted
Quoted Prices | | | Level 2— Other Significant Observable Inputs | | | Level 3—
Significant
Unobservable
Inputs | | | Value | |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
New Jersey | | $ | — | | | $ | 301,768,841 | | | $ | — | | | $ | 301,768,841 | |
New York | | | — | | | | 18,898,624 | | | | — | | | | 18,898,624 | |
U.S. Possessions | | | — | | | | 115,590,700 | | | | — | | | | 115,590,700 | |
| | | | |
Total Assets | | $ | — | | | $ | 436,258,165 | | | $ | — | | | $ | 436,258,165 | |
| | | | |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
45 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
4. Investments and Risks
Inverse Floating Rate Securities. The Fund invests in inverse floating rate securities that pay interest at a rate that varies inversely with short-term interest rates. Because inverse floating rate securities are leveraged instruments, the value of an inverse floating rate security will change more significantly in response to changes in interest rates and other market fluctuations than the market value of a conventional fixed-rate municipal security of similar maturity and credit quality, including the municipal bond underlying an inverse floating rate security.
An inverse floating rate security is created as part of a financial transaction referred to as a “tender option bond” transaction. In most cases, in a tender option bond transaction the Fund sells a fixed-rate municipal bond (the “underlying municipal bond”) to a trust (the “Trust”). The Trust then issues and sells short-term floating rate securities with a fixed principal amount representing a senior interest in the underlying municipal bond to third parties and a residual, subordinate interest in the underlying municipal bond (referred to as an “inverse floating rate security”) to the Fund. The interest rate on the short-term floating rate securities resets periodically, usually weekly, to a prevailing market rate and holders of these securities are granted the option to tender their securities back to the Trust for repurchase at their principal amount plus accrued interest thereon (the “purchase price”) periodically, usually daily or weekly. A remarketing agent for the Trust is required to attempt to re-sell any tendered short-term floating rate securities to new investors for the purchase price. If the remarketing agent is unable to successfully re-sell the tendered short-term floating rate securities, a liquidity provider to the Trust must contribute cash to the Trust to ensure that the tendering holders receive the purchase price of their securities on the repurchase date.
Because holders of the short-term floating rate securities are granted the right to tender their securities to the Trust for repurchase at frequent intervals for the purchase price, with such payment effectively guaranteed by the liquidity provider, the securities generally bear short-term rates of interest commensurate with money market instruments. When interest is paid on the underlying municipal bond to the Trust, such proceeds are first used to pay the Trust’s administrative expenses and accrued interest to holders of the short-term floating rate securities, with any remaining amounts being paid to the Fund, as the holder of the inverse floating rate security. Accordingly, the amount of such interest on the underlying municipal bond paid to the Fund is inversely related the rate of interest on the short-term floating rate securities. Additionally, because the principal amount of the short-term floating rate securities is fixed and is not adjusted in response to changes in the market value of the underlying municipal bond, any change in the market value of the underlying municipal bond is reflected entirely in a change to the value of the inverse floating rate security.
Typically, the terms of an inverse floating rate security grant certain rights to the Fund, as holder. For example, the Fund typically has the right upon request to require that the Trust compel a tender of the short-term floating rate securities to facilitate the Fund’s acquisition of the underlying municipal bond. Following such a request, the Fund pays the Trust the purchase price of the short-term floating rate securities and a specified portion of any market value gain on the underlying municipal bond since its deposit into the Trust, which the Trust uses to redeem the short-term floating rate securities. The Trust then distributes the
46 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
4. Investments and Risks (Continued)
underlying municipal bond to the Fund. Through the exercise of this right, the Fund can voluntarily terminate or “collapse” the Trust, terminate its investment in the related inverse floating rate security and obtain the underlying municipal bond. Additionally, the Fund also typically has the right to exchange with the Trust (i) a principal amount of short-term floating rate securities held by the Fund for a corresponding additional principal amount of the inverse floating rate security or (ii) a principal amount of the inverse floating rate security held by the Fund for a corresponding additional principal amount of short-term floating rate securities (which are typically then sold to other investors). Through the exercise of this right, the Fund may increase (or decrease) the principal amount of short-term floating rate securities outstanding, thereby increasing (or decreasing) the amount of leverage provided by the short-term floating rate securities to the Fund’s investment exposure to the underlying municipal bond.
The Fund’s investments in inverse floating rate securities involve certain risks. As short-term interest rates rise, an inverse floating rate security produces less current income (and, in extreme cases, may pay no income) and as short-term interest rates fall, an inverse floating rate security produces more current income. Thus, if short-term interest rates rise after the issuance of the inverse floating rate security, any yield advantage is reduced or eliminated. All inverse floating rate securities entail some degree of leverage represented by the outstanding principal amount of the related short-term floating rate securities, relative to the par value of the underlying municipal bond. The value of, and income earned on, an inverse floating rate security that has a higher degree of leverage will fluctuate more significantly in response to changes in interest rates and to changes in the market value of the related underlying municipal bond than that of an inverse floating rate security with a lower degree of leverage, and is more likely to be eliminated entirely under adverse market conditions. Changes in the value of an inverse floating rate security will also be more significant than changes in the market value of the related underlying municipal bond because the leverage provided by the related short-term floating rate securities increases the sensitivity of an inverse floating rate security to changes in interest rates and to the market value of the underlying municipal bond. An inverse floating rate security can be expected to underperform fixed-rate municipal bonds when the difference between long-term and short-term interest rates is decreasing (or is already small) or when long-term interest rates are rising, but can be expected to outperform fixed-rate municipal bonds when the difference between long-term and short-term interest rates is increasing (or is already large) or when long-term interest rates are falling. Additionally, a tender option bond transaction typically provides for the automatic termination or “collapse” of a Trust upon the occurrence of certain adverse events, usually referred to as “mandatory tender events” or “tender option termination events.” These events may include, among others, a credit ratings downgrade of the underlying municipal bond below a specified level, a decrease in the market value of the underlying municipal bond below a specified amount, a bankruptcy of the liquidity provider or the inability of the remarketing agent to re-sell to new investors short-term floating rate securities that have been tendered for repurchase by holders thereof. Following the occurrence of such an event, the underlying municipal bond is generally sold for current market value and the proceeds distributed to holders of the short-term floating rate securities and inverse floating rate
47 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
4. Investments and Risks (Continued)
security, with the holder of the inverse floating rate security (the Fund) generally receiving the proceeds of such sale only after the holders of the short-term floating rate securities have received proceeds equal to the purchase price of their securities (and the liquidity provider is generally required to contribute cash to the Trust only in an amount sufficient to ensure that the holders of the short-term floating rate securities receive the purchase price of their securities in connection with such termination of the Trust). Following the occurrence of such events, the Fund could potentially lose the entire amount of its investment in the inverse floating rate security.
Finally, the Fund may enter into shortfall/reimbursement agreements with the liquidity provider of certain tender option bond transactions in connection with certain inverse floating rate securities held by the Fund. These agreements commit the Fund to reimburse the liquidity provider to the extent that the liquidity provider must provide cash to a Trust, including following the termination of a Trust resulting from the occurrence of a “mandatory tender event.” In connection with the occurrence of such an event and the termination of the Trust triggered thereby, the shortfall/reimbursement agreement will make the Fund liable for the amount of the negative difference, if any, between the liquidation value of the underlying municipal bond and the purchase price of the short-term floating rate securities issued by the Trust. Under the standard terms of a tender option bond transaction, absent such a shortfall/reimbursement agreement, the Fund, as holder of the inverse floating rate security, would not be required to make such a reimbursement payment to the liquidity provider. The Manager monitors the Fund’s potential exposure with respect to these agreements on a daily basis and intends to take action to terminate the Fund’s investment in related inverse floating rate securities, if it deems it appropriate to do so.
When the Fund creates an inverse floating rate security in a tender option bond transaction by selling an underlying municipal bond to a Trust, the transaction is considered a secured borrowing for financial reporting purposes. As a result of such accounting treatment, the Fund includes the underlying municipal bond on its Statement of Investments and as an asset on its Statement of Assets and Liabilities (but does not separately include the related inverse floating rate security on either). The Fund also includes a liability on its Statement of Assets and Liabilities equal to the outstanding principal amount and accrued interest on the related short-term floating rate securities issued by the Trust. Interest on the underlying municipal bond is recorded as investment income on the Fund’s Statement of Operations, while interest payable on the related short-term floating rate securities is recorded as interest expense. At period end, municipal bond holdings with a value of $34,059,407 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $22,065,000 in short-term floating rate securities issued and outstanding at that date.
At period end, the inverse floating rate securities associated with tender option bond transactions accounted for as secured borrowings were as follows:
48 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | |
Principal
Amount | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity Date | | | Value | |
$ 1,750,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.) Tender Option Bond Series 2015-XF0015 Trust | | | 7.287% | | | | 10/1/27 | | | $ | 1,821,820 | |
665,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.) Tender Option Bond Series 2015-XF0015-2 Trust | | | 7.948 | | | | 10/1/37 | | | | 681,692 | |
2,625,000 | | Port Authority NY/NJ, 143rd Series Tender Option Bond Series 2015-XF0032 Trust | | | 15.619 | | | | 10/1/30 | | | | 2,702,175 | |
1,585,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105 Trust | | | 18.506 | | | | 5/1/29 | | | | 2,810,300 | |
1,345,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105-2 Trust | | | 18.478 | | | | 5/1/30 | | | | 2,361,820 | |
1,000,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105-3 Trust | | | 18.478 | | | | 5/1/38 | | | | 1,616,600 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 11,994,407 | |
| | | | | | | | | | | | | | |
1. For a list of abbreviations used in the Inverse Floater table see the Portfolio Abbreviations table at the end of the Statement of Investments.
2. Represents the current interest rate for the inverse floating rate security.
The Fund may also purchase an inverse floating rate security created as part of a tender option bond transaction not initiated by the Fund when a third party, such as a municipal issuer or financial institution, transfers an underlying municipal bond to a Trust. For financial reporting purposes, the Fund includes the inverse floating rate security related to such transaction on its Statement of Investments and as an asset on its Statement of Assets and Liabilities, and interest on the security is recorded as investment income on the Fund’s Statement of Operations.
The Fund may invest in inverse floating rate securities with any degree of leverage (as measured by the outstanding principal amount of related short-term floating rate securities). However, the Fund may only expose up to 20% of its total assets to the effects of leverage from its investments in inverse floating rate securities. This limitation is measured by comparing the aggregate principal amount of the short-term floating rate securities that are related to the inverse floating rate securities held by the Fund to the total assets of the Fund. The Fund’s exposure to the effects of leverage from its investments in inverse floating rate securities amounts to $22,065,000 or 4.99% of its total assets at period end.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest at period end is as follows:
| | | | |
Cost | | | $11,256,138 | |
Market Value | | | $1,698,938 | |
Market Value as % of Net Assets | | | 0.41% | |
49 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
4. Investments and Risks (Continued)
The Fund has entered into forbearance agreements with certain obligors under which the Fund has agreed to temporarily forego receipt of the original principal or coupon interest rates. At period end, securities with an aggregate market value of $9,436,607, representing 2.29% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. There are certain risks arising from geographic concentration in any state, commonwealth or territory. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory may impair the ability of certain issuers of municipal securities to pay principal and interest on their obligations.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market.
Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
50 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
6. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | |
| | | Six Months Ended January 29, 20161 | | | Year Ended July 31, 2015 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class A | | | | | | | | | | | | | | | | |
Sold | | | 2,044,411 | | | | $ 19,177,133 | | | | 3,344,023 | | | | $ 32,873,200 | |
Dividends and/or distributions reinvested | | | 597,593 | | | | 5,603,979 | | | | 1,316,338 | | | | 12,909,781 | |
Redeemed | | | (3,006,717 | ) | | | (28,183,735 | ) | | | (8,063,759 | ) | | | (78,466,546) | |
| | | | |
Net decrease | | | (364,713 | ) | | | $ (3,402,623 | ) | | | (3,403,398 | ) | | | $ (32,683,565) | |
| | | | |
| | | | | | | | | | | | | | | | |
| |
Class B | | | | | | | | | | | | | | | | |
Sold | | | 2,031 | | | | $ 19,115 | | | | 5,480 | | | | $ 54,312 | |
Dividends and/or distributions reinvested | | | 7,946 | | | | 74,721 | | | | 20,687 | | | | 203,518 | |
Redeemed | | | (117,520 | ) | | | (1,105,752 | ) | | | (206,711 | ) | | | (2,025,639) | |
| | | | |
Net decrease | | | (107,543 | ) | | | $ (1,011,916 | ) | | | (180,544 | ) | | | $ (1,767,809) | |
| | | | |
| | | | | | | | | | | | | | | | |
| |
Class C | | | | | | | | | | | | | | | | |
Sold | | | 520,020 | | | | $ 4,888,133 | | | | 1,575,257 | | | | $ 15,542,186 | |
Dividends and/or distributions reinvested | | | 235,057 | | | | 2,206,795 | | | | 495,032 | | | | 4,859,117 | |
Redeemed | | | (1,660,097 | ) | | | (15,584,337 | ) | | | (2,691,822 | ) | | | (26,326,381) | |
| | | | |
Net decrease | | | (905,020 | ) | | | $ (8,489,409 | ) | | | (621,533 | ) | | | $ (5,925,078) | |
| | | | |
| | | | | | | | | | | | | | | | |
| |
Class Y | | | | | | | | | | | | | | | | |
Sold | | | 217,003 | | | | $ 2,039,732 | | | | 1,514,002 | | | | $ 14,876,443 | |
Dividends and/or distributions reinvested | | | 50,710 | | | | 476,024 | | | | 104,237 | | | | 1,022,254 | |
Redeemed | | | (435,630 | ) | | | (4,086,416 | ) | | | (1,558,998 | ) | | | (15,208,127) | |
| | | | |
Net increase (decrease) | | | (167,917 | ) | | | $ (1,570,660 | ) | | | 59,241 | | | | $ 690,570 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2.
7. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the reporting period were as follows:
| | | | | | | | | | |
| | | Purchases | | | | | Sales | |
| |
Investment securities | | | $17,759,145 | | | | | | $37,798,065 | |
8. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
51 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
8. Fees and Other Transactions with Affiliates (Continued)
| | | | |
| Fee Schedule | | | |
Up to $200 million | | | 0.60% | |
Next $100 million | | | 0.55 | |
Next $200 million | | | 0.50 | |
Next $250 million | | | 0.45 | |
Next $250 million | | | 0.40 | |
Over $1 billion | | | 0.35 | |
The Fund’s effective management fee for the reporting period was 0.55% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund has adopted an unfunded retirement plan (the “Plan”) for the Fund’s Independent Trustees. Benefits are based on years of service and fees paid to each Trustee during their period of service. The Plan was frozen with respect to adding new participants effective December 31, 2006 (the “Freeze Date”) and existing Plan Participants as of the Freeze Date will continue to receive accrued benefits under the Plan. Active Independent Trustees as of the Freeze Date have each elected a distribution method with respect to their benefits under the Plan. During the reporting period, the Fund’s projected benefit obligations, payments to retired Trustees and accumulated liability were as follows:
| | | | |
Projected Benefit Obligations Increased | | $ | — | |
Payments Made to Retired Trustees | | | 5,123 | |
Accumulated Liability as of January 29, 2016 | | | 35,269 | |
The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the
52 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
8. Fees and Other Transactions with Affiliates (Continued)
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 with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.15% of the daily 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 and Class C Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B and Class C shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.15% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
53 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
8. Fees and Other Transactions with Affiliates (Continued)
| | | | | | | | | | | | | | | | |
Six Months Ended | |
| Class A
Front-End
Sales Charges
Retained by
Distributor |
| |
| Class A
Contingent
Deferred Sales
Charges
Retained by
Distributor |
| |
| Class B
Contingent
Deferred Sales
Charges
Retained by
Distributor |
| |
| Class C
Contingent
Deferred Sales
Charges
Retained by
Distributor |
|
January 29, 2016 | | | $16,706 | | | | $2,969 | | | | $8,334 | | | | $3,596 | |
9. Borrowings and Other Financing
Borrowings. The Fund can borrow money from banks in amounts up to one third of its total assets (including the amount borrowed) less all liabilities and indebtedness other than borrowings (meaning that the value of those assets must be at least 300% of the amount borrowed). The Fund can use those borrowings for investment-related purposes such as purchasing portfolio securities. The Fund also may borrow to meet redemption obligations or for temporary and emergency purposes. When the Fund invests borrowed money in portfolio securities, it is using a speculative investment technique known as leverage and changes in the value of the Fund’s investments will have a larger effect on its share price than if it did not borrow because of the effect of leverage.
The Fund can also use the borrowings for other investment-related purposes, including in connection with the Fund’s inverse floater investments as discussed in Note 4. The Fund may use the borrowings to reduce the leverage amount of, or unwind or “collapse” trusts that issued “inverse floaters” owned by the Fund, or in circumstances in which the Fund has entered into a shortfall and forbearance agreement with the sponsor of the inverse floater trust to meet the Fund’s obligation to reimburse the sponsor of the inverse floater for the difference between the liquidation value of the underlying bond and the amount due to holders of the short-term floating rate notes issued by the Trust. See the discussion in Note 4 (Inverse Floating Rate Securities) for additional information.
The Fund will pay interest and may pay other fees in connection with loans. If the Fund does borrow, it will be subject to greater expenses than funds that do not borrow. The interest on borrowed money and the other fees incurred in conjunction with loans are an expense that might reduce the Fund’s yield and return. Expenses incurred by the Fund with respect to interest on borrowings and commitment fees are disclosed separately or as other expenses on the Statement of Operations.
The Fund entered into a Revolving Credit and Security Agreement (the “Agreement”) with conduit lenders and Citibank N.A. which enables it to participate with certain other Oppenheimer funds in a committed, secured borrowing facility that permits borrowings of up to $2.5 billion, collectively, by the Oppenheimer Rochester Funds. To secure the loan, the Fund pledges investment securities in accordance with the terms of the Agreement. Securities held in collateralized accounts to cover these borrowings are noted in the Statement of Investments. Interest is charged to the Fund, based on its borrowings, at current commercial paper issuance rates (0.4783% at period end). The Fund pays additional fees monthly to its lender on its outstanding borrowings to manage and administer the facility and is allocated its pro-rata share of an annual structuring fee and ongoing commitment fees both of which are
54 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
9. Borrowings and Other Financing (Continued)
based on the total facility size. Total fees and interest that are included in expenses on the Fund’s Statement of Operations related to its participation in the borrowing facility during the reporting period equal 0.22% of the Fund’s average net assets on an annualized basis. The Fund has the right to prepay such loans and terminate its participation in the conduit loan facility at any time upon prior notice.
At period end, the Fund had borrowings outstanding, which can be found on the Statement of Assets and Liabilities, at an interest rate of 0.4783%.
Details of the borrowings for the reporting period are as follows:
| | | | |
Average Daily Loan Balance | | $ | 4,160,326 | |
Average Daily Interest Rate | | | 0.337 | % |
Fees Paid | | $ | 72,344 | |
Interest Paid | | $ | 6,364 | |
Reverse Repurchase Agreements. The Fund may engage in reverse repurchase agreements. A reverse repurchase agreement is the sale of one or more securities to a counterparty at an agreed-upon purchase price with the simultaneous agreement to repurchase those securities on a future date at a higher repurchase price. The repurchase price represents the repayment of the purchase price and interest accrued thereon over the term of the repurchase agreement. The cash received by the Fund in connection with a reverse repurchase agreement may be used for investment-related purposes such as purchasing portfolio securities or for other purposes such as those described in the preceding “Borrowings” note.
The Fund entered into a Committed Repurchase Transaction Facility (the “Facility”) with J.P. Morgan Securities LLC (the “counterparty”) which enables it to participate with certain other Oppenheimer funds in a committed reverse repurchase agreement facility that permits aggregate outstanding reverse repurchase agreements of up to $750 million, collectively. Interest is charged to the Fund on the purchase price of outstanding reverse repurchase agreements at current LIBOR rates plus an applicable spread. The Fund is also allocated its pro-rata share of an annual structuring fee based on the total Facility size and ongoing commitment fees based on the total unused amount of the Facility. The Fund retains the economic exposure to fluctuations in the value of securities subject to reverse repurchase agreements under the Facility and therefore these transactions are considered secured borrowings for financial reporting purposes. The Fund also continues to receive the economic benefit of interest payments received on securities subject to reverse repurchase agreements, in the form of a direct payment from the counterparty. These payments are included in interest income on the Statement of Operations. Total fees and interest related to the Fund’s participation in the Facility during the reporting period are included in expenses on the Fund’s Statement of Operations and equal 0.05% of the Fund’s average net assets on an annualized basis.
The securities subject to reverse repurchase agreements under the Facility are valued on a daily basis. To the extent this value, after adjusting for certain margin requirements of the Facility, exceeds the cash proceeds received, the Fund may request the counterparty to return
55 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | | |
9. Borrowings and Other Financing (Continued)
securities equal in margin value to this excess. To the extent that the cash proceeds received exceed the margin value of the securities subject to the transaction, the counterparty may request additional securities from the Fund. The Fund has the right to declare each Wednesday as the repurchase date for any outstanding reverse repurchase agreement upon delivery of advanced notification and may also recall any security subject to such a transaction by substituting eligible securities of equal or greater margin value according to the Facility’s terms.
The Fund executed no transactions under the Facility during the reporting period.
Details of reverse repurchase agreement transactions for the reporting period are as follows:
10. Pending Litigation
In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order and determined that the suit will proceed as a class action. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.
OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.
56 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| |
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited | | |
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Adviser, Sub-Adviser and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that
57 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited / Continued | | |
the Sub-Adviser has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Daniel Loughran, Scott Cottier, Troy Willis, Mark DeMitry, Michael Camarella, Charles Pulire and Elizabeth Mossow, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board also reviewed information, prepared by the Managers and by the independent consultant, comparing the Fund’s historical performance to relevant benchmarks or market indices and to the performance of other retail funds in the muni New Jersey category. The Board noted that the Fund’s one-year, three-year, five-year and ten-year performance was better than its category median.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Adviser. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail front-end load muni New Jersey funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fees were higher than its peer group median and category median. The Board also noted that the Fund’s total expenses were equal to its peer group median and higher than its category median.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.
58 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through September 30, 2016. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
59 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited | | |
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
60 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND | | |
| | |
Trustees and Officers As of 3/1/16 | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee Beth Ann Brown, Trustee Matthew P. Fink, Trustee Edmund P. Giambastiani, Jr., Trustee Elizabeth Krentzman, Trustee Mary F. Miller, Trustee Joel W. Motley, Trustee Joanne Pace, Trustee Daniel Vandivort, Trustee Arthur P. Steinmetz, Trustee, President and Principal Executive Officer Daniel G. Loughran, Vice President Scott S. Cottier, Vice President Troy E. Willis, Vice President Mark R. DeMitry, Vice President Michael L. Camarella, Vice President Charles S. Pulire, Vice President Richard Stein, Vice President Cynthia Lo Bessette, Secretary and Chief Legal Officer Jennifer Sexton, Vice President and Chief Business Officer Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer |
| |
| Manager | | OFI Global Asset Management, Inc. |
| |
| Sub-Adviser | | OppenheimerFunds, Inc. |
| |
| Distributor | | OppenheimerFunds Distributor, Inc. |
| |
| Transfer and Shareholder Servicing Agent | | OFI Global Asset Management, Inc. |
| |
| Sub-Transfer Agent | | Shareholder Services, Inc. DBA OppenheimerFunds Services |
| |
Independent Registered
Public Accounting Firm | | KPMGLLP |
| |
| Legal Counsel | | Kramer Levin Naftalis & Frankel LLP |
| |
| | The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2016 OppenheimerFunds, Inc. All rights reserved.
61 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
| ● | | Applications or other forms |
| ● | | When you create a user ID and password for online account access |
| ● | | When you enroll in eDocs Direct, our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited |
| ● | | When you set up challenge questions to reset your password online |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
62 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
| ● | | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
| ● | | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
| ● | | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
63 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
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| | Semiannual Report | | | 1/31/2016 | | | |
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| | Oppenheimer Rochester ® Pennsylvania Municipal Fund | | | |
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/29/16*
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Barclays Municipal
Bond Index |
6-Month | | 2.85 % | | -2.03 % | | 3.66 % |
1-Year | | 2.53 | | -2.35 | | 2.71 |
5-Year | | 6.84 | | 5.81 | | 5.75 |
10-Year | | 3.87 | | 3.37 | | 4.81 |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns for periods of less than one year are not annualized. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).
Our Twitter handle is @RochesterFunds.
*January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements. Index returns are calculated through January 31, 2016.
2 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 14, 2016): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders:
On February 1, 2016, Puerto Rico made its debt-service payments on securities issued by the Puerto Rico Sales Tax Financing Corporation. The payment for these bonds, which are known as COFINAs, was 99% funded at the end of December and totaled approximately $322 million. The COFINAs are backed by the sales and use tax. The Municipal Finance Authority (MFA) also made its payments on February 1. As expected, the Puerto Rico Finance Corporation (PFC) defaulted on its February 1, 2016 payments.
Also on February 1, Puerto Rico proposed a voluntary “bond exchange” that it said would reduce its debt burden to $26.5 billion, from $49.2 billion. Under the proposal, creditors would exchange existing bonds for “base bonds” and “growth bonds.” Interest payments on the former would not begin until 2018, and payments on the latter would start a decade after the close of the exchange offer—but only if certain revenue levels have been achieved. Many market participants were critical of this proposal’s viability.
Officials from Puerto Rico appeared at a February 2, 2016 hearing of the U.S. House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs. The hearing included lengthy discussions about the benefits of establishing a federal control board to help the Commonwealth remedy its fiscal woes. Oppenheimer Rochester continues to believe that such a board would prove beneficial to the government and its authorities, to bondholders and to the people of Puerto Rico. Subcommittee members continued to press for audited financials from the Commonwealth.
Also in early February, the U.S. Supreme Court announced that it would hear arguments related to the validity of the Puerto Rico Public Corporation Debt and Recovery Act (“the Recovery Act”) on March 22.
On February 10, 2016, Sen. Orrin Hatch, chairman of the Senate Finance Committee, sent Gov. Alejandro Garcia Padilla a long list of questions and asked for a response by March 1. During a press conference on March 2, the governor said that his office was still working on its response, noting “I do not accept ultimatums from anyone.”
3 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
On February 16, 2016, Governor Padilla signed legislation related to the December 2015 debt-restructuring agreement between PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders. The deadline for submitting a rate proposal to the Commonwealth’s Energy Commission was extended to April 22, from March 1.
Also on February 16, Puerto Rico released draft financials for fiscal year 2014. Later in the month, the governor said he expected that year’s audited financials to be ready April 1. In his State of the Commonwealth speech on February 29, the governor chided those who have insisted on seeing the audited financials before agreeing to help Puerto Rico.
On February 24, 2016, OppenheimerFunds, Franklin Advisers and the First Puerto Rico Family of Funds sent a letter to the chairman of the Puerto Rico House Committee on Finance and Budget, Rafael “Tatito” Hernández Montañez, and Puerto Rico’s legislators. The letter addressed the rhetoric coming from the Commonwealth about plans to weaken the COFINA bond structure and protections. Details about the letter can be found at www.oppenheimerfunds.com/puerto_rico.
The next day, two more hearings were held at the U.S. House on developments in Puerto Rico.
In early March, The Bond Buyer reported that PRASA, the Commonwealth’s aqueduct and sewer authority, had created a contingency plan to use if it cannot access the credit markets. On March 10, the Puerto Rico House passed legislation that would allow PRASA to issue new debt and avoid a rate hike; the Puerto Rico Senate has yet to vote on the legislation, which includes several prerequisites.
On March 8, 2016, the governor agreed to postpone until June 1 a 6.5 percentage point increase in the Commonwealth’s business-to-business service tax. This decision is expected to delay Puerto Rico’s transition to a value-added tax, originally slated to begin April 1. Meanwhile, there are calls for the Commonwealth’s tax system to be overhauled.
Our team continues to be an active participant in negotiations with Puerto Rico officials. Shareholders should be confident that we will continue to work to protect our shareholders’ best interests.
4 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Fund Performance Discussion
Amid low interest rates during the 6-month reporting period that ended January 29, 2016, the last business day of this reporting period, Oppenheimer Rochester Pennsylvania Municipal Fund provided a total return at net asset value (NAV) of 2.85% and generated high levels of tax-free income. The Fund’s Class A shares provided a distribution yield of 5.86% at NAV at the end of this reporting period. The Fund’s Class A shares were ranked second at the end of January 2016, behind this Fund’s Class Y shares, in Lipper’s Pennsylvania Municipal Debt Funds category for 12-month distribution yield, a calculation that compares fund yields for the trailing 12 months. Tax-free income comprised 100% of the Fund’s total return this reporting period, further evidence supporting our focus on yield as the long-term driver of Fund performance.
MARKET OVERVIEW
The Fed Funds target rate, the short-term interest rate set by the Federal Open Market Committee (FOMC), was increased to the range of 0.25% to 0.50% on December 16, 2015, seven years to the day after it had been reduced to the range of zero to 0.25%. The last increase – to 5.25% – was announced June 29, 2006. Despite ongoing concerns about low inflation due to decreasing oil prices and low import prices, the Fed cited steady job growth and a near-normal unemployment rate of 5% as reasons for the increase. In a statement following the December meeting,
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| | The average 12-month distribution yield in Lipper’s Pennsylvania Municipal Debt Funds category was 3.38% at the end of this reporting period. At 5.86%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 248 basis points higher than the category average. | | |
Fed officials said they expect the economy to warrant only “gradual increases” over the next few years, projecting that interest rates
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| YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | |
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Dividend Yield w/o sales charge | | 5.86% |
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Dividend Yield with sales charge | | 5.58 |
|
Standardized Yield | | 5.24 |
|
Taxable Equivalent Yield | | 9.58 |
|
Last distribution (1/26/16) | | $0.051 |
|
Total distributions (8/1/15 to 1/31/16) | | $0.306 |
|
| Endnotes for this discussion begin on page 19 of this report | | |
5 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
would rise one percentage point per year.
Many market watchers had predicted the FOMC would raise the Fed Funds target rate at the September 2015 meeting, but the Fed decided otherwise. Citing “underutilization of labor resources and inflation continuing to run below the committee’s longer-run objective,” the Committee voted to keep the short-term rate at zero to 0.25%.
In a speech after the September meeting, Chairman Janet Yellen tried to quell the resulting market volatility saying, “It will likely be appropriate to raise the target range of the Federal Funds rate sometime later this year, and to continue boosting short-term rates at a gradual pace thereafter as the labor market improves further and inflation moves back to our 2% objective.”
While not definitive by any measure, the statement was more specific than earlier announcements from the Fed.
In November 2015, Ms. Yellen again indicated that the central bank would bump up rates slowly, a message that was repeated after the December 2015 increase. The Fed has suggested four rate hikes in 2016 but stressed that the recovery remains slow, and inflation is still feeble. “Rate increases could be faster or slower, based on economic data,” Fed officials said after the December meeting.
The Fed kept interest rates unchanged at the January 2016 meeting, but left open the possibility it could raise short-term rates when
it reconvenes in March 2016. In a press release, the Fed indicated it was closely monitoring the global economy and financial markets, noting that economic growth had slowed since late 2015 and inflation continued to run below the target 2% level.
We remind investors that a change in the Fed Funds rate does not automatically translate into a change in longer-term interest rates, which are determined by the marketplace.
On January 29, 2016, yields on high-grade municipal bonds at the short end of the yield curve were higher than they had been 6 months earlier. However, prices of longer-term, high-grade munis rallied during the same period, and their yields declined. No matter what the Fed does, this Fund’s investment team will seek to meet investors’ desires for competitive levels of tax-free income by searching for value in the muni market.
As of January 29, 2016, the average yield on 30-year, AAA-rated muni bonds was 2.79%, down 41 basis points from July 31, 2015. The average yield on 10-year, AAA-rated muni bonds was 1.81% on January 29, 2016, down 43 basis points from the July 2015 date, and the average yield on 1-year, AAA-rated muni bonds was 0.35%, up 7 basis points from the July 2015 date.
At the end of this reporting period, the Commonwealth of Pennsylvania was still operating without a full budget. This was partially due to an impasse between first-term
6 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Democratic Governor Tom Wolf and the Republican-dominated Legislature over how to fund a roughly $30 billion spending plan.
In late December 2015, Governor Wolf signed a limited budget allowing school districts and social service agencies to receive critical state reimbursement funds. At the beginning of January 2016, after continued budget conflicts, state Treasurer Timothy Reese extended a $2 billion line of credit to the Commonwealth; without this, the general fund’s cash balance would have been approximately $922 million in the red. The following week, the administration drew $1 billion against that line of credit. This marked the second borrowing to avoid a negative balance by Pennsylvania in 16 months. (The Treasury also loaned the state $1.5 billion in September of 2014.)
In mid-October 2015, Moody’s Investors Service lowered its outlook on Pennsylvania’s general obligation (G.O.) debt from stable to negative, citing the Commonwealth’s budget impasse. Affirming the Aa3 rating, Moody’s stated that its outlook “reflects the difficulty the Commonwealth is likely to have closing its structural budget gap in light of the contentious political environment.”
Also in October, Governor Wolf entered into a three-year cooperation agreement with West Virginia and Ohio to maximize economic growth in their shale gas region. Citing high demand for workers in the energy industry and manufacturing, the governor announced a proposal “to expand investments in education
across the board and especially increase funding for trusted and proven job training and workforce development initiatives.” The governor also stated that the plan is part of a tax package designed to raise $1.4 billion for fiscal 2016 and $2.4 billion for fiscal 2017.
One of Governor Wolf’s key goals during his tenure is to sponsor “market-driven development” of the tip of the Philadelphia Navy Yard. Anticipating 3,700 new jobs by 2017, the governor in November 2015 offered support for the development of the Southport Marine Terminal Complex by the Philadelphia Regional Port Authority (PRPA). The PRPA was requesting a public-private partnership (P3) to help establish maritime business at the South Philadelphia property next to the Delaware River.
As part of a P3, the Southeastern Pennsylvania Transportation Authority (SEPTA) opened its first new regional station in nearly 20 years. Other P3 plans included a privately-financed $450 million resort casino development, which was advanced by the Philadelphia City Council. During the first five years of operation, the Stadium Casino anticipates that the development will generate more than $2 billion in economic activity and $100 million in tax revenue with $25 million going to the Philadelphia School District. Developers also anticipate the creation of 3,000 new construction jobs that will generate roughly $145 million in estimated new wages and salaries. An additional 2,000 new permanent jobs are also planned once the casino is completed.
7 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
At the end of November 2015, the Pennsylvania Turnpike Commission went to market with $302 million of revenue bonds.
Philadelphia City Controller Alan Butkovitz released his economic report at the end of December 2015 stating that the city’s general fund tax revenues are up $85 million for the first five months of the 2016 fiscal year. Business income and receipts tax revenues jumped 76% with realty transfer tax collections up 34%. Wage tax revenue also rose $25 million from the year-ago period.
As of January 31, 2016, Pennsylvania’s G.O. bonds were rated Aa3 by Moody’s Investors Service and AA-minus by Standard & Poor’s and Fitch Ratings.
Successful investors, we have found, maintain a long-term perspective regardless of the specific developments associated with any given reporting period. To maximize the benefits that municipal bond funds seek to provide, many investors reinvest their dividends and allow the income generated from their investments to compound over time.
FUND PERFORMANCE
Oppenheimer Rochester Pennsylvania Municipal Fund held more than 280 securities as of January 29, 2016. The Fund was invested in a broad range of sectors, providing shareholders with a diversity of holdings that we believe would be difficult and costly to replicate in an individual portfolio.
Even as market conditions created pressure on the dividends of many fixed-income funds this reporting period, this Fund’s dividend trend demonstrated the power a yield-driven approach can have amid challenging market conditions. This Fund’s Class A dividend remained steady at 5.1 cents per share throughout this reporting period. In all, the Fund distributed 30.6 cents per Class A share this reporting period.
The tax-exempt status of the Fund’s distributions of net investment income was a boon to investors seeking competitive levels of tax-free income. For a taxable investment to have provided a greater benefit than an investment in this Fund, it would have had to yield more than 9.58%, based on the Fund’s standardized yield as of January 31, 2016, and the top federal and Pennsylvania income tax rates for 2015. As long-time investors know, yields on fixed-income funds rise when share prices fall, and yields have historically contributed the lion’s share of the long-term total returns generated by bonds.
Municipal bonds backed by proceeds from the tobacco Master Settlement Agreement (the MSA), the national litigation settlement with U.S. tobacco manufacturers, represented 22.4% of the Fund’s total assets (22.8% of net assets) at the end of this reporting period.
We believe the securities we hold in this sector are fundamentally sound credits, and we like that “tobacco bonds” can provide tax-exempt income for investors as well as benefits to the issuing states and territories. During this
8 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | |
| | The Rochester Portfolio Management Team |
| |  | | 
| | 
| | 
| | |
| | | | | |
| | Dan Loughran, CFA Team Leader and Senior Portfolio Manager | | Scott Cottier, CFA Senior Portfolio Manager | | Troy Willis, JD, CFA Senior Portfolio Manager | | Mark DeMitry, CFA Senior Portfolio Manager | | |
| |  | |  | |  | | | | |
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| | Michael Camarella, CFA Senior Portfolio Manager | | Charlie Pulire, CFA Senior Portfolio Manager | | Elizabeth Mossow, CFA Portfolio Manager | | | | |
reporting period, our long-term view of the sector continued to be bullish and, given attractive valuations, we believe that it is likely we will continue to hold a greater percentage of tobacco bonds in our portfolios than our peers. As in prior reporting periods, the tobacco bonds this Fund held during this reporting period, including those issued in Puerto Rico, Guam, and the U.S. Virgin Islands, made all scheduled payments of interest and principal on time and in full.
Securities issued in the Commonwealth of Puerto Rico, which are exempt from federal,
state and local income taxes, represented 13.2% of the Fund’s total assets (13.4% of net assets) at the end of this reporting period. Puerto Rico’s “tobacco bonds” are excluded from this figure, as they are backed by proceeds from the tobacco MSA and included in this Fund’s tobacco holdings. The Fund’s Puerto Rico holdings, some of which are insured, include G.O. debt – which is backed by the full faith and taxing authority of state and local governments – and securities from many different sectors.
9 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
10 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Most of the Fund’s investments in securities issued in Puerto Rico are supported by taxes and other revenues and are designed to help finance electric utilities, highways and education, among other things. At the beginning of 2016, the Commonwealth made virtually all of the nearly $1 billion in payments due. A full payment of $368 million was received to cover the debt-service obligations on Puerto Rico’s G.O. securities. PREPA (Puerto Rico’s electric utility authority) also made a full payment of $215 million.
Two authorities, the Puerto Rico Finance Corporation (PFC) and the Puerto Rico Infrastructure and Finance Authority (PRIFA), defaulted on $37 million. According to Gov. Alejandro García Padilla, these defaults were the result of the emergency measure he authorized to divert revenue and use it to ensure that other debt was paid in full. The Puerto Rican government decided not to make the PFC appropriation, and PRIFA revenues were subject to a “claw back.” Three bond insurers – Ambac, Assured Guaranty and FGIC – have sued the Commonwealth, arguing that the revenues should not have been diverted. On the last day of this reporting period, the Commonwealth filed a motion to dismiss the suits filed by Ambac and Assured Guaranty, which were joined.
Puerto Rico remained in the news throughout this reporting period. On August 21, 2015, the Commonwealth petitioned the U.S. Supreme Court to overturn a February 6, 2015 federal district court ruling that the Puerto Rico Public Corporation Debt Enforcement and Recovery
Act (the “Recovery Act”) violated the U.S. Constitution and was invalid. As you may recall, the Recovery Act was passed in late June 2014 and the Oppenheimer Rochester municipal bond funds filed suit immediately, challenging the legislation that was designed to allow PREPA, PRASA (Puerto Rico’s aqueduct and sewer authority) and PRHTA (its highway authority) to restructure their debt under the supervision of a Commonwealth court. Five months later, a federal appeals court unanimously affirmed the judge’s decision.
In its petition, the Commonwealth argued that Puerto Rico’s issuers should have the right to restructure their debt pursuant to the terms set forth in the Commonwealth’s Recovery Act. As bondholders, we see things differently: The Commonwealth and its issuers agreed to specific and carefully constructed bond covenants when they sold securities, and the contracts should be honored.
On December 4, 2015, the U.S. Supreme Court agreed to hear the Commonwealth’s appeal of the district court and appellate court decisions. Although we cannot guarantee that Oppenheimer Rochester will once again prevail, we continue to believe our legal arguments are strong and wish to assure shareholders that our team will always stand up for bondholders’ best interests. A Supreme Court ruling on the Commonwealth’s petition is expected in June 2016.
Throughout this reporting period, the market also reacted to developments related to the
11 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
forbearance agreement that was reached in August 2014 between PREPA and many of its creditors, including this Fund. In the agreement, which was extended several times beyond March 31, 2015, its initial expiration date, the bondholders agreed to forbear from exercising rights in connection with events that would constitute a default on PREPA bonds, and PREPA agreed to a variety of financial terms, to make its July 1, 2015 payment and to reach a comprehensive restructuring plan with its creditors by September 1, 2015.
The plan also seeks to reduce and/or restructure some of Puerto Rico’s debt. In a televised address, the governor said, “The plan itself will not get us out of the hole we find ourselves in. It’s time that creditors come to the table and share in the sacrifice.” We continue to believe that Puerto Rico must act within the tenets of the law, including its Constitution. Questions about the degree to which Puerto Rico and its agencies and authorities are committed to honoring their debt service obligations continued to create significant pressure on the prices of their securities.
On September 1, 2015, PREPA and the forbearing bondholders reached an agreement in principle on the major financial terms of a securitization transaction to lower PREPA’s debt service costs. Although the proposed agreement would result in a reduction in the par value of PREPA’s existing bonds, we nevertheless believe the agreement – if
implemented – will be a win for bondholders, PREPA and Puerto Ricans.
Investors should note that the new bond structure would be bankruptcy remote, which serves to protect bondholders from event risks; that the term sheet required that the new securitization bonds earn an investment-grade rating; that the deal requires approval by the Puerto Rico Legislature and high participation by all bondholders; and that insurers reach agreement with PREPA on the treatment of the insured bonds. If all goes as planned, bondholders will be further insulated from the risks and uncertainties related to any inefficiency in PREPA’s operations and will not incur the costs that would result from a lengthy and uncertain litigation process. While we expect that all parties will work toward a restructuring support agreement, we remind investors that there is no guarantee of either a timeline or implementation.
In December 2015, after gaining several extensions related to the debt-restructuring agreement, PREPA announced that it had reached agreement with at least 70% of its creditors and its bond insurers.
PREPA and its forbearing bondholders, a group that includes the Oppenheimer Rochester funds, set a January 21, 2016 deadline for the Puerto Rico Legislature to approve legislation related to the debt-restructuring agreement. No vote was taken by that date, and PREPA asked for an extension to February 12.
12 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
The forbearing bondholders responded that the extension and a loan of $115 million were contingent on the approval of a surcharge for PREPA customers. After some back and forth, creditors agreed to provide $111 million of financing through the purchase of new bonds – half to be provided after the passage of the debt-restructuring legislation and the remainder after the securitization structure has been submitted to the Energy Commission for approval. PREPA accepted these terms and the deadline for the legislative vote was extended to February 16.
The Oppenheimer Rochester team has been an active participant in negotiations with Puerto Rico officials, and shareholders should be confident that we will continue to work to protect their best interests.
Meanwhile, in Washington, a December 1, 2015 hearing of the U.S. Senate Committee on the Judiciary, which is chaired by Sen. Chuck Grassley of Iowa, focused on Puerto Rico’s financial and economic circumstances. While Gov. Padilla pressed the senators to consider giving the Commonwealth access to Chapter 9 bankruptcy and asserted that “we have no cash left,” Sen. Grassley was among those who chided the governor because audited financial statements had not been provided. Sen. Grassley, in line with other Republican senators challenged the governor, saying “Let’s not forget that Puerto Rico issued its bonds with the knowledge that Ch. 9 bankruptcy wasn’t an option in the event of a default.” At the end of this reporting period, Democratic lawmakers had not gained
traction on their proposals to allow the Commonwealth and/or its authorities to file for Ch. 9 bankruptcy protection.
On December 9, 2015, three Republican senators – Orrin Hatch of Utah, Lisa Murkowski of Alaska and Sen. Grassley of Iowa – introduced the Puerto Rico Assistance Act of 2015. The bill would establish a new authority that could issue bonds and called for as much as $3 billion to help the Commonwealth stabilize its budget and debt, among other provisions. A week later, House Speaker Paul Ryan asked lawmakers to reach a “responsible solution” for Puerto Rico by March 31, 2016.
There was also talk in Congress of amending the omnibus spending bill to provide Puerto Rico access to Ch. 9, but the only measures included in the bill were related to Medicare funding and additional technical assistance from Treasury. Meanwhile, the Government Development Bank for Puerto Rico (GDB) put forth a plan calling for a “comprehensive single transaction to be accomplished through a voluntary exchange offer.”
Politicians, including some candidates for the presidency, have voiced concerns about Puerto Rico, and we believe the situation will remain political in the near term. In fact, many of the recommendations would require action by the U.S. Congress and/or the Puerto Rico Legislature.
Our investment team will continue to monitor credit rating changes and other developments
13 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
related to our Puerto Rico holdings closely. Investors should note that deterioration of the Puerto Rican economy could have an adverse impact on Puerto Rico bonds and the performance of the Oppenheimer Rochester municipal funds that hold them, including this Fund. Our team’s commitment to protecting the interests of our shareholders is unwavering.
Given the degree to which Oppenheimer Rochester funds have been cited in news coverage about the economic and fiscal challenges facing Puerto Rico, we feel compelled to remind investors that all fund investments are actively managed. Our team is responsive to the dynamics of the market and may choose to adjust trading strategies in the interest of maximizing the potential benefits to our shareholders. Further, while we remain committed to keeping investors informed about our basic investing strategies, we do not provide comment about near-term trading strategies as we believe doing so might allow other market participants to impair our team’s ability to deliver shareholder value.
Please note: An important update on post-reporting-period developments that could have implications for the Fund’s Puerto Rico holdings can be found on page 3 of this report.
As of January 29, 2016, 13.0% of the Fund’s total assets (13.2% of net assets) continued to be invested in the higher education sector, with six holdings issued in Puerto Rico. The investment-grade bonds we hold in this sector
have regularly provided high levels of tax-free income with what we believe to be far less credit risk than their external ratings would suggest.
As of January 29, 2016, the Fund’s investments in the student housing sector represented 9.3% of the Fund’s total assets (9.5% of net assets). We like that the nation’s colleges and universities have a reliable student population, giving this sector a clear sense of its revenue stream.
As of January 29, 2016, the Fund was invested in the hospital/healthcare sector, which represented 8.9% of total assets (9.0% of net assets). Most of the Fund’s holdings in this sector are investment grade, though the Fund also invests across the credit spectrum in this sector.
The Fund’s holdings in municipal bonds issued by utilities represented 7.9% of total assets (8.0% of net assets) at the end of this reporting period. This set of holdings included electric utilities with 4.6% of total assets (4.7% of net assets), sewer utilities with 2.1% of total assets (2.1% of net assets), and water utilities with 1.2% of total assets (1.2% of net assets) as of January 29, 2016. Our holdings in these sectors consist of securities in the mid-range of the credit spectrum and include three bonds issued in Guam and others issued by PREPA and PRASA.
The education sector represented 6.1% of the Fund’s total assets (6.2% of net assets) as of January 29, 2016. Bonds in this sector
14 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
primarily finance the infrastructure needs of a variety of charter schools around the state.
G.O. securities comprised 6.0% of total assets (6.1% of net assets) as of January 29, 2016. Within this sector, the Fund held bonds issued in various Pennsylvania municipalities, the Northern Mariana Islands, and the Commonwealth of Puerto Rico at the end of this reporting period. While they have not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe, and many of our funds have overweight positions in these bonds relative to muni funds offered by other asset managers.
The Fund continued to be invested in the highways and commuter facilities sector this reporting period, which represented 3.9% of total assets (4.0% of net assets) as of January 29, 2016. The bonds in this sector, four of which were issued in Puerto Rico, are used to build and maintain roadways and highway amenities.
The sales tax revenue sector represented 3.9% of the Fund’s total assets (4.0% of net assets) as of January 29, 2016. Debt-service payments on securities in this sector are paid using the issuing municipality’s sales tax revenue. All of the Fund’s holdings in this sector as of the end of this reporting period were issued in Puerto Rico.
Tax increment financing (TIF) bonds constituted 3.2% of the Fund’s total assets (3.2% of net assets) on January 29, 2016.
Traditionally, this type of financing has been used for urban and suburban renewal projects. When tax collections increase, driven either by an improving economy or inflation, the credit quality of these types of securities generally improves, which can lead to enhanced performance.
During this reporting period, the Fund maintained an investment in municipal inverse-floating rate securities, which are tax-exempt securities with interest payments that move inversely to changes in short-term interest rates. “Inverse floaters” continued to provide welcomed levels of tax-free income to funds across the industry during this reporting period. We continue to believe that “inverse floaters” are an essential element of this Fund’s portfolio because they can produce attractive yields under certain market conditions.
Our approach to municipal bond investing is flexible and responsive to market conditions. Shareholders should note that market conditions during this reporting period did not affect the Fund’s overall investment goals or cause it to pay any capital gain distributions. In closing, we believe that the Fund’s structure and sector composition as well as our time-tested strategies will continue to benefit fixed-income investors through interest rate and economic cycles.
INVESTMENT STRATEGY
The Rochester investment team focuses exclusively on municipal bonds and has consistently used a time-tested, value-oriented
15 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
and security-specific approach to fund management. We know that market conditions can and do fluctuate, but we do not waver in our belief in the power of tax-free yield to help investors achieve their long-term objectives.
This Fund invests primarily in investment-grade municipal securities. It may invest up to 25% of its total assets in below-investment grade securities, or “junk” bonds; the percentage of assets is measured at the time of purchase as is the credit quality of the securities. Additionally, the credit quality is based on Nationally Recognized Statistical Rating Organization (“NRSRO”) ratings or, if no NRSRO rating, on internal ratings. As of January 29, 2016, market movements or rating changes of municipal bonds, notably the Fund’s investments in Puerto Rico paper, caused the Fund’s below-investment-grade holdings to exceed this threshold. As a result, no further purchases of below-investment-grade bonds will be made until the Fund’s holdings of these types of bonds is once again below 25% of total assets.
Our team continually searches for bonds that we believe are undervalued and can provide a meaningful level of tax-free income until maturity. Rather than making allocation shifts based on expected market conditions, we search the marketplace for what we believe to be the best values for generating income. It remains important to note that we do not manage our funds based on predictions of interest rate changes.
Instead, our investment approach involves scouring the market for municipal securities that meet our stringent credit criteria and buying bonds that we believe will deliver above-average yields relative to peer funds. We focus on identifying inefficiencies in market pricing that can lead to investment advantages. We seek to maintain a thoughtful mix of industry sectors, maturities and credit ratings in this Fund’s portfolio.
The Rochester team also prospects for yield-enhancing opportunities in the secondary market, often picking up odd lots that we believe can add significant incremental yield to our portfolios. We will also look for non-rated issues with solid credit qualities, which we believe can often help enhance a fund’s tax-free yield. Investors should note that non-rated or unrated securities may or may not be the equivalent of investment grade securities.
The Rochester Way, we believe, distinguishes our approach to municipal investing from those of our competitors.
Daniel G. Loughran,
Senior Vice President, Senior Portfolio Manager and Team Leader, on behalf of the rest of the Rochester portfolio management team: Scott S. Cottier, Troy E. Willis, Mark R. DeMitry, Michael L. Camarella, Charles S. Pulire and Elizabeth S. Mossow.
��
16 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Top Holdings and Allocations
TOP TEN CATEGORIES
| | |
Tobacco Master Settlement Agreement | | 22.4% |
Higher Education | | 13.0 |
Housing-Student | | 9.3 |
Hospital/Healthcare | | 8.9 |
Education | | 6.1 |
General Obligation | | 6.0 |
Electric Utilities | | 4.6 |
Highways/Commuter Facilities | | 3.9 |
Sales Tax Revenue | | 3.9 |
Tax Increment Financing (TIF) | | 3.2 |
Portfolio holdings are subject to change. Percentages are as of January 29, 2016, and are based on total assets. January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements.
