UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-5867
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: 1/31/2017
Item 1. Reports to Stockholders.
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/31/17
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Bloomberg Barclays
Municipal Bond Index |
| 6-Month | | -1.97% | | -6.63% | | -3.34% |
| 1-Year | | 3.62 | | -1.30 | | -0.28 |
| 5-Year | | 3.12 | | 2.13 | | 2.94 |
| 10-Year | | 2.85 | | 2.35 | | 4.34 |
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 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.
2 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 24, 2017): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders.
Securities backed by Puerto Rico’s sales and use tax (COFINAs) were paid their full coupon payment on February 1 as were bonds issued by the Puerto Rico Industrial Development Company, PRASA (the Commonwealth’s aqueduct and sewer authority) and PRHTA (its highways and transportation authority). According to Puerto Rico officials, the Government Development Bank failed to make a February 1 payment of $279 million, and other authorities – including the Public Finance Corporation and the Commonwealth’s infrastructure finance authority – also skipped their much smaller payments.
Gov. Ricardo Rosselló Nevares announced on February 9 that the $1.4 million interest payment that was due on G.O. bonds on February 1 would be paid from a Banco Popular account into which $146 million of “clawback” money had been deposited.
In early February, the governor signed legislation to add a non-binding “status referendum” to the calendar. On June 11, Puerto Ricans will be asked to vote for either statehood or independence/free association. The outcome could set the stage for an additional referendum in October. However, a member of the opposition party has appealed to U.S. Attorney General Jeff Sessions to intervene because the June 11 referendum fails to give Puerto Ricans the option to vote to remain a commonwealth.
In his State of the Commonwealth speech on February 27, 2017, Gov. Rosselló discussed his forthcoming 10-year fiscal plan, which he said would lead to economic growth and an additional $1.5 billion in revenue. The plan did not include many of the austerity measures that had been discussed, including layoffs to reduce the government payroll. In fact, one of the plan’s proposals calls for a minimum wage increase for both private and public sector employees, which the governor sees as step toward economic growth.
According to the plan, government spending would decrease by $1.5 billion, and $1.2 billion would be set aside for debt service obligations by fiscal 2019. The plan did not meet the Oversight Board’s requirement that there be $4.5 billion in fiscal adjustments to close the fiscal 2019 budget gap.
In early March the Oversight Board rejected the governor’s plan, calling it “unrealistic.” The Board called for emergency spending cuts on March 8 based on its concerns about the Commonwealth’s liquidity issues. In a letter to the governor, the Board wrote: “While we
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appreciate your focus on addressing Puerto Rico’s long-term fiscal and economic challenges, we think far more needs to be done immediately to reduce spending.” The governor responded with “appreciation” for the board’s input and assertions that his plan already addressed issues related to taxes and spending.
On March 13, 2017, the Oversight Board approved an amended fiscal plan and established a number of milestones for the Rosselló administration. With the Board’s approval, the governor was able to avoid furloughs. The Board has said it will revisit the need for furloughs if the plan’s revenue measures fail to work by October 2017. The current plan calls for approximately $7 billion in debt payments through fiscal year 2026. As one member of the Oversight Board explained, the approval of this plan “is certainly not the end of the process.” He went on to say that it is not “even the beginning of the end of the process,” according to The Bond Buyer.
The stay that prevents creditors from suing the Commonwealth for non-payment is set to expire May 1. The governor has asked that the stay be extended to December 31, but Puerto Rico’s resident commissioner has said that another extension was unlikely.
Representatives of the Puerto Rican government, the Oversight Board and bondholders appeared before the House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs on March 22. The subcommittee heard testimony about the Oversight Board and about the restructuring agreement between forbearing bondholders and PREPA (the Commonwealth’s electric utility authority). Earlier in the month, the governor nominated Ricardo Ramos to be PREPA’s new executive director.
As always, our team is focused on developments that have the potential to affect this Fund’s holdings and will continue to work to protect our shareholders’ best interests.
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Fund Performance Discussion
Oppenheimer Rochester New Jersey Municipal Fund continued to generate attractive levels of tax-free income during the most recent 6-month reporting period, despite post-Election Day volatility in the municipal bond market. As of January 31, 2017, the Class A shares provided a distribution yield of 4.38% at net asset value (NAV). Falling bond prices in the last 2 months of the reporting period, however, caused the Fund’s NAV to decline, and its total return for the reporting period was negative. The Fund’s Class A shares nonetheless outperformed the Bloomberg Barclays Municipal Bond Index, its benchmark, by 137 basis points.
MARKET OVERVIEW
The Federal Reserve Open Market Committee (FOMC) decided to maintain the target range for the Fed Funds rate at 0.50% to 0.75% at its January 2017 meeting. The FOMC cited “realized and expected labor market conditions and inflation” as factors in its decision, which it expects to support further job gains. Improvements in the labor market were also discussed at the FOMC’s meetings in September and November 2016.
The FOMC last increased the Fed Funds
The average 12-month distribution yield in Lipper’s New Jersey Municipal Debt Funds category was 3.38% at the end of this reporting period. At 4.72%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 134 basis points higher than the category average.
target rate at its December 2016 meeting.
Simultaneously, the Fed increased its forecast
| | |
YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | |
| Dividend Yield w/o sales charge | | 4.38% |
| Dividend Yield with sales charge | | 4.17 |
| Standardized Yield | | 3.13 |
| Taxable Equivalent Yield | | 6.11 |
| Last distribution (1/24/17) | | $0.034 |
| Total distributions (8/1/16 to 1/31/17) | | $0.208 |
Endnotes for this discussion begin on page 19 of this report.
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to three rate hikes in 2017, from an earlier projection of two. One reason given for potential future rate hikes is to prevent both rapidly falling unemployment rates and the inflation that could ensue as employers increase wages to attract available workers.
In a speech given at the end of the reporting period, Chairman Yellen said that determining the appropriate level of interest rates going forward is “highly uncertain” given domestic productivity questions, global growth uncertainty, and possible fiscal policy changes.
The rate was last increased in December 2015, after nearly 7 years of being held to a range of zero to 0.25%.
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.
High-grade municipal bonds came under pricing pressure, notably after Election Day, and the yield curve for these securities was higher on January 31, 2017 than it had been on July 31, 2016. The median yield on 30-year, AAA-rated muni bonds stood at 3.19% on January 31, 2017, up 92 basis points from July 31, 2016. The median yield on 10-year, AAA-rated muni bonds was 2.37% on January 31, 2017, up 59 basis points from the July 2016 date, and the median yield on 1-year, AAA-rated muni bonds was 0.93%, up 48 basis points from the July 2016 date.
New Jersey’s gambling mecca, Atlantic City, breached one of the terms of its $73 million bridge loan agreement in September 2016, a development that Moody’s Investors Service called a credit negative. The loan agreement required the city to dissolve the Atlantic City Municipal Utilities Authority by September 15.
In November 2016, New Jersey rejected a 5-year recovery plan proposed by Atlantic City, and a week later the state’s Local Finance Board unanimously approved a state takeover of the city’s finances, allowing the state to restructure outstanding debt, re-negotiate municipal contracts and sell city assets for the next 5 years. As a result, the foundering city will likely avoid any threat of default through 2017. The decision was hailed as a credit positive by Moody’s. Tim Cunningham, director of New Jersey’s Division of Local Government Services, said that he will look to the state treasury for debt-service assistance, if that becomes necessary.
New Jersey voters overwhelmingly rejected a referendum in November 2016 to allow casino gambling in areas outside of Atlantic City. Seven casinos remain in the gambling hub, down from 12 in 2014. The Trump Taj Mahal closed in October 2016.
Gov. Chris Christie and New Jersey Legislature came to an agreement in October 2016 to restore funding to the Transportation Trust Fund (TTF) to the tune of $2 billion annually for 8 years; a 23-cent-per-gallon increase in
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the Garden State’s gas tax, which took effect in November 2016, will provide the financing.
In November 2016, S&P Global Ratings (S&P) downgraded New Jersey’s general obligation (G.O.) bonds to A-minus, from A, citing the state’s public employee pension obligations. G.O.s are backed by the full faith and taxing authority of the state or local government that issues them. This is the 10th credit downgrade since Gov. Christie took office in 2010.
New Jersey will make quarterly payments to its ailing public pension system, thanks to legislation that was unanimously approved by both the Senate and Assembly and signed by the governor in December 2016. In the past, the state made a single pension payment at the end of its fiscal year. According to State Senate President Steve Sweeney, the quarterly plan “will provide greater stability to state finances, produce ongoing savings for the taxpayers and help make the pension funds more secure.”
During the reporting period, the governor reversed his decision to end the income tax reciprocity agreement with Pennsylvania. The reversal came after he signed legislation to curb public employee healthcare costs, a move that yielded $200 million in savings. In September 2016, the governor had asserted that the state needed to end the almost 40-year agreement and tax Pennsylvania residents working in the Garden State to cover a $250 million budget deficit.
As of January 31, 2017, New Jersey’s G.O. bonds were rated A2 by Moody’s, A-minus by S&P, and A by Fitch Ratings.
FUND PERFORMANCE
Oppenheimer Rochester New Jersey Municipal Fund held more than 190 securities as of January 31, 2017. 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.
At the end of the reporting period, the Class A shares of this Fund provided a distribution yield at NAV of 4.38%. The 12-month distribution yield at NAV of this Fund’s Class A shares was the second highest in Lipper’s New Jersey Municipal Debt Funds category as of January 31, 2017, trailing only the 12-month distribution yield of this Fund’s Y shares. At 4.72% on that date, the 12-month distribution yield at NAV for this Fund’s Class A shares was 134 basis points higher than the category average, which was 3.38%.
During this reporting period, challenging market conditions created pressure on the dividends of many fixed income funds. This Fund’s Class A dividend, which was 3.5 cents per share at the outset of this reporting period, was reduced to 3.4 cents per share beginning with the December 2016 payout. In all, the Fund distributed 20.8 cents per Class A share this reporting period.
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Nonetheless, the tax-exempt status of the Fund’s distributions of net income remained a boon to investors seeking 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 6.11%, based on the Fund’s standardized yield as of January 31, 2017 and the top federal and New Jersey income tax rates for 2016. As long-time investors know, yields and share prices move in opposite directions. When yields on fixed income bonds rise,
share prices fall and vice versa. Yields have historically contributed the lion’s share of the long-term total returns generated by bonds.
Securities issued in the Commonwealth of Puerto Rico, which are exempt from federal, state and local income taxes, represented 18.9% of the Fund’s total assets (19.5% 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 Master Settlement
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Agreement (MSA) and included in this Fund’s tobacco holdings. The Fund’s Puerto Rico holdings include G.O.s 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.
Investors should note that some of this Fund’s investments in securities issued in Puerto Rico, including one G.O. holding, are insured. In some cases, the debt-service obligations on insured securities were paid in full or in part by the insurer. A complete listing of securities held by this Fund can be found in this report’s Statement of Investments.
The Commonwealth of Puerto Rico remained in the headlines throughout this reporting period, and more detailed information about the developments covered below can be found on our online PR Roundup (oppenheimerfunds.com/puerto-rico).
On the last day of August 2016, the Obama administration announced the seven members of the federal oversight board established by the Puerto Rico Oversight, Management and Economic Stability Act, aka PROMESA. As investors may recall, PROMESA requires the government of Puerto Rico to develop a new fiscal plan, to develop and enact balanced budgets (and legislation) that conform to the fiscal plan, to deliver audited financial results in a timely fashion, and to regain access to
financial markets.
The new law also called for the establishment of a Congressional Task Force on Economic Growth for Puerto Rico. The task force’s initial status report voiced concerns about “the relative lack of reliable data pertaining to certain aspects of the economic, financial, and fiscal situation in Puerto Rico.” In its year-end report, the task force reached bipartisan recommendations on various measures for Puerto Rico’s economic growth, including an “equitable and sustainable legislative solution to the financing of Puerto Rico’s Medicaid program” by early 2017.
We note that PROMESA – which was passed with rare bipartisan support and signed into law on June 30, 2016 – tries to balance the interests of many stakeholders. We were pleased that a federal control board was established. As the fiscal turnarounds of New York City and Washington, D.C. demonstrate, a responsible control board can guide a troubled municipality to a stronger future. The law also seeks to prevent the government of Puerto Rico from exercising “any control, supervision, oversight, or review” over the federal control board and makes it clear that neither Puerto Rico’s governor nor its legislature can “enact, implement, or enforce any statute, resolution, policy, or rule that would impair or defeat the purposes” of PROMESA.
On October 14, Gov. Alejandro García Padilla presented a fiscal plan to the federal oversight board. According to press reports,
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Padilla’s plan called for the Commonwealth’s government to improve financial reporting, consolidate branches of government, relax regulations and encourage investors to finance an assortment of projects.
At the meeting, the Commonwealth’s Treasury Secretary said that Puerto Rico had nearly $1 billion in unpaid bills and had written – but not sent – checks totaling $350 million. Carlos Garcia, a member of the oversight board, took issue with the government’s assessment of the situation, noting that Puerto Rico had “high tax collections” but was not providing essential services or paying its vendors or debt service obligations in full.
Austerity measures, Gov. Padilla claimed, would have “terrible consequences … on the well-being of the Puerto Rican people.” Among the documents shared with the oversight board was a report by the Puerto Rico Fiscal Authority Agency and Financial Advisory Authority which showed that the government’s 2014 “net position” – assets minus liabilities – was negative $50 billion, three times worse than in 2006.
The governor, whose term ended January 2, 2017, pointed a finger at many culprits, including bond ratings agencies, the U.S. Congress and the prior administrations in the Commonwealth who put forth “misguided and unscrupulous public policies.” Even though the Commonwealth tapped the capital markets during his administration, the governor blamed bondholders for providing the financing the Commonwealth
sought. Gov. Padilla renewed his appeal for federal legislation that could strengthen the Commonwealth’s economy.
In other developments, the oversight board filed a statement October 21 urging U.S. District Court Judge Francisco Besosa to deny requests from plaintiffs in three consolidated cases to have PROMESA’s stay on litigation lifted. On November 2 the judge denied three plaintiffs’ requests, noting in one case that the plaintiffs “do not have standing to seek relief from the PROMESA stay because they show no ‘injury in fact.’” The board had argued that the “ongoing litigation is a major distraction” and asserted that time and resources “would be better spent negotiating the fiscal plans required by PROMESA.” The judge cautioned that the Commonwealth defendants “must not abuse or squander the ‘breathing room’ that the court’s decision fosters.”
In a press release issued in early November, Puerto Rico’s Treasury Secretary asserted that the Government Development Bank (the GDB) is “stable” but that its managers have “substantial doubt about the ability of the GDB to continue as a going concern.” The current stability exists, he said, because the GDB has limited weekly withdrawals to no more than $3 million. He recommended that municipalities and public corporations determine the portion of their deposits that may be “impaired” according to accounting standards. We believe politics may be at play in the Commonwealth’s decision to portray the GDB as a weakening entity.
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On November 8, Ricardo Rosselló Nevares was elected governor of the Commonwealth. He is a member of the New Progressive Party and, according to a November 9 article in The Bond Buyer, his victory is expected to be a positive for bondholders. Prior to the election, Mr. Rosselló said that if bondholders can agree to extend the maturities on existing bonds, then Commonwealth issuers should agree to make their interest payments. Ahead of his inauguration, the governor-elect appointed Elías Sánchez Sifonte as his (non-voting) representative to the federal oversight board.
Immediately after his inauguration, Gov. Rosselló signed several executive orders related to fiscal and economic conditions in the Commonwealth. The first order requires immediate reductions in the operating expenses of every government agency. Additionally, no vacancies can be filled, no new positions created and all agency-related travel must be pre-approved. Another order establishes the Federal Opportunities Center to help public agencies and non-profit community organizations obtain federal funds. The new governor has ordered the use of zero-base budgets beginning with fiscal 2018, which begins July 1, 2017; the creation of a new entity to expedite the approvals of permits and certifications for a variety of infrastructure projects, and the establishment of recruiting measures by government agencies “to increase the participation of women in management positions.”
In the first month of his administration, Gov. Rosselló tried to secure some changes to deadlines established in PROMESA. The governor’s representative on the oversight board asked his fellow board members to give the governor until February 28 to submit his fiscal plan. The board was amenable but set some conditions, including “a commitment not to take more loans to provide short-term liquidity, develop a liquidity plan and provide further financial information, among others.” Simultaneously, the board told the governor that his plan had to make spending cuts and revenue increases of $4.5 billion a year. The governor rejected many of the board’s requests and asserted that the focus should be on economic growth, not increased taxation. At the end of the month, the board agreed to extend the deadline for submitting the fiscal plan, adjusted other deadlines related to the plan, set deadlines for a number of public agencies and authorities, and extended the stay on debt-related litigation through May 1, 2017.
Late in January, the governor signed an extension through December 2021 to a tax on foreign corporations. The Act 154 tax, which had been slated to expire at the end of 2017, was the government’s biggest source of revenue in the five months ended November 30, 2016; first-half budget results (through December 2016) indicate that the Act 154 tax was 15.2% ($132.2 million) higher than had been projected. The governor also signed a new measure, the Puerto Rico Financial
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Emergency and Fiscal Responsibility Act, to replace the Debt Moratorium Act, which gave Gov. Padilla the power to suspend debt payments. The new act allows Gov. Rosselló to prioritize expenditures and explicitly states that it “is inappropriate to categorically prioritize the payment of non-debt expenditures over debt service.”
Puerto Rico continued to have a mixed record regarding debt payments. As expected, Puerto Rico failed to pay $358 million of interest on its G.O. bonds on January 3, but insurers wrapped nearly $54 million of this amount, according to The Bond Buyer. It is not yet clear how the Commonwealth’s decisions about its debt-service obligations will affect the long-term outlook for the island’s residents or its bondholders (many of whom reside in Puerto Rico). Investors should note that a decline in a fund’s net investment income can create dividend pressure.
In other news, PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders, including Oppenheimer Rochester, worked throughout this reporting period to finalize a restructuring agreement whose terms were agreed on in September 2015. As investors may recall, PREPA announced in December 2015 that it had reached agreement with at least 70% of its creditors.
Prior to Election Day – but well after the July 1, 2016 deadline – then Gov. Padilla nominated five people to the board of directors of PREPA, as called for in the
PREPA Revitalization Act. He also nominated three people to the Corporation for the Revitalization of Electrical Energy Authority, which is the entity that is expected to issue new bonds in accordance with the restructuring agreement between PREPA and its forbearing bondholders. While some business groups, unions and businesses have challenged the validity of the PREPA Revitalization Act, PREPA issued a statement in late October 2016 asserting its confidence that the Act is constitutional. In January, the Court of the First Instance (San Juan) upheld the constitutionality of the Act.
Also in December 2016, PREPA and its forbearing bondholders agreed to extend the restructuring agreement until March 31, 2017.
PREPA made its $192.5 million interest payment in full on January 3, 2017. Also in early January, subsidiaries of the insurer Assured Guaranty made payments of $39 million and $5 million on G.O. debt and Public Building Authority debt, respectively. Later in the month, the Commonwealth’s energy commission made a minor adjustment to the rate increase that it had approved in June 2016.
During this reporting period, S&P downgraded several senior unsecured GDB bonds that had failed to make August 1, 2016 interest payments.
The Oppenheimer Rochester team has been an active participant in negotiations with
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Puerto Rico officials, and shareholders should be confident that we will continue to work to protect their best interests.
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 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 13.3% of the Fund’s total assets (13.7% 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 made all scheduled payments of interest and principal on time and in full.
Transportation Infrastructure bonds constituted 8.6% of the Fund’s total assets (8.8% net assets) as of January 31, 2017. This type of financing supports the construction of critical projects such as rail, bridges, ports, and public buildings.
The sales tax sector represented 7.7% of the Fund’s total assets (8.0% of net assets) as of January 31, 2017. Debt-service payments on securities in this sector, more than three quarters of which were issued in Puerto Rico, are paid using the issuing municipality’s sales tax revenue.
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G.O. securities comprised 7.5% of total assets (7.7% of net assets) as of January 31, 2017. At the end of this reporting period, the G.O. holdings consisted of bonds issued in various New Jersey municipalities as well as bonds issued in the Commonwealth of Puerto Rico and the Northern Mariana Islands. In this Fund, one of the G.O.s issued by Puerto Rico is insured; while they have not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe.
As of January 31, 2017, the Fund was invested in the hospital/healthcare sector, which represented 7.4% of total assets (7.6% 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. The sector includes one security issued by Puerto Rico.
U.S. Government obligation bonds constituted 7.4% of the Fund’s total assets (7.6% of net assets) on January 31, 2017. This sector includes any securities held by the Fund that have been pre-refunded. In a pre-refunding or a refunding, new securities with lower coupon rates are sold by a municipality to pay off debt that has higher interest rates. When a municipality issues a pre-refunding bond, a development that can only be done when the nearest call date is at least 90 days later, the proceeds are escrowed in U.S. Treasury bonds and earmarked to pay off the previously issued bond. The Treasury bonds that are purchased with the proceeds of a pre-refunding are backed by the full faith and credit of the U.S. government.
The Fund’s holdings in municipal bonds issued by utilities represented 6.8% of total assets (7.0% of net assets) at the end of this reporting period. This set of holdings included electric utilities with 3.5% of total assets (3.6% of net assets), water utilities with 2.8% of total assets (2.8% of net assets) and sewer utilities with 0.5% of total assets (0.5% of net assets) as of January 31, 2017. Our holdings in these sectors include insured securities issued in the State of New Jersey and Guam as well as securities issued by PREPA and PRASA (Puerto Rico’s aqueduct and sewer authority).
As of January 31, 2017, 5.5% of the Fund’s total assets (5.6% of net assets) was invested in the higher education sector. The investment-grade bonds we hold in this sector, some of which were issued in Puerto Rico, 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 Fund was also invested in securities used to finance marine and aviation facilities this reporting period. Many of these securities are high-grade investments that are backed by valuable collateral. On January 31, 2017, 5.0% of the Fund’s total assets (5.2% of net assets) was invested in the marine/aviation facilities sector. The sector included one bond issued in the Northern Mariana Islands.
The Fund continued to be invested in the highways and commuter facilities sector this reporting period, which represented 4.0% of
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total assets (4.2% of net assets) as of January 31, 2017. The bonds in this sector, which are used to build and maintain roadways and highway amenities, included one issued in Puerto Rico.
The Fund’s investments in government appropriation bonds represented 3.9% of the Fund’s total assets (4.1% of net assets) as of January 31, 2017. The municipal issuer of this type of security agrees to include an allocation in its budget that will be used to make its debt payments. Because municipalities need reliable access to future capital, these appropriations tend to be off limits during budget negotiations. The Fund’s holdings in this sector included one bond 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 high levels of 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 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 31, 2017, 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.
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| 16 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
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. Our team also favors premium-coupon, callable bonds, which historically have been a positive for shareholders, delivering higher levels of tax-free income than shorter-maturity bonds while exhibiting less price volatility than their final maturities would suggest.
We regularly 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.
| | |
 | | 
Scott S. Cottier, CFA Vice President, Senior Portfolio Manager and Team Leader |
| | |
 | | 
Troy E. Willis, CFA, J.D. Vice President, Senior Portfolio Manager and Team Leader |
On behalf of the rest of the Rochester portfolio management team: 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
| | | | |
| Tobacco Master Settlement Agreement | | | 13.3 | % |
| Transportation Infrastructure | | | 8.6 | |
| Sales Tax Revenue | | | 7.7 | |
| General Obligation | | | 7.5 | |
| Hospital/Healthcare | | | 7.4 | |
| U.S. Government Obligations | | | 7.4 | |
| Higher Education | | | 5.5 | |
| Marine/Aviation Facilities | | | 5.0 | |
| Highways/Commuter Facilities | | | 4.0 | |
| Government Appropriation | | | 3.9 | |
Portfolio holdings and allocations are subject to change. Percentages are as of January 31, 2017 and are based on total assets.
CREDIT ALLOCATION
| | | | | | | | | | | | |
| | | NRSRO-
Rated | | | Sub-
Adviser-
Rated | | | Total | |
| AAA | | | 0.0% | | | | 4.6% | | | | 4.6% | |
| AA | | | 18.5 | | | | 0.0 | | | | 18.5 | |
| A | | | 20.6 | | | | 0.0 | | | | 20.6 | |
| BBB | | | 18.9 | | | | 0.6 | | | | 19.5 | |
| BB or lower | | | 35.2 | | | | 1.6 | | | | 36.8 | |
| Total | | | 93.2% | | | | 6.8% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 31, 2017 and are subject to change. OppenheimerFunds, Inc., the sub-adviser, determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as S&P Global Ratings (S&P). For any security rated by an NRSRO other than S&P, the sub-adviser 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 1/31/17
| | | | |
| | | Without Sales
Charge | | With Sales
Charge |
| Class A | | 4.38% | | 4.17% |
| Class B | | 3.75 | | N/A |
| Class C | | 3.77 | | N/A |
| Class Y | | 4.46 | | N/A |
STANDARDIZED YIELDS
| | | | |
| For the 30 Days Ended 1/31/17 |
| Class A | | 3.13% | | |
| Class B | | 2.51 | | |
| Class C | | 2.53 | | |
| Class Y | | 3.39 | | |
TAXABLE EQUIVALENT YIELDS
| | | | |
| As of 1/31/17 |
| Class A | | 6.11% | | |
| Class B | | 4.90 | | |
| Class C | | 4.94 | | |
| Class Y | | 6.62 | | |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | |
| | | Inception
Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since Inception |
| Class A (ONJAX) | | 3/1/94 | | -1.97% | | 3.62% | | 3.12% | | 2.85% | | 4.61% |
| Class B (ONJBX) | | 3/1/94 | | -2.35 | | 2.82 | | 2.32 | | 2.35 | | 4.41 |
| Class C (ONJCX) | | 8/29/95 | | -2.45 | | 2.84 | | 2.34 | | 2.06 | | 3.93 |
| Class Y (ONJYX) | | 11/29/10 | | -2.01 | | 3.77 | | 3.27 | | N/A | | 4.69 |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | |
| | | Inception
Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since Inception |
| Class A (ONJAX) | | 3/1/94 | | -6.63% | | -1.30% | | 2.13% | | 2.35% | | 4.39% |
| Class B (ONJBX) | | 3/1/94 | | -7.14 | | -2.13 | | 1.99 | | 2.35 | | 4.41 |
| Class C (ONJCX) | | 8/29/95 | | -3.41 | | 1.85 | | 2.34 | | 2.06 | | 3.93 |
| Class Y (ONJYX) | | 11/29/10 | | -2.01 | | 3.77 | | 3.27 | | N/A | | 4.69 |
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 for periods of less than one year are not annualized. Returns do not consider capital gains or income taxes on an individual’s investments. 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 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
|
| 19 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
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.