CREDIT ALLOCATION
| | | | | | | | | | | | |
| | | NRSRO- Rated | | | Sub- Adviser- Rated | | | Total | |
AAA | | | 0.0% | | | | 0.0% | | | | 0.0% | |
AA | | | 13.7 | | | | 0.0 | | | | 13.7 | |
A | | | 11.7 | | | | 0.0 | | | | 11.7 | |
BBB | | | 36.8 | | | | 6.8 | | | | 43.6 | |
BB or lower | | | 25.2 | | | | 5.8 | | | | 31.0 | |
Total | | | 87.4% | | | | 12.6% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 29, 2016, and are subject to change. OppenheimerFunds, Inc. determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as Standard & Poor’s. For any security rated by an NRSRO other than S&P, the sub-adviser, OppenheimerFunds, Inc., converts that security’s rating to the equivalent S&P rating. If two or more NRSROs have assigned a rating to a security, the highest rating is used. For securities not rated by an NRSRO, the sub-adviser uses its own credit analysis to assign ratings in categories similar to those of S&P. The use of similar categories is not an indication that the sub-adviser’s credit analysis process is consistent or comparable with any NRSRO’s process were that NRSRO to rate the same security.
For the purposes of this Credit Allocation table, securities rated within the NRSROs’ four highest categories—AAA, AA, A and BBB—are investment-grade securities. For further details, please consult the Fund’s prospectus or Statement of Additional Information.
17 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Performance
DISTRIBUTION YIELDS
As of 1/29/16
| | | | | | | | |
| | | Without Sales Charge | | | With Sales Charge | |
Class A | | | 5.86% | | | | 5.58% | |
Class B | | | 5.21 | | | | N/A | |
Class C | | | 5.23 | | | | N/A | |
Class Y | | | 5.98 | | | | N/A | |
| | |
STANDARDIZED YIELDS |
| For the 30 Days Ended 1/31/16 |
Class A | | 5.24% |
Class B | | 4.74 |
Class C | | 4.75 |
Class Y | | 5.66 |
TAXABLE EQUIVALENT YIELDS
As of 1/31/16
| | |
Class A | | 9.58% |
Class B | | 8.67 |
Class C | | 8.68 |
Class Y | | 10.34 |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/29/16
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since Inception | |
Class A (OPATX) | | | 9/18/89 | | | | 2.85% | | | | 2.53% | | | | 6.84% | | | | 3.87% | | | | 5.66% | |
Class B (OPABX) | | | 5/3/93 | | | | 2.37 | | | | 1.75 | | | | 5.98 | | | | 3.37 | | | | 4.84 | |
Class C (OPACX) | | | 8/29/95 | | | | 2.38 | | | | 1.77 �� | | | | 6.03 | | | | 3.08 | | | | 4.38 | |
Class Y (OPAYX) | | | 11/29/10 | | | | 2.83 | | | | 2.67 | | | | 6.97 | | | | N/A | | | | 5.76 | |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/29/16 | |
| | | Inception Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since Inception | |
Class A (OPATX) | | | 9/18/89 | | | | -2.03% | | | | -2.35% | | | | 5.81% | | | | 3.37% | | | | 5.46% | |
Class B (OPABX) | | | 5/3/93 | | | | -2.62 | | | | -3.08 | | | | 5.66 | | | | 3.37 | | | | 4.84 | |
Class C (OPACX) | | | 8/29/95 | | | | 1.38 | | | | 0.80 | | | | 6.03 | | | | 3.08 | | | | 4.38 | |
Class Y (OPAYX) | | | 11/29/10 | | | | 2.83 | | | | 2.67 | | | | 6.97 | | | | N/A | | | | 5.76 | |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investments. Returns for periods of less than one year are not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL
18 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5- year); and for Class C, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion.
January 29, 2016 was the last business day of the Fund’s 6-month reporting period.
The Fund’s performance is compared to the performance of the Barclays Municipal Bond Index, an index of a broad range of investment-grade municipal bonds that is a measure of the general municipal bond market. Indices are unmanaged and cannot be purchased by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
Distribution yields for Class A shares are based on dividends of $0.051 for the 26-day accrual period ended January 26, 2016. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value on January 26, 2016; for the yield with sales charge, the denominator is the Class A maximum offering price on that date. Distribution yields for Class B, C and Y are annualized based on dividends of $0.0454, $0.0454 and $0.0521, respectively, for the 26-day accrual period ended January 26, 2016, and on the corresponding net asset values on that date.
Standardized yield is based on the Fund’s net investment income for the 30-day period ended January 31, 2016, and either that date’s maximum offering price (for Class A shares) or net asset value (for the other classes). Each result is compounded semiannually and annualized. Falling share prices artificially increase yields.
The average distribution yield in Lipper’s Pennsylvania Municipal Debt Funds category was calculated based on the distributions and the final net asset values (NAVs) of the reporting period for the funds in each category. The 12-month distribution yield is the sum of a fund’s total trailing 12-month interest and dividend payments divided by the last month’s ending share price (at NAV) plus any capital gains distributed over the same period. The calculation included 59 NAVs, one for each class of each fund in the category; a fund can have up to 4 classes. Lipper yields do not include sales charges – which, if included, would reduce results.
Taxable equivalent yield is based on the standardized yield and the 2015 top federal and Pennsylvania tax rate of 45.3%. Calculations factor in the 3.8% tax on unearned income under the Patient Protection and Affordable Care Act, as applicable. A portion of the Fund’s distributions may be subject to tax; distributions may also increase an investor’s exposure to the alternative minimum tax. Capital gains distributions are taxable as capital gains. Tax treatments of the Fund’s distributions and capital gains may vary by state; investors should consult a tax advisor to determine if the Fund is appropriate for them. Each result is compounded semiannually and annualized. Falling share prices artificially increase yields. This Report must be preceded or accompanied by a Fund prospectus.
19 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
The average yields for AAA-rated municipal securities are provided by Municipal Market Advisors (MMA) and are based on its benchmark of general obligation bonds structured with a 5% coupon. The MMA 5% benchmark is constructed using yields from the leading underwriters, who represent a significant percentage of the primary activity of the top 10 underwriters and therefore the total issuance.
Investments in “tobacco bonds,” which are backed by the proceeds a state or territory receives from the 1998 national litigation settlement with tobacco manufacturers, may be vulnerable to economic and/or legislative events that affect issuers in a particular municipal market sector. Annual payments by MSA-participating manufacturers, for example, hinge on many factors, including annual domestic cigarette shipments, inflation and the relative market share of non-participating manufacturers. To date, we believe consumption figures remain within an acceptable range of the assumptions used to structure MSA bonds. Future MSA payments could be reduced if consumption were to fall more rapidly than originally forecast.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency and involve investment risks, including the possible loss of the principal amount invested.
20 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Fund Expenses
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended January 29, 2016.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended January 29, 2016” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
21 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | | | |
Actual | | Beginning Account Value August 1, 2015 | | | Ending Account Value January 29, 2016 | | | Expenses Paid During 6 Months Ended January 29, 2016 | |
Class A | | $ | 1,000.00 | | | $ | 1,028.50 | | | $ | 4.95 | |
Class B | | | 1,000.00 | | | | 1,023.70 | | | | 8.74 | |
Class C | | | 1,000.00 | | | | 1,023.80 | | | | 8.69 | |
Class Y | | | 1,000.00 | | | | 1,028.30 | | | | 4.19 | |
| | | |
| Hypothetical | | | | | | | | | |
(5% return before expenses) | | | | | | | | | |
Class A | | | 1,000.00 | | | | 1,019.99 | | | | 4.93 | |
Class B | | | 1,000.00 | | | | 1,016.26 | | | | 8.71 | |
Class C | | | 1,000.00 | | | | 1,016.31 | | | | 8.66 | |
Class Y | | | 1,000.00 | | | | 1,020.74 | | | | 4.18 | |
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 funds, based on the 6-month period ended January 29, 2016 are as follows:
| | | | |
Class | | Expense Ratios | |
Class A | | | 0.98% | |
Class B | | | 1.73 | |
Class C | | | 1.72 | |
Class Y | | | 0.83 | |
22 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS January 29, 2016* Unaudited
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Municipal Bonds and Notes—105.5% | | | | | | | | |
| | Pennsylvania—68.4% | | | | | | | | |
| | $1,125,000 | | | Allegheny County, PA HDA (Jefferson Regional Medical Center)1 | | | 5.125 | % | | 05/01/2029 | | $ �� 1,123,402 |
| |
| | 80,000 | | | Allegheny County, PA HDA (Jefferson Regional Medical Center)1 | | | 5.125 | | | 05/01/2025 | | 80,393 |
| |
| | 160,000 | | | Allegheny County, PA HDA (UPMC Health System)1 | | | 5.500 | | | 08/15/2034 | | 179,418 |
| |
| | 35,000 | | | Allegheny County, PA HDA (UPMC Health System)1 | | | 5.375 | | | 08/15/2029 | | 39,388 |
| |
| | 1,125,000 | | | Allegheny County, PA HEBA (Carlow University)1 | | | 6.750 | | | 11/01/2031 | | 1,299,127 |
| |
| | 1,310,000 | | | Allegheny County, PA HEBA (Carlow University)1 | | | 6.000 | | | 11/01/2021 | | 1,471,313 |
| |
| | 1,000,000 | | | Allegheny County, PA HEBA (Chatham University)1 | | | 5.000 | | | 09/01/2035 | | 1,086,940 |
| |
| | 15,000 | | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 6.000 | | | 05/01/2028 | | 17,964 |
| |
| | 2,000,000 | | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 6.000 | | | 10/15/2038 | | 2,165,120 |
| |
| | 2,500,000 | | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.900 | | | 10/15/2028 | | 2,708,425 |
| |
| | 3,650,000 | | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.750 | | | 10/15/2040 | | 3,971,309 |
| |
| | 2,250,000 | | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.500 | | | 10/15/2030 | | 2,446,245 |
| |
| | 60,000 | | | Allegheny County, PA IDA (ARC Allegheny Foundation)1 | | | 5.000 | | | 12/01/2028 | | 60,025 |
| |
| | 1,200,000 | | | Allegheny County, PA IDA (Propel Charter School-East)1 | | | 6.375 | | | 08/15/2035 | | 1,306,152 |
| |
| | 1,000,000 | | | Allegheny County, PA IDA (Propel Charter School-Montour)1 | | | 6.750 | | | 08/15/2035 | | 1,101,440 |
| |
| | 1,500,000 | | | Allegheny County, PA IDA (Propel Charter School-Sunrise)1 | | | 6.000 | | | 07/15/2038 | | 1,603,980 |
| |
| | 1,225,000 | | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.100 | | | 09/01/2026 | | 1,234,396 |
| |
| | 870,000 | | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.125 | | | 09/01/2031 | | 875,029 |
| |
| | 1,000,000 | | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.000 | | | 09/01/2021 | | 1,011,240 |
| |
| | 380,000 | | | Allegheny County, PA IDA (School Facility Devel.)1 | | | 5.900 | | | 08/15/2026 | | 408,352 |
| |
| | 15,435,000 | | | Allegheny County, PA Redevel. Authority (Pittsburgh Mills)1 | | | 5.600 | | | 07/01/2023 | | 15,558,943 |
| |
| | 1,640,000 | | | Allegheny County, PA Residential Finance Authority (Broadview Manor Apartments)1 | | | 5.950 | | | 01/20/2043 | | 1,711,455 |
| |
| | 20,000 | | | Allegheny County, PA Residential Finance Authority (Cambridge Square Apartments)1 | | | 4.250 | | | 01/15/2017 | | 20,350 |
| |
| | 1,270,000 | | | Allegheny County, PA Residential Finance Authority (Independence House Apartments)1 | | | 6.100 | | | 01/20/2043 | | 1,328,890 |
| |
| | 1,640,000 | | | Allegheny County, PA Residential Finance Authority (Versailles Apartments)1 | | | 6.160 | | | 01/20/2043 | | 1,717,900 |
| |
| | 13,000,000 | | | Berks County, PA Municipal Authority (Reading Hospital & Medical Center)2 | | | 5.500 | | | 11/01/2031 | | 14,883,960 |
| |
| | 3,000,000 | | | Bethlehem, PA Area School District1 | | | 5.000 | | | 08/01/2035 | | 3,487,650 |
| |
| | 1,750,000 | | | Bethlehem, PA GO1 | | | 6.500 | | | 12/01/2032 | | 2,103,570 |
| |
| | 1,000,000 | | | Bucks County, PA IDA (Lutheran Community Telford Center)1 | | | 5.750 | | | 01/01/2027 | | 1,013,300 |
23 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | | | |
| |
| | $1,760,000 | | | Butler County, PA IDA (Greenview Gardens Apartments)1 | | | 6.250 | % | | 07/01/2033 | | $ 1,777,547 |
| |
| | 710,000 | | | Butler County, PA IDA (Greenview Gardens Apartments)1 | | | 6.000 | | | 07/01/2023 | | 717,079 |
| |
| | 2,865,000 | | | Cambridge, PA Area Joint Authority1 | | | 6.000 | | | 12/01/2037 | | 3,031,628 |
| |
| | 950,000 | | | Centre County, PA Hospital Authority (Mt. Nittany Medical Center)1 | | | 6.250 | | | 11/15/2041 | | 1,116,639 |
| |
| | 2,000,000 | | | Centre County, PA Hospital Authority (Mt. Nittany Medical Center)1 | | | 7.000 | | | 11/15/2046 | | 2,426,640 |
| |
| | 30,000 | | | Charleroi, PA Area School Authority | | | 6.000 | | | 10/01/2017 | | 30,150 |
| |
| | 2,000,000 | | | Chester County, PA H&EFA (Immaculata University)1 | | | 7.000 | | | 11/01/2041 | | 2,357,080 |
| |
| | 23,915,000 | | | Chester County, PA IDA (Aqua Pennsylvania)2 | | | 5.000 | | | 02/01/2041 | | 24,375,526 |
| |
| | 1,000,000 | | | Chester County, PA IDA (West Chester University Student Hsg.)1 | | | 5.000 | | | 08/01/2035 | | 1,065,450 |
| |
| | 1,000,000 | | | Clairton, PA Municipal Authority1 | | | 5.000 | | | 12/01/2037 | | 1,095,580 |
| |
| | 1,310,000 | | | Clarion County, PA IDA (Clarion University Foundation)1 | | | 5.000 | | | 07/01/2034 | | 1,399,447 |
| |
| | 1,220,000 | | | Clarion County, PA IDA (Clarion University Foundation)1 | | | 5.000 | | | 07/01/2024 | | 1,362,337 |
| |
| | 3,500,000 | | | Clarion County, PA IDA (Clarion University of Pennsylvania Hsg.)1 | | | 5.000 | | | 07/01/2033 | | 3,738,980 |
| |
| | 2,430,000 | | | Clarion County, PA IDA (Clarion University of Pennsylvania Hsg.)1 | | | 5.000 | | | 07/01/2029 | | 2,632,006 |
| |
| | 260,000 | | | Cumberland County, PA Municipal Authority (Diakon Lutheran Social
Ministries)1 | | | 6.250 | | | 01/01/2024 | | 294,858 |
| |
| | 6,605,000 | | | Delaware County, PA Authority (Cabrini College)1 | | | 5.500 | | | 07/01/2024 | | 6,618,937 |
| |
| | 6,385,000 | | | Delaware County, PA Authority (Eastern University)1 | | | 5.000 | | | 10/01/2027 | | 6,762,992 |
| |
| | 3,965,000 | | | Delaware County, PA Authority (Eastern University)1 | | | 5.250 | | | 10/01/2032 | | 4,204,843 |
| |
| | 90,000 | | | Delaware County, PA Authority (MAS/MCMCSPA/MHH/MHP/MHSSPA Obligated Group) | | | 5.375 | | | 11/15/2023 | | 90,403 |
| |
| | 650,000 | | | Delaware County, PA Authority (Neumann College)1 | | | 6.250 | | | 10/01/2038 | | 742,995 |
| |
| | 1,000,000 | | | Delaware County, PA Authority (Neumann College)1 | | | 6.125 | | | 10/01/2034 | | 1,139,770 |
| |
| | 1,160,000 | | | Delaware County, PA Authority (Neumann College)1 | | | 6.000 | | | 10/01/2025 | | 1,318,317 |
| |
| | 280,000 | | | Delaware County, PA Authority (Neumann College)1 | | | 6.000 | | | 10/01/2030 | | 318,214 |
| |
| | 2,305,000 | | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | 10/01/2035 | | 2,542,231 |
| |
| | 1,425,000 | | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | 10/01/2031 | | 1,602,156 |
| |
| | 1,150,000 | | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | 10/01/2025 | | 1,258,456 |
| |
| | 1,250,000 | | | Delaware County, PA Authority (Neumann University)1 | | | 5.250 | | | 10/01/2031 | | 1,359,200 |
| |
| | 4,075,000 | | | Delaware County, PA IDA (Naamans Creek)1 | | | 7.000 | | | 12/01/2036 | | 4,225,449 |
| |
| | 2,750,000 | | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | 07/01/2047 | | 2,900,315 |
| |
| | 1,000,000 | | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | 07/01/2030 | | 1,085,550 |
| |
| | 1,060,000 | | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | 07/01/2035 | | 1,135,769 |
24 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | | | |
| |
| | $1,250,000 | | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | % | | 07/01/2035 | | $ 1,335,987 |
| |
| | 820,000 | | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | 07/01/2030 | | 894,021 |
| |
| | 1,000,000 | | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.375 | | | 05/01/2030 | | 1,086,670 |
| |
| | 7,840,000 | | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.000 | | | 05/01/2038 | | 8,576,882 |
| |
| | 2,565,000 | | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.500 | | | 05/01/2040 | | 2,773,432 |
| |
| | 905,000 | | | Erie, PA Higher Education Building Authority (Mercyhurst College)1 | | | 5.350 | | | 03/15/2028 | | 947,834 |
| |
| | 3,000,000 | | | Erie, PA Higher Education Building Authority (Mercyhurst College)1 | | | 5.500 | | | 03/15/2038 | | 3,147,030 |
| |
| | 370,000 | | | Erie-Western PA Port Authority1 | | | 5.125 | | | 06/15/2016 | | 370,222 |
| |
| | 2,700,000 | | | Fayette County, PA Redevel. Authority (Fayette Crossing)1 | | | 7.000 | | | 09/01/2019 | | 2,853,468 |
| |
| | 570,000 | | | Harrisburg, PA Authority1 | | | 5.000 | | | 07/15/2024 | | 571,374 |
| |
| | 165,000 | | | Harrisburg, PA Authority | | | 5.000 | | | 07/15/2023 | | 165,421 |
| |
| | 50,000 | | | Harrisburg, PA GO | | | 9.614 | 3 | | 09/15/2016 | | 48,990 |
| |
| | 40,000 | | | Harrisburg, PA GO | | | 9.600 | 3 | | 03/15/2016 | | 39,833 |
| |
| | 335,000 | | | Harrisburg, PA Water System1 | | | 5.000 | | | 07/15/2023 | | 336,387 |
| |
| | 6,370,000 | | | Horsham, PA Industrial and Commercial Devel. Authority (Pennsylvania LTC)1 | | | 6.000 | | | 12/01/2037 | | 6,669,008 |
| |
| | 225,000 | | | Jeanette, PA GO1 | | | 5.000 | | | 04/01/2018 | | 225,850 |
| |
| | 2,100,000 | | | Lackawanna County, PA GO1 | | | 6.000 | | | 09/15/2032 | | 2,418,969 |
| |
| | 12,305,000 | | | Lawrence County, PA IDA (Shenango Presbyterian Center)1 | | | 5.625 | | | 11/15/2037 | | 12,509,386 |
| |
| | 3,600,000 | | | Lehigh County, PA GPA (Kidspeace Obligated Group)1 | | | 6.000 | | | 11/01/2023 | | 3,600,216 |
| |
| | 1,236,835 | | | Lehigh County, PA GPA (Kidspeace Obligated Group)1 | | | 6.000 | | | 11/01/2018 | | 1,238,592 |
| |
| | 2,721,970 | | | Lehigh County, PA GPA (Kidspeace)4 | | | 7.500 | | | 02/01/2044 | | 27 |
| |
| | 2,747,774 | | | Lehigh County, PA GPA (Kidspeace)4 | | | 0.000 | 5 | | 02/01/2044 | | 720,164 |
| |
| | 3,568,592 | | | Lehigh County, PA GPA (Kidspeace/KC/KNCONY/KCH/KMAKNC/KNCONM / IRSch Obligated Group)1,6 | | | 7.500 | | | 02/01/2044 | | 3,546,681 |
| |
| | 500,000 | | | Luzerne County, PA GO1 | | | 7.000 | | | 11/01/2026 | | 582,655 |
| |
| | 1,600,000 | | | Luzerne County, PA GO1 | | | 6.750 | | | 11/01/2023 | | 1,867,136 |
| |
| | 5,000,000 | | | Luzerne County, PA IDA1 | | | 7.750 | | | 12/15/2027 | | 5,238,500 |
| |
| | 8,060,000 | | | Mifflin County, PA Hospital Authority (Lewiston Hospital/Lewiston Healthcare Foundation Obligated Group)1 | | | 5.125 | | | 07/01/2030 | | 8,495,321 |
| |
| | 1,390,000 | | | Millcreek, PA Richland Joint Authority1 | | | 5.500 | | | 08/01/2037 | | 1,436,204 |
| |
| | 595,000 | | | Millcreek, PA Richland Joint Authority1 | | | 5.250 | | | 08/01/2022 | | 624,447 |
| |
| | 20,915,000 | | | Montgomery County, PA IDA1 | | | 5.375 | | | 08/01/2038 | | 24,949,713 |
| |
| | 300,000 | | | Montgomery County, PA IDA (Philadelphia Presbyterian Homes)1 | | | 6.500 | | | 12/01/2025 | | 356,106 |
| |
| | 2,860,000 | | | Northampton County, PA General Purpose Authority (Moravian College)1 | | | 5.000 | | | 07/01/2031 | | 3,153,150 |
25 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | | | |
| |
| | $1,500,000 | | | Northampton County, PA IDA (Morningstar Senior Living)1 | | | 5.000 | % | | 07/01/2027 | | $ 1,592,895 |
| |
| | 662,533 | | | Northampton County, PA IDA (Northampton Generating)4,10 | | | 5.000 | | | 12/31/2023 | | 567,758 |
| |
| | 14,826,610 | | | Northampton County, PA IDA (Northampton Generating)4,10 | | | 5.000 | | | 12/31/2023 | | 12,665,928 |
| |
| | 1,470,000 | | | Northumberland County, PA IDA (NHS Youth Services)1,6 | | | 7.500 | | | 02/15/2029 | | 1,043,288 |
| |
| | 1,205,000 | | | Northumberland County, PA IDA (NHS Youth Services)1 | | | 5.500 | | | 02/15/2033 | | 1,091,212 |
| |
| | 3,185,000 | | | Northumberland County, PA IDA (NHS Youth Services)1,6 | | | 7.750 | | | 02/15/2029 | | 2,259,917 |
| |
| | 2,000,000 | | | PA Commonwealth Financing Authority1 | | | 5.000 | | | 06/01/2035 | | 2,286,820 |
| |
| | 16,000,000 | | | PA Commonwealth Financing Authority2 | | | 5.000 | | | 06/01/2032 | | 18,061,440 |
| |
| | 39,737,908 | | | PA EDFA (Bionol Clearfield)7 | | | 8.500 | | | 07/01/2015 | | 1,673,363 |
| |
| | 130,000 | | | PA EDFA (Fayette Thermal)1 | | | 5.250 | | | 12/01/2016 | | 130,074 |
| |
| | 35,000 | | | PA EDFA (Fayette Thermal)1 | | | 5.500 | | | 12/01/2021 | | 35,017 |
| |
| | 3,000,000 | | | PA EDFA (Forum)1 | | | 5.000 | | | 03/01/2029 | | 3,387,390 |
| |
| | 3,000,000 | | | PA EDFA (Philadelphia Biosolids Facility)1 | | | 6.250 | | | 01/01/2032 | | 3,328,830 |
| |
| | 1,025,000 | | | PA HEFA (Assoc. of Independent Colleges & Universities)1 | | | 5.125 | | | 05/01/2032 | | 1,054,735 |
| |
| | 55,000 | | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.800 | | | 09/01/2025 | | 55,141 |
| |
| | 145,000 | | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.750 | | | 09/01/2020 | | 145,432 |
| |
| | 100,000 | | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 5.000 | | | 07/01/2028 | | 100,056 |
| |
| | 3,115,000 | | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.750 | | | 09/01/2032 | | 3,118,676 |
| |
| | 1,245,000 | | | PA HEFA (Delaware Valley College of Science & Agriculture)1 | | | 5.000 | | | 11/01/2027 | | 1,320,161 |
| |
| | 535,000 | | | PA HEFA (Delaware Valley College of Science & Agriculture)1 | | | 5.000 | | | 11/01/2042 | | 556,363 |
| |
| | 10,000 | | | PA HEFA (Drexel University College of Medicine)1 | | | 5.000 | | | 05/01/2037 | | 10,608 |
| |
| | 3,500,000 | | | PA HEFA (Edinboro University Foundation)1 | | | 6.000 | | | 07/01/2043 | | 3,786,055 |
| |
| | 8,225,000 | | | PA HEFA (Edinboro University Foundation)1 | | | 6.000 | | | 07/01/2042 | | 8,626,215 |
| |
| | 9,000,000 | | | PA HEFA (Edinboro University Foundation)1 | | | 5.875 | | | 07/01/2038 | | 9,430,200 |
| |
| | 6,285,000 | | | PA HEFA (Edinboro University Foundation)1 | | | 5.750 | | | 07/01/2028 | | 6,600,130 |
| |
| | 3,000,000 | | | PA HEFA (Edinboro University Foundation)1 | | | 5.800 | | | 07/01/2030 | | 3,238,740 |
| |
| | 1,300,000 | | | PA HEFA (Gwynedd Mercy College)1 | | | 5.375 | | | 05/01/2042 | | 1,413,815 |
| |
| | 750,000 | | | PA HEFA (Indiana University Foundation)1 | | | 5.000 | | | 07/01/2041 | | 805,260 |
| |
| | 2,650,000 | | | PA HEFA (La Salle University)1 | | | 5.000 | | | 05/01/2029 | | 2,978,149 |
| |
| | 1,490,000 | | | PA HEFA (Marywood University)1 | | | 5.125 | | | 06/01/2029 | | 1,492,160 |
| |
| | 50,000 | | | PA HEFA (Pennsylvania State University) | | | 5.000 | | | 03/01/2022 | | 50,207 |
| |
| | 250,000 | | | PA HEFA (Philadelphia University)1 | | | 5.000 | | | 06/01/2035 | | 251,432 |
| |
| | 1,400,000 | | | PA HEFA (Shippensburg University Student Services)1 | | | 5.000 | | | 10/01/2035 | | 1,495,564 |
| |
| | 3,000,000 | | | PA HEFA (Shippensburg University)1 | | | 6.000 | | | 10/01/2031 | | 3,345,570 |
| |
| | 7,000,000 | | | PA HEFA (Shippensburg University)1 | | | 6.250 | | | 10/01/2043 | | 7,860,790 |
| |
| | 1,750,000 | | | PA HEFA (St. Francis University)1 | | | 6.000 | | | 11/01/2031 | | 1,983,257 |
26 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | |
Principal
Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | |
| |
| | $2,250,000 | | | PA HEFA (St. Francis University)1 | | 6.250 % | | 11/01/2041 | | $ 2,571,480 |
| |
| | 100,000 | | | PA HEFA (Student Association)1 | | 6.750 | | 09/01/2023 | | 100,162 |
| |
| | 4,515,000 | | | PA HEFA (University of Pennsylvania Health System)1 | | 5.750 | | 08/15/2041 | | 5,331,763 |
| |
| | 3,050,000 | | | PA HEFA (University of the Arts)1 | | 5.625 | | 03/15/2025 | | 3,057,808 |
| |
| | 1,685,000 | | | PA HEFA (University of the Arts)1 | | 5.750 | | 03/15/2030 | | 1,688,758 |
| |
| | 60,000 | | | PA HEFA (University of the Arts)1 | | 5.500 | | 03/15/2020 | | 60,191 |
| |
| | 1,000,000 | | | PA HEFA (Ursinus College)1 | | 5.000 | | 01/01/2029 | | 1,116,960 |
| |
| | 1,000,000 | | | PA HEFA (Widener University)1 | | 5.000 | | 07/15/2038 | | 1,105,160 |
| |
| | 5,000,000 | | | PA Public School Building Authority (Harrisburg Area Community College)1 | | 5.000 | | 10/01/2031 | | 5,470,550 |
| |
| | 4,000,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | 5.000 | | 04/01/2028 | | 4,357,520 |
| |
| | 3,500,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | 5.000 | | 04/01/2027 | | 3,832,255 |
| |
| | 3,000,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | 5.000 | | 04/01/2029 | | 3,254,670 |
| |
| | 4,540,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | 5.000 | | 04/01/2032 | | 4,860,206 |
| |
| | 2,250,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | 5.000 | | 04/01/2031 | | 2,417,693 |
| |
| | 1,000,000 | | | PA Southcentral General Authority (Hanover Hospital)1 | | 5.000 | | 12/01/2029 | | 1,153,140 |
| |
| | 12,940,000 | | | PA Southcentral General Authority (Wellspan Health Obligated Group)2 | | 6.000 | | 06/01/2029 | | 14,421,859 |
| |
| | 3,680,000 | | | PA State Public School Building Authority (Philadelphia School District)1 | | 5.000 | | 06/01/2026 | | 4,216,544 |
| |
| | 2,000,000 | | | PA Turnpike Commission1 | | 5.000 | | 12/01/2032 | | 2,323,640 |
| |
| | 500,000 | | | PA Turnpike Commission1 | | 5.000 | | 12/01/2030 | | 600,720 |
| |
| | 5,000,000 | | | PA Turnpike Commission1 | | 5.500 5 | | 12/01/2034 | | 5,793,700 |
| |
| | 10,000,000 | | | PA Turnpike Commission1 | | 0.000 5 | | 12/01/2038 | | 11,716,300 |
| |
| | 1,000,000 | | | PA Turnpike Commission1 | | 5.000 | | 12/01/2031 | | 1,192,770 |
| |
| | 4,000,000 | | | PA Turnpike Commission1 | | 6.000 5 | | 12/01/2034 | | 4,742,920 |
| |
| | 3,750,000 | | | PA Turnpike Commission1 | | 5.000 | | 12/01/2040 | | 4,302,075 |
| |
| | 2,000,000 | | | PA West Shore Area Hospital Authority (Holy Spirit Hospital of the Sisters of Christian Charity)1 | | 5.625 | | 01/01/2032 | | 2,380,820 |
| |
| | 1,835,000 | | | PA West Shore Area Hospital Authority (Holy Spirit Hospital of the Sisters of Christian Charity)1 | | 6.500 | | 01/01/2041 | | 2,186,036 |
| |
| | 5,000,000 | | | Philadelphia, PA Airport1 | | 5.000 | | 06/15/2032 | | 5,242,650 |
| |
| | 2,500,000 | | | Philadelphia, PA Authority for Industrial Devel. (Architecture & Design Charter School)1 | | 6.125 | | 03/15/2043 | | 2,724,550 |
| |
| | 20,000 | | | Philadelphia, PA Authority for Industrial Devel. (Cathedral Village)1 | | 6.750 | | 04/01/2023 | | 20,047 |
| |
| | 185,000 | | | Philadelphia, PA Authority for Industrial Devel. (Cathedral Village)1 | | 6.875 | | 04/01/2034 | | 185,390 |
| |
| | 500,000 | | | Philadelphia, PA Authority for Industrial Devel. (Discovery Charter School)1 | | 6.250 | | 04/01/2042 | | 487,385 |
| |
| | 450,000 | | | Philadelphia, PA Authority for Industrial Devel. (Discovery Charter School)1 | | 5.875 | | 04/01/2032 | | 436,941 |
27 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | |
Principal
Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | |
| |
| | $500,000 | | | Philadelphia, PA Authority for Industrial Devel. (Global Leadership Academy)1 | | 6.375 % | | 11/15/2040 | | $ 536,975 |
| |
| | 1,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (Global Leadership Academy)1 | | 5.750 | | 11/15/2030 | | 1,052,850 |
| |
| | 4,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (International Apartments Temple University)1 | | 5.625 | | 06/15/2042 | | 4,318,480 |
| |
| | 2,040,000 | | | Philadelphia, PA Authority for Industrial Devel. (International Apartments Temple University)1 | | 5.375 | | 06/15/2030 | | 2,199,079 |
| |
| | 1,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (Marina Bracetti Academy)1 | | 7.625 | | 12/15/2041 | | 1,129,330 |
| |
| | 2,115,000 | | | Philadelphia, PA Authority for Industrial Devel. (Marina Bracetti Academy)1 | | 7.150 | | 12/15/2036 | | 2,344,181 |
| |
| | 1,500,000 | | | Philadelphia, PA Authority for Industrial Devel. (New Foundation Charter School)1 | | 6.625 | | 12/15/2041 | | 1,688,790 |
| |
| | 1,640,000 | | | Philadelphia, PA Authority for Industrial Devel. (Richard Allen Prep Charter School)1 | | 6.250 | | 05/01/2033 | | 1,644,986 |
| |
| | 1,350,000 | | | Philadelphia, PA Authority for Industrial Devel. (Stapeley Germantown)1 | | 5.125 | | 01/01/2021 | | 1,312,524 |
| |
| | 2,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (Tacony Academy Charter School)1 | | 6.750 | | 06/15/2033 | | 2,298,000 |
| |
| | 3,090,000 | | | Philadelphia, PA Authority for Industrial Devel. (Tacony Academy Charter School)1 | | 7.000 | | 06/15/2043 | | 3,572,318 |
| |
| | 140,000 | | | Philadelphia, PA Authority for Industrial Devel. Senior Living (GIH/PPAM)1 | | 5.125 | | 07/01/2016 | | 141,116 |
| |
| | 1,725,000 | | | Philadelphia, PA Authority for Industrial Devel. Senior Living (Miriam and Robert M. Rieder House)1 | | 6.100 | | 07/01/2033 | | 1,727,415 |
| |
| | 3,000,000 | | | Philadelphia, PA Authority for Industrial Devel. Senior Living (Presbyterian Homes
Germantown)1 | | 5.625 | | 07/01/2035 | | 3,063,810 |
| |
| | 6,260,000 | | | Philadelphia, PA GO1 | | 6.500 | | 08/01/2041 | | 7,462,734 |
| |
| | 890,000 | | | Philadelphia, PA H&HEFA (Centralized Comprehensive Human Services)1 | | 7.250 | | 01/01/2021 | | 893,186 |
| |
| | 250,000 | | | Philadelphia, PA Hsg. Authority1 | | 5.000 | | 12/01/2021 | | 252,798 |
| |
| | 1,000,000 | | | Philadelphia, PA Municipal Authority1 | | 6.500 | | 04/01/2034 | | 1,137,800 |
| |
| | 50,000 | | | Philadelphia, PA Parking Authority | | 5.125 | | 02/15/2018 | | 50,213 |
| |
| | 20,000 | | | Philadelphia, PA Parking Authority, Series A | | 5.250 | | 02/15/2029 | | 20,075 |
| |
| | 5,000 | | | Philadelphia, PA Redevel. Authority (Beech Student Hsg. Complex), Series A1 | | 5.500 | | 07/01/2035 | | 5,007 |
| |
| | 1,500,000 | | | Philadelphia, PA Redevel. Authority (Beech Student Hsg. Complex), Series A1 | | 5.625 | | 07/01/2028 | | 1,502,580 |
| |
| | 1,000,000 | | | Philadelphia, PA Redevel. Authority (Beech Student Hsg. Complex), Series A1 | | 5.625 | | 07/01/2023 | | 1,004,960 |
| |
| | 100,000 | | | Philadelphia, PA Redevel. Authority (Multifamily Hsg.)1,6 | | 5.450 | | 02/01/2023 | | 101,177 |
| |
| | 2,180,000 | | | Philadelphia, PA Redevel. Authority (Pavilion Apartments) | | 6.000 | | 10/01/2023 | | 2,184,513 |
| |
| | 4,100,000 | | | Philadelphia, PA Redevel. Authority (Pavilion Apartments)1 | | 6.250 | | 10/01/2032 | | 4,107,667 |
| |
| | 50,000 | | | Philadelphia, PA Redevel. Authority (Philadelphia Corp. for Aging)1 | | 5.250 | | 07/01/2031 | | 50,125 |
| |
| | 5,000 | | | Philadelphia, PA School District1 | | 6.000 | | 09/01/2038 | | 5,665 |
28 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Pennsylvania (Continued) | | | | | | |
| |
| | $45,000 | | | Philadelphia, PA School District1 | | 6.000 % | | 09/01/2038 | | $ 50,989 |
| |
| | 3,330,000 | | | Philadelphia, PA School District1 | | 6.000 | | 09/01/2038 | | 3,689,307 |
| |
| | 5,000 | | | Philadelphia, PA School District1 | | 6.000 | | 09/01/2038 | | 5,663 |
| |
| | 2,790,000 | | | Pittsburgh, PA Urban Redevel. Authority (Marian Plaza)1 | | 6.130 | | 01/20/2043 | | 2,923,641 |
| |
| | 2,895,000 | | | Reading, PA Hsg. Auth (Goggle Works Apts.)1 | | 5.875 | | 06/01/2052 | | 3,064,821 |
| |
| | 900,000 | | | Reading, PA Hsg. Auth (Goggle Works Apts.)1 | | 5.625 | | 06/01/2042 | | 944,928 |
| |
| | 10,000 | | | Schuylkill County, PA IDA (Ascension Health Credit Group)1 | | 5.000 | | 11/01/2019 | | 10,041 |
| |
| | 65,000 | | | Schuylkill County, PA IDA (Ascension Health Credit Group) | | 5.000 | | 11/01/2028 | | 65,250 |
| |
| | 10,000 | | | Schuylkill County, PA IDA (DOCNHS/BSVHS/WMHS Obligated Group) | | 5.000 | | 11/01/2028 | | 10,038 |
| |
| | 6,450,000 | | | Susquehanna, PA Area Regional Airport Authority1 | | 6.500 | | 01/01/2038 | | 6,842,934 |
| |
| | 7,100,000 | | | Washington County, PA Redevel. Authority (Victory Centre)1 | | 5.450 | | 07/01/2035 | | 7,205,151 |
| |
| | 10,000,000 | | | Wilkes-Barre, PA Finance Authority (Wilkes University)1 | | 5.000 | | 03/01/2037 | | 10,222,200 |
| | | | | | | | | | |
| | | | | | | | | | 543,560,524 |
| | | | | | | | | | | |
| |
| | U.S. Possessions—37.1% | | | | | | |
| | 700,000 | | | Guam Hsg. Corp. (Single Family Mtg.)1 | | 5.750 | | 09/01/2031 | | 762,034 |
| |
| | 235,000 | | | Guam Power Authority, Series A1 | | 5.000 | | 10/01/2024 | | 284,127 |
| |
| | 185,000 | | | Guam Power Authority, Series A1 | | 5.000 | | 10/01/2023 | | 222,929 |
| |
| | 420,000 | | | Guam Power Authority, Series A1 | | 5.000 | | 10/01/2030 | | 499,120 |
| |
| | 38,902,000 | | | Guam Tobacco Settlement Economic Devel. & Commerce Authority (TASC) | | 7.250 3 | | 06/01/2057 | | 748,474 |
| |
| | 320,000 | | | Northern Mariana Islands Commonwealth, Series A1 | | 5.000 | | 06/01/2017 | | 321,760 |
| |
| | 765,000 | | | Northern Mariana Islands Commonwealth, Series A1 | | 5.000 | | 10/01/2022 | | 753,364 |
| |
| | 1,395,000 | | | Northern Mariana Islands Ports Authority, Series A1 | | 6.250 | | 03/15/2028 | | 1,273,063 |
| |
| | 2,175,000 | | | Northern Mariana Islands Ports Authority, Series A1 | | 5.500 | | 03/15/2031 | | 2,025,751 |
| |
| | 1,025,000 | | | Northern Mariana Islands Ports Authority, Series A1 | | 6.600 | | 03/15/2028 | | 1,045,910 |
| |
| | 4,500,000 | | | Puerto Rico Aqueduct & Sewer Authority | | 6.125 5 | | 07/01/2024 | | 3,165,705 |
| |
| | 1,460,000 | | | Puerto Rico Aqueduct & Sewer Authority | | 5.750 | | 07/01/2037 | | 1,006,305 |
| |
| | 810,000 | | | Puerto Rico Aqueduct & Sewer Authority | | 5.250 | | 07/01/2029 | | 546,977 |
| |
| | 1,005,000 | | | Puerto Rico Aqueduct & Sewer Authority | | 6.000 | | 07/01/2047 | | 687,802 |
| |
| | 3,000,000 | | | Puerto Rico Aqueduct & Sewer Authority | | 5.125 | | 07/01/2037 | | 2,015,610 |
| |
| | 69,645,000 | | | Puerto Rico Children’s Trust Fund (TASC)1 | | 5.500 | | 05/15/2039 | | 69,955,617 |
| |
| | 313,320,000 | | | Puerto Rico Children’s Trust Fund (TASC) | | 6.602 3 | | 05/15/2050 | | 26,491,206 |
| |
| | 136,000,000 | | | Puerto Rico Children’s Trust Fund (TASC) | | 7.325 3 | | 05/15/2055 | | 3,990,240 |
| |
| | 1,817,000,000 | | | Puerto Rico Children’s Trust Fund (TASC) | | 7.625 3 | | 05/15/2057 | | 31,306,910 |
| |
| | 42,105,000 | | | Puerto Rico Children’s Trust Fund (TASC)1 | | 5.625 | | 05/15/2043 | | 42,177,421 |
| |
| | 3,000,000 | | | Puerto Rico Commonwealth GO | | 5.750 | | 07/01/2041 | | 1,902,420 |
| |
| | 5,000,000 | | | Puerto Rico Commonwealth GO | | 5.500 | | 07/01/2026 | | 3,156,250 |
| |
| | 7,360,000 | | | Puerto Rico Commonwealth GO | | 5.500 | | 07/01/2039 | | 4,649,312 |
| |
| | 9,000,000 | | | Puerto Rico Commonwealth GO | | 5.750 | | 07/01/2036 | | 5,707,620 |
| |
| | 15,000 | | | Puerto Rico Commonwealth GO1 | | 6.000 | | 07/01/2027 | | 15,292 |
| |
| | 2,000,000 | | | Puerto Rico Commonwealth GO | | 5.000 | | 07/01/2020 | | 1,270,180 |
| |
| | 11,500,000 | | | Puerto Rico Commonwealth GO | | 8.000 | | 07/01/2035 | | 8,253,780 |
| |
| | 790,000 | | | Puerto Rico Commonwealth GO | | 6.000 | | 07/01/2028 | | 502,622 |
29 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | |
Principal
Amount | | | | | Coupon | | Maturity | | Value |
| |
| | U.S. Possessions (Continued) | | | | | | |
| |
| | $2,500,000 | | | Puerto Rico Commonwealth GO | | 5.375 % | | 07/01/2033 | | $ 1,575,525 |
| |
| | 3,000,000 | | | Puerto Rico Commonwealth GO | | 5.125 | | 07/01/2028 | | 1,890,240 |
| |
| | 3,000,000 | | | Puerto Rico Electric Power Authority, Series A8 | | 6.750 | | 07/01/2036 | | 1,774,260 |
| |
| | 3,325,000 | | | Puerto Rico Electric Power Authority, Series A8 | | 5.000 | | 07/01/2042 | | 1,959,156 |
| |
| | 4,920,000 | | | Puerto Rico Electric Power Authority, Series A8 | | 5.000 | | 07/01/2029 | | 2,900,586 |
| |
| | 1,760,000 | | | Puerto Rico Electric Power Authority, Series AAA8 | | 5.250 | | 07/01/2030 | | 1,037,344 |
| |
| | 5,540,000 | | | Puerto Rico Electric Power Authority, Series AAA8 | | 5.250 | | 07/01/2027 | | 3,266,218 |
| |
| | 1,510,000 | | | Puerto Rico Electric Power Authority, Series AAA8 | | 5.250 | | 07/01/2025 | | 890,568 |
| |
| | 1,435,000 | | | Puerto Rico Electric Power Authority, Series AAA8 | | 5.250 | | 07/01/2024 | | 846,593 |
| |
| | 3,505,000 | | | Puerto Rico Electric Power Authority, Series AAA8 | | 5.250 | | 07/01/2031 | | 2,065,812 |
| |
| | 3,000,000 | | | Puerto Rico Electric Power Authority, Series CCC8 | | 5.250 | | 07/01/2027 | | 1,768,710 |
| |
| | 6,000,000 | | | Puerto Rico Electric Power Authority, Series SS | | 5.000 | | 07/01/2025 | | 5,900,280 |
| |
| | 1,450,000 | | | Puerto Rico Electric Power Authority, Series TT8 | | 5.000 | | 07/01/2032 | | 854,717 |
| |
| | 1,670,000 | | | Puerto Rico Electric Power Authority, Series WW8 | | 5.000 | | 07/01/2028 | | 984,465 |
| |
| | 2,445,000 | | | Puerto Rico Electric Power Authority, Series XX8 | | 5.250 | | 07/01/2040 | | 1,440,667 |
| |
| | 725,000 | | | Puerto Rico Electric Power Authority, Series ZZ8 | | 5.000 | | 07/01/2022 | | 428,112 |
| |
| | 1,000,000 | | | Puerto Rico Highway & Transportation Authority | | 5.300 | | 07/01/2035 | | 658,820 |
| |
| | 10,000 | | | Puerto Rico Highway & Transportation Authority, Series A | | 5.000 | | 07/01/2038 | | 2,209 |
| |
| | 325,000 | | | Puerto Rico Highway & Transportation Authority, Series H | | 5.000 | | 07/01/2028 | | 72,826 |
| |
| | 700,000 | | | Puerto Rico Highway & Transportation Authority, Series N | | 5.250 | | 07/01/2039 | | 294,707 |
| |
| | 270,000 | | | Puerto Rico Infrastructure4 | | 5.000 | | 07/01/2041 | | 33,750 |
| |
| | 1,750,000 | | | Puerto Rico Infrastructure | | 6.400 3 | | 07/01/2043 | | 251,895 |
| |
| | 1,400,000 | | | Puerto Rico Infrastructure (Mepsi Campus)1 | | 6.500 | | 10/01/2037 | | 716,128 |
| |
| | 185,000 | | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | 5.375 | | 04/01/2042 | | 159,794 |
| |
| | 200,000 | | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | 5.000 | | 04/01/2027 | | 178,022 |
| |
| | 1,250,000 | | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | 5.000 | | 03/01/2036 | | 1,054,875 |
| |
| | 125,000 | | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | 5.125 | | 04/01/2032 | | 108,621 |
| |
| | 360,000 | | | Puerto Rico ITEMECF (IEP/HESL/HECR Obligated Group) | | 5.750 | | 06/01/2019 | | 115,196 |
| |
| | 1,500,000 | | | Puerto Rico Public Buildings Authority | | 6.500 | | 07/01/2030 | | 895,230 |
| |
| | 1,265,000 | | | Puerto Rico Public Buildings Authority | | 6.000 | | 07/01/2019 | | 749,867 |
| |
| | 3,000,000 | | | Puerto Rico Public Buildings Authority | | 5.750 9 | | 07/01/2034 | | 2,241,570 |
| |
| | 1,000,000 | | | Puerto Rico Public Buildings Authority | | 6.750 | | 07/01/2036 | | 599,560 |
| |
| | 115,000 | | | Puerto Rico Public Buildings Authority | | 6.250 | | 07/01/2023 | | 69,481 |
| |
| | 2,070,000 | | | Puerto Rico Public Buildings Authority | | 6.000 | | 07/01/2041 | | 1,177,105 |
| |
| | 1,015,000 | | | Puerto Rico Public Buildings Authority, Series D | | 5.250 | | 07/01/2036 | | 553,195 |
| |
| | 5,725,000 | | | Puerto Rico Public Finance Corp., Series B7 | | 5.500 | | 08/01/2031 | | 844,438 |
| |
| | 7,385,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 5.500 | | 08/01/2037 | | 2,829,710 |
| |
| | 30,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 7.280 3 | | 08/01/2034 | | 3,213,000 |
| |
| | 950,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 5.500 | | 08/01/2042 | | 364,021 |
| |
| | 3,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 5.375 | | 08/01/2039 | | 1,145,850 |
| |
| | 5,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 5.750 | | 08/01/2037 | | 1,928,300 |
| |
| | 5,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 6.375 | | 08/01/2039 | | 1,959,350 |
| |
| | 3,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | 6.500 | | 08/01/2044 | | 1,179,330 |
| |
| | 18,015,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | 6.380 3 | | 08/01/2038 | | 1,585,320 |
| |
| | 5,500,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | 6.000 | | 08/01/2039 | | 2,134,770 |
| |
| | 2,170,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | 6.000 | | 08/01/2042 | | 842,264 |
30 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | | Maturity | | Value |
| |
| | U.S. Possessions (Continued) | | | | | | | | |
| |
| | $22,130,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | 5.750 % | | | | 08/01/2057 | | $ 14,231,803 |
| |
| | 3,235,000 | | | University of Puerto Rico, Series P | | 5.000 | | | | 06/01/2030 | | 1,238,261 |
| |
| | 1,300,000 | | | University of Puerto Rico, Series Q | | 5.000 | | | | 06/01/2030 | | 497,601 |
| |
| | 17,450,000 | | | V.I. Tobacco Settlement Financing Corp. | | 6.250 3 | | | | 05/15/2035 | | 2,550,143 |
| |
| | 7,000,000 | | | V.I. Tobacco Settlement Financing Corp. | | 7.625 3 | | | | 05/15/2035 | | 600,180 |
| |
| | 4,150,000 | | | V.I. Tobacco Settlement Financing Corp. | | 6.875 3 | | | | 05/15/2035 | | 496,755 |
| |
| | 2,195,000 | | | V.I. Tobacco Settlement Financing Corp. | | 6.500 3 | | | | 05/15/2035 | | 287,369 |
| |
| | 2,235,000 | | | V.I. Tobacco Settlement Financing Corp. (TASC)1 | | 5.000 | | | | 05/15/2031 | | 2,235,492 |
| |
| | 20,000 | | | V.I. Tobacco Settlement Financing Corp. (TASC)1 | | 5.000 | | | | 05/15/2021 | | 20,006 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 294,437,868 |
| | | | | | | | | | | | | |
| |
| | Total Investments, at Value (Cost $963,458,954)—105.5% | | | | | | | | 837,998,392 |
| |
| | Net Other Assets (Liabilities)—(5.5) | | | | | | | | (43,605,733) |
| | | | | | | | | | | | |
| | Net Assets—100.0% | | | | | | | | $ 794,392,659 |
| | | | | | | | | | | | |
Footnotes to Statement of Investments
*January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
1. All or a portion of the security position has been segregated for collateral to cover borrowings. See Note 9 of the accompanying Notes.
2. Security represents the underlying municipal bond with respect to an inverse floating rate security held by the Fund. The bond was purchased by the Fund and subsequently transferred to a trust, which issued the related inverse floating rate security. See Note 4 of the accompanying Notes.
3. Zero coupon bond reflects effective yield on the date of purchase.
4. This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the contractual interest rate.
5. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
7. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
8. Subject to a forbearance agreement. Rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
9. Represents the current interest rate for a variable or increasing rate security.
10. Interest or dividend is paid-in-kind, when applicable.
To simplify the listings of securities, abbreviations are used per the table below:
| | |
| ARC | | Assoc. of Retarded Citizens |
| BSVHS | | Baptist/St. Vincent’s Health System |
| DOCNHS | | Daughters of Charity National Health Systems |
| EDFA | | Economic Devel. Finance Authority |
| GIH | | Germantown Interfaith Housing |
| GO | | General Obligation |
| GPA | | General Purpose Authority |
| H&EFA | | Health and Educational Facilities Authority |
| H&HEFA | | Hospitals and Higher Education Facilities Authority |
| HDA | | Hospital Devel. Authority |
31 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Abbreviations (Continued)
| | |
| HEBA | | Higher Education Building Authority |
| HECR | | Hospital Episcopal Cristo Redentor |
| HEFA | | Higher Education Facilities Authority |
| HESL | | Hospital Episcopal San Lucas |
| IDA | | Industrial Devel. Agency |
| IEP | | Iglesia Episcopal Puertorriquena |
| IRSch | | Iron Range School |
| ITEMECF | | Industrial, Tourist, Educational, Medical and Environmental Community Facilities |
| KC | | Kidspeace Corporation |
| KCH | | Kidspeace Childrens Hospital |
| KMAKNC | | Kidspeace Mesabi Academy |
| KNCONM | | Kidspeace National Centers of North America |
| KNCONY | | Kidspeace National Centers of New York |
| MAS | | Mercy Adult Services |
| MCMCSPA | | Mercy Catholic Medical Center of Southeastern Pennsylvania |
| MHH | | Mercy Haverford Foundation |
| MHP | | Mercy Health Plan |
| MHSSPA | | Mercy Health System of Southeastern Pennsylvania |
| PPAM | | Philadelphia Presbytery Apartments of Morrisville |
| RR | | Residential Resources |
| RRDC | | Residential Resources Devel. Corp. |
| RRSW | | Residential Resources Southwest |
| TASC | | Tobacco Settlement Asset-Backed Bonds |
| UPMC | | University of Pittsburgh Medical Center |
| V.I. | | United States Virgin Islands |
| WMHS | | Western Maryland Health Systems |
See accompanying Notes to Financial Statements.
32 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF ASSETS AND LIABILITIES January 29, 20161 Unaudited
| | | | |
| |
| Assets | | | | |
Investments, at value (cost $963,458,954)—see accompanying statement of investments | | $ | 837,998,392 | |
| |
Cash | | | 540,723 | |
| |
Receivables and other assets: | | | | |
Interest | | | 10,281,595 | |
Shares of beneficial interest sold | | | 279,166 | |
Investments sold on a when-issued or delayed delivery basis | | | 268,842 | |
Other | | | 163,007 | |
| | | | |
Total assets | | | 849,531,725 | |
| |
| Liabilities | | | | |
Payables and other liabilities: | | | | |
Payable for short-term floating rate notes issued (See Note 4) | | | 43,395,000 | |
Payable for borrowings (See Note 8) | | | 9,800,000 | |
Shares of beneficial interest redeemed | | | 1,000,926 | |
Dividends | | | 668,595 | |
Trustees’ compensation | | | 129,112 | |
Distribution and service plan fees | | | 97,392 | |
Shareholder communications | | | 4,691 | |
Interest expense on borrowings | | | 1,122 | |
Other | | | 42,228 | |
| | | | |
Total liabilities | | | 55,139,066 | |
| |
Net Assets | | $ | 794,392,659 | |
| | | | |
| | | | |
| |
| Composition of Net Assets | | | | |
Paid-in capital | | $ | 1,026,211,696 | |
| |
Accumulated net investment income | | | 11,964,058 | |
| |
Accumulated net realized loss on investments | | | (118,322,533) | |
| |
Net unrealized depreciation on investments | | | (125,460,562) | |
| | | | |
Net Assets | | $ | 794,392,659 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
33 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL 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 $538,115,613 and 51,370,573 shares of beneficial interest outstanding) | | $ | 10.48 | |
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 11.00 | |
| |
Class B Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $7,601,988 and 726,091 shares of beneficial interest outstanding) | | $ | 10.47 | |
| |
Class C Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $221,133,235 and 21,160,838 shares of beneficial interest outstanding) | | $ | 10.45 | |
| |
Class Y Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $27,541,823 and 2,628,047 shares of beneficial interest outstanding) | | $ | 10.48 | |
See accompanying Notes to Financial Statements.
34 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF OPERATIONS For the Six Months Ended January 29, 20161 Unaudited
| | | | |
| |
| Investment Income | | | | |
Interest | | $ | 26,995,964 | |
| |
| Expenses | | | | |
Management fees | | | 2,028,162 | |
| |
Distribution and service plan fees: | | | | |
Class A | | | 394,444 | |
Class B | | | 39,753 | |
Class C | | | 996,260 | |
| |
Transfer and shareholder servicing agent fees: | | | | |
Class A | | | 268,981 | |
Class B | | | 4,419 | |
Class C | | | 110,814 | |
Class Y | | | 14,049 | |
| |
Shareholder communications: | | | | |
Class A | | | 7,502 | |
Class B | | | 381 | |
Class C | | | 3,756 | |
Class Y | | | 353 | |
| |
Borrowing fees | | | 436,378 | |
| |
Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 292,030 | |
| |
Interest expense on borrowings | | | 10,879 | |
| |
Trustees’ compensation | | | 6,387 | |
| |
Custodian fees and expenses | | | 5,171 | |
| |
Other | | | 172,843 | |
| | | | |
Total expenses | | | 4,792,562 | |
| |
Net Investment Income | | | 22,203,402 | |
| |
| Realized and Unrealized Gain (Loss) | | | | |
Net realized gain on investments | | | 5,308,127 | |
| |
Net change in unrealized appreciation/depreciation on investments | | | (6,217,853) | |
| |
Net Increase in Net Assets Resulting from Operations | | $ | 21,293,676 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
35 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended
January 29, 20161
(Unaudited) | | | Year Ended
July 31, 2015 | |
| |
| Operations | | | | | | | | |
Net investment income | | $ | 22,203,402 | | | $ | 50,267,575 | |
| |
Net realized gain | | | 5,308,127 | | | | 7,737,755 | |
| |
Net change in unrealized appreciation/depreciation | | | (6,217,853) | | | | (348,069) | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 21,293,676 | | | | 57,657,261 | |
| |
| Dividends and/or Distributions to Shareholders | | | | | | | | |
Dividends from net investment income: | | | | | | | | |
Class A | | | (15,761,615) | | | | (33,610,451) | |
Class B | | | (225,249) | | | | (717,638) | |
Class C | | | (5,675,721) | | | | (11,894,471) | |
Class Y | | | (842,734) | | | | (1,779,180) | |
| | | | |
| | | (22,505,319) | | | | (48,001,740) | |
| |
| Beneficial Interest Transactions | | | | | | | | |
Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
Class A | | | (13,226,521) | | | | (41,348,855) | |
Class B | | | (3,469,709) | | | | (6,005,142) | |
Class C | | | (4,808,011) | | | | (12,518,925) | |
Class Y | | | (1,548,107) | | | | 2,584,679 | |
| | | | | | | | |
| | | (23,052,348) | | | | (57,288,243) | |
| |
| Net Assets | | | | | | | | |
Total decrease | | | (24,263,991) | | | | (47,632,722) | |
| |
Beginning of period | | | 818,656,650 | | | | 866,289,372 | |
| | | | | | | | |
End of period (including accumulated net investment income of $11,964,058 and $12,265,975, respectively) | | $ | 794,392,659 | | | $ | 818,656,650 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
36 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
STATEMENT OF CASH FLOWS For the Six Months Ended January 29, 20161 Unaudited
| | | | |
| |
| Cash Flows from Operating Activities | | | | |
| Net increase in net assets from operations | | $ | 21,293,676 | |
| |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | | | | |
Purchase of investment securities | | | (46,413,017) | |
Proceeds from disposition of investment securities | | | 109,173,711 | |
Short-term investment securities, net | | | 214,012 | |
Premium amortization | | | 835,909 | |
Discount accretion | | | (5,373,099) | |
Net realized gain on investments | | | (5,308,127) | |
Net change in unrealized appreciation/depreciation on investments | | | 6,217,853 | |
| Change in assets: | | | | |
Decrease in other assets | | | 40,672 | |
Decrease in interest receivable | | | 964,376 | |
Increase in receivable for securities sold | | | (72,770) | |
| Change in liabilities: | | | | |
Decrease in other liabilities | | | (128,442) | |
| | | | |
Net cash provided by operating activities | | | 81,444,754 | |
| |
| Cash Flows from Financing Activities | | | | |
| Proceeds from borrowings | | | 44,300,000 | |
| Payments on borrowings | | | (53,300,000) | |
| Payments on short-term floating rate notes issued | | | (26,410,000) | |
| Proceeds from shares sold | | | 38,187,466 | |
| Payments on shares redeemed | | | (80,883,383) | |
| Cash distributions paid | | | (3,423,673) | |
| | | | |
| Net cash used in financing activities | | | (81,529,590) | |
| |
| Net decrease in cash | | | (84,836) | |
| |
| Cash, beginning balance | | | 625,559 | |
| | | | |
| Cash, ending balance | | $ | 540,723 | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $19,101,698.
Cash paid for interest on borrowings—$13,344.
Cash paid for interest on short-term floating rate notes issued—$292,030.
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
37 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| Class A | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.49 | | $10.38 | | $10.53 | | $11.47 | | $10.60 | | $10.96 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.30 | | 0.63 | | 0.67 | | 0.61 | | 0.63 | | 0.69 |
| Net realized and unrealized gain (loss) | | 0.003 | | 0.09 | | (0.22) | | (0.94) | | 0.90 | | (0.39) |
| | |
| Total from investment operations | | 0.30 | | 0.72 | | 0.45 | | (0.33) | | 1.53 | | 0.30 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.31) | | (0.61) | | (0.60) | | (0.61) | | (0.66) | | (0.66) |
|
| Net asset value, end of period | | $10.48 | | $10.49 | | $10.38 | | $10.53 | | $11.47 | | $10.60 |
| | |
| | |
|
| Total Return, at Net Asset Value4 | | 2.85% | | 6.98% | | 4.57% | | (3.13)% | | 14.84% | | 2.98% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $538,116 | | $552,146 | | $586,870 | | $737,142 | | $795,924 | | $723,618 |
|
| Average net assets (in thousands) | | $540,988 | | $589,000 | | $624,096 | | $812,430 | | $752,625 | | $760,121 |
|
| Ratios to average net assets:5 | | | | | | | | | | | | |
| Net investment income | | 5.72% | | 5.93% | | 6.60% | | 5.32% | | 5.67% | | 6.50% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 0.80% | | 0.77% | | 0.76% | | 0.69% | | 0.70% | | 0.70% |
| Interest and fees from borrowings | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% | | 0.13% |
| Interest and fees on short-term floating rate notes issued6 | | 0.07% | | 0.07% | | 0.13% | | 0.11% | | 0.16% | | 0.20% |
| | |
| Total expenses | | 0.98% | | 0.95% | | 1.03% | | 0.89% | | 0.98% | | 1.03% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 0.98% | | 0.95% | | 1.03% | | 0.88% | | 0.97% | | 1.03% |
|
| Portfolio turnover rate | | 5% | | 12% | | 6% | | 10% | | 15% | | 16% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Less than $0.005 per share.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
38 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | | | |
| Class B | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.49 | | $10.37 | | $10.52 | | $11.47 | | $10.59 | | $10.95 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.26 | | 0.55 | | 0.59 | | 0.51 | | 0.54 | | 0.60 |
| Net realized and unrealized gain (loss) | | (0.01) | | 0.10 | | (0.22) | | (0.95) | | 0.91 | | (0.38) |
| | |
| Total from investment operations | | 0.25 | | 0.65 | | 0.37 | | (0.44) | | 1.45 | | 0.22 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.27) | | (0.53) | | (0.52) | | (0.51) | | (0.57) | | (0.58) |
|
| Net asset value, end of period | | $10.47 | | $10.49 | | $10.37 | | $10.52 | | $11.47 | | $10.59 |
| | |
| | |
|
| Total Return, at Net Asset Value3 | | 2.37% | | 6.27% | | 3.75% | | (4.03)% | | 14.02% | | 2.13% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $7,602 | | $11,078 | | $16,828 | | $26,479 | | $41,662 | | $48,569 |
|
| Average net assets (in thousands) | | $8,886 | | $14,523 | | $20,693 | | $35,453 | | $44,543 | | $57,201 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 5.00% | | 5.14% | | 5.82% | | 4.47% | | 4.86% | | 5.67% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 1.55% | | 1.53% | | 1.56% | | 1.53% | | 1.54% | | 1.53% |
| Interest and fees from borrowings | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% | | 0.13% |
| Interest and fees on short-term floating rate notes issued5 | | 0.07% | | 0.07% | | 0.13% | | 0.11% | | 0.16% | | 0.20% |
| | |
| Total expenses | | 1.73% | | 1.71% | | 1.83% | | 1.73% | | 1.82% | | 1.86% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.73% | | 1.71% | | 1.83% | | 1.72% | | 1.81% | | 1.86% |
|
| Portfolio turnover rate | | 5% | | 12% | | 6% | | 10% | | 15% | | 16% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
39 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Year Ended
July 29,
20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.47 | | $10.36 | | $10.51 | | $11.45 | | $10.58 | | $10.94 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.26 | | 0.55 | | 0.60 | | 0.52 | | 0.54 | | 0.61 |
| Net realized and unrealized gain (loss) | | (0.01) | | 0.09 | | (0.22) | | (0.94) | | 0.91 | | (0.39) |
| | |
| Total from investment operations | | 0.25 | | 0.64 | | 0.38 | | (0.42) | | 1.45 | | 0.22 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.27) | | (0.53) | | (0.53) | | (0.52) | | (0.58) | | (0.58) |
|
| Net asset value, end of period | | $10.45 | | $10.47 | | $10.36 | | $10.51 | | $11.45 | | $10.58 |
| | |
| | |
|
| Total Return, at Net Asset Value3 | | 2.38% | | 6.19% | | 3.79% | | (3.88)% | | 14.01% | | 2.20% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $221,133 | | $226,296 | | $236,269 | | $304,243 | | $332,380 | | $277,553 |
|
| Average net assets (in thousands) | | $222,869 | | $239,680 | | $255,808 | | $342,161 | | $302,122 | | $287,679 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 4.98% | | 5.17% | | 5.84% | | 4.55% | | 4.89% | | 5.74% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 1.54% | | 1.52% | | 1.52% | | 1.46% | | 1.46% | | 1.46% |
| Interest and fees from borrowings | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% | | 0.13% |
| Interest and fees on short-term floating rate notes issued5 | | 0.07% | | 0.07% | | 0.13% | | 0.11% | | 0.16% | | 0.20% |
| | |
| Total expenses | | 1.72% | | 1.70% | | 1.79% | | 1.66% | | 1.74% | | 1.79% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.72% | | 1.70% | | 1.79% | | 1.65% | | 1.73% | | 1.79% |
|
| Portfolio turnover rate | | 5% | | 12% | | 6% | | 10% | | 15% | | 16% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
40 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 29,
20161
(Unaudited) | | Year Ended
July 31,
2015 | | Year Ended
July 31,
2014 | | Year Ended
July 31,
2013 | | Year Ended
July 31,
2012 | | Period
Ended
July 29,
20111,2 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.50 | | $10.38 | | $10.53 | | $11.48 | | $10.60 | | $10.68 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income3 | | 0.31 | | 0.65 | | 0.69 | | 0.62 | | 0.64 | | 0.44 |
| Net realized and unrealized gain (loss) | | (0.02) | | 0.10 | | (0.22) | | (0.94) | | 0.92 | | (0.07) |
| | |
| Total from investment operations | | 0.29 | | 0.75 | | 0.47 | | (0.32) | | 1.56 | | 0.37 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.31) | | (0.63) | | (0.62) | | (0.63) | | (0.68) | | (0.45) |
|
| Net asset value, end of period | | $10.48 | | $10.50 | | $10.38 | | $10.53 | | $11.48 | | $10.60 |
| | |
| | |
|
| Total Return, at Net Asset Value4 | | 2.83% | | 7.23% | | 4.72% | | (3.08)% | | 15.09% | | 3.73% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $27,542 | | $29,137 | | $26,322 | | $32,754 | | $28,701 | | $12,171 |
|
| Average net assets (in thousands) | | $28,253 | | $30,378 | | $28,437 | | $34,321 | | $20,110 | | $4,849 |
|
| Ratios to average net assets:5 | | | | | | | | | | | | |
| Net investment income | | 5.87% | | 6.07% | | 6.75% | | 5.46% | | 5.70% | | 6.23% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 0.65% | | 0.62% | | 0.62% | | 0.55% | | 0.56% | | 0.57% |
| Interest and fees from borrowings | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% | | 0.13% |
| Interest and fees on short-term floating rate notes issued6 | | 0.07% | | 0.07% | | 0.13% | | 0.11% | | 0.16% | | 0.20% |
| | |
| Total expenses | | 0.83% | | 0.80% | | 0.89% | | 0.75% | | 0.84% | | 0.90% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 0.83% | | 0.80% | | 0.89% | | 0.74% | | 0.83% | | 0.90% |
|
| Portfolio turnover rate | | 5% | | 12% | | 6% | | 10% | | 15% | | 16% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. For the period from November 29, 2010 (inception of offering) to July 29, 2011.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Interest and fee expense relates to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate security transactions.
See accompanying Notes to Financial Statements.
41 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS January 29, 2016 Unaudited
1. Organization
Oppenheimer Rochester Pennsylvania Municipal Fund (the “Fund”) is a separate series of Oppenheimer Multi-State Municipal Trust, a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek tax-free income. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B and C shares have separate distribution and/or service plans under which they pay fees. Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
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.
42 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. 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.
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 overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends.
During the fiscal year ended July 31, 2015, the Fund utilized $7,963,395 of capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended July 31, 2015 capital loss carryforwards are included in the table below. Capital loss
43 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
| |
2016 | | $ | 1,143,881 | |
2017 | | | 48,870,545 | |
2018 | | | 43,078,455 | |
No expiration | | | 29,479,192 | |
| | | | |
Total | | $ | 122,572,073 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $93,092,881 expiring by 2018 and $24,171,065, which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will utilize $5,308,127 of capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| | | | |
Federal tax cost of securities | | $ | 921,011,746 1 | |
| | | | |
Gross unrealized appreciation | | $ | 47,040,125 | |
Gross unrealized depreciation | | | (172,500,687) | |
| | | | |
Net unrealized depreciation | | $ | (125,460,562) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $42,447,208, which has otherwise been recognized for financial reporting purposes, related to bonds placed into trusts in conjunction with certain investment transactions. See the Inverse Floating Rate Securities note in Note 4.
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the
44 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
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.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
45 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| | |
| Security Type | | Standard inputs generally considered by third-party pricing vendors |
|
| Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. |
|
| Loans | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
|
| Event-linked bonds | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of
46 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
3. Securities Valuation (Continued)
the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:
| | | | | | | | | | | | | | | | |
| | | Level 1—
Unadjusted
Quoted Prices | | | Level 2—
Other Significant
Observable Inputs | | | Level 3—
Significant
Unobservable
Inputs | | | Value | |
| |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
Pennsylvania | | $ | — | | | $ | 543,560,524 | | | $ | — | | | $ | 543,560,524 | |
U.S. Possessions | | | — | | | | 294,437,868 | | | | — | | | | 294,437,868 | |
| | | | |
Total Assets | | $ | — | | | $ | 837,998,392 | | | $ | — | | | $ | 837,998,392 | |
| | | | |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
47 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| | | | | | | | |
| | | Transfers into Level 2 | | | Transfers out of Level 3 | |
| |
Assets Table | | | | | | | | |
Investments, at Value: | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | |
Pennsylvania | | $ | 1,721,473 | | | $ | (1,721,473) | |
| | | | |
Total Assets | | $ | 1,721,473 | | | $ | (1,721,473) | |
| | | | |
* Transferred from Level 3 to Level 2 due to the availability of market data for this security.
4. Investments and Risks
Inverse Floating Rate Securities. The Fund invests in inverse floating rate securities that pay interest at a rate that varies inversely with short-term interest rates. Because inverse floating rate securities are leveraged instruments, the value of an inverse floating rate security will change more significantly in response to changes in interest rates and other market fluctuations than the market value of a conventional fixed-rate municipal security of similar maturity and credit quality, including the municipal bond underlying an inverse floating rate security.
An inverse floating rate security is created as part of a financial transaction referred to as a “tender option bond” transaction. In most cases, in a tender option bond transaction the Fund sells a fixed-rate municipal bond (the “underlying municipal bond”) to a trust (the “Trust”). The Trust then issues and sells short-term floating rate securities with a fixed principal amount representing a senior interest in the underlying municipal bond to third parties and a residual, subordinate interest in the underlying municipal bond (referred to as an “inverse floating rate security”) to the Fund. The interest rate on the short-term floating rate securities resets periodically, usually weekly, to a prevailing market rate and holders of these securities are granted the option to tender their securities back to the Trust for repurchase at their principal amount plus accrued interest thereon (the “purchase price”) periodically, usually daily or weekly. A remarketing agent for the Trust is required to attempt to re-sell any tendered short-term floating rate securities to new investors for the purchase price. If the remarketing agent is unable to successfully re-sell the tendered short-term floating rate securities, a liquidity provider to the Trust must contribute cash to the Trust to ensure that the tendering holders receive the purchase price of their securities on the repurchase date.
Because holders of the short-term floating rate securities are granted the right to tender their securities to the Trust for repurchase at frequent intervals for the purchase price, with such payment effectively guaranteed by the liquidity provider, the securities generally bear short-term rates of interest commensurate with money market instruments. When interest is paid on the underlying municipal bond to the Trust, such proceeds are first used to pay the Trust’s administrative expenses and accrued interest to holders of the short-term floating rate securities, with any remaining amounts being paid to the Fund, as the holder of the inverse floating rate security. Accordingly, the amount of such interest on the underlying municipal bond paid to the Fund is inversely related the rate of interest on the short-term floating rate
48 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
4. Investments and Risks (Continued)
securities. Additionally, because the principal amount of the short-term floating rate securities is fixed and is not adjusted in response to changes in the market value of the underlying municipal bond, any change in the market value of the underlying municipal bond is reflected entirely in a change to the value of the inverse floating rate security.
Typically, the terms of an inverse floating rate security grant certain rights to the Fund, as holder. For example, the Fund typically has the right upon request to require that the Trust compel a tender of the short-term floating rate securities to facilitate the Fund’s acquisition of the underlying municipal bond. Following such a request, the Fund pays the Trust the purchase price of the short-term floating rate securities and a specified portion of any market value gain on the underlying municipal bond since its deposit into the Trust, which the Trust uses to redeem the short-term floating rate securities. The Trust then distributes the underlying municipal bond to the Fund. Through the exercise of this right, the Fund can voluntarily terminate or “collapse” the Trust, terminate its investment in the related inverse floating rate security and obtain the underlying municipal bond. Additionally, the Fund also typically has the right to exchange with the Trust (i) a principal amount of short-term floating rate securities held by the Fund for a corresponding additional principal amount of the inverse floating rate security or (ii) a principal amount of the inverse floating rate security held by the Fund for a corresponding additional principal amount of short-term floating rate securities (which are typically then sold to other investors). Through the exercise of this right, the Fund may increase (or decrease) the principal amount of short-term floating rate securities outstanding, thereby increasing (or decreasing) the amount of leverage provided by the short-term floating rate securities to the Fund’s investment exposure to the underlying municipal bond.
The Fund’s investments in inverse floating rate securities involve certain risks. As short-term interest rates rise, an inverse floating rate security produces less current income (and, in extreme cases, may pay no income) and as short-term interest rates fall, an inverse floating rate security produces more current income. Thus, if short-term interest rates rise after the issuance of the inverse floating rate security, any yield advantage is reduced or eliminated. All inverse floating rate securities entail some degree of leverage represented by the outstanding principal amount of the related short-term floating rate securities, relative to the par value of the underlying municipal bond. The value of, and income earned on, an inverse floating rate security that has a higher degree of leverage will fluctuate more significantly in response to changes in interest rates and to changes in the market value of the related underlying municipal bond than that of an inverse floating rate security with a lower degree of leverage, and is more likely to be eliminated entirely under adverse market conditions. Changes in the value of an inverse floating rate security will also be more significant than changes in the market value of the related underlying municipal bond because the leverage provided by the related short-term floating rate securities increases the sensitivity of an inverse floating rate security to changes in interest rates and to the market value of the underlying municipal bond. An inverse floating rate security can be expected to underperform fixed-rate municipal bonds when the difference between long-term and short-term interest rates is decreasing (or is already small) or when long-term interest rates are rising, but can be expected to outperform fixed-rate municipal bonds when the difference between long-term and short-term
49 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
interest rates is increasing (or is already large) or when long-term interest rates are falling. Additionally, a tender option bond transaction typically provides for the automatic termination or “collapse” of a Trust upon the occurrence of certain adverse events, usually referred to as “mandatory tender events” or “tender option termination events.” These events may include, among others, a credit ratings downgrade of the underlying municipal bond below a specified level, a decrease in the market value of the underlying municipal bond below a specified amount, a bankruptcy of the liquidity provider or the inability of the remarketing agent to re-sell to new investors short-term floating rate securities that have been tendered for repurchase by holders thereof. Following the occurrence of such an event, the underlying municipal bond is generally sold for current market value and the proceeds distributed to holders of the short-term floating rate securities and inverse floating rate security, with the holder of the inverse floating rate security (the Fund) generally receiving the proceeds of such sale only after the holders of the short-term floating rate securities have received proceeds equal to the purchase price of their securities (and the liquidity provider is generally required to contribute cash to the Trust only in an amount sufficient to ensure that the holders of the short-term floating rate securities receive the purchase price of their securities in connection with such termination of the Trust). Following the occurrence of such events, the Fund could potentially lose the entire amount of its investment in the inverse floating rate security.
Finally, the Fund may enter into shortfall/reimbursement agreements with the liquidity provider of certain tender option bond transactions in connection with certain inverse floating rate securities held by the Fund. These agreements commit the Fund to reimburse the liquidity provider to the extent that the liquidity provider must provide cash to a Trust, including following the termination of a Trust resulting from the occurrence of a “mandatory tender event.” In connection with the occurrence of such an event and the termination of the Trust triggered thereby, the shortfall/reimbursement agreement will make the Fund liable for the amount of the negative difference, if any, between the liquidation value of the underlying municipal bond and the purchase price of the short-term floating rate securities issued by the Trust. Under the standard terms of a tender option bond transaction, absent such a shortfall/reimbursement agreement, the Fund, as holder of the inverse floating rate security, would not be required to make such a reimbursement payment to the liquidity provider. The Manager monitors the Fund’s potential exposure with respect to these agreements on a daily basis and intends to take action to terminate the Fund’s investment in related inverse floating rate securities, if it deems it appropriate to do so. At period end, the Fund’s maximum exposure under such agreements is estimated at $35,395,000
When the Fund creates an inverse floating rate security in a tender option bond transaction by selling an underlying municipal bond to a Trust, the transaction is considered a secured borrowing for financial reporting purposes. As a result of such accounting treatment, the Fund includes the underlying municipal bond on its Statement of Investments and as an asset on its Statement of Assets and Liabilities (but does not separately include the related inverse floating rate security on either). The Fund also includes a liability on its Statement of Assets and Liabilities equal to the outstanding principal amount and accrued interest on the related short-term floating rate securities issued by the Trust. Interest on the underlying municipal
50 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
4. Investments and Risks (Continued)
bond is recorded as investment income on the Fund’s Statement of Operations, while interest payable on the related short-term floating rate securities is recorded as interest expense. At period end, municipal bond holdings with a value of $71,742,785 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $43,395,000 in short-term floating rate securities issued and outstanding at that date.
At period end, the inverse floating rate securities associated with tender option bond transactions accounted for as secured borrowings were as follows:
| | | | | | | | | | | | | | | | |
Principal
Amount | | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity
Date | | | Value | |
| | |
| | $ 3,250,000 | | | Berks County, PA Municipal Authority Tender Option Bond Series 2015-XF2016 Trust3 | | | 17.225 % | | | | 11/1/31 | | | $ | 5,133,960 | |
| | 7,980,000 | | | Chester County, PA IDA (Water Facilities Authority) Tender Option Bond Series 2015- XF2128 Trust3 | | | 10.212 | | | | 2/1/41 | | | | 8,440,526 | |
| | 8,000,000 | | | PA Commonwealth Financing Authority Tender Option Bond Series 2015 XF-0026 Trust | | | 7.958 | | | | 6/1/32 | | | | 10,061,440 | |
| | 3,230,000 | | | PA Southcentral General Authority (Hanover Hospital) Tender Option Bond Series 2015- XF2131 Trust3 | | | 19.154 | | | | 6/1/29 | | | | 4,711,859 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 28,347,785 | |
| | | | | | | | | | | | | | | | |
1. For a list of abbreviations used in the Inverse Floater table see the Portfolio Abbreviations table at the end of the Statement of Investments.
2. Represents the current interest rate for the inverse floating rate security.
3. Represents an inverse floating rate security that is subject to a shortfall/reimbursement agreement.
The Fund may also purchase an inverse floating rate security created as part of a tender option bond transaction not initiated by the Fund when a third party, such as a municipal issuer or financial institution, transfers an underlying municipal bond to a Trust. For financial reporting purposes, the Fund includes the inverse floating rate security related to such transaction on its Statement of Investments and as an asset on its Statement of Assets and Liabilities, and interest on the security is recorded as investment income on the Fund’s Statement of Operations.
The Fund may invest in inverse floating rate securities with any degree of leverage (as measured by the outstanding principal amount of related short-term floating rate securities). However, the Fund may only expose up to 20% of its total assets to the effects of leverage from its investments in inverse floating rate securities. This limitation is measured by comparing the aggregate principal amount of the short-term floating rate securities that are related to the inverse floating rate securities held by the Fund to the total assets of the Fund. The Fund’s exposure to the effects of leverage from its investments in inverse floating rate securities amounts to $43,395,000 or 5.11% of its total assets at period end.
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
51 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
| | | | |
| | | When-Issued or Delayed Delivery Basis Transactions | |
| |
Sold securities | | | $268,842 | |
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest at period end is as follows:
| | | | |
Cost | | | $45,462,908 | |
Market Value | | | $2,517,801 | |
Market Value as % of Net Assets | | | 0.32% | |
The Fund has entered into forbearance agreements with certain obligors under which the Fund has agreed to temporarily forego receipt of the original principal or coupon interest rates. At period end, securities with an aggregate market value of $20,217,208, representing 2.54% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. There are certain risks arising from geographic concentration in any state, commonwealth or territory. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory may impair the ability of certain issuers of municipal securities to pay principal and interest on their obligations.
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the fund to various market risk factors:
52 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
5. Market Risk Factors (Continued)
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows
| | | | | | | | | | | | | | | | |
| | | Six Months Ended January 29, 20161 | | | Year Ended July 31, 2015 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class A | | | | | | | | | | | | | | | | |
Sold | | | 2,201,419 | | | $ | 23,121,069 | | | | 5,147,549 | | | $ | 55,004,856 | |
Dividends and/or distributions reinvested | | | 1,257,910 | | | | 13,210,068 | | | | 2,662,938 | | | | 28,399,350 | |
Redeemed | | | (4,718,510) | | | | (49,557,658) | | | | (11,746,596) | | | | (124,753,061) | |
| | | | |
Net decrease | | | (1,259,181) | | | $ | (13,226,521) | | | | (3,936,109) | | | $ | (41,348,85) | |
| | | | |
53 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Shares of Beneficial Interest (Continued)
| | | | | | | | | | | | | | | | |
| | | Six Months Ended January 29, 20161 | | | Year Ended July 31, 2015 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class B | | | | | | | | | | | | | | | | |
Sold | | | 1,019 | | | $ | 10,751 | | | | 24,857 | | | $ | 264,092 | |
Dividends and/or distributions reinvested | | | 19,194 | | | | 201,500 | | | | 61,008 | | | | 650,781 | |
Redeemed | | | (350,663) | | | | (3,681,960) | | | | (652,191) | | | | (6,920,015) | |
| | | | |
Net decrease | | | (330,450) | | | $ | (3,469,709) | | | | (566,326) | | | $ | (6,005,142) | |
| | | | |
| | | | | | | | | | | | | | | | |
| |
Class C | | | | | | | | | | | | | | | | |
Sold | | | 1,134,303 | | | $ | 11,884,108 | | | | 2,434,481 | | | $ | 25,934,993 | |
Dividends and/or distributions reinvested | | | 471,072 | | | | 4,936,726 | | | | 968,498 | | | | 10,307,580 | |
Redeemed | | | (2,065,064) | | | | (21,628,845) | | | | (4,605,581) | | | | (48,761,498) | |
| | | | |
Net decrease | | | (459,689) | | | $ | (4,808,011) | | | | (1,202,602) | | | $ | (12,518,925) | |
| | | | |
| | | | | | | | | | | | | | | | |
| |
Class Y | | | | | | | | | | | | | | | | |
Sold | | | 304,412 | | | $ | 3,200,954 | | | | 1,368,248 | | | $ | 14,592,950 | |
Dividends and/or distributions reinvested | | | 71,705 | | | | 753,404 | | | | 149,763 | | | | 1,598,420 | |
Redeemed | | | (524,245) | | | | (5,502,465) | | | | (1,278,028) | | | | (13,606,691) | |
| | | | |
Net increase (decrease) | | | (148,128) | | | $ | (1,548,107) | | | | 239,983 | | | $ | 2,584,679 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2.
7. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the reporting period were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
| |
Investment securities | | $ | 46,413,017 | | | $ | 109,173,711 | |
8. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
| | | | |
| Fee Schedule | | | |
| |
Up to $200 million | | | 0.60% | |
Next $100 million | | | 0.55 | |
Next $200 million | | | 0.50 | |
Next $250 million | | | 0.45 | |
Next $250 million | | | 0.40 | |
Next $4 billion | | | 0.35 | |
Over $5 billion | | | 0.33 | |
54 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
8. Fees and Other Transactions with Affiliates (Continued)
The Fund’s effective management fee for the reporting period was 0.50% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund has adopted an unfunded retirement plan (the “Plan”) for the Fund’s Independent Trustees. Benefits are based on years of service and fees paid to each Trustee during their period of service. The Plan was frozen with respect to adding new participants effective December 31, 2006 (the “Freeze Date”) and existing Plan Participants as of the Freeze Date will continue to receive accrued benefits under the Plan. Active Independent Trustees as of the Freeze Date have each elected a distribution method with respect to their benefits under the Plan. During the reporting period, the Fund’s projected benefit obligations, payments to retired Trustees and accumulated liability were as follows:
| | | | |
Projected Benefit Obligations Increased | | $ | — | |
Payments Made to Retired Trustees | | | 8,687 | |
Accumulated Liability as of January 29, 2016 | | | 59,812 | |
The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to
55 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
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 with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.15% of the daily 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 and Class C Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B and Class C shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.15% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
56 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
8. Fees and Other Transactions with Affiliates (Continued)
| | | | | | | | | | | | | | | | |
| Six Months Ended | | Class A
Front-End
Sales Charges
Retained by
Distributor | | | Class A
Contingent
Deferred Sales
Charges
Retained by
Distributor | | | Class B
Contingent
Deferred Sales
Charges
Retained by
Distributor | | | Class C Contingent Deferred Sales Charges Retained by Distributor | |
| |
January 29, 2016 | | | $55,901 | | | | $389 | | | | $17,203 | | | | $11,296 | |
9. Borrowings and Other Financing
Borrowings. The Fund can borrow money from banks in amounts up to one third of its total assets (including the amount borrowed) less all liabilities and indebtedness other than borrowings (meaning that the value of those assets must be at least 300% of the amount borrowed). The Fund can use those borrowings for investment-related purposes such as purchasing portfolio securities. The Fund also may borrow to meet redemption obligations or for temporary and emergency purposes. When the Fund invests borrowed money in portfolio securities, it is using a speculative investment technique known as leverage and changes in the value of the Fund’s investments will have a larger effect on its share price than if it did not borrow because of the effect of leverage.
The Fund can also use the borrowings for other investment-related purposes, including in connection with the Fund’s inverse floater investments as discussed in Note 4. The Fund may use the borrowings to reduce the leverage amount of, or unwind or “collapse” trusts that issued “inverse floaters” owned by the Fund, or in circumstances in which the Fund has entered into a shortfall and forbearance agreement with the sponsor of the inverse floater trust to meet the Fund’s obligation to reimburse the sponsor of the inverse floater for the difference between the liquidation value of the underlying bond and the amount due to holders of the short-term floating rate notes issued by the Trust. See the discussion in Note 4 (Inverse Floating Rate Securities) for additional information.
The Fund will pay interest and may pay other fees in connection with loans. If the Fund does borrow, it will be subject to greater expenses than funds that do not borrow. The interest on borrowed money and the other fees incurred in conjunction with loans are an expense that might reduce the Fund’s yield and return. Expenses incurred by the Fund with respect to interest on borrowings and commitment fees are disclosed separately or as other expenses on the Statement of Operations.
The Fund entered into a Revolving Credit and Security Agreement (the “Agreement”) with conduit lenders and Citibank N.A. which enables it to participate with certain other Oppenheimer funds in a committed, secured borrowing facility that permits borrowings of up to $2.5 billion, collectively, by the Oppenheimer Rochester Funds. To secure the loan, the Fund pledges investment securities in accordance with the terms of the Agreement. Securities held in collateralized accounts to cover these borrowings are noted in the Statement of Investments. Interest is charged to the Fund, based on its borrowings, at current commercial paper issuance rates (0.478% at period end). The Fund pays additional fees monthly to its
57 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Borrowings and Other Financing (Continued)
lender on its outstanding borrowings to manage and administer the facility and is allocated its pro-rata share of an annual structuring fee and ongoing commitment fees both of which are based on the total facility size. Total fees and interest that are included in expenses on the Fund’s Statement of Operations related to its participation in the borrowing facility during the reporting period equal 0.06% of the Fund’s average net assets on an annualized basis. The Fund has the right to prepay such loans and terminate its participation in the conduit loan facility at any time upon prior notice.
At period end, the Fund had no borrowings outstanding.
Details of the borrowings for the reporting period are as follows:
| | | | |
Average Daily Loan Balance | | $ | 7,989,674 | |
Average Daily Interest Rate | | | 0.301 | % |
Fees Paid | | $ | 188,946 | |
Interest Paid | | $ | 13,344 | |
Reverse Repurchase Agreements. The Fund may engage in reverse repurchase agreements. A reverse repurchase agreement is the sale of one or more securities to a counterparty at an agreed-upon purchase price with the simultaneous agreement to repurchase those securities on a future date at a higher repurchase price. The repurchase price represents the repayment of the purchase price and interest accrued thereon over the term of the repurchase agreement. The cash received by the Fund in connection with a reverse repurchase agreement may be used for investment-related purposes such as purchasing portfolio securities or for other purposes such as those described in the preceding “Borrowings” note.
The Fund entered into a Committed Repurchase Transaction Facility (the “Facility”) with J.P. Morgan Securities LLC (the “counterparty’) which enables it to participate with certain other Oppenheimer funds in a committed reverse repurchase agreement facility that permits aggregate outstanding reverse repurchase agreements of up to $750 million, collectively. Interest is charged to the Fund on the purchase price of outstanding reverse repurchase agreements at current LIBOR rates plus an applicable spread. The Fund is also allocated its pro-rata share of an annual structuring fee based on the total Facility size and ongoing commitment fees based on the total unused amount of the Facility. The Fund retains the economic exposure to fluctuations in the value of securities subject to reverse repurchase agreements under the Facility and therefore these transactions are considered secured borrowings for financial reporting purposes. The Fund also continues to receive the economic benefit of interest payments received on securities subject to reverse repurchase agreements, in the form of a direct payment from the counterparty. These payments are included in interest income on the Statement of Operations. Total fees and interest related to the Fund’s participation in the Facility during the reporting period are included in expenses on the Fund’s Statement of Operations and equal 0.05% of the Fund’s average net assets on an annualized basis.
The securities subject to reverse repurchase agreements under the Facility are valued on a daily basis. To the extent this value, after adjusting for certain margin requirements of the
58 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
9. Borrowings and Other Financing (Continued)
Facility, exceeds the cash proceeds received, the Fund may request the counterparty to return securities equal in margin value to this excess. To the extent that the cash proceeds received exceed the margin value of the securities subject to the transaction, the counterparty may request additional securities from the Fund. The Fund has the right to declare each Wednesday as the repurchase date for any outstanding reverse repurchase agreement upon delivery of advanced notification and may also recall any security subject to such a transaction by substituting eligible securities of equal or greater margin value according to the Facility’s terms.
The Fund executed no transactions under the Facility during the reporting period.
Details of reverse repurchase agreement transactions for the reporting period are as follows:
10. Pending Litigation
In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order and determined that the suit will proceed as a class action. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.
OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.
59 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Adviser, Sub-Adviser and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that
60 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
the Sub-Adviser has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Daniel Loughran, Scott Cottier, Troy Willis, Mark DeMitry, Michael Camarella, Charles Pulire and Elizabeth Mossow, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board also reviewed information, prepared by the Managers and by the independent consultant, comparing the Fund’s historical performance to relevant benchmarks or market indices and to the performance of other retail funds in the muni Pennsylvania category. The Board noted that the Fund’s one-year, three-year, five-year and ten-year performance was better than its category median.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Adviser. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail front-end load muni Pennsylvania funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fees and total expenses were equal to its peer group median and lower than its category median.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and
61 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through September 30, 2016. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
62 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
63 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over the last six months of the Fund’s reporting period, the table below details, on a per-share basis, the percentage of the Fund’s total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. Because the Fund is actively managed, the relative amount of the Fund’s total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.
For the most current information, please go to oppenheimerfunds.com. Select your Fund, then the ‘Detailed’ tab; where ‘Dividends’ are shown, the Fund’s latest pay date will be followed by the sources of any distribution, updated daily.
| | | | | | | | | | |
| Fund Name | | Pay Date | | | Net
Income | | Net Profit
from Sale | | Other
Capital
Sources |
Oppenheimer Rochester Pennsylvania Municipal Fund | | | 9/22/15 | | | 74.2% | | 25.8% | | 0.0% |
|
Oppenheimer Rochester Pennsylvania Municipal Fund | | | 10/27/15 | | | 90.8% | | 4.3% | | 4.9% |
|
Oppenheimer Rochester Pennsylvania Municipal Fund | | | 11/24/15 | | | 83.3% | | 8.9% | | 7.8% |
|
Oppenheimer Rochester Pennsylvania Municipal Fund | | | 1/26/16 | | | 68.4% | | 31.6% | | 0.0% |
|
64 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | |
Trustees and Officers | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee |
As of 3/1/16 | | Beth Ann Brown, Trustee |
| | Matthew P. Fink, Trustee |
| | Edmund P. Giambastiani, Jr., Trustee |
| | Elizabeth Krentzman, Trustee |
| | Mary F. Miller, Trustee |
| | Joel W. Motley, Trustee |
| | Joanne Pace, Trustee |
| | Daniel Vandivort, Trustee |
| | Arthur P. Steinmetz, Trustee, President and Principal Executive Officer |
| | Daniel G. Loughran, Vice President |
| | Scott S. Cottier, Vice President |
| | Troy E. Willis, Vice President |
| | Mark R. DeMitry, Vice President |
| | Michael L. Camarella, Vice President |
| | Charles S. Pulire, Vice President |
| | Richard Stein, Vice President |
| | Cynthia Lo Bessette, Secretary and Chief Legal Officer |
| | Jennifer Sexton, Vice President and Chief Business Officer |
| | Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money |
| | Laundering Officer |
| | Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer |
| |
Manager | | OFI Global Asset Management, Inc. |
| |
Sub-Adviser | | OppenheimerFunds, Inc. |
| |
Distributor | | OppenheimerFunds Distributor, Inc. |
| |
Transfer and Shareholder | | OFI Global Asset Management, Inc. |
Servicing Agent | | |
| |
Sub-Transfer Agent | | Shareholder Services, Inc. |
| | DBA OppenheimerFunds Services |
| |
Independent Registered | | KPMG LLP |
Public Accounting Firm | | |
| |
Legal Counsel | | Kramer Levin Naftalis & Frankel LLP |
| |
| | The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2016 OppenheimerFunds, Inc. All rights reserved.
65 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
PRIVACY POLICY NOTICE
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
| ● | | Applications or other forms |
| ● | | When you create a user ID and password for online account access |
| ● | | When you enroll in eDocs Direct, our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited |
| ● | | When you set up challenge questions to reset your password online |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
66 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
| ● | | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
| ● | | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
| ● | | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800 CALL OPP (800 225 5677) for 24-hr automated information and automated transactions. Representatives also available Mon–Fri 8am–8pm ET. | | |
Visit Us oppenheimerfunds.com Call Us 800 225 5677 Follow Us | | | | |
 | | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2016 OppenheimerFunds Distributor, Inc. All rights reserved. RS0740.001.0116 March 24, 2016 | | |
| | | | |
Semiannual Report | | 1/31/2016 | | |
| | | | |
| | | | | | |
| | Oppenheimer Rochester ® High Yield Municipal Fund | | | | |
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/29/16*
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Barclays Municipal Bond Index |
6-Month | | 5.82 % | | 0.79 % | | 3.66 % |
|
1-Year | | 3.07 | | -1.83 | | 2.71 |
|
5-Year | | 9.29 | | 8.23 | | 5.75 |
|
10-Year | | 1.59 | | 1.09 | | 4.81 |
|
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 4.75% maximum applicable sales charge except where “without sales charge” is indicated. Current performance may be lower or higher than the performance quoted. Returns for periods of less than one year are not annualized. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677).
Our Twitter handle is @RochesterFunds.
*January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements. Index returns are calculated through January 31, 2016.
2 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 14, 2016): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders:
On February 1, 2016, Puerto Rico made its debt-service payments on securities issued by the Puerto Rico Sales Tax Financing Corporation. The payment for these bonds, which are known as COFINAs, was 99% funded at the end of December and totaled approximately $322 million. The COFINAs are backed by the sales and use tax. The Municipal Finance Authority (MFA) also made its payments on February 1. As expected, the Puerto Rico Finance Corporation (PFC) defaulted on its February 1, 2016 payments.
Also on February 1, Puerto Rico proposed a voluntary “bond exchange” that it said would reduce its debt burden to $26.5 billion, from $49.2 billion. Under the proposal, creditors would exchange existing bonds for “base bonds” and “growth bonds.” Interest payments on the former would not begin until 2018, and payments on the latter would start a decade after the close of the exchange offer—but only if certain revenue levels have been achieved. Many market participants were critical of this proposal’s viability.
Officials from Puerto Rico appeared at a February 2, 2016 hearing of the U.S. House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs. The hearing included lengthy discussions about the benefits of establishing a federal control board to help the Commonwealth remedy its fiscal woes. Oppenheimer Rochester continues to believe that such a board would prove beneficial to the government and its authorities, to bondholders and to the people of Puerto Rico. Subcommittee members continued to press for audited financials from the Commonwealth.
Also in early February, the U.S. Supreme Court announced that it would hear arguments related to the validity of the Puerto Rico Public Corporation Debt and Recovery Act (“the Recovery Act”) on March 22.
On February 10, 2016, Sen. Orrin Hatch, chairman of the Senate Finance Committee, sent Gov. Alejandro Garcia Padilla a long list of questions and asked for a response by March 1. During a press conference on March 2, the governor said that his office was still working on its response, noting “I do not accept ultimatums from anyone.”
3 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
On February 16, 2016, Governor Padilla signed legislation related to the December 2015 debt-restructuring agreement between PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders. The deadline for submitting a rate proposal to the Commonwealth’s Energy Commission was extended to April 22, from March 1.
Also on February 16, Puerto Rico released draft financials for fiscal year 2014. Later in the month, the governor said he expected that year’s audited financials to be ready April 1. In his State of the Commonwealth speech on February 29, the governor chided those who have insisted on seeing the audited financials before agreeing to help Puerto Rico.
On February 24, 2016, OppenheimerFunds, Franklin Advisers and the First Puerto Rico Family of Funds sent a letter to the chairman of the Puerto Rico House Committee on Finance and Budget, Rafael “Tatito” Hernández Montañez, and Puerto Rico’s legislators. The letter addressed the rhetoric coming from the Commonwealth about plans to weaken the COFINA bond structure and protections. Details about the letter can be found at www.oppenheimerfunds.com/puerto_rico.
The next day, two more hearings were held at the U.S. House on developments in Puerto Rico.
In early March, The Bond Buyer reported that PRASA, the Commonwealth’s aqueduct and sewer authority, had created a contingency plan to use if it cannot access the credit markets. On March 10, the Puerto Rico House passed legislation that would allow PRASA to issue new debt and avoid a rate hike; the Puerto Rico Senate has yet to vote on the legislation, which includes several prerequisites.
On March 8, 2016, the governor agreed to postpone until June 1 a 6.5 percentage point increase in the Commonwealth’s business-to-business service tax. This decision is expected to delay Puerto Rico’s transition to a value-added tax, originally slated to begin April 1. Meanwhile, there are calls for the Commonwealth’s tax system to be overhauled.
Our team continues to be an active participant in negotiations with Puerto Rico officials. Shareholders should be confident that we will continue to work to protect our shareholders’ best interests.
4 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Fund Performance Discussion
Amid low interest rates during the 6-month reporting period that ended January 29, 2016, the last business day of this reporting period, Oppenheimer Rochester High Yield Municipal Fund provided a total return at net asset value (NAV) of 5.82% and generated high levels of tax-free income. The Fund’s Class A shares provided a distribution yield of 6.69% at NAV at the end of this reporting period. The Fund’s Class A shares were ranked first at the end of January in Lipper’s High Yield Municipal Debt Funds category for 12-month distribution yield, a calculation that compares fund yields for the trailing 12 months. The Fund also outperformed the Barclays Municipal Bond Index, its benchmark, by 216 basis points.
MARKET OVERVIEW
The Fed Funds target rate, the short-term interest rate set by the Federal Open Market Committee (FOMC), was increased to the range of 0.25% to 0.50% on December 16, 2015, seven years to the day after it had been reduced to the range of zero to 0.25%. The last increase – to 5.25% – was announced June 29, 2006. Despite ongoing concerns about low inflation due to decreasing oil prices and low import prices, the Fed cited steady job growth and a near-normal unemployment rate of 5% as reasons for the increase. In a statement following the December meeting, Fed officials said they expect the economy to
| | | | |
| | The average 12-month distribution yield in Lipper’s High Yield Municipal Debt Funds category was 3.81% at the end of this reporting period. At 6.69%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 288 basis points higher than the category average. | | |
warrant only “gradual increases” over the next few years, projecting that interest rates would rise one percentage point per year.
| | | | |
| | YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | |
| | Dividend Yield w/o sales charge | | 6.69% |
| | Dividend Yield with sales charge | | 6.37 |
| | Standardized Yield | | 5.96 |
| | Taxable Equivalent Yield | | 10.53 |
| | Last distribution (1/26/16) | | $0.039 |
| | Total distributions (8/1/15 to 1/31/16) | | $0.234 |
| | Endnotes for this discussion begin on page 17 of this report |
5 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Many market watchers had predicted the FOMC would raise the Fed Funds target rate at the September 2015 meeting, but the Fed decided otherwise. Citing “underutilization of labor resources and inflation continuing to run below the committee’s longer-run objective,” the Committee voted to keep the short-term rate at zero to 0.25%.
In a speech after the September meeting, Chairman Janet Yellen tried to quell the resulting market volatility saying, “It will likely be appropriate to raise the target range of the Federal Funds rate sometime later this year, and to continue boosting short-term rates at a gradual pace thereafter as the labor market improves further and inflation moves back to our 2% objective.”
While not definitive by any measure, the statement was more specific than earlier announcements from the Fed.
In November 2015, Ms. Yellen again indicated that the central bank would bump up rates slowly, a message that was repeated after the December 2015 increase. The Fed has suggested four rate hikes in 2016 but stressed that the recovery remains slow, and inflation is still feeble. “Rate increases could be faster or slower, based on economic data,” Fed officials said after the December meeting.
The Fed kept interest rates unchanged at the January 2016 meeting, but left open the possibility it could raise short-term rates when it reconvenes in March 2016. In a press release, the Fed indicated it was closely
monitoring the global economy and financial markets, noting that economic growth had slowed since late 2015 and inflation continued to run below the target 2% level.
We remind investors that a change in the Fed Funds rate does not automatically translate into a change in longer-term interest rates, which are determined by the marketplace.
On January 29, 2016, yields on high-grade municipal bonds at the short end of the yield curve were higher than they had been 6 months earlier. However, prices of longer-term, high-grade munis rallied during the same period, and their yields declined. No matter what the Fed does, this Fund’s investment team will seek to meet investors’ desires for competitive levels of tax-free income by searching for value in the muni market.
As of January 29, 2016, the average yield on 30-year, AAA-rated muni bonds was 2.79%, down 41 basis points from July 31, 2015. The average yield on 10-year, AAA-rated muni bonds was 1.81% on January 29, 2016, down 43 basis points from the July 2015 date, and the average yield on 1-year, AAA-rated muni bonds was 0.35%, up 7 basis points from the July 2015 date.
Successful investors, we have found, maintain a long-term perspective regardless of the specific developments associated with any given reporting period. To maximize the benefits that municipal bond funds seek to provide, many investors reinvest their
6 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
dividends and allow the income generated from their investments to compound over time.
FUND PERFORMANCE
Oppenheimer Rochester High Yield Municipal Fund held more than 1,040 securities as of January 29, 2016. The Fund was invested in a broad range of sectors, providing shareholders with a diversity of holdings that we believe would be difficult and costly to replicate in an individual portfolio.
Even as market conditions created pressure on the dividends of many fixed-income funds this reporting period, this Fund’s dividend trend demonstrated the power a yield-driven approach can have amid challenging market conditions. This Fund’s Class A dividend remained steady at 3.9 cents per share throughout this reporting period. In all, the Fund distributed 23.4 cents per Class A share this reporting period.