The Fund’s performance is compared to the performance of the Bloomberg 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 indices. Index performance includes reinvestment of income but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
Distribution yields for Class A shares are based on dividends of $0.034 for the 25-day accrual period ended January 31, 2017. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value (NAV) on January 31, 2017; for the yield with 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 $0.0292, $0.0294 and $0.0347 respectively, for the 25-day accrual period ended January 31, 2017 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, 2017 and either the maximum offering price (for Class A shares) or NAV (for the other classes) on January 31, 2017. 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 2016 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.
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
|
| 20 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
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 median 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 and a 10-year par call. The MMA benchmark is constructed using yields from a group of active primary and secondary market makers and other municipal market participants.
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 31, 2017.
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 31, 2017” 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, 2016 | | Ending Account Value January 31, 2017 | | Expenses Paid During 6 Months Ended
January 31, 2017 | | |
| Class A | | $ 1,000.00 | | $ 980.30 | | $ 5.15 | | |
| Class B | | 1,000.00 | | 976.50 | | 9.01 | | |
| Class C | | 1,000.00 | | 975.50 | | 8.95 | | |
| Class Y | | 1,000.00 | | 979.90 | | 4.45 | | |
| | | |
Hypothetical (5% return before expenses) | | | | | | |
| Class A | | 1,000.00 | | 1,020.01 | | 5.26 | | |
| Class B | | 1,000.00 | | 1,016.13 | | 9.19 | | |
| Class C | | 1,000.00 | | 1,016.18 | | 9.14 | | |
| Class Y | | 1,000.00 | | 1,020.72 | | 4.54 | | |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended January 31, 2017 are as follows:
| | | | |
| Class | | Expense Ratios | |
| Class A | | | 1.03 | % |
| Class B | | | 1.80 | |
| Class C | | | 1.79 | |
| Class Y | | | 0.89 | |
|
| 23 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENT OF INVESTMENTS January 31, 2017 Unaudited
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| Municipal Bonds and Notes—105.3% | | | | | | | | | |
| New Jersey—67.9% | | | | | | | | | |
| $40,000 | | Atlantic City, NJ GO | | | 5.000% | | | | 12/01/2024 | | | $ | 33,274 | |
| 1,000,000 | | Atlantic County, NJ Improvement Authority (Stockton University)1 | | | 5.000 | | | | 07/01/2034 | | | | 1,109,260 | |
| 190,000 | | Bayonne, NJ Parking Authority1 | | | 5.000 | | | | 06/15/2027 | | | | 186,018 | |
| 1,000,000 | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2033 | | | | 1,050,780 | |
| 1,000,000 | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2034 | | | | 1,047,060 | |
| 1,000,000 | | Camden County, NJ Improvement Authority (Cooper Health System)1 | | | 5.000 | | | | 02/15/2035 | | | | 1,044,580 | |
| 2,000,000 | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.000 | | | | 11/01/2031 | | | | 2,129,280 | |
| 60,000 | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 06/01/2017 | | | | 60,189 | |
| 1,665,000 | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 01/01/2024 | | | | 1,674,790 | |
| 3,000,000 | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 11/01/2039 | | | | 2,993,820 | |
| 3,000,000 | | Casino Reinvestment Devel. Authority of NJ1 | | | 5.250 | | | | 11/01/2044 | | | | 2,963,040 | |
| 395,000 | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee)1 | | | 5.000 | | | | 01/01/2025 | | | | 397,161 | |
| 175,000 | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee)1 | | | 5.250 | | | | 01/01/2018 | | | | 176,029 | |
| 760,000 | | Casino Reinvestment Devel. Authority of NJ (Hotel Room Fee)1 | | | 5.250 | | | | 01/01/2022 | | | | 768,535 | |
| 1,000,000 | | Casino Reinvestment Devel. Authority of NJ (Luxury Tax)1 | | | 5.000 | | | | 11/01/2028 | | | | 1,082,160 | |
| 150,000 | | Essex County, NJ Improvement Authority (Newark)1 | | | 5.125 | | | | 04/01/2029 | | | | 150,154 | |
| 250,000 | | Essex County, NJ Improvement Authority (Newark)1 | | | 6.250 | | | | 11/01/2030 | | | | 260,092 | |
| 1,000,000 | | Hudson County, NJ Improvement Authority1 | | | 6.000 | | | | 01/01/2040 | | | | 1,096,360 | |
| 1,500,000 | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.000 | | | | 06/01/2035 | | | | 1,620,360 | |
| 1,250,000 | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.000 | | | | 06/01/2038 | | | | 1,346,612 | |
| 2,655,000 | | Hudson County, NJ Improvement Authority (Lincoln Park Golf Course)1 | | | 5.500 | | | | 06/01/2041 | | | | 2,981,565 | |
| 315,000 | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.000 | | | | 01/01/2020 | | | | 299,760 | |
| 2,535,000 | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.000 | | | | 01/01/2032 | | | | 1,858,256 | |
| 1,100,000 | | Middlesex County, NJ Improvement Authority (Heldrich Center Hotel) | | | 5.125 | | | | 01/01/2037 | | | | 778,338 | |
| 20,000 | | Middlesex County, NJ Improvement Authority (South Plainfield Urban Renewal)1 | | | 5.500 | | | | 09/01/2030 | | | | 20,064 | |
| 20,000 | | Neptune City, NJ Hsg. Authority1 | | | 6.000 | | | | 04/01/2019 | | | | 20,048 | |
| 445,000 | | New Brunswick, NJ Parking Authority1 | | | 5.000 | | | | 09/01/2027 | | | | 497,216 | |
| 605,000 | | New Brunswick, NJ Parking Authority1 | | | 5.000 | | | | 09/01/2029 | | | | 673,008 | |
| 430,000 | | Newark, NJ GO1 | | | 5.000 | | | | 07/15/2029 | | | | 450,141 | |
| 3,000,000 | | Newark, NJ GO1 | | | 5.000 | | | | 07/15/2029 | | | | 3,140,520 | |
| 315,000 | | Newark, NJ Hsg. Authority (Port Newark Marine Terminal Rental)1 | | | 5.000 | | | | 01/01/2032 | | | | 354,281 | |
| 5,000,000 | | Newark, NJ Hsg. Authority (Secured Police Facility)1 | | | 5.000 | | | | 12/01/2038 | | | | 5,466,750 | |
|
| 24 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
| | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | |
| $500,000 | | NJ Building Authority1 | | 5.000% | | | 06/15/2027 | | | $ | 560,670 | |
| 1,000,000 | | NJ Building Authority1 | | 5.000 | | | 06/15/2028 | | | | 1,115,320 | |
| 500,000 | | NJ Building Authority1 | | 5.000 | | | 06/15/2029 | | | | 554,105 | |
| 2,095,000 | | NJ EDA1 | | 5.000 | | | 06/15/2028 | | | | 2,214,331 | |
| 750,000 | | NJ EDA1 | | 5.000 | | | 06/15/2029 | | | | 789,713 | |
| 3,000,000 | | NJ EDA1 | | 5.000 | | | 06/15/2035 | | | | 3,001,860 | |
| 3,000,000 | | NJ EDA1 | | 5.000 | | | 06/15/2036 | | | | 3,003,900 | |
| 3,100,000 | | NJ EDA (Cranes Mill)1 | | 5.100 | | | 06/01/2027 | | | | 3,101,519 | |
| 100,000 | | NJ EDA (Dept. of Human Services)1 | | 6.250 | | | 07/01/2024 | | | | 101,928 | |
| 1,525,000 | | NJ EDA (Drew University)1 | | 5.250 | | | 07/01/2021 | | | | 1,706,750 | |
| 16,525,000 | | NJ EDA (Hamilton Care)1 | | 6.650 | | | 11/01/2037 | | | | 17,395,702 | |
| 3,050,000 | | NJ EDA (Harrogate)1 | | 5.875 | | | 12/01/2026 | | | | 2,885,453 | |
| 10,000 | | NJ EDA (Hillcrest Health Service) | | 7.243 2 | | | 01/01/2018 | | | | 9,854 | |
| 90,000 | | NJ EDA (Metromall Urban Renewal)1 | | 6.500 | | | 04/01/2031 | | | | 90,114 | |
| 100,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.000 | | | 07/01/2023 | | | | 102,404 | |
| 60,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.000 | | | 07/01/2029 | | | | 61,442 | |
| 195,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.000 | | | 07/01/2034 | | | | 199,688 | |
| 1,040,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.250 | | | 07/01/2017 | | | | 1,044,982 | |
| 505,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.250 | | | 07/01/2031 | | | | 518,120 | |
| 260,000 | | NJ EDA (Motor Vehicle Surcharges)1 | | 5.250 | | | 07/01/2033 | | | | 266,755 | |
| 2,500,000 | | NJ EDA (MSU Student Hsg.)1 | | 5.750 | | | 06/01/2031 | | | | 2,711,450 | |
| 135,000 | | NJ EDA (Municipal Rehabilitation)1 | | 5.000 | | | 04/01/2028 | | | | 135,427 | |
| 5,320,000 | | NJ EDA (New Jersey American Water Company)1 | | 5.600 | | | 11/01/2034 | | | | 5,799,066 | |
| 4,350,000 | | NJ EDA (New Jersey American Water Company)1 | | 5.700 | | | 10/01/2039 | | | | 4,740,586 | |
| 50,000 | | NJ EDA (New Jersey Transit Corp.)1 | | 5.750 | | | 12/15/2017 | | | | 50,173 | |
| 15,000 | | NJ EDA (New Jersey Transit Corp.)1 | | 5.750 | | | 12/15/2017 | | | | 15,052 | |
| 800,000 | | NJ EDA (Newark Downtown District Management Corp.)1 | | 5.125 | | | 06/15/2027 | | | | 805,568 | |
| 1,400,000 | | NJ EDA (Newark Downtown District Management Corp.)1 | | 5.125 | | | 06/15/2037 | | | | 1,406,790 | |
| 650,000 | | NJ EDA (Paterson Charter School Science & Technology)1 | | 6.000 | | | 07/01/2032 | | | | 655,746 | |
| 1,900,000 | | NJ EDA (Paterson Charter School Science & Technology)1 | | 6.100 | | | 07/01/2044 | | | | 1,903,667 | |
| 1,500,000 | | NJ EDA (Paterson Charter School)1 | | 5.000 | | | 07/01/2032 | | | | 1,361,640 | |
| 2,500,000 | | NJ EDA (Paterson Charter School)1 | | 5.300 | | | 07/01/2044 | | | | 2,213,975 | |
| 850,000 | | NJ EDA (Rutgers University)1 | | 5.000 | | | 06/15/2038 | | | | 953,147 | |
| 3,690,000 | | NJ EDA (School Facilities Construction)1 | | 5.000 | | | 03/01/2030 | | | | 3,742,988 | |
| 1,000,000 | | NJ EDA (School Facilities)1 | | 5.250 | | | 09/01/2026 | | | | 1,047,820 | |
| 50,000 | | NJ EDA (St. Barnabas Medical Center) | | 6.743 2 | | | 07/01/2018 | | | | 48,853 | |
| 65,000 | | NJ EDA (St. Barnabas Medical Center) | | 6.827 2 | | | 07/01/2021 | | | | 57,701 | |
| 25,000 | | NJ EDA (St. Barnabas Medical Center) | | 7.147 2 | | | 07/01/2020 | | | | 23,051 | |
| 110,000 | | NJ EDA (State Office Buildings)1 | | 5.000 | | | 06/15/2020 | | | | 110,369 | |
| 3,200,000 | | NJ EDA (Team Academy Charter School)1 | | 6.000 | | | 10/01/2043 | | | | 3,469,568 | |
| 10,000,000 | | NJ EDA (The Goethals Bridge Replacement)1 | | 5.375 | | | 01/01/2043 | | | | 10,600,100 | |
| 1,500,000 | | NJ EDA (UMM Energy Partners)1 | | 5.000 | | | 06/15/2037 | | | | 1,540,395 | |
| 1,250,000 | | NJ EDA (UMM Energy Partners)1 | | 5.125 | | | 06/15/2043 | | | | 1,282,050 | |
| 2,735,000 | | NJ Educational Facilities Authority (Georgian Court University)1 | | 5.000 | | | 07/01/2033 | | | | 2,768,121 | |
|
| 25 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | | |
| $875,000 | | NJ Educational Facilities Authority (Georgian Court University)1 | | | 5.250% | | | | 07/01/2027 | | | $ | 887,845 | |
| 2,115,000 | | NJ Educational Facilities Authority (Higher Education)1 | | | 5.000 | | | | 06/15/2026 | | | | 2,186,360 | |
| 120,000 | | NJ Educational Facilities Authority (Kean University)1 | | | 5.250 | | | | 09/01/2029 | | | | 129,140 | |
| 870,000 | | NJ Educational Facilities Authority (New Jersey City University)1 | | | 5.000 | | | | 07/01/2030 | | | | 998,725 | |
| 5,000 | | NJ Educational Facilities Authority (Public Library)1 | | | 5.000 | | | | 09/01/2022 | | | | 5,017 | |
| 30,000 | | NJ Educational Facilities Authority (Richard Stockton College)1 | | | 5.125 | | | | 07/01/2028 | | | | 31,723 | |
| 1,000,000 | | NJ Educational Facilities Authority (Rider University)1 | | | 5.000 | | | | 07/01/2037 | | | | 1,049,170 | |
| 15,000 | | NJ Educational Facilities Authority (Stevens Institute of Technology)1 | | | 5.000 | | | | 07/01/2028 | | | | 15,047 | |
| 2,025,000 | | NJ Educational Facilities Authority (Stockton University)1 | | | 5.000 | | | | 07/01/2041 | | | | 2,161,222 | |
| 3,000,000 | | NJ Health Care Facilities Financing Authority (Barnabas Health)1 | | | 5.000 | | | | 07/01/2044 | | | | 3,250,860 | |
| 5,085,000 | | NJ Health Care Facilities Financing Authority (Catholic Health East)1 | | | 5.000 | | | | 11/15/2033 | | | | 5,564,770 | |
| 750,000 | | NJ Health Care Facilities Financing Authority (Hebrew Old Age Center of Atlantic City)1 | | | 5.300 | | | | 11/01/2026 | | | | 678,218 | |
| 1,000,000 | | NJ Health Care Facilities Financing Authority (Hebrew Old Age Center of Atlantic City)1 | | | 5.375 | | | | 11/01/2036 | | | | 811,810 | |
| 65,000 | | NJ Health Care Facilities Financing Authority (Hospital Asset Transformation)1 | | | 5.250 | | | | 10/01/2038 | | | | 69,503 | |
| 230,000 | | NJ Health Care Facilities Financing Authority (Hospital Asset Transformation)1 | | | 5.250 | | | | 10/01/2038 | | | | 231,513 | |
| 3,480,000 | | NJ Health Care Facilities Financing Authority (IH/ IMCW/IMCtr Obligated Group)1 | | | 5.000 | | | | 07/01/2046 | | | | 3,742,218 | |
| 1,500,000 | | NJ Health Care Facilities Financing Authority (Kennedy Health System)1 | | | 5.000 | | | | 07/01/2031 | | | | 1,622,400 | |
| 500,000 | | NJ Health Care Facilities Financing Authority (SJHS/ SJH&MC Obligated Group)1 | | | 5.000 | | | | 07/01/2036 | | | | 526,060 | |
| 10,000,000 | | NJ Health Care Facilities Financing Authority (SJHS/ SJH&MC/GPD/GPDH/SJRC/HviewA/HsideA/Hhouse/ SJHlth/200HPC/SJWC/SJWHF Obligated Group)1 | | | 6.625 | | | | 07/01/2038 | | | | 10,776,600 | |
| 15,000 | | NJ Health Care Facilities Financing Authority (St. Barnabas Corp.) | | | 6.615 2 | | | | 07/01/2017 | | | | 14,940 | |
| 1,960,000 | | NJ Health Care Facilities Financing Authority (St. Luke’s Warren Hospital)1 | | | 5.000 | | | | 08/15/2034 | | | | 2,128,090 | |
| 5,410,000 | | NJ Health Care Facilities Financing Authority (Trinitas Hospital/Marillac Corp.
Obligated Group)1 | | | 5.250 | | | | 07/01/2023 | | | | 5,497,209 | |
| 2,000,000 | | NJ Health Care Facilities Financing Authority (University Hospital)1 | | | 5.000 | | | | 07/01/2046 | | | | 2,134,300 | |
| 125,000 | | NJ Health Care Facilities Financing Authority (Virtua Health/Virtua Memorial Hospital Burlington County Obligated Group)1 | | | 5.750 | | | | 07/01/2033 | | | | 135,385 | |
| 2,270,000 | | NJ Higher Education Assistance Authority1 | | | 5.500 | | | | 12/01/2025 | | | | 2,474,187 | |
| 70,000 | | NJ Higher Education Assistance Authority1 | | | 5.750 | | | | 12/01/2029 | | | | 76,019 | |
|
| 26 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| New Jersey (Continued) | | | | | | | | | |
| $11,190,000 | | NJ Higher Education Student Assistance Authority (Student Loans)1 | | | 6.125% | | | | 06/01/2030 | | | $ | 11,645,769 | |
| 3,285,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.)3 | | | 4.625 | | | | 10/01/2027 | | | | 3,292,254 | |
| 1,295,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.)3 | | | 5.000 | | | | 10/01/2037 | | | | 1,305,426 | |
| 70,000 | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.150 | | | | 10/01/2023 | | | | 72,711 | |
| 50,000 | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.375 | | | | 10/01/2028 | | | | 51,552 | |
| 10,000 | | NJ Hsg. & Mtg. Finance Agency, Series AA1 | | | 6.500 | | | | 10/01/2038 | | | | 10,298 | |
| 9,580,000 | | NJ Tobacco Settlement Financing Corp.1 | | | 5.000 | | | | 06/01/2041 | | | | 8,622,288 | |
| 1,625,000 | | NJ Transportation Trust Fund Authority1 | | | 5.000 | | | | 06/15/2038 | | | | 1,622,790 | |
| 5,000,000 | | NJ Transportation Trust Fund Authority1 | | | 5.500 | | | | 06/15/2041 | | | | 5,112,550 | |
| 10,000,000 | | NJ Transportation Trust Fund Authority1 | | | 5.875 | | | | 12/15/2038 | | | | 10,628,400 | |
| 4,518,000 | | NJ Transportation Trust Fund Authority1 | | | 6.000 | | | | 06/15/2035 | | | | 4,895,976 | |
| 5,000,000 | | NJ Turnpike Authority1 | | | 5.000 | | | | 01/01/2034 | | | | 5,606,300 | |
| 5,000,000 | | NJ Turnpike Authority1 | | | 5.000 | | | | 01/01/2038 | | | | 5,538,700 | |
| 6,330,000 | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2029 | | | | 7,228,647 | |
| 5,380,000 | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2030 | | | | 6,130,187 | |
| 4,000,000 | | Rutgers State University NJ3 | | | 5.000 | | | | 05/01/2038 | | | | 4,476,840 | |
| 1,350,000 | | South Jersey, NJ Port Corp. (Marine Terminal)1 | | | 5.000 | | | | 01/01/2039 | | | | 1,350,905 | |
| 3,650,000 | | South Jersey, NJ Transportation Authority1 | | | 5.000 | | | | 11/01/2039 | | | | 3,908,530 | |
| 55,000 | | Union County, NJ Improvement Authority (Linden Airport)1 | | | 5.000 | | | | 03/01/2028 | | | | 55,161 | |
| 40,000 | | West Milford Township, NJ (Municipal Utilities Authority)1 | | | 5.375 | | | | 08/01/2031 | | | | 40,089 | |
| | | | | | | | | | | | | 252,691,118 | |
| | | | | | | | | | | | | | | |
| New York—5.1% | | | | | | | | | | | | |
| 2,689,000 | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 5.750 | | | | 12/01/2022 | | | | 2,729,012 | |
| 8,685,000 | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 5.750 | | | | 12/01/2025 | | | | 8,814,233 | |
| 5,100,000 | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 6.500 | | | | 12/01/2028 | | | | 5,201,388 | |
| 1,705,000 | | Port Authority NY/NJ (KIAC)1 | | | 6.750 | | | | 10/01/2019 | | | | 1,747,420 | |
| 450,000 | | Port Authority NY/NJ, 152nd Series1 | | | 5.750 | | | | 11/01/2030 | | | | 474,530 | |
| | | | | | | | | | | | | 18,966,583 | |
| | | | | | | | | | | | | | | |
| U.S. Possessions—32.3% | | | | | | | | | | | | |
| 10,000 | | Guam Hsg. Corp. (Single Family Mtg.)1 | | | 5.750 | | | | 09/01/2031 | | | | 10,305 | |
| 125,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2023 | | | | 142,421 | |
| 125,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2024 | | | | 141,535 | |
| 250,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2030 | | | | 278,487 | |
| 65,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 06/01/2017 | | | | 64,938 | |
| 3,570,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 06/01/2030 | | | | 3,028,574 | |
| 2,235,000 | | Northern Mariana Islands Ports Authority, Series A1 | | | 6.250 | | | | 03/15/2028 | | | | 1,945,702 | |
| 2,525,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2038 | | | | 1,979,272 | |
| 3,825,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.375 | | | | 05/15/2033 | | | | 3,824,656 | |
| 18,900,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.500 | | | | 05/15/2039 | | | | 18,898,110 | |
| 19,195,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.625 | | | | 05/15/2043 | | | | 19,194,040 | |
| 2,150,000 | | Puerto Rico Commonwealth GO4 | | | 5.250 | | | | 07/01/2037 | | | | 1,389,222 | |
| 2,795,000 | | Puerto Rico Commonwealth GO4 | | | 5.500 | | | | 07/01/2039 | | | | 1,855,181 | |
| 8,350,000 | | Puerto Rico Commonwealth GO4 | | | 5.750 | | | | 07/01/2036 | | | | 5,385,750 | |
|
| 27 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| U.S. Possessions (Continued) | | | | | | | | | |
| $3,205,000 | | Puerto Rico Commonwealth GO4 | | | 5.750% | | | | 07/01/2041 | | | $ | 2,095,269 | |
| 5,000,000 | | Puerto Rico Commonwealth GO4 | | | 6.000 | | | | 07/01/2029 | | | | 3,262,000 | |
| 6,085,000 | | Puerto Rico Commonwealth GO4 | | | 6.000 | | | | 07/01/2039 | | | | 4,031,312 | |
| 3,000,000 | | Puerto Rico Commonwealth GO4 | | | 6.500 | | | | 07/01/2040 | | | | 1,972,200 | |
| 168,097 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 132,741 | |
| 168,096 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 132,740 | |
| 165,099 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2021 | | | | 127,338 | |
| 165,099 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2021 | | | | 127,338 | |
| 55,033 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2022 | | | | 42,298 | |
| 55,033 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2022 | | | | 42,298 | |
| 1,700,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.000 | | | | 07/01/2029 | | | | 1,106,037 | |
| 1,990,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.000 | | | | 07/01/2042 | | | | 1,292,246 | |
| 45,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 5.050 | | | | 07/01/2042 | | | | 29,221 | |
| 3,000,000 | | Puerto Rico Electric Power Authority, Series A5 | | | 7.000 | | | | 07/01/2043 | | | | 1,947,990 | |
| 3,000,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2028 | | | | 1,952,400 | |
| 5,000,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2030 | | | | 3,251,750 | |
| 550,000 | | Puerto Rico Electric Power Authority, Series AAA5 | | | 5.250 | | | | 07/01/2031 | | | | 357,605 | |
| 50,000 | | Puerto Rico Electric Power Authority, Series CCC5 | | | 5.000 | | | | 07/01/2021 | | | | 32,783 | |
| 90,000 | | Puerto Rico Electric Power Authority, Series CCC5 | | | 5.000 | | | | 07/01/2025 | | | | 58,573 | |
| 100,000 | | Puerto Rico Electric Power Authority, Series TT5 | | | 5.000 | | | | 07/01/2023 | | | | 65,187 | |
| 80,000 | | Puerto Rico Electric Power Authority, Series TT5 | | | 5.000 | | | | 07/01/2037 | | | | 51,971 | |
| 395,000 | | Puerto Rico Electric Power Authority, Series XX5 | | | 5.250 | | | | 07/01/2035 | | | | 256,402 | |
| 750,000 | | Puerto Rico Highway & Transportation Authority4,7 | | | 5.750 | | | | 07/01/2020 | | | | 453,750 | |
| 575,000 | | Puerto Rico Infrastructure4 | | | 5.000 | | | | 07/01/2027 | | | | 97,750 | |
| 4,750,000 | | Puerto Rico Infrastructure4 | | | 5.000 | | | | 07/01/2037 | | | | 807,500 | |
| 2,610,000 | | Puerto Rico Infrastructure6 | | | 5.000 | | | | 07/01/2041 | | | | 443,700 | |
| 975,000 | | Puerto Rico Infrastructure8 | | | 6.995 2 | | | | 07/01/2035 | | | | 321,253 | |
| 3,000,000 | | Puerto Rico Infrastructure4,7 | | | 7.046 2 | | | | 07/01/2042 | | | | 293,340 | |
| 400,000 | | Puerto Rico Infrastructure (Mepsi Campus) | | | 6.500 | | | | 10/01/2037 | | | | 193,608 | |
| 100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 04/01/2027 | | | | 92,678 | |
| 930,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 03/01/2036 | | | | 787,654 | |
| 100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.125 | | | | 04/01/2032 | | | | 88,710 | |
| 100,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.375 | | | | 04/01/2042 | | | | 86,143 | |
| 175,000 | | Puerto Rico ITEMECF (Cogeneration Facilities)1 | | | 6.625 | | | | 06/01/2026 | | | | 166,618 | |
| 1,000,000 | | Puerto Rico ITEMECF (Polytechnic University)1, 8 | | | 5.000 | | | | 08/01/2032 | | | | 925,670 | |
| 2,000,000 | | Puerto Rico Municipal Finance Agency, Series A1,8 | | | 5.250 | | | | 08/01/2020 | | | | 2,030,980 | |
| 305,000 | | Puerto Rico Public Buildings Authority4 | | | 5.250 | | | | 07/01/2033 | | | | 177,662 | |
| 5,000,000 | | Puerto Rico Public Buildings Authority6 | | | 5.250 | | | | 07/01/2042 | | | | 2,912,500 | |
| 1,000,000 | | Puerto Rico Public Buildings Authority6 | | | 5.625 | | | | 07/01/2039 | | | | 582,500 | |
| 1,000,000 | | Puerto Rico Public Buildings Authority1,8 | | | 6.000 | | | | 07/01/2028 | | | | 1,031,700 | |
| 1,530,000 | | Puerto Rico Public Buildings Authority, Series D4 | | | 5.250 | | | | 07/01/2036 | | | | 891,225 | |
| 5,235,000 | | Puerto Rico Public Finance Corp., Series B4 | | | 6.000 | | | | 08/01/2026 | | | | 431,888 | |
| 9,850,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.375 | | | | 08/01/2039 | | | | 4,703,375 | |
| 2,500,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2021 | | | | 1,193,750 | |
| 4,850,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2022 | | | | 2,315,875 | |
| 10,935,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2042 | | | | 5,221,463 | |
| 325,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.375 | | | | 08/01/2039 | | | | 167,375 | |
| 6,800,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.500 | | | | 08/01/2044 | | | | 3,510,500 | |
|
| 28 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| U.S. Possessions (Continued) | | | | | | | | | |
| $14,000,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.750% | | | | 08/01/2057 | | | $ | 9,531,621 | |
| 1,100,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.497 2 | | | | 05/15/2035 | | | | 172,832 | |
| 3,100,000 | | V.I. Tobacco Settlement Financing Corp. | | | 7.622 2 | | | | 05/15/2035 | | | | 283,061 | |
| | | | | | | | | | | | | 120,422,573 | |
| | | | | | | | | | | | | | | |
| Total Investments, at Value (Cost $424,410,556)—105.3% | | | | | | | | 392,080,274 | |
| Net Other Assets (Liabilities)—(5.3) | | | | | | | | (19,801,969 | ) |
| Net Assets—100.0% | | | | | | | $ | 372,278,305 | |
| | | | | | | | | |
Footnotes to Statement of Investments
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 original acquisition date.