The tax-exempt status of the Fund’s distributions of net investment income was a boon to investors seeking competitive levels of tax-free income. For a taxable investment to have provided a greater benefit than an investment in this Fund, it would have had to yield more than 10.53%, based on the Fund’s standardized yield as of January 31, 2016, and the top federal income tax rates for 2015. As long-time investors know, yields on fixed-income funds rise when share prices fall, and yields have historically contributed the lion’s share of the long-term total returns generated by bonds.
Municipal bonds backed by proceeds from the tobacco Master Settlement Agreement (the MSA), the national litigation settlement with U.S. tobacco manufacturers, represented 23.5% of the Fund’s total assets (23.6% of net assets) at the end of this reporting period.
We believe the securities we hold in this sector are fundamentally sound credits, and we like that “tobacco bonds” can provide tax-exempt income for investors as well as benefits to the issuing states and territories. During this reporting period, our long-term view of the sector continued to be bullish and, given attractive valuations, we believe that it is likely we will continue to hold a greater percentage of tobacco bonds in our portfolios than our peers. As in prior reporting periods, the tobacco bonds this Fund held during this reporting period, including those issued in Puerto Rico, made all scheduled payments of interest and principal on time and in full.
Securities issued in the Commonwealth of Puerto Rico, which are exempt from federal, state and local income taxes, represented 12.0% of the Fund’s total assets (12.1% of net assets) at the end of this reporting period. Puerto Rico’s “tobacco bonds” are excluded from this figure, as they are backed by proceeds from the tobacco MSA and included in this Fund’s tobacco holdings. The Fund’s Puerto Rico holdings, some of which are insured, include general obligation (G.O.) debt – which is backed by the full faith and taxing authority of state and local governments – and securities from many different sectors.
7 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Most of the Fund’s investments in securities issued in Puerto Rico are supported by taxes and other revenues and are designed to help finance electric utilities, highways and education, among other things. At the beginning of 2016, the Commonwealth made virtually all of the nearly $1 billion in payments due. A full payment of $368 million was received to cover the debt-service obligations on Puerto Rico’s G.O. securities. PREPA (Puerto Rico’s electric utility authority) also made a full payment of $215 million.
Two authorities, the Puerto Rico Finance Corporation (PFC) and the Puerto Rico Infrastructure and Finance Authority (PRIFA), defaulted on $37 million. According to Gov. Alejandro García Padilla, these defaults were the result of the emergency measure he authorized to divert revenue and use it to ensure that other debt was paid in full. The Puerto Rican government decided not to make the PFC appropriation, and PRIFA revenues were subject to a “claw back.” Three bond insurers – Ambac, Assured Guaranty and FGIC – have sued the Commonwealth, arguing that the revenues should not have been diverted. On the last day of this reporting period, the Commonwealth filed a motion to dismiss the suits filed by Ambac and Assured Guaranty, which were joined.
Puerto Rico remained in the news throughout this reporting period. On August 21, 2015, the Commonwealth petitioned the U.S. Supreme Court to overturn a February 6, 2015 federal district court ruling that the Puerto Rico Public Corporation Debt Enforcement and Recovery
Act (the “Recovery Act”) violated the U.S. Constitution and was invalid. As you may recall, the Recovery Act was passed in late June 2014 and the Oppenheimer Rochester municipal bond funds filed suit immediately, challenging the legislation that was designed to allow PREPA, PRASA (Puerto Rico’s aqueduct and sewer authority) and PRHTA (its highway authority) to restructure their debt under the supervision of a Commonwealth court. Five months later, a federal appeals court unanimously affirmed the judge’s decision.
In its petition, the Commonwealth argued that Puerto Rico’s issuers should have the right to restructure their debt pursuant to the terms set forth in the Commonwealth’s Recovery Act. As bondholders, we see things differently: The Commonwealth and its issuers agreed to specific and carefully constructed bond covenants when they sold securities, and the contracts should be honored.
On December 4, 2015, the U.S. Supreme Court agreed to hear the Commonwealth’s appeal of the district court and appellate court decisions. Although we cannot guarantee that Oppenheimer Rochester will once again prevail, we continue to believe our legal arguments are strong and wish to assure shareholders that our team will always stand up for bondholders’ best interests. A Supreme Court ruling on the Commonwealth’s petition is expected in June 2016.
Throughout this reporting period, the market also reacted to developments related to the
8 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
The Rochester Portfolio Management Team
| | | | | | | | | | |
| |  | |  | |  | |  | | |
| | Dan Loughran, CFA Team Leader and Senior Portfolio Manager | | Scott Cottier, CFA Senior Portfolio Manager | | Troy Willis, JD, CFA Senior Portfolio Manager | | Mark DeMitry, CFA Senior Portfolio Manager | | |
| |  | |  | |  | | | | |
| | Michael Camarella, CFA Senior Portfolio Manager | | Charlie Pulire, CFA Senior Portfolio Manager | | Elizabeth Mossow, CFA Portfolio Manager | | | | |
forbearance agreement that was reached in August 2014 between PREPA and many of its creditors, including this Fund. In the agreement, which was extended several times beyond March 31, 2015, its initial expiration date, the bondholders agreed to forbear from exercising rights in connection with events that would constitute a default on PREPA bonds, and PREPA agreed to a variety of financial terms, to make its July 1, 2015 payment and to reach a comprehensive restructuring plan with its creditors by September 1, 2015.
The plan also seeks to reduce and/or restructure some of Puerto Rico’s debt. In a televised address, the governor said, “The plan itself will not get us out of the hole we find ourselves in. It’s time that creditors come to the table and share in the sacrifice.” We continue to believe that Puerto Rico must act within the tenets of the law, including its Constitution. Questions about the degree to which Puerto Rico and its agencies and authorities are committed to honoring their debt-service obligations continued to create
9 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
The Rochester Credit Research Team
| | | | | | | | |
| |  | |  | |  | |  |
| | Rich Stein, CFA Director of Credit Research | | Chris Weiler, CFA Senior Credit Analyst | | Bob Bertucci, CFA Senior Credit Analyst | | Angela Uttaro Senior Credit Analyst |
| |  | |  | |  | |  |
| | Matt Torpey, CFA Senior Credit Analyst | | René Vecka, CFA Senior Credit Analyst | | Jon Hagen, CFA Senior Credit Analyst | | Alen Kreso, CFA Senior Credit Analyst |
| |  | |  | |  | | |
| | Chris Meteyer, CFA Credit Analyst | | Clara Sanguinetti Senior Credit Analyst | | Chad Osterhout Credit Analyst | | |
10 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
significant pressure on the prices of their securities.
On September 1, 2015, PREPA and the forbearing bondholders reached an agreement in principle on the major financial terms of a securitization transaction to lower PREPA’s debt service costs. Although the proposed agreement would result in a reduction in the par value of PREPA’s existing bonds, we nevertheless believe the agreement – if implemented – will be a win for bondholders, PREPA and Puerto Ricans.
Investors should note that the new bond structure would be bankruptcy remote, which serves to protect bondholders from event risks; that the term sheet required that the new securitization bonds earn an investment-grade rating; that the deal requires approval by the Puerto Rico Legislature and high participation by all bondholders; and that insurers reach agreement with PREPA on the treatment of the insured bonds. If all goes as planned, bondholders will be further insulated from the risks and uncertainties related to any inefficiency in PREPA’s operations and will not incur the costs that would result from a lengthy and uncertain litigation process. While we expect that all parties will work toward a restructuring support agreement, we remind investors that there is no guarantee of either a timeline or implementation.
In December 2015, after gaining several extensions related to the debt-restructuring agreement, PREPA announced that it had
reached agreement with at least 70% of its creditors and its bond insurers.
PREPA and its forbearing bondholders, a group that includes the Oppenheimer Rochester funds, set a January 21, 2016 deadline for the Puerto Rico Legislature to approve legislation related to the debt-restructuring agreement. No vote was taken by that date, and PREPA asked for an extension to February 12.
The forbearing bondholders responded that the extension and a loan of $115 million were contingent on the approval of a surcharge for PREPA customers. After some back and forth, creditors agreed to provide $111 million of financing through the purchase of new bonds – half to be provided after the passage of the debt-restructuring legislation and the remainder after the securitization structure has been submitted to the Energy Commission for approval. PREPA accepted these terms and the deadline for the legislative vote was extended to February 16.
The Oppenheimer Rochester team has been an active participant in negotiations with Puerto Rico officials, and shareholders should be confident that we will continue to work to protect their best interests.
Meanwhile, in Washington, a December 1, 2015 hearing of the U.S. Senate Committee on the Judiciary, which is chaired by Sen. Chuck Grassley of Iowa, focused on Puerto Rico’s financial and economic circumstances. While Gov. Padilla pressed the senators to
11 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
consider giving the Commonwealth access to Chapter 9 bankruptcy and asserted that “we have no cash left,” Sen. Grassley was among those who chided the governor because audited financial statements had not been provided. Sen. Grassley, in line with other Republican senators challenged the governor, saying “Let’s not forget that Puerto Rico issued its bonds with the knowledge that Ch. 9 bankruptcy wasn’t an option in the event of a default.” At the end of this reporting period, Democratic lawmakers had not gained traction on their proposals to allow the Commonwealth and/or its authorities to file for Ch. 9 bankruptcy protection.
On December 9, 2015, three Republican senators – Orrin Hatch of Utah, Lisa Murkowski of Alaska and Sen. Grassley of Iowa – introduced the Puerto Rico Assistance Act of 2015. The bill would establish a new authority that could issue bonds and called for as much as $3 billion to help the Commonwealth stabilize its budget and debt, among other provisions. A week later, House Speaker Paul Ryan asked lawmakers to reach a “responsible solution” for Puerto Rico by March 31, 2016.
There was also talk in Congress of amending the omnibus spending bill to provide Puerto Rico access to Ch. 9, but the only measures included in the bill were related to Medicare funding and additional technical assistance from Treasury. Meanwhile, the Government Development Bank for Puerto Rico (GDB) put forth a plan calling for a “comprehensive
single transaction to be accomplished through a voluntary exchange offer.”
Politicians, including some candidates for the presidency, have voiced concerns about Puerto Rico, and we believe the situation will remain political in the near term. In fact, many of the recommendations would require action by the U.S. Congress and/or the Puerto Rico Legislature.
Our investment team will continue to monitor credit rating changes and other developments related to our Puerto Rico holdings closely. Investors should note that deterioration of the Puerto Rican economy could have an adverse impact on Puerto Rico bonds and the performance of the Oppenheimer Rochester municipal funds that hold them, including this Fund. Our team’s commitment to protecting the interests of our shareholders is unwavering.
Given the degree to which Oppenheimer Rochester funds have been cited in news coverage about the economic and fiscal challenges facing Puerto Rico, we feel compelled to remind investors that all fund investments are actively managed. Our team is responsive to the dynamics of the market and may choose to adjust trading strategies in the interest of maximizing the potential benefits to our shareholders. Further, while we remain committed to keeping investors informed about our basic investing strategies, we do not provide comment about near-term trading strategies as we believe doing so might allow
12 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
other market participants to impair our team’s ability to deliver shareholder value.
Please note: An important update on post-reporting-period developments that could have implications for the Fund’s Puerto Rico holdings can be found on page 3 of this report.
The Fund’s holdings in municipal bonds issued by utilities represented 9.3% of total assets (9.3% of net assets) at the end of this reporting period. This set of holdings included sewer utilities with 5.9% of total assets (5.9% of net assets), electric utilities with 2.5% of total assets (2.5% of net assets), water utilities with 0.8% of total assets (0.8% of net assets) and gas utilities at 0.1% of total assets (0.1% of net assets) as of January 29, 2016. Our holdings in these sectors consist of securities in the mid-range of the credit spectrum and include some issued by PREPA and PRASA.
As of January 29, 2016, the Fund remained invested in land development bonds, which are Special Assessment and, in some cases, Special Tax bonds that help finance the infrastructure needs of new real estate development. At the end of this reporting period, the Special Assessment and Special Tax sectors represented 9.1% and 2.7% of the Fund’s total assets (9.2% and 2.7% of net assets), respectively.
Overall, we believe that land development bonds have several appealing characteristics: the debt service payments securing these
bonds are on parity with real estate taxes and senior to mortgage payments, and assessments or taxes must be paid by whoever owns the land when the tax bill comes due. Additionally, we continue to believe that improvements in the housing market and the general economy could further strengthen the credit profiles of the Fund’s land development securities.
G.O. securities comprised 8.3% of total assets (8.4% of net assets) as of January 29, 2016. Within this sector, the Fund held bonds issued in various U.S. municipalities, the Northern Mariana Islands, and the Commonwealth of Puerto Rico at the end of this reporting period. While they have not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe, and many of our funds have overweight positions in these bonds relative to muni funds offered by other asset managers.
As of January 29, 2016, the Fund was invested in the hospital/healthcare sector, which represented 7.1% of total assets (7.1% of net assets). Most of the Fund’s holdings in this sector are investment grade, though the Fund also invests across the credit spectrum in this sector. Two of the hospital/healthcare bonds held by this Fund as of January 29, 2016 were issued in Puerto Rico.
The Fund remained invested in the adult living facilities sector, which represented 5.4% of the Fund’s total assets (5.5% of net assets) as of January 29, 2016. These bonds, which finance various projects at senior living
13 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
centers, tend to perform well in densely populated geographies with strong real estate values and in more rural areas with stable home prices.
The sales tax revenue sector represented 4.8% of the Fund’s total assets (4.8% of net assets) as of January 29, 2016. Debt-service payments on securities in this sector are paid using the issuing municipality’s sales tax revenue. Nearly all of the Fund’s holdings in this sector as of the end of this reporting period were issued in Puerto Rico.
The Fund’s airline holdings represented 4.0% of total assets (4.1% of net assets) as of January 29, 2016. Many of the Fund’s holdings in this sector are backed by a security interest in the airport terminal buildings or maintenance facilities whose construction they finance, and we believe that these bonds offer investors valuable collateral.
During this reporting period, the Fund maintained an investment in municipal inverse-floating rate securities, which are tax-exempt securities with interest payments that move inversely to changes in short-term interest rates. “Inverse floaters” continued to provide welcomed levels of tax-free income to funds across the industry during this reporting period. We continue to believe that “inverse floaters” are an essential element of this Fund’s portfolio because they can produce attractive yields under certain market conditions.
Our approach to municipal bond investing is flexible and responsive to market conditions. Shareholders should note that market conditions during this reporting period did not affect the Fund’s overall investment goals or cause it to pay any capital gain distributions. In closing, we believe that the Fund’s structure and sector composition as well as our time-tested strategies will continue to benefit fixed-income investors through interest rate and economic cycles.
INVESTMENT STRATEGY
The Rochester investment team focuses exclusively on municipal bonds and has consistently used a time-tested, value-oriented and security-specific approach to fund management. We know that market conditions can and do fluctuate, but we do not waver in our belief in the power of tax-free yield to help investors achieve their long-term objectives.
This high yield fund has neither a maturity cap nor a limit on below-investment-grade securities, or “junk” bonds.
Our team continually searches for bonds that we believe are undervalued and can provide a meaningful level of tax-free income until maturity. Rather than making allocation shifts based on expected market conditions, we search the marketplace for what we believe to be the best values for generating income. It remains important to note that we do not manage our funds based on predictions of interest rate changes.
14 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Instead, our investment approach involves scouring the market for municipal securities that meet our stringent credit criteria and buying bonds that we believe will deliver above-average yields relative to peer funds. We focus on identifying inefficiencies in market pricing that can lead to investment advantages. We seek to maintain a thoughtful mix of industry sectors, maturities and credit ratings in this Fund’s portfolio.
The Rochester team also prospects for yield-enhancing opportunities in the secondary market, often picking up odd lots that we believe can add significant incremental yield to our portfolios. We will also look for non-rated issues with solid credit qualities, which we believe can often help enhance a fund’s tax-free yield. Investors should note that non-rated or unrated securities may or may not be the equivalent of investment grade securities.
The Rochester Way, we believe, distinguishes our approach to municipal investing from those of our competitors.
|
| Daniel G. Loughran, |
| Senior Vice President, Senior Portfolio Manager and Team Leader, on behalf of the rest of the Rochester portfolio management team: Scott S. Cottier, Troy E. Willis, Mark R. DeMitry, Michael L. Camarella, Charles S. Pulire and Elizabeth S. Mossow. |
15 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Top Holdings and Allocations
TOP TEN CATEGORIES
| | |
Tobacco Master Settlement Agreement | | 23.5% |
Special Assessment | | 9.1 |
General Obligation | | 8.3 |
Hospital/Healthcare | | 7.1 |
Sewer Utilities | | 5.9 |
Adult Living Facilities | | 5.4 |
Sales Tax Revenue | | 4.8 |
Airlines | | 4.0 |
Tax Increment Financing (TIF) | | 3.4 |
Municipal Leases | | 2.7 |
Portfolio holdings and allocations are subject to change. Percentages are as of January 29, 2016, and are based on net assets. January 29, 2016 was the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes to Financial Statements.
CREDIT ALLOCATION*
| | | | | | | | | | | | |
| | | NRSRO-
Rated | | | Sub-
Adviser-
Rated | | | Total | |
AAA | | | 1.5% | | | | 1.0% | | | | 2.5% | |
AA | | | 12.5 | | | | 0.3 | | | | 12.8 | |
A | | | 5.0 | | | | 0.5 | | | | 5.5 | |
BBB | | | 8.5 | | | | 7.8 | | | | 16.3 | |
BB or lower | | | 37.6 | | | | 25.3 | | | | 62.9 | |
Total | | | 65.1% | | | | 34.9% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 29, 2016, and are subject to change. OppenheimerFunds, Inc. determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as Standard & Poor’s. For any security rated by an NRSRO other than S&P, the sub-adviser, OppenheimerFunds, Inc., converts that security’s rating to the equivalent S&P rating. If two or more NRSROs have assigned a rating to a security, the highest rating is used. For securities not rated by an NRSRO, the sub-adviser uses its own credit analysis to assign ratings in categories similar to those of S&P. The use of similar categories is not an indication that the sub-adviser’s credit analysis process is consistent or comparable with any NRSRO’s process were that NRSRO to rate the same security.
For the purposes of this Credit Allocation table, securities rated within the NRSROs’ four highest categories—AAA, AA, A and BBB—are investment-grade securities. For further details, please consult the Fund’s prospectus or Statement of Additional Information.
16 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Performance
DISTRIBUTION YIELDS
As of 1/29/16
| | | | |
| | | Without Sales Charge | | With Sales Charge |
Class A | | 6.69% | | 6.37% |
Class B | | 6.00 | | |
Class C | | 6.06 | | |
Class Y | | 6.81 | | |
STANDARDIZED YIELDS
For the 30 Days Ended 1/31/16
| | | | |
Class A | | 5.96% | | |
Class B | | 5.50 | | |
Class C | | 5.50 | | |
Class Y | | 6.41 | | |
TAXABLE EQUIVALENT YIELDS
| | | | |
As of 1/31/16 | | | | |
Class A | | 10.53% | | |
Class B | | 9.72 | | |
Class C | | 9.72 | | |
Class Y | | 11.33 | | |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/29/16
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Class A (ORNAX) | | | 10/1/93 | | | | 5.82 % | | | | 3.07 % | | | | 9.29 % | | | | 1.59 % | | | | 4.42 % | |
Class B (ORNBX) | | | 10/1/93 | | | | 5.40 | | | | 2.28 | | | | 8.42 | | | | 1.10 | | | | 4.21 | |
Class C (ORNCX) | | | 8/29/95 | | | | 5.45 | | | | 2.17 | | | | 8.43 | | | | 0.80 | | | | 3.70 | |
Class Y (ORNYX) | | | 11/29/10 | | | | 5.90 | | | | 3.08 | | | | 9.47 | | | | N/A | | | | 7.84 | |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/29/16 | |
| | | Inception
Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
Class A (ORNAX) | | | 10/1/93 | | | | 0.79 % | | | | -1.83 % | | | | 8.23 % | | | | 1.09 % | | | | 4.19 % | |
Class B (ORNBX) | | | 10/1/93 | | | | 0.40 | | | | -2.54 | | | | 8.13 | | | | 1.10 | | | | 4.21 | |
Class C (ORNCX) | | | 8/29/95 | | | | 4.45 | | | | 1.21 | | | | 8.43 | | | | 0.80 | | | | 3.70 | |
Class Y (ORNYX) | | | 11/29/10 | | | | 5.90 | | | | 3.08 | | | | 9.47 | | | | N/A | | | | 7.84 | |
Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investments. Returns for periods of less than one year are not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and
17 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
the applicable sales charge: for Class A shares, the current maximum initial sales charge of 4.75%; for Class B shares, the contingent deferred sales charge of 5% (1-year) and 2% (5-year); and for Class C, the contingent deferred sales charge of 1% for the 1-year period. There is no sales charge for Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion.
January 29, 2016 was the last business day of the Fund’s 6-month reporting period.
The Fund’s performance is compared to the performance of the Barclays Municipal Bond Index, an index of a broad range of investment-grade municipal bonds that is a measure of the general municipal bond market. Indices are unmanaged and cannot be purchased by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
Distribution yields for Class A shares are based on dividends of $0.039 for the 26-day accrual period ended January 26, 2016. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value on January 26, 2016; for the yield with sales charge, the denominator is the Class A maximum offering price on that date. Distribution yields for Class B, C and Y are annualized based on dividends of $0.0352, $0.0353 and $0.0397, respectively, for the 26-day accrual period ended January 26, 2016, and on the corresponding net asset values on that date.
Standardized yield is based on the Fund’s net investment income for the 30-day period ended January 31, 2016, and either that date’s maximum offering price (for Class A shares) or net asset value (for the other classes). Each result is compounded semiannually and annualized. Falling share prices artificially increase yields.
The average distribution yield in Lipper’s High Yield Municipal Debt Funds category was calculated based on the distributions and the final net asset values (NAVs) of the reporting period for the funds in each category. The 12-month distribution yield is the sum of a fund’s total trailing 12-month interest and dividend payments divided by the last month’s ending share price (at NAV) plus any capital gains distributed over the same period. The calculation included 150 NAVs, one for each class of each fund in the category; a fund can have up to 4 classes. Lipper yields do not include sales charges – which, if included, would reduce results.
Taxable equivalent yield is based on the standardized yield and the 2015 top federal tax rate of 43.4%. Calculations factor in the 3.8% tax on unearned income under the Patient Protection and Affordable Care Act, as applicable. A portion of the Fund’s distributions may be subject to tax; distributions may also increase an investor’s exposure to the alternative minimum tax. Capital gains distributions are taxable as capital gains. Tax treatments of the Fund’s distributions and capital gains may vary by state; investors should consult a tax advisor to determine if the Fund is appropriate for them. Each result is compounded semiannually and annualized. Falling share prices artificially increase yields. This Report must be preceded or accompanied by a Fund prospectus.
18 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
The average yields for AAA-rated municipal securities are provided by Municipal Market Advisors (MMA) and are based on its benchmark of general obligation bonds structured with a 5% coupon. The MMA 5% benchmark is constructed using yields from the leading underwriters, who represent a significant percentage of the primary activity of the top 10 underwriters and therefore the total issuance.
Investments in “tobacco bonds,” which are backed by the proceeds a state or territory receives from the 1998 national litigation settlement with tobacco manufacturers, may be vulnerable to economic and/or legislative events that affect issuers in a particular municipal market sector. Annual payments by MSA-participating manufacturers, for example, hinge on many factors, including annual domestic cigarette shipments, inflation and the relative market share of non-participating manufacturers. To date, we believe consumption figures remain within an acceptable range of the assumptions used to structure MSA bonds. Future MSA payments could be reduced if consumption were to fall more rapidly than originally forecast.
The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.
Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800.CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.
Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency and involve investment risks, including the possible loss of the principal amount invested.
19 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Fund Expenses
Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended January 29, 2016.
Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended January 29, 2016” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
20 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | |
Actual | | Beginning
Account Value
August 1, 2015 | | | Ending Account Value
January 29, 2016 | | | Expenses
Paid During
6 Months Ended
January 29, 2016 | | | |
Class A | | $ | 1,000.00 | | | $ | 1,058.20 | | | $ | 5.03 | | | |
Class B | | | 1,000.00 | | | | 1,054.00 | | | | 8.82 | | | |
Class C | | | 1,000.00 | | | | 1,054.50 | | | | 8.82 | | | |
Class Y | | | 1,000.00 | | | | 1,059.00 | | | | 4.25 | | | |
| | | | |
Hypothetical (5% return before expenses) | | | | | | | | | | | |
Class A | | | 1,000.00 | | | | 1,019.99 | | | | 4.93 | | | |
Class B | | | 1,000.00 | | | | 1,016.31 | | | | 8.66 | | | |
Class C | | | 1,000.00 | | | | 1,016.31 | | | | 8.66 | | | |
Class Y | | | 1,000.00 | | | | 1,020.74 | | | | 4.18 | | | |
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 funds, based on the 6-month period ended January 29, 2016 are as follows:
| | | | |
Class | | Expense Ratios | |
Class A | | | 0.98% | |
Class B | | | 1.72 | |
Class C | | | 1.72 | |
Class Y | | | 0.83 | |
The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.
21 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS January 29, 2016* Unaudited
| | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupon | | | Maturity | | | Value | |
| | |
| | Municipal Bonds and Notes—109.0% | |
| | Alabama—4.3% | | | | | | | | | | |
| | $50,050,000 | | | Jefferson County, AL Sewer | | | 0.000 | %1 | | 10/01/2050 | | $ | 36,161,125 | |
| | |
| | 30,230,000 | | | Jefferson County, AL Sewer | | | 7.000 | | | 10/01/2051 | | | 37,676,253 | |
| | |
| | 30,000,000 | | | Jefferson County, AL Sewer | | | 0.000 | 1 | | 10/01/2046 | | | 21,972,900 | |
| | |
| | 21,895,000 | | | Jefferson County, AL Sewer | | | 0.000 | 1 | | 10/01/2039 | | | 16,169,020 | |
| | |
| | 20,045,000 | | | Jefferson County, AL Sewer | | | 0.000 | 1 | | 10/01/2046 | | | 14,714,433 | |
| | |
| | 11,500,000 | | | Jefferson County, AL Sewer | | | 5.500 | | | 10/01/2053 | | | 13,077,800 | |
| | |
| | 59,250,000 | | | Jefferson County, AL Sewer | | | 6.500 | | | 10/01/2053 | | | 71,667,615 | |
| | |
| | 17,500,000 | | | Jefferson County, AL Sewer | | | 0.000 | 1 | | 10/01/2050 | | | 12,748,225 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 224,187,371 | |
| | | | | | | | | | | | | | | |
| | |
| | Alaska—0.3% | | | | | | | | | | |
| | 2,250,000 | | | AK Industrial Devel. & Export Authority (Anchorage Sportsplex/Grace Community Church Obligated Group)2 | | | 6.120 | | | 08/01/2031 | | | 536,850 | |
| | |
| | 1,650,000 | | | AK Industrial Devel. & Export Authority Community Provider (Boys & Girls Home)3 | | | 5.875 | | | 12/01/2027 | | | 453,816 | |
| | |
| | 500,000 | | | AK Industrial Devel. & Export Authority Community Provider (Boys & Girls Home)3 | | | 6.000 | | | 12/01/2036 | | | 137,520 | |
| | |
| | 31,850,000 | | | AK Northern Tobacco Securitization Corp. (TASC) | | | 6.125 | 4 | | 06/01/2046 | | | 1,037,992 | |
| | |
| | 20,860,000 | | | AK Northern Tobacco Securitization Corp. (TASC) | | | 6.375 | 4 | | 06/01/2046 | | | 647,494 | |
| | |
| | 10,350,000 | | | Koyukuk, AK (Tanana Chiefs Conference Health Care Facility) | | | 7.750 | | | 10/01/2041 | | | 11,855,407 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 14,669,079 | |
| | | | | | | | | | | | | | | |
| | |
| | Arizona—1.6% | | | | | | | | | | |
| | 4,309,000 | | | Buckeye, AZ Watson Road Community Facilities District | | | 6.000 | | | 07/01/2030 | | | 4,336,147 | |
| | |
| | 4,680,000 | | | East San Luis, AZ Community Facilities District Special Assessment (Area One)3 | | | 6.375 | | | 01/01/2028 | | | 2,340,140 | |
| | |
| | 140,000 | | | East San Luis, AZ Community Facilities District Special Assessment (Area Two)3 | | | 8.500 | | | 01/01/2028 | | | 25,673 | |
| | |
| | 335,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 6.125 | | | 07/15/2027 | | | 348,641 | |
| | |
| | 500,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 6.200 | | | 07/15/2032 | | | 519,190 | |
| | |
| | 305,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 5.450 | | | 07/15/2021 | | | 305,708 | |
| | |
| | 810,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 5.625 | | | 07/15/2025 | | | 811,498 | |
| | |
| | 900,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 5.800 | | | 07/15/2030 | | | 901,521 | |
| | |
| | 1,015,000 | | | Estrella Mountain Ranch, AZ Community Facilities District | | | 5.900 | | | 07/15/2022 | | | 1,062,390 | |
| | |
| | 1,208,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village) | | | 6.375 | | | 07/01/2022 | | | 1,235,228 | |
| | |
| | 3,956,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village) | | | 6.750 | | | 07/01/2032 | | | 4,012,808 | |
| | |
| | 393,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village) | | | 6.000 | | | 07/01/2017 | | | 405,403 | |
| | |
| | 1,000,000 | | | Glendale, AZ IDA (Midwestern University Foundation) | | | 5.000 | | | 07/01/2033 | | | 1,072,960 | |
22 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupon | | | Maturity | | | Value | |
| | |
| | Arizona (Continued) | | | | | | | | | | |
| | |
| | $1,870,000 | | | Maricopa County, AZ IDA (Immanuel Campus Care)3 | | | 8.500 | % | | 04/20/2041 | | $ | 746,579 | |
| | |
| | 294,000 | | | Merrill Ranch, AZ Community Facilities District No. 1 Special Assessment Lien | | | 5.250 | | | 07/01/2024 | | | 295,091 | |
| | |
| | 262,000 | | | Merrill Ranch, AZ Community Facilities District No. 2 Special Assessment Lien | | | 5.250 | | | 07/01/2024 | | | 263,850 | |
| | |
| | 641,000 | | | Merrill Ranch, AZ Community Facilities District No. 2 Special Assessment Lien | | | 5.300 | | | 07/01/2030 | | | 644,449 | |
| | |
| | 1,125,000 | | | Palm Valley, AZ Community Facility District No. 3 | | | 5.300 | | | 07/15/2031 | | | 1,129,635 | |
| | |
| | 420,000 | | | Parkway, AZ Community Facilities District No. 1 (Prescott Valley) | | | 5.300 | | | 07/15/2025 | | | 422,188 | |
| | |
| | 350,000 | | | Parkway, AZ Community Facilities District No. 1 (Prescott Valley) | | | 5.350 | | | 07/15/2031 | | | 351,204 | |
| | |
| | 1,650,000 | | | Phoenix, AZ IDA (Espiritu Community Devel. Corp.) | | | 6.250 | | | 07/01/2036 | | | 1,667,292 | |
| | |
| | 1,935,000 | | | Phoenix, AZ IDA (Gourmet Boutique West) | | | 5.875 | | | 11/01/2037 | | | 1,049,176 | |
| | |
| | 1,085,000 | | | Pima County, AZ IDA (Christian Senior Living) | | | 5.050 | | | 01/01/2037 | | | 1,087,235 | |
| | |
| | 3,700,000 | | | Pima County, AZ IDA (Facility Choice Education & Devel. Corp.) | | | 6.375 | | | 06/01/2036 | | | 3,730,229 | |
| | |
| | 1,250,000 | | | Pima County, AZ IDA (Facility Choice Education & Devel. Corp.) | | | 6.250 | | | 06/01/2026 | | | 1,261,575 | |
| | |
| | 3,000,000 | | | Pima County, AZ IDA (New Plan Learning/OG Ohio/250 Shoup Mill Obligated Group) | | | 8.125 | | | 07/01/2041 | | | 2,950,650 | |
| | |
| | 5,730,000 | | | Pima County, AZ IDA (P.L.C. Charter Schools) | | | 7.500 | | | 04/01/2041 | | | 6,488,652 | |
| | |
| | 1,500,000 | | | Pima County, AZ IDA (P.L.C. Charter Schools) | | | 6.750 | | | 04/01/2036 | | | 1,504,080 | |
| | |
| | 1,025,000 | | | Pima County, AZ IDA (Paideia Academies) | | | 6.000 | | | 07/01/2035 | | | 1,047,868 | |
| | |
| | 3,310,000 | | | Pima County, AZ IDA (Paideia Academies) | | | 6.125 | | | 07/01/2045 | | | 3,341,610 | |
| | |
| | 250,000 | | | Pima County, AZ IDA (Paradise Education Center) | | | 5.875 | | | 06/01/2022 | | | 251,695 | |
| | |
| | 550,000 | | | Pima County, AZ IDA (Paradise Education Center) | | | 6.000 | | | 06/01/2036 | | | 552,359 | |
| | |
| | 1,600,000 | | | Pima County, AZ IDA (Sonoran Science Academy) | | | 5.670 | | | 12/01/2027 | | | 1,611,120 | |
| | |
| | 1,960,000 | | | Pima County, AZ IDA (Sonoran Science Academy) | | | 5.750 | | | 12/01/2037 | | | 1,969,134 | |
| | |
| | 2,215,000 | | | Pima County, AZ IDA Water & Wastewater (Global Water Resources) | | | 5.600 | | | 12/01/2022 | | | 2,255,092 | |
| | |
| | 11,100,000 | | | Pima County, AZ IDA Water & Wastewater (Global Water Resources) | | | 5.750 | | | 12/01/2032 | | | 11,281,263 | |
| | |
| | 8,775,000 | | | Pima County, AZ IDA Water & Wastewater (Global Water Resources) | | | 6.550 | | | 12/01/2037 | | | 8,935,495 | |
| | |
| | 890,000 | | | Pinal County, AZ IDA (San Manuel Facility) | | | 6.250 | | | 06/01/2026 | | | 927,834 | |
| | |
| | 1,022,000 | | | Prescott Valley, AZ Southside Community Facilities District No. 1 | | | 7.250 | | | 07/01/2032 | | | 751,528 | |
| | |
| | 1,500,000 | | | Quail Creek, AZ Community Facilities District | | | 5.550 | | | 07/15/2030 | | | 1,506,435 | |
| | |
| | 265,000 | | | Show Low Bluff, AZ Community Facilities District | | | 5.600 | | | 07/01/2031 | | | 265,273 | |
| | |
| | 50,000 | | | Show Low Bluff, AZ Community Facilities District Special Assessment | | | 5.200 | | | 07/01/2017 | | | 51,099 | |
| | |
| | 1,000,000 | | | Tartesso West, AZ Community Facilities District | | | 5.900 | | | 07/15/2032 | | | 1,019,990 | |
| | |
| | 695,000 | | | Tempe, AZ IDA (Tempe Life Care Village) | | | 6.000 | | | 12/01/2032 | | | 758,759 | |
| | |
| | 1,550,000 | | | Tempe, AZ IDA (Tempe Life Care Village) | | | 6.250 | | | 12/01/2042 | | | 1,695,297 | |
23 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupon | | | Maturity | | | Value | |
| | |
| | Arizona (Continued) | | | | | | | | | | |
| | |
| | $45,000 | | | Tucson, AZ IDA (Joint Single Family Mtg.) | | | 5.000 | % | | 01/01/2039 | | $ | 45,160 | |
| | |
| | 1,800,000 | | | Verrado, AZ Community Facilities District No. 1 | | | 6.000 | | | 07/15/2027 | | | 2,031,156 | |
| | |
| | 610,000 | | | Verrado, AZ Community Facilities District No. 1 | | | 6.000 | | | 07/15/2033 | | | 678,277 | |
| | |
| | 675,000 | | | Verrado, AZ Community Facilities District No. 1 | | | 5.700 | | | 07/15/2029 | | | 744,154 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 82,689,790 | |
| | | | | | | | | | | | | | | |
| | |
| | Arkansas—0.1% | | | | | | | | | | |
| | 5,645,000 | | | Cave Springs, AR Municipal Property (Creeks Special Sewer District)3 | | | 6.250 | | | 02/01/2038 | | | 3,358,436 | |
| | | | | | | | | | | | | | | |
| | |
| | California—14.5% | | | | | | | | | | |
| | 2,500,000 | | | Adelanto, CA Public Utility Authority | | | 6.750 | | | 07/01/2039 | | | 2,859,825 | |
| | |
| | 750,000 | | | Alhambra, CA (Atherton Baptist Homes) | | | 7.625 | | | 01/01/2040 | | | 821,947 | |
| | |
| | 3,800,000 | | | Anaheim, CA Community Facilities District Special Tax (Platinum Triangle) | | | 6.250 | | | 09/01/2040 | | | 3,922,474 | |
| | |
| | 1,025,000 | | | Anaheim, CA Community Facilities District Special Tax (Platinum Triangle) | | | 6.000 | | | 09/01/2030 | | | 1,058,179 | |
| | |
| | 360,000 | | | Anaheim, CA Community Facilities District Special Tax (Platinum Triangle) | | | 6.000 | | | 09/01/2028 | | | 371,704 | |
| | |
| | 11,600,000 | | | Anaheim, CA Public Financing Authority | | | 5.000 | | | 05/01/2046 | | | 13,139,784 | |
| | |
| | 210,000 | | | Blythe, CA Redevel. Agency (Redevel. Project No. 1 Tax Allocation) | | | 6.200 | | | 05/01/2031 | | | 210,416 | |
| | |
| | 5,500,000 | | | Brea, CA Community Facilities District (Brea Plaza Area) | | | 7.375 | | | 09/01/2039 | | | 6,011,390 | |
| | |
| | 127,310,000 | | | CA County Tobacco Securitization Agency | | | 6.489 | 4 | | 06/01/2046 | | | 12,240,857 | |
| | |
| | 246,760,000 | | | CA County Tobacco Securitization Agency | | | 7.477 | 4 | | 06/01/2055 | | | 1,727,320 | |
| | |
| | 107,400,000 | | | CA County Tobacco Securitization Agency | | | 6.619 | 4 | | 06/01/2050 | | | 2,108,262 | |
| | |
| | 8,415,000 | | | CA County Tobacco Securitization Agency | | | 8.150 | 4 | | 06/01/2033 | | | 2,880,286 | |
| | |
| | 215,100,000 | | | CA County Tobacco Securitization Agency | | | 7.000 | 4 | | 06/01/2055 | | | 2,363,949 | |
| | |
| | 33,920,000 | | | CA County Tobacco Securitization Agency | | | 6.650 | 4 | | 06/01/2046 | | | 1,026,080 | |
| | |
| | 5,000,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 6.125 | | | 06/01/2038 | | | 5,001,550 | |
| | |
| | 57,000,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 6.400 | 4 | | 06/01/2046 | | | 2,814,660 | |
| | |
| | 7,285,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.875 | | | 06/01/2043 | | | 7,287,331 | |
| | |
| | 19,000,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.250 | | | 06/01/2046 | | | 16,000,660 | |
| | |
| | 1,080,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.500 | | | 06/01/2033 | | | 1,080,238 | |
| | |
| | 46,030,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.700 | 1 | | 06/01/2046 | | | 46,093,982 | |
| | |
| | 520,920,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 6.669 | 4 | | 06/01/2050 | | | 38,016,742 | |
| | |
| | 255,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.250 | | | 06/01/2045 | | | 242,900 | |
| | |
| | 4,625,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 6.000 | | | 06/01/2042 | | | 4,681,887 | |
| | |
| | 23,500,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.650 | 1 | | 06/01/2041 | | | 23,522,325 | |
24 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupon | | | Maturity | | | Value | |
| | |
| | California (Continued) | | | | | | | | | | |
| | |
| | $2,630,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.875 | % | | 06/01/2035 | | $ | 2,665,636 | |
| | |
| | 9,125,000 | | | CA Enterprise Devel. Authority (Sunpower Corp.) | | | 8.500 | | | 04/01/2031 | | | 10,464,915 | |
| | |
| | 15,155,000 | | | CA GO | | | 5.000 | | | 09/01/2034 | | | 18,295,419 | |
| | |
| | 10,440,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.125 | | | 06/01/2047 | | | 9,334,404 | |
| | |
| | 17,400,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.000 | | | 06/01/2033 | | | 16,253,514 | |
| | |
| | 52,550,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.750 | | | 06/01/2047 | | | 50,541,539 | |
| | |
| | 7,000,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.300 | 1 | | 06/01/2037 | | | 6,582,240 | |
| | |
| | 133,715,000 | | | CA Golden State Tobacco Securitization Corp. (TASC)5 | | | 5.750 | | | 06/01/2047 | | | 128,604,126 | |
| | |
| | 13,505,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.000 | | | 06/01/2040 | | | 15,488,749 | |
| | |
| | 340,000,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 6.000 | 4 | | 06/01/2047 | | | 12,964,200 | |
| | |
| | 30,420,000 | | | CA Health Facilities Financing Authority (SJHS/SJHCN/SJHE/SJHO Obligated
Group)5 | | | 5.750 | | | 07/01/2039 | | | 34,958,360 | |
| | |
| | 11,095,000 | | | CA Health Facilities Financing Authority (Sutter Health/California Pacific Medical Center Obligated Group)5 | | | 5.000 | | | 11/15/2042 | | | 11,444,262 | |
| | |
| | 1,835,000 | | | CA Independent Cities Finance Authority Mobile Home Park (Lamplighter Salinas) | | | 6.250 | | | 07/15/2050 | | | 2,048,135 | |
| | |
| | 10,000,000 | | | CA Infrastructure and Economic Devel. (SanfordConsortium)5 | | | 5.000 | | | 05/15/2040 | | | 11,296,400 | |
| | |
| | 750,000 | | | CA Municipal Finance Authority (Harbor Regional Center) | | | 8.500 | | | 11/01/2039 | | | 953,873 | |
| | |
| | 370,000 | | | CA Public Works | | | 6.625 | | | 11/01/2034 | | | 371,735 | |
| | |
| | 13,505,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 9.002 | 4 | | 06/01/2047 | | | 909,967 | |
| | |
| | 60,785,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.999 | 4 | | 06/01/2036 | | | 15,655,785 | |
| | |
| | 25,800,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.590 | 4 | | 06/01/2041 | | | 4,368,456 | |
| | |
| | 43,890,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.435 | 4 | | 06/01/2056 | | | 550,381 | |
| | |
| | 160,600,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.147 | 4 | | 06/01/2056 | | | 1,554,608 | |
| | |
| | 1,730,000 | | | CA Statewide CDA (Albert Einstein Academy) | | | 6.250 | | | 11/01/2042 | | | 1,814,130 | |
| | |
| | 1,145,000 | | | CA Statewide CDA (Albert Einstein Academy) | | | 6.000 | | | 11/01/2032 | | | 1,198,506 | |
| | |
| | 10,000 | | | CA Statewide CDA (Escrow Term) | | | 6.750 | | | 09/01/2037 | | | 10,022 | |
| | |
| | 2,019,578 | | | CA Statewide CDA (Microgy Holdings)3 | | | 9.000 | | | 12/01/2038 | | | 20 | |
| | |
| | 8,015,000 | | | CA Statewide CDA (Yucaipa Valley Water Reservoir) | | | 6.000 | | | 09/02/2044 | | | 8,105,570 | |
| | |
| | 555,300,000 | | | CA Statewide Financing Authority Tobacco Settlement | | | 7.001 | 4 | | 06/01/2055 | | | 5,175,396 | |
| | |
| | 1,010,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC) | | | 6.000 | | | 05/01/2043 | | | 1,025,958 | |
25 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value | |
| | |
| | California (Continued) | | | | |
| | |
| | $4,515,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC) | | | 6.000 | % | | 05/01/2037 | | $ | 4,590,852 | |
| | |
| | 100,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC) | | | 6.000 | | | 05/01/2043 | | | 101,680 | |
| | |
| | 2,500,000 | | | Calexico, CA Community Redevel. Agency Tax Allocation (Central Business District & Residential Redevel.) | | | 7.250 | | | 08/01/2033 | | | 3,128,700 | |
| | |
| | 10,465,000 | | | Cerritos, CA Community College District5 | | | 5.250 | | | 08/01/2033 | | | 12,054,502 | |
| | |
| | 1,440,000 | | | Coyote Canyon, CA Public Facilities Community Facilities District No. 2004-1 | | | 6.625 | | | 09/01/2039 | | | 1,612,282 | |
| | |