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. 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.
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. Scheduled principal and interest payments are guaranteed by Financial Guaranty Insurance Corporation.
8. Scheduled principal and interest payments are guaranteed by ACA Financial Guaranty Corporation, Ambac Assurance Corporation, Assured Guaranty Corporation or National Public Finance Guaranty.
To simplify the listings of securities, abbreviations are used per the table below:
| | |
| 200HPC | | 200 Hospital Plaza Corp. |
| EDA | | Economic Devel. Authority |
| GO | | General Obligation |
| GPD | | Genesis Property Development |
| GPDH | | Genesis Property Development Holding |
| Hhouse | | Harbor House |
| HsideA | | Harborside Apartments |
| HviewA | | Harborview Apartments |
| IH | | Inspira Health |
| IMCtr | | Inspira Medical Center |
| IMCW | | Inspira Medical Center Woodbury |
| ITEMECF | | Industrial, Tourist, Educational, Medical and Environmental Community Facilities |
| JFK | | John Fitzgerald Kennedy |
| MSU | | Montclair State University |
| NY/NJ | | New York/New Jersey |
| SJH&MC | | St. Joseph’s Health and Medical Center |
| SJHlth | | St. Joseph’s Healthcare |
| SJHS | | St. Joseph Health System |
| SJRC | | St. Joseph’s Regional Cardiology |
|
| 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: (Continued)
| | |
| SJWC | | St. Joseph’s Wayne Cardiology |
| SJWHF | | St. Joseph’s Wayne Hospital Foundation |
| 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 31, 2017 Unaudited
| | | | |
| |
| Assets | | | | |
| Investments, at value (cost $424,410,556)—see accompanying statement of investments | | $ | 392,080,274 | |
| |
| Cash | | | 319,218 | |
| |
| Receivables and other assets: | | | | |
| Interest | | | 4,730,438 | |
| Shares of beneficial interest sold | | | 160,229 | |
| Other | | | 79,482 | |
| | | | |
| Total assets | | | 397,369,641 | |
| | | | |
| |
| Liabilities | | | | |
| Payables and other liabilities: | | | | |
| Payable for short-term floating rate notes issued (See Note 4) | | | 14,065,000 | |
| Payable for borrowings (See Note 9) | | | 9,600,000 | |
| Shares of beneficial interest redeemed | | | 926,258 | |
| Dividends | | | 324,187 | |
| Trustees’ compensation | | | 69,622 | |
| Distribution and service plan fees | | | 43,555 | |
| Interest expense on borrowings | | | 7,523 | |
| Shareholder communications | | | 1,555 | |
| Other | | | 53,636 | |
| | | | |
| Total liabilities | | | 25,091,336 | |
| |
| Net Assets | | $ | 372,278,305 | |
| | | | |
| | | | |
| |
| Composition of Net Assets | | | | |
| Paid-in capital | | $ | 560,546,936 | |
| |
| Accumulated net investment income | | | 1,458,403 | |
| |
| Accumulated net realized loss on investments | | | (157,396,752) | |
| |
| Net unrealized depreciation on investments | | | (32,330,282) | |
| | | | |
| Net Assets | | $ | 372,278,305 | |
| | | | |
|
| 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 $227,237,333 and
24,400,002 shares of beneficial interest outstanding) | | | $9.31 | |
| |
| Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | | $9.77 | |
| |
| |
Class B Shares: | | | | |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and
offering price per share (based on net assets of $2,083,255 and 223,003 shares of
beneficial interest outstanding) | | | $9.34 | |
| |
| |
Class C Shares: | | | | |
| |
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and
offering price per share (based on net assets of $112,696,371 and 12,085,995 shares of
beneficial interest outstanding) | | | $9.32 | |
| |
| |
Class Y Shares: | | | | |
Net asset value, redemption price and offering price per share (based on net assets of
$30,261,346 and 3,245,579 shares of beneficial interest outstanding) | | | $9.32 | |
See accompanying Notes to Financial Statements.
|
| 32 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENT OF OPERATIONS For the Six Months Ended January 31, 2017
| | | | |
| |
| Investment Income | | | | |
| Interest | | $ | 10,704,630 | |
| |
| Expenses | | | | |
| Management fees | | | 1,119,888 | |
| |
| Distribution and service plan fees: | | | | |
| Class A | | | 178,802 | |
| Class B | | | 11,282 | |
| Class C | | | 537,878 | |
| |
| Transfer and shareholder servicing agent fees: | | | | |
| Class A | | | 122,414 | |
| Class B | | | 1,253 | |
| Class C | | | 59,790 | |
| Class Y | | | 15,315 | |
| |
| Shareholder communications: | | | | |
| Class A | | | 7,316 | |
| Class B | | | 273 | |
| Class C | | | 3,876 | |
| Class Y | | | 1,854 | |
| |
| Borrowing fees | | | 198,396 | |
| |
| Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 96,914 | |
| |
| Interest expense on borrowings | | | 46,579 | |
| |
| Trustees’ compensation | | | 3,296 | |
| |
| Custodian fees and expenses | | | 1,201 | |
| |
| Other | | | 79,414 | |
| | | | |
| Total expenses | | | 2,485,741 | |
| |
| Net Investment Income | | | 8,218,889 | |
| |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain on investments | | | 1,847,005 | |
| |
| Net change in unrealized appreciation/depreciation on investments | | | (17,828,928) | |
| |
| Net Decrease in Net Assets Resulting from Operations | | $ | (7,763,034) | |
| | | | |
See accompanying Notes to Financial Statements.
|
| 33 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended
January 31, 2017
(Unaudited) | | | Year Ended
July 31, 2016 | |
| |
| Operations | | | | | | | | |
| Net investment income | | $ | 8,218,889 | | | $ | 17,872,233 | |
| |
| Net realized gain | | | 1,847,005 | | | | 2,490,401 | |
| |
| Net change in unrealized appreciation/depreciation | | | (17,828,928) | | | | 14,840,351 | |
| | | | |
| Net increase (decrease) in net assets resulting from operations | | | (7,763,034) | | | | 35,202,985 | |
| | | | | | | | |
| |
| Dividends and/or Distributions to Shareholders | | | | | | | | |
| Dividends from net investment income: | | | | | | | | |
| Class A | | | (5,357,268) | | | | (12,974,635) | |
| Class B | | | (44,570) | | | | (147,184) | |
| Class C | | | (2,163,676) | | | | (5,310,058) | |
| Class Y | | | (690,517) | | | | (1,219,633) | |
| | | | |
| | | (8,256,031) | | | | (19,651,510) | |
| | | | | | | | |
| |
| Beneficial Interest Transactions | | | | | | | | |
| Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
| Class A | | | (20,490,902) | | | | (16,003,401) | |
| Class B | | | (705,323) | | | | (1,680,867) | |
| Class C | | | (6,994,350) | | | | (11,680,065) | |
| Class Y | | | 2,690,288 | | | | 4,246,954 | |
| | | | |
| | | (25,500,287) | | | | (25,117,379) | |
| | | | | | | | |
| |
| Net Assets | | | | | | | | |
| Total decrease | | | (41,519,352) | | | | (9,565,904) | |
| |
| Beginning of period | | | 413,797,657 | | | | 423,363,561 | |
| | | | |
| End of period (including accumulated net investment income of $1,458,403 and $1,495,545, respectively) | | $ | 372,278,305 | | | $ | 413,797,657 | |
| | | | |
See accompanying Notes to Financial Statements.
|
| 34 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
STATEMENT OF CASH FLOWS For the Six Months Ended January 31, 2017
| | | | |
| |
| Cash Flows from Operating Activities | | | | |
| Net decrease in net assets from operations | | $ | (7,763,034) | |
| |
| Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: | | | | |
Purchase of investment securities | | | (3,823,271) | |
Proceeds from disposition of investment securities | | | 21,550,713 | |
Short-term investment securities, net | | | 903,390 | |
Premium amortization | | | 893,634 | |
Discount accretion | | | (765,244) | |
Net realized gain on investments | | | (1,847,005) | |
Net change in unrealized appreciation/depreciation on investments | | | 17,828,928 | |
| Change in assets: | | | | |
Decrease in other assets | | | 59,044 | |
Decrease in interest receivable | | | 17,687 | |
Decrease in receivable for securities sold | | | 1,215,106 | |
| Change in liabilities: | | | | |
Decrease in other liabilities | | | (11,205) | |
| | | | |
| Net cash provided by operating activities | | | 28,258,743 | |
| | | | |
| |
| Cash Flows from Financing Activities | | | | |
| Proceeds from borrowings | | | 40,900,000 | |
| Payments on borrowings | | | (36,400,000) | |
| Payments on short-term floating rate notes issued | | | (65,000) | |
| Proceeds from shares sold | | | 23,494,330 | |
| Payments on shares redeemed | | | (55,037,677) | |
| Cash distributions paid | | | (1,398,779) | |
| | | | |
| Net cash used in financing activities | | | (28,507,126) | |
| |
| Net decrease in cash | | | (248,383) | |
| |
| Cash, beginning balance | | | 567,601 | |
| | | | |
| Cash, ending balance | | $ | 319,218 | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $6,786,985.
Cash paid for interest on borrowings—$41,237.
Cash paid for interest on short-term floating rate notes issued—$96,914.
See accompanying Notes to Financial Statements.
|
| 35 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | |
Class A | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $9.70 | | | | $9.34 | | | | $9.67 | | | | $9.60 | | | | $10.68 | | | | $9.75 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.21 | | | | 0.43 | | | | 0.48 | | | | 0.52 | | | | 0.50 | | | | 0.54 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.40 | | | | (0.31) | | | | 0.07 | | | | (1.05) | | | | 1.00 | |
| | | | |
| Total from investment operations | | | (0.18) | | | | 0.83 | | | | 0.17 | | | | 0.59 | | | | (0.55) | | | | 1.54 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.21) | | | | (0.47) | | | | (0.50) | | | | (0.52) | | | | (0.53) | | | | (0.61) | |
| |
| Net asset value, end of period | | | $9.31 | | | | $9.70 | | | | $9.34 | | | | $9.67 | | | | $9.60 | | | | $10.68 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value2 | | | (1.97)% | | | | 9.25% | | | | 1.64% | | | | 6.40% | | | | (5.43)% | | | | 16.21% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $227,237 | | | | $257,608 | | | | $263,873 | | | | $306,172 | | | | $368,177 | | | | $421,443 | |
| |
| Average net assets (in thousands) | | | $242,622 | | | | $260,521 | | | | $301,779 | | | | $326,496 | | | | $425,664 | | | | $385,776 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 4.36% | | | | 4.55% | | | | 4.89% | | | | 5.58% | | | | 4.80% | | | | 5.31% | |
| Expenses excluding specific expenses listed below | | | 0.86% | | | | 0.87% | | | | 0.87% | | | | 0.83% | | | | 0.76% | | | | 0.76% | |
| Interest and fees from borrowings | | | 0.12% | | | | 0.22% | | | | 0.23% | | | | 0.15% | | | | 0.11% | | | | 0.08% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.05% | | | | 0.04% | | | | 0.07% | | | | 0.08% | | | | 0.06% | | | | 0.11% | |
| | | | |
| Total expenses | | | 1.03% | | | | 1.13% | | | | 1.17% | | | | 1.06% | | | | 0.93% | | | | 0.95% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.03% | | | | 1.13% | | | | 1.17% | | | | 1.06% | | | | 0.91% | | | | 0.93% | |
| |
| Portfolio turnover rate | | | 1% | | | | 11% | | | | 7% | | | | 30% | | | | 24% | | | | 18% | |
|
| 36 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. 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 B | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $9.72 | | | | $9.36 | | | | $9.69 | | | | $9.62 | | | | $10.70 | | | | $9.77 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.18 | | | | 0.36 | | | | 0.41 | | | | 0.45 | | | | 0.42 | | | | 0.46 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.40 | | | | (0.31) | | | | 0.06 | | | | (1.06) | | | | 0.99 | |
| | | | |
| Total from investment operations | | | (0.21) | | | | 0.76 | | | | 0.10 | | | | 0.51 | | | | (0.64) | | | | 1.45 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.17) | | | | (0.40) | | | | (0.43) | | | | (0.44) | | | | (0.44) | | | | (0.52) | |
| | | | |
| Net asset value, end of period | | | $9.34 | | | | $9.72 | | | | $9.36 | | | | $9.69 | | | | $9.62 | | | | $10.70 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value2 | | | (2.35)% | | | | 8.51% | | | | 0.86% | | | | 5.55% | | | | (6.24)% | | | | 15.20% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $2,083 | | | | $2,885 | | | | $4,444 | | | | $6,351 | | | | $10,331 | | | | $18,879 | |
| |
| Average net assets (in thousands) | | | $2,479 | | | | $3,495 | | | | $5,540 | | | | $7,822 | | | | $15,007 | | | | $20,307 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 3.65% | | | | 3.84% | | | | 4.13% | | | | 4.81% | | | | 3.96% | | | | 4.50% | |
| Expenses excluding specific expenses listed below | | | 1.63% | | | | 1.63% | | | | 1.63% | | | | 1.63% | | | | 1.61% | | | | 1.61% | |
| Interest and fees from borrowings | | | 0.12% | | | | 0.22% | | | | 0.23% | | | | 0.15% | | | | 0.11% | | | | 0.08% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.05% | | | | 0.04% | | | | 0.07% | | | | 0.08% | | | | 0.06% | | | | 0.11% | |
| | | | |
| Total expenses | | | 1.80% | | | | 1.89% | | | | 1.93% | | | | 1.86% | | | | 1.78% | | | | 1.80% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.80% | | | | 1.89% | | | | 1.93% | | | | 1.86% | | | | 1.76% | | | | 1.78% | |
| |
| Portfolio turnover rate | | | 1% | | | | 11% | | | | 7% | | | | 30% | | | | 24% | | | | 18% | |
|
| 38 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. 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 |
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $9.71 | | | | $9.35 | | | | $9.68 | | | | $9.61 | | | | $10.69 | | | | $9.76 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.17 | | | | 0.36 | | | | 0.40 | | | | 0.45 | | | | 0.42 | | | | 0.46 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.40 | | | | (0.30) | | | | 0.06 | | | | (1.05) | | | | 1.00 | |
| | | | |
| Total from investment operations | | | (0.22) | | | | 0.76 | | | | 0.10 | | | | 0.51 | | | | (0.63) | | | | 1.46 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.17) | | | | (0.40) | | | | (0.43) | | | | (0.44) | | | | (0.45) | | | | (0.53) | |
| |
| Net asset value, end of period | | | $9.32 | | | | $9.71 | | | | $9.35 | | | | $9.68 | | | | $9.61 | | | | $10.69 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value2 | | | (2.45)% | | | | 8.54% | | | | 0.87% | | | | 5.60% | | | | (6.15)% | | | | 15.32% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $112,697 | | | | $124,488 | | | | $131,468 | | | | $142,154 | | | | $173,766 | | | | $187,934 | |
| |
| Average net assets (in thousands) | | | $118,514 | | | | $125,656 | | | | $142,243 | | | | $150,721 | | | | $194,185 | | | | $169,315 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 3.61% | | | | 3.80% | | | | 4.06% | | | | 4.83% | | | | 4.04% | | | | 4.55% | |
| Expenses excluding specific expenses listed below | | | 1.62% | | | | 1.61% | | | | 1.62% | | | | 1.59% | | | | 1.52% | | | | 1.52% | |
| Interest and fees from borrowings | | | 0.12% | | | | 0.22% | | | | 0.23% | | | | 0.15% | | | | 0.11% | | | | 0.08% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.05% | | | | 0.04% | | | | 0.07% | | | | 0.08% | | | | 0.06% | | | | 0.11% | |
| | | | |
| Total expenses | | | 1.79% | | | | 1.87% | | | | 1.92% | | | | 1.82% | | | | 1.69% | | | | 1.71% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.79% | | | | 1.87% | | | | 1.92% | | | | 1.82% | | | | 1.67% | | | | 1.69% | |
| |
| Portfolio turnover rate | | | 1% | | | | 11% | | | | 7% | | | | 30% | | | | 24% | | | | 18% | |
|
| 40 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. 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 NEW JERSEY MUNICIPAL FUND |
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $9.71 | | | | $9.35 | | | | $9.68 | | | | $9.60 | | | | $10.69 | | | | $9.76 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.21 | | | | 0.44 | | | | 0.49 | | | | 0.54 | | | | 0.52 | | | | 0.55 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.40 | | | | (0.30) | | | | 0.07 | | | | (1.07) | | | | 1.00 | |
| | | | |
| Total from investment operations | | | (0.18) | | | | 0.84 | | | | 0.19 | | | | 0.61 | | | | (0.55) | | | | 1.55 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.21) | | | | (0.48) | | | | (0.52) | | | | (0.53) | | | | (0.54) | | | | (0.62) | |
| |
| Net asset value, end of period | | | $9.32 | | | | $9.71 | | | | $9.35 | | | | $9.68 | | | | $9.60 | | | | $10.69 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Total Return, at Net Asset Value2 | | | (2.01)% | | | | 9.51% | | | | 1.79% | | | | 6.66% | | | | (5.40)% | | | | 16.34% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $30,261 | | | | $28,817 | | | | $23,579 | | | | $23,842 | | | | $23,351 | | | | $23,882 | |
| |
| Average net assets (in thousands) | | | $30,384 | | | | $23,906 | | | | $25,005 | | | | $20,998 | | | | $25,821 | | | | $15,130 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 4.44% | | | | 4.66% | | | | 5.02% | | | | 5.71% | | | | 4.94% | | | | 5.33% | |
| Expenses excluding specific expenses listed below | | | 0.72% | | | | 0.71% | | | | 0.72% | | | | 0.69% | | | | 0.62% | | | | 0.63% | |
| Interest and fees from borrowings | | | 0.12% | | | | 0.22% | | | | 0.23% | | | | 0.15% | | | | 0.11% | | | | 0.08% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.05% | | | | 0.04% | | | | 0.07% | | | | 0.08% | | | | 0.06% | | | | 0.11% | |
| | | | |
| Total expenses | | | 0.89% | | | | 0.97% | | | | 1.02% | | | | 0.92% | | | | 0.79% | | | | 0.82% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.89% | | | | 0.97% | | | | 1.02% | | | | 0.92% | | | | 0.77% | | | | 0.80% | |
| |
| Portfolio turnover rate | | | 1% | | | | 11% | | | | 7% | | | | 30% | | | | 24% | | | | 18% | |
|
| 42 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. 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.
|
| 43 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS January 31, 2017 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.
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.
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,
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| 44 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
2. Significant Accounting Policies (Continued)
are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
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. The Fund has analyzed its tax positions for the fiscal year ended July 31, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
During the fiscal year ended July 31, 2016, the Fund utilized $2,518,218 of capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended July 31, 2016 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.
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| 45 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
| |
| 2017 | | $ | 18,113,753 | |
| 2018 | | | 22,257,929 | |
| No expiration | | | 118,868,810 | |
| | | | |
| Total | | $ | 159,240,492 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $40,371,682 expiring by 2018 and $117,021,805, 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 $1,847,005 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 | | $ | 410,489,3571 | |
| | | | |
| Gross unrealized appreciation | | $ | 14,784,209 | |
| Gross unrealized depreciation | | | (47,118,741) | |
| | | | |
| Net unrealized depreciation | | $ | (32,334,532) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $13,925,449, 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.
Recent Accounting Pronouncement. In October 2016, the Securities and Exchange
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| 46 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
2. Significant Accounting Policies (Continued)
Commission (“SEC”) adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in, and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. OFI Global is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at 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:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Fund’s assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded. If the official closing price or last sales 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.
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| 47 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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 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
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| 48 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
3. Securities Valuation (Continued)
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 | | | | | | | | | | | | | | | | |
New Jersey | | $ | — | | | $ | 252,691,118 | | | $ | — | | | $ | 252,691,118 | |
New York | | | — | | | | 18,966,583 | | | | — | | | | 18,966,583 | |
U.S. Possessions | | | — | | | | 119,817,820 | | | | 604,753 | | | | 120,422,573 | |
| | | | |
| Total Assets | | $ | — | | | $ | 391,475,521 | | | $ | 604,753 | | | $ | 392,080,274 | |
| | | | |
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.
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| 49 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 to 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
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| 50 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
4. Investments and Risks (Continued)
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 resell 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
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| 51 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 $22,433,355 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $14,065,000 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:
| | | | | | | | | | | | | | |
Principal
Amount | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity
Date | | | Value | |
| |
| $ 1,645,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.) Tender Option Bond Series 2015-XF0015 Trust | | | 6.660% | | | | 10/1/27 | | | $ | 1,652,255 | |
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| 52 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | |
Principal
Amount | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity
Date | | | Value | |
| |
| $ 650,000 | | NJ Hsg. & Mtg. Finance Agency (Single Family Hsg.) Tender Option Bond Series 2015-XF0015-2 Trust | | | 7.290% | | | | 10/1/37 | | | $ | 660,426 | |
| 1,585,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105 Trust | | | 18.506 | | | | 5/1/29 | | | | 2,483,647 | |
| 1,345,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105-2 Trust | | | 18.478 | | | | 5/1/30 | | | | 2,095,187 | |
| 1,000,000 | | Rutgers State University NJ Tender Option Bond Series 2015-XF2105-3 Trust | | | 18.478 | | | | 5/1/38 | | | | 1,476,840 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 8,368,355 | |
| | | | | | | | | | | | | | |
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 $14,065,000 or 3.54% 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 | | $ | 42,525,378 | | | | | |
| Market Value | | $ | 23,144,049 | | | | | |
| Market Value as % of Net Assets | | | 6.22% | | | | | |
The Fund has entered into forbearance agreements with certain obligors under which the
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| 53 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 $10,402,165, representing 2.79% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. The Fund invests a large percentage of its total assets in obligations of issuers within its respective state and U.S. territories. Risks may arise from geographic concentration in any state, commonwealth or territory, such as Puerto Rico, the U.S. Virgin Islands, Guam or the Northern Mariana Islands. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory such as ongoing developments in Puerto Rico 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
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| 54 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
5. Market Risk Factors (Continued)
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 31, 2017 | | | Year Ended July 31, 2016 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| Class A | | | | | | | | | | | | | | | | |
| Sold | | | 1,260,813 | | | $ | 12,003,384 | | | | 3,556,353 | | | $ | 33,535,045 | |
| Dividends and/or distributions reinvested | | | 464,598 | | | | 4,416,764 | | | | 1,147,742 | | | | 10,833,920 | |
| Redeemed | | | (3,889,653 | ) | | | (36,911,050 | ) | | | (6,395,485 | ) | | | (60,372,366 | ) |
| Net decrease | | | (2,164,242 | ) | | $ | (20,490,902 | ) | | | (1,691,390 | ) | | $ | (16,003,401 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | |
| Sold | | | 98 | | | $ | 878 | | | | 7,446 | | | $ | 70,399 | |
| Dividends and/or distributions reinvested | | | 4,336 | | | | 41,387 | | | | 13,888 | | | | 131,357 | |
| Redeemed | | | (78,181 | ) | | | (747,588 | ) | | | (199,204 | ) | | | (1,882,623 | ) |
| Net decrease | | | (73,747 | ) | | $ | (705,323 | ) | | | (177,870 | ) | | $ | (1,680,867 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | |
| Sold | | | 311,246 | | | $ | 2,948,838 | | | | 993,527 | | | $ | 9,389,985 | |
| Dividends and/or distributions reinvested | | | 181,130 | | | | 1,724,025 | | | | 447,407 | | | | 4,227,603 | |
| Redeemed | | | (1,227,927 | ) | | | (11,667,213 | ) | | | (2,680,931 | ) | | | (25,297,653 | ) |
| Net decrease | | | (735,551 | ) | | $ | (6,994,350 | ) | | | (1,239,997 | ) | | $ | (11,680,065 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class Y | | | | | | | | | | | | | | | | |
| Sold | | | 860,999 | | | $ | 8,196,654 | | | | 1,230,343 | | | $ | 11,650,668 | |
| Dividends and/or distributions reinvested | | | 63,628 | | | | 604,809 | | | | 104,867 | | | | 992,069 | |
| Redeemed | | | (646,421 | ) | | | (6,111,175 | ) | | | (890,241 | ) | | | (8,395,783 | ) |
| Net increase | | | 278,206 | | | $ | 2,690,288 | | | | 444,969 | | | $ | 4,246,954 | |
| | | | | | | | | | | | | | | | |
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 | | $ | 3,823,271 | | | $ | 21,550,713 | |
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:
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| 55 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 0.56% 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 | | | 4,286 | |
| Accumulated Liability as of January 31, 2017 | | | 30,983 | |
The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for
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| 56 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
8. Fees and Other Transactions with Affiliates (Continued)
Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance 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
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| 57 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
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 31, 2017 | | | $16,633 | | | | $— | | | | $1,545 | | | | $1,939 | |
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 (0.9238% at period end). The Fund pays additional fees monthly to its
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| 58 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
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 0.10% 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 at an interest rate of 0.9238%.
Details of the borrowings for the reporting period are as follows:
| | | | |
| Average Daily Loan Balance | | $ | 11,551,630 | |
| Average Daily Interest Rate | | | 0.767 % | |
| Fees Paid | | $ | 67,510 | |
| Interest Paid | | $ | 41,237 | |
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 0.02% 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
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| 59 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Borrowings and Other Financing (Continued)
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.
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| 60 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 Managers 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. 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.
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| 61 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
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 the Sub-Adviser has 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 and risk management services, 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 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 and ten-year performance was below its category median although its five-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 and total expenses were higher 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
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| 62 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
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 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, 2017. 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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| 63 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.
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| 64 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over 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 New Jersey Municipal Fund | | | 8/23/16 | | | | 0.0% | | | | 2.8% | | | | 97.2% | |
| Oppenheimer Rochester New Jersey Municipal Fund | | | 9/27/16 | | | | 51.2% | | | | 30.7% | | | | 18.1% | |
| Oppenheimer Rochester New Jersey Municipal Fund | | | 10/25/16 | | | | 83.0% | | | | 0.0% | | | | 17.0% | |
| Oppenheimer Rochester New Jersey Municipal Fund | | | 11/22/16 | | | | 82.0% | | | | 0.0% | | | | 17.1% | |
| Oppenheimer Rochester New Jersey Municipal Fund | | | 1/24/17 | | | | 77.9% | | | | 17.9% | | | | 4.2% | |
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| 65 OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND |
OPPENHEIMER ROCHESTER NEW JERSEY MUNICIPAL FUND
| | |
| Trustees and Officers | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee |
| | Beth Ann Brown, 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 |
| | Scott S. Cottier, Vice President |
| | Troy E. Willis, Vice President |
| | Mark R. DeMitry, Vice President |
| | Michael L. Camarella, Vice President |
| | Elizabeth Mossow, Vice President |
| | Charles S. Pulire, Vice President |
| | Richard Stein, Vice President |
| | Cynthia Lo Bessette, Secretary and Chief Legal Officer |
| | Jennifer Foxson, 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 | | |
| | 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. |
© 2017 OppenheimerFunds, Inc. All rights reserved.
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| 66 OPPENHEIMER ROCHESTER NEW JERSEY 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, SM our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use. |
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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.
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How You Can Help
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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 November 2016. 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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| | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved. RS0395.001.0117 March 24, 2017 |
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/31/17
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Barclays Municipal
Bond Index |
| 6-Month | | -1.15% | | -5.84% | | -3.34% |
| 1-Year | | 3.65 | | -1.28 | | -0.28 |
| 5-Year | | 3.47 | | 2.47 | | 2.94 |
| 10-Year | | 3.53 | | 3.02 | | 4.34 |
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.
2 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 24, 2017): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders.
Securities backed by Puerto Rico’s sales and use tax (COFINAs) were paid their full coupon payment on February 1 as were bonds issued by the Puerto Rico Industrial Development Company, PRASA (the Commonwealth’s aqueduct and sewer authority) and PRHTA (its highways and transportation authority). According to Puerto Rico officials, the Government Development Bank failed to make a February 1 payment of $279 million, and other authorities – including the Public Finance Corporation and the Commonwealth’s infrastructure finance authority – also skipped their much smaller payments.
Gov. Ricardo Rosselló Nevares announced on February 9 that the $1.4 million interest payment that was due on G.O. bonds on February 1 would be paid from a Banco Popular account into which $146 million of “clawback” money had been deposited.
In early February, the governor signed legislation to add a non-binding “status referendum” to the calendar. On June 11, Puerto Ricans will be asked to vote for either statehood or independence/free association. The outcome could set the stage for an additional referendum in October. However, a member of the opposition party has appealed to U.S. Attorney General Jeff Sessions to intervene because the June 11 referendum fails to give Puerto Ricans the option to vote to remain a commonwealth.
In his State of the Commonwealth speech on February 27, 2017, Gov. Rosselló discussed his forthcoming 10-year fiscal plan, which he said would lead to economic growth and an additional $1.5 billion in revenue. The plan did not include many of the austerity measures that had been discussed, including layoffs to reduce the government payroll. In fact, one of the plan’s proposals calls for a minimum wage increase for both private and public sector employees, which the governor sees as step toward economic growth.
According to the plan, government spending would decrease by $1.5 billion, and $1.2 billion would be set aside for debt service obligations by fiscal 2019. The plan did not meet the Oversight Board’s requirement that there be $4.5 billion in fiscal adjustments to close the fiscal 2019 budget gap.
In early March the Oversight Board rejected the governor’s plan, calling it “unrealistic.” The Board called for emergency spending cuts on March 8 based on its concerns about the Commonwealth’s liquidity issues. In a letter to the governor, the Board wrote: “While we
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appreciate your focus on addressing Puerto Rico’s long-term fiscal and economic challenges, we think far more needs to be done immediately to reduce spending.” The governor responded with “appreciation” for the board’s input and assertions that his plan already addressed issues related to taxes and spending.
On March 13, 2017, the Oversight Board approved an amended fiscal plan and established a number of milestones for the Rosselló administration. With the Board’s approval, the governor was able to avoid furloughs. The Board has said it will revisit the need for furloughs if the plan’s revenue measures fail to work by October 2017. The current plan calls for approximately $7 billion in debt payments through fiscal year 2026. As one member of the Oversight Board explained, the approval of this plan “is certainly not the end of the process.” He went on to say that it is not “even the beginning of the end of the process,” according to The Bond Buyer.
The stay that prevents creditors from suing the Commonwealth for non-payment is set to expire May 1. The governor has asked that the stay be extended to December 31, but Puerto Rico’s resident commissioner has said that another extension was unlikely.
Representatives of the Puerto Rican government, the Oversight Board and bondholders appeared before the House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs on March 22. The subcommittee heard testimony about the Oversight Board and about the restructuring agreement between forbearing bondholders and PREPA (the Commonwealth’s electric utility authority). Earlier in the month, the governor nominated Ricardo Ramos to be PREPA’s new executive director.
As always, our team is focused on developments that have the potential to affect this Fund’s holdings and will continue to work to protect our shareholders’ best interests.
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Fund Performance Discussion
Oppenheimer Rochester Pennsylvania Municipal Fund continued to generate attractive levels of tax-free income during the most recent 6-month reporting period, despite post-Election Day volatility in the municipal bond market. As of January 31, 2017, the Class A shares provided a distribution yield of 5.36% at net asset value (NAV). Falling bond prices in the last 2 months of the reporting period, however, caused the Fund’s NAV to decline, and its total return for the reporting period was negative. The Fund’s Class A shares nonetheless outperformed the Bloomberg Barclays Municipal Bond Index, its benchmark, by 219 basis points.
MARKET OVERVIEW
The Federal Reserve Open Market Committee (FOMC) decided to maintain the target range for the Fed Funds rate at 0.50% to 0.75% at its January 2017 meeting. The FOMC cited “realized and expected labor market conditions and inflation” as factors in its decision, which it expects to support further job gains. Improvements in the labor market were also discussed at the FOMC’s meetings in September and November 2016.
The FOMC last increased the Fed Funds
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 5.60%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 222 basis points higher than the category average.
target rate at its December 2016 meeting. Simultaneously, the Fed increased its forecast to three rate hikes in 2017, from an earlier
| | |
YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | |
| Dividend Yield w/o sales charge | | 5.36% |
| Dividend Yield with sales charge | | 5.11 |
| Standardized Yield | | 4.54 |
| Taxable Equivalent Yield | | 8.30 |
Last distribution (1/24/17) | | $0.046 |
| Total distributions (8/1/16 to 1/31/17) | | $0.276 |
Endnotes for this discussion begin on page 19 of this report.
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projection of two. One reason given for potential future rate hikes is to prevent both rapidly falling unemployment rates and the inflation that could ensue as employers increase wages to attract available workers.
In a speech given at the end of the reporting period, Chairman Yellen said that determining the appropriate level of interest rates going forward is “highly uncertain” given domestic productivity questions, global growth uncertainty, and possible fiscal policy changes.
The rate was last increased in December 2015, after nearly 7 years of being held to a range of zero to 0.25%.
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.
High-grade municipal bonds came under pricing pressure, notably after Election Day, and the yield curve for these securities was higher on January 31, 2017 than it had been on July 31, 2016. The median yield on 30-year, AAA-rated muni bonds stood at 3.19% on January 31, 2017, up 92 basis points from July 31, 2016. The median yield on 10-year, AAA-rated muni bonds was 2.37% on January 31, 2017, up 59 basis points from the July 2016 date, and the median yield on 1-year, AAA-rated muni bonds was 0.93%, up 48 basis points from the July 2016 date.
Late in this reporting period, Pennsylvania Gov. Tom Wolfe presented his 2017-2018
budget proposal. The $32.3 billion spending plan contains no new broad-based taxes, but does include about $1 billion in new recurring revenues through tax code changes. Overall spending would increase by more than $570 million, or 1.8 percent, compared to the previous budget. The governor also announced that he wants to consolidate four state agencies into one as a cost-saving measure. Human services, health, aging, and drug and alcohol programs would be merged into a Department of Health and Human Services.
In other state government news, Pennsylvania’s Department of Corrections announced in January 2017 that it plans to close two state prisons by June 30, 2017.
The roughly 125,000 Pennsylvania residents who commute to New Jersey breathed a sigh of relief in November 2016 when New Jersey reversed a decision to revoke an almost 40-year tax pact. Pennsylvania residents working in the Garden State currently pay a flat state income tax rate of 3.07%; had the decision not been reversed, they would have faced an income tax of up to 8.97%, New Jersey’s top rate. Pennsylvania stood to lose $5 million a year, with Philadelphia facing almost $50 million in lost revenue had the tax reciprocity agreement ended.
Starting in January 2017, a new law will allow Pennsylvania’s transportation department to suspend the vehicle registrations of drivers who fail to pay certain traffic violations. Toll violations have increased, which has led the
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Pennsylvania Turnpike Commission to annual write offs ranging between $12 million and $20 million in recent years. Meanwhile, the commission carries a heavy debt load and, according to a September 2016 audit, is on ‘‘potentially unstable financial ground.’’
The Port of Philadelphia is expected to be the beneficiary of a $300 million capital investment program that will double the port’s container capacity and prepare it for further expansion. Annual tax revenue is projected to increase 56%, with jobs rising 70%.
In October 2016, the School Reform Commission of Philadelphia approved resolutions to restructure $1.5 billion in existing bond debt, for a savings of roughly $140 million. The district converted some of its bonds with flexible interest rates into fixed-rate bonds and negotiated lower interest rates for others. The resolutions also authorized the sale of $250 million in new bonds that will finance capital projects at city schools.
In December 2016, Pennsylvania came to market with $613 million in general obligation (G.O.) bonds; G.O.s are backed by the full faith and taxing authority of the state or local government that issues them. The bonds, which have a 25-year maturity and a 5% coupon, sold at a yield of 5.18%.
As of January 31, 2017, Pennsylvania’s G.O. bonds were rated Aa3 by Moody’s Investors Service and AA-minus by S&P Global Ratings (S&P) and by Fitch Ratings.
FUND PERFORMANCE
Oppenheimer Rochester Pennsylvania Municipal Fund held more than 270 securities as of January 31, 2017. 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.
At the end of the reporting period, the Class A shares of this Fund provided a distribution yield at NAV of 5.36%. The 12-month distribution yield at NAV of this Fund’s Class A shares was the second highest in Lipper’s Pennsylvania Municipal Debt Funds category as of January 31, 2017, trailing only the 12-month distribution yield of this Fund’s Y shares. At 5.60% on that date, the 12-month distribution yield at NAV for this Fund’s Class A shares was 222 basis points higher than the category average, which was 3.38%.
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 0.46 cents per share throughout this reporting period. In all, the Fund distributed 27.6 cents per Class A share this reporting period.
The tax-exempt status of the Fund’s distributions of net income remained a boon to investors seeking tax-free income. For a taxable investment to have provided a greater benefit than an investment in this Fund, it
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would have had to yield more than 8.30%, based on the Fund’s standardized yield as of January 31, 2017 and the top federal and Pennsylvania income tax rates for 2016. For residents of Pittsburgh and Philadelphia, the taxable equivalent yields of the Class A shares were 8.39% and 8.66%, respectively. As long-time investors know, yields and share prices move in opposite directions. When yields on fixed income bonds rise, share prices fall and vice versa. 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 (MSA), the national litigation settlement with U.S. tobacco manufacturers, represented 19.6% of the Fund’s total assets (20.7% 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 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 14.6% of the Fund’s total assets (15.4% 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 include G.O. securities 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.
Investors should note that some of this Fund’s investments in securities issued in Puerto Rico, including one of its G.O.s, are insured. In some cases, the debt-service obligations on insured securities were paid in full or in part by the insurer. A complete listing of securities held by this Fund can be found in this report’s Statement of Investments.
The Commonwealth of Puerto Rico remained in the headlines throughout this reporting period, and more detailed information about the developments covered below can be found on our online PR Roundup (oppenheimerfunds.com/puerto-rico).
On the last day of August 2016, the Obama administration announced the seven members of the federal oversight board established by the Puerto Rico Oversight, Management and Economic Stability Act, aka PROMESA. As investors may recall, PROMESA requires the
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government of Puerto Rico to develop a new fiscal plan, to develop and enact balanced budgets (and legislation) that conform to the fiscal plan, to deliver audited financial results in a timely fashion, and to regain access to financial markets.
The new law also called for the establishment of a Congressional Task Force on Economic Growth for Puerto Rico. The task force’s initial status report voiced concerns about “the relative lack of reliable data pertaining to
certain aspects of the economic, financial, and fiscal situation in Puerto Rico.” In its year-end report, the task force reached bipartisan recommendations on various measures for Puerto Rico’s economic growth, including an “equitable and sustainable legislative solution to the financing of Puerto Rico’s Medicaid program” by early 2017.
We note that PROMESA – which was passed with rare bipartisan support and signed into law on June 30, 2016 – tries to balance the .
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interests of many stakeholders. We were pleased that a federal control board was established. As the fiscal turnarounds of New York City and Washington, D.C. demonstrate, a responsible control board can guide a troubled municipality to a stronger future. The law also seeks to prevent the government of Puerto Rico from exercising “any control, supervision, oversight, or review” over the federal control board and makes it clear that neither Puerto Rico’s governor nor its legislature can “enact, implement, or enforce any statute, resolution, policy, or rule that would impair or defeat the purposes” of PROMESA.
On October 14, Gov. Alejandro García Padilla presented a fiscal plan to the federal oversight board. According to press reports, Padilla’s plan called for the Commonwealth’s government to improve financial reporting, consolidate branches of government, relax regulations and encourage investors to finance an assortment of projects.
At the meeting, the Commonwealth’s Treasury Secretary said that Puerto Rico had nearly $1 billion in unpaid bills and had written – but not sent – checks totaling $350 million. Carlos Garcia, a member of the oversight board, took issue with the government’s assessment of the situation, noting that Puerto Rico had “high tax collections” but was not providing essential services or paying its vendors or debt service obligations in full.
Austerity measures, Gov. Padilla claimed, would have “terrible consequences … on
the well-being of the Puerto Rican people.” Among the documents shared with the oversight board was a report by the Puerto Rico Fiscal Authority Agency and Financial Advisory Authority which showed that the government’s 2014 “net position” – assets minus liabilities – was negative $50 billion, three times worse than in 2006.
The governor, whose term ended January 2, 2017, pointed a finger at many culprits, including bond ratings agencies, the U.S. Congress and the prior administrations in the Commonwealth who put forth “misguided and unscrupulous public policies.” Even though the Commonwealth tapped the capital markets during his administration, the governor blamed bondholders for providing the financing the Commonwealth sought. Gov. Padilla renewed his appeal for federal legislation that could strengthen the Commonwealth’s economy.
In other developments, the oversight board filed a statement October 21 urging U.S. District Court Judge Francisco Besosa to deny requests from plaintiffs in three consolidated cases to have PROMESA’s stay on litigation lifted. On November 2 the judge denied three plaintiffs’ requests, noting in one case that the plaintiffs “do not have standing to seek relief from the PROMESA stay because they show no ‘injury in fact.’” The board had argued that the “ongoing litigation is a major distraction” and asserted that time and resources “would be better spent negotiating the fiscal plans required by PROMESA.” The judge cautioned that the Commonwealth defendants “must
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not abuse or squander the ‘breathing room’ that the court’s decision fosters.”
In a press release issued in early November, Puerto Rico’s Treasury Secretary asserted that the Government Development Bank (the GDB) is “stable” but that its managers have “substantial doubt about the ability of the GDB to continue as a going concern.” The current stability exists, he said, because the GDB has limited weekly withdrawals to no more than $3 million. He recommended that municipalities and public corporations determine the portion of their deposits that may be “impaired” according to accounting standards. We believe politics may be at play in the Commonwealth’s decision to portray the GDB as a weakening entity.
On November 8, Ricardo Rosselló Nevares was elected governor of the Commonwealth. He is a member of the New Progressive Party and, according to a November 9 article in The Bond Buyer, his victory is expected to be a positive for bondholders. Prior to the election, Mr. Rosselló said that if bondholders can agree to extend the maturities on existing bonds, then Commonwealth issuers should agree to make their interest payments. Ahead of his inauguration, the governor-elect appointed Elías Sánchez Sifonte as his (non-voting) representative to the federal oversight board.
Immediately after his inauguration, Gov. Rosselló signed several executive orders related to fiscal and economic conditions in the Commonwealth. The first order requires
immediate reductions in the operating expenses of every government agency. Additionally, no vacancies can be filled, no new positions created and all agency-related travel must be pre-approved. Another order establishes the Federal Opportunities Center to help public agencies and non-profit community organizations obtain federal funds. The new governor has ordered the use of zero-base budgets beginning with fiscal 2018, which begins July 1, 2017; the creation of a new entity to expedite the approvals of permits and certifications for a variety of infrastructure projects, and the establishment of recruiting measures by government agencies “to increase the participation of women in management positions.”
In the first month of his administration, Gov. Rosselló tried to secure some changes to deadlines established in PROMESA. The governor’s representative on the oversight board asked his fellow board members to give the governor until February 28 to submit his fiscal plan. The board was amenable but set some conditions, including “a commitment not to take more loans to provide short-term liquidity, develop a liquidity plan and provide further financial information, among others.” Simultaneously, the board told the governor that his plan had to make spending cuts and revenue increases of $4.5 billion a year. The governor rejected many of the board’s requests and asserted that the focus should be on economic growth, not increased taxation. At the end of the month, the board agreed to extend the deadline for submitting the fiscal plan, adjusted other deadlines
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related to the plan, set deadlines for a number of public agencies and authorities, and extended the stay on debt-related litigation through May 1, 2017.
Late in January, the governor signed an extension through December 2021 to a tax on foreign corporations. The Act 154 tax, which had been slated to expire at the end of 2017, was the government’s biggest source of revenue in the five months ended November 30, 2016; first-half budget results (through December 2016) indicate that the Act 154 tax was 15.2% ($132.2 million) higher than had been projected. The governor also signed a new measure, the Puerto Rico Financial Emergency and Fiscal Responsibility Act, to replace the Debt Moratorium Act, which gave Gov. Padilla the power to suspend debt payments. The new act allows Gov. Rosselló to prioritize expenditures and explicitly states that it “is inappropriate to categorically prioritize the payment of non-debt expenditures over debt service.”
Puerto Rico continued to have a mixed record regarding debt payments. As expected, Puerto Rico failed to pay $358 million of interest on its G.O. bonds on January 3, but insurers wrapped nearly $54 million of this amount, according to The Bond Buyer. It is not yet clear how the Commonwealth’s decisions about its debt-service obligations will affect the long-term outlook for the island’s residents or its bondholders (many of whom reside in Puerto Rico). Investors should note that a decline in a fund’s net investment income can create dividend pressure.
In other news, PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders, including Oppenheimer Rochester, worked throughout this reporting period to finalize a restructuring agreement whose terms were agreed on in September 2015. As investors may recall, PREPA announced in December 2015 that it had reached agreement with at least 70% of its creditors.
Prior to Election Day – but well after the July 1, 2016 deadline – then Gov. Padilla nominated five people to the board of directors of PREPA, as called for in the PREPA Revitalization Act. He also nominated three people to the Corporation for the Revitalization of Electrical Energy Authority, which is the entity that is expected to issue new bonds in accordance with the restructuring agreement between PREPA and its forbearing bondholders. While some business groups, unions and businesses have challenged the validity of the PREPA Revitalization Act, PREPA issued a statement in late October 2016 asserting its confidence that the Act is constitutional. In January, the Court of the First Instance (San Juan) upheld the constitutionality of the Act.
Also in December 2016, PREPA and its forbearing bondholders agreed to extend the restructuring agreement until March 31, 2017.
PREPA made its $192.5 million interest payment in full on January 3, 2017. Also in early January, subsidiaries of the insurer
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Assured Guaranty made payments of $39 million and $5 million on G.O. debt and Public Building Authority debt, respectively. Later in the month, the Commonwealth’s energy commission made a minor adjustment to the rate increase that it had approved in June 2016.
During this reporting period, S&P downgraded several senior unsecured GDB bonds that had failed to make August 1, 2016 interest payments.
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.
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 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 education sector represented 10.4% of the Fund’s total assets (11.0% of net assets) as of January 31, 2017. Bonds in this sector primarily finance the infrastructure needs of a variety of charter schools around the state.
As of January 31, 2017, 9.9% of the Fund’s total assets (10.4% of net assets) were invested in the higher education sector. The 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. Several bonds in this sector were issued in Puerto Rico.
U.S. government obligation bonds constituted 8.9% of the Fund’s total assets (9.4% of net assets) on January 31, 2017. This sector includes any securities held by the Fund that have been pre-refunded. In a pre-refunding
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| 14 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
or a refunding, new securities with lower coupon rates are sold by a municipality to pay off debt that has higher interest rates. When a municipality issues a pre-refunding bond, a development that can only be done when the nearest call date is at least 90 days later, the proceeds are escrowed in U.S. Treasury bonds and earmarked to pay off the previously issued bond. The Treasury bonds that are purchased with the proceeds of a pre-refunding are backed by the full faith and credit of the U.S. government.
G.O. securities comprised 7.4% of total assets (7.8% of net assets) as of January 31, 2017. At the end of this reporting period, the G.O. holdings consisted of bonds issued in various Pennsylvania municipalities, Puerto Rico and the Northern Mariana Islands. In this Fund, one G.O. issued by Puerto Rico is insured; while it has not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe.
The Fund’s holdings in municipal bonds issued by utilities represented 7.2% of total assets (7.6% of net assets) at the end of this reporting period. This set of holdings included electric utilities with 3.9% of total assets (4.1% of net assets), sewer utilities with 2.3% of total assets (2.4% of net assets) and water utilities with 1.0% of total assets (1.1% of net assets) as of January 31, 2017. Our holdings in these sectors include securities issued in Pennsylvania and Guam as well as securities issued by PREPA and PRASA (Puerto Rico’s aqueduct and sewer authority).
As of January 31, 2017, the Fund was invested in the hospital/healthcare sector, which represented 5.7% of total assets (6.0% 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. Two of the sector’s securities were issued in Puerto Rico
As of January 31, 2017, the Fund’s investments in the student housing sector represented 5.2% of the Fund’s total assets (5.5% 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.
The Fund continued to be invested in the highways and commuter facilities sector this reporting period, which represented 4.8% of total assets (5.1% of net assets) as of January 31, 2017. The bonds in this sector, which are used to build and maintain roadways and highway amenities, included three bonds issued in Puerto Rico.
The sales tax sector represented 4.8% of the Fund’s total assets (5.1% of net assets) as of January 31, 2017. Debt-service payments on securities in this sector are paid using the issuing municipality’s sales tax revenue. With one exception (a bond issued in the U.S. Virgin Islands), all of the bonds in this sector were issued in Puerto Rico.
During this reporting period, the Fund maintained an investment in municipal inverse-floating rate securities, which are
|
| 15 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
tax-exempt securities with interest payments that move inversely to changes in short-term interest rates. “Inverse floaters” continued to provide high levels of 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 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 31, 2017, 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. Our team also favors premium-coupon, callable bonds, which historically have been a positive for shareholders, delivering higher levels of tax-free income than shorter-maturity bonds while exhibiting less price volatility than their final maturities would suggest.
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| 16 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
We regularly 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.
| | |
 | | 
Scott S. Cottier, CFA Vice President, Senior Portfolio Manager and Team Leader |
| | |
 | | 
Troy E. Willis, CFA, J.D. Vice President, Senior Portfolio Manager and Team Leader |
On behalf of the rest of the Rochester portfolio management team: Mark R. DeMitry, Michael L. Camarella, Charles S. Pulire and Elizabeth S. Mossow.
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| 17 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
Top Holdings and Allocations
TOP TEN CATEGORIES
| | | | |
| Tobacco Master Settlement Agreement | | | 19.6 | % |
| Education | | | 10.4 | |
| Higher Education | | | 9.9 | |
| U.S. Government Obligations | | | 8.9 | |
| General Obligation | | | 7.4 | |
| Hospital/Healthcare | | | 5.7 | |
| Housing - Student | | | 5.2 | |
| Highways/Commuter Facilities | | | 4.8 | |
| Sales Tax Revenue | | | 4.8 | |
| Electric Utilities | | | 3.9 | |
Portfolio holdings and allocations are subject to change. Percentages are as of January 31, 2017 and are based on total assets.
CREDIT ALLOCATION
| | | | | | | | | | | | |
| | | NRSRO-
Rated | | | Sub-
Adviser-
Rated | | | Total | |
| AAA | | | 0.0% | | | | 6.1% | | | | 6.1% | |
| AA | | | 13.2 | | | | 0.0 | | | | 13.2 | |
| A | | | 17.4 | | | | 0.0 | | | | 17.4 | |
| BBB | | | 17.8 | | | | 5.4 | | | | 23.2 | |
| BB or lower | | | 29.6 | | | | 10.5 | | | | 40.1 | |
| Total | | | 78.0% | | | | 22.0% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 31, 2017 and are subject to change. OppenheimerFunds, Inc., the sub-adviser, determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as S&P Global Ratings (S&P). For any security rated by an NRSRO other than S&P, the sub-adviser 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.