| | 820,000 | | | Elsinore Valley, CA Municipal Water District Community Facilities District No. 2004-1 | | | 6.625 | | | 09/01/2040 | | | 846,584 | |
| | |
| | 377,795,000 | | | Inland, CA Empire Tobacco Securitization Authority (TASC) | | | 7.626 | 4 | | 06/01/2057 | | | 3,441,712 | |
| | |
| | 1,000,000,000 | | | Inland, CA Empire Tobacco Securitization Authority (TASC) | | | 8.001 | 4 | | 06/01/2057 | | | 9,090,000 | |
| | |
| | 1,255,000 | | | Lathrop, CA Special Tax Community Facilities District No. 03-2 | | | 7.000 | | | 09/01/2033 | | | 1,257,723 | |
| | |
| | 1,625,000 | | | Los Angeles, CA Community Facilities District Special Tax (Legends at Cascades) | | | 5.750 | | | 09/01/2040 | | | 1,676,594 | |
| | |
| | 31,940,000 | | | Los Angeles, CA Dept. of Airports (Los Angeles International Airport)5 | | | 5.375 | | | 05/15/2030 | | | 34,747,526 | |
| | |
| | 5,000,000 | | | Los Angeles, CA Dept. of Water & Power5 | | | 5.000 | | | 07/01/2034 | | | 5,551,600 | |
| | |
| | 9,930,000 | | | Los Angeles, CA Regional Airports Improvement Corp. (Delta-Continental Airlines) | | | 9.250 | | | 08/01/2024 | | | 10,000,602 | |
| | |
| | 200,000 | | | Maywood, CA Public Financing Authority | | | 7.000 | | | 09/01/2038 | | | 200,314 | |
| | |
| | 20,000,000 | | | Northern CA Tobacco Securitization Authority (TASC) | | | 5.375 | | | 06/01/2038 | | | 18,917,400 | |
| | |
| | 115,975,000 | | | Northern CA Tobacco Securitization Authority (TASC) | | | 6.375 | 4 | | 06/01/2045 | | | 3,138,284 | |
| | |
| | 45,000 | | | Placer County, CA Improvement Bond Act 1915 | | | 6.500 | | | 09/02/2030 | | | 45,068 | |
| | |
| | 21,711,000 | | | River Rock, CA Entertainment Authority2 | | | 8.000 | | | 11/01/2018 | | | 2,224,943 | |
| | |
| | 1,750,000 | | | Riverside County, CA Redevel. Agency | | | 7.125 | | | 10/01/2042 | | | 2,198,403 | |
| | |
| | 100,000 | | | Sacramento County, CA Special Tax Community Facilities District No. 2004-1 (McClellan Park) | | | 6.000 | | | 09/01/2031 | | | 101,237 | |
| | |
| | 2,000,000 | | | San Buenaventura, CA Community Memorial Health Systems | | | 8.000 | | | 12/01/2031 | | | 2,545,980 | |
| | |
| | 750,000 | | | San Francisco, CA City & County Redevel. Financing Authority (Mission Bay North Redevel.) | | | 6.750 | | | 08/01/2041 | | | 908,430 | |
| | |
| | 1,000,000 | | | San Francisco, CA City & County Redevel. Financing Authority (Mission Bay North Redevel.) | | | 7.000 | | | 08/01/2041 | | | 1,211,300 | |
| | |
| | 6,000,000 | | | Santa Clara, CA Redevel. Agency Tax Allocation (Bayshore North) | | | 5.750 | | | 06/01/2026 | | | 7,094,640 | |
| | |
| | 78,990,000 | | | Silicon Valley CA Tobacco Securitization Authority | | | 8.865 | 4 | | 06/01/2047 | | | 5,322,346 | |
| | |
| | 41,325,000 | | | Southern CA Tobacco Securitization Authority | | | 6.400 | 4 | | 06/01/2046 | | | 895,926 | |
| | |
| | 143,080,000 | | | Southern CA Tobacco Securitization Authority | | | 7.100 | 4 | | 06/01/2046 | | | 2,890,216 | |
| | |
| | 5,000,000 | | | Southern CA Tobacco Securitization Authority | | | 5.125 | | | 06/01/2046 | | | 4,609,150 | |
| | |
| | 195,570,000 | | | Southern CA Tobacco Securitization Authority | | | 6.383 | 4 | | 06/01/2046 | | | 4,883,383 | |
| | |
| | 1,000,000 | | | Southern CA Tobacco Securitization Authority (TASC) | | | 5.000 | | | 06/01/2037 | | | 953,270 | |
26 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | California (Continued) | | | | | | | | |
| |
| | $14,735,000 | | | Stockton, CA Unified School District | | | 5.950 % | 4 | | 08/01/2041 | | $ 5,406,419 |
| |
| | 17,145,000 | | | Stockton, CA Unified School District | | | 5.950 | 4 | | 08/01/2043 | | 5,793,638 |
| |
| | 12,115,000 | | | Stockton, CA Unified School District | | | 5.920 | 4 | | 08/01/2038 | | 5,056,680 |
| |
| | 6,245,000 | | | Stockton, CA Unified School District | | | 6.000 | 4 | | 08/01/2037 | | 2,715,451 |
| |
| | 1,335,000 | | | Susanville, CA Public Financing Authority (Utility Enterprises) | | | 5.875 | | | 06/01/2035 | | 1,478,165 |
| |
| | 1,425,000 | | | Susanville, CA Public Financing Authority (Utility Enterprises) | | | 6.000 | | | 06/01/2045 | | 1,583,617 |
| |
| | 4,615,000 | | | Tustin, CA Community Facilities District Special Tax (Legacy/Columbus) | | | 6.000 | | | 09/01/2036 | | 5,001,599 |
| |
| | 3,500,000 | | | West Hollywood, CA Community Devel. Commission Tax Allocation (East Side Redevel.) | | | 7.500 | | | 09/01/2042 | | 4,453,505 |
| |
| | 7,000,000 | | | West Sacramento, CA Special Tax Community Facilities District No. 27 | | | 7.000 | | | 09/01/2040 | | 7,364,910 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 753,215,685 |
| |
| | Colorado—2.6% | | | | | | | | |
| | 1,025,000 | | | CO Country Club Highlands Metropolitan District2 | | | 7.250 | | | 12/01/2037 | | 418,220 |
| |
| | 1,500,000 | | | CO Crystal Crossing Metropolitan District | | | 6.000 | | | 12/01/2036 | | 1,568,475 |
| |
| | 4,475,000 | | | CO Elbert and Highway 86 Metropolitan District2 | | | 7.500 | | | 12/01/2032 | | 2,237,500 |
| |
| | 1,188,000 | | | CO Elbert and Highway 86 Metropolitan District | | | 5.750 | | | 12/01/2036 | | 851,713 |
| |
| | 2,241,000 | | | CO Elkhorn Ranch Metropolitan District2 | | | 6.375 | | | 12/01/2035 | | 1,459,384 |
| |
| | 1,785,000 | | | CO Fossil Ridge Metropolitan District No. 1 | | | 7.250 | | | 12/01/2040 | | 1,977,744 |
| |
| | 14,350,000 | | | CO Health Facilities Authority (Sisters of Charity of Leavenworth Health System)5 | | | 5.000 | | | 01/01/2044 | | 16,241,043 |
| |
| | 1,030,000 | | | CO Health Facilities Authority Health & Residential Care Facilities (Volunteers of America) | | | 5.300 | | | 07/01/2037 | | 1,029,938 |
| |
| | 467,000 | | | CO Horse Creek Metropolitan District | | | 5.750 | | | 12/01/2036 | | 408,980 |
| |
| | 1,685,000 | | | CO Huntington Trails Metropolitan District | | | 8.250 | 1 | | 12/01/2037 | | 1,709,685 |
| |
| | 500,000 | | | CO Huntington Trails Metropolitan District | | | 6.250 | | | 12/01/2036 | | 502,010 |
| |
| | 1,068,000 | | | CO Liberty Ranch Metropolitan District | | | 6.250 | | | 12/01/2036 | | 941,485 |
| |
| | 2,275,000 | | | CO Neu Towne Metropolitan District2 | | | 7.250 | | | 12/01/2034 | | 603,944 |
| |
| | 745,000 | | | CO North Range Metropolitan District No. 2 | | | 5.500 | | | 12/15/2018 | | 762,992 |
| |
| | 1,000,000 | | | CO North Range Metropolitan District No. 2 | | | 5.500 | | | 12/15/2037 | | 1,012,900 |
| |
| | 12,585,000 | | | CO Park Valley Water and Sanitation Metropolitan District | | | 6.000 | 4 | | 12/15/2017 | | 4,624,107 |
| |
| | 272,000 | | | CO Potomac Farms Metropolitan District | | | 7.625 | 1 | | 12/01/2023 | | 193,950 |
| |
| | 1,590,000 | | | CO Potomac Farms Metropolitan District | | | 7.250 | | | 12/01/2037 | | 1,124,496 |
| |
| | 890,000 | | | CO Prairie Center Metropolitan District No. 3 | | | 5.400 | | | 12/15/2031 | | 904,996 |
| |
| | 2,170,000 | | | CO Regency Metropolitan District | | | 5.750 | | | 12/01/2036 | | 2,264,525 |
| |
| | 500,000 | | | CO Silver Peaks Metropolitan District2 | | | 5.750 | | | 12/01/2036 | | 334,240 |
| |
| | 1,720,000 | | | CO Sorrell Ranch Metropolitan District3 | | | 6.750 | | | 12/15/2036 | | 351,104 |
| |
| | 2,500,000 | | | CO STC Metropolitan District No. 2 | | | 6.000 | | | 12/01/2038 | | 2,463,100 |
| |
| | 1,238,000 | | | CO Stoneridge Metropolitan District | | | 5.625 | | | 12/01/2036 | | 1,255,815 |
| |
| | 8,000,000 | | | CO Talon Pointe Metropolitan District3 | | | 8.000 | | | 12/01/2039 | | 803,440 |
| |
| | 892,000 | | | CO Wyndham Hill Metropolitan District | | | 6.375 | | | 12/01/2035 | | 891,884 |
| |
| | 500,000 | | | CO Wyndham Hill Metropolitan District | | | 6.250 | | | 12/01/2025 | | 499,965 |
| |
| | 3,415,000 | | | Cundall Farms, CO Metropolitan District | | | 6.875 | | | 12/01/2044 | | 3,463,049 |
27 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Colorado (Continued) | | | | | | | | |
| |
| | $35,375,000 | | | Denver, CO City & County Airport Special Facilities (United Air Lines) | | | 5.250 % | | | 10/01/2032 | | $ 36,774,081 |
| |
| | 26,350,000 | | | Denver, CO City & County Airport Special Facilities (United Air Lines) | | | 5.750 | | | 10/01/2032 | | 27,641,940 |
| |
| | 2,065,000 | | | Hawthorn, CO Metropolitan District No. 2 | | | 6.375 | | | 12/01/2044 | | 2,094,385 |
| |
| | 950,000 | | | Hawthorn, CO Metropolitan District No. 2 | | | 7.750 | | | 12/15/2044 | | 957,600 |
| |
| | 735,000 | | | Tabernash Meadows, CO Water & Sanitation District | | | 7.125 | | | 12/01/2034 | | 806,773 |
| |
| | 295,000 | | | Tallyns Reach CO Metropolitan District No. 3 | | | 5.000 | | | 12/01/2033 | | 315,004 |
| |
| | 685,000 | | | Tallyns Reach CO Metropolitan District No. 3 | | | 5.125 | | | 11/01/2038 | | 732,409 |
| |
| | 750,000 | | | Thompsong Crossing, CO Metropolitan District No. 6 | | | 6.000 | | | 12/01/2044 | | 763,357 |
| |
| | 5,409,763 | | | Woodmen Heights, CO Metropolitan District No. 1 | | | 6.000 | | | 12/01/2041 | | 5,465,538 |
| |
| | 20,183,519 | | | Woodmen Heights, CO Metropolitan District No. 1 | | | 0.000 1 | | | 12/15/2041 | | 10,151,099 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 136,602,870 |
| |
| | Connecticut—0.4% | | | | | | | | |
| | 2,350,000 | | | CT H&EFA (ECHNS/MMH/RGH/TcntyHC Obligated Group) | | | 6.000 | | | 07/01/2025 | | 2,394,932 |
| |
| | 7,965,000 | | | CT Special Tax | | | 5.000 | | | 08/01/2033 | | 9,580,621 |
| |
| | 6,000,000 | | | CT Special Tax | | | 5.000 | | | 08/01/2032 | | 7,245,180 |
| |
| | 470,000 | | | Georgetown, CT Special Taxing District3 | | | 5.125 | | | 10/01/2036 | | 185,819 |
| |
| | 11,043,436 | | | Mashantucket Western Pequot Tribe CT6 | | | 4.000 | | | 07/01/2031 | | 726,216 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 20,132,768 |
| |
| | Delaware—0.1% | | | | | | | | |
| | 1,300,000 | | | Bridgeville, DE Special Obligation (Heritage Shores) | | | 5.450 | | | 07/01/2035 | | 1,300,728 |
| |
| | 7,438,000 | | | Millsboro, DE Special Obligation (Plantation Lakes) | | | 5.450 | | | 07/01/2036 | | 5,894,913 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 7,195,641 |
| |
| | District of Columbia—2.0% | | | | | | | | |
| | 10,000,000 | | | District of Columbia (Howard University) | | | 6.250 | | | 10/01/2032 | | 10,630,300 |
| |
| | 25,610,000 | | | District of Columbia (Howard University) | | | 6.500 | | | 10/01/2041 | | 27,366,590 |
| |
| | 3,200,000 | | | District of Columbia Center for Strategic & International Studies | | | 6.375 | | | 03/01/2031 | | 3,617,376 |
| |
| | 2,000,000 | | | District of Columbia Center for Strategic & International Studies | | | 6.625 | | | 03/01/2041 | | 2,278,960 |
| |
| | 5,000,000 | | | District of Columbia National Public Radio | | | 5.000 | | | 04/01/2035 | | 5,604,400 |
| |
| | 32,680,000 | | | District of Columbia Tobacco Settlement Financing Corp. | | | 6.750 | | | 05/15/2040 | | 32,689,150 |
| |
| | 15,000 | | | District of Columbia Tobacco Settlement Financing Corp. | | | 6.250 | | | 05/15/2024 | | 15,005 |
| |
| | 1,055,000,000 | | | District of Columbia Tobacco Settlement Financing Corp. (TASC) | | | 7.250 4 | | | 06/15/2055 | | 6,678,150 |
28 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | District of Columbia (Continued) | | | | | | | | |
| |
| | $1,375,680,000 | | | District of Columbia Tobacco Settlement Financing Corp. (TASC) | | | 6.897 % | 4 | | 06/15/2055 | | $ 13,976,909 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 102,856,840 |
| |
| | Florida—10.0% | | | | | | | | |
| | 1,000,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida) | | | 8.000 | | | 10/01/2046 | | 1,244,690 |
| |
| | 1,000,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida) | | | 8.000 | | | 10/01/2042 | | 1,246,820 |
| |
| | 750,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida) | | | 8.000 | | | 10/01/2032 | | 939,645 |
| |
| | 4,655,000 | | | Amelia Concourse, FL Community Devel. District3 | | | 5.750 | | | 05/01/2038 | | 3,477,425 |
| |
| | 105,000 | | | Arborwood, FL Community Devel. District (Centex Homes)7 | | | 5.250 | | | 05/01/2016 | | 104,865 |
| |
| | 7,530,000 | | | Arlington Ridge, FL Community Devel. District2 | | | 5.500 | | | 05/01/2036 | | 4,894,575 |
| |
| | 1,045,000 | | | Avignon Villages, FL Community Devel. District3 | | | 5.300 | | | 05/01/2014 | | 136,404 |
| |
| | 755,000 | | | Avignon Villages, FL Community Devel. District3 | | | 5.400 | | | 05/01/2037 | | 98,550 |
| |
| | 14,970,000 | | | Baker, FL Correctional Devel. Corp. (Detention Center) | | | 7.500 | | | 02/01/2030 | | 12,567,764 |
| |
| | 225,000 | | | Bayshore, FL Hsg. Corp.3 | | | 8.000 | | | 12/01/2016 | | 122,623 |
| |
| | 2,845,000 | | | Baywinds, FL Community Devel. District7 | | | 7.020 | | | 05/01/2022 | | 2,870,605 |
| |
| | 7,815,000 | | | Baywinds, FL Community Devel. District | | | 5.250 | | | 05/01/2037 | | 7,822,893 |
| |
| | 7,555,000 | | | Belle Isle, FL Charter School (Cornerstone Charter Academy & Cornerstone Charter High School Obligated Group) | | | 6.000 | | | 10/01/2042 | | 7,991,679 |
| |
| | 7,725,000 | | | Bonnet Creek, FL Resort Community Devel. District Special Assessment | | | 7.375 | | | 05/01/2034 | | 7,729,867 |
| |
| | 4,890,000 | | | Bonnet Creek, FL Resort Community Devel. District Special Assessment | | | 7.500 | | | 05/01/2034 | | 4,893,619 |
| |
| | 3,575,000 | | | Boynton Village, FL Community Devel. District Special Assessment | | | 6.000 | | | 05/01/2038 | | 3,607,425 |
| |
| | 300,000 | | | Broward County, FL HFA (Single Family) | | | 5.000 | | | 10/01/2039 | | 300,225 |
| |
| | 5,845,000 | | | Buckeye Park, FL Community Devel. District3 | | | 7.875 | | | 05/01/2038 | | 1,752,039 |
| |
| | 930,000 | | | Carlton Lakes, FL Community Devel. District Special Assessment | | | 5.625 | | | 11/01/2036 | | 935,506 |
| |
| | 2,250,000 | | | Carlton Lakes, FL Community Devel. District Special Assessment | | | 5.750 | | | 11/01/2047 | | 2,258,730 |
| |
| | 25,430,000 | | | CFM, FL Community Devel. District, Series A3 | | | 6.250 | | | 05/01/2035 | | 10,814,616 |
| |
| | 8,510,000 | | | Chapel Creek, FL Community Devel. District Special Assessment3 | | | 5.500 | | | 05/01/2038 | | 5,066,428 |
| |
| | 24,013,000 | | | Clearwater Cay, FL Community Devel. District3 | | | 5.500 | | | 05/01/2037 | | 13,207,390 |
| |
| | 1,690,000 | | | Creekside, FL Community Devel. District3 | | | 5.200 | | | 05/01/2038 | | 676,017 |
| |
| | 1,255,000 | | | Crosscreek, FL Community Devel. District3 | | | 5.600 | | | 05/01/2039 | | 535,546 |
| |
| | 2,625,000 | | | Crosscreek, FL Community Devel. District3 | | | 5.500 | | | 05/01/2017 | | 1,119,090 |
| |
| | 55,000 | | | Dade County, FL HFA (Golden Lakes Apartments) | | | 6.050 | | | 11/01/2039 | | 55,071 |
| |
| | 40,000 | | | Dade County, FL HFA (Siesta Pointe Apartments) | | | 5.650 | | | 09/01/2017 | | 40,130 |
| |
| | 1,100,000 | | | Dade County, FL IDA (Miami Cerebral Palsy Residence) | | | 8.000 | | | 06/01/2022 | | 1,100,462 |
29 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Florida (Continued) | | | | | | | | |
| |
| | $7,745,000 | | | Deer Run, FL Community Devel. District Special Assessment3 | | | 7.625 % | | | 05/01/2039 | | $ 4,569,473 |
| |
| | 1,940,000 | | | Durbin Crossing, FL Community Devel. District Special Assessment2 | | | 5.250 | | | 11/01/2020 | | 1,164,155 |
| |
| | 12,500,000 | | | FL Capital Trust Agency (Atlantic Hsg. Foundation)2 | | | 8.260 | | | 07/15/2038 | | 2,500,500 |
| |
| | 6,718,000 | | | FL Capital Trust Agency (Atlantic Hsg. Foundation)2 | | | 7.000 | | | 07/15/2032 | | 1,343,869 |
| |
| | 95,000 | | | FL HFA (Stoddert Arms Apartments) | | | 6.250 | | | 09/01/2026 | | 95,145 |
| |
| | 3,400,000 | | | FL Lake Ashton II Community Devel. District | | | 5.375 | | | 05/01/2036 | | 2,947,834 |
| |
| | 1,305,000 | | | Forest Creek, FL Community Devel. District | | | 5.450 | | | 05/01/2036 | | 1,305,483 |
| |
| | 1,883,132 | | | Forest Creek, FL Community Devel. District7 | | | 5.450 | | | 05/01/2036 | | 1,883,584 |
| |
| | 7,660,000 | | | Glades, FL Correctional Devel. Corp. (Glades County Detention)2 | | | 7.375 | | | 03/01/2030 | | 1,109,704 |
| |
| | 3,055,000 | | | Greater Lakes/Sawgrass Bay, FL Community Devel. District | | | 5.500 | | | 05/01/2038 | | 3,030,713 |
| |
| | 1,770,000 | | | Harbor Bay, FL Community Devel. District | | | 6.750 | | | 05/01/2034 | | 1,777,168 |
| |
| | 16,240,000 | | | Heritage Harbour North, FL Community Devel. District | | | 6.375 | | | 05/01/2038 | | 16,869,138 |
| |
| | 355,000 | | | Highland Meadows, FL Community Devel. District Special Assessment, Series A | | | 5.500 | | | 05/01/2036 | | 355,124 |
| |
| | 10,000,000 | | | Highlands County, FL Health Facilities Authority (ABH/AGH/AHSGA Obligated Group)5 | | | 5.250 | | | 11/15/2036 | | 10,492,325 |
| |
| | 13,500,000 | | | Highlands County, FL Health Facilities Authority (ABH/AGH/AHSGA Obligated Group)5 | | | 5.125 | | | 11/15/2032 | | 13,908,430 |
| |
| | 4,720,000 | | | Highlands, FL Community Devel. District | | | 5.550 | | | 05/01/2036 | | 3,449,659 |
| |
| | 5,480,000 | | | Indigo, FL Community Devel. District2 | | | 5.750 | | | 05/01/2036 | | 3,346,855 |
| |
| | 8,100,000 | | | Lakewood Ranch, FL Stewardship District | | | 5.500 | | | 05/01/2036 | | 8,101,782 |
| |
| | 15,335,000 | | | Lakewood Ranch, FL Stewardship District (Country Club East Investors) | | | 5.400 | | | 05/01/2037 | | 15,360,149 |
| |
| | 3,800,000 | | | Legends Bay, FL Community Devel. District | | | 5.875 | | | 05/01/2038 | | 3,803,724 |
| |
| | 100,000 | | | Leon County, FL Educational Facilities Authority (Southgate Residence Hall) | | | 6.750 | | | 09/01/2028 | | 100,001 |
| |
| | 1,275,000 | | | Liberty County, FL Revenue (Twin Oaks)3 | | | 8.250 | | | 07/01/2028 | | 189,707 |
| |
| | 1,180,000 | | | Madison County, FL Mtg. (Twin Oaks) | | | 6.000 | | | 07/01/2025 | | 708,000 |
| |
| | 5,360,000 | | | Magnolia Creek, FL Community Devel. District3 | | | 5.900 | | | 05/01/2039 | | 1,125,868 |
| |
| | 5,000,000 | | | Magnolia Creek, FL Community Devel. District3 | | | 5.600 | | | 05/01/2014 | | 1,050,250 |
| |
| | 2,805,000 | | | Magnolia West, FL Community Devel. District Special Assessment2 | | | 5.350 | | | 05/01/2037 | | 2,244,028 |
| |
| | 2,600,000 | | | Main Street, FL Community Devel. District | | | 6.800 | | | 05/01/2038 | | 2,633,254 |
| |
| | 925,000 | | | Miami-Dade County, FL HFA (Homeownership Mtg.) | | | 5.450 | | | 10/01/2038 | | 925,499 |
| |
| | 4,000,000 | | | Miami-Dade County, FL School Board | | | 5.000 | | | 05/01/2031 | | 4,723,680 |
| |
| | 5,455,000 | | | Miami-Dade County, FL School Board | | | 5.000 | | | 05/01/2032 | | 6,340,346 |
| |
| | 50,000,000 | | | Miami-Dade County, FL School Board COP5 | | | 5.375 | | | 02/01/2034 | | 56,652,000 |
| |
| | 10,000,000 | | | Miami-Dade County, FL School Board COP5 | | | 5.000 | | | 02/01/2027 | | 11,219,400 |
| |
| | 10,000,000 | | | Miami-Dade County, FL School Board COP5 | | | 5.250 | | | 02/01/2027 | | 11,293,400 |
| |
| | 12,430,000 | | | Montecito, FL Community Devel. District3 | | | 5.100 | | | 05/01/2013 | | 8,083,602 |
| |
| | 2,610,000 | | | Montecito, FL Community Devel. District2 | | | 5.500 | | | 05/01/2037 | | 1,697,335 |
| |
| | 580,000 | | | Moody River, FL Estates Community Devel. District | | | 5.350 | | | 05/01/2036 | | 493,261 |
30 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Florida (Continued) | | | | | | | | |
| |
| | $10,250,000 | | | Nassau County, FL (Nassau Care Centers) | | | 6.900 % | | | 01/01/2038 | | $ 10,579,025 |
| |
| | 4,345,000 | | | Naturewalk, FL Community Devel. District2 | | | 5.500 | | | 05/01/2038 | | 2,389,663 |
| |
| | 3,640,000 | | | Naturewalk, FL Community Devel. District2 | | | 5.300 | | | 05/01/2016 | | 2,001,927 |
| |
| | 750,000 | | | Orange County, FL Health Facilities Authority (Orlando Lutheran Tower) | | | 5.500 | | | 07/01/2032 | | 768,300 |
| |
| | 3,750,000 | | | Palm Bay, FL Educational Facilities (Patriot Charter School)3 | | | 7.000 | | | 07/01/2036 | | 1,124,887 |
| |
| | 3,000,000 | | | Palm Beach County, FL Health Facilities Authority (Sinai Residences Boca Raton) | | | 7.500 | | | 06/01/2049 | | 3,672,840 |
| |
| | 12,555,000 | | | Palm Coast Park, FL Community Devel. District Special Assessment | | | 5.700 | | | 05/01/2037 | | 10,802,824 |
| |
| | 6,105,000 | | | Palm Glades, FL Community Devel. District Special Assessment | | | 7.125 | | | 05/01/2039 | | 6,254,267 |
| |
| | 1,850,000 | | | Palm River, FL Community Devel. District3 | | | 5.150 | | | 05/01/2013 | | 728,974 |
| |
| | 1,565,000 | | | Palm River, FL Community Devel. District3 | | | 5.375 | | | 05/01/2036 | | 617,627 |
| |
| | 1,495,000 | | | Parkway Center, FL Community Devel. District, Series A | | | 6.300 | | | 05/01/2034 | | 1,464,681 |
| |
| | 5,715,000 | | | Pine Ridge Plantation, FL Community Devel. District | | | 5.400 | | | 05/01/2037 | | 5,028,971 |
| |
| | 2,250,000 | | | Pinellas County, FL Educational Facilities Authority (Pinellas Prep Academy) | | | 7.125 | | | 09/15/2041 | | 2,477,790 |
| |
| | 4,500,000 | | | Pinellas County, FL Health Facility Authority (St. Mark Village) | | | 5.650 | | | 05/01/2037 | | 4,756,185 |
| |
| | 1,805,000 | | | Poinciana West, FL Community Devel. District Special Assessment | | | 6.000 | | | 05/01/2037 | | 1,835,956 |
| |
| | 625,000 | | | Port St. Lucie, FL Special Assessment (Peacock & Lowry) | | | 5.350 | | | 07/01/2027 | | 608,831 |
| |
| | 9,900,000 | | | Portico, FL Community Devel. District | | | 5.450 | | | 05/01/2037 | | 8,468,163 |
| |
| | 3,005,000 | | | Portofino Cove, FL Community Devel. District Special Assessment3 | | | 5.500 | | | 05/01/2038 | | 1,352,130 |
| |
| | 5,905,000 | | | Portofino Isles, FL Community Devel. District (Portofino Court)3 | | | 5.600 | | | 05/01/2036 | | 1,181,650 |
| |
| | 1,000,000 | | | Portofino Landings, FL Community Devel. District Special Assessment3 | | | 5.200 | | | 05/01/2017 | | 392,410 |
| |
| | 1,955,000 | | | Portofino Landings, FL Community Devel. District Special Assessment3 | | | 5.400 | | | 05/01/2038 | | 767,768 |
| |
| | 2,470,000 | | | Portofino Vista, FL Community Devel. District3 | | | 5.000 | | | 05/01/2013 | | 1,111,401 |
| |
| | 415,000 | | | Renaissance Commons, FL Community Devel. District, Series A | | | 5.600 | | | 05/01/2036 | | 415,041 |
| |
| | 1,425,000 | | | Reunion East, FL Community Devel. District2 | | | 7.375 | | | 05/01/2033 | | 14 |
| |
| | 3,780,000 | | | Reunion East, FL Community Devel. District | | | 6.600 | | | 05/01/2036 | | 3,820,484 |
| |
| | 1,645,000 | | | Reunion East, FL Community Devel. District | | | 6.600 | | | 05/01/2033 | | 1,659,081 |
| |
| | 3,420,000 | | | Reunion East, FL Community Devel. District2 | | | 5.800 | | | 05/01/2036 | | 34 |
| |
| | 140,000 | | | Ridgewood Trails, FL Community Devel. District | | | 5.650 | | | 05/01/2038 | | 140,080 |
| |
| | 2,365,000 | | | River Bend, FL Community Devel. District3 | | | 7.125 | | | 11/01/2015 | | 304,210 |
| |
| | 7,890,000 | | | River Glen, FL Community Devel. District Special Assessment3 | | | 5.450 | | | 05/01/2038 | | 3,146,927 |
| |
| | 168,263 | | | Santa Rosa Bay, FL Bridge Authority | | | 6.250 | | | 07/01/2028 | | 115,319 |
| |
| | 1,895,000 | | | Sarasota County, FL Educational Facilities (School of Arts & Sciences) | | | 6.500 | | | 07/01/2040 | | 2,063,579 |
| |
| | 4,095,000 | | | Seminole County, FL IDA (Progressive Health) | | | 7.500 | | | 03/01/2035 | | 4,137,875 |
31 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Florida (Continued) | | | | | | | | |
| |
| | $7,035,000 | | | South Bay, FL Community Devel. District | | | 5.125 % | | | 05/01/2020 | | $ 6,468,823 |
| |
| | 3,240,000 | | | South Bay, FL Community Devel. District2 | | | 0.000 1 | | | 05/01/2025 | | 2,525,645 |
| |
| | 7,620,000 | | | South Bay, FL Community Devel. District | | | 5.950 | | | 05/01/2036 | | 7,570,546 |
| |
| | 8,750,000 | | | South Bay, FL Community Devel. District2 | | | 0.000 1 | | | 05/01/2036 | | 6,777,050 |
| |
| | 5,110,000 | | | South Bay, FL Community Devel. District3 | | | 5.950 | | | 05/01/2036 | | 1,277,347 |
| |
| | 3,825,000 | | | South Fork East, FL Community Devel. District | | | 6.500 1 | | | 05/01/2038 | | 3,833,339 |
| |
| | 2,325,000 | | | St. Johns County, FL IDA (Glenmoor)3 | | | 5.375 8 | | | 01/01/2049 | | 818,168 |
| |
| | 860,333 | | | St. Johns County, FL IDA (Glenmoor)2 | | | 2.500 | | | 01/01/2049 | | 9 |
| |
| | 3,500,000 | | | St. Johns County, FL IDA (Presbyterian Retirement) | | | 6.000 | | | 08/01/2045 | | 3,935,505 |
| |
| | 3,500,000 | | | St. Johns County, FL IDA (Presbyterian Retirement) | | | 5.875 | | | 08/01/2040 | | 3,914,085 |
| |
| | 1,000,000 | | | St. Johns County, FL IDA (St. John’s County Welfare Federation) | | | 5.250 | | | 10/01/2041 | | 904,850 |
| |
| | 2,460,000 | | | St. John’s Forest, FL Community Devel. District, Series A | | | 6.125 | | | 05/01/2034 | | 2,462,165 |
| |
| | 16,765,000 | | | Tern Bay, FL Community Devel. District3 | | | 5.000 | | | 05/01/2015 | | 4,087,642 |
| |
| | 19,075,000 | | | Tern Bay, FL Community Devel. District3 | | | 5.375 | | | 05/01/2037 | | 4,653,919 |
| |
| | 2,475,000 | | | Town Center, FL at Palm Coast Community Devel. District | | | 6.000 | | | 05/01/2036 | | 2,415,278 |
| |
| | 4,950,000 | | | Treeline, FL Preservation Community Devel. District2 | | | 6.800 | | | 05/01/2039 | | 1,980,743 |
| |
| | 635,000 | | | Turnbull Creek, FL Community Devel. District Special Assessment | | | 5.250 | | | 05/01/2037 | | 624,567 |
| |
| | 8,000,000 | | | Verandah East, FL Community Devel. District | | | 5.400 | | | 05/01/2037 | | 8,009,280 |
| |
| | 1,265,000 | | | Villa Vizcaya, FL Community Devel. District Special Assessment3 | | | 5.550 | | | 05/01/2039 | | 695,864 |
| |
| | 3,350,000 | | | Waterford Estates, FL Community Devel. District Special Assessment3 | | | 5.500 | | | 05/01/2037 | | 985,872 |
| |
| | 4,395,000 | | | Waterford Estates, FL Community Devel. District Special Assessment3 | | | 5.125 | | | 05/01/2013 | | 1,291,866 |
| |
| | 3,190,000 | | | Waterlefe, FL Community Devel. District Golf Course3 | | | 8.125 | | | 10/01/2025 | | 221,705 |
| |
| | 5,950,000 | | | Waters Edge, FL Community Devel. District | | | 0.000 1 | | | 05/01/2039 | | 4,986,279 |
| |
| | 136,000 | | | Waters Edge, FL Community Devel. District | | | 5.350 | | | 05/01/2039 | | 136,174 |
| |
| | 14,800,000 | | | Waterstone, FL Community Devel. District3 | | | 5.500 | | | 05/01/2018 | | 5,872,048 |
| |
| | 1,215,000 | | | West Villages, FL Improvement District3 | | | 5.350 | | | 05/01/2015 | | 729,012 |
| |
| | 18,550,000 | | | West Villages, FL Improvement District3 | | | 5.800 | | | 05/01/2036 | | 11,130,186 |
| |
| | 19,100,000 | | | West Villages, FL Improvement District | | | 5.500 | | | 05/01/2038 | | 19,130,369 |
| |
| | 14,925,000 | | | Westridge, FL Community Devel. District3 | | | 5.800 | | | 05/01/2037 | | 5,224,049 |
| |
| | 16,790,000 | | | Westside, FL Community Devel. District2 | | | 7.200 | | | 05/01/2038 | | 8,457,123 |
| |
| | 11,210,000 | | | Westside, FL Community Devel. District2 | | | 5.650 | | | 05/01/2037 | | 5,609,932 |
| |
| | 4,340,000 | | | Wyld Palms, FL Community Devel. District3 | | | 5.500 | | | 05/01/2038 | | 1,085,000 |
| |
| | 7,420,000 | | | Wyld Palms, FL Community Devel. District3 | | | 5.400 | | | 05/01/2015 | | 1,855,000 |
| |
| | 2,665,000 | | | Zephyr Ridge, FL Community Devel. District3 | | | 5.625 | | | 05/01/2037 | | 1,050,783 |
| |
| | 3,830,000 | | | Zephyr Ridge, FL Community Devel. District3 | | | 5.250 | | | 05/01/2013 | | 1,508,024 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 520,922,305 |
| |
| | Georgia—1.6% | | | | | | | | |
| | 710,000 | | | Atlanta, GA Tax Allocation (Beltline) | | | 7.500 | | | 01/01/2031 | | 817,444 |
| |
| | 3,800,000 | | | Atlanta, GA Tax Allocation (Beltline) | | | 7.500 | | | 01/01/2031 | | 4,403,212 |
32 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Georgia (Continued) | | | | | | | | |
| |
| | $10,625,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)3 | | | 6.250 % | | | 11/01/2043 | | $ 5,311,862 |
| |
| | 1,380,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)3 | | | 6.000 | | | 11/01/2032 | | 689,917 |
| |
| | 1,435,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)3 | | | 5.750 | | | 11/01/2025 | | 717,414 |
| |
| | 31,945,000 | | | Fulton County, GA Devel. Authority (Piedmont Healthcare)5 | | | 5.000 | | | 06/15/2029 | | 35,169,468 |
| |
| | 13,730,000 | | | Fulton County, GA Devel. Authority (Piedmont Healthcare/Piedmont Hospital/Piedmont Hospital Foundation Obligated Group)5 | | | 5.250 | | | 06/15/2037 | | 15,066,866 |
| |
| | 2,250,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 6.252 4 | | | 06/01/2024 | | 1,410,413 |
| |
| | 3,750,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 6.751 4 | | | 06/01/2034 | | 1,205,625 |
| |
| | 9,100,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 0.000 1 | | | 06/01/2049 | | 5,127,941 |
| |
| | 10,520,000 | | | Gainesville & Hall County, GA Hospital (Northeast Georgia Health System) Floaters | | | 0.140 8 | | | 08/15/2049 | | 10,520,000 |
| |
| | 2,000,000 | | | Marietta, GA Devel. Authority (University Facilities) | | | 7.000 | | | 06/15/2039 | | 2,086,500 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 82,526,662 |
| |
| | Hawaii—0.0% | | | | | | | | |
| | 405,000 | | | HI Dept. of Transportation (Continental Airlines) | | | 5.625 | | | 11/15/2027 | | 406,268 |
| |
| | 275,000 | | | Kuakini, HI Health System (KMC/KHS/KGC/KSS Obligated Group) | | | 6.375 | | | 07/01/2032 | | 275,646 |
| |
| | 2,290,000 | | | Kuakini, HI Health System (KMC/KHS/KGC/KSS Obligated Group) | | | 6.300 | | | 07/01/2022 | | 2,296,962 |
| | | | | | | | | | | | |
| | | | | | | | | | | | 2,978,876 |
| |
| | Idaho—0.0% | | | | | | | | |
| | 1,500,000 | | | Nampa, ID Local Improvement District No. 148 | | | 6.625 | | | 09/01/2030 | | 1,553,340 |
|
| |
| | Illinois—7.5% | | | | | | | | |
| | 500,000 | | | Annawan, IL Tax Increment (Patriot Renewable Fuels) | | | 5.625 | | | 01/01/2018 | | 500,310 |
| |
| | 3,000,000 | | | Carol Stream, IL Park District7 | | | 5.000 | | | 01/01/2037 | | 3,396,120 |
| |
| | 30,685,000 | | | Caseyville, IL Tax (Forest Lakes)2 | | | 7.000 | | | 12/30/2022 | | 1,427,773 |
| |
| | 1,100,000 | | | Chicago, IL Board of Education | | | 5.000 | | | 12/01/2042 | | 836,275 |
| |
| | 30,000,000 | | | Chicago, IL GO | | | 5.250 | | | 01/01/2033 | | 30,497,100 |
| |
| | 35,000 | | | Chicago, IL Multifamily Hsg. (Cottage View Terrace) | | | 6.125 | | | 02/20/2042 | | 35,066 |
| |
| | 10,032,000 | | | Cortland, IL Special Tax (Sheaffer System)2 | | | 5.500 | | | 03/01/2017 | | 2,006,199 |
| |
| | 1,120,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2030 | | 1,143,498 |
| |
| | 1,175,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2031 | | 1,201,332 |
| |
| | 2,425,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2032 | | 2,475,876 |
| |
| | 1,060,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2029 | | 1,083,564 |
| |
| | 915,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2026 | | 938,781 |
| |
| | 965,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2027 | | 987,311 |
| |
| | 1,010,000 | | | Country Club Hills, IL GO | | | 5.000 | | | 12/01/2028 | | 1,032,816 |
33 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | Value |
| |
| | Illinois (Continued) | | | | | | | | |
| |
| | $644,000 | | | Deerfield, IL (Chicagoland Conservative Jewish High School Foundation) | | | 6.000 % | | | 10/01/2042 | | $ 658,838 |
| |
| | 1,000,000 | | | Du Page County, IL Special Service Area No. 31 Special Tax (Monarch Landing) | | | 5.625 | | | 03/01/2036 | | 1,000,810 |
| |
| | 1,585,000 | | | Franklin Park, IL GO | | | 6.250 | | | 07/01/2030 | | 1,924,031 |
| |
| | 2,343,482 | | | Gilberts, IL Special Service Area No. 24 Special Tax (Conservancy) | | | 5.375 | | | 03/01/2034 | | 2,052,164 |
| |
| | 1,800,000 | | | Harvey, IL GO | | | 5.625 | | | 12/01/2032 | | 1,381,806 |
| |
| | 6,165,000 | | | Harvey, IL GO | | | 5.500 | | | 12/01/2027 | | 4,780,094 |
| |
| | 10,365,000 | | | IL Educational Facilities Authority (Plum Creek Rolling Meadows) | | | 6.500 | | | 12/01/2037 | | 10,721,971 |
| |
| | 9,425,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.500 | | | 04/01/2044 | | 10,348,178 |
| |
| | 5,820,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.375 | | | 04/01/2044 | | 6,378,953 |
| |
| | 5,180,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.375 | | | 04/01/2044 | | 5,656,807 |
| |
| | 10,575,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.500 | | | 04/01/2044 | | 11,669,222 |
| |
| | 21,765,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.375 | | | 04/01/2044 | | 23,877,576 |
| |
| | 19,410,000 | | | IL Finance Authority (Advocate Health Care)5 | | | 5.375 | | | 04/01/2044 | | 21,174,455 |
| |
| | 365,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) | | | 5.375 | | | 04/01/2044 | | 400,544 |
| |
| | 320,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) | | | 5.375 | | | 04/01/2044 | | 364,896 |
| |
| | 3,195,000 | | | IL Finance Authority (Bethel Terrace Apartments) | | | 5.375 | | | 09/01/2035 | | 3,197,045 |
| |
| | 145,000 | | | IL Finance Authority (Bridgeway/Bridgeway Foundation/Occupation Devel. Center Obligated Group) | | | 4.625 | | | 07/01/2027 | | 125,584 |
| |
| | 5,000,000 | | | IL Finance Authority (CDHS/CDHA5 | | | 5.375 | | | 11/01/2039 | | 5,691,100 |
| |
| | 13,000,000 | | | IL Finance Authority (CDHS/CDHA Obligated Group) | | | 5.750 | | | 11/01/2039 | | 15,040,870 |
| |
| | 12,500,000 | | | IL Finance Authority (Central Dupage Health)5 | | | 5.500 | | | 11/01/2039 | | 14,328,750 |
| |
| | 5,610,000 | | | IL Finance Authority (DeKalb Supportive Living) | | | 6.100 | | | 12/01/2041 | | 5,695,552 |
| |
| | 2,030,000 | | | IL Finance Authority (Friendship Village Schaumburg) | | | 5.625 | | | 02/15/2037 | | 2,030,264 |
| |
| | 1,000,000 | | | IL Finance Authority (Lake Forest College) | | | 6.000 | | | 10/01/2048 | | 1,100,670 |
| |
| | 1,500,000 | | | IL Finance Authority (Luther Oaks) | | | 6.000 | | | 08/15/2039 | | 1,509,945 |
| |
| | 850,000 | | | IL Finance Authority (Luther Oaks) | | | 6.000 | | | 08/15/2026 | | 858,007 |
| |
| | 11,155,000 | | | IL Finance Authority (Provena Health) | | | 7.750 | | | 08/15/2034 | | 13,511,828 |
| |
| | 1,310,000 | | | IL Finance Authority (Rogers Park Montessori School) | | | 6.125 | | | 02/01/2045 | | 1,390,290 |
| |
| | 575,000 | | | IL Finance Authority (Rogers Park Montessori School) | | | 6.000 | | | 02/01/2034 | | 615,290 |
| |
| | 1,090,000 | | | IL Finance Authority (RUMC/RCMC/CMH/RCF/TYW Obligated Group) | | | 7.250 | | | 11/01/2030 | | 1,280,597 |
| |
| | 11,970,000 | | | IL Finance Authority (St. Anthony Lassing) | | | 6.500 | | | 12/01/2032 | | 12,463,762 |
| |
| | 1,500,000 | | | IL Finance Authority (The New Admiral at the Lake) | | | 8.000 | | | 05/15/2040 | | 1,719,810 |
| |
| | 5,775,000 | | | IL Finance Authority (The New Admiral at the Lake) | | | 8.000 | | | 05/15/2046 | | 6,614,916 |
| |
| | 2,850,000 | | | IL Finance Authority (Uno Charter School Network) | | | 7.125 | | | 10/01/2041 | | 3,143,265 |
| |
| | 4,300,000 | | | IL Finance Authority (Villa St. Benedict) | | | 6.125 | | | 11/15/2035 | | 4,407,715 |
| |
| | 4,400,000 | | | IL Finance Authority (Villa St. Benedict) | | | 6.375 | | | 11/15/2043 | | 4,509,252 |
34 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Illinois (Continued) | | | | | | |
| |
| | $5,715,000 | | | IL GO Floaters | | 0.280 %8 | | 05/01/2033 | | $ 5,715,000 |
| |
| | 16,500,000 | | | IL GO Floaters | | 0.260 8 | | 03/01/2033 | | 16,500,000 |
| |
| | 31,740,000 | | | IL Metropolitan Pier & Exposition Authority (McCormick Place Exposition) Floater | | 0.360 8 | | 06/15/2050 | | 31,740,000 |
| |
| | 7,140,000 | | | Lake County, IL Special Service Area No. 83 | | 7.125 | | 03/01/2037 | | 3,556,363 |
| |
| | 13,635,000 | | | Lombard, IL Public Facilities Corp. (Conference Center & Hotel)2 | | 7.125 | | 01/01/2036 | | 6,394,679 |
| |
| | 4,000,000 | | | Manhattan, IL Special Service Area Special Tax (Groebe Farm-Stonegate)3 | | 6.125 | | 03/01/2040 | | 720,440 |
| |
| | 2,950,000 | | | Manhattan, IL Special Service Area Special Tax (Groebe Farm-Stonegate)3 | | 5.750 | | 03/01/2022 | | 531,324 |
| |
| | 1,778,000 | | | Manhattan, IL Special Service Area Special Tax (Lakeside Towns Liberty)3 | | 5.750 | | 03/01/2022 | | 347,652 |
| |
| | 3,500,000 | | | Plano, IL Special Service Area No. 53 | | 6.000 | | 03/01/2036 | | 2,095,275 |
| |
| | 4,440,000 | | | Quad Cities, IL Regional EDA (Heritage Woods Moline) | | 6.000 | | 12/01/2041 | | 4,486,798 |
| |
| | 5,715,000 | | | Quad Cities, IL Regional EDA (Pheasant Ridge Apartments) | | 6.375 | | 08/01/2040 | | 4,550,226 |
| |
| | 162 | | | Robbins, IL Res Rec (Robbins Res Rec Partners) | | 7.250 | | 10/15/2024 | | 175 |
| |
| | 2,500,000 | | | Southwestern IL Devel. Authority (Comprehensive Mental Health Center) | | 6.625 | | 06/01/2037 | | 2,569,450 |
| |
| | 1,500,000 | | | Southwestern IL Devel. Authority (Eden Retirement Center) | | 5.850 | | 12/01/2036 | | 1,405,635 |
| |
| | 12,190,000 | | | Southwestern IL Devel. Authority (Local Government Programming) | | 7.000 | | 10/01/2022 | | 10,359,184 |
| |
| | 4,590,000 | | | Southwestern IL Devel. Authority (Village of Sauget) | | 5.625 | | 11/01/2026 | | 4,289,217 |
| |
| | 10,930,000 | | | Southwestern IL Devel. Authority Solid Waste Disposal (Center Ethanol Company) | | 8.250 | | 12/01/2019 | | 11,145,540 |
| |
| | 12,795,000 | | | Upper, IL River Valley Devel. Authority (DeerPath Huntley) | | 6.500 | | 12/01/2032 | | 13,396,237 |
| |
| | 7,810,000 | | | Upper, IL River Valley Devel. Authority (Living Springs McHenry) | | 6.100 | | 12/01/2041 | | 7,929,103 |
| |
| | 2,990,000 | | | Volo Village, IL Special Service Area (Lancaster Falls) | | 5.750 | | 03/01/2036 | | 3,055,003 |
| |
| | 1,900,000 | | | Will-Kankakee, IL Regional Devel. Authority (Senior Estates Supportive Living) | | 7.000 | | 12/01/2042 | | 1,984,759 |
| |
| | 6,220,000 | | | Yorkville, IL United City Special Services Area Special Tax (Bristol Bay) | | 5.875 | | 03/01/2036 | | 6,336,003 |
| | | | | | | | | | |
| | | | | | | | | | 388,294,941 |
| |
| | Indiana—1.1% | | | | | | |
| | 1,140,000 | | | Anderson, IN Multifamily Hsg. (Cross Lakes Apartments)3 | | 9.000 | | 12/01/2045 | | 570,034 |
| |
| | 955,000 | | | Anderson, IN Multifamily Hsg. (Cross Lakes Apartments)2 | | 8.000 | | 12/01/2045 | | 477,529 |
| |
| | 4,300,000 | | | Carmel, IN Redevel. District COP | | 6.500 | | 07/15/2035 | | 4,761,648 |
| |
| | 5,805,000 | | | East Chicago, IN Solid Waste Disposal (USG Corp.) | | 6.375 | | 08/01/2029 | | 5,819,338 |
| |
| | 1,000,000 | | | Hammond, IN Local Public Improvement District | | 6.750 | | 08/15/2035 | | 1,003,020 |
| |
| | 600,000 | | | Hammond, IN Local Public Improvement District | | 6.500 | | 08/15/2030 | | 601,770 |
35 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Indiana (Continued) | | | | | | |
| |
| | $2,850,000 | | | IN Finance Authority (BHI Senior Living) | | 5.750 % | | 11/15/2041 | | $ 3,179,546 |
| |
| | 1,675,000 | | | IN Finance Authority (BHI Senior Living) | | 5.500 | | 11/15/2031 | | 1,869,216 |
| |
| | 11,505,000 | | | IN Finance Authority (Marian University) | | 6.375 | | 09/15/2041 | | 12,719,698 |
| |
| | 925,000 | | | IN Finance Authority Educational Facilities (Irvington Community) | | 9.000 | | 07/01/2039 | | 935,175 |
| |
| | 6,225,000 | | | IN Hsg. & Community Devel. Authority (Hammond Assisted Living Community) | | 5.750 | | 01/01/2036 | | 6,246,227 |
| |
| | 7,648,049 | | | North Manchester, IN Economic Devel. (Peabody Retirement Community)2,6 | | 1.000 | | 12/01/2045 | | 149,672 |
| |
| | 9,119,085 | | | North Manchester, IN Economic Devel. (Peabody Retirement Community) | | 6.050 8 | | 12/01/2045 | | 7,642,796 |
| |
| | 5,930,000 | | | Shelbyville, IN Redevel. District Tax Increment (Central Shelbyville Economic) | | 6.500 | | 07/01/2022 | | 6,614,797 |
| |
| | 4,000,000 | | | Vincennes, IN Economic Devel. (Southwest Indiana Regional Youth Village) | | 6.250 | | 01/01/2024 | | 3,779,040 |
| | | | | | | | | | |
| | | | | | | | | | 56,369,506 |
| |
| | Iowa—0.9% | | | | | | |
| | 940,000 | | | IA Finance Authority (Amity Fellowserve) | | 6.375 | | 10/01/2026 | | 949,259 |
| |
| | 2,190,000 | | | IA Finance Authority (Amity Fellowserve) | | 6.500 | | 10/01/2036 | | 2,209,009 |
| |
| | 660,000 | | | IA Finance Authority (Amity Fellowserve) | | 6.000 | | 10/01/2028 | | 660,079 |
| |
| | 70,000 | | | IA Finance Authority (Amity Fellowserve) | | 5.900 | | 10/01/2016 | | 70,488 |
| |
| | 1,160,000 | | | IA Finance Authority (Boys & Girls Home and Family Services)3 | | 5.900 | | 12/01/2028 | | 319,046 |
| |
| | 935,000 | | | IA Finance Authority Senior Hsg. (Wedum Walnut Ridge) | | 5.375 | | 06/01/2025 | | 879,957 |
| |
| | 360,990,000 | | | IA Tobacco Settlement Authority | | 7.125 4 | | 06/01/2046 | | 9,418,229 |
| |
| | 25,230,000 | | | IA Tobacco Settlement Authority | | 5.500 | | 06/01/2042 | | 24,503,881 |
| |
| | 10,000,000 | | | IA Tobacco Settlement Authority (TASC) | | 5.625 | | 06/01/2046 | | 9,999,000 |
| | | | | | | | | | |
| | | | | | | | | | 49,008,948 |
| |
| | Kansas—0.0% | | | | | | |
| | 640,000 | | | Lenexa, KS Multifamily Hsg. (Meadows Apartments) | | 7.950 | | 10/15/2035 | | 640,877 |
| |
| | 15,000 | | | Olathe, KS Senior Living Facility (Catholic Care Campus) | | 6.000 | | 11/15/2038 | | 15,116 |
| |
| | 3,701,106 | | | Olathe, KS Tax Increment (Gateway)2 | | 5.000 | | 03/01/2026 | | 1,480,479 |
| | | | | | | | | | |
| | | | | | | | | | 2,136,472 |
| |
| | Kentucky—0.7% | | | | | | |
| | 1,980,000 | | | Kuttawa, KY (1st Mtg.-GF/Kentucky)7 | | 6.750 | | 03/01/2029 | | 1,983,920 |
| |
| | 14,000,000 | | | KY EDFA (Baptist Healthcare System)5 | | 5.375 | | 08/15/2024 | | 15,358,700 |
| |
| | 1,000,000 | | | KY EDFA (Masonic Home Independent Living II) | | 7.375 | | 05/15/2046 | | 1,181,480 |
| |
| | 1,250,000 | | | KY EDFA (Masonic Home Independent Living II) | | 7.250 | | 05/15/2041 | | 1,470,037 |
| |
| | 7,750,000 | | | KY Municipal Power Agency7 | | 5.000 | | 09/01/2035 | | 8,968,533 |
| |
| | 5,000,000 | | | KY Municipal Power Agency7 | | 5.000 | | 09/01/2036 | | 5,762,000 |
| | | | | | | | | | |
| | | | | | | | | | 34,724,670 |
| |
| | Louisiana—0.6% | | | | | | |
| | 12,270,000 | | | East Baton Rouge Parish, LA Sewer | | 5.000 | | 02/01/2039 | | 14,246,575 |
| |
| | 1,200,000 | | | Juban Park, LA Community Devel. District Special Assessment3 | | 5.150 | | 10/01/2014 | | 241,332 |
36 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Louisiana (Continued) | | | | | | |
| |
| | $11,415,000 | | | LA HFA (La Chateau) | | 7.250 % | | 09/01/2039 | | $ 12,444,062 |
| |
| | 5,350,000 | | | LA Public Facilities Authority (Progressive Healthcare)2 | | 6.375 | | 10/01/2028 | | 1,872,714 |
| |
| | 555,000 | | | LA Public Facilities Authority (Progressive Healthcare)3 | | 6.375 | | 10/01/2020 | | 194,272 |
| | | | | | | | | | |
| | | | | | | | | | 28,998,955 |
| |
| | Maine—0.4% | | | | | | |
| | 2,000,000 | | | ME H&HEFA (Maine General Medical Center) | | 6.750 | | 07/01/2041 | | 2,281,320 |
| |
| | 4,800,000 | | | Rumford, ME Pollution Control (Boise Cascade Corp.) | | 6.625 | | 07/01/2020 | | 4,821,360 |
| |
| | 12,265,000 | | | Rumford, ME Solid Waste Disposal (Boise Cascade Corp.) | | 6.875 | | 10/01/2026 | | 12,319,579 |
| | | | | | | | | | |
| | | | | | | | | | 19,422,259 |
| |
| | Maryland—0.0% | | | | | | |
| | 6,861,636 | | | Salisbury, MD Special Obligation (Villages at Salisbury Lake)2 | | 5.250 4 | | 01/01/2037 | | 722,873 |
|
| |
| | Massachusetts—1.3% | | | | | | |
| | 6,905,000 | | | MA Devel. Finance Agency (Lasell College) | | 6.000 | | 07/01/2041 | | 7,845,530 |
| |
| | 2,057,748 | | | MA Devel. Finance Agency (Linden Ponds) | | 6.250 | | 11/15/2039 | | 1,990,789 |
| |
| | 321,825 | | | MA Devel. Finance Agency (Linden Ponds) | | 5.500 | | 11/15/2046 | | 278,424 |
| |
| | 6,062,305 | | | MA Devel. Finance Agency (Linden Ponds) | | 6.250 | | 11/15/2046 | | 5,845,335 |
| |
| | 1,600,702 | | | MA Devel. Finance Agency (Linden Ponds) | | 0.965 4 | | 11/15/2056 | | 9,268 |
| |
| | 685,000 | | | MA Devel. Finance Agency (Linden Ponds) | | 6.250 | | 11/15/2018 | | 684,404 |
| |
| | 318,761 | | | MA Devel. Finance Agency (Northern Berkshire Healthcare)3 | | 6.000 | | 02/15/2043 | | 12,751 |
| |
| | 210,443 | | | MA Devel. Finance Agency (Northern Berkshire Healthcare)2 | | 3.184 4 | | 02/15/2043 | | 6,313 |
| |
| | 365,340 | | | MA Devel. Finance Agency (Northern Berkshire Healthcare)2 | | 0.000 | | 02/15/2043 | | 10,960 |
| |
| | 1,000,000 | | | MA Devel. Finance Agency (VOA Concord) | | 5.200 | | 11/01/2041 | | 1,002,280 |
| |
| | 10,485,000 | | | MA Educational Financing Authority, Series H | | 6.350 | | 01/01/2030 | | 11,030,639 |
| |
| | 9,980,000 | | | MA HFA, Series A5 | | 5.300 | | 06/01/2049 | | 10,148,825 |
| |
| | 8,015,000 | | | MA HFA, Series C5 | | 5.400 | | 12/01/2049 | | 8,127,123 |
| |
| | 17,790,000 | | | MA HFA, Series C5 | | 5.350 | | 12/01/2042 | | 18,615,456 |
| |
| | 220,000 | | | MA Industrial Finance Agency (Cambridge Friends School) | | 5.800 | | 09/01/2028 | | 220,209 |
| |
| | 50,000 | | | MA Port Authority (Delta Air Lines) | | 5.000 | | 01/01/2027 | | 50,157 |
| | | | | | | | | | |
| | | | | | | | | | 65,878,463 |
| |
| | Michigan—1.6% | | | | | | |
| | 4,140,000 | | | Charyl Stockwell Academy, MI Public School Academy | | 5.750 | | 10/01/2045 | | 4,053,101 |
| |
| | 2,740,000 | | | Charyl Stockwell Academy, MI Public School Academy | | 5.500 | | 10/01/2035 | | 2,713,778 |
| |
| | 10,100,000 | | | Detroit, MI City School District5 | | 6.000 | | 05/01/2029 | | 12,766,703 |
| |
| | 206,150 | | | Detroit, MI GO | | 5.250 | | 04/01/2022 | | 204,157 |
| |
| | 906,750 | | | Detroit, MI GO | | 5.000 | | 04/01/2021 | | 906,841 |
| |
| | 803,643 | | | Detroit, MI GO | | 5.000 | | 04/01/2020 | | 803,796 |
| |
| | 54,250 | | | Detroit, MI GO | | 5.250 | | 04/01/2017 | | 54,349 |
37 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Michigan (Continued) | | | | | | |
| |
| | $350,300 | | | Detroit, MI GO | | 5.250 % | | 04/01/2020 | | $ 350,577 |
| |
| | 155,000 | | | Detroit, MI GO | | 5.250 | | 04/01/2020 | | 155,087 |
| |
| | 250,000 | | | Detroit, MI GO | | 5.250 | | 11/01/2035 | | 272,200 |
| |
| | 15,500 | | | Detroit, MI GO | | 5.250 | | 04/01/2023 | | 15,500 |
| |
| | 342,550 | | | Detroit, MI GO | | 5.250 | | 04/01/2021 | | 342,649 |
| |
| | 2,150,000 | | | Detroit, MI Local Devel. Finance Authority | | 6.700 | | 05/01/2021 | | 2,151,526 |
| |
| | 1,355,000 | | | Detroit, MI Local Devel. Finance Authority | | 6.850 | | 05/01/2021 | | 1,356,233 |
| |
| | 425,000 | | | Macomb, MI Public Academy | | 6.750 | | 05/01/2037 | | 426,347 |
| |
| | 1,123,850 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2022 | | 1,123,771 |
| |
| | 4,943,250 | | | MI Finance Authority (City of Detroit) | | 5.000 | | 04/01/2021 | | 4,943,744 |
| |
| | 845,000 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2020 | | 845,068 |
| |
| | 295,750 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2017 | | 296,291 |
| |
| | 1,867,450 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2021 | | 1,867,599 |
| |
| | 84,500 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2023 | | 84,508 |
| |
| | 1,909,700 | | | MI Finance Authority (City of Detroit) | | 5.250 | | 04/01/2020 | | 1,911,209 |
| |
| | 1,400,000 | | | MI Finance Authority (Old Redford Public School Academy) | | 5.900 | | 12/01/2030 | | 1,426,712 |
| |
| | 765,000 | | | MI Public Educational Facilities Authority (American Montessori) | | 6.500 | | 12/01/2037 | | 778,801 |
| |
| | 1,400,000 | | | MI Public Educational Facilities Authority (Old Redford Academy) | | 6.000 | | 12/01/2035 | | 1,400,336 |
| |
| | 1,222,500 | | | MI Strategic Fund Limited Obligation (Wolverine Human Services) | | 7.875 | | 08/31/2028 | | 1,259,994 |
| |
| | 2,750,000 | | | MI Strategic Fund Solid Waste (Genesee Power Station) | | 7.500 | | 01/01/2021 | | 2,736,415 |
| |
| | 3,048,780,000 | | | MI Tobacco Settlement Finance Authority | | 8.877 4 | | 06/01/2058 | | 15,335,363 |
| |
| | 344,990,000 | | | MI Tobacco Settlement Finance Authority | | 7.268 4 | | 06/01/2052 | | 4,626,316 |
| |
| | 1,625,000 | | | Pontiac, MI City School District | | 4.500 | | 05/01/2020 | | 1,484,909 |
| |
| | 1,873,000 | | | Wayne County, MI GO | | 2.428 8 | | 12/01/2016 | | 1,859,833 |
| |
| | 13,830,000 | | | Wayne, MI Charter County Airport Facilities (Northwest Airlines) | | 6.000 | | 12/01/2029 | | 13,865,405 |
| | | | | | | | | | |
| | | | | | | | | | 82,419,118 |
| |
| | Minnesota—0.5% | | | | | | |
| | 6,370,000 | | | International Falls, MN Solid Waste Disposal (Boise Cascade Corp.) | | 6.850 | | 12/01/2029 | | 6,398,346 |
| |
| | 5,340,000 | | | Minneapolis, MN Multifamily Hsg. (Blaisdell Apartments) | | 5.500 | | 04/01/2042 | | 5,310,203 |
| |
| | 730,000 | | | Minneapolis, MN Multifamily Hsg. (Blaisdell Apartments) | | 5.400 | | 04/01/2028 | | 730,051 |
| |
| | 790,000 | | | St. Anthony, MN Hsg. & Redevel. Authority (Silver Lake Village) | | 5.625 | | 02/01/2031 | | 810,935 |
| |
| | 800,000 | | | St. Anthony, MN Hsg. & Redevel. Authority (Silver Lake Village)7 | | 5.375 | | 08/01/2021 | | 820,192 |
| |
| | 1,570,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Bridgecreek Senior Place) | | 7.000 | | 09/15/2037 | | 1,571,429 |
| |
| | 1,668,843 | | | St. Paul, MN Hsg. & Redevel. Authority (Episcopal Nursing Home) | | 5.630 | | 10/01/2033 | | 1,696,479 |
| |
| | 2,636,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Great Northern Lofts) | | 6.250 | | 03/01/2029 | | 2,656,271 |
38 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | |
Principal Amount | | | | | Coupon | | Maturity | | Value |
| |
| | Minnesota (Continued) | | | | | | |
| |
| | $400,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Hmong Academy) | | 5.750 % | | 09/01/2026 | | $ 403,444 |
| |
| | 650,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Hmong Academy) | | 6.000 | | 09/01/2036 | | 655,701 |
| |
| | 2,305,000 | | | St. Paul, MN Hsg. & Redevel. Authority Charter School (Hmong College Prep Academy) | | 5.500 | | 09/01/2043 | | 2,414,395 |
| |
| | 600,000 | | | St. Paul, MN Port Authority (Great Northern) | | 6.000 | | 03/01/2030 | | 601,026 |
| |
| | 459,650 | | | St. Paul, MN Port Authority Parking Revenue (4th Parking Ramp)3 | | 8.000 | | 12/01/2027 | | 169,955 |
| |
| | 560,000 | | | Wadena, MN Hsg. & Redevel. Authority (Humphrey Manor East)7 | | 6.000 | | 02/01/2019 | | 556,035 |
| | | | | | | | | | |
| | | | | | | | | | 24,794,462 |
| |
| | Mississippi—0.2% | | | | | | |
| | 2,235,000 | | | Meridian, MS Tax Increment (Meridian Crossroads) | | 8.750 | | 12/01/2024 | | 2,508,854 |
| |
| | 3,885,000 | | | MS Business Finance Corp. (Intrinergy Wiggins)2 | | 8.000 | | 01/01/2023 | | 2,519,539 |
| |
| | 1,755,000 | | | Ridgeland, MS Tax Increment (Colony Park) | | 5.375 | | 10/01/2028 | | 1,876,130 |
| |
| | 1,395,000 | | | Ridgeland, MS Tax Increment (Colony Park) | | 5.250 | | 10/01/2027 | | 1,486,303 |
| |
| | 16,410,000 | | | Stonebridge, MS Public Improvement District Special Assessment3 | | 7.500 | | 10/01/2042 | | 2,297,400 |
| | | | | | | | | | |
| | | | | | | | | | 10,688,226 |
| |
| | Missouri—1.4% | | | | | | |
| | 400,000 | | | Belton, MO Tax Increment (Belton Town Center) | | 5.625 | | 03/01/2025 | | 401,868 |
| |
| | 250,000 | | | Belton, MO Tax Increment (Belton Town Center) | | 5.500 | | 03/01/2020 | | 251,140 |
| |
| | 4,900,000 | | | Branson, MO Commerce Park Community Improvement District2 | | 5.750 | | 06/01/2026 | | 1,224,853 |
| |
| | 2,485,000 | | | Branson, MO IDA (Branson Hills Redevel.) | | 5.750 | | 05/01/2026 | | 2,521,008 |
| |
| | 13,000,000 | | | Branson, MO IDA (Branson Hills Redevel.) | | 7.050 | | 05/01/2027 | | 13,017,290 |
| |
| | 1,050,000 | | | Branson, MO IDA (Branson Landing) | | 5.250 | | 06/01/2021 | | 1,050,746 |
| |
| | 2,470,000 | | | Branson, MO IDA (Branson Landing) | | 5.500 | | 06/01/2029 | | 2,470,395 |
| |
| | 20,600,000 | | | Branson, MO IDA (Branson Shoppe Redevel.) | | 5.950 | | 11/01/2029 | | 20,845,758 |
| |
| | 570,000 | | | Broadway-Fairview, MO Transportation Devel. District (Columbia) | | 6.125 | | 12/01/2036 | | 455,920 |
| |
| | 3,100,000 | | | Chillicothe, MO Tax Increment (South U.S. 65) | | 5.625 | | 04/01/2027 | | 2,132,831 |
| |
| | 1,215,000 | | | Chillicothe, MO Tax Increment (South U.S. 65) | | 5.500 | | 04/01/2021 | | 969,449 |
| |
| | 1,240,000 | | | Jennings, MO Tax Increment & Community Improvement (Northland Redevel. Area) | | 5.000 | | 11/01/2023 | | 1,241,054 |
| |
| | 1,206,000 | | | Kansas City, MO IDA (West Paseo) | | 6.750 | | 07/01/2036 | | 1,208,738 |
| |
| | 1,200,000 | | | Kansas City, MO Tax Increment (Shoal Creek Parkway) | | 6.500 | | 06/01/2025 | | 1,205,388 |
| |
| | 1,200,000 | | | Lees Summit, MO IDA (Kensington Farms) | | 5.500 | | 03/01/2021 | | 736,428 |
| |
| | 750,000 | | | Lees Summit, MO IDA (Kensington Farms) | | 5.750 | | 03/01/2029 | | 457,245 |
| |
| | 2,800,000 | | | Lees Summit, MO Tax (Summit Fair Community Improvement District) | | 6.000 | | 05/01/2042 | | 2,891,784 |
| |
| | 2,310,000 | | | Liberty, MO Tax Increment (Liberty Triangle) | | 5.875 | | 10/01/2029 | | 2,369,529 |
| |
| | 3,825,000 | | | MO Dardenne Town Square Transportation Devel. District2 | | 5.000 | | 05/01/2036 | | 1,377,459 |
| |
| | 3,020,000 | | | MO Dardenne Town Square Transportation Devel. District2 | | 5.000 | | 05/01/2026 | | 1,087,562 |
39 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Missouri (Continued) | | | | | | | | | | | | |
| | |
| | $220,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.250 | % | | | 10/01/2021 | | | $ | 216,295 | |
| | |
| | 400,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.400 | | | | 10/01/2026 | | | | 380,644 | |
| | |
| | 115,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.550 | | | | 10/01/2036 | | | | 103,650 | |
| | |
| | 700,000 | | | Northwoods, MO Transportation Devel. District7 | | | 5.850 | | | | 02/01/2031 | | | | 661,927 | |
| | |
| | 4,580,000 | | | St. Louis, MO IDA (Railway Exchange Building Redevel.)3 | | | 8.000 | | | | 04/27/2033 | | | | 1,602,313 | |
| | |
| | 2,442,000 | | | St. Louis, MO Tax Increment (1601 Washington Redevel.) | | | 6.000 | | | | 08/21/2026 | | | | 1,609,889 | |
| | |
| | 2,034,000 | | | St. Louis, MO Tax Increment (Pet Building Redevel.) | | | 5.500 | | | | 05/29/2028 | | | | 1,364,428 | |
| | |
| | 1,660,000 | | | St. Louis, MO Tax Increment (Printers Lofts)2 | | | 6.000 | | | | 08/21/2026 | | | | 790,110 | |
| | |
| | 3,043,000 | | | St. Louis, MO Tax Increment (Security Building Redevel.)2 | | | 6.300 | | | | 04/01/2027 | | | | 1,525,212 | |
| | |
| | 1,510,000 | | | St. Louis, MO Tax Increment (Washington East Condominiums)3 | | | 5.500 | | | | 01/20/2028 | | | | 1,062,919 | |
| | |
| | 2,367,000 | | | St. Louis, MO Tax Increment (Washington East Condominiums) | | | 5.500 | | | | 01/20/2028 | | | | 1,967,876 | |
| | |
| | 1,108,000 | | | St. Louis, MO Tax Increment Financing, Series A | | | 5.500 | | | | 09/02/2028 | | | | 723,867 | |
| | |
| | 975,000 | | | Stone Canyon, MO Improvement District (Infrastructure)3 | | | 5.750 | | | | 04/01/2027 | | | | 297,336 | |
| | |
| | 1,865,000 | | | Stone Canyon, MO Improvement District (Infrastructure)3 | | | 5.700 | | | | 04/01/2022 | | | | 568,806 | |
| | |
| | 360,000 | | | Suemandy, MO Mid-Rivers Community Improvement District | | | 7.500 | | | | 10/01/2029 | | | | 377,345 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 71,169,062 | |
| | | | | | | | | | | | | | | | |
| | |
| | Montana—0.1% | | | | | | | | | | | | |
| | 5,935,000 | | | Hardin, MT Tax Increment Industrial Infrastructure Devel. (Rocky Mountain Power)2 | | | 6.250 | 1 | | | 09/01/2031 | | | | 2,076,954 | |
| | |
| | 1,650,000 | | | MT Facilities Finance Authority (St. John’s Lutheran) | | | 6.125 | | | | 05/15/2036 | | | | 1,674,321 | |
| | |
| | 1,125,000 | | | MT Facilities Finance Authority (St. John’s Lutheran) | | | 6.000 | | | | 05/15/2025 | | | | 1,141,706 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 4,892,981 | |
| | | | | | | | | | | | | | | | |
| | |
| | Nebraska—0.6% | | | | | | | | | | | | |
| | 820,000 | | | Beatrice, NE Community Redevel. Authority (Beatrice Biodiesel) | | | 6.625 | | | | 12/01/2021 | | | | 803,256 | |
| | |
| | 20,000,000 | | | Douglas County, NE Hospital Authority (Methodist Health System)5 | | | 5.750 | | | | 11/01/2048 | | | | 22,671,763 | |
| | |
| | 2,400,000 | | | NE Educational Facilities Authority (Midland Lutheran College) | | | 5.600 | | | | 09/15/2029 | | | | 2,333,040 | |
| | |
| | 5,715,000 | | | Santee Sioux Nation, NE Tribal Health Care (Indian Health Service) | | | 8.750 | | | | 10/01/2020 | | | | 5,734,145 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 31,542,204 | |
| | | | | | | | | | | | | | | | |
| | |
| | Nevada—0.1% | | | | | | | | | | | | |
| | 770,000 | | | Clark County, NV Improvement District | | | 5.050 | | | | 02/01/2031 | | | | 763,363 | |
| | |
| | 1,000,000 | | | Clark County, NV Improvement District | | | 5.000 | | | | 02/01/2026 | | | | 1,000,190 | |
40 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Nevada (Continued) | | | | | | | | | | | | |
| | |
| | $390,000 | | | Mesquite, NV Special Improvement District (Canyon Creek)7 | | | 5.500 | % | | | 08/01/2025 | | | $ | 354,962 | |
| | |
| | 110,000 | | | Mesquite, NV Special Improvement District (Canyon Creek) | | | 5.400 | | | | 08/01/2020 | | | | 107,065 | |
| | |
| | 1,555,000 | | | Mesquite, NV Special Improvement District No. 07-01 (Anthem at Mesquite)7 | | | 6.150 | | | | 08/01/2037 | | | | 1,579,336 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,804,916 | |
| | | | | | | | | | | | | | | | |
| | |
| | New Hampshire—0.1% | | | | | | | | | | | | |
| | 1,420,000 | | | NH Business Finance Authority (Huggins Hospital) | | | 6.875 | | | | 10/01/2039 | | | | 1,519,968 | |
| | |
| | 4,620,000 | | | NH H&EFA (Franklin Pierce College) | | | 6.050 | | | | 10/01/2034 | | | | 4,483,895 | |
| | |
| | 515,000 | | | NH HE&HFA (Franklin Pierce College) | | | 5.300 | | | | 10/01/2028 | | | | 477,667 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 6,481,530 | |
| | | | | | | | | | | | | | | | |
| | |
| | New Jersey—6.3% | | | | | | | | | | | | |
| | 3,583,000 | | | Newark, NJ GO | | | 5.000 | | | | 07/15/2029 | | | | 3,912,600 | |
| | |
| | 115,000 | | | NJ EDA (Cadbury at Cherry Hill) | | | 5.500 | | | | 07/01/2018 | | | | 114,200 | |
| | |
| | 140,000 | | | NJ EDA (Continental Airlines) | | | 4.875 | | | | 09/15/2019 | | | | 147,917 | |
| | |
| | 3,750,000 | | | NJ EDA (Continental Airlines) | | | 5.625 | | | | 11/15/2030 | | | | 4,264,875 | |
| | |
| | 10,500,000 | | | NJ EDA (GMT Realty) | | | 6.875 | | | | 01/01/2037 | | | | 10,500,000 | |
| | |
| | 565,000 | | | NJ EDA (Leap Academy Charter School) | | | 6.000 | | | | 10/01/2034 | | | | 584,622 | |
| | |
| | 500,000 | | | NJ EDA (Leap Academy Charter School) | | | 6.300 | | | | 10/01/2049 | | | | 514,025 | |
| | |
| | 750,000 | | | NJ EDA (Leap Academy Charter School) | | | 6.200 | | | | 10/01/2044 | | | | 771,172 | |
| | |
| | 1,000,000 | | | NJ EDA (Paterson Charter School Science & Technology) | | | 6.100 | | | | 07/01/2044 | | | | 1,013,210 | |
| | |
| | 8,020,000 | | | NJ Health Care Facilities Financing Authority (Raritan Bay Medical Center) | | | 7.250 | | | | 07/01/2027 | | | | 8,032,912 | |
| | |
| | 91,555,000 | | | NJ Tobacco Settlement Financing Corp. | | | 5.000 | | | | 06/01/2041 | | | | 76,973,951 | |
| | |
| | 162,455,000 | | | NJ Tobacco Settlement Financing Corp. | | | 4.750 | | | | 06/01/2034 | | | | 136,424,835 | |
| | |
| | 91,125,000 | | | NJ Tobacco Settlement Financing Corp. | | | 5.000 | | | | 06/01/2029 | | | | 86,521,365 | |
| | |
| | 210,000 | | | Weehawken Township, NJ GO | | | 6.000 | | | | 08/01/2022 | | | | 246,259 | |
| | |
| | 210,000 | | | Weehawken Township, NJ GO | | | 6.000 | | | | 08/01/2021 | | | | 247,706 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 330,269,649 | |
| | | | | | | | | | | | | | | | |
| | |
| | New Mexico—0.2% | | | | | | | | | | | | |
| | 615,000 | | | Boulders, NM Pubic Improvement District | | | 5.750 | | | | 10/01/2044 | | | | 631,980 | |
| | |
| | 420,000 | | | Mariposa East, NM Public Improvement District | | | 5.900 | 1 | | | 09/01/2032 | | | | 387,181 | |
| | |
| | 560,000 | | | Mariposa East, NM Public Improvement District | | | 5.900 | | | | 09/01/2032 | | | | 486,220 | |
| | |
| | 500,000 | | | Mariposa East, NM Public Improvement District | | | 12.495 | 4 | | | 09/01/2032 | | | | 59,945 | |
| | |
| | 90,000 | | | Mariposa East, NM Public Improvement District | | | 5.900 | | | | 09/01/2032 | | | | 91,252 | |
| | |
| | 875,000 | | | Montecito Estates, NM Public Improvement District | | | 7.000 | | | | 10/01/2037 | | | | 896,403 | |
| | |
| | 112,000 | | | NM Regional Hsg. Authority (Wildewood Apartments) | | | 8.750 | | | | 12/01/2020 | | | | 112,060 | |
| | |
| | 1,925,000 | | | NM Trails Public Improvement District | | | 7.750 | | | | 10/01/2038 | | | | 1,899,821 | |
| | |
| | 4,410,000 | | | Saltillo, NM Improvement District | | | 7.625 | | | | 10/01/2037 | | | | 4,590,854 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,155,716 | |
| | | | | | | | | | | | | | | | |
| | |
| | New York—7.7% | | | | | | | | | | | | |
| | 14,980,000 | | | Brookhaven, NY IDA (BK at Lake Grove) | | | 7.750 | 8 | | | 11/01/2046 | | | | 16,224,389 | |
| | |
| | 15,015,000 | | | Brookhaven, NY IDA (BK at Lake Grove) | | | 7.750 | 8 | | | 11/01/2046 | | | | 16,270,404 | |
41 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | New York (Continued) | | | | | | | | | | | | |
| | |
| | $10,000,000 | | | Brookhaven, NY IDA (BK at Lake Grove) | | | 7.750 | %8 | | | 11/01/2046 | | | $ | 10,830,700 | |
| | |
| | 1,010,000 | | | Erie County, NY Tobacco Asset Securitization Corp. | | | 5.000 | | | | 06/01/2045 | | | | 990,123 | |
| | |
| | 17,700,000 | | | Erie County, NY Tobacco Asset Securitization Corp. | | | 6.656 | 4 | | | 06/01/2055 | | | | 149,034 | |
| | |
| | 1,500,000 | | | Islip, NY IDA (Engel Burman at Sayville) | | | 7.750 | 8 | | | 11/01/2045 | | | | 1,628,730 | |
| | |
| | 1,000,000 | | | Monroe County, NY Industrial Devel. Corp. (St. John Fisher College) | | | 6.000 | | | | 06/01/2030 | | | | 1,163,330 | |
| | |
| | 1,780,000 | | | Nassau County, NY IDA (Amsterdam at Harborside) | | | 6.700 | | | | 01/01/2049 | | | | 1,775,176 | |
| | |
| | 3,432,770 | | | Nassau County, NY IDA (Amsterdam at Harborside) | | | 5.500 | | | | 07/01/2020 | | | | 3,440,597 | |
| | |
| | 2,100,000 | | | Nassau County, NY IDA (Amsterdam at Harborside) | | | 6.700 | | | | 01/01/2049 | | | | 2,094,309 | |
| | |
| | 2,937,408 | | | Nassau County, NY IDA (Amsterdam at Harborside)3 | | | 2.000 | | | | 01/01/2049 | | | | 167,403 | |
| | |
| | 750,000 | | | Nassau County, NY IDA (Amsterdam at Harborside) | | | 6.500 | | | | 01/01/2032 | | | | 754,305 | |
| | |
| | 1,895,000 | | | Nassau County, NY Tobacco Settlement Corp. | | | 5.125 | | | | 06/01/2046 | | | | 1,639,023 | |
| | |
| | 2,000,000 | | | Nassau County, NY Tobacco Settlement Corp. (TASC) | | | 5.000 | | | | 06/01/2035 | | | | 1,817,440 | |
| | |
| | 413,400,000 | | | NY Counties Tobacco Trust V | | | 7.848 | 4 | | | 06/01/2060 | | | | 1,690,806 | |
| | |
| | 412,100,000 | | | NY Counties Tobacco Trust V | | | 7.151 | 4 | | | 06/01/2060 | | | | 1,607,190 | |
| | |
| | 37,380,000 | | | NY Liberty Devel. Corp. (Bank of America Tower)5,9 | | | 5.125 | | | | 01/15/2044 | | | | 41,595,536 | |
| | |
| | 10,000,000 | | | NY MTA, Series C-1 | | | 5.000 | | | | 11/15/2034 | | | | 11,929,500 | |
| | |
| | 900,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2029 | | | | 1,100,295 | |
| | |
| | 560,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2028 | | | | 687,842 | |
| | |
| | 485,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2027 | | | | 598,078 | |
| | |
| | 900,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2030 | | | | 1,099,296 | |
| | |
| | 900,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2033 | | | | 1,087,002 | |
| | |
| | 900,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2032 | | | | 1,091,295 | |
| | |
| | 900,000 | | | NY MTA, Series D | | | 5.250 | | | | 11/15/2031 | | | | 1,095,606 | |
| | |
| | 1,500,000 | | | NY TSASC, Inc. (TFABs) | | | 5.125 | | | | 06/01/2042 | | | | 1,391,475 | |
| | |
| | 8,765,000 | | | NY/NJ Port Authority Austin Trust Inverse Certificates | | | 7.937 | 10 | | | 04/01/2036 | | | | 8,876,315 | |
| | |
| | 14,200,000 | | | NYC IDA (American Airlines) | | | 8.000 | | | | 08/01/2028 | | | | 14,827,072 | |
| | |
| | 40,000,000 | | | NYC IDA (American Airlines) | | | 7.750 | | | | 08/01/2031 | | | | 41,716,400 | |
| | |
| | 59,000,000 | | | NYC IDA (American Airlines) | | | 7.625 | | | | 08/01/2025 | | | | 61,494,520 | |
| | |
| | 6,740,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 5.650 | | | | 10/01/2028 | | | | 5,743,895 | |
| | |
| | 5,850,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 5.750 | | | | 10/01/2036 | | | | 4,941,437 | |
| | |
| | 8,630,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 6.200 | | | | 10/01/2022 | | | | 8,328,123 | |
| | |
| | 12,955,000 | | | NYC Municipal Water Finance Authority5 | | | 5.750 | | | | 06/15/2040 | | | | 14,426,154 | |
| | |
| | 10,000,000 | | | NYS DA (Sales Tax) | | | 5.000 | | | | 03/15/2035 | | | | 12,122,400 | |
| | |
| | 19,800,000 | | | NYS DA (St. Mary’s Hospital for Children) | | | 7.875 | | | | 11/15/2041 | | | | 21,482,406 | |
| | |
| | 5,000,000 | | | NYS DA (State Personal Income Tax Authority) | | | 5.250 | | | | 03/15/2033 | | | | 6,206,200 | |
| | |
| | 14,870,000 | | | NYS DA (State Personal Income Tax Authority) | | | 5.000 | | | | 03/15/2036 | | | | 17,856,937 | |
| | |
| | 14,075,000 | | | NYS DA (State Personal Income Tax Authority) | | | 5.000 | | | | 02/15/2036 | | | | 16,750,517 | |
42 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | New York (Continued) | | | | | | | | | | | | |
| | |
| | $21,750,000 | | | NYS Liberty Devel. Corp. (4 World Trade Center) | | | 5.750 | % | | | 11/15/2051 | | | $ | 25,463,378 | |
| | |
| | 200,000 | | | Port Authority NY/NJ (JFK International Air Terminal) | | | 5.750 | | | | 12/01/2025 | | | | 205,360 | |
| | |
| | 2,200,000 | | | Port Authority NY/NJ (KIAC) | | | 6.750 | | | | 10/01/2019 | | | | 2,200,132 | |
| | |
| | 8,385,000 | | | Suffolk, NY Tobacco Asset Securitization Corp. | | | 6.000 | | | | 06/01/2048 | | | | 8,178,645 | |
| | |
| | 2,000,000 | | | Westchester County, NY Tobacco Asset Securitization Corp. | | | 5.125 | | | | 06/01/2045 | | | | 1,999,840 | |
| | |
| | 2,200,000 | | | Yonkers, NY IDA (St. Joseph’s Hospital), Series 98-C7 | | | 6.200 | | | | 03/01/2020 | | | | 2,200,462 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 398,939,077 | |
| | | | | | | | | | | | | | | | |
| | |
| | North Carolina—0.1% | | | | | | | | | | | | |
| | 1,500,000 | | | NC Medical Care Commission (AHACHC) | | | 5.800 | | | | 10/01/2034 | | | | 1,504,095 | |
| | |
| | 1,650,000 | | | NC Medical Care Commission (Whitestone) | | | 7.750 | | | | 03/01/2031 | | | | 1,903,127 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 3,407,222 | |
| | | | | | | | | | | | | | | | |
| | |
| | North Dakota—0.0% | | | | | | | | | | | | |
| | 2,410,000 | | | Richland County, ND Hsg. (Birchwood Properties) | | | 6.750 | | | | 05/01/2029 | | | | 2,409,639 | |
| | | | | | | | | | | | | | | | |
| | |
| | Ohio—9.2% | | | | | | | | | | | | |
| | 9,950,000 | | | Allen County, OH Hospital Facilities (Catholic Healthcare)5 | | | 5.000 | | | | 06/01/2038 | | | | 11,035,640 | |
| | |
| | 77,055,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.250 | 1 | | | 06/01/2037 | | | | 71,696,595 | |
| | |
| | 113,205,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.875 | | | | 06/01/2047 | | | | 100,283,781 | |
| | |
| | 18,115,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.375 | | | | 06/01/2024 | | | | 16,861,261 | |
| | |
| | 2,295,300,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 7.504 | 4 | | | 06/01/2052 | | | | 23,572,731 | |
| | |
| | 44,380,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.500 | | | | 06/01/2047 | | | | 42,321,656 | |
| | |
| | 30,200,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.875 | | | | 06/01/2030 | | | | 27,238,588 | |
| | |
| | 37,115,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.125 | | | | 06/01/2024 | | | | 34,022,949 | |
| | |
| | 12,937,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.000 | | | | 06/01/2042 | | | | 11,602,548 | |
| | |
| | 22,775,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.750 | | | | 06/01/2034 | | | | 20,187,532 | |
| | |
| | 5,645,000 | | | Butler County, OH Port Authority (Maple Knoll Communities) | | | 7.000 | | | | 07/01/2043 | | | | 5,742,658 | |
| | |
| | 4,495,000 | | | Centerville, OH Health Care (Bethany Lutheran Village) | | | 6.000 | | | | 11/01/2038 | | | | 4,671,204 | |
| | |
| | 1,305,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments) | | | 5.500 | | | | 09/01/2050 | | | | 1,319,459 | |
| | |
| | 2,075,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments) | | | 5.250 | | | | 09/01/2040 | | | | 2,096,705 | |
| | |
| | 645,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments) | | | 5.375 | | | | 09/01/2045 | | | | 653,166 | |
43 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Ohio (Continued) | | | | | | | | | | | | |
| | |
| | $310,000 | | | Columbus-Franklin County, OH Finance Authority, Series A | | | 6.000 | % | | | 05/15/2035 | | | $ | 321,647 | |
| | |
| | 9,310,000 | | | Cuyahoga County, OH Hospital Facilities (CSAHS-UHHS-Cuyahoga/Canton Obligated Group) | | | 7.500 | | | | 01/01/2030 | | | | 9,327,689 | |
| | |
| | 32,200,000 | | | Gallia County, OH Hospital Facilities (Holzer/HHlthS/HMCG/HMCJ Obligated Group) | | | 8.000 | | | | 07/01/2042 | | | | 37,477,580 | |
| | |
| | 7,500,000 | | | Grove City, OH Tax Increment Financing | | | 5.375 | | | | 12/01/2031 | | | | 7,612,950 | |
| | |
| | 1,450,000 | | | Hancock County, OH Hospital (BVRHC/BVHF Obligated Group) | | | 6.250 | | | | 12/01/2034 | | | | 1,721,324 | |
| | |
| | 629,413 | | | Hickory Chase, OH Community Authority Infrastructure Improvement3 | | | 7.000 | | | | 12/01/2038 | | | | 314,707 | |
| | |
| | 20,000 | | | Lake County, OH Hospital Facilities (Lake Hospital System) | | | 5.750 | | | | 08/15/2038 | | | | 21,951 | |
| | |
| | 105,000 | | | Lake County, OH Hospital Facilities (Lake Hospital System) | | | 5.750 | | | | 08/15/2038 | | | | 118,179 | |
| | |
| | 520,000 | | | Lorain County, OH Port Authority (Alumalloy LLC) | | | 6.000 | | | | 11/15/2025 | | | | 520,026 | |
| | |
| | 10,000,000 | | | Montgomery County, OH (Miami Valley Hospital)5 | | | 5.750 | | | | 11/15/2023 | | | | 11,915,400 | |
| | |
| | 18,700,000 | | | OH Higher Education Facility Commission (Hiram College) | | | 6.000 | | | | 10/01/2041 | | | | 18,972,085 | |
| | |
| | 2,235,822 | | | OH Port Authority of Columbiana Solid Waste (Apex Environmental)3 | | | 10.820 | | | | 08/01/2034 | | | | 379,307 | |
| | |
| | 16,320,000 | | | OH Port Authority of Columbiana Solid Waste (Apex Environmental)3 | | | 7.250 | | | | 08/01/2034 | | | | 2,768,688 | |
| | |
| | 2,500,000 | | | Port of Greater Cincinnati, OH Devel. Authority (Public Parking Infrastructure) | | | 6.400 | | | | 02/15/2034 | | | | 1,767,125 | |
| | |
| | 1,605,000 | | | Port of Greater Cincinnati, OH Devel. Authority (Public Parking Infrastructure) | | | 6.300 | | | | 02/15/2024 | | | | 1,163,416 | |
| | |
| | 4,100,000 | | | Southeastern OH Port Authority Hospital Facility (Memorial Health System) | | | 5.750 | | | | 12/01/2032 | | | | 4,467,770 | |
| | |
| | 1,955,000 | | | Toledo-Lucas County, OH Port Authority (Town Square at Levis Commons) | | | 5.400 | | | | 11/01/2036 | | | | 957,266 | |
| | |
| | 3,415,000 | | | Warren County, OH Port Authority (Corridor 75 Park) | | | 7.500 | | | | 12/01/2034 | | | | 3,593,946 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 476,727,529 | |
| | | | | | | | | | | | | | | | |
| | |
| | Oklahoma—0.1% | | | | | | | | | | | | |
| | 1,700,000 | | | Ardmore, OK Devel. Authority (Airpark Increment District) | | | 5.750 | | | | 11/01/2022 | | | | 1,709,129 | |
| | |
| | 1,500,000 | | | Atoka County, OK Healthcare Authority (Atoka Memorial Hospital) | | | 6.625 | | | | 10/01/2037 | | | | 1,494,855 | |
| | |
| | 4,780,000 | | | Grady County, OK Criminal Justice Authority | | | 7.000 | | | | 11/01/2041 | | | | 4,810,927 | |
| | |
| | 100,000 | | | OK Ordnance Works Authority Sewer & Solid Waste Disposal Facilities (Ralston Purina Group) | | | 6.500 | | | | 09/01/2026 | | | | 100,308 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,115,219 | |
| | | | | | | | | | | | | | | | |
| | |
| | Oregon—0.0% | | | | | | | | | | | | |
| | 795,000 | | | OR Facilities Authority (Concordia University) | | | 6.125 | | | | 09/01/2030 | | | | 852,216 | |
| | |
| | 1,640,000 | | | OR Facilities Authority (Personalized Learning - Redmond Proficiency Academy) | | | 5.750 | | | | 06/15/2046 | | | | 1,666,519 | |
44 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Oregon (Continued) | | | | | | | | | | | | |
| | |
| | $5,000 | | | OR GO (Elderly & Disabled Hsg.) | | | 5.300 | % | | | 08/01/2032 | | | $ | 5,010 | |
| | |
| | 315,000 | | | Western Generation, OR Agency Cogeneration (Wauna Cogeneration) | | | 5.000 | | | | 01/01/2021 | | | | 325,086 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 2,848,831 | |
| | | | | | | | | | | | | | | | |
| | |
| | Pennsylvania—1.1% | | | | | | | | | | | | |
| | 705,000 | | | Luzerne County, PA IDA | | | 7.500 | | | | 12/15/2019 | | | | 742,203 | |
| | |
| | 500,000 | | | Luzerne County, PA IDA | | | 7.750 | | | | 12/15/2027 | | | | 523,850 | |
| | |
| | 8,238,655 | | | Northampton County, PA IDA (Northampton Generating)2 | | | 5.000 | | | | 12/31/2023 | | | | 7,038,036 | |
| | |
| | 368,147 | | | Northampton County, PA IDA (Northampton Generating)2 | | | 5.000 | | | | 12/31/2023 | | | | 315,484 | |
| | |
| | 24,937,498 | | | PA EDFA (Bionol Clearfield)3 | | | 8.500 | | | | 07/01/2015 | | | | 1,050,118 | |
| | |
| | 11,500,000 | | | PA Geisinger Authority Health System, Series A5 | | | 5.250 | | | | 06/01/2039 | | | | 12,693,240 | |
| | |
| | 4,000,000 | | | PA HEFA (Shippensburg University) | | | 6.250 | | | | 10/01/2043 | | | | 4,491,880 | |
| | |
| | 3,000,000 | | | PA Public School Building Authority (School District of Philadelphia) | | | 5.000 | | | | 04/01/2030 | | | | 3,238,650 | |
| | |
| | 1,500,000 | | | Philadelphia, PA Authority for Industrial Devel. (Architecture & Design Charter School) | | | 6.125 | | | | 03/15/2043 | | | | 1,634,730 | |
| | |
| | 1,155,000 | | | Philadelphia, PA Authority for Industrial Devel. (Green Woods Charter School) | | | 5.500 | | | | 06/15/2022 | | | | 1,254,330 | |
| | |
| | 2,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (Green Woods Charter School) | | | 5.500 | | | | 06/15/2032 | | | | 2,118,800 | |
| | |
| | 3,350,000 | | | Philadelphia, PA H&HEFA (Temple University Health System) | | | 5.625 | | | | 07/01/2036 | | | | 3,651,567 | |
| | |
| | 5,250,000 | | | Philadelphia, PA H&HEFA (Temple University Health System) | | | 5.625 | | | | 07/01/2042 | | | | 5,691,682 | |
| | |
| | 5,770,000 | | | Westmoreland County, PA Municipal Authority SPEARS | | | 0.160 | 8 | | | 08/15/2037 | | | | 5,770,000 | |
| | |
| | 5,775,000 | | | York, PA GO | | | 7.250 | | | | 11/15/2041 | | | | 6,555,838 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 56,770,408 | |
| | | | | | | | | | | | | | | | |
| | |
| | Rhode Island—0.6% | | | | | | | | | | | | |
| | 44,240,000 | | | Central Falls, RI Detention Facility3 | | | 7.250 | | | | 07/15/2035 | | | | 11,010,894 | |
| | |
| | 7,500,000 | | | RI Health & Educational Building Corp. (Public Schools Financing Program) | | | 6.000 | | | | 05/15/2029 | | | | 8,256,225 | |
| | |
| | 9,435,000 | | | RI Hsg. & Mtg. Finance Corp. (Homeownership Opportunity)5 | | | 5.200 | | | | 10/01/2047 | | | | 9,510,398 | |
| | |
| | 28,225,000 | | | RI Tobacco Settlement Financing Corp. (TASC) | | | 6.125 | 4 | | | 06/01/2052 | | | | 1,278,310 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 30,055,827 | |
| | | | | | | | | | | | | | | | |
| | |
| | South Carolina—0.6% | | | | | | | | | | | | |
| | 6,648,000 | | | Hardeeville, SC Assessment Revenue (Anderson Tract Municipal Improvement District) | | | 7.750 | | | | 11/01/2039 | | |
| 6,498,819
|
|
| | |
| | 13,871,000 | | | Richland County, SC Assessment Revenue (Village at Sandhill Improvement District) | | | 6.200 | | | | 11/01/2036 | | | | 13,875,439 | |
| | |
| | 7,620,000 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 6.453 | 4 | | | 01/01/2020 | | | | 4,797,247 | |
| | |
| | 8,500,000 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 6.621 | 4 | | | 01/01/2024 | | | | 4,332,025 | |
45 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | South Carolina (Continued) | | | | | | | | | | | | |
| | |
| | $200,000 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 6.300 | %4 | | | 01/01/2026 | | | $ | 91,536 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 29,595,066 | |
| | | | | | | | | | | | | | | | |
| | |
| | South Dakota—0.0% | | | | | | | | | | | | |
| | 1,425,000 | | | Turner County, SD Tax Increment | | | 5.000 | | | | 12/15/2026 | | | | 1,425,299 | |
| | |
| | Tennessee—0.4% | | | | | | | | | | | | |
| | 8,890,000 | | | Memphis, TN HE&HFB (NH/Mendenhall Hsg./Highland Hsg./NTH/VH Obligated Group)3 | | | 5.750 | 8 | | | 04/01/2042 | | | | 3,511,817 | |
| | |
| | 215,000 | | | Memphis-Shelby County, TN Airport Authority (Express Airlines)2 | | | 6.125 | | | | 12/01/2016 | | | | 31,949 | |
| | |
| | 9,000,000 | | | Shelby County, TN HE&HFB (Trezevant Manor) | | | 5.500 | | | | 09/01/2047 | | | | 9,318,690 | |
| | |
| | 6,475,000 | | | Shelby County, TN HE&HFB (Trezevant Manor) | | | 8.000 | | | | 09/01/2044 | | | | 7,159,148 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 20,021,604 | |
| | | | | | | | | | | | | | | | |
| | |
| | Texas—10.2% | | | | | | | | | | | | |
| | 700,000 | | | Aubrey, TX Special Assessment (Jackson Ridge Public Improvement District No. 1) | | | 7.250 | | | | 09/01/2045 | | | | 712,922 | |
| | |
| | 230,000 | | | Beaumont, TX Multifamily HDC (Madison on the Lake Apartments) | | | 7.750 | | | | 12/01/2028 | | | | 222,543 | |
| | |
| | 2,345,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)2 | | | 6.300 | 8 | | | 07/01/2032 | | | | 70,115 | |
| | |
| | 11,420,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company) | | | 6.750 | | | | 10/01/2038 | | | | 341,458 | |
| | |
| | 41,315,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)2 | | | 5.000 | | | | 03/01/2041 | | | | 1,235,318 | |
| | |
| | 13,500,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)2 | | | 5.400 | | | | 05/01/2029 | | | | 403,650 | |
| | |
| | 10,000,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)2 | | | 7.700 | | | | 03/01/2032 | | | | 299,000 | |
| | |
| | 26,120,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)3 | | | 7.700 | | | | 04/01/2033 | | | | 780,988 | |
| | |
| | 15,620,000 | | | Cambridge, TX Student Hsg. (Cambridge Student Hsg. Devel.) | | | 7.000 | | | | 11/01/2039 | | | | 16,794,312 | |
| | |
| | 1,100,000 | | | Celina, TX Special Assessment | | | 5.875 | | | | 09/01/2040 | | | | 1,103,080 | |
| | |
| | 1,895,000 | | | Celina, TX Special Assessment | | | 6.250 | | | | 09/01/2045 | | | | 1,920,639 | |
| | |
| | 4,020,000 | | | Celina, TX Special Assessment | | | 7.500 | | | | 09/01/2045 | | | | 4,071,577 | |
| | |
| | 400,000 | | | Celina, TX Special Assessment | | | 5.500 | | | | 09/01/2032 | | | | 401,140 | |
| | |
| | 700,000 | | | Celina, TX Special Assessment | | | 5.375 | | | | 09/01/2028 | | | | 702,009 | |
| | |
| | 1,000,000 | | | Celina, TX Special Assessment (Sutton Fields II) | | | 7.250 | | | | 09/01/2045 | | | | 1,025,050 | |
| | |
| | 750,000 | | | Clifton, TX Higher Education Finance Corp. (Idea Public Schools) | | | 5.750 | | | | 08/15/2041 | | | | 842,933 | |
| | |
| | 1,250,000 | | | Crane, TX Independent School District | | | 5.000 | | | | 02/15/2030 | | | | 1,254,300 | |
| | |
| | 21,850,000 | | | Donna, TX GO7 | | | 6.250 | | | | 02/15/2037 | | | | 21,918,609 | |
| | |
| | 1,500,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1) | | | 6.500 | | | | 09/01/2036 | | | | 1,588,380 | |
| | |
| | 2,000,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1) | | | 6.750 | | | | 09/01/2043 | | | | 2,105,280 | |
| | |
| | 1,500,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1) | | | 6.125 | | | | 09/01/2028 | | | | 1,592,595 | |
| | |
| | 3,700,000 | | | Galveston, TX Special Assessment | | | 6.000 | | | | 09/01/2038 | | | | 3,720,757 | |
| | |
| | 2,400,000 | | | Galveston, TX Special Assessment | | | 5.625 | | | | 09/01/2028 | | | | 2,413,656 | |
46 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Texas (Continued) | | | | | | | | | | | | |
| | |
| | $3,500,000 | | | Galveston, TX Special Assessment | | | 6.125 | % | | | 09/01/2044 | | | $ | 3,519,565 | |
| | |
| | 10,000,000 | | | Grand Parkway, TX Transportation Corp.5 | | | 5.000 | | | | 04/01/2053 | | | | 11,142,800 | |
| | |
| | 11,238,709 | | | Gulf Coast, TX IDA (Microgy Holdings)3 | | | 7.000 | | | | 12/01/2036 | | | | 112 | |
| | |
| | 20,000 | | | Gulf Coast, TX IDA Solid Waste (Citgo Petroleum Corp.) | | | 8.000 | | | | 04/01/2028 | | | | 20,042 | |
| | |
| | 3,225,000 | | | Harris County, TX Cultural Education Facilities Finance Corp. (Space Center Houston) | | | 7.000 | | | | 08/15/2028 | | | | 3,511,122 | |
| | |
| | 2,750,000 | | | HFDC of Central TX (Legacy at Willow Bend Retirement Community) | | | 5.750 | | | | 11/01/2036 | | | | 2,797,218 | |
| | |
| | 555,000 | | | Houston, TX Airport System | | | 5.000 | | | | 07/01/2026 | | | | 631,279 | |
| | |
| | 1,210,000 | | | Houston, TX Airport System | | | 5.000 | | | | 07/01/2025 | | | | 1,385,281 | |
| | |
| | 2,000,000 | | | Houston, TX Airport System | | | 5.000 | | | | 07/01/2024 | | | | 2,305,740 | |
| | |
| | 435,000 | | | Houston, TX Higher Education Finance Corp. (Cosmos Foundation) | | | 6.500 | | | | 05/15/2031 | | | | 555,499 | |
| | |
| | 380,000 | | | Houston, TX Higher Education Finance Corp. (Cosmos Foundation) | | | 6.500 | | | | 05/15/2031 | | | | 454,799 | |
| | |
| | 500,000 | | | Houston, TX Higher Education Finance Corp. (Ninos) | | | 6.000 | | | | 08/15/2036 | | | | 543,980 | |
| | |
| | 750,000 | | | Houston, TX Higher Education Finance Corp. (Ninos) | | | 6.000 | | | | 08/15/2041 | | | | 811,103 | |
| | |
| | 600,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District) | | | 5.875 | | | | 09/01/2044 | | | | 606,162 | |
| | |
| | 600,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District) | | | 5.750 | | | | 09/01/2038 | | | | 606,192 | |
| | |
| | 500,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District) | | | 5.375 | | | | 09/01/2028 | | | | 505,225 | |
| | |
| | 5,995,000 | | | Maverick County, TX GO COP | | | 8.750 | | | | 03/01/2034 | | | | 4,810,148 | |
| | |
| | 1,770,000 | | | Maverick County, TX GO COP | | | 8.750 | | | | 03/01/2034 | | | | 1,420,177 | |
| | |
| | 400,000 | | | Mclendon-Chisholm, TX Special Assessment (Sonoma Public Improvement District) | | | 5.500 | | | | 09/15/2040 | | | | 403,368 | |
| | |
| | 450,000 | | | Mclendon-Chisholm, TX Special Assessment (Sonoma Public Improvement District) | | | 5.375 | | | | 09/15/2035 | | | | 453,812 | |
| | |
| | 490,000 | | | Midlothian, TX Devel. Authority Tax Increment | | | 5.125 | | | | 11/15/2026 | | | | 493,822 | |
| | |
| | 1,300,000 | | | New Hope, TX Educational Facilities Finance Corp. Retirement Facility (Wesleyan Homes) | | | 5.500 | | | | 01/01/2049 | | | | 1,324,011 | |
| | |
| | 1,950,000 | | | New Hope, TX Educational Facilities Finance Corp. Student Hsg. (Stephenville-Tarleton State University) | | | 6.000 | | | | 04/01/2045 | | | | 2,220,738 | |
| | |
| | 785,000 | | | New Hope, TX Educational Facilities Finance Corp. Student Hsg. (Stephenville-Tarleton State University) | | | 5.875 | | | | 04/01/2036 | | | | 892,631 | |
| | |
| | 1,630,000 | | | Newark, TX Cultural Education Facilities Finance Corp. (A.W. Brown Fellowship Charter School) | | | 6.000 | | | | 08/15/2042 | | | | 1,666,838 | |
| | |
| | 1,475,000 | | | Newark, TX Higher Education Finance Corp. (A+ Charter Schools) | | | 5.750 | | | | 08/15/2045 | | | | 1,507,553 | |
| | |
| | 1,600,000 | | | North Central TX HFC (Village Kaufman Apartments) | | | 6.150 | 8 | | | 01/01/2043 | | | | 1,698,288 | |
| | |
| | 38,000,000 | | | North Central TX HFDC (Children’s Medical Center)5 | | | 5.750 | | | | 08/15/2039 | | | | 43,299,860 | |
| | |
| | 16,000,000 | | | North TX Tollway Authority5 | | | 5.750 | | | | 01/01/2048 | | | | 17,395,040 | |
| | |
| | 5,920,000 | | | North TX Tollway Authority5 | | | 5.750 | | | | 01/01/2048 | | | | 6,436,165 | |
47 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Texas (Continued) | | | | | | | | | | | | |
| | |
| | $3,000,000 | | | Red River, TX Health Facilities Devel. Corp. (Happy Harbor Methodist Home) | | | 8.000 | % | | | 11/15/2049 | | | $ | 3,591,210 | |
| | |
| | 2,050,000 | | | Sabine Neches, TX HFC (Fox Run Apartments) | | | 6.150 | | | | 01/01/2043 | | | | 2,175,932 | |
| | |
| | 1,556,339 | | | Sabine Neches, TX HFC (Single Family Mtg.) | | | 0.000 | 8 | | | 12/01/2039 | | | | 1,641,175 | |
| | |
| | 1,800,000 | | | Sabine River, TX Authority Pollution Control (TXU Electric Company)2 | | | 6.450 | 8 | | | 06/01/2021 | | | | 53,820 | |
| | |
| | 4,100,000 | | | Sabine River, TX Authority Pollution Control (TXU Electric Company)3 | | | 6.150 | | | | 08/01/2022 | | | | 122,590 | |
| | |
| | 10,000,000 | | | San Jacinto, TX Community College District5 | | | 5.125 | | | | 02/15/2038 | | | | 10,300,201 | |
| | |
| | 26,820,000 | | | Sanger, TX Industrial Devel. Corp. (Texas Pellets) | | | 7.500 | | | | 07/01/2038 | | | | 26,693,678 | |
| | |
| | 4,655,000 | | | Springhill, TX Courtland Heights Public Facility Corp. | | | 5.850 | | | | 12/01/2028 | | | | 4,204,070 | |
| | |
| | 7,935,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Baylor Health Care System)5 | | | 5.750 | | | | 11/15/2024 | | | | 8,999,317 | |
| | |
| | 32,600,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Baylor Health Care System)5 | | | 6.250 | | | | 11/15/2029 | | | | 37,421,540 | |
| | |
| | 3,810,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Buckingham Senior Living Community) | | | 5.750 | | | | 11/15/2037 | | | | 3,891,915 | |
| | |
| | 13,500,000 | | | Tarrant County, TX Health Facilities Devel. Corp. (Cook Childrens Medical Center)5 | | | 5.000 | | | | 12/01/2033 | | | | 15,073,830 | |
| | |
| | 27,525,000 | | | Travis County, TX HFDC (Longhorn Village) | | | 7.125 | | | | 01/01/2046 | | | | 30,920,759 | |
| | |
| | 2,495,000 | | | Trinity, TX River Authority (TXU Energy Company)3 | | | 6.250 | | | | 05/01/2028 | | | | 74,601 | |
| | |
| | 19,900,000 | | | Trophy Club, TX Public Improvement (Highlands Trophy Club) | | | 7.750 | | | | 10/01/2037 | | | | 22,018,156 | |
| | |
| | 34,600,000 | | | TX Angelina & Neches River Authority (Aspen Power)3 | | | 6.500 | | | | 11/01/2029 | | | | 6,876,404 | |
| | |
| | 10,000,000 | | | TX GO | | | 5.000 | | | | 10/01/2026 | | | | 12,739,600 | |
| | |
| | 117,755,000 | | | TX Municipal Gas Acquisition & Supply Corp.5 | | | 6.250 | | | | 12/15/2026 | | | | 145,748,807 | |
| | |
| | 1,600,000 | | | TX Public Finance Authority Charter School Finance Corp. (Ed-Burnham Wood) | | | 6.250 | | | | 09/01/2036 | | | | 1,642,768 | |
| | |
| | 200,000 | | | TX Student Hsg. Corp. (University of North Texas) | | | 6.850 | | | | 07/01/2031 | | | | 198,018 | |
| | |
| | 635,000 | | | TX Student Hsg. Corp. (University of North Texas) | | | 6.750 | | | | 07/01/2021 | | | | 632,790 | |
| | |
| | 2,087,000 | | | Vintage Township, TX Public Facilities Corp. | | | 7.375 | | | | 10/01/2038 | | | | 2,183,837 | |
| | |
| | 6,375,000 | | | Waxahachie, TX Special Assessment | | | 6.000 | | | | 08/15/2045 | | | | 6,410,445 | |
| | |
| | 4,615,000 | | | Wise County, TX (Parket County Junior College District) | | | 7.750 | | | | 08/15/2028 | | | | 5,543,630 | |
| | |
| | 2,920,000 | | | Wise County, TX (Parket County Junior College District) | | | 7.500 | | | | 08/15/2025 | | | | 3,479,618 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 531,577,592 | |
| | | | | | | | | | | | | | | | |
| | |
| | Utah—0.5% | | | | | | | | | | | | | | | |
| | 4,915,000 | | | Hideout, UT Local District No. 1 Special Assessment | | | 8.250 | | | | 08/01/2034 | | | | 5,009,270 | |
| | |
| | 1,950,000 | | | Hideout, UT Local District No. 1 Special Assessment | | | 7.750 | | | | 08/01/2024 | | | | 1,988,142 | |
| | |
| | 815,000 | | | UT Charter School Finance Authority (Endeavor Hall) | | | 5.500 | | | | 07/15/2022 | | | | 859,768 | |
48 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Utah (Continued) | | | | | | | | | | | | |
| | |
| | $1,750,000 | | | UT Charter School Finance Authority (Endeavor Hall) | | | 6.000 | % | | | 07/15/2032 | | | $ | 1,828,873 | |
| | |
| | 3,870,000 | | | UT Charter School Finance Authority (Endeavor Hall) | | | 6.250 | | | | 07/15/2042 | | | | 4,051,619 | |
| | |
| | 6,550,000 | | | UT Charter School Finance Authority (Hawthorn Academy) | | | 8.250 | | | | 07/15/2046 | | | | 7,841,725 | |
| | |
| | 750,000 | | | UT Charter School Finance Authority (Vista Entrada School of Performing Arts & Technology) | | | 6.300 | | | | 07/15/2032 | | | | 824,768 | |
| | |
| | 1,640,000 | | | UT Charter School Finance Authority (Vista Entrada School of Performing Arts & Technology) | | | 6.550 | | | | 07/15/2042 | | | | 1,813,200 | |
| | |
| | 825,000 | | | Utah County, UT Charter School (Renaissance Academy) | | | 5.625 | | | | 07/15/2037 | | | | 830,890 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 25,048,255 | |
| | | | | | | | | | | | | | | | |
| | |
| | Vermont—0.0% | | | | | | | | | | | | |
| | 1,013,342 | | | VT Educational & Health Buildings Financing Agency (Marlboro College) | | | 2.779 | | | | 04/01/2019 | | | | 999,885 | |
| | | | | | | | | | | | | | | | |
| | |
| | Virginia—0.9% | | | | | | | | | | | | |
| | 1,833,000 | | | Celebrate, VA North CDA Special Assessment2 | | | 6.750 | | | | 03/01/2034 | | | | 1,183,953 | |
| | |
| | 5,100,000 | | | Celebrate, VA South CDA Special Assessment3 | | | 6.250 | | | | 03/01/2037 | | | | 2,804,847 | |
| | |
| | 3,206,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment2 | | | 5.800 | | | | 03/01/2036 | | | | 801,564 | |
| | |
| | 9,200,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment2 | | | 5.450 | | | | 03/01/2036 | | | | 2,300,276 | |
| | |
| | 14,300,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment2 | | | 5.125 | | | | 03/01/2036 | | | | 3,575,429 | |
| | |
| | 2,051,000 | | | Lewistown, VA Commerce Center Community Devel. Authority | | | 6.050 | | | | 03/01/2054 | | | | 102,529 | |
| | |
| | 636,000 | | | Lewistown, VA Commerce Center Community Devel. Authority | | | 6.050 | | | | 03/01/2044 | | | | 628,591 | |
| | |
| | 1,297,000 | | | Lewistown, VA Commerce Center Community Devel. Authority | | | 6.050 | | | | 03/01/2044 | | | | 1,132,826 | |
| | |
| | 2,900,000 | | | New Port, VA CDA3 | | | 5.600 | | | | 09/01/2036 | | | | 1,449,826 | |
| | |
| | 2,050,000 | | | Norfolk, VA EDA, Series A | | | 6.000 | | | | 11/01/2036 | | | | 1,959,226 | |
| | |
| | 18,446,000 | | | Peninsula, VA Town Center Community Devel. Authority Special Obligation7 | | | 6.450 | | | | 09/01/2037 | | | | 19,472,520 | |
| | |
| | 253,700,000 | | | VA Tobacco Settlement Authority | | | 7.441 | 4 | | | 06/01/2047 | | | | 5,142,499 | |
| | |
| | 6,000,000 | | | VA Tobacco Settlement Financing Corp. | | | 5.200 | 1 | | | 06/01/2046 | | | | 4,958,160 | |
| | |
| | 2,404,674 | | | West Point, VA IDA Solid Waste (Chesapeake Corp.)3 | | | 6.375 | | | | 03/01/2019 | | | | 24 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 45,512,270 | |
| | | | | | | | | | | | | | | | |
| | |
| | Washington—2.4% | | | | | | | | | | | | |