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| 18 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
Performance
DISTRIBUTION YIELDS
As of 1/31/17
| | | | |
| | | Without Sales
Charge | | With Sales
Charge |
| Class A | | 5.36% | | 5.11% |
| Class B | | 4.77 | | N/A |
| Class C | | 4.78 | | N/A |
| Class Y | | 5.47 | | N/A |
STANDARDIZED YIELDS
| | | | |
| For the 30 Days Ended 1/31/17 |
| Class A | | 4.54% | | |
| Class B | | 4.01 | | |
| Class C | | 4.01 | | |
| Class Y | | 4.91 | | |
TAXABLE EQUIVALENT YIELDS
| | | | |
| As of 1/31/17 |
| Class A | | 8.30% | | |
| Class B | | 7.33 | | |
| Class C | | 7.33 | | |
| Class Y | | 8.98 | | |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since
Inception |
| Class A (OPATX) | | 9/18/89 | | -1.15% | | 3.65% | | 3.47% | | 3.53% | | 5.58% |
| Class B (OPABX) | | 5/3/93 | | -1.53 | | 2.96 | | 2.69 | | 3.03 | | 4.79 |
| Class C (OPACX) | | 8/29/95 | | -1.52 | | 2.98 | | 2.71 | | 2.75 | | 4.31 |
| Class Y (OPAYX) | | 11/29/10 | | -1.07 | | 3.90 | | 3.64 | | N/A | | 5.46 |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | |
| | | Inception Date | | 6-Month | | 1-Year | | 5-Year | | 10-Year | | Since
Inception |
| Class A (OPATX) | | 9/18/89 | | -5.84% | | -1.28% | | 2.47% | | 3.02% | | 5.40% |
| Class B (OPABX) | | 5/3/93 | | -6.34 | | -1.95 | | 2.36 | | 3.03 | | 4.79 |
| Class C (OPACX) | | 8/29/95 | | -2.48 | | 2.00 | | 2.71 | | 2.75 | | 4.31 |
| Class Y (OPAYX) | | 11/29/10 | | -1.07 | | 3.90 | | 3.64 | | N/A | | 5.46 |
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 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
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| 19 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
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.
The Fund’s performance is compared to the performance of the Barclays Municipal Bond Index, an unmanaged 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 $0.046 for the 25-day accrual period ended January 24, 2017. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value (NAV) on January 24, 2017; for the yield with 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 $0.0409, $0.0409 and $0.0470 respectively, for the 25-day accrual period ended January 24, 2017 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, 2017 and either the maximum offering price (for Class A shares) or NAV (for the other classes) on January 31, 2017. 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 58 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 2016 top federal and Pennsylvania tax rate of 45.3% (45.9% in Pittsburgh and 47.6% in Philadelphia). 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.
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
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| 20 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
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 median 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 and a 10-year par call. The MMA benchmark is constructed using yields from a group of active primary and secondary market makers and other municipal market participants.
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
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| 21 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 31, 2017.
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 31, 2017” 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.
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| 22 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
| | | | | | | | |
| Actual | | Beginning Account Value August 1, 2016 | | Ending Account Value January 31, 2017 | | Expenses Paid During 6 Months Ended
January 31, 2017 | | |
| Class A | | $ 1,000.00 | | $ 988.50 | | $ 5.02 | | |
| Class B | | 1,000.00 | | 984.70 | | 8.84 | | |
| Class C | | 1,000.00 | | 984.80 | | 8.79 | | |
| Class Y | | 1,000.00 | | 989.30 | | 4.32 | | |
| | | |
Hypothetical (5% return before expenses) | | | | | | |
| Class A | | 1,000.00 | | 1,020.16 | | 5.10 | | |
| Class B | | 1,000.00 | | 1,016.33 | | 8.98 | | |
| Class C | | 1,000.00 | | 1,016.38 | | 8.93 | | |
| Class Y | | 1,000.00 | | 1,020.87 | | 4.39 | | |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended January 31, 2017 are as follows:
| | | | |
| Class | | Expense Ratios | |
| Class A | | | 1.00 | % |
| Class B | | | 1.76 | |
| Class C | | | 1.75 | |
| Class Y | | | 0.86 | |
|
| 23 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF INVESTMENTS January 31, 2017 Unaudited
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
| Municipal Bonds and Notes—109.6% | | | | | | | | | |
| Pennsylvania—72.7% | | | | | | | | | |
| $80,000 | | Allegheny County, PA HDA (Jefferson Regional Medical Center)1 | | | 5.125 | % | | | 05/01/2025 | | | $ | 80,087 | |
| 1,125,000 | | Allegheny County, PA HDA (Jefferson Regional Medical Center)1 | | | 5.125 | | | | 05/01/2029 | | | | 1,120,399 | |
| 35,000 | | Allegheny County, PA HDA (UPMC Health System)1 | | | 5.375 | | | | 08/15/2029 | | | | 37,930 | |
| 160,000 | | Allegheny County, PA HDA (UPMC Health System)1 | | | 5.500 | | | | 08/15/2034 | | | | 173,421 | |
| 1,310,000 | | Allegheny County, PA HEBA (Carlow University)1 | | | 6.000 | | | | 11/01/2021 | | | | 1,422,817 | |
| 1,125,000 | | Allegheny County, PA HEBA (Carlow University)1 | | | 6.750 | | | | 11/01/2031 | | | | 1,248,559 | |
| 1,000,000 | | Allegheny County, PA HEBA (Chatham University)1 | | | 5.000 | | | | 09/01/2035 | | | | 1,052,120 | |
| 2,250,000 | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.500 | | | | 10/15/2030 | | | | 2,445,007 | |
| 3,650,000 | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.750 | | | | 10/15/2040 | | | | 3,980,982 | |
| 2,500,000 | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 5.900 | | | | 10/15/2028 | | | | 2,668,025 | |
| 10,000 | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 6.000 | | | | 05/01/2028 | | | | 11,079 | |
| 2,000,000 | | Allegheny County, PA HEBA (Robert Morris University)1 | | | 6.000 | | | | 10/15/2038 | | | | 2,166,140 | |
| 1,200,000 | | Allegheny County, PA IDA (Propel Charter School-East)1 | | | 6.375 | | | | 08/15/2035 | | | | 1,269,408 | |
| 900,000 | | Allegheny County, PA IDA (Propel Charter School-Montour)1 | | | 6.750 | | | | 08/15/2035 | | | | 967,023 | |
| 1,500,000 | | Allegheny County, PA IDA (Propel Charter School-Sunrise)1 | | | 6.000 | | | | 07/15/2038 | | | | 1,555,065 | |
| 1,000,000 | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.000 | | | | 09/01/2021 | | | | 1,001,250 | |
| 1,225,000 | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.100 | | | | 09/01/2026 | | | | 1,225,784 | |
| 550,000 | | Allegheny County, PA IDA (RR/RRSW/RRDC Obligated Group)1 | | | 5.125 | | | | 09/01/2031 | | | | 550,225 | |
| 355,000 | | Allegheny County, PA IDA (School Facility Devel.)1 | | | 5.900 | | | | 08/15/2026 | | | | 372,100 | |
| 14,005,000 | | Allegheny County, PA Redevel. Authority (Pittsburgh Mills)1 | | | 5.600 | | | | 07/01/2023 | | | | 13,489,476 | |
| 1,620,000 | | Allegheny County, PA Residential Finance Authority (Broadview Manor Apartments)1 | | | 5.950 | | | | 01/20/2043 | | | | 1,665,992 | |
| 1,250,000 | | Allegheny County, PA Residential Finance Authority (Independence House Apartments)1 | | | 6.100 | | | | 01/20/2043 | | | | 1,287,737 | |
| 1,620,000 | | Allegheny County, PA Residential Finance Authority (Versailles Apartments)1 | | | 6.160 | | | | 01/20/2043 | | | | 1,669,815 | |
| 13,000,000 | | Berks County, PA Municipal Authority (Reading Hospital & Medical Center)2 | | | 5.500 | | | | 11/01/2031 | | | | 14,242,150 | |
| 3,000,000 | | Bethlehem, PA Area School District1 | | | 5.000 | | | | 08/01/2035 | | | | 3,321,420 | |
| 1,750,000 | | Bethlehem, PA GO1 | | | 6.500 | | | | 12/01/2032 | | | | 2,001,650 | |
| 1,000,000 | | Bucks County, PA IDA (Lutheran Community Telford Center)1 | | | 5.750 | | | | 01/01/2027 | | | | 1,000,730 | |
| 635,000 | | Butler County, PA IDA (Greenview Gardens Apartments)1 | | | 6.000 | | | | 07/01/2023 | | | | 636,200 | |
| 1,760,000 | | Butler County, PA IDA (Greenview Gardens Apartments)1 | | | 6.250 | | | | 07/01/2033 | | | | 1,762,200 | |
| 2,865,000 | | Cambridge, PA Area Joint Authority1 | | | 6.000 | | | | 12/01/2037 | | | | 2,943,014 | |
| 950,000 | | Centre County, PA Hospital Authority (Mt. Nittany Medical Center)1 | | | 6.250 | | | | 11/15/2041 | | | | 1,150,402 | |
|
| 24 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| Pennsylvania (Continued) | | | | | | | | | |
| $2,000,000 | | Centre County, PA Hospital Authority (Mt. Nittany Medical Center)1 | | | 7.000 | % | | | 11/15/2046 | | | $ | 2,488,600 | |
| 30,000 | | Charleroi, PA Area School Authority1 | | | 6.000 | | | | 10/01/2017 | | | | 30,129 | |
| 2,000,000 | | Chester County, PA H&EFA (Immaculata University)1 | | | 7.000 | | | | 11/01/2041 | | | | 2,253,400 | |
| 23,915,000 | | Chester County, PA IDA (Aqua Pennsylvania)2 | | | 5.000 | | | | 02/01/2041 | | | | 23,915,000 | |
| 1,000,000 | | Chester County, PA IDA (West Chester University Student Hsg.)1 | | | 5.000 | | | | 08/01/2035 | | | | 1,039,930 | |
| 1,000,000 | | Clairton, PA Municipal Authority1 | | | 5.000 | | | | 12/01/2037 | | | | 1,079,580 | |
| 1,220,000 | | Clarion County, PA IDA (Clarion University Foundation)1 | | | 5.000 | | | | 07/01/2024 | | | | 1,337,571 | |
| 1,310,000 | | Clarion County, PA IDA (Clarion University Foundation)1 | | | 5.000 | | | | 07/01/2034 | | | | 1,364,941 | |
| 2,430,000 | | Clarion County, PA IDA (Clarion University of Pennsylvania Hsg.)1 | | | 5.000 | | | | 07/01/2029 | | | | 2,588,995 | |
| 3,500,000 | | Clarion County, PA IDA (Clarion University of Pennsylvania Hsg.)1 | | | 5.000 | | | | 07/01/2033 | | | | 3,667,125 | |
| 260,000 | | Cumberland County, PA Municipal Authority (Diakon Lutheran Social Ministries)1 | | | 6.250 | | | | 01/01/2024 | | | | 281,492 | |
| 1,000,000 | | Cumberland County, PA Municipal Authority (Dickinson College)1 | | | 5.000 | | | | 05/01/2031 | | | | 1,142,230 | |
| 775,000 | | Cumberland County, PA Municipal Authority (Dickinson College)1 | | | 5.000 | | | | 05/01/2032 | | | | 881,237 | |
| 6,605,000 | | Delaware County, PA Authority (Cabrini College)1 | | | 5.500 | | | | 07/01/2024 | | | | 6,616,361 | |
| 3,965,000 | | Delaware County, PA Authority (Eastern University)1 | | | 5.250 | | | | 10/01/2032 | | | | 3,809,215 | |
| 85,000 | | Delaware County, PA Authority (MAS/MCMCSPA/ MHH/MHP/MHSSPA Obligated Group)1 | | | 5.375 | | | | 11/15/2023 | | | | 87,774 | |
| 1,160,000 | | Delaware County, PA Authority (Neumann College)1 | | | 6.000 | | | | 10/01/2025 | | | | 1,254,296 | |
| 280,000 | | Delaware County, PA Authority (Neumann College)1 | | | 6.000 | | | | 10/01/2030 | | | | 302,761 | |
| 1,000,000 | | Delaware County, PA Authority (Neumann College)1 | | | 6.125 | | | | 10/01/2034 | | | | 1,083,350 | |
| 650,000 | | Delaware County, PA Authority (Neumann College)1 | | | 6.250 | | | | 10/01/2038 | | | | 705,516 | |
| 1,150,000 | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | | 10/01/2025 | | | | 1,217,459 | |
| 1,425,000 | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | | 10/01/2031 | | | | 1,539,812 | |
| 2,305,000 | | Delaware County, PA Authority (Neumann University)1 | | | 5.000 | | | | 10/01/2035 | | | | 2,450,584 | |
| 1,250,000 | | Delaware County, PA Authority (Neumann University)1 | | | 5.250 | | | | 10/01/2031 | | | | 1,314,487 | |
| 3,985,000 | | Delaware County, PA IDA (Naamans Creek)1 | | | 7.000 | | | | 12/01/2036 | | | | 4,091,559 | |
| 820,000 | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | | 07/01/2030 | | | | 871,143 | |
| 1,000,000 | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | | 07/01/2030 | | | | 1,054,960 | |
| 1,060,000 | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | | 07/01/2035 | | | | 1,106,174 | |
| 1,250,000 | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | | 07/01/2035 | | | | 1,300,050 | |
| 2,750,000 | | East Hempfield Township, PA IDA (Millersville University Student Services)1 | | | 5.000 | | | | 07/01/2047 | | | | 2,832,665 | |
| 500,000 | | Easton, PA Area School District1 | | | 5.200 | | | | 04/01/2028 | | | | 520,690 | |
| 75,000 | | Erie, PA City School District1 | | | 5.250 | | | | 03/01/2039 | | | | 75,194 | |
| 7,840,000 | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.000 | | | | 05/01/2038 | | | | 8,152,738 | |
|
| 25 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| Pennsylvania (Continued) | | | | | | | | | |
| $1,000,000 | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.375 | % | | | 05/01/2030 | | | $ | 1,060,760 | |
| 2,565,000 | | Erie, PA Higher Education Building Authority (Gannon University)1 | | | 5.500 | | | | 05/01/2040 | | | | 2,724,389 | |
| 905,000 | | Erie, PA Higher Education Building Authority (Mercyhurst College)1 | | | 5.350 | | | | 03/15/2028 | | | | 966,395 | |
| 3,000,000 | | Erie, PA Higher Education Building Authority (Mercyhurst College)1 | | | 5.500 | | | | 03/15/2038 | | | | 3,210,750 | |
| 2,095,000 | | Fayette County, PA Redevel. Authority (Fayette Crossing)1 | | | 7.000 | | | | 09/01/2019 | | | | 2,153,869 | |
| 6,225,000 | | Horsham, PA Industrial and Commercial Devel. Authority (Pennsylvania LTC)1 | | | 6.000 | | | | 12/01/2037 | | | | 6,259,984 | |
| 2,100,000 | | Lackawanna County, PA GO1 | | | 6.000 | | | | 09/15/2032 | | | | 2,313,087 | |
| 848,396 | | Lehigh County, PA GPA (Kidspeace Obligated Group)1 | | | 6.000 | | | | 11/01/2018 | | | | 849,151 | |
| 3,600,000 | | Lehigh County, PA GPA (Kidspeace Obligated Group)1 | | | 6.000 | | | | 11/01/2023 | | | | 3,532,824 | |
| 2,747,774 | | Lehigh County, PA GPA (Kidspeace)1,3 | | | 0.000 | 4 | | | 02/01/2044 | | | | 939,959 | |
| 2,721,970 | | Lehigh County, PA GPA (Kidspeace)3 | | | 7.500 | | | | 02/01/2044 | | | | 27 | |
| 3,527,895 | | Lehigh County, PA GPA (Kidspeace/KC/KNCONY/KCH/ KMAKNC/KNCONM/IRSch Obligated Group)1,5 | | | 7.500 | | | | 02/01/2044 | | | | 3,568,748 | |
| 1,590,000 | | Luzerne County, PA GO1 | | | 6.750 | | | | 11/01/2023 | | | | 1,771,864 | |
| 500,000 | | Luzerne County, PA GO1 | | | 7.000 | | | | 11/01/2026 | | | | 557,665 | |
| 5,000,000 | | Luzerne County, PA IDA1 | | | 7.750 | | | | 12/15/2027 | | | | 5,215,950 | |
| 8,060,000 | | Mifflin County, PA Hospital Authority (Lewiston Hospital/Lewiston Healthcare Foundation Obligated Group)1 | | | 5.125 | | | | 07/01/2030 | | | | 8,171,228 | |
| 595,000 | | Millcreek, PA Richland Joint Authority1 | | | 5.250 | | | | 08/01/2022 | | | | 603,764 | |
| 1,390,000 | | Millcreek, PA Richland Joint Authority1 | | | 5.500 | | | | 08/01/2037 | | | | 1,402,691 | |
| 5,000,000 | | Montgomery County, PA HEHA (Holy Redeemer Health System/Holy Redeemer Physician & Ambulatory Obligated Group)1 | | | 5.000 | | | | 10/01/2036 | | | | 5,298,500 | |
| 10,915,000 | | Montgomery County, PA IDA (New Regional Medical)1 | | | 5.375 | | | | 08/01/2038 | | | | 12,391,145 | |
| 300,000 | | Montgomery County, PA IDA (Philadelphia Presbyterian Homes)1 | | | 6.500 | | | | 12/01/2025 | | | | 340,383 | |
| 2,860,000 | | Northampton County, PA General Purpose Authority (Moravian College)1 | | | 5.000 | | | | 07/01/2031 | | | | 3,111,108 | |
| 1,500,000 | | Northampton County, PA IDA (Morningstar Senior Living)1 | | | 5.000 | | | | 07/01/2027 | | | | 1,545,825 | |
| 1,446,670 | | Northampton County, PA IDA (Northampton Generating)3 | | | 5.000 | | | | 12/31/2023 | | | | 577,916 | |
| 14,826,610 | | Northampton County, PA IDA (Northampton Generating)3 | | | 5.000 | | | | 12/31/2023 | | | | 5,922,934 | |
| 16,000,000 | | PA Commonwealth Financing Authority1 | | | 5.000 | | | | 06/01/2032 | | | | 17,439,520 | |
| 2,000,000 | | PA Commonwealth Financing Authority1 | | | 5.000 | | | | 06/01/2035 | | | | 2,174,420 | |
| 39,737,908 | | PA EDFA (Bionol Clearfield)6 | | | 8.500 | | | | 07/01/2015 | | | | 1,655,481 | |
| 3,000,000 | | PA EDFA (Forum)1 | | | 5.000 | | | | 03/01/2029 | | | | 3,331,680 | |
| 3,000,000 | | PA EDFA (Philadelphia Biosolids Facility)1 | | | 6.250 | | | | 01/01/2032 | | | | 3,198,000 | |
| 9,000,000 | | PA GO2 | | | 5.000 | | | | 06/01/2022 | | | | 10,310,220 | |
| 115,000 | | PA GO1 | | | 5.000 | | | | 06/01/2022 | | | | 131,742 | |
| 4,055,000 | | PA GO1 | | | 5.000 | | | | 07/01/2022 | | | | 4,651,896 | |
|
| 26 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| Pennsylvania (Continued) | | | | | | | | | |
| $1,025,000 | | PA HEFA (Assoc. of Independent Colleges & Universities)1 | | | 5.125 | % | | | 05/01/2032 | | | $ | 1,033,303 | |
| 100,000 | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 5.000 | | | | 07/01/2028 | | | | 100,022 | |
| 120,000 | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.750 | | | | 09/01/2020 | | | | 120,313 | |
| 3,115,000 | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.750 | | | | 09/01/2032 | | | | 3,118,271 | |
| 55,000 | | PA HEFA (California University of Pennsylvania Student Assoc.)1 | | | 6.800 | | | | 09/01/2025 | | | | 55,119 | |
| 1,245,000 | | PA HEFA (Delaware Valley College of Science & Agriculture)1 | | | 5.000 | | | | 11/01/2027 | | | | 1,250,627 | |
| 535,000 | | PA HEFA (Delaware Valley College of Science & Agriculture)1 | | | 5.000 | | | | 11/01/2042 | | | | 508,229 | |
| 10,000 | | PA HEFA (Drexel University College of Medicine)1 | | | 5.000 | | | | 05/01/2037 | | | | 10,308 | |
| 6,285,000 | | PA HEFA (Edinboro University Foundation)1 | | | 5.750 | | | | 07/01/2028 | | | | 6,699,244 | |
| 3,000,000 | | PA HEFA (Edinboro University Foundation)1 | | | 5.800 | | | | 07/01/2030 | | | | 3,432,360 | |
| 9,000,000 | | PA HEFA (Edinboro University Foundation)1 | | | 5.875 | | | | 07/01/2038 | | | | 9,608,940 | |
| 8,225,000 | | PA HEFA (Edinboro University Foundation)1 | | | 6.000 | | | | 07/01/2042 | | | | 8,795,897 | |
| 3,500,000 | | PA HEFA (Edinboro University Foundation)1 | | | 6.000 | | | | 07/01/2043 | | | | 4,027,660 | |
| 1,300,000 | | PA HEFA (Gwynedd Mercy College)1 | | | 5.375 | | | | 05/01/2042 | | | | 1,368,354 | |
| 750,000 | | PA HEFA (Indiana University Foundation)1 | | | 5.000 | | | | 07/01/2041 | | | | 806,198 | |
| 2,650,000 | | PA HEFA (La Salle University)1 | | | 5.000 | | | | 05/01/2029 | | | | 2,848,618 | |
| 50,000 | | PA HEFA (Pennsylvania State University)1 | | | 5.000 | | | | 03/01/2022 | | | | 50,171 | |
| 1,400,000 | | PA HEFA (Shippensburg University Student Services)1 | | | 5.000 | | | | 10/01/2035 | | | | 1,454,670 | |
| 3,000,000 | | PA HEFA (Shippensburg University)1 | | | 6.000 | | | | 10/01/2031 | | | | 3,282,900 | |
| 7,000,000 | | PA HEFA (Shippensburg University)1 | | | 6.250 | | | | 10/01/2043 | | | | 7,699,720 | |
| 1,750,000 | | PA HEFA (St. Francis University)1 | | | 6.000 | | | | 11/01/2031 | | | | 1,898,715 | |
| 2,250,000 | | PA HEFA (St. Francis University)1 | | | 6.250 | | | | 11/01/2041 | | | | 2,463,255 | |
| 100,000 | | PA HEFA (Student Association)1 | | | 6.750 | | | | 09/01/2023 | | | | 100,125 | |
| 4,515,000 | | PA HEFA (University of Pennsylvania Health System)1 | | | 5.750 | | | | 08/15/2041 | | | | 5,343,051 | |
| 60,000 | | PA HEFA (University of the Arts)1 | | | 5.500 | | | | 03/15/2020 | | | | 60,172 | |
| 3,050,000 | | PA HEFA (University of the Arts)1 | | | 5.625 | | | | 03/15/2025 | | | | 3,056,466 | |
| 1,685,000 | | PA HEFA (University of the Arts)1 | | | 5.750 | | | | 03/15/2030 | | | | 1,688,084 | |
| 1,000,000 | | PA HEFA (University Properties Student Hsg.)1 | | | 5.000 | | | | 07/01/2031 | | | | 1,066,610 | |
| 1,000,000 | | PA HEFA (Ursinus College)1 | | | 5.000 | | | | 01/01/2029 | | | | 1,087,910 | |
| 1,000,000 | | PA HEFA (Widener University)1 | | | 5.000 | | | | 07/15/2038 | | | | 1,062,570 | |
| 5,000,000 | | PA Public School Building Authority (Harrisburg Area Community College)1 | | | 5.000 | | | | 10/01/2031 | | | | 5,437,350 | |
| 3,500,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2027 | | | | 3,724,315 | |
| 4,410,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2028 | | | | 4,678,216 | |
| 3,000,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2029 | | | | 3,177,420 | |
| 250,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2030 | | | | 264,303 | |
| 2,250,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2031 | | | | 2,370,600 | |
|
| 27 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| Pennsylvania (Continued) | | | | | | | | | |
| $4,780,000 | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | % | | | 04/01/2032 | | | $ | 5,022,489 | |
| 1,000,000 | | PA Southcentral General Authority (Hanover Hospital)1 | | | 5.000 | | | | 12/01/2029 | | | | 1,096,750 | |
| 12,940,000 | | PA Southcentral General Authority (Wellspan Health Obligated Group)2 | | | 6.000 | | | | 06/01/2029 | | | | 13,834,387 | |
| 3,750,000 | | PA State Public School Building Authority (Philadelphia School District)1 | | | 5.000 | | | | 06/01/2027 | | | | 4,153,275 | |
| 8,795,000 | | PA State Public School Building Authority (Philadelphia School District)1 | | | 5.000 | | | | 06/01/2032 | | | | 9,574,677 | |
| 5,000,000 | | PA State Public School Building Authority (Philadelphia School District)1 | | | 5.000 | | | | 06/01/2036 | | | | 5,292,350 | |
| 10,000,000 | | PA Turnpike Commission1 | | | 0.000 | 4 | | | 12/01/2038 | | | | 11,782,600 | |
| 1,750,000 | | PA Turnpike Commission1 | | | 5.000 | | | | 06/01/2030 | | | | 1,955,188 | |
| 500,000 | | PA Turnpike Commission1 | | | 5.000 | | | | 12/01/2030 | | | | 566,355 | |
| 1,000,000 | | PA Turnpike Commission1 | | | 5.000 | | | | 12/01/2031 | | | | 1,126,850 | |
| 2,000,000 | | PA Turnpike Commission1 | | | 5.000 | | | | 12/01/2032 | | | | 2,222,720 | |
| 5,750,000 | | PA Turnpike Commission1 | | | 5.000 | | | | 12/01/2040 | | | | 6,335,925 | |
| 900,000 | | PA Turnpike Commission1 | | | 5.500 | 4 | | | 12/01/2034 | | | | 1,035,837 | |
| 4,100,000 | | PA Turnpike Commission1 | | | 5.500 | 4 | | | 12/01/2034 | | | | 4,576,871 | |
| 5,000,000 | | PA Turnpike Commission1 | | | 5.500 | | | | 12/01/2042 | | | | 5,713,800 | |
| 610,000 | | PA Turnpike Commission1 | | | 6.000 | 4 | | | 12/01/2034 | | | | 713,401 | |
| 2,820,000 | | PA Turnpike Commission1 | | | 6.000 | 4 | | | 12/01/2034 | | | | 3,222,837 | |
| 570,000 | | PA Turnpike Commission1 | | | 6.000 | 4 | | | 12/01/2034 | | | | 666,621 | |
| 2,000,000 | | PA West Shore Area Hospital Authority (Holy Spirit Hospital of the Sisters of Christian Charity)1 | | | 5.625 | | | | 01/01/2032 | | | | 2,271,560 | |
| 1,835,000 | | PA West Shore Area Hospital Authority (Holy Spirit Hospital of the Sisters of Christian Charity)1 | | | 6.500 | | | | 01/01/2041 | | | | 2,090,267 | |
| 5,000,000 | | Philadelphia, PA Airport1 | | | 5.000 | | | | 06/15/2032 | | | | 5,061,950 | |
| 2,500,000 | | Philadelphia, PA Authority for Industrial Devel. (Architecture & Design Charter School)1 | | | 6.125 | | | | 03/15/2043 | | | | 2,614,650 | |
| 450,000 | | Philadelphia, PA Authority for Industrial Devel. (Discovery Charter School)1 | | | 5.875 | | | | 04/01/2032 | | | | 451,337 | |
| 500,000 | | Philadelphia, PA Authority for Industrial Devel. (Discovery Charter School)1 | | | 6.250 | | | | 04/01/2042 | | | | 503,990 | |
| 1,000,000 | | Philadelphia, PA Authority for Industrial Devel. (Global Leadership Academy)1 | | | 5.750 | | | | 11/15/2030 | | | | 1,046,920 | |
| 500,000 | | Philadelphia, PA Authority for Industrial Devel. (Global Leadership Academy)1 | | | 6.375 | | | | 11/15/2040 | | | | 532,370 | |
| 2,040,000 | | Philadelphia, PA Authority for Industrial Devel. (International Apartments Temple University)1 | | | 5.375 | | | | 06/15/2030 | | | | 2,129,230 | |
| 4,000,000 | | Philadelphia, PA Authority for Industrial Devel. (International Apartments Temple University)1 | | | 5.625 | | | | 06/15/2042 | | | | 4,190,080 | |
| 1,640,000 | | Philadelphia, PA Authority for Industrial Devel. (Richard Allen Prep Charter School)1 | | | 6.250 | | | | 05/01/2033 | | | | 1,640,344 | |
| 1,105,000 | | Philadelphia, PA Authority for Industrial Devel. (Stapeley Germantown)1 | | | 5.125 | | | | 01/01/2021 | | | | 1,080,911 | |
| 2,000,000 | | Philadelphia, PA Authority for Industrial Devel. (Tacony Academy Charter School)1 | | | 6.750 | | | | 06/15/2033 | | | | 2,211,220 | |
|
| 28 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| Pennsylvania (Continued) | | | | | | | | | |
| $3,090,000 | | Philadelphia, PA Authority for Industrial Devel. (Tacony Academy Charter School)1 | | | 7.000 | % | | | 06/15/2043 | | | $ | 3,441,271 | |
| 1,665,000 | | Philadelphia, PA Authority for Industrial Devel. Senior Living (Miriam and Robert M. Rieder House) | | | 6.100 | | | | 07/01/2033 | | | | 1,665,000 | |
| 2,955,000 | | Philadelphia, PA Authority for Industrial Devel. Senior Living (Presbyterian Homes Germantown)1 | | | 5.625 | | | | 07/01/2035 | | | | 2,969,243 | |
| 6,260,000 | | Philadelphia, PA GO1 | | | 6.500 | | | | 08/01/2041 | | | | 7,346,360 | |
| 770,000 | | Philadelphia, PA H&HEFA (Centralized Comprehensive Human Services)1 | | | 7.250 | | | | 01/01/2021 | | | | 751,381 | |
| 250,000 | | Philadelphia, PA Hsg. Authority1 | | | 5.000 | | | | 12/01/2021 | | | | 252,228 | |
| 1,000,000 | | Philadelphia, PA Municipal Authority1 | | | 6.500 | | | | 04/01/2034 | | | | 1,087,030 | |
| 25,000 | | Philadelphia, PA Parking Authority1,5 | | | 5.125 | | | | 02/15/2018 | | | | 25,088 | |
| 20,000 | | Philadelphia, PA Parking Authority, Series A1 | | | 5.250 | | | | 02/15/2029 | | | | 20,072 | |
| 90,000 | | Philadelphia, PA Redevel. Authority (Multifamily Hsg.)1,5 | | | 5.450 | | | | 02/01/2023 | | | | 90,815 | |
| 10,000,000 | | Philadelphia, PA School District1 | | | 5.000 | | | | 09/01/2028 | | | | 11,115,900 | |
| 10,000,000 | | Philadelphia, PA School District1 | | | 5.000 | | | | 09/01/2029 | | | | 11,036,300 | |
| 45,000 | | Philadelphia, PA School District1 | | | 6.000 | | | | 09/01/2038 | | | | 48,465 | |
| 5,000 | | Philadelphia, PA School District1 | | | 6.000 | | | | 09/01/2038 | | | | 5,385 | |
| 5,000 | | Philadelphia, PA School District1 | | | 6.000 | | | | 09/01/2038 | | | | 5,385 | |
| 1,630,000 | | Philadelphia, PA School District1 | | | 6.000 | | | | 09/01/2038 | | | | 1,755,526 | |
| 2,750,000 | | Pittsburgh, PA Urban Redevel. Authority (Marian Plaza)1 | | | 6.130 | | | | 01/20/2043 | | | | 2,835,140 | |
| 4,000,000 | | Pottsville, PA Hospital Authority (Lehigh Valley Health Network)1 | | | 5.000 | | | | 07/01/2041 | | | | 4,331,480 | |
| 900,000 | | Reading, PA Hsg. Auth (Goggle Works Apts.)1 | | | 5.625 | | | | 06/01/2042 | | | | 927,081 | |
| 2,895,000 | | Reading, PA Hsg. Auth (Goggle Works Apts.)1 | | | 5.875 | | | | 06/01/2052 | | | | 2,997,425 | |
| 6,450,000 | | Susquehanna, PA Area Regional Airport Authority1 | | | 6.500 | | | | 01/01/2038 | | | | 6,647,951 | |
| 6,900,000 | | Washington County, PA Redevel. Authority (Victory Centre)1 | | | 5.450 | | | | 07/01/2035 | | | | 6,899,862 | |
| 2,000,000 | | Westmoreland County, PA Municipal Authority1 | | | 5.000 | | | | 08/15/2038 | | | | 2,211,980 | |
| 2,600,000 | | Wilkes-Barre, PA Area School District1 | | | 5.000 | | | | 08/01/2034 | | | | 2,850,770 | |
| 2,125,000 | | Wilkes-Barre, PA Area School District1 | | | 5.000 | | | | 08/01/2036 | | | | 2,313,360 | |
| 4,020,000 | | Wilkes-Barre, PA Finance Authority (Wilkes University)1 | | | 5.000 | | | | 03/01/2037 | | | | 4,034,231 | |
| | | | | | | | | | | | | 544,491,677 | |
| | | | | | | | | | | | | | | |
| U.S. Possessions—36.9% | | | | | | | | | | | | |
| 700,000 | | Guam Hsg. Corp. (Single Family Mtg.)1 | | | 5.750 | | | | 09/01/2031 | | | | 721,322 | |
| 185,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2023 | | | | 210,783 | |
| 235,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2024 | | | | 266,086 | |
| 420,000 | | Guam Power Authority, Series A1 | | | 5.000 | | | | 10/01/2030 | | | | 467,859 | |
| 165,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 06/01/2017 | | | | 164,843 | |
| 670,000 | | Northern Mariana Islands Commonwealth, Series A1 | | | 5.000 | | | | 10/01/2022 | | | | 639,642 | |
| 1,320,000 | | Northern Mariana Islands Ports Authority, Series A1 | | | 6.250 | | | | 03/15/2028 | | | | 1,149,139 | |
| 975,000 | | Northern Mariana Islands Ports Authority, Series A1 | | | 6.600 | | | | 03/15/2028 | | | | 942,552 | |
| 3,000,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 5.125 | | | | 07/01/2037 | | | | 2,284,380 | |
| 810,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 5.250 | | | | 07/01/2029 | | | | 628,722 | |
| 1,460,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 5.750 | | | | 07/01/2037 | | | | 1,129,865 | |
| 1,005,000 | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2047 | | | | 781,609 | |
|
| 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 Aqueduct & Sewer Authority | | | 6.125 | %4 | | | 07/01/2024 | | | $ | 2,026,075 | |
| 59,645,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.500 | | | | 05/15/2039 | | | | 59,639,035 | |
| 39,590,000 | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.625 | | | | 05/15/2043 | | | | 39,588,020 | |
| 213,320,000 | | Puerto Rico Children’s Trust Fund (TASC) | | | 5.962 | 7 | | | 05/15/2050 | | | | 16,973,872 | |
| 1,366,500,000 | | Puerto Rico Children’s Trust Fund (TASC) | | | 7.622 | 7 | | | 05/15/2057 | | | | 31,552,485 | |
| 2,000,000 | | Puerto Rico Commonwealth GO6 | | | 5.000 | | | | 07/01/2020 | | | | 1,311,660 | |
| 3,000,000 | | Puerto Rico Commonwealth GO6 | | | 5.125 | | | | 07/01/2028 | | | | 1,930,950 | |
| 2,500,000 | | Puerto Rico Commonwealth GO6 | | | 5.375 | | | | 07/01/2033 | | | | 1,612,250 | |
| 5,000,000 | | Puerto Rico Commonwealth GO6 | | | 5.500 | | | | 07/01/2026 | | | | 3,240,100 | |
| 7,360,000 | | Puerto Rico Commonwealth GO6 | | | 5.500 | | | | 07/01/2039 | | | | 4,885,200 | |
| 9,000,000 | | Puerto Rico Commonwealth GO6 | | | 5.750 | | | | 07/01/2036 | | | | 5,805,000 | |
| 3,000,000 | | Puerto Rico Commonwealth GO6 | | | 5.750 | | | | 07/01/2041 | | | | 1,961,250 | |
| 15,000 | | Puerto Rico Commonwealth GO1,9 | | | 6.000 | | | | 07/01/2027 | | | | 15,503 | |
| 790,000 | | Puerto Rico Commonwealth GO6 | | | 6.000 | | | | 07/01/2028 | | | | 522,387 | |
| 13,500,000 | | Puerto Rico Commonwealth GO6 | | | 8.000 | | | | 07/01/2035 | | | | 9,601,875 | |
| 403,060 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 318,285 | |
| 403,059 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 318,284 | |
| 336,338 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2021 | | | | 259,412 | |
| 336,339 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2021 | | | | 259,412 | |
| 112,113 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2022 | | | | 86,169 | |
| 112,113 | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2022 | | | | 86,169 | |
| 4,920,000 | | Puerto Rico Electric Power Authority, Series A8 | | | 5.000 | | | | 07/01/2029 | | | | 3,201,001 | |
| 3,325,000 | | Puerto Rico Electric Power Authority, Series A8 | | | 5.000 | | | | 07/01/2042 | | | | 2,159,155 | |
| 3,000,000 | | Puerto Rico Electric Power Authority, Series A8 | | | 6.750 | | | | 07/01/2036 | | | | 1,948,890 | |
| 1,435,000 | | Puerto Rico Electric Power Authority, Series AAA8 | | | 5.250 | | | | 07/01/2024 | | | | 934,917 | |
| 1,510,000 | | Puerto Rico Electric Power Authority, Series AAA8 | | | 5.250 | | | | 07/01/2025 | | | | 983,236 | |
| 5,540,000 | | Puerto Rico Electric Power Authority, Series AAA8 | | | 5.250 | | | | 07/01/2027 | | | | 3,606,485 | |
| 1,760,000 | | Puerto Rico Electric Power Authority, Series AAA8 | | | 5.250 | | | | 07/01/2030 | | | | 1,144,616 | |
| 3,505,000 | | Puerto Rico Electric Power Authority, Series AAA8 | | | 5.250 | | | | 07/01/2031 | �� | | | 2,278,916 | |
| 3,000,000 | | Puerto Rico Electric Power Authority, Series CCC8 | | | 5.250 | | | | 07/01/2027 | | | | 1,952,970 | |
| 6,000,000 | | Puerto Rico Electric Power Authority, Series SS9 | | | 5.000 | | | | 07/01/2025 | | | | 6,069,720 | |
| 1,450,000 | | Puerto Rico Electric Power Authority, Series TT8 | | | 5.000 | | | | 07/01/2032 | | | | 942,630 | |
| 1,670,000 | | Puerto Rico Electric Power Authority, Series WW8 | | | 5.000 | | | | 07/01/2028 | | | | 1,086,803 | |
| 2,445,000 | | Puerto Rico Electric Power Authority, Series XX8 | | | 5.250 | | | | 07/01/2040 | | | | 1,587,832 | |
| 725,000 | | Puerto Rico Electric Power Authority, Series ZZ8 | | | 5.000 | | | | 07/01/2022 | | | | 473,679 | |
| 1,000,000 | | Puerto Rico Highway & Transportation Authority | | | 5.300 | | | | 07/01/2035 | | | | 582,590 | |
| 10,000 | | Puerto Rico Highway & Transportation Authority, Series A6 | | | 5.000 | | | | 07/01/2038 | | | | 2,825 | |
| 325,000 | | Puerto Rico Highway & Transportation Authority, Series H6 | | | 5.000 | | | | 07/01/2028 | | | | 91,812 | |
| 270,000 | | Puerto Rico Infrastructure3 | | | 5.000 | | | | 07/01/2041 | | | | 45,900 | |
| 1,400,000 | | Puerto Rico Infrastructure (Mepsi Campus) | | | 6.500 | | | | 10/01/2037 | | | | 677,628 | |
| 200,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 04/01/2027 | | | | 185,356 | |
| 1,250,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.000 | | | | 03/01/2036 | | | | 1,058,675 | |
| 125,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.125 | | | | 04/01/2032 | | | | 110,888 | |
| 185,000 | | Puerto Rico ITEMECF (Ana G. Mendez University)1 | | | 5.375 | | | | 04/01/2042 | | | | 159,365 | |
| 275,000 | | Puerto Rico ITEMECF (IEP/HESL/HECR Obligated Group) | | | 5.750 | | | | 06/01/2019 | | | | 96,195 | |
|
| 30 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
| | | | | | | | | | | | | | |
Principal Amount | | | | Coupon | | | Maturity | | | Value | |
| U.S. Possessions (Continued) | | | | | | | | | |
| $3,000,000 | | Puerto Rico Public Buildings Authority6 | | | 5.750 | %10 | | | 07/01/2034 | | | $ | 1,747,500 | |
| 1,265,000 | | Puerto Rico Public Buildings Authority6 | | | 6.000 | | | | 07/01/2019 | | | | 736,862 | |
| 2,070,000 | | Puerto Rico Public Buildings Authority3 | | | 6.000 | | | | 07/01/2041 | | | | 1,205,775 | |
| 1,500,000 | | Puerto Rico Public Buildings Authority6 | | | 6.500 | | | | 07/01/2030 | | | | 873,750 | |
| 1,000,000 | | Puerto Rico Public Buildings Authority3 | | | 6.750 | | | | 07/01/2036 | | | | 582,500 | |
| 1,015,000 | | Puerto Rico Public Buildings Authority, Series D6 | | | 5.250 | | | | 07/01/2036 | | | | 591,237 | |
| 5,725,000 | | Puerto Rico Public Finance Corp., Series B6 | | | 5.500 | | | | 08/01/2031 | | | | 472,313 | |
| 5,000,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.375 | | | | 08/01/2039 | | | | 2,387,500 | |
| 7,385,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2037 | | | | 3,526,338 | |
| 950,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2042 | | | | 453,625 | |
| 5,000,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.750 | | | | 08/01/2037 | | | | 2,450,000 | |
| 5,000,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.375 | | | | 08/01/2039 | | | | 2,575,000 | |
| 3,000,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.500 | | | | 08/01/2044 | | | | 1,548,750 | |
| 30,000,000 | | Puerto Rico Sales Tax Financing Corp., Series A | | | 7.276 | 7 | | | 08/01/2034 | | | | 3,364,800 | |
| 18,015,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.711 | 7 | | | 08/01/2038 | | | | 1,692,870 | |
| 22,130,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.750 | | | | 08/01/2057 | | | | 15,066,768 | |
| 5,500,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2039 | | | | 2,811,875 | |
| 1,000,000 | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2042 | | | | 511,250 | |
| 3,235,000 | | University of Puerto Rico, Series P | | | 5.000 | | | | 06/01/2030 | | | | 1,463,029 | |
| 1,300,000 | | University of Puerto Rico, Series Q | | | 5.000 | | | | 06/01/2030 | | | | 587,925 | |
| 2,500,000 | | V.I. Public Finance Authority, Series C1 | | | 5.000 | | | | 10/01/2039 | | | | 1,734,900 | |
| 17,450,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.247 | 7 | | | 05/15/2035 | | | | 3,235,230 | |
| 2,195,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.497 | 7 | | | 05/15/2035 | | | | 344,878 | |
| 4,150,000 | | V.I. Tobacco Settlement Financing Corp. | | | 6.872 | 7 | | | 05/15/2035 | | | | 602,705 | |
| 7,000,000 | | V.I. Tobacco Settlement Financing Corp. | | | 7.622 | 7 | | | 05/15/2035 | | | | 639,170 | |
| 2,180,000 | | V.I. Tobacco Settlement Financing Corp. (TASC)1 | | | 5.000 | | | | 05/15/2031 | | | | 2,180,196 | |
| | | | | | | | | | | | | 276,149,025 | |
| | | | | | | | | | | | | | | |
| Total Investments, at Value (Cost $933,968,197)—109.6% | | | | | | | | | | | 820,640,702 | |
| Net Other Assets (Liabilities)—(9.6) | | | | | | | | | | | (72,014,774 | ) |
| Net Assets—100.0% | | | | | | | | | | $ | 748,625,928 | |
| | | | | | | | | | | | | | |
Footnotes to Statement of Investments
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. 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.
4. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
5. 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.
6. 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.
7. Zero coupon bond reflects effective yield on the original acquisition date.
|
| 31 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments (Continued)
8. Subject to a forbearance agreement. Rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
9. Scheduled principal and interest payments are guaranteed by National Public Finance Guaranty.
10. Represents the current interest rate for a variable or increasing rate security.
To simplify the listings of securities, abbreviations are used per the table below:
| | |
| EDFA | | Economic Devel. Finance Authority |
| 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 |
| HEBA | | Higher Education Building Authority |
| HECR | | Hospital Episcopal Cristo Redentor |
| HEFA | | Higher Education Facilities Authority |
| HEHA | | Higher Education and Health 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 |
| 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 |
See accompanying Notes to Financial Statements.
|
| 32 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF ASSETS AND LIABILITIES January 31, 2017 Unaudited
| | | | |
| Assets | | | | |
| Investments, at value (cost $933,968,197)—see accompanying statement of investments | | $ | 820,640,702 | |
| Cash | | | 376,026 | |
| Receivables and other assets: | | | | |
| Interest | | | 9,464,038 | |
| Shares of beneficial interest sold | | | 158,482 | |
| Investments sold on a when-issued or delayed delivery basis | | | 70,697 | |
| Other | | | 150,646 | |
| | | | |
| Total assets | | | 830,860,591 | |
| | | | | |
| Liabilities | | | | |
| Payables and other liabilities: | | | | |
| Payable for short-term floating rate notes issued (See Note 4) | | | 41,395,000 | |
| Payable for borrowings (See Note 9) | | | 39,300,000 | |
| Dividends | | | 809,755 | |
| Shares of beneficial interest redeemed | | | 401,849 | |
| Trustees’ compensation | | | 123,943 | |
| Distribution and service plan fees | | | 90,551 | |
| Interest expense on borrowings | | | 23,897 | |
| Shareholder communications | | | 1,769 | |
| Other | | | 87,899 | |
| | | | |
| Total liabilities | | | 82,234,663 | |
| | | | | |
| Net Assets | | $ | 748,625,928 | |
| | | | |
| | | | | |
| Composition of Net Assets | | | | |
| Paid-in capital | | $ | 993,106,017 | |
| Accumulated net investment income | | | 3,405,827 | |
| Accumulated net realized loss on investments | | | (134,558,421 | ) |
| Net unrealized depreciation on investments | | | (113,327,495 | ) |
| | | | |
| Net Assets | | $ | 748,625,928 | |
| | | | |
|
| 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 $499,477,239 and 48,564,680 shares of beneficial interest outstanding) | | $ | 10.28 | |
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 10.79 | |
| |
Class B Shares: | | | | |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $3,850,858 and 374,663 shares of beneficial interest outstanding) | | $ | 10.28 | |
| |
Class C Shares: | | | | |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $207,042,341 and 20,181,868 shares of beneficial interest outstanding) | | $ | 10.26 | |
| |
Class Y Shares: | | | | |
| Net asset value, redemption price and offering price per share (based on net assets of $38,255,490 and 3,717,587 shares of beneficial interest outstanding) | | $ | 10.29 | |
See accompanying Notes to Financial Statements.
|
| 34 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT
OF OPERATIONS For the Six Months Ended January 31, 2017 Unaudited
| | | | |
| Investment Income | | | | |
| Interest | | $ | 22,685,489 | |
| Expenses | | | | |
| Management fees | | | 1,986,884 | |
| Distribution and service plan fees: | | | | |
| Class A | | | 378,353 | |
| Class B | | | 20,691 | |
| Class C | | | 975,768 | |
| Transfer and shareholder servicing agent fees: | | | | |
| Class A | | | 259,041 | |
| Class B | | | 2,299 | |
| Class C | | | 108,535 | |
| Class Y | | | 16,677 | |
| Shareholder communications: | | | | |
| Class A | | | 5,964 | |
| Class B | | | 238 | |
| Class C | | | 2,797 | |
| Class Y | | | 664 | |
| Borrowing fees | | | 410,460 | |
| Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 263,308 | |
| Interest expense on borrowings | | | 103,472 | |
| Trustees’ compensation | | | 6,388 | |
| Custodian fees and expenses | | | 2,805 | |
| Other | | | 120,090 | |
| | | | |
| Total expenses | | | 4,664,434 | |
| Net Investment Income | | | 18,021,055 | |
| | | | | |
| Realized and Unrealized Loss | | | | |
| Net realized loss on investments | | | (5,993,918 | ) |
| Net change in unrealized appreciation/depreciation on investments | | | (20,627,972 | ) |
| Net Decrease in Net Assets Resulting from Operations | | $ | (8,600,835 | ) |
| | | | |
See accompanying Notes to Financial Statements.
|
| 35 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended
January 31, 2017
(Unaudited) | | Year Ended
July 31, 2016 |
| Operations | | | | | | | | |
| Net investment income | | $ | 18,021,055 | | | $ | 42,728,226 | |
| Net realized loss | | | (5,993,918 | ) | | | (11,884,369 | ) |
| Net change in unrealized appreciation/depreciation | | | (20,627,972 | ) | | | 26,543,186 | |
| | | | |
| Net increase (decrease) in net assets resulting from operations | | | (8,600,835 | ) | | | 57,387,043 | |
| | | | | | | | | |
| Dividends and/or Distributions to Shareholders | | | | | | | | |
| Dividends from net investment income: | | | | | | | | |
| Class A | | | (13,671,647 | ) | | | (30,999,892 | ) |
| Class B | | | (103,074 | ) | | | (384,932 | ) |
| Class C | | | (4,924,452 | ) | | | (11,134,209 | ) |
| Class Y | | | (910,444 | ) | | | (1,674,134 | ) |
| | | | |
| | | (19,609,617 | ) | | | (44,193,167 | ) |
| | | | | | | | | |
| Beneficial Interest Transactions | | | | | | | | |
| Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
| Class A | | | (7,872,281 | ) | | | (34,894,701 | ) |
| Class B | | | (1,678,229 | ) | | | (5,479,741 | ) |
| Class C | | | (5,752,794 | ) | | | (9,147,900 | ) |
| Class Y | | | 9,081,125 | | | | 730,375 | |
| | | | |
| | | (6,222,179 | ) | | | (48,791,967 | ) |
| | | | | | | | | |
| Net Assets | | | | | | | | |
| Total decrease | | | (34,432,631 | ) | | | (35,598,091 | ) |
| Beginning of period | | | 783,058,559 | | | | 818,656,650 | |
| | | | |
| End of period (including accumulated net investment income of $3,405,827 and $4,994,389, respectively) | | $ | 748,625,928 | | | $ | 783,058,559 | |
| | | | |
See accompanying Notes to Financial Statements.
|
| 36 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
STATEMENT OF CASH FLOWS For the Six Months Ended January 31, 2017
| | | | |
| Cash Flows from Operating Activities | | | | |
| Net decrease in net assets from operations | | $ | (8,600,835 | ) |
| Adjustments to reconcile net decrease in net assets from operations to net cash used in operating activities: | | | | |
Purchase of investment securities | | | (106,463,896 | ) |
Proceeds from disposition of investment securities | | | 75,391,748 | |
Short-term investment securities, net | | | 8,564,980 | |
Premium amortization | | | 1,947,173 | |
Discount accretion | | | (4,732,038 | ) |
Net realized loss on investments | | | 5,993,918 | |
Net change in unrealized appreciation/depreciation on investments | | | 20,627,972 | |
| Change in assets: | | | | |
Decrease in other assets | | | 121,798 | |
Increase in interest receivable | | | (38,927 | ) |
Decrease in receivable for securities sold | | | 2,671,069 | |
| Change in liabilities: | | | | |
Increase in other liabilities | | | 15,671 | |
Decrease in payable for securities purchased | | | (3,551,020 | ) |
| | | | |
| Net cash used in operating activities | | | (8,052,387 | ) |
| | | | | |
| Cash Flows from Financing Activities | | | | |
| Proceeds from borrowings | | | 107,200,000 | |
| Payments on borrowings | | | (80,100,000 | ) |
| Proceeds on short-term floating rate notes issued | | | 6,000,000 | |
| Proceeds from shares sold | | | 55,341,446 | |
| Payments on shares redeemed | | | (77,829,347 | ) |
| Cash distributions paid | | | (2,713,712 | ) |
| | | | |
| Net cash provided by financing activities | | | 7,898,387 | |
| Net decrease in cash | | | (154,000 | ) |
| Cash, beginning balance | | | 530,026 | |
| | | | |
| Cash, ending balance | | $ | 376,026 | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $16,666,815.
Cash paid for interest on borrowings—$81,073.
Cash paid for interest on short-term floating rate notes issued—$263,308.