| | 750,000 | | | Greater Wenatchee, WA Regional Events Center | | | 5.000 | | | | 09/01/2027 | | | | 804,938 | |
| | |
| | 200,000 | | | Kelso County, WA Hsg. Authority (Chinook & Columbia Apartments) | | | 5.600 | | | | 03/01/2028 | | | | 200,066 | |
| | |
| | 10,000 | | | King County, WA Hsg. Authority (Kona Village) | | | 6.700 | | | | 01/01/2020 | | | | 10,017 | |
| | |
| | 85,000 | | | King County, WA Hsg. Authority (Southwood Square Apartments) | | | 6.100 | | | | 10/01/2021 | | | | 85,847 | |
| | |
| | 725,000 | | | King County, WA Hsg. Authority (Southwood Square Apartments) | | | 6.200 | | | | 10/01/2031 | | | | 725,718 | |
49 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Washington (Continued) | | | | | | | | | | | | |
| | |
| | $50,000 | | | Kitsap County, WA Consolidated Hsg. Authority (Heritage Apartments) | | | 6.100 | % | | | 10/01/2031 | | | $ | 50,043 | |
| | |
| | 1,855,000 | | | Seattle, WA Hsg. Authority (Newholly Phase II) | | | 7.000 | | | | 01/01/2032 | | | | 1,872,919 | |
| | |
| | 3,884,358 | | | Tacoma, WA Consolidated Local Improvements District No. 65 | | | 5.750 | | | | 04/01/2043 | | | | 3,884,513 | |
| | |
| | 12,000,000 | | | Tes Properties, WA5 | | | 5.625 | | | | 12/01/2038 | | | | 13,549,440 | |
| | |
| | 1,500,000 | | | Tes Properties, WA5 | | | 5.500 | | | | 12/01/2029 | | | | 1,706,715 | |
| | |
| | 14,445,000 | | | WA GO | | | 5.000 | | | | 08/01/2035 | | | | 17,375,024 | |
| | |
| | 12,440,000 | | | WA GO | | | 5.000 | | | | 08/01/2032 | | | | 15,150,800 | |
| | |
| | 12,025,000 | | | WA GO | | | 5.000 | | | | 08/01/2034 | | | | 14,520,548 | |
| | |
| | 18,075,000 | | | WA Health Care Facilities Authority (Catholic Health Initiatives)5 | | | 6.375 | | | | 10/01/2036 | | | | 20,450,576 | |
| | |
| | 17,410,000 | | | WA Health Care Facilities Authority (Peacehealth)5 | | | 5.000 | | | | 11/01/2028 | | | | 19,296,722 | |
| | |
| | 1,000,000 | | | WA Hsg. Finance Commission (Heron’s Key) | | | 7.000 | | | | 07/01/2045 | | | | 1,048,380 | |
| | |
| | 1,700,000 | | | WA Hsg. Finance Commission (Heron’s Key) | | | 7.000 | | | | 07/01/2050 | | | | 1,770,006 | |
| | |
| | 10,860,000 | | | WA Kalispel Tribe Indians Priority District | | | 6.750 | | | | 01/01/2038 | | | | 11,240,100 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 123,742,372 | |
| | | | | | | | | | | | | | | | |
| | |
| | West Virginia—0.5% | | | | | | | | | | | | |
| | 4,500,000 | | | Brooke County, WV (Bethany College) | | | 6.750 | | | | 10/01/2037 | | | | 4,985,055 | |
| | |
| | 3,000,000 | | | Brooke County, WV (Bethany College) | | | 6.500 | | | | 10/01/2031 | | | | 3,303,600 | |
| | |
| | 27,145,000 | | | Harrison County, WV Tax Increment (Charles Pointe)2 | | | 7.000 | | | | 06/01/2035 | | | | 13,572,229 | |
| | |
| | 3,045,000 | | | WV Hospital Finance Authority (UTD Health System) | | | 5.500 | | | | 06/01/2039 | | | | 3,358,391 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 25,219,275 | |
| | | | | | | | | | | | | | | | |
| | |
| | Wisconsin—0.9% | | | | | | | | | | | | |
| | 3,000,000 | | | WI H&EFA (AE Nursing Centers) | | | 7.250 | | | | 06/01/2038 | | | | 3,195,090 | |
| | |
| | 750,000 | | | WI H&EFA (Beloit College) | | | 6.125 | | | | 06/01/2035 | | | | 840,300 | |
| | |
| | 2,015,000 | | | WI H&EFA (Beloit College) | | | 6.125 | | | | 06/01/2039 | | | | 2,246,705 | |
| | |
| | 6,335,000 | | | WI H&EFA (Wellington Homes) | | | 6.750 | | | | 09/01/2037 | | | | 6,580,165 | |
| | |
| | 6,790,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group) | | | 5.350 | | | | 12/01/2052 | | | | 6,990,509 | |
| | |
| | 5,200,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group) | | | 5.000 | | | | 12/01/2045 | | | | 5,288,608 | |
| | |
| | 3,250,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group) | | | 5.150 | | | | 12/01/2050 | | | | 3,306,517 | |
| | |
| | 2,000,000 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 36.095 | 4 | | | 10/01/2042 | | | | 20 | |
| | |
| | 6,657,500 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 7.000 | | | | 10/01/2042 | | | | 6,705,833 | |
| | |
| | 1,855,000 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 0.210 | 4 | | | 10/01/2042 | | | | 580,300 | |
| | |
| | 660,000 | | | WI Public Finance Authority (Thomas Jefferson Classical Academy) | | | 7.000 | | | | 07/01/2031 | | | | 718,087 | |
50 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | Wisconsin (Continued) | | | | | | | | | | | | |
| | |
| | $845,000 | | | WI Public Finance Authority Charter School (Explore Knowledge Foundation) | | | 6.000 | % | | | 07/15/2042 | | | $ | 921,785 | |
| | |
| | 1,325,000 | | | WI Public Finance Authority Charter School (Explore Knowledge Foundation) | | | 5.750 | | | | 07/15/2032 | | | | 1,446,396 | |
| | |
| | 1,910,000 | | | WI Public Finance Authority Educational Facility (Ask Academy) | | | 6.000 | | | | 02/01/2045 | | | | 1,891,855 | |
| | |
| | 5,875,000 | | | WI Public Finance Authority Educational Facility (Horizon Academy West Charter School) | | | 6.000 | | | | 09/01/2045 | | | | 6,031,921 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 46,744,091 | |
| | | | | | | | | | | | | | | | |
| | |
| | U.S. Possessions—12.7% | | | | | | | | | | | | |
| | 27,635,000 | | | Northern Mariana Islands Commonwealth, Series B | | | 5.000 | | | | 10/01/2033 | | | | 26,050,962 | |
| | |
| | 11,450,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.250 | | | | 07/01/2042 | | | | 7,664,859 | |
| | |
| | 53,230,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2047 | | | | 36,429,547 | |
| | |
| | 10,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.000 | | | | 07/01/2025 | | | | 10,073 | |
| | |
| | 7,645,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2044 | | | | 5,289,193 | |
| | |
| | 2,750,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.750 | | | | 07/01/2037 | | | | 1,895,437 | |
| | |
| | 3,325,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2038 | | | | 2,316,893 | |
| | |
| | 250,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.500 | | | | 07/01/2028 | | | | 169,370 | |
| | |
| | 11,980,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.000 | | | | 07/01/2033 | | | | 8,046,966 | |
| | |
| | 152,450,000 | | | Puerto Rico Children’s Trust Fund (TASC) | | | 9.355 | 4 | | | 05/15/2055 | | | | 4,472,883 | |
| | |
| | 5,000 | | | Puerto Rico Commonwealth GO | | | 5.250 | | | | 07/01/2024 | | | | 5,148 | |
| | |
| | 13,000,000 | | | Puerto Rico Commonwealth GO | | | 6.500 | | | | 07/01/2040 | | | | 8,307,520 | |
| | |
| | 3,000,000 | | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2038 | | | | 1,902,390 | |
| | |
| | 9,265,000 | | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2039 | | | | 5,897,914 | |
| | |
| | 11,540,000 | | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2036 | | | | 7,318,437 | |
| | |
| | 42,840,000 | | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2041 | | | | 27,166,558 | |
| | |
| | 2,625,000 | | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2035 | | | | 1,671,022 | |
| | |
| | 1,345,000 | | | Puerto Rico Commonwealth GO | | | 5.750 | | | | 07/01/2037 | | | | 1,353,689 | |
| | |
| | 19,550,000 | | | Puerto Rico Commonwealth GO | | | 6.500 | | | | 07/01/2037 | | | | 12,493,232 | |
| | |
| | 14,695,000 | | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2026 | | | | 9,276,219 | |
| | |
| | 2,550,000 | | | Puerto Rico Commonwealth GO | | | 5.000 | | | | 07/01/2033 | | | | 1,604,256 | |
| | |
| | 36,400,000 | | | Puerto Rico Commonwealth GO | | | 8.000 | | | | 07/01/2035 | | | | 26,125,008 | |
| | |
| | 1,500,000 | | | Puerto Rico Commonwealth GO | | | 5.000 | | | | 07/01/2024 | | | | 943,095 | |
| | |
| | 340,000 | | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2027 | | | | 214,635 | |
| | |
| | 3,255,000 | | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2026 | | | | 2,054,719 | |
| | |
| | 4,545,000 | | | Puerto Rico Commonwealth GO | | | 5.000 | | | | 07/01/2041 | | | | 2,848,670 | |
| | |
| | 63,660,000 | | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2039 | | | | 40,214,022 | |
| | |
| | 1,920,000 | | | Puerto Rico Commonwealth GO | | | 5.250 | | | | 07/01/2026 | | | | 1,209,600 | |
| | |
| | 5,000,000 | | | Puerto Rico Commonwealth GO | | | 5.000 | | | | 07/01/2033 | | | | 3,145,600 | |
| | |
| | 2,250,000 | | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2039 | | | | 1,432,305 | |
| | |
| | 1,480,000 | | | Puerto Rico Commonwealth GO | | | 6.000 | | | | 07/01/2038 | | | | 942,183 | |
| | |
| | 285,000 | | | Puerto Rico Commonwealth GO11 | | | 0.820 | | | | 07/01/2020 | | | | 272,605 | |
| | |
| | 2,145,000 | | | Puerto Rico Commonwealth GO11 | | | 0.800 | | | | 07/01/2019 | | | | 2,085,455 | |
| | |
| | 40,000 | | | Puerto Rico Commonwealth GO | | | 5.500 | | | | 07/01/2018 | | | | 25,806 | |
| | |
| | 2,165,000 | | | Puerto Rico Commonwealth GO | | | 5.250 | | | | 07/01/2037 | | | | 1,364,816 | |
| | |
| | 9,080,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 7.000 | | | | 07/01/2043 | | | | 5,369,004 | |
| | |
| | 7,070,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 5.000 | | | | 07/01/2042 | | | | 4,165,785 | |
| | |
| | 160,000 | | | Puerto Rico Electric Power Authority, Series A | | | 7.250 | | | | 07/01/2030 | | | | 94,629 | |
| | |
| | 480,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 7.000 | | | | 07/01/2040 | | | | 283,843 | |
51 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupo | n | | | Maturity | | | | Value | |
| | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | |
| | $10,330,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 7.000 | % | | | 07/01/2033 | | | $ | 6,108,955 | |
| | |
| | 20,375,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 6.750 | | | | 07/01/2036 | | | | 12,050,182 | |
| | |
| | 11,535,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 5.050 | | | | 07/01/2042 | | | | 6,797,691 | |
| | |
| | 3,100,000 | | | Puerto Rico Electric Power Authority, Series A12 | | | 5.000 | | | | 07/01/2029 | | | | 1,827,605 | |
| | |
| | 500,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2025 | | | | 294,890 | |
| | |
| | 4,570,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2026 | | | | 2,694,655 | |
| | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2023 | | | | 5,901 | |
| | |
| | 40,000 | | | Puerto Rico Electric Power Authority, Series AAA | | | 5.250 | | | | 07/01/2021 | | | | 23,635 | |
| | |
| | 40,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2022 | | | | 23,618 | |
| | |
| | 95,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2030 | | | | 55,993 | |
| | |
| | 445,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2029 | | | | 262,310 | |
| | |
| | 150,000 | | | Puerto Rico Electric Power Authority, Series AAA12 | | | 5.250 | | | | 07/01/2028 | | | | 88,434 | |
| | |
| | 35,000 | | | Puerto Rico Electric Power Authority, Series CCC | | | 5.000 | | | | 07/01/2024 | | | | 20,650 | |
| | |
| | 310,000 | | | Puerto Rico Electric Power Authority, Series CCC12 | | | 5.000 | | | | 07/01/2022 | | | | 183,055 | |
| | |
| | 2,570,000 | | | Puerto Rico Electric Power Authority, Series CCC12 | | | 5.250 | | | | 07/01/2027 | | | | 1,515,195 | |
| | |
| | 385,000 | | | Puerto Rico Electric Power Authority, Series CCC12 | | | 5.250 | | | | 07/01/2028 | | | | 226,981 | |
| | |
| | 20,000 | | | Puerto Rico Electric Power Authority, Series CCC12 | | | 5.000 | | | | 07/01/2025 | | | | 11,797 | |
| | |
| | 540,000 | | | Puerto Rico Electric Power Authority, Series CCC12 | | | 5.000 | | | | 07/01/2028 | | | | 318,330 | |
| | |
| | 285,000 | | | Puerto Rico Electric Power Authority, Series CCC | | | 5.000 | | | | 07/01/2027 | | | | 168,059 | |
| | |
| | 185,000 | | | Puerto Rico Electric Power Authority, Series DDD12 | | | 5.000 | | | | 07/01/2022 | | | | 109,243 | |
| | |
| | 15,000 | | | Puerto Rico Electric Power Authority, Series NN | | | 5.500 | | | | 07/01/2020 | | | | 8,873 | |
| | |
| | 170,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2017 | | | | 102,168 | |
| | |
| | 895,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2026 | | | | 527,844 | |
| | |
| | 6,100,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2037 | | | | 3,594,974 | |
| | |
| | 20,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2018 | | | | 11,896 | |
| | |
| | 375,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2025 | | | | 221,194 | |
| | |
| | 15,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2024 | | | | 8,850 | |
| | |
| | 1,990,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2027 | | | | 1,173,463 | |
| | |
| | 7,355,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2032 | | | | 4,335,478 | |
| | |
| | 55,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2021 | | | | 32,501 | |
| | |
| | 5,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2020 | | | | 2,958 | |
| | |
| | 280,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2023 | | | | 165,273 | |
| | |
| | 210,000 | | | Puerto Rico Electric Power Authority, Series TT12 | | | 5.000 | | | | 07/01/2022 | | | | 124,005 | |
| | |
| | 390,000 | | | Puerto Rico Electric Power Authority, Series UU12 | | | 0.866 | 8 | | | 07/01/2017 | | | | 226,219 | |
| | |
| | 85,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.375 | | | | 07/01/2022 | | | | 50,188 | |
| | |
| | 390,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.375 | | | | 07/01/2024 | | | | 230,081 | |
52 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $185,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.250 % | | | | 07/01/2025 | | | $ | 109,109 | |
| | 60,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.500 | | | | 07/01/2021 | | | | 35,452 | |
| | 605,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.500 | | | | 07/01/2038 | | | | 356,478 | |
| | 685,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.000 | | | | 07/01/2028 | | | | 403,808 | |
| | 415,000 | | | Puerto Rico Electric Power Authority, Series WW12 | | | 5.250 | | | | 07/01/2033 | | | | 244,568 | |
| | 645,000 | | | Puerto Rico Electric Power Authority, Series XX12 | | | 5.250 | | | | 07/01/2027 | | | | 380,273 | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series XX | | | 5.250 | | | | 07/01/2026 | | | | 5,896 | |
| | 38,430,000 | | | Puerto Rico Electric Power Authority, Series XX12 | | | 5.250 | | | | 07/01/2040 | | | | 22,644,109 | |
| | 2,660,000 | | | Puerto Rico Electric Power Authority, Series XX12 | | | 5.250 | | | | 07/01/2035 | | | | 1,567,405 | |
| | 18,575,000 | | | Puerto Rico Electric Power Authority, Series XX12 | | | 5.750 | | | | 07/01/2036 | | | | 10,942,533 | |
| | 515,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.250 | | | | 07/01/2018 | | | | 306,301 | |
| | 850,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.000 | | | | 07/01/2022 | | | | 501,925 | |
| | 95,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2021 | | | | 56,137 | |
| | 380,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.250 | | | | 07/01/2024 | | | | 224,185 | |
| | 50,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.250 | | | | 07/01/2022 | | | | 29,523 | |
| | 190,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 4.625 | | | | 07/01/2025 | | | | 112,083 | |
| | 215,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2024 | | | | 126,852 | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2026 | | | | 5,898 | |
| | 25,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.250 | | | | 07/01/2021 | | | | 14,772 | |
| | 275,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.250 | | | | 07/01/2025 | | | | 162,190 | |
| | 820,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.000 | | | | 07/01/2017 | | | | 492,812 | |
| | 310,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.250 | | | | 07/01/2026 | | | | 182,788 | |
| | 140,000 | | | Puerto Rico Electric Power Authority, Series ZZ12 | | | 5.000 | | | | 07/01/2018 | | | | 83,275 | |
| | 45,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.000 | | | | 07/01/2027 | | | | 45,006 | |
| | 350,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.750 | | | | 07/01/2021 | | | | 152,348 | |
| | 6,415,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.300 | | | | 07/01/2035 | | | | 4,226,330 | |
| | 25,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.500 | | | | 07/01/2023 | | | | 26,440 | |
| | 2,175,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.000 | | | | 07/01/2028 | | | | 487,374 | |
| | 215,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.000 | | | | 07/01/2023 | | | | 168,700 | |
| | 45,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.750 | | | | 07/01/2019 | | | | 40,060 | |
| | 6,940,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.750 | | | | 07/01/2019 | | | | 3,054,086 | |
| | 9,000,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.750 | | | | 07/01/2022 | | | | 7,954,200 | |
| | 605,000 | | | Puerto Rico Highway & Transportation Authority, Series H | | | 5.450 | | | | 07/01/2035 | | | | 133,681 | |
| | 4,715,000 | | | Puerto Rico Highway & Transportation Authority, Series M | | | 5.000 | | | | 07/01/2046 | | | | 1,038,102 | |
| | 260,000 | | | Puerto Rico Highway & Transportation Authority, Series N | | | 5.250 | | | | 07/01/2039 | | | | 109,463 | |
| | 5,000,000 | | | Puerto Rico Infrastructure2 | | | 5.000 | | | | 07/01/2031 | | | | 625,000 | |
| | 3,000,000 | | | Puerto Rico Infrastructure2 | | | 5.000 | | | | 07/01/2037 | | | | 375,000 | |
| | 3,000,000 | | | Puerto Rico Infrastructure (Mepsi Campus) | | | 6.500 | | | | 10/01/2037 | | | | 1,534,560 | |
| | 500,000 | | | Puerto Rico ITEMECF (Cogeneration Facilities) | | | 6.625 | | | | 06/01/2026 | | | | 483,245 | |
| | 4,050,000 | | | Puerto Rico ITEMECF (Hospital Auxilio Mutuo) | | | 6.000 | | | | 07/01/2033 | | | | 4,250,880 | |
| | 300,000 | | | Puerto Rico ITEMECF (University of the Sacred Heart) | | | 5.000 | | | | 10/01/2020 | | | | 242,511 | |
53 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $100,000 | | | Puerto Rico ITEMECF (University of the Sacred Heart) | | | 5.000 % | | | | 10/01/2021 | | | $ | 78,902 | |
| | 25,000 | | | Puerto Rico Municipal Finance Agency, Series B | | �� | 5.250 | | | | 07/01/2019 | | | | 25,953 | |
| | 76,125,000 | | | Puerto Rico Public Buildings Authority | | | 5.250 | | | | 07/01/2042 | | | | 41,497,260 | |
| | 8,825,000 | | | Puerto Rico Public Buildings Authority | | | 6.000 | | | | 07/01/2041 | | | | 5,018,336 | |
| | 7,000,000 | | | Puerto Rico Public Buildings Authority | | | 5.875 | | | | 07/01/2039 | | | | 3,863,720 | |
| | 200,000 | | | Puerto Rico Public Buildings Authority | | | 5.500 | | | | 07/01/2037 | | | | 109,254 | |
| | 4,880,000 | | | Puerto Rico Public Buildings Authority | | | 5.000 | | | | 07/01/2036 | | | | 2,653,939 | |
| | 100,000 | | | Puerto Rico Public Buildings Authority | | | 5.250 | | | | 07/01/2023 | | | | 57,701 | |
| | 260,000 | | | Puerto Rico Public Buildings Authority | | | 5.500 | | | | 07/01/2023 | | | | 150,353 | |
| | 1,640,000 | | | Puerto Rico Public Buildings Authority | | | 5.250 | | | | 07/01/2033 | | | | 906,084 | |
| | 12,000,000 | | | Puerto Rico Public Buildings Authority | | | 6.125 | | | | 07/01/2023 | | | | 7,221,480 | |
| | 3,870,000 | | | Puerto Rico Public Buildings Authority | | | 5.000 | | | | 07/01/2032 | | | | 2,143,012 | |
| | 150,000 | | | Puerto Rico Public Buildings Authority | | | 5.000 | | | | 07/01/2037 | | | | 81,579 | |
| | 5,100,000 | | | Puerto Rico Public Buildings Authority | | | 6.250 | | | | 07/01/2026 | | | | 3,045,669 | |
| | 13,840,000 | | | Puerto Rico Public Buildings Authority | | | 5.625 | | | | 07/01/2039 | | | | 7,567,712 | |
| | 12,845,000 | | | Puerto Rico Public Buildings Authority | | | 5.750 | | | | 07/01/2022 | | | | 7,515,096 | |
| | 4,980,000 | | | Puerto Rico Public Buildings Authority | | | 6.750 | | | | 07/01/2036 | | | | 2,985,809 | |
| | 410,000 | | | Puerto Rico Public Buildings Authority | | | 7.000 | | | | 07/01/2021 | | | | 255,668 | |
| | 1,515,000 | | | Puerto Rico Public Buildings Authority, Series D | | | 5.250 | | | | 07/01/2036 | | | | 825,705 | |
| | 39,020,000 | | | Puerto Rico Public Finance Corp., Series B2 | | | 5.500 | | | | 08/01/2031 | | | | 5,755,450 | |
| | 9,500,000 | | | Puerto Rico Sales Tax Financing Corp. | | | 0.000 1 | | | | 08/01/2026 | | | | 3,695,500 | |
| | 17,895,000 | | | Puerto Rico Sales Tax Financing Corp. | | | 5.250 | | | | 08/01/2057 | | | | 11,377,462 | |
| | 41,385,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2042 | | | | 15,857,904 | |
| | 47,640,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.375 | | | | 08/01/2039 | | | | 18,196,098 | |
| | 15,700,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.000 | | | | 08/01/2043 | | | | 5,938,525 | |
| | 13,445,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2037 | | | | 5,151,721 | |
| | 37,060,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 8.694 4 | | | | 08/01/2035 | | | | 4,026,198 | |
| | 2,040,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2028 | | | | 786,644 | |
| | 2,250,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.125 | | | | 08/01/2029 | | | | 884,408 | |
| | 42,745,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 0.000 1 | | | | 08/01/2033 | | | | 10,086,538 | |
| | 2,945,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 4.000 | | | | 08/01/2016 | | | | 2,595,487 | |
| | 43,845,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.750 | | | | 08/01/2037 | | | | 16,909,263 | |
| | 1,630,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.000 | | | | 08/01/2024 | | | | 643,198 | |
| | 11,455,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.250 | | | | 08/01/2027 | | | | 4,416,933 | |
| | 700,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2023 | | | | 280,609 | |
| | 3,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.375 | | | | 08/01/2039 | | | | 1,175,610 | |
| | 7,945,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 7.890 4 | | | | 08/01/2034 | | | | 850,910 | |
| | 53,275,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.500 | | | | 08/01/2044 | | | | 20,942,935 | |
| | 30,860,000 | | | Puerto Rico Sales Tax Financing Corp., Series A-1 | | | 5.250 | | | | 08/01/2043 | | | | 11,749,019 | |
| | 62,510,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.250 | | | | 08/01/2041 | | | | 23,799,432 | |
| | 135,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.000 | | | | 08/01/2046 | | | | 85,498 | |
| | 300,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.000 | | | | 08/01/2035 | | | | 113,463 | |
| | 65,245,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2042 | | | | 25,324,194 | |
| | 10,865,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 0.000 1 | | | | 08/01/2032 | | | | 4,050,146 | |
| | 1,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.375 | | | | 08/01/2036 | | | | 381,940 | |
| | 10,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.500 | | | | 08/01/2040 | | | | 3,832,000 | |
| | 5,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2039 | | | | 1,940,700 | |
| | 5,160,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.375 | | | | 08/01/2038 | | | | 1,970,862 | |
54 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | |
| | $5,000,000 | | | University of Puerto Rico, Series P | | | 5.000 % | | | | 06/01/2030 | | | $ | 1,913,850 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 660,408,579 | |
| | | | | | | | | | | | | | | | |
| Total Municipal Bonds and Notes (Cost $6,828,395,715) | | | | | | | | | | | 5,663,232,654 | |
| | | | |
| Shares | | | | | | | | | | | | |
| | |
| | Common Stocks—0.0% | | | | | | | | | | | | |
| | |
| | 7,679 | | | Delta Air Lines, Inc.13 | | | | | | | | | | | 340,103 | |
| | |
| | 4,927 | | | General Motors Co.13 | | | | | | | | | | | 146,036 | |
| | |
| | 15,021 | | | Motors Liquidation Co. GUC Trust13,14 | | | | | | | | | | | 242,589 | |
| | | | | | | | | | | | | | | | |
| Total Common Stocks (Cost $54,137) | | | | | | | | | | | 728,728 | |
| | | | |
| Units | | | | | Strike Price | | | Expiration | | | | |
| | |
| | Rights, Warrants and Certificates—0.0% | | | | | | | | | | | | |
| | |
| | 4,479 | | | General Motors Co. Wts.13,14 | | | $ 12.000 | | | | 07/10/2019 | | | | 53,748 | |
| | |
| | 4,479 | | | General Motors Co. Wts.13,14 | | | 19.650 | | | | 07/10/2016 | | | | 88,013 | |
| | | | | | | | | | | | | | | | |
| Total Rights, Warrants and Certificates (Cost $—) | | | | | | | | | | | 141,761 | |
| | | | |
Principal Amount | | | | | | | | | | | | |
| | |
| | Corporate Loans—0.3% | | | | | | | | | | | | |
| | |
| | $ 6,000,000 | | | Aspen Power Senior Secured Bridge Promissory Note13 | | | 9.000 % | 8 | | | 11/16/2016 | | | | 5,400,000 | |
| | |
| | 2,750,000 | | | Aspen Power Senior Secured Bridge Promissory Note13 | | | 9.000 | 8 | | | 11/16/2016 | | | | 2,475,000 | |
| | |
| | 7,000,000 | | | Aspen Power Senior Secured Bridge Promissory Note13 | | | 9.000 | 8 | | | 11/16/2016 | | | | 6,300,000 | |
| | |
| | 3,500,000 | | | Aspen Power Senior Secured Bridge Promissory Note13 | | | 9.000 | 8 | | | 11/16/2016 | | | | 3,150,000 | |
| | | | | | | | | | | | | | | | |
| | Total Corporate Loans (Cost $19,250,000) | | | | | | | | | | | 17,325,000 | |
| | | | | | | | | | | | | |
| | |
| Total Investments, at Value (Cost $6,847,699,852)—109.3% | | | | | | | | | | | 5,681,428,143 | |
| | |
| Net Other Assets (Liabilities)—(9.3) | | | | | | | | | | | (484,213,632) | |
| | | | | | | | | | | | | | | | |
| Net Assets—100.0% | | | | | | | | | | $ | 5,197,214,511 | |
| | | | | | | | | | | | | | | | |
Footnotes to Statement of Investments
*January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
1. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
2. This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the contractual interest rate.
3. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
4. Zero coupon bond reflects effective yield on the date of purchase.
5. Security represents the underlying municipal bond with respect to an inverse floating rate security held by the Fund. The bond was purchased by the Fund and subsequently transferred to a trust, which issued the related inverse floating rate security. See Note 4 of the accompanying Notes.
6. Interest or dividend is paid-in-kind, when applicable.
55 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
8. Represents the current interest rate for a variable or increasing rate security.
9. Restricted security. The aggregate value of restricted securities at period end was $41,595,536, which represents 0.80% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:
| | | | | | | | | | | | | | | | |
| Security | | Acquisition
Dates | | | Cost | | | Value | | | Unrealized
Appreciation | |
| NY Liberty Devel. Corp. (Bank of America Tower) | | | 7/23/10-3/4/11 | | | $ | 37,405,376 | | | $ | 41,595,536 | | | $ | 4,190,160 | |
10. Represents the current interest rate for the inverse floating rate security. See Note 4 of the accompanying Notes.
11. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
12. Subject to a forbearance agreement. Rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
13. Received as a result of a corporate action.
14. Non-income producing security.
To simplify the listings of securities, abbreviations are used per the table below:
| | |
| ABH | | Adventist Bolingbrook Hospital |
| ACMC | | Advocate Condell Medical Center |
| AE | | American Eagle |
| AGH | | Adventist Glenoaks Hospital |
| AH&HC | | Advocate Health & Hospitals Corp. |
| AHACHC | | ARC/HDS Alamance Country Housing Corp. |
| AHCN | | Advocate Health Care Metro |
| AHSGA | | Adventist Health System-Georgia |
| ANSHN | | Advocate North Side Health Network |
| BHI | | Baptist Homes of Indiana |
| BVHF | | Blanchard Valley Health Foundation |
| BVRHC | | Blanchard Valley Regional Health Care |
| CCC | | Continuing Care Center |
| CCHCS | | Cook Children’s Health Care System |
| CCMCtr | | Cook Children’s Medical Center |
| CCPN | | Cook Children;s Physical Network |
| CDA | | Communities Devel. Authority |
| CDHA | | Central Dupage Hospital Association |
| CDHS | | Central Dupage Health System |
| CMCD | | Children’s Medical Center of Dallas |
| CMCtrF | | Children’s Medical Center Foundation |
| CMH | | Copley Memorial Hospital |
| COP | | Certificates of Participation |
| CSAHS | | The Sisters of Charity of St. Augustine Health System |
| DA | | Dormitory Authority |
| DRIVERS | | Derivative Inverse Tax Exempt Receipts |
| ECHNS | | Eastern Connecticut Health Network System |
| EDA | | Economic Devel. Authority |
| EDFA | | Economic Devel. Finance Authority |
| FBA | | FFAH Beaumont Avenue |
| FCommH | | Fayette Community Hospital |
| FCP | | FFAH Coleridge Road |
| FFC | | FFAH Franklin Court |
| FGC | | FFAH Glendale Court |
56 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Abbreviations (Continued)
| | |
| FJC | | FFAH Johnson Court |
| FJeffC | | FFAH Jefferson Court |
| FMN | | FFAH Market North |
| FNC&M | | FFAH North Carolina and Missouri |
| FP1 | | FFAH Plaza 1 |
| FP2 | | FFAH Plaza 2 |
| FRB | | FFAH Riverview Bend |
| FTS | | FFAH Tucker Street |
| GO | | General Obligation |
| GUC | | General Unsecured Creditors |
| H&EFA | | Health and Educational Facilities Authority |
| H&HEFA | | Hospitals and Higher Education Facilities Authority |
| HDC | | Housing Devel. Corp. |
| HE&HFA | | Higher Education and Health Facilities Authority |
| HE&HFB | | Higher Educational and Housing Facility Board |
| HEFA | | Higher Education Facilities Authority |
| HFA | | Housing Finance Agency |
| HFC | | Housing Finance Corp. |
| HFDC | | Health Facilities Devel. Corp. |
| HHlthS | | Holzer Health Systems |
| HMCG | | Holzer Medical Center-Gallipolis |
| HMCJ | | Holzer Medical Center-Jackson |
| IDA | | Industrial Devel. Agency |
| ITEMECF | | Industrial, Tourist, Educational, Medical and Environmental Community Facilities |
| JFK | | John Fitzgerald Kennedy |
| KGC | | Kuakini Geriatric Care |
| KHS | | Kaukini Health System |
| KMC | | Kuakini Medical Center |
| KSS | | Kuakini Support Services |
| MMH | | McKenna Memorial Hospital |
| MTA | | Metropolitan Transportation Authority |
| NH | | Northgate Housing |
| NTH | | North Terrace Housing |
| NY/NJ | | New York/New Jersey |
| NYC | | New York City |
| NYS | | New York State |
| PClinic | | Piedmont Clinic |
| PHC | | Piedmont Healthcare |
| PHHosp | | Piedmont Henty Hospital |
| PHI | | Piedmont Heart Institute |
| PHIP | | Piedmont Heart Institute Physicians |
| PHlthCF | | Piedmont Healthcare Foundation |
| PHosp | | Piedmont Hospital |
| PMCC | | Piedmont Medical Care Corp. |
| PMSH | | Piedmont Mountainside Hospital |
| PNH | | Piedmont Newnan Hospital |
| RCF | | Rush-Copley Foundation |
| RCMC | | Rush-Copley Medical Center |
| Res Rec | | Resource Recovery Facility |
| RGH | | Rockville General Hospital |
| RITES | | Residual Interest Tax Exempt Security |
| ROLs | | Reset Option Longs |
| RUMC | | Rush University Medical Center |
57 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
Abbreviations (Continued)
| | |
| SJHCN | | St. Joseph Home Care Network |
| SJHE | | St. Joseph Hospital of Eureka |
| SJHO | | St. Joseph Hospital of Orange |
| SJHS | | St. Joseph Health System |
| SPEARS | | Short Puttable Exempt Adjustable Receipts |
| TASC | | Tobacco Settlement Asset-Backed Bonds |
| TcntyHC | | Tolland County Health Care |
| TFABs | | Tobacco Flexible Amortization Bonds |
| TYW | | The YMCA of Wichita |
| UHHS | | University Hospitals Health System |
| VH | | Village Housing |
| VOA | | Volunteers of America |
| WICF | | W.I. Cook Foundation |
See accompanying Notes to Financial Statements.
58 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF ASSESTS AND LIABILITIES January 29, 20161 Unaudited
| | | | |
| |
| Assets | | | | |
| Investments, at value (cost $6,847,699,852)—see accompanying statement of investments | | $ | 5,681,428,143 | |
| |
| Cash | | | 80,499,647 | |
| |
| Receivables and other assets: | | | | |
| Interest | | | 77,792,611 | |
| Investments sold (including $6,160,131 sold on a when-issued or delayed delivery basis) | | | 7,113,601 | |
| Shares of beneficial interest sold | | | 5,127,763 | |
| Other | | | 935,320 | |
| | | | |
| Total assets | | | 5,852,897,085 | |
|
| |
| Liabilities | | | | |
| Payables and other liabilities: | | | | |
| Payable for short-term floating rate notes issued (See Note 4) | | | 616,000,000 | |
| Investments purchased (including $18,030,965 purchased on a when-issued or delayed delivery basis) | | | 22,243,207 | |
| Shares of beneficial interest redeemed | | | 10,831,605 | |
| Dividends | | | 5,051,055 | |
| Trustees’ compensation | | | 646,619 | |
| Distribution and service plan fees | | | 552,543 | |
| Shareholder communications | | | 18,260 | |
| Other | | | 339,285 | |
| | | | |
| Total liabilities | | | 655,682,574 | |
|
| |
| Net Assets | | $ | 5,197,214,511 | |
| | | | |
|
| |
| Composition of Net Assets | | | | |
| Paid-in capital | | $ | 8,803,123,304 | |
| |
| Accumulated net investment income | | | 104,120,028 | |
| |
| Accumulated net realized loss on investments | | | (2,543,757,112) | |
| |
| Net unrealized depreciation on investments | | | (1,166,271,709) | |
| | | | |
| Net Assets | | $ | 5,197,214,511 | |
| | | | |
59 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | |
| |
| Net Asset Value Per Share | | | | |
| Class A Shares: | | | | |
Net asset value and redemption price per share (based on net assets of $3,035,418,341 and 432,626,899 shares of beneficial interest outstanding) | | $ | 7.02 | |
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 7.37 | |
| |
Class B Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $37,438,368 and 5,311,014 shares of beneficial interest outstanding) | | $ | 7.05 | |
| |
Class C Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,285,886,462 and 183,957,779 shares of beneficial interest outstanding) | | $ | 6.99 | |
| |
Class Y Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of $838,471,340 and 119,634,397 shares of beneficial interest outstanding) | | $ | 7.01 | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
60 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF OPERATIONS For the Six Months Ended January 29, 20161 Unaudited
| | | | |
| |
| Investment Income | | | | |
| Interest | | $ | 199,085,675 | |
| |
| Dividends | | | 5,621 | |
| | | | |
| Total investment income | | | 199,091,296 | |
| | | | |
| |
| Expenses | | | | |
| Management fees | | | 9,511,887 | |
| |
| Distribution and service plan fees: | | | | |
| Class A | | | 2,212,969 | |
| Class B | | | 186,700 | |
| Class C | | | 5,654,503 | |
| |
| Transfer and shareholder servicing agent fees: | | | | |
| Class A | | | 1,491,600 | |
| Class B | | | 20,756 | |
| Class C | | | 628,479 | |
| Class Y | | | 381,492 | |
| |
| Shareholder communications: | | | | |
| Class A | | | 14,357 | |
| Class B | | | 699 | |
| Class C | | | 11,130 | |
| Class Y | | | 3,061 | |
| |
| Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 4,589,546 | |
| |
| Borrowing fees | | | 2,166,677 | |
| |
| Legal, auditing and other professional fees | | | 1,743,444 | |
| |
| Trustees’ compensation | | | 40,909 | |
| |
| Custodian fees and expenses | | | 14,922 | |
| |
| Interest expense on borrowings | | | 415 | |
| |
| Other | | | 530,741 | |
| | | | |
| Total expenses | | | 29,204,287 | |
| |
| Net Investment Income | | | 169,887,009 | |
| |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized loss on investments | | | (50,700,905) | |
| |
| Net change in unrealized appreciation/depreciation on investments | | | 161,202,099 | |
| |
| Net Increase in Net Assets Resulting from Operations | | $ | 280,388,203 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
61 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended January 29, 2016 (Unaudited) | | | Year Ended July 31, 2015 | |
| |
| Operations | | | | | | | | |
| Net investment income | | $ | 169,887,009 | | | $ | 376,251,888 | |
| |
| Net realized loss | | | (50,700,905) | | | | (99,572,148) | |
| |
| Net change in unrealized appreciation/depreciation | | | 161,202,099 | | | | (47,125,328) | |
| | | | | | | | |
| Net increase in net assets resulting from operations | | | 280,388,203 | | | | 229,554,412 | |
|
| |
| Dividends and/or Distributions to Shareholders | | | | | | | | |
| Dividends from net investment income: | | | | | | | | |
| Class A | | | (100,897,140) | | | | (217,531,286) | |
| Class B | | | (1,241,599) | | | | (3,868,044) | |
| Class C | | | (37,966,148) | | | | (79,889,356) | |
| Class Y | | | (26,334,047) | | | | (47,795,196) | |
| | | | |
| | | (166,438,934) | | | | (349,083,882) | |
|
| |
| Beneficial Interest Transactions | | | | | | | | |
| Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
| Class A | | | (1,316,691) | | | | (221,818,275) | |
| Class B | | | (13,338,604) | | | | (26,821,866) | |
| Class C | | | 22,494,633 | | | | (47,369,977) | |
| Class Y | | | 129,320,793 | | | | 149,496,945 | |
| | | | | | | | |
| | | 137,160,131 | | | | (146,513,173) | |
|
| |
| Net Assets | | | | | | | | |
| Total increase (decrease) | | | 251,109,400 | | | | (266,042,643) | |
| |
| Beginning of period | | | 4,946,105,111 | | | | 5,212,147,754 | |
| | | | | | | | |
| | |
| End of period (including accumulated net investment income of $104,120,028 and $100,671,953, respectively) | | $ | 5,197,214,511 | | | $ | 4,946,105,111 | |
| | | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
62 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF CASH FLOWS For the Six Months Ended January 29, 20161 Unaudited
| | | | |
| |
| Cash Flows from Operating Activities | | | | |
| Net increase in net assets from operations | | $ | 280,388,203 | |
| |
| Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | | | | |
Purchase of investment securities | | | (509,956,574) | |
Proceeds from disposition of investment securities | | | 510,648,191 | |
Short-term investment securities, net | | | 42,876,549 | |
Premium amortization | | | 8,239,953 | |
Discount accretion | | | (42,657,532) | |
Net realized loss on investments | | | 50,700,905 | |
Net change in unrealized appreciation/depreciation on investments | | | (161,202,099) | |
| Change in assets: | | | | |
Decrease in other assets | | | 722,466 | |
Decrease in interest receivable | | | 2,190,720 | |
Decrease in receivable for securities sold | | | 37,681,506 | |
| Change in liabilities: | | | | |
Decrease in other liabilities | | | (56,662) | |
Increase in payable for securities purchased | | | 19,543,799 | |
| | | | |
| Net cash provided by operating activities | | | 239,119,425 | |
|
| |
| Cash Flows from Financing Activities | | | | |
| Proceeds from borrowings | | | 16,300,000 | |
| Payments on borrowings | | | (32,200,000) | |
| Payments on short-term floating rate notes issued | | | (106,510,000) | |
| Proceeds from shares sold | | | 653,508,441 | |
| Payments on shares redeemed | | | (657,432,194) | |
| Cash distributions paid | | | (33,122,872) | |
| | | | |
| Net cash used in financing activities | | | (159,456,625) | |
| |
| Net increase in cash | | | 79,662,800 | |
| |
| Cash, beginning balance | | | 836,847 | |
| | | | |
| Cash, ending balance | | $ | 80,499,647 | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $133,193,433.
Cash paid for interest on borrowings—$3,304.
Cash paid for interest on short-term floating rate notes issued—$4,589,546.
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
See accompanying Notes to Financial Statements.
63 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| Class A | | Six Months Ended January 29, 20161 (Unaudited) | | Year Ended July 31, 2015 | | Year Ended July 31, 2014 | | Year Ended July 31, 2013 | | Year Ended July 31, 2012 | | Year Ended July 29, 20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $6.86 | | $7.01 | | $6.87 | | $7.50 | | $6.92 | | $7.17 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.24 | | 0.51 | | 0.50 | | 0.51 | | 0.50 | | 0.55 |
| Net realized and unrealized gain (loss) | | 0.15 | | (0.18) | | 0.13 | | (0.65) | | 0.60 | | (0.25) |
| | |
| Total from investment operations | | 0.39 | | 0.33 | | 0.63 | | (0.14) | | 1.10 | | 0.30 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.23) | | (0.48) | | (0.49) | | (0.49) | | (0.52) | | (0.55) |
|
| Net asset value, end of period | | $7.02 | | $6.86 | | $7.01 | | $6.87 | | $7.50 | | $6.92 |
| | |
| | | | | | | | | | | | |
|
| Total Return, at Net Asset Value3 | | 5.82% | | 4.59% | | 9.63% | | (2.19)% | | 16.63% | | 4.65% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $3,035,418 | | $2,968,690 | | $3,260,438 | | $3,688,901 | | $4,463,156 | | $3,969,090 |
|
| Average net assets (in thousands) | | $3,000,147 | | $3,258,788 | | $3,477,994 | | $4,450,000 | | $4,001,353 | | $4,149,509 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 6.93% | | 7.19% | | 7.24% | | 6.69% | | 7.00% | | 8.07% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 0.71% | | 0.74% | | 0.71% | | 0.73% | | 0.64% | | 0.64% |
| Interest and fees from borrowings | | 0.09% | | 0.08% | | 0.09% | | 0.10% | | 0.12% | | 0.11% |
| Interest and fees on short-term floating rate notes issued5 | | 0.18% | | 0.17% | | 0.25% | | 0.25% | | 0.31% | | 0.35% |
| | |
| Total expenses | | 0.98% | | 0.99% | | 1.05% | | 1.08% | | 1.07% | | 1.10% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 0.98% | | 0.99% | | 1.05% | | 1.08% | | 1.07% | | 1.10% |
|
| Portfolio turnover rate | | 9% | | 16% | | 16% | | 18% | | 11% | | 18% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
See accompanying Notes to Financial Statements.
64 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | |
| Class B | | Six Months Ended January 29, 20161 (Unaudited) | | Year Ended July 31, 2015 | | Year Ended July 31, 2014 | | Year Ended July 31, 2013 | | Year Ended July 31, 2012 | | Year Ended July 29, 20111 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $6.89 | | $7.04 | | $6.89 | | $7.53 | | $6.94 | | $7.19 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income2 | | 0.22 | | 0.46 | | 0.45 | | 0.45 | | 0.44 | | 0.50 |
| Net realized and unrealized gain (loss) | | 0.15 | | (0.19) | | 0.14 | | (0.66) | | 0.61 | | (0.26) |
| | |
| Total from investment operations | | 0.37 | | 0.27 | | 0.59 | | (0.21) | | 1.05 | | 0.24 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.21) | | (0.42) | | (0.44) | | (0.43) | | (0.46) | | (0.49) |
|
| Net asset value, end of period | | $7.05 | | $6.89 | | $7.04 | | $6.89 | | $7.53 | | $6.94 |
| | |
| | | | | | | | | | | | |
|
| Total Return, at Net Asset Value3 | | 5.40% | | 3.79% | | 8.89% | | (3.12)% | | 15.76% | | 3.75% |
| | | | | | | | | | | | |
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $37,439 | | $49,792 | | $77,369 | | $107,602 | | $161,197 | | $162,309 |
|
| Average net assets (in thousands) | | $41,738 | | $65,703 | | $90,234 | | $142,525 | | $156,216 | | $186,637 |
|
| Ratios to average net assets:4 | | | | | | | | | | | | |
| Net investment income | | 6.19% | | 6.43% | | 6.49% | | 5.86% | | 6.17% | | 7.21% |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | 1.45% | | 1.50% | | 1.49% | | 1.56% | | 1.48% | | 1.49% |
| Interest and fees from borrowings | | 0.09% | | 0.08% | | 0.09% | | 0.10% | | 0.12% | | 0.11% |
| Interest and fees on short-term floating rate notes issued5 | | 0.18% | | 0.17% | | 0.25% | | 0.25% | | 0.31% | | 0.35% |
| | |
| Total expenses | | 1.72% | | 1.75% | | 1.83% | | 1.91% | | 1.91% | | 1.95% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.72% | | 1.75% | | 1.83% | | 1.91% | | 1.91% | | 1.95% |
|
| Portfolio turnover rate | | 9% | | 16% | | 16% | | 18% | | 11% | | 18% |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
See accompanying Notes to Financial Statements.
65 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 29,
20161
(Unaudited) | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | | | Year Ended
July 29, 20111 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $6.83 | | | | $6.99 | | | | $6.85 | | | | $7.48 | | | | $6.90 | | | | $7.15 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.22 | | | | 0.46 | | | | 0.44 | | | | 0.45 | | | | 0.44 | | | | 0.50 | |
| Net realized and unrealized gain (loss) | | | 0.15 | | | | (0.20) | | | | 0.14 | | | | (0.65) | | | | 0.61 | | | | (0.25) | |
| | | | |
| Total from investment operations | | | 0.37 | | | | 0.26 | | | | 0.58 | | | | (0.20) | | | | 1.05 | | | | 0.25 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.21) | | | | (0.42) | | | | (0.44) | | | | (0.43) | | | | (0.47) | | | | (0.50) | |
| |
| Net asset value, end of period | | | $6.99 | | | | $6.83 | | | | $6.99 | | | | $6.85 | | | | $7.48 | | | | $6.90 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value3 | | | 5.45% | | | | 3.68% | | | | 8.84% | | | | (2.94)% | | | | 15.80% | | | | 3.86% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $1,285,887 | | | | $1,234,906 | | | | $1,311,700 | | | | $1,463,567 | | | | $1,691,778 | | | | $1,479,323 | |
| |
| Average net assets (in thousands) | | | $1,264,103 | | | | $1,344,166 | | | | $1,337,849 | | | | $1,735,006 | | | | $1,533,562 | | | | $1,545,519 | |
| |
| Ratios to average net assets:4 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 6.19% | | | | 6.43% | | | | 6.49% | | | | 5.92% | | | | 6.23% | | | | 7.30% | |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | | 1.45% | | | | 1.50% | | | | 1.47% | | | | 1.50% | | | | 1.41% | | | | 1.41% | |
| Interest and fees from borrowings | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | | | | 0.11% | |
| Interest and fees on short-term floating rate notes issued5 | | | 0.18% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | | | | 0.35% | |
| | | | |
| Total expenses | | | 1.72% | | | | 1.75% | | | | 1.81% | | | | 1.85% | | | | 1.84% | | | | 1.87% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.72% | | | | 1.75% | | | | 1.81% | | | | 1.85% | | | | 1.84% | | | | 1.87% | |
| |
| Portfolio turnover rate | | | 9% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | | | | 18% | |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. Per share amounts calculated based on the average shares outstanding during the period.