See accompanying Notes to Financial Statements.
|
| 37 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | |
| Class A | | Six Months
Ended
January 31,
2017
(Unaudited) | | Year Ended
July 31, 2016 | | Year Ended
July 31, 2015 | | Year Ended
July 31, 2014 | | Year Ended
July 31, 2013 | | Year Ended
July 31, 2012 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.67 | | $10.49 | | $10.38 | | $10.53 | | $11.47 | | $10.60 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income1 | | 0.26 | | 0.59 | | 0.63 | | 0.67 | | 0.61 | | 0.63 |
| Net realized and unrealized gain (loss) | | (0.37) | | 0.20 | | 0.09 | | (0.22) | | (0.94) | | 0.90 |
| | |
| Total from investment operations | | (0.11) | | 0.79 | | 0.72 | | 0.45 | | (0.33) | | 1.53 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.28) | | (0.61) | | (0.61) | | (0.60) | | (0.61) | | (0.66) |
|
| Net asset value, end of period | | $10.28 | | $10.67 | | $10.49 | | $10.38 | | $10.53 | | $11.47 |
| | |
| | |
|
|
| Total Return, at Net Asset Value2 | | (1.15)% | | 7.84% | | 6.98% | | 4.57% | | (3.13)% | | 14.84% |
|
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $499,477 | | $526,247 | | $552,146 | | $586,870 | | $737,142 | | $795,924 |
|
| Average net assets (in thousands) | | $513,669 | | $537,284 | | $589,000 | | $624,096 | | $812,430 | | $752,625 |
|
| Ratios to average net assets:3 | | | | | | | | | | | | |
| Net investment income | | 4.87% | | 5.59% | | 5.93% | | 6.60% | | 5.32% | | 5.67% |
| Expenses excluding specific expenses listed below | | 0.80% | | 0.80% | | 0.77% | | 0.76% | | 0.69% | | 0.70% |
| Interest and fees from borrowings | | 0.13% | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% |
| Interest and fees on short-term floating rate notes issued4 | | 0.07% | | 0.06% | | 0.07% | | 0.13% | | 0.11% | | 0.16% |
| | |
| Total expenses | | 1.00% | | 0.97% | | 0.95% | | 1.03% | | 0.89% | | 0.98% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.00% | | 0.97% | | 0.95% | | 1.03% | | 0.88% | | 0.97% |
|
| Portfolio turnover rate | | 9% | | 6% | | 12% | | 6% | | 10% | | 15% |
|
| 38 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related 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 B | | Six Months
Ended
January 31,
2017
(Unaudited) | | Year Ended
July 31, 2016 | | Year Ended
July 31, 2015 | | Year Ended
July 31, 2014 | | Year Ended
July 31, 2013 | | Year Ended
July 31, 2012 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.66 | | $10.49 | | $10.37 | | $10.52 | | $11.47 | | $10.59 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income1 | | 0.22 | | 0.51 | | 0.55 | | 0.59 | | 0.51 | | 0.54 |
| Net realized and unrealized gain (loss) | | (0.36) | | 0.19 | | 0.10 | | (0.22) | | (0.95) | | 0.91 |
| | |
| Total from investment operations | | (0.14) | | 0.70 | | 0.65 | | 0.37 | | (0.44) | | 1.45 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.24) | | (0.53) | | (0.53) | | (0.52) | | (0.51) | | (0.57) |
|
| Net asset value, end of period | | $10.28 | | $10.66 | | $10.49 | | $10.37 | | $10.52 | | $11.47 |
| | |
| | |
|
|
| Total Return, at Net Asset Value2 | | (1.53)% | | 7.04% | | 6.27% | | 3.75% | | (4.03)% | | 14.02% |
|
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $3,851 | | $5,686 | | $11,078 | | $16,828 | | $26,479 | | $41,662 |
|
| Average net assets (in thousands) | | $4,542 | | $7,651 | | $14,523 | | $20,693 | | $35,453 | | $44,543 |
|
| Ratios to average net assets:3 | | | | | | | | | | | | |
| Net investment income | | 4.18% | | 4.89% | | 5.14% | | 5.82% | | 4.47% | | 4.86% |
| Expenses excluding specific expenses listed below | | 1.56% | | 1.55% | | 1.53% | | 1.56% | | 1.53% | | 1.54% |
| Interest and fees from borrowings | | 0.13% | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% |
| Interest and fees on short-term floating rate notes issued4 | | 0.07% | | 0.06% | | 0.07% | | 0.13% | | 0.11% | | 0.16% |
| | |
| Total expenses | | 1.76% | | 1.72% | | 1.71% | | 1.83% | | 1.73% | | 1.82% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.76% | | 1.72% | | 1.71% | | 1.83% | | 1.72% | | 1.81% |
|
| Portfolio turnover rate | | 9% | | 6% | | 12% | | 6% | | 10% | | 15% |
|
| 40 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related 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 |
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 31,
2017
(Unaudited) | | Year Ended
July 31, 2016 | | Year Ended
July
31, 2015 | | Year Ended
July 31, 2014 | | Year Ended
July 31, 2013 | | Year Ended
July 31, 2012 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.64 | | $10.47 | | $10.36 | | $10.51 | | $11.45 | | $10.58 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income1 | | 0.22 | | 0.51 | | 0.55 | | 0.60 | | 0.52 | | 0.54 |
| Net realized and unrealized gain (loss) | | (0.36) | | 0.19 | | 0.09 | | (0.22) | | (0.94) | | 0.91 |
| | |
| Total from investment operations | | (0.14) | | 0.70 | | 0.64 | | 0.38 | | (0.42) | | 1.45 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.24) | | (0.53) | | (0.53) | | (0.53) | | (0.52) | | (0.58) |
|
| Net asset value, end of period | | $10.26 | | $10.64 | | $10.47 | | $10.36 | | $10.51 | | $11.45 |
| | |
| | |
|
|
| Total Return, at Net Asset Value2 | | (1.52)% | | 7.06% | | 6.19% | | 3.79% | | (3.88)% | | 14.01% |
|
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $207,042 | | $220,769 | | $226,296 | | $236,269 | | $304,243 | | $332,380 |
|
| Average net assets (in thousands) | | $215,219 | | $221,129 | | $239,680 | | $255,808 | | $342,161 | | $302,122 |
|
| Ratios to average net assets:3 | | | | | | | | | | | | |
| Net investment income | | 4.11% | | 4.84% | | 5.17% | | 5.84% | | 4.55% | | 4.89% |
| Expenses excluding specific expenses listed below | | 1.55% | | 1.55% | | 1.52% | | 1.52% | | 1.46% | | 1.46% |
| Interest and fees from borrowings | | 0.13% | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% |
| Interest and fees on short-term floating rate notes issued4 | | 0.07% | | 0.06% | | 0.07% | | 0.13% | | 0.11% | | 0.16% |
| | |
| Total expenses | | 1.75% | | 1.72% | | 1.70% | | 1.79% | | 1.66% | | 1.74% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 1.75% | | 1.72% | | 1.70% | | 1.79% | | 1.65% | | 1.73% |
|
| Portfolio turnover rate | | 9% | | 6% | | 12% | | 6% | | 10% | | 15% |
|
| 42 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related 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.
|
| 43 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 31,
2017
(Unaudited) | | Year Ended
July 31, 2016 | | Year Ended
July 31, 2015 | | Year Ended
July 31, 2014 | | Year Ended
July 31, 2013 | | Year Ended
July 31, 2012 |
|
| Per Share Operating Data | | | | | | | | | | | | |
| Net asset value, beginning of period | | $10.68 | | $10.50 | | $10.38 | | $10.53 | | $11.48 | | $10.60 |
|
| Income (loss) from investment operations: | | | | | | | | | | | | |
| Net investment income1 | | 0.26 | | 0.60 | | 0.65 | | 0.69 | | 0.62 | | 0.64 |
| Net realized and unrealized gain (loss) | | (0.37) | | 0.20 | | 0.10 | | (0.22) | | (0.94) | | 0.92 |
| | |
| Total from investment operations | | (0.11) | | 0.80 | | 0.75 | | 0.47 | | (0.32) | | 1.56 |
|
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | |
| Dividends from net investment income | | (0.28) | | (0.62) | | (0.63) | | (0.62) | | (0.63) | | (0.68) |
|
| Net asset value, end of period | | $10.29 | | $10.68 | | $10.50 | | $10.38 | | $10.53 | | $11.48 |
| | |
| | |
|
|
| Total Return, at Net Asset Value2 | | (1.07)% | | 7.99% | | 7.23% | | 4.72% | | (3.08)% | | 15.09% |
|
|
| Ratios/Supplemental Data | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | $38,256 | | $30,357 | | $29,137 | | $26,322 | | $32,754 | | $28,701 |
|
| Average net assets (in thousands) | | $33,161 | | $28,378 | | $30,378 | | $28,437 | | $34,321 | | $20,110 |
|
| Ratios to average net assets:3 | | | | | | | | | | | | |
| Net investment income | | 5.00% | | 5.73% | | 6.07% | | 6.75% | | 5.46% | | 5.70% |
| Expenses excluding specific expenses listed below | | 0.66% | | 0.65% | | 0.62% | | 0.62% | | 0.55% | | 0.56% |
| Interest and fees from borrowings | | 0.13% | | 0.11% | | 0.11% | | 0.14% | | 0.09% | | 0.12% |
| Interest and fees on short-term floating rate notes issued4 | | 0.07% | | 0.06% | | 0.07% | | 0.13% | | 0.11% | | 0.16% |
| | |
| Total expenses | | 0.86% | | 0.82% | | 0.80% | | 0.89% | | 0.75% | | 0.84% |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | 0.86% | | 0.82% | | 0.80% | | 0.89% | | 0.74% | | 0.83% |
|
| Portfolio turnover rate | | 9% | | 6% | | 12% | | 6% | | 10% | | 15% |
|
| 44 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related 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.
|
| 45 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS January 31, 2017 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.
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.
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,
|
| 46 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
2. Significant Accounting Policies (Continued)
are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
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. The Fund has analyzed its tax positions for the fiscal year ended July 31, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
During the fiscal year ended July 31, 2016, 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, 2016 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.
|
| 47 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
| |
| 2017 | | $ | 48,870,545 | |
| 2018 | | | 43,078,455 | |
| No expiration | | | 35,828,202 | |
| | | | |
| Total | | $ | 127,777,202 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $91,949,000 expiring by 2018 and $41,822,120, 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 | | $ | 892,843,1251 | |
| | | | |
| Gross unrealized appreciation | | $ | 40,286,083 | |
| Gross unrealized depreciation | | | (153,613,578) | |
| | | | |
| Net unrealized depreciation | | $ | (113,327,495) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $41,125,072, 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.
Recent Accounting Pronouncement. In October 2016, the Securities and Exchange
|
| 48 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
2. Significant Accounting Policies (Continued)
Commission (“SEC”) adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in, and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. OFI Global is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at 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:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Fund’s assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded. If the official closing price or last sales 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.
|
| 49 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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 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
|
| 50 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
3. Securities Valuation (Continued)
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 | | $ | — | | | $ | 542,836,196 | | | $ | 1,655,481 | | | $ | 544,491,677 | |
U.S. Possessions | | | — | | | | 274,821,294 | | | | 1,327,731 | | | | 276,149,025 | |
| | | | |
| Total Assets | | $ | — | | | $ | 817,657,490 | | | $ | 2,983,212 | | | $ | 820,640,702 | |
| | | | |
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.
|
| 51 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 out
of Level 2* | | | Transfers into
Level 3* | |
| Assets Table | | | | | | | | |
| Investments, at Value: | | | | | | | | |
| Municipal Bonds and Notes | | | | | | | | |
U.S. Possessions | | $ | (1,353,378) | | | $ | 1,353,378 | |
| | | | |
| Total Assets | | $ | (1,353,378) | | | $ | 1,353,378 | |
| | | | |
* Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities.
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
|
| 52 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
4. Investments and Risks (Continued)
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 to 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 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
|
| 53 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 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
|
| 54 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
4. Investments and Risks (Continued)
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 $62,301,757 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $41,395,000 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 | | | 15.160% | | | | 11/1/31 | | | $ | 4,492,150 | |
| 7,980,000 | | Chester County, PA IDA (Water Facilities Authority) Tender Option Bond Series 2015-XF2128 Trust3 | | | 10.109 | | | | 2/1/41 | | | | 7,980,000 | |
| 3,000,000 | | PA GO Tender Option Bond Series 2016-XF0534 Trust | | | 10.463 | | | | 6/1/22 | | | | 4,310,220 | |
| 3,230,000 | | PA Southcentral General Authority (Hanover Hospital) Tender Option Bond Series 2015-XF2131 Trust3 | | | 20.534 | | | | 6/1/29 | | | | 4,124,387 | �� |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 20,906,757 | |
| | | | | | | | | | | | | | |
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 $41,395,000 or 4.98% of its total assets at period end.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase
|
| 55 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 sold securities issued on a delayed delivery basis as follows:
| | | | |
| | | When-Issued or
Delayed Delivery
Basis Transactions | |
| |
| Sold securities | | | $70,697 | |
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 | | | $95,408,731 | | | | | |
| Market Value | | | $37,042,452 | | | | | |
| Market Value as % of Net Assets | | | 4.95% | | | | | |
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 $22,301,130, representing 2.98% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. The Fund invests a large percentage of its total assets in obligations of issuers within its respective state and U.S. territories. Risks may arise from geographic concentration in any state, commonwealth or territory, such as Puerto Rico, the U.S. Virgin Islands, Guam or the Northern Mariana Islands. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory such as ongoing developments in Puerto Rico may impair the ability of certain issuers of municipal securities to
|
| 56 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
4. Investments and Risks (Continued)
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.
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:
|
| 57 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
6. Shares of Beneficial Interest (Continued)
| | | | | | | | | | | | | | | | |
| | | Six Months Ended January 31, 2017 | | | Year Ended July 31, 2016 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| Class A | | | | | | | | | | | | | | | | |
| Sold | | | 2,838,488 | | | $ | 29,725,413 | | | | 4,395,258 | | | $ | 46,102,334 | |
| Dividends and/or distributions reinvested | | | 1,097,898 | | | | 11,503,040 | | | | 2,480,172 | | | | 26,014,670 | |
| Redeemed | | | (4,693,844 | ) | | | (49,100,734 | ) | | | (10,183,046 | ) | | | (107,011,705 | ) |
| Net decrease | | | (757,458 | ) | | $ | (7,872,281 | ) | | | (3,307,616 | ) | | $ | (34,894,701 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class B | | | | | | | | | | | | | | | | |
| Sold | | | 68 | | | $ | 708 | | | | 6,434 | | | $ | 67,303 | |
| Dividends and/or distributions reinvested | | | 8,421 | | | | 88,294 | | | | 32,572 | | | | 341,402 | |
| Redeemed | | | (167,193 | ) | | | (1,767,231 | ) | | | (562,180 | ) | | | (5,888,446 | ) |
| Net decrease | | | (158,704 | ) | | $ | (1,678,229 | ) | | | (523,174 | ) | | $ | (5,479,741 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class C | | | | | | | | | | | | | | | | |
| Sold | | | 979,615 | | | $ | 10,265,451 | | | | 2,066,439 | | | $ | 21,629,265 | |
| Dividends and/or distributions reinvested | | | 409,753 | | | | 4,282,437 | | | | 932,513 | | | | 9,756,871 | |
| Redeemed | | | (1,949,257 | ) | | | (20,300,682 | ) | | | (3,877,722 | ) | | | (40,534,036 | ) |
| Net decrease | | | (559,889 | ) | | $ | (5,752,794 | ) | | | (878,770 | ) | | $ | (9,147,900 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
| Class Y | | | | | | | | | | | | | | | | |
| Sold | | | 1,400,781 | | | $ | 14,550,080 | | | | 1,061,869 | | | $ | 11,166,397 | |
| Dividends and/or distributions reinvested | | | 75,731 | | | | 793,044 | | | | 143,040 | | | | 1,501,125 | |
| Redeemed | | | (602,400 | ) | | | (6,261,999 | ) | | | (1,137,609 | ) | | | (11,937,147 | ) |
| Net increase | | | 874,112 | | | $ | 9,081,125 | | | | 67,300 | | | $ | 730,375 | |
| | | | | | | | | | | | | | | | |
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 | | $ | 106,463,896 | | | $ | 75,391,748 | |
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 | |
|
| 58 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
8. Fees and Other Transactions with Affiliates (Continued)
The Fund’s effective management fee for the reporting period was 0.51% 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 | | | 7,269 | |
| Accumulated Liability as of January 31, 2017 | | | 52,543 | |
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
|
| 59 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
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.
|
| 60 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 31, 2017 | | | $55,945 | | | | $— | | | | $1,429 | | | | $9,002 | |
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 (0.9238% 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
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NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Borrowings and Other Financing (Continued)
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 0.11% 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 at an interest rate of 0. 9238%.
Details of the borrowings for the reporting period are as follows:
| | | | |
| Average Daily Loan Balance | | $ | 25,367,935 | |
| Average Daily Interest Rate | | | 0.767 | % |
| Fees Paid | | $ | 132,369 | |
| Interest Paid | | $ | 81,073 | |
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 0.02% 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
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| 62 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
9. Borrowings and Other Financing (Continued)
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:
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| 63 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 Managers 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. 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.
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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 the Sub-Adviser has 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 and risk management services, 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 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 and five-year performance was better than its category median although its three-year and 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 muni Pennsylvania 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 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
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| 65 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
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 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, 2017. 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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| 67 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
DISTRIBUTION SOURCES Unaudited
For any distribution that took place over 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 | | | 8/23/16 | | | | 0.0% | | | | 0.0% | | | | 100.0% | |
| Oppenheimer Rochester Pennsylvania Municipal Fund | | | 9/27/16 | | | | 0.0% | | | | 0.3% | | | | 99.7% | |
| Oppenheimer Rochester Pennsylvania Municipal Fund | | | 10/25/16 | | | | 83.8% | | | | 0.0% | | | | 16.2% | |
| Oppenheimer Rochester Pennsylvania Municipal Fund | | | 11/22/16 | | | | 86.6% | | | | 6.9% | | | | 6.5% | |
| Oppenheimer Rochester Pennsylvania Municipal Fund | | | 1/24/17 | | | | 76.6% | | | | 0.1% | | | | 23.3% | |
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| 68 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND
| | |
| Trustees and Officers | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee |
| | Beth Ann Brown, 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 |
| | Scott S. Cottier, Vice President |
| | Troy E. Willis, Vice President |
| | Mark R. DeMitry, Vice President |
| | Michael L. Camarella, Vice President |
| | Elizabeth Mossow, Vice President |
| | Charles S. Pulire, Vice President |
| | Richard Stein, Vice President |
| | Cynthia Lo Bessette, Secretary and Chief Legal Officer |
| | Jennifer Foxson, 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. |
© 2017 OppenheimerFunds, Inc. All rights reserved.
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| 69 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,SM our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use. |
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 educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.
Right of Refusal
We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.
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| 70 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.
| ● | | 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, safeguard that information. 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 November 2016. 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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| 71 OPPENHEIMER ROCHESTER PENNSYLVANIA MUNICIPAL FUND |
OppenheimerFunds®
The Right Way
to Invest
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 | | |
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| | Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc. 225 Liberty Street, New York, NY 10281-1008 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved. RS0740.001.0117 March 24, 2017 |
Table of Contents
Class A Shares
AVERAGE ANNUAL TOTAL RETURNS AT 1/31/17
| | | | | | |
| | | Class A Shares of the Fund | | |
| | | Without Sales Charge | | With Sales Charge | | Bloomberg Barclays
Municipal Bond Index |
6-Month | | -2.50% | | -7.13% | | -3.34% |
1-Year | | 5.89 | | 0.86 | | -0.28 |
5-Year | | 6.47 | | 5.44 | | 2.94 |
10-Year | | 1.20 | | 0.71 | | 4.34 |
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.
2 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
An Important Update
to the Fund Performance Discussion
Update (as of March 24, 2017): In the weeks that followed the end of this reporting period, several developments occurred that we believe warrant attention from this Fund’s shareholders.
Securities backed by Puerto Rico’s sales and use tax (COFINAs) were paid their full coupon payment on February 1 as were bonds issued by the Puerto Rico Industrial Development Company, PRASA (the Commonwealth’s aqueduct and sewer authority) and PRHTA (its highways and transportation authority). According to Puerto Rico officials, the Government Development Bank failed to make a February 1 payment of $279 million, and other authorities – including the Public Finance Corporation and the Commonwealth’s infrastructure finance authority – also skipped their much smaller payments.
Gov. Ricardo Rosselló Nevares announced on February 9 that the $1.4 million interest payment that was due on G.O. bonds on February 1 would be paid from a Banco Popular account into which $146 million of “clawback” money had been deposited.
In early February, the governor signed legislation to add a non-binding “status referendum” to the calendar. On June 11, Puerto Ricans will be asked to vote for either statehood or independence/free association. The outcome could set the stage for an additional referendum in October. However, a member of the opposition party has appealed to U.S. Attorney General Jeff Sessions to intervene because the June 11 referendum fails to give Puerto Ricans the option to vote to remain a commonwealth.
In his State of the Commonwealth speech on February 27, 2017, Gov. Rosselló discussed his forthcoming 10-year fiscal plan, which he said would lead to economic growth and an additional $1.5 billion in revenue. The plan did not include many of the austerity measures that had been discussed, including layoffs to reduce the government payroll. In fact, one of the plan’s proposals calls for a minimum wage increase for both private and public sector employees, which the governor sees as step toward economic growth.
According to the plan, government spending would decrease by $1.5 billion, and $1.2 billion would be set aside for debt service obligations by fiscal 2019. The plan did not meet the Oversight Board’s requirement that there be $4.5 billion in fiscal adjustments to close the fiscal 2019 budget gap.
In early March the Oversight Board rejected the governor’s plan, calling it “unrealistic.” The Board called for emergency spending cuts on March 8 based on its concerns about the Commonwealth’s liquidity issues. In a letter to the governor, the Board wrote: “While we
3 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
appreciate your focus on addressing Puerto Rico’s long-term fiscal and economic challenges, we think far more needs to be done immediately to reduce spending.” The governor responded with “appreciation” for the board’s input and assertions that his plan already addressed issues related to taxes and spending.
On March 13, 2017, the Oversight Board approved an amended fiscal plan and established a number of milestones for the Rosselló administration. With the Board’s approval, the governor was able to avoid furloughs. The Board has said it will revisit the need for furloughs if the plan’s revenue measures fail to work by October 2017. The current plan calls for approximately $7 billion in debt payments through fiscal year 2026. As one member of the Oversight Board explained, the approval of this plan “is certainly not the end of the process.” He went on to say that it is not “even the beginning of the end of the process,” according to The Bond Buyer.
The stay that prevents creditors from suing the Commonwealth for non-payment is set to expire May 1. The governor has asked that the stay be extended to December 31, but Puerto Rico’s resident commissioner has said that another extension was unlikely.
Representatives of the Puerto Rican government, the Oversight Board and bondholders appeared before the House Natural Resources Committee’s Subcommittee on Indian, Insular, and Alaska Native Affairs on March 22. The subcommittee heard testimony about the Oversight Board and about the restructuring agreement between forbearing bondholders and PREPA (the Commonwealth’s electric utility authority). Earlier in the month, the governor nominated Ricardo Ramos to be PREPA’s new executive director.
As always, our team is focused on developments that have the potential to affect this Fund’s holdings and will continue to work to protect our shareholders’ best interests.
4 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Fund Performance Discussion
Oppenheimer Rochester High Yield Municipal Fund continued to generate high levels of tax-free income during the most recent 6-month reporting period, despite post-Election Day volatility in the municipal bond market. As of January 31, 2017, the Class A shares provided a distribution yield of 6.02% at net asset value (NAV). Falling bond prices in the last 2 months of the reporting period, however, caused the Fund’s NAV to decline, and its total return for the reporting period was negative. The Fund’s Class A shares nonetheless outperformed the Bloomberg Barclays Municipal Bond Index, its benchmark, by 84 basis points.
MARKET OVERVIEW
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| The Federal Reserve Open Market Committee (FOMC) decided to maintain the target range for the Fed Funds rate at 0.50% to 0.75% at its January 2017 meeting. The FOMC cited “realized and expected labor market conditions and inflation” as factors in its decision, which it expects to support further job gains. Improvements in the labor market were also discussed at the FOMC’s meetings in September and November 2016. The FOMC last increased the Fed Funds target rate at its December 2016 meeting. Simultaneously, the | | | | | | The average 12-month distribution yield in Lipper’s High Yield Municipal Debt Funds category was 3.87% at the end of this reporting period. At 6.45%, the 12-month distribution yield at NAV for this Fund’s Class A shares was 258 basis points higher than the category average. | | |
| | | | | | Fed increased its forecast to three rate hikes in 2017, from an earlier projection of two. | | |
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YIELDS & DISTRIBUTIONS FOR CLASS A SHARES | | | | |
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Dividend Yield w/o sales charge | | | 6.02 | % |
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Dividend Yield with sales charge | | | 5.73 | |
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Standardized Yield | | | 7.95 | |
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Taxable Equivalent Yield | | | 14.05 | |
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Last distribution ( 1/24/17 ) | | $ | 0.035 | |
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Total distributions (8/1/16 to 1/31/17) | | $ | 0.216 | |
Endnotes for this discussion begin on page 18 of this report.
5 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
One reason given for potential future rate hikes is to prevent both rapidly falling unemployment rates and the inflation that could ensue as employers increase wages to attract available workers.
In a speech given at the end of the reporting period, Chairman Yellen said that determining the appropriate level of interest rates going forward is “highly uncertain” given domestic productivity questions, global growth uncertainty, and possible fiscal policy changes.
The rate was last increased in December 2015, after nearly 7 years of being held to a range of zero to 0.25%.
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.
High-grade municipal bonds came under pricing pressure, notably after Election Day, and the yield curve for these securities was higher on January 31, 2017 than it had been on July 31, 2016. The median yield on 30-year, AAA-rated muni bonds stood at 3.19% on January 31, 2017, up 92 basis points from July 31, 2016. The median yield on 10-year, AAA-rated muni bonds was 2.37% on January 31, 2017, up 59 basis points from the July 2016 date, and the median yield on 1-year, AAA-rated muni bonds was 0.93%, up 48 basis points from the July 2016 date.
FUND PERFORMANCE
Oppenheimer Rochester High Yield Municipal Fund held more than 1,100 securities as of January 31, 2017. 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.
At the end of the reporting period, the Class A shares of this Fund provided a distribution yield at NAV of 6.02%. The 12-month distribution yield at NAV of this Fund’s Class A shares was the second highest in Lipper’s High Yield Municipal Debt Funds category as of January 31, 2017, trailing only the 12-month distribution yield of this Fund’s Y shares. At 6.45% on that date, the 12-month distribution yield at NAV for this Fund’s Class A shares was 258 basis points higher than the category average, which was 3.87%.