3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
4. Annualized for periods less than one full year.
5. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
See accompanying Notes to Financial Statements.
66 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 29,
20161
(Unaudited) | | | Year Ended
July 31,
2015 | | | Year Ended
July 31,
2014 | | | Year Ended
July 31,
2013 | | | Year Ended
July 31,
2012 | | | Period
Ended
July 29,
20111,2 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $6.85 | | | | $7.00 | | | | $6.86 | | | | $7.50 | | | �� | $6.91 | | | | $6.90 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.25 | | | | 0.52 | | | | 0.50 | | | | 0.52 | | | | 0.50 | | | | 0.36 | |
| Net realized and unrealized gain (loss) | | | 0.15 | | | | (0.18) | | | | 0.14 | | | | (0.66) | | | | 0.62 | | | | 0.02 | |
| | | | |
| Total from investment operations | | | 0.40 | | | | 0.34 | | | | 0.64 | | | | (0.14) | | | | 1.12 | | | | 0.38 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.24) | | | | (0.49) | | | | (0.50) | | | | (0.50) | | | | (0.53) | | | | (0.37) | |
| |
| Net asset value, end of period | | | $7.01 | | | | $6.85 | | | | $7.00 | | | | $6.86 | | | | $7.50 | | | | $6.91 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value4 | | | 5.90% | | | | 4.61% | | | | 9.96% | | | | (2.19)% | | | | 16.97% | | | | 6.00% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $838,471 | | | | $692,717 | | | | $562,641 | | | | $472,068 | | | | $517,080 | | | | $172,676 | |
| |
| Average net assets (in thousands) | | | $767,478 | | | | $700,339 | | | | $501,364 | | | | $572,611 | | | | $344,746 | | | | $62,327 | |
| |
| Ratios to average net assets:5 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 7.07% | | | | 7.33% | | | | 7.36% | | | | 6.83% | | | | 7.05% | | | | 8.02% | |
| Expenses excluding interest and fees on short-term floating rate notes issued and interest and fees from borrowings | | | 0.56% | | | | 0.59% | | | | 0.56% | | | | 0.59% | | | | 0.49% | | | | 0.48% | |
| Interest and fees from borrowings | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | | | | 0.12% | |
| Interest and fees on short-term floating rate notes issued6 | | | 0.18% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | | | | 0.35% | |
| | | | |
| Total expenses | | | 0.83% | | | | 0.84% | | | | 0.90% | | | | 0.94% | | | | 0.92% | | | | 0.95% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.83% | | | | 0.84% | | | | 0.90% | | | | 0.94% | | | | 0.92% | | | | 0.95% | |
| |
| Portfolio turnover rate | | | 9% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | | | | 18% | |
1. January 29, 2016 and July 29, 2011 represent the last business days of the Fund’s respective reporting periods. See Note 2 of the accompanying Notes.
2. For the period from November 29, 2010 (inception of offering) to July 29, 2011.
3. Per share amounts calculated based on the average shares outstanding during the period.
4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
5. Annualized for periods less than one full year.
6. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
See accompanying Notes to Financial Statements.
67 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS January 29, 2016 Unaudited
1. Organization
Oppenheimer Rochester High-Yield Municipal Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek tax-free income. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.
The Fund offers Class A, Class C and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B and C shares have separate distribution and/or service plans under which they pay fees. Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.
The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).
2. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.
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.
68 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.
The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.
Investment Income. 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.
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 overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.
Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends.
During the fiscal year ended July 31, 2015, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended
69 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
July 31, 2015 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
| |
2016 | | $ | 81,480,187 | |
2017 | | | 566,789,505 | |
2018 | | | 915,944,693 | |
2019 | | | 35,463,515 | |
No expiration | | | 907,120,582 | |
| | | | |
Total | | $ | 2,506,798,482 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $1,599,677,900 expiring by 2019 and $957,821,487, which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.
Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.
The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.
| | | | |
Federal tax cost of securities | | $ | 6,207,390,5771 | |
| | | | |
Gross unrealized appreciation | | $ | 541,698,455 | |
Gross unrealized depreciation | | | (1,734,268,251) | |
| | | | |
Net unrealized depreciation | | $ | (1,192,569,796) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $666,607,362, which has otherwise been recognized for financial reporting purposes, related to bonds placed into trusts in conjunction with certain investment transactions. See the Inverse Floating Rate Securities note in Note 4.
Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the
70 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
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.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
71 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| | |
| Security Type | | Standard inputs generally considered by third-party pricing vendors |
|
| Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. |
|
| Loans | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
|
| Event-linked bonds | | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of
72 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
3. Securities Valuation (Continued)
the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:
| | | | | | | | | | | | | | | | |
| | | Level 1—
Unadjusted
Quoted Prices | | | Level 2— Other Significant
Observable Inputs | | | Level 3—
Significant
Unobservable
Inputs | | | Value | |
| |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
Alabama | | $ | — | | | $ | 224,187,371 | | | $ | — | | | $ | 224,187,371 | |
Alaska | | | — | | | | 14,669,079 | | | | — | | | | 14,669,079 | |
Arizona | | | — | | | | 81,614,941 | | | | 1,074,849 | | | | 82,689,790 | |
Arkansas | | | — | | | | — | | | | 3,358,436 | | | | 3,358,436 | |
California | | | — | | | | 753,215,665 | | | | 20 | | | | 753,215,685 | |
Colorado | | | — | | | | 131,374,819 | | | | 5,228,051 | | | | 136,602,870 | |
Connecticut | | | — | | | | 20,132,768 | | | | — | | | | 20,132,768 | |
Delaware | | | — | | | | 7,195,641 | | | | — | | | | 7,195,641 | |
District of Columbia | | | — | | | | 102,856,840 | | | | — | | | | 102,856,840 | |
73 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
| | | | | | | | | | | | | | | | |
| | | Level 1— Unadjusted Quoted Prices | | | Level 2— Other Significant Observable Inputs | | | Level 3— Significant Unobservable Inputs | | | Value | |
| |
Municipal Bonds and Notes (Continued) | | | | | | | | | | | | | | | | |
Florida | | $ | — | | | $ | 511,721,854 | | | $ | 9,200,451 | | | $ | 520,922,305 | |
Georgia | | | — | | | | 82,526,662 | | | | — | | | | 82,526,662 | |
Hawaii | | | — | | | | 2,978,876 | | | | — | | | | 2,978,876 | |
Idaho | | | — | | | | 1,553,340 | | | | — | | | | 1,553,340 | |
Illinois | | | — | | | | 375,721,628 | | | | 12,573,313 | | | | 388,294,941 | |
Indiana | | | — | | | | 56,369,506 | | | | — | | | | 56,369,506 | |
Iowa | | | — | | | | 49,008,948 | | | | — | | | | 49,008,948 | |
Kansas | | | — | | | | 2,136,472 | | | | — | | | | 2,136,472 | |
Kentucky | | | — | | | | 34,724,670 | | | | — | | | | 34,724,670 | |
Louisiana | | | — | | | | 28,998,955 | | | | — | | | | 28,998,955 | |
Maine | | | — | | | | 19,422,259 | | | | — | | | | 19,422,259 | |
Maryland | | | — | | | | 722,873 | | | | — | | | | 722,873 | |
Massachusetts | | | — | | | | 65,861,190 | | | | 17,273 | | | | 65,878,463 | |
Michigan | | | — | | | | 82,419,118 | | | | — | | | | 82,419,118 | |
Minnesota | | | — | | | | 24,794,462 | | | | — | | | | 24,794,462 | |
Mississippi | | | — | | | | 10,688,226 | | | | — | | | | 10,688,226 | |
Missouri | | | — | | | | 71,169,062 | | | | — | | | | 71,169,062 | |
Montana | | | — | | | | 2,816,028 | | | | 2,076,953 | | | | 4,892,981 | |
Nebraska | | | — | | | | 31,542,204 | | | | — | | | | 31,542,204 | |
Nevada | | | — | | | | 3,804,916 | | | | — | | | | 3,804,916 | |
New Hampshire | | | — | | | | 6,481,530 | | | | — | | | | 6,481,530 | |
New Jersey | | | — | | | | 330,269,649 | | | | — | | | | 330,269,649 | |
New Mexico | | | — | | | | 9,155,716 | | | | — | | | | 9,155,716 | |
New York | | | — | | | | 398,939,077 | | | | — | | | | 398,939,077 | |
North Carolina | | | — | | | | 3,407,222 | | | | — | | | | 3,407,222 | |
North Dakota | | | — | | | | 2,409,639 | | | | — | | | | 2,409,639 | |
Ohio | | | — | | | | 476,412,822 | | | | 314,707 | | | | 476,727,529 | |
Oklahoma | | | — | | | | 8,115,219 | | | | — | | | | 8,115,219 | |
Oregon | | | — | | | | 2,848,831 | | | | — | | | | 2,848,831 | |
Pennsylvania | | | — | | | | 55,720,290 | | | | 1,050,118 | | | | 56,770,408 | |
Rhode Island | | | — | | | | 30,055,827 | | | | — | | | | 30,055,827 | |
South Carolina | | | — | | | | 15,719,627 | | | | 13,875,439 | | | | 29,595,066 | |
South Dakota | | | — | | | | 1,425,299 | | | | — | | | | 1,425,299 | |
Tennessee | | | — | | | | 16,509,787 | | | | 3,511,817 | | | | 20,021,604 | |
Texas | | | — | | | | 520,497,006 | | | | 11,080,586 | | | | 531,577,592 | |
Utah | | | — | | | | 25,048,255 | | | | — | | | | 25,048,255 | |
Vermont | | | — | | | | 999,885 | | | | — | | | | 999,885 | |
Virginia | | | — | | | | 38,834,977 | | | | 6,677,293 | | | | 45,512,270 | |
Washington | | | — | | | | 123,742,372 | | | | — | | | | 123,742,372 | |
West Virginia | | | — | | | | 25,219,275 | | | | — | | | | 25,219,275 | |
Wisconsin | | | — | | | | 46,744,071 | | | | 20 | | | | 46,744,091 | |
U.S. Possessions | | | — | | | | 660,408,579 | | | | — | | | | 660,408,579 | |
Corporate Loans | | | — | | | | — | | | | 17,325,000 | | | | 17,325,000 | |
Common Stocks | | | 728,728 | | | | — | | | | — | | | | 728,728 | |
Rights, Warrants and Certificates | | | 141,761 | | | | — | | | | — | | | | 141,761 | |
| | | | |
Total Assets | | $ | 870,489 | | | $ | 5,593,193,328 | | | $ | 87,364,326 | | | $ | 5,681,428,143 | |
| | | | |
74 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
3. Securities Valuation (Continued)
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The following is a reconciliation of assets in which significant unobservable inputs (level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | |
| | | Value as of July 31, 2015 | | | Realized gain (loss) | | | Change in unrealized appreciation/
depreciation | | | Accretion/ (amortization) of premium/
discounta | |
| |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
Arizona | | $ | 1,812,309 | | | $ | (3,534,701) | | | $ | 3,561,142 | | | $ | 8,099 | |
Arkansas | | | 3,372,887 | | | | — | | | | (14,451) | | | | — | |
California | | | 20 | | | | — | | | | — | | | | — | |
Colorado | | | 5,648,307 | | | | (146,665) | | | | (91,701) | | | | 326,445 | |
Florida | | | 9,202,022 | | | | — | | | | (29,100) | | | | 27,529 | |
Illinois | | | 14,883,717 | | | | — | | | | (75,404) | | | | — | |
Louisiana | | | 2,591,258 | | | | (5,205,190) | | | | 4,734,742 | | | | — | |
Massachusetts | | | 28,657 | | | | — | | | | (11,130) | | | | (254) | |
Montana | | | 4,429,943 | | | | — | | | | (2,355,468) | | | | 2,478 | |
Ohio | | | 1,342,084 | | | | (861,158) | | | | 198,899 | | | | — | |
Pennsylvania | | | 1,080,292 | | | | — | | | | (30,174) | | | | — | |
South Carolina | | | 14,189,581 | | | | 40,691 | | | | (39,582) | | | | 4,749 | |
Tennessee | | | 3,467,100 | | | | — | | | | 44,717 | | | | — | |
Texas | | | 17,617,742 | | | | — | | | | (6,302,156) | | | | — | |
Virginia | | | 6,678,895 | | | | — | | | | (25,376) | | | | 23,774 | |
Wisconsin | | | 20 | | | | — | | | | — | | | | — | |
Corporate Loans | | | 16,500,000 | | | | — | | | | (1,925,000) | | | | — | |
| | | | |
Total Assets | | $ | 102,844,834 | | | $ | (9,707,023) | | | $ | (2,360,042) | | | $ | 392,820 | |
| | | | |
| | | | | | | | | | | | | | |
| Assets Table (Continued) | | Purchases | | | Value as of Sales January 29, 2016 | | | |
|
Investments, at Value: | | | | | | | | | | | | | | |
Municipal Bonds and Notes (Continued) | | | | | | | | | | | | | | |
Arizona | | $ | — | | | $ | (772,000) | | | | 1,074,849 | | | |
Arkansas | | | — | | | | — | | | | 3,358,436 | | | |
California | | | — | | | | — | | | | 20 | | | |
Colorado | | | — | | | | (508,335) | | | | 5,228,051 | | | |
Florida | | | — | | | | — | | | | 9,200,451 | | | |
Illinois | | | — | | | | (2,235,000) | | | | 12,573,313 | | | |
Louisiana | | | — | | | | (2,120,810) | | | | — | | | |
Massachusetts | | | — | | | | — | | | | 17,273 | | | |
Montana | | | — | | | | — | | | | 2,076,953 | | | |
Ohio | | | 301,716 | | | | (666,834) | | | | 314,707 | | | |
Pennsylvania | | | — | | | | — | | | | 1,050,118 | | | |
South Carolina | | | — | | | | (320,000) | | | | 13,875,439 | | | |
Tennessee | | | — | | | | — | | | | 3,511,817 | | | |
Texas | | | — | | | | (235,000) | | | | 11,080,586 | | | |
75 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
| | | | | | | | | | | | |
| | | Purchases | | | Sales | | | Value as of January 29, 2016 | |
| |
Municipal Bonds and Notes (Continued) | | | | | | | | | | | | |
Virginia | | $ | — | | | $ | — | | | $ | 6,677,293 | |
Wisconsin | | | — | | | | — | | | | 20 | |
Corporate Loans | | | 2,750,000 | | | | — | | | | 17,325,000 | |
| | | | |
Total Assets | | $ | 3,051,716 | | | $ | (6,857,979) | | | $ | 87,364,326 | |
| | | | |
a. Included in net investment income.
The total change in unrealized appreciation/depreciation included in the Statement of Operations attributable to Level 3 investments still held at period end:
| | | | |
| | | Change in unrealized appreciation/ depreciation | |
| |
Assets Table | | | | |
Investments, at Value: | | | | |
Municipal Bonds and Notes | | | | |
Arizona | | $ | 3,561,142 | |
Arkansas | | | (14,451) | |
Colorado | | | (327,462) | |
Florida | | | (29,100) | |
Illinois | | | (75,404) | |
Massachusetts | | | (11,130) | |
Montana | | | (2,355,468) | |
Ohio | | | (188,824) | |
Pennsylvania | | | (30,174) | |
South Carolina | | | (39,582) | |
Tennessee | | | 44,717 | |
Texas | | | (6,302,156) | |
Virginia | | | (25,376) | |
Corporate Loans | | | (1,925,000) | |
| | | | |
Total Assets | | $ | (7,718,268) | |
| | | | |
The following table summarizes the valuation techniques and significant unobservable inputs used in determining fair value measurements for those investments classified as Level 3 at period end:
| | | | | | | | | | | | | | | | |
| | | Value as of January 29, 2016 | | | Valuation
Technique | | Unobservable
Input | | | Range of Unobservable Inputs | | Unobservable Input Used | |
| |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
Arizona | | $ | 1,074,849 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
Arkansas | | | 3,358,436 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
California | | | 20 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
Colorado | | | 5,228,051 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
Florida | | | 9,200,451 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
Illinois | | | 12,573,313 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
Massachusetts | | | 17,273 | | | Pricing service | | | N/A | | | N/A | | | N/A (b) | |
76 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
3. Securities Valuation (Continued)
| | | | | | | | | | | | | | | | | | |
| | | Value as of January 29, 2016 | | | Valuation Technique | | | Unobservable Input | | | Range of Unobservable
Inputs | | Unobservable Input Used | |
| |
| Municipal Bonds and Notes (Continued) | | | | | | | | | | | | | | | | | | |
Montana | | $ | 2,076,953 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
| | | | | | | | | | | Expected | | | | | | 50% of | |
| | | | | | | Expected | | | | recovery | | | | | | escrow | |
Ohio | | | 314,707 | | | | distribution | | | | proceeds | | | N/A | | | balance (c) | |
Pennsylvania | | | 1,050,118 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
South Carolina | | | 13,875,439 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
Tennessee | | | 3,511,817 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
Texas | | | 11,080,586 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
Virginia | | | 6,677,293 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
Wisconsin | | | 20 | | | | Pricing service | | | | N/A | | | N/A | | | N/A (b) | |
| | | | | | | Discount to | | | | | | | | | | | |
| | | | | | | expected | | | | | | | | | | | |
| | | | | | | recovery | | | | | | | | | | | |
Corporate Loans | | | 17,325,000 | | | | proceeds | | | | Discount rate | | | N/A | | | 10% (a) | |
| | | | | | | | | | | | | | | | | | |
Total | | $ | 87,364,326 | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
(a) The Fund fair values certain corporate loans at the expected recovery value less a liquidity discount. The Manager monitors such investments for additional market information or the occurrence of a significant event which would warrant a re-evaluation of the security’s fair valuation. A significant increase (decrease) to the discount rate or a significant decrease (increase) to the expected recovery value will result in a significant decrease (increase) to the fair value of the investment.
(b) Securities classified as Level 3 whose unadjusted values were provided by a pricing service and for which such inputs are unobservable. The Manager periodically reviews pricing vendor methodologies and inputs to confirm they are determined using unobservable inputs and have been appropriately classified. Such securities’ fair valuations could change significantly based on changes in unobservable inputs used by the pricing service.
(c) The Fund fair values certain municipals bonds at the anticipated future distribution amount. The expected distribution amount is equal to 50% of the escrow balance. A significant increase (decrease) to the expected distribution amount will result in a significant increase (decrease) to the fair value of the investment.
4. Investments and Risks
Inverse Floating Rate Securities. The Fund invests in inverse floating rate securities that pay interest at a rate that varies inversely with short-term interest rates. Because inverse floating rate securities are leveraged instruments, the value of an inverse floating rate security will change more significantly in response to changes in interest rates and other market fluctuations than the market value of a conventional fixed-rate municipal security of similar maturity and credit quality, including the municipal bond underlying an inverse floating rate security.
An inverse floating rate security is created as part of a financial transaction referred to as a “tender option bond” transaction. In most cases, in a tender option bond transaction the Fund sells a fixed-rate municipal bond (the “underlying municipal bond”) to a trust (the “Trust”). The Trust then issues and sells short-term floating rate securities with a fixed principal amount representing a senior interest in the underlying municipal bond to third parties and a residual, subordinate interest in the underlying municipal bond (referred to as an “inverse floating rate security”) to the Fund. The interest rate on the short-term floating rate securities resets periodically, usually weekly, to a prevailing market rate and holders of
77 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
these securities are granted the option to tender their securities back to the Trust for repurchase at their principal amount plus accrued interest thereon (the “purchase price”) periodically, usually daily or weekly. A remarketing agent for the Trust is required to attempt to re-sell any tendered short-term floating rate securities to new investors for the purchase price. If the remarketing agent is unable to successfully re-sell the tendered short-term floating rate securities, a liquidity provider to the Trust must contribute cash to the Trust to ensure that the tendering holders receive the purchase price of their securities on the repurchase date.
Because holders of the short-term floating rate securities are granted the right to tender their securities to the Trust for repurchase at frequent intervals for the purchase price, with such payment effectively guaranteed by the liquidity provider, the securities generally bear short-term rates of interest commensurate with money market instruments. When interest is paid on the underlying municipal bond to the Trust, such proceeds are first used to pay the Trust’s administrative expenses and accrued interest to holders of the short-term floating rate securities, with any remaining amounts being paid to the Fund, as the holder of the inverse floating rate security. Accordingly, the amount of such interest on the underlying municipal bond paid to the Fund is inversely related the rate of interest on the short-term floating rate securities. Additionally, because the principal amount of the short-term floating rate securities is fixed and is not adjusted in response to changes in the market value of the underlying municipal bond, any change in the market value of the underlying municipal bond is reflected entirely in a change to the value of the inverse floating rate security.
Typically, the terms of an inverse floating rate security grant certain rights to the Fund, as holder. For example, the Fund typically has the right upon request to require that the Trust compel a tender of the short-term floating rate securities to facilitate the Fund’s acquisition of the underlying municipal bond. Following such a request, the Fund pays the Trust the purchase price of the short-term floating rate securities and a specified portion of any market value gain on the underlying municipal bond since its deposit into the Trust, which the Trust uses to redeem the short-term floating rate securities. The Trust then distributes the underlying municipal bond to the Fund. Through the exercise of this right, the Fund can voluntarily terminate or “collapse” the Trust, terminate its investment in the related inverse floating rate security and obtain the underlying municipal bond. Additionally, the Fund also typically has the right to exchange with the Trust (i) a principal amount of short-term floating rate securities held by the Fund for a corresponding additional principal amount of the inverse floating rate security or (ii) a principal amount of the inverse floating rate security held by the Fund for a corresponding additional principal amount of short-term floating rate securities (which are typically then sold to other investors). Through the exercise of this right, the Fund may increase (or decrease) the principal amount of short-term floating rate securities outstanding, thereby increasing (or decreasing) the amount of leverage provided by the short-term floating rate securities to the Fund’s investment exposure to the underlying municipal bond.
The Fund’s investments in inverse floating rate securities involve certain risks. As short-term interest rates rise, an inverse floating rate security produces less current income (and, in extreme cases, may pay no income) and as short-term interest rates fall, an inverse floating
78 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
rate security produces more current income. Thus, if short-term interest rates rise after the issuance of the inverse floating rate security, any yield advantage is reduced or eliminated. All inverse floating rate securities entail some degree of leverage represented by the outstanding principal amount of the related short-term floating rate securities, relative to the par value of the underlying municipal bond. The value of, and income earned on, an inverse floating rate security that has a higher degree of leverage will fluctuate more significantly in response to changes in interest rates and to changes in the market value of the related underlying municipal bond than that of an inverse floating rate security with a lower degree of leverage, and is more likely to be eliminated entirely under adverse market conditions. Changes in the value of an inverse floating rate security will also be more significant than changes in the market value of the related underlying municipal bond because the leverage provided by the related short-term floating rate securities increases the sensitivity of an inverse floating rate security to changes in interest rates and to the market value of the underlying municipal bond. An inverse floating rate security can be expected to underperform fixed-rate municipal bonds when the difference between long-term and short-term interest rates is decreasing (or is already small) or when long-term interest rates are rising, but can be expected to outperform fixed-rate municipal bonds when the difference between long-term and short-term interest rates is increasing (or is already large) or when long-term interest rates are falling. Additionally, a tender option bond transaction typically provides for the automatic termination or “collapse” of a Trust upon the occurrence of certain adverse events, usually referred to as “mandatory tender events” or “tender option termination events.” These events may include, among others, a credit ratings downgrade of the underlying municipal bond below a specified level, a decrease in the market value of the underlying municipal bond below a specified amount, a bankruptcy of the liquidity provider or the inability of the remarketing agent to re-sell to new investors short-term floating rate securities that have been tendered for repurchase by holders thereof. Following the occurrence of such an event, the underlying municipal bond is generally sold for current market value and the proceeds distributed to holders of the short-term floating rate securities and inverse floating rate security, with the holder of the inverse floating rate security (the Fund) generally receiving the proceeds of such sale only after the holders of the short-term floating rate securities have received proceeds equal to the purchase price of their securities (and the liquidity provider is generally required to contribute cash to the Trust only in an amount sufficient to ensure that the holders of the short-term floating rate securities receive the purchase price of their securities in connection with such termination of the Trust). Following the occurrence of such events, the Fund could potentially lose the entire amount of its investment in the inverse floating rate security.
Finally, the Fund may enter into shortfall/reimbursement agreements with the liquidity provider of certain tender option bond transactions in connection with certain inverse floating rate securities held by the Fund. These agreements commit the Fund to reimburse the liquidity provider to the extent that the liquidity provider must provide cash to a Trust, including following the termination of a Trust resulting from the occurrence of a “mandatory tender event.” In connection with the occurrence of such an event and the termination of the Trust triggered thereby, the shortfall/reimbursement agreement will make the Fund liable for the
79 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
amount of the negative difference, if any, between the liquidation value of the underlying municipal bond and the purchase price of the short-term floating rate securities issued by the Trust. Under the standard terms of a tender option bond transaction, absent such a shortfall/reimbursement agreement, the Fund, as holder of the inverse floating rate security, would not be required to make such a reimbursement payment to the liquidity provider. The Manager monitors the Fund’s potential exposure with respect to these agreements on a daily basis and intends to take action to terminate the Fund’s investment in related inverse floating rate securities, if it deems it appropriate to do so. At period end, the Fund’s maximum exposure under such agreements is estimated at $377,850,000.
When the Fund creates an inverse floating rate security in a tender option bond transaction by selling an underlying municipal bond to a Trust, the transaction is considered a secured borrowing for financial reporting purposes. As a result of such accounting treatment, the Fund includes the underlying municipal bond on its Statement of Investments and as an asset on its Statement of Assets and Liabilities (but does not separately include the related inverse floating rate security on either). The Fund also includes a liability on its Statement of Assets and Liabilities equal to the outstanding principal amount and accrued interest on the related short-term floating rate securities issued by the Trust. Interest on the underlying municipal bond is recorded as investment income on the Fund’s Statement of Operations, while interest payable on the related short-term floating rate securities is recorded as interest expense. At period end, municipal bond holdings with a value of $1,047,510,700 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $616,000,000 in short-term floating rate securities issued and outstanding at that date.
At period end, the inverse floating rate securities associated with tender option bond transactions accounted for as secured borrowings were as follows:
| | | | | | | | | | | | | | | | |
Principal Amount | | | Inverse Floater1 | | Coupon Rate2 | | | Maturity Date | | | Value | |
| | |
| | $ 2,490,000 | | | Allen County, OH Hospital Facilities (Mercy Health) Tender Option Bond Series 2015 XF-0235 Trust | | | 18.364 % | | | | 6/1/38 | | | $ | 3,575,640 | |
| | 77,555,000 | | | CA Golden State Tobacco Securitization Corp. ROLs3 | | | 6.772 | | | | 6/1/47 | | | | 72,444,126 | |
| | 3,750,000 | | | CA Health Facilities Financing Authority (SJHS/SJHCN Obligated Group) ROLs | | | 21.383 | | | | 7/1/39 | | | | 5,987,850 | |
| | 5,550,000 | | | CA Health Facilities Financing Authority Tender Option Bond Series 2015-XF2027 Trust3 | | | 8.045 | | | | 11/15/42 | | | | 5,899,261 | |
| | 3,855,000 | | | CA Health Facilities Financing Authority Tender Option Bond Series 2015-XF2104 Trust3 | | | 18.094 | | | | 7/1/39 | | | | 6,155,510 | |
| | 5,000,000 | | | CA Infrastructure and Economic Devel. (Sanford Consortium) RITES | | | 8.052 | | | | 5/15/40 | | | | 6,296,400 | |
| | 2,615,000 | | | Cerritos, CA Community College District DRIVERS | | | 16.140 | | | | 8/1/33 | | | | 4,204,502 | |
| | 7,175,000 | | | CO Health Facilities Authority (Sisters of Charity of Leavenworth Health System) Tender Option Bond Series 2015 XF-0239 Trust | | | 8.093 | | | | 1/1/44 | | | | 9,066,043 | |
| | 2,525,000 | | | Detroit, MI City School District Tender Option Bond Series 2015 XF-0241 Trust3 | | | 16.875 | | | | 5/1/29 | | | | 5,191,703 | |
| | 4,675,000 | | | Douglas County, NE Hospital Authority Tender Option Bond Series 2015-XF2132 Trust3 | | | 19.453 | | | | 11/1/48 | | | | 7,346,762 | |
80 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | | | |
Principal
Amount | | | Inverse Floater1 | | Coupon Rate2 | | | Maturity Date | | | Value | |
| | |
| $ | 7,280,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/PMCC/PClinic/PHlt hCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024 Trust | | | 15.370 % | | | | 6/15/29 | | | $ | 10,213,258 | |
| | 3,465,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/PMCC/PClinic/PHlt hCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024-2 Trust | | | 16.120 | | | | 6/15/37 | | | | 4,801,866 | |
| | 680,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/PMCC/PClinic/PHlt hCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024-3 Trust | | | 16.290 | | | | 6/15/29 | | | | 971,210 | |
| | 2,875,000 | | | Geisinger, PA Authority (Geisinger Health System) Tender Option Bond Series 2015 XF-0040 Trust | | | 16.265 | | | | 6/1/39 | | | | 4,068,240 | |
| | 5,000,000 | | | Grand Parkway, TX Transportation Corp. Tender Option Bond Series 2015-XF2034 Trust3 | | | 8.049 | | | | 4/1/53 | | | | 6,142,800 | |
| | 11,750,000 | | | Highlands County, FL Health Facilities Authority Tender Option Bond Series 2015-XF2145 Trust3 | | | 8.414 | | | | 11/15/36 | | | | 12,650,755 | |
| | 5,000,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023 Trust | | | 17.143 | | | | 4/1/44 | | | | 7,017,400 | |
| | 4,345,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-2 Trust | | | 16.680 | | | | 4/1/44 | | | | 5,981,023 | |
| | 2,750,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-3 Trust | | | 16.700 | | | | 4/1/44 | | | | 3,785,760 | |
| | 2,500,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-4 Trust | | | 16.715 | | | | 4/1/44 | | | | 3,441,600 | |
| | 2,200,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-5 Trust | | | 16.719 | | | | 4/1/44 | | | | 3,028,608 | |
| | 1,250,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-6 Trust | | | 16.700 | | | | 4/1/44 | | | | 1,720,800 | |
| | 3,125,000 | | | IL Finance Authority (CDHS/CDHA Obligated Group) Tender Option Bond Series 2015-XF0025 Trust | | | 17.134 | | | | 11/1/39 | | | | 4,953,750 | |
| | 1,250,000 | | | IL Finance Authority (CDHS/CDHA Obligated Group) Tender Option Bond Series 2015-XF0025-2 Trust | | | 16.700 | | | | 11/1/39 | | | | 1,941,100 | |
| | 3,500,000 | | | KY EDFA (Baptist Healthcare System) Tender Option Bond Series 2015-XF2011 Trust3 | | | 15.860 | | | | 8/15/24 | | | | 4,858,700 | |
| | 7,985,000 | | | Los Angeles, CA Dept. of Airports (Los Angeles International Airport) Tender Option Bond Series 2015 XF-0041 Trust | | | 16.610 | | | | 5/15/30 | | | | 10,792,526 | |
| | 1,250,000 | | | Los Angeles, CA Dept. of Water & Power Tender Option Bond Series 2015 XF-0039 Trust | | | 15.397 | | | | 7/1/34 | | | | 1,801,600 | |
| | 3,750,000 | | | MA HFA Tender Option Bond Series 2015-XF2130 Trust3 | | | 11.259 | | | | 6/1/49 | | | | 3,918,825 | |
| | 3,010,000 | | | MA HFA Tender Option Bond Series 2015-XF2130-2 Trust3 | | | 11.496 | | | | 12/1/49 | | | | 3,122,123 | |
81 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | | | |
Principal
Amount | | | Inverse Floater1 | | Coupon Rate2 | | | Maturity Date | | | Value | |
| | |
| $ | 8,895,000 | | | MA HFA Tender Option Bond Series 2015-XF2150 Trust3 | | | 8.692 % | | | | 12/1/42 | | | $ | 9,720,456 | |
| | 2,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117 Trust3 | | | 16.086 | | | | 2/1/27 | | | | 3,793,400 | |
| | 2,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117-2 Trust3 | | | 15.217 | | | | 2/1/27 | | | | 3,719,400 | |
| | 12,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117-3 Trust3 | | | 16.520 | | | | 2/1/34 | | | | 19,152,000 | |
| | 2,500,000 | | | Montgomery County, OH (Miami Valley Hospital) Tender Option Bond Series 2015-XF0029 Trust | | | 18.003 | | | | 11/15/23 | | | | 4,415,400 | |
| | 9,500,000 | | | North Central TX HFDC (CMCD/CMCtrF Obligated Group) Tender Option Bond Series 2015-XF0034 Trust | | | 18.256 | | | | 8/15/39 | | | | 14,799,860 | |
| | 4,000,000 | | | North TX Tollway Authority Tender Option Bond Series 2015-XF2036 Trust3 | | | 18.094 | | | | 1/1/48 | | | | 5,395,040 | |
| | 1,480,000 | | | North TX Tollway Authority Tender Option Bond Series 2015-XF2037 Trust3 | | | 18.094 | | | | 1/1/48 | | | | 1,996,165 | |
| | 18,695,000 | | | NY Liberty Devel. Corp. Tender Option Bond Series 2015-XF2146 Trust3 | | | 8.299 | | | | 1/15/44 | | | | 22,910,536 | |
| | 3,240,000 | | | NYC Municipal Water Finance Authority Tender Option Bond Series 2015-XF2151 Trust3 | | | 18.279 | | | | 6/15/40 | | | | 4,711,154 | |
| | 2,380,000 | | | RI Hsg. & Mtg. Finance Corp. Tender Option Bond Series 2015-XF2120 Trust3 | | | 16.113 | | | | 10/1/47 | | | | 2,455,398 | |
| | 2,500,000 | | | San Jacinto, TX Community College District Tender Option Bond Series 2015-XF2010 Trust3 | | | 15.922 | | | | 2/15/38 | | | | 2,800,203 | |
| | 1,985,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. Tender Option Bond Series 2015-XF2057 Trust3 | | | 17.363 | | | | 11/15/29 | | | | 3,049,317 | |
| | 8,150,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. Tender Option Bond Series 2015-XF2057-2 Trust3 | | | 19.111 | | | | 11/15/29 | | | | 12,971,540 | |
| | 6,750,000 | | | Tarrant County, TX Health Facilities Devel. Corp. (CCMCtr/CCHCS/CCPN/WICF Obligated Group) Tender Option Bond Series 2015-XF0028 Trust | | | 7.998 | | | | 12/1/33 | | | | 8,323,830 | |
| | 375,000 | | | Tes Properties, WA Tender Option Bond Series 2015-XF0038 Trust | | | 17.134 | | | | 12/1/29 | | | | 581,715 | |
| | 3,000,000 | | | Tes Properties, WA Tender Option Bond Series 2015-XF0038-2 Trust | | | 17.568 | | | | 12/1/38 | | | | 4,549,440 | |
| | 39,305,000 | | | TX Municipal Gas Acquisition & Supply Corp. ROLs3 | | | 12.606 | | | | 12/15/26 | | | | 67,298,807 | |
| | 8,705,000 | | | WA Health Care Facilities Authority (Peacehealth) Tender Option Bond Series 2015 XF-0042 Trust | | | 7.708 | | | | 11/1/28 | | | | 10,591,722 | |
| | 4,520,000 | | | WA Health Care Facilities Authority Tender Option Bond Series 2015-XF2035 Trust3 | | | 19.241 | | | | 10/1/36 | | | | 6,895,576 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 431,510,700 | |
| | | | | | | | | | | | | | | | |
1. For a list of abbreviations used in the Inverse Floater table see the Portfolio Abbreviations table at the end of the Statement of Investments.
2. Represents the current interest rate for the inverse floating rate security.
3. Represents an inverse floating rate security that is subject to a shortfall/reimbursement agreement.
82 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
The Fund may also purchase an inverse floating rate security created as part of a tender option bond transaction not initiated by the Fund when a third party, such as a municipal issuer or financial institution, transfers an underlying municipal bond to a Trust. For financial reporting purposes, the Fund includes the inverse floating rate security related to such transaction on its Statement of Investments and as an asset on its Statement of Assets and Liabilities, and interest on the security is recorded as investment income on the Fund’s Statement of Operations.
The Fund may invest in inverse floating rate securities with any degree of leverage (as measured by the outstanding principal amount of related short-term floating rate securities). However, the Fund may only expose up to 20% of its total assets to the effects of leverage from its investments in inverse floating rate securities. This limitation is measured by comparing the aggregate principal amount of the short-term floating rate securities that are related to the inverse floating rate securities held by the Fund to the total assets of the Fund. The Fund’s exposure to the effects of leverage from its investments in inverse floating rate securities amounts to $616,000,000 or 10.52% of its total assets at period end.
Loans. The Fund invests in loans made to U.S. and foreign borrowers that are corporations, partnerships or other business entities. The Fund will do so directly as an original lender or by assignment or indirectly through participation agreements or certain derivative instruments. While many of these loans will be collateralized, the Fund can also invest in uncollateralized loans. Loans are often issued in connection with recapitalizations, acquisitions, leveraged buyouts, and refinancing of borrowers. The loans often pay interest at rates that float above (or are adjusted periodically based on) a benchmark that reflects current interest rates although the Fund can also invest in loans with fixed interest rates.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
83 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
| | | | |
| | | When-Issued or Delayed Delivery Basis Transactions | |
| |
Purchased securities | | | $18,030,965 | |
Sold securities | | | 6,160,131 | |
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest at period end is as follows:
| | | | |
Cost | | $ | 502,272,111 | |
Market Value | | $ | 166,260,781 | |
Market Value as % of Net Assets | | | 3.20% | |
The Fund has entered into forbearance agreements with certain obligors under which the Fund has agreed to temporarily forego receipt of the original principal or coupon interest rates. At period end, securities with an aggregate market value of $91,811,088, representing 1.77% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. There are certain risks arising from geographic concentration in any state, commonwealth or territory. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory may impair the ability of certain issuers of municipal securities to pay principal and interest on their obligations.
84 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
5. Market Risk Factors
The Fund’s investments in securities and/or financial derivatives may expose the fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Shares of Beneficial Interest
The Fund has authorized an unlimited number of no par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows
| | | | | | | | | | | | |
| Six Months Ended January 29, 2016 1 | | | Year Ended July 31, 2015 | |
| | | Shares | | Amount | | | Shares | | Amount | |
| |
Class A | | | | | | | | | | | | |
Sold | | 43,451,833 | | $ | 302,434,028 | | | 87,123,461 | | $ | 619,980,821 | |
Dividends and/or distributions reinvested | | 11,675,764 | | | 81,338,323 | | | 24,865,585 | | | 176,893,384 | |
Redeemed | | (55,382,242) | | | (385,089,042) | | | (144,091,096) | | | (1,018,692,480) | |
| | | |
Net decrease | | (254,645) | | $ | (1,316,691) | | | (32,102,050) | | $ | (221,818,275) | |
| | | |
85 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Shares of Beneficial Interest (Continued)
| | | | | | | | | | | | |
| Six Months Ended January 29, 2016 1 | | | Year Ended July 31, 2015 | |
| | | Shares | | Amount | | | Shares | | Amount | |
| |
Class B | | | | | | | | | | | | |
Sold | | 68,146 | | $ | 478,358 | | | 134,690 | | $ | 964,201 | |
Dividends and/or distributions reinvested | | 158,163 | | | 1,105,971 | | | 471,292 | | | 3,371,053 | |
Redeemed | | (2,142,961) | | | (14,922,933) | | | (4,364,892) | | | (31,157,120) | |
| | | |
Net decrease | | (1,916,652) | | $ | (13,338,604) | | | (3,758,910) | | $ | (26,821,866) | |
| | | |
| | | | | | | | | | | | |
| |
Class C | | | | | | | | | | | | |
Sold | | 15,912,207 | | $ | 110,167,077 | | | 28,694,059 | | $ | 203,408,816 | |
Dividends and/or distributions reinvested | | 4,342,050 | | | 30,123,561 | | | 8,903,012 | | | 63,120,770 | |
Redeemed | | (17,013,962) | | | (117,796,005) | | | (44,567,966) | | | (313,899,563) | |
| | | |
Net increase (decrease) | | 3,240,295 | | $ | 22,494,633 | | | (6,970,895) | | $ | (47,369,977) | |
| | | |
| | | | | | | | | | | | |
| |
Class Y | | | | | | | | | | | | |
Sold | | 34,372,947 | | $ | 239,503,334 | | | 55,233,963 | | $ | 391,896,568 | |
Dividends and/or distributions reinvested | | 2,963,270 | | | 20,625,578 | | | 5,486,984 | | | 38,979,151 | |
Redeemed | | (18,819,568) | | | (130,808,119) | | | (39,925,421) | | | (281,378,774) | |
| | | |
Net increase | | 18,516,649 | | $ | 129,320,793 | | | 20,795,526 | | $ | 149,496,945 | |
| | | |
1. January 29, 2016 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.
7. Purchases and Sales of Securities
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the reporting period were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
| |
Investment securities | | $ | 509,956,574 | | | | $510,648,191 | |
8. Fees and Other Transactions with Affiliates
Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:
| | | | |
| Fee Schedule | | | |
| |
Up to $200 million | | | 0.60% | |
Next $100 million | | | 0.55 | |
Next $200 million | | | 0.50 | |
Next $250 million | | | 0.45 | |
Next $250 million | | | 0.40 | |
Next $10 billion | | | 0.35 | |
Over $11 billion | | | 0.34 | |
86 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
8. Fees and Other Transactions with Affiliates (Continued)
The Fund’s effective management fee for the reporting period was 0.37% of average annual net assets before any applicable waivers.
Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.
Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.
Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.
Trustees’ Compensation. The Fund has adopted an unfunded retirement plan (the “Plan”) for the Fund’s Independent Trustees. Benefits are based on years of service and fees paid to each Trustee during their period of service. The Plan was frozen with respect to adding new participants effective December 31, 2006 (the “Freeze Date”) and existing Plan Participants as of the Freeze Date will continue to receive accrued benefits under the Plan. Active Independent Trustees as of the Freeze Date have each elected a distribution method with respect to their benefits under the Plan. During the reporting period, the Fund’s projected benefit obligations, payments to retired Trustees and accumulated liability were as follows:
| | | | |
Projected Benefit Obligations Increased | | $ | — | |
Payments Made to Retired Trustees | | | 43,506 | |
Accumulated Liability as of January 29, 2016 | | | 299,560 | |
The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other”
87 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
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 with the compensation deferral plan.
Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.
Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.15% of the daily 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 and Class C Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B and Class C shares pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.15% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.
Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.
| | | | | | | | | | | | | | | | |
| Six Months Ended | | Class A Front-End Sales Charges Retained by Distributor | | | Class A Contingent Deferred Sales Charges Retained by Distributor | | | Class B Contingent Deferred Sales Charges Retained by Distributor | | | Class C Contingent Deferred Sales Charges Retained by Distributor | |
| |
January 29, 2016 | | | $254,757 | | | | $56,959 | | | | $46,319 | | | | $43,241 | |
88 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
9. Borrowings and Other Financing
Borrowings. The Fund can borrow money from banks in amounts up to one third of its total assets (including the amount borrowed) less all liabilities and indebtedness other than borrowings (meaning that the value of those assets must be at least 300% of the amount borrowed). The Fund can use those borrowings for investment-related purposes such as purchasing portfolio securities. The Fund also may borrow to meet redemption obligations or for temporary and emergency purposes. When the Fund invests borrowed money in portfolio securities, it is using a speculative investment technique known as leverage and changes in the value of the Fund’s investments will have a larger effect on its share price than if it did not borrow because of the effect of leverage.
The Fund will pay interest and may pay other fees in connection with loans. If the Fund does borrow, it will be subject to greater expenses than funds that do not borrow. The interest on borrowed money and the other fees incurred in conjunction with loans are an expense that might reduce the Fund’s yield and return. Expenses incurred by the Fund with respect to interest on borrowings and commitment fees are disclosed separately or as other expenses on the Statement of Operations.
The Fund entered into a Revolving Credit and Security Agreement (the “Agreement”) with conduit lenders and Citibank N.A. which enables it to participate with certain other Oppenheimer funds in a committed, secured borrowing facility that permits borrowings of up to $2.5 billion, collectively, by the Oppenheimer Rochester Funds. To secure the loan, the Fund pledges investment securities in accordance with the terms of the Agreement. Securities held in collateralized accounts to cover these borrowings are noted in the Statement of Investments. Interest is charged to the Fund, based on its borrowings, at current commercial paper issuance rates (0.4783% at period end). The Fund pays additional fees monthly to its lender on its outstanding borrowings to manage and administer the facility and is allocated its pro-rata share of an annual structuring fee and ongoing commitment fees both of which are based on the total facility size. Total fees and interest that are included in expenses on the Fund’s Statement of Operations related to its participation in the borrowing facility during the reporting period equal 0.06% of the Fund’s average net assets on an annualized basis. The Fund has the right to prepay such loans and terminate its participation in the conduit loan facility at any time upon prior notice.
At period end, the Fund had no borrowings outstanding.
Details of the borrowings for the reporting period are as follows:
| | | | |
Average Daily Loan Balance | | $ | 454,910 | |
Average Daily Interest Rate | | | 0.272 | % |
Fees Paid | | $ | 427,054 | |
Interest Paid | | $ | 3,304 | |
Reverse Repurchase Agreements. The Fund may engage in reverse repurchase agreements. A reverse repurchase agreement is the sale of one or more securities to a counterparty at an agreed-upon purchase price with the simultaneous agreement to repurchase those securities on a future date at a higher repurchase price. The repurchase price represents the repayment of the purchase price and interest accrued thereon over the term of the repurchase agreement. The cash received by the Fund in connection with a
89 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Borrowings and Other Financing (Continued)
reverse repurchase agreement may be used for investment-related purposes such as purchasing portfolio securities or for other purposes such as those described in the preceding “Borrowings” note.
The Fund entered into a Committed Repurchase Transaction Facility (the “Facility”) with J.P. Morgan Securities LLC (the “counterparty”) which enables it to participate with certain other Oppenheimer funds in a committed reverse repurchase agreement facility that permits aggregate outstanding reverse repurchase agreements of up to $750 million, collectively. Interest is charged to the Fund on the purchase price of outstanding reverse repurchase agreements at current LIBOR rates plus an applicable spread. The Fund is also allocated its pro-rata share of an annual structuring fee based on the total Facility size and ongoing commitment fees based on the total unused amount of the Facility. The Fund retains the economic exposure to fluctuations in the value of securities subject to reverse repurchase agreements under the Facility and therefore these transactions are considered secured borrowings for financial reporting purposes. The Fund also continues to receive the economic benefit of interest payments received on securities subject to reverse repurchase agreements, in the form of a direct payment from the counterparty. These payments are included in interest income on the Statement of Operations. Total fees and interest related to the Fund’s participation in the Facility during the reporting period are included in expenses on the Fund’s Statement of Operations and equal 0.03% of the Fund’s average net assets on an annualized basis.
The securities subject to reverse repurchase agreements under the Facility are valued on a daily basis. To the extent this value, after adjusting for certain margin requirements of the Facility, exceeds the cash proceeds received, the Fund may request the counterparty to return securities equal in margin value to this excess. To the extent that the cash proceeds received exceed the margin value of the securities subject to the transaction, the counterparty may request additional securities from the Fund. The Fund has the right to declare each Wednesday as the repurchase date for any outstanding reverse repurchase agreement upon delivery of advanced notification and may also recall any security subject to such a transaction by substituting eligible securities of equal or greater margin value according to the Facility’s terms.
The Fund executed no transactions under the Facility during the reporting period.
Details of reverse repurchase agreement transactions for the reporting period are as follows:
10. Pending Litigation
In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among
90 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
10. Pending Litigation (Continued)
other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order and determined that the suit will proceed as a class action. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.
OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.
91 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited
The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.
The Adviser, Sub-Adviser and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.
Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.
Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio managers and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund as well. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.
The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that
92 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
the Sub-Adviser has had over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance services and risk management, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Daniel Loughran, Scott Cottier, Troy Willis, Mark DeMitry, Michael Camarella, Charles Pulire and Elizabeth Mossow, the portfolio managers for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.
Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board also reviewed information, prepared by the Managers and by the independent consultant, comparing the Fund’s historical performance to relevant benchmarks or market indices and to the performance of other retail funds in the high yield muni category. The Board noted that the Fund’s one-year, three-year, and five-year performance was better than its category median although its ten-year performance was below its category median.
Fees and Expenses of the Fund. The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund to the fees and services for other clients or accounts advised by the Adviser. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail front-end load high yield muni funds with comparable asset levels and distribution features. The Board noted that the Fund’s contractual management fees and total expenses were lower than its peer group median and category median.
Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.
Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and
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BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS Unaudited
indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.
Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.
Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through September 30, 2016. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.
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PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENTS OF INVESTMENTS Unaudited
The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.
The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Householding—Delivery of Shareholder Documents
This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.
Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800.CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.
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OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | |
| Trustees and Officers | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee |
| As of 3/1/16 | | Beth Ann Brown, Trustee |
| | Matthew P. Fink, Trustee |
| | Edmund P. Giambastiani, Jr., Trustee |
| | Elizabeth Krentzman, Trustee |
| | Mary F. Miller, Trustee |
| | Joel W. Motley, Trustee |
| | Joanne Pace, Trustee |
| | Daniel Vandivort, Trustee |
| | Arthur P. Steinmetz, Trustee, President and Principal Executive Officer |
| | Daniel G. Loughran, Vice President |
| | Scott S. Cottier, Vice President |
| | Troy E. Willis, Vice President |
| | Mark R. DeMitry, Vice President |
| | Michael L. Camarella, Vice President |
| | Charles S. Pulire, Vice President |
| | Richard Stein, Vice President |
| | Cynthia Lo Bessette, Secretary and Chief Legal Officer |
| | Jennifer Sexton, Vice President and Chief Business Officer |
| | Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money Laundering Officer |
| | Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer |
| |
| Manager | | OFI Global Asset Management, Inc. |
| |
| Sub-Adviser | | OppenheimerFunds, Inc. |
| |
| Distributor | | OppenheimerFunds Distributor, Inc. |
| |
Transfer and Shareholder Servicing Agent | | OFI Global Asset Management, Inc. |
| |
| Sub-Transfer Agent | | Shareholder Services, Inc. |
| | DBA OppenheimerFunds Services |
| |
Independent Registered Public Accounting Firm | | KPMG LLP |
| |
| Legal Counsel | | Kramer Levin Naftalis & Frankel LLP |
| |
| | The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
© 2016 OppenheimerFunds, Inc. All rights reserved.
96 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
PRIVACY POLICY NOTICE
As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.
Information Sources
We obtain nonpublic personal information about our shareholders from the following sources:
| ● | | Applications or other forms |
| ● | | When you create a user ID and password for online account access |
| ● | | When you enroll in eDocs Direct, our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited |
| ● | | When you set up challenge questions to reset your password online |
If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.
We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.
If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.
We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.
Protection of Information
We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.
Disclosure of Information
Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
97 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
PRIVACY POLICY NOTICE Continued
Internet Security and Encryption
In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.
We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.
| ● | | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. |
| ● | | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. |
| ● | | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
Other Security Measures
We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.
How You Can Help
You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.
Who We Are
This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).
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Visit us at oppenheimerfunds.com for 24-hr access to account information and transactions or call us at 800 CALL OPP (800 225 5677) for 24-hr automated information and automated transactions. Representatives also available Mon–Fri 8am–8pm ET. | | |
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Visit Us oppenheimerfunds.com Call Us 800 225 5677 Follow Us | | | | |
 | | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2016 OppenheimerFunds Distributor, Inc. All rights reserved. RS0795.001.0116 March 24, 2016 | | |
Item 2. Code of Ethics.
Not applicable to semiannual reports.
Item 3. Audit Committee Financial Expert.
Not applicable to semiannual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable to semiannual reports.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments.
a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.
b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company
and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards
None
Item 11. Controls and Procedures.
Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 1/29/2016, 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 Multi-State Municipal Trust |
| |
| By: | | /s/ Arthur P. Steinmetz |
| | Arthur P. Steinmetz |
| | Principal Executive Officer |
Date: | | 3/15/2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Arthur P. Steinmetz |
| | Arthur P. Steinmetz |
| | Principal Executive Officer |
Date: | | 3/15/2016 |
| | |
| By: | | /s/ Brian S. Petersen |
| | Brian S. Petersen |
| | Principal Financial Officer |
Date: | | 3/15/2016 |