During this reporting period, challenging market conditions created pressure on the dividends of many fixed income funds. This Fund’s Class A dividend, which was 3.7 cents per share at the outset of this reporting period, was reduced to 3.5 cents per share beginning with the November 2016 payout. In all, the Fund distributed 21.6 cents per Class A share this reporting period.
Nonetheless, the tax-exempt status of the Fund’s distributions of net income remained a boon to investors seeking 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
6 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
14.05%, based on the Fund’s standardized yield as of January 31, 2017 and the top federal income tax rates for 2016. As long-time investors know, yields and share prices move in opposite directions. When yields on fixed income bonds rise, share prices fall and vice versa. 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 (MSA), the national litigation settlement with U.S. tobacco manufacturers, represented 20.6% of the Fund’s total assets (20.9% 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 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 13.6% of the Fund’s total assets (13.8% 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 MSA and included in this Fund’s tobacco holdings. The Fund’s Puerto Rico holdings include general obligation (G.O.) securities, which are 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.
Investors should note that some of this Fund’s investments in securities issued in Puerto Rico, including some of its G.O. holdings, are insured. In some cases, the debt-service obligations on insured securities were paid in full or in part by the insurer. A complete listing of securities held by this Fund can be found in this report’s Statement of Investments.
The Commonwealth of Puerto Rico remained in the headlines throughout this reporting period, and more detailed information about the developments covered below can be found on our online PR Roundup (oppenheimerfunds.com/puerto-rico).
On the last day of August 2016, the Obama administration announced the seven members of the federal oversight board established by the Puerto Rico Oversight, Management and Economic Stability Act, aka PROMESA. As investors may recall, PROMESA requires the government of Puerto Rico to develop a new
7 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
fiscal plan, to develop and enact balanced budgets (and legislation) that conform to the fiscal plan, to deliver audited financial results in a timely fashion, and to regain access to financial markets.
The new law also called for the establishment of a Congressional Task Force on Economic Growth for Puerto Rico. The task force’s initial status report voiced concerns about “the relative lack of reliable data pertaining to certain aspects of the economic, financial, and fiscal situation in Puerto Rico.” In its year-end report, the task force reached bipartisan recommendations on various measures for Puerto Rico’s economic growth, including an “equitable and sustainable legislative solution to the financing of Puerto Rico’s Medicaid program” by early 2017.
We note that PROMESA – which was passed with rare bipartisan support and signed into law on June 30, 2016 – tries to balance the interests of many stakeholders. We were pleased that a federal control board was established. As the fiscal turnarounds of New York City and Washington, D.C. demonstrate, a responsible control board can guide a troubled municipality to a stronger future. The law also seeks to prevent the government of Puerto Rico from exercising “any control, supervision, oversight, or review” over the federal control board and makes it clear that neither Puerto Rico’s governor nor its legislature can “enact, implement, or enforce any statute, resolution, policy, or rule that would impair or defeat the purposes” of PROMESA.
On October 14, Gov. Alejandro García Padilla presented a fiscal plan to the federal oversight board. According to press reports, Padilla’s plan called for the Commonwealth’s government to improve financial reporting, consolidate branches of government, relax regulations and encourage investors to finance an assortment of projects.
At the meeting, the Commonwealth’s Treasury Secretary said that Puerto Rico had nearly $1 billion in unpaid bills and had written – but not sent – checks totaling $350 million. Carlos Garcia, a member of the oversight board, took issue with the government’s assessment of the situation, noting that Puerto Rico had “high tax collections” but was not providing essential services or paying its vendors or debt service obligations in full.
Austerity measures, Gov. Padilla claimed, would have “terrible consequences … on the well-being of the Puerto Rican people.” Among the documents shared with the oversight board was a report by the Puerto Rico Fiscal Authority Agency and Financial Advisory Authority which showed that the government’s 2014 “net position” – assets minus liabilities – was negative $50 billion, three times worse than in 2006.
The governor, whose term ended January 2, 2017, pointed a finger at many culprits, including bond ratings agencies, the U.S. Congress and the prior administrations in the Commonwealth who put forth “misguided and unscrupulous public policies.” Even though the Commonwealth tapped the
8 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
capital markets during his administration, the governor blamed bondholders for providing the financing the Commonwealth sought. Gov. Padilla renewed his appeal for federal legislation that could strengthen the Commonwealth’s economy.
In other developments, the oversight board filed a statement October 21 urging U.S. District Court Judge Francisco Besosa to deny requests from plaintiffs in three consolidated cases to have PROMESA’s stay on litigation
lifted. On November 2 the judge denied three plaintiffs’ requests, noting in one case that the plaintiffs “do not have standing to seek relief from the PROMESA stay because they show no ‘injury in fact.’” The board had argued that the “ongoing litigation is a major distraction” and asserted that time and resources “would be better spent negotiating the fiscal plans required by PROMESA.” The judge cautioned that the Commonwealth defendants “must not abuse or squander the ‘breathing room’ that the court’s decision fosters.”
9 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
10 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
In a press release issued in early November, Puerto Rico’s Treasury Secretary asserted that the Government Development Bank (the GDB) is “stable” but that its managers have “substantial doubt about the ability of the GDB to continue as a going concern.” The current stability exists, he said, because the GDB has limited weekly withdrawals to no more than $3 million. He recommended that municipalities and public corporations determine the portion of their deposits that may be “impaired” according to accounting standards. We believe politics may be at play in the Commonwealth’s decision to portray the GDB as a weakening entity.
On November 8, Ricardo Rosselló Nevares was elected governor of the Commonwealth. He is a member of the New Progressive Party and, according to a November 9 article in The Bond Buyer, his victory is expected to be a positive for bondholders. Prior to the election, Mr. Rosselló said that if bondholders can agree to extend the maturities on existing bonds, then Commonwealth issuers should agree to make their interest payments. Ahead of his inauguration, the governor-elect appointed Elías Sánchez Sifonte as his (non-voting) representative to the federal oversight board.
Immediately after his inauguration, Gov. Rosselló signed several executive orders related to fiscal and economic conditions in the Commonwealth. The first order requires immediate reductions in the operating expenses of every government agency. Additionally, no vacancies can be filled, no
new positions created and all agency-related travel must be pre-approved. Another order establishes the Federal Opportunities Center to help public agencies and non-profit community organizations obtain federal funds. The new governor has ordered the use of zero-base budgets beginning with fiscal 2018, which begins July 1, 2017; the creation of a new entity to expedite the approvals of permits and certifications for a variety of infrastructure projects, and the establishment of recruiting measures by government agencies “to increase the participation of women in management positions.”
In the first month of his administration, Gov. Rosselló tried to secure some changes to deadlines established in PROMESA. The governor’s representative on the oversight board asked his fellow board members to give the governor until February 28 to submit his fiscal plan. The board was amenable but set some conditions, including “a commitment not to take more loans to provide short-term liquidity, develop a liquidity plan and provide further financial information, among others.” Simultaneously, the board told the governor that his plan had to make spending cuts and revenue increases of $4.5 billion a year. The governor rejected many of the board’s requests and asserted that the focus should be on economic growth, not increased taxation. At the end of the month, the board agreed to extend the deadline for submitting the fiscal plan, adjusted other deadlines related to the plan, set deadlines for a number of public agencies and authorities,
11 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
and extended the stay on debt-related litigation through May 1, 2017.
Late in January, the governor signed an extension through December 2021 to a tax on foreign corporations. The Act 154 tax, which had been slated to expire at the end of 2017, was the government’s biggest source of revenue in the five months ended November 30, 2016; first-half budget results (through December 2016) indicate that the Act 154 tax was 15.2% ($132.2 million) higher than had been projected. The governor also signed a new measure, the Puerto Rico Financial Emergency and Fiscal Responsibility Act, to replace the Debt Moratorium Act, which gave Gov. Padilla the power to suspend debt payments. The new act allows Gov. Rosselló to prioritize expenditures and explicitly states that it “is inappropriate to categorically prioritize the payment of non-debt expenditures over debt service.”
Puerto Rico continued to have a mixed record regarding debt payments. As expected, Puerto Rico failed to pay $358 million of interest on its G.O. bonds on January 3, but insurers wrapped nearly $54 million of this amount, according to The Bond Buyer. It is not yet clear how the Commonwealth’s decisions about its debt-service obligations will affect the long-term outlook for the island’s residents or its bondholders (many of whom reside in Puerto Rico). Investors should note that a decline in a fund’s net investment income can create dividend pressure.
In other news, PREPA, the Commonwealth’s electric utility authority, and its forbearing bondholders, including Oppenheimer Rochester, worked throughout this reporting period to finalize a restructuring agreement whose terms were agreed on in September 2015. As investors may recall, PREPA announced in December 2015 that it had reached agreement with at least 70% of its creditors.
Prior to Election Day – but well after the July 1, 2016 deadline – then Gov. Padilla nominated five people to the board of directors of PREPA, as called for in the PREPA Revitalization Act. He also nominated three people to the Corporation for the Revitalization of Electrical Energy Authority, which is the entity that is expected to issue new bonds in accordance with the restructuring agreement between PREPA and its forbearing bondholders. While some business groups, unions and businesses have challenged the validity of the PREPA Revitalization Act, PREPA issued a statement in late October 2016 asserting its confidence that the Act is constitutional. In January, the Court of the First Instance (San Juan) upheld the constitutionality of the Act.
Also in December 2016, PREPA and its forbearing bondholders agreed to extend the restructuring agreement until March 31, 2017.
PREPA made its $192.5 million interest payment in full on January 3, 2017. Also in early January, subsidiaries of the insurer
12 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Assured Guaranty made payments of $39 million and $5 million on G.O. debt and Public Building Authority debt, respectively. Later in the month, the Commonwealth’s energy commission made a minor adjustment to the rate increase that it had approved in June 2016.
During this reporting period, S&P Global Ratings (S&P) downgraded several senior unsecured GDB bonds that had failed to make August 1, 2016 interest payments.
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.
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 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 10.5% of total assets (10.6% of net assets) at the end of this reporting period. This set of holdings included sewer utilities with 5.5% of total assets (5.5% of net assets), electric utilities with 3.6% of total assets (3.7% of net assets), water utilities with 1.3% of total assets (1.3% of net assets), and gas utilities with 0.1% of total assets (0.1% of net assets) as of January 31, 2017. Our holdings in these sectors include insured securities issued by various U.S. municipalities, as well as securities issued by PREPA and PRASA.
As of January 31, 2017, 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
13 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
period, the Special Assessment and Special Tax sectors represented 8.5% and 2.0% of the Fund’s total assets (8.6% and 2.0% 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. Two Special Tax bonds were issued in Puerto Rico.
G.O. securities comprised 6.8% of total assets (6.9% of net assets) as of January 31, 2017. At the end of this reporting period, the G.O. holdings consisted of bonds issued in various U.S. municipalities as well as bonds issued in the Commonwealth of Puerto Rico and the Northern Mariana Islands. In this Fund, some of the G.O.s issued by Puerto Rico are insured; while they have not been tested before a court, the legal protections for Puerto Rico’s G.O. debt are strong, we believe.
The sales tax sector represented 6.2% of the Fund’s total assets (6.3% of net assets) as of January 31, 2017. Puerto Rico COFINA bonds comprise approximately three-quarters of this sector’s assets, and debt-service payments on securities in this sector are paid using the issuing municipality’s sales tax revenue.
As of January 31, 2017, the Fund was invested in the hospital/healthcare sector, which represented 5.9% of total assets (6.0% 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 sector includes more than 60 securities, 2 of which were issued in Puerto Rico.
The Fund remained invested in the adult living facilities sector, which represented 5.4% of total assets (5.5% of net assets) as of January 31, 2017. These bonds, which finance various projects at senior living centers, tend to outperform in densely populated geographies with strong real estate values and in more rural areas with stable home prices.
U.S. Government obligation bonds constituted 3.4% of the Fund’s total assets (3.5% of net assets) on January 31, 2017. This sector includes any securities held by the Fund that have been pre-refunded. In a pre-refunding or a refunding, new securities with lower coupon rates are sold by a municipality to pay off debt that has higher interest rates. When a municipality issues a pre-refunding bond, a development that can only be done when the nearest call date is at least 90 days later, the proceeds are escrowed in U.S. Treasury bonds and earmarked to pay off the previously issued bond. The Treasury bonds that are purchased with the proceeds of a pre-refunding are backed by the full faith and credit of the U.S. government.
14 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Tax increment financing (TIF) bonds constituted 3.2% of the Fund’s total assets (3.3% of net assets) on January 31, 2017. 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 high levels of 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.
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. Our team also favors premium-coupon, callable bonds, which historically have been a positive for shareholders, delivering higher levels of tax-free income than shorter-maturity bonds while exhibiting less price volatility than their final maturities would suggest.
15 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
We regularly 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
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Scott S. Cottier, CFA Vice President, Senior Portfolio Manager and Team Leader |
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.
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Troy E. Willis, CFA, J.D. Vice President, Senior Portfolio Manager and Team Leader |
On behalf of the rest of the Rochester portfolio management team: Mark R. DeMitry, Michael L. Camarella, Charles S. Pulire and Elizabeth S. Mossow.
16 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
Top Holdings and Allocations
TOP TEN CATEGORIES
| | | | |
| | |
Tobacco Master Settlement Agreement | | | 20.6% | |
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Special Assessment | | | 8.5 | |
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General Obligation | | | 6.8 | |
| |
Sales Tax | | | 6.2 | |
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Hospital/Healthcare | | | 5.9 | |
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Sewer Utilities | | | 5.5 | |
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Adult Living Facilities | | | 5.4 | |
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Electric Utilities | | | 3.6 | |
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U.S. Government Obligations | | | 3.4 | |
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Tax Increment Financing (TIF) | | | 3.2 | |
Portfolio holdings are subject to change. Percentages are as of January 31, 2017 and are based on total assets.
CREDIT ALLOCATION
| | | | | | | | | | | | |
| | | NRSRO-
Rated | | | Sub-
Adviser-
Rated | | | Total | |
| | | |
AAA | | | 2.6% | | | | 1.3% | | | | 3.9% | |
| | | |
AA | | | 12.2 | | | | 0.0 | | | | 12.2 | |
| | | |
A | | | 7.2 | | | | 0.0 | | | | 7.2 | |
| | | |
BBB | | | 9.8 | | | | 4.1 | | | | 13.9 | |
| | | |
BB or lower | | | 34.4 | | | | 28.4 | | | | 62.8 | |
| | | |
Total | | | 66.2% | | | | 33.8% | | | | 100.0% | |
The percentages above are based on the market value of the securities as of January 31, 2017 and are subject to change. OppenheimerFunds, Inc., the sub-adviser, determines the credit allocation of the Fund’s assets using ratings by nationally recognized statistical rating organizations (NRSROs), such as S&P Global Ratings (S&P). For any security rated by an NRSRO other than S&P, the sub-adviser 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 HIGH YIELD MUNICIPAL FUND
Performance
DISTRIBUTION YIELDS
As of 1/31/17
| | | | |
| | | Without Sales Charge | | With Sales Charge |
Class A | | 6.02% | | 5.73% |
Class B | | 5.39 | | N/A |
Class C | | 5.45 | | N/A |
Class Y | | 6.13 | | N/A |
|
STANDARDIZED YIELDS For the 30 Days Ended 1/31/17 |
Class A | | 7.95% | | |
Class B | | 7.59 | | |
Class C | | 7.59 | | |
Class Y | | 8.52 | | |
TAXABLE EQUIVALENT YIELDS
As of 1/31/17
| | | | |
Class A | | | 14.05% | |
Class B | | | 13.41 | |
Class C | | | 13.41 | |
Class Y | | | 15.05 | |
AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class A (ORNAX) | | | 10/1/93 | | | | -2.50% | | | | 5.89% | | | | 6.47% | | | | 1.20% | | | | 4.48% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class B (ORNBX) | | | 10/1/93 | | | | -2.99 | | | | 5.06 | | | | 5.62 | | | | 0.70 | | | | 4.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class C (ORNCX) | | | 8/29/95 | | | | -2.88 | | | | 5.12 | | | | 5.66 | | | | 0.42 | | | | 3.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class Y (ORNYX) | | | 11/29/10 | | | | -2.43 | | | | 6.05 | | | | 6.63 | | | | N/A | | | | 7.54 | |
AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 1/31/17
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Inception
Date | | | 6-Month | | | 1-Year | | | 5-Year | | | 10-Year | | | Since
Inception | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class A (ORNAX) | | | 10/1/93 | | | | -7.13% | | | | 0.86% | | | | 5.44% | | | | 0.71% | | | | 4.26% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class B (ORNBX) | | | 10/1/93 | | | | -7.71 | | | | 0.09 | | | | 5.30 | | | | 0.70 | | | | 4.29 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class C (ORNCX) | | | 8/29/95 | | | | -3.82 | | | | 4.12 | | | | 5.66 | | | | 0.42 | | | | 3.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Class Y (ORNYX) | | | 11/29/10 | | | | -2.43 | | | | 6.05 | | | | 6.63 | | | | N/A | | | | 7.54 | |
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 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
18 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
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.
The Fund’s performance is compared to the performance of the Bloomberg 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 indices. Index performance includes reinvestment of income but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.
Distribution yields for Class A shares are based on dividends of $0.035 for the 25-day accrual period ended January 31, 2017. The yield without sales charge for Class A shares is calculated by dividing annualized dividends by the Class A net asset value (NAV) on January 31, 2017; for the yield with 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 $0.0315, $0.0316 and $0.0357 respectively, for the 25-day accrual period ended January 31, 2017 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, 2017 and either the maximum offering price (for Class A shares) or NAV (for the other classes) on January 31, 2017. 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 160 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 2016 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.
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
19 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
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 median 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 and a 10-year par call. The MMA benchmark is constructed using yields from a group of active primary and secondary market makers and other municipal market participants.
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 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 31, 2017.
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 31, 2017” 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 HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Actual | | Beginning Account Value August 1, 2016 | | | Ending Account Value January 31, 2017 | | | Expenses Paid During 6 Months Ended
January 31, 2017 | | | | |
Class A | | $ | 1,000.00 | | | $ | 975.00 | | | $ | 5.19 | | | | | |
Class B | | | 1,000.00 | | | | 970.10 | | | | 8.98 | | | | | |
Class C | | | 1,000.00 | | | | 971.20 | | | | 8.98 | | | | | |
Class Y | | | 1,000.00 | | | | 975.70 | | | | 4.49 | | | | | |
| | | | |
Hypothetical | | | | | | | | | | | | | | | | |
(5% return before expenses) | | | | | | | | | | | | | | | | |
Class A | | | 1,000.00 | | | | 1,019.96 | | | | 5.31 | | | | | |
Class B | | | 1,000.00 | | | | 1,016.13 | | | | 9.19 | | | | | |
Class C | | | 1,000.00 | | | | 1,016.13 | | | | 9.19 | | | | | |
Class Y | | | 1,000.00 | | | | 1,020.67 | | | | 4.59 | | | | | |
Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended January 31, 2017 are as follows:
| | | | |
| Class | | Expense Ratios | |
Class A | | | 1.04% | |
Class B | | | 1.80 | |
Class C | | | 1.80 | |
Class Y | | | 0.90 | |
22 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS January 31, 2017 Unaudited
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Municipal Bonds and Notes—109.4% | | | | | | | | | | | | |
| | Alabama—3.9% | | | | | | | | | | | | |
| | $21,895,000 | | | Jefferson County, AL Sewer1 | | | 0.000 | %2 | | | 10/01/2039 | | | $ | 16,487,592 | |
| | 30,000,000 | | | Jefferson County, AL Sewer1 | | | 0.000 | 2 | | | 10/01/2046 | | | | 22,546,800 | |
| | 20,045,000 | | | Jefferson County, AL Sewer1 | | | 0.000 | 2 | | | 10/01/2046 | | | | 15,725,302 | |
| | 17,500,000 | | | Jefferson County, AL Sewer1 | | | 0.000 | 2 | | | 10/01/2050 | | | | 13,737,675 | |
| | 50,050,000 | | | Jefferson County, AL Sewer1 | | | 0.000 | 2 | | | 10/01/2050 | | | | 37,203,166 | |
| | 8,500,000 | | | Jefferson County, AL Sewer1 | | | 5.500 | | | | 10/01/2053 | | | | 9,615,710 | |
| | 51,500,000 | | | Jefferson County, AL Sewer1 | | | 6.500 | | | | 10/01/2053 | | | | 60,396,625 | |
| | 25,000,000 | | | Jefferson County, AL Sewer1 | | | 7.000 | | | | 10/01/2051 | | | | 30,267,500 | |
| | 500,000 | | | Mobile, AL Improvement District (McGowin Park)1 | | | 5.250 | | | | 08/01/2030 | | | | 506,315 | |
| | 1,300,000 | | | Mobile, AL Improvement District (McGowin Park)1 | | | 5.500 | | | | 08/01/2035 | | | | 1,308,840 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 207,795,525 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Alaska—0.4% | | | | | | | | | | | | |
| | 1,965,208 | | | AK Industrial Devel. & Export Authority (Anchorage Sportsplex/Grace Community Church Obligated Group)3 | | | 6.120 | | | | 08/01/2031 | | | | 392,747 | |
| | 1,650,000 | | | AK Industrial Devel. & Export Authority Community Provider (Boys & Girls Home)3 | | | 5.875 | | | | 12/01/2027 | | | | 160,957 | |
| | 500,000 | | | AK Industrial Devel. & Export Authority Community Provider (Boys & Girls Home)3 | | | 6.000 | | | | 12/01/2036 | | | | 48,775 | |
| | 1,755,000 | | | AK Municipal Bond Bank Authority1 | | | 5.000 | | | | 12/01/2030 | | | | 1,954,052 | |
| | 1,365,000 | | | AK Municipal Bond Bank Authority1 | | | 5.000 | | | | 12/01/2031 | | | | 1,513,662 | |
| | 1,960,000 | | | AK Municipal Bond Bank Authority1 | | | 5.000 | | | | 12/01/2032 | | | | 2,163,507 | |
| | 2,055,000 | | | AK Municipal Bond Bank Authority1 | | | 5.000 | | | | 12/01/2033 | | | | 2,257,438 | |
| | 31,850,000 | | | AK Northern Tobacco Securitization Corp. (TASC) | | | 6.122 | 4 | | | 06/01/2046 | | | | 819,501 | |
| | 20,860,000 | | | AK Northern Tobacco Securitization Corp. (TASC) | | | 6.372 | 4 | | | 06/01/2046 | | | | 604,106 | |
| | 10,350,000 | | | Koyukuk, AK (Tanana Chiefs Conference Health Care Facility)1 | | | 7.750 | | | | 10/01/2041 | | | | 12,065,512 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 21,980,257 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Arizona—1.4% | | | | | | | | | | | | |
| | 3,916,000 | | | Buckeye, AZ Watson Road Community Facilities District | | | 6.000 | | | | 07/01/2030 | | | | 3,683,820 | |
| | 4,680,000 | | | East San Luis, AZ Community Facilities District Special Assessment (Area One)5 | | | 6.375 | | | | 01/01/2028 | | | | 3,041,345 | |
| | 140,000 | | | East San Luis, AZ Community Facilities District Special Assessment (Area Two)5 | | | 8.500 | | | | 01/01/2028 | | | | 83,980 | |
| | 260,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 5.450 | | | | 07/15/2021 | | | | 260,569 | |
| | 810,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 5.625 | | | | 07/15/2025 | | | | 811,207 | |
| | 900,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 5.800 | | | | 07/15/2030 | | | | 901,089 | |
| | 1,015,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 5.900 | | | | 07/15/2022 | | | | 1,029,514 | |
| | 335,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 6.125 | | | | 07/15/2027 | | | | 338,635 | |
| | 500,000 | | | Estrella Mountain Ranch, AZ Community Facilities District1 | | | 6.200 | | | | 07/15/2032 | | | | 504,880 | |
23 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Arizona (Continued) | | | | | | | | | | | | |
| | $199,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village)1 | | | 6.000 | % | | | 07/01/2017 | | | $ | 201,372 | |
| | 1,193,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village)1 | | | 6.375 | | | | 07/01/2022 | | | | 1,200,504 | |
| | 3,908,000 | | | Estrella Mountain Ranch, AZ Community Facilities District (Golf Village)1 | | | 6.750 | | | | 07/01/2032 | | | | 3,916,090 | |
| | 1,000,000 | | | Glendale, AZ IDA (Midwestern University Foundation)1 | | | 5.000 | | | | 07/01/2033 | | | | 1,034,670 | |
| | 7,225,000 | | | Maricopa County, AZ IDA (Christian Care Surprise) | | | 6.000 | | | | 01/01/2048 | | | | 6,653,286 | |
| | 1,870,000 | | | Maricopa County, AZ IDA (Immanuel Campus Care)5 | | | 8.500 | | | | 04/20/2041 | | | | 746,093 | |
| | 294,000 | | | Merrill Ranch, AZ Community Facilities District No. 1 Special Assessment Lien1 | | | 5.250 | | | | 07/01/2024 | | | | 294,138 | |
| | 435,000 | | | Merrill Ranch, AZ Community Facilities District No. 21 | | | 5.250 | | | | 07/15/2040 | | | | 460,234 | |
| | 262,000 | | | Merrill Ranch, AZ Community Facilities District No. 2 Special Assessment Lien1 | | | 5.250 | | | | 07/01/2024 | | | | 262,301 | |
| | 641,000 | | | Merrill Ranch, AZ Community Facilities District No. 2 Special Assessment Lien1 | | | 5.300 | | | | 07/01/2030 | | | | 641,385 | |
| | 420,000 | | | Parkway, AZ Community Facilities District No. 1 (Prescott Valley)1 | | | 5.300 | | | | 07/15/2025 | | | | 410,794 | |
| | 350,000 | | | Parkway, AZ Community Facilities District No. 1 (Prescott Valley)1 | | | 5.350 | | | | 07/15/2031 | | | | 320,848 | |
| | 1,650,000 | | | Phoenix, AZ IDA (Espiritu Community Devel. Corp.) | | | 6.250 | | | | 07/01/2036 | | | | 1,651,221 | |
| | 4,135,000 | | | Phoenix, AZ IDA (Freedom Academy)1 | | | 5.500 | | | | 07/01/2046 | | | | 3,867,466 | |
| | 1,935,000 | | | Phoenix, AZ IDA (Gourmet Boutique West) | | | 5.875 | | | | 11/01/2037 | | | | 985,147 | |
| | 925,000 | | | Pima County, AZ IDA (Christian Senior Living)1 | | | 5.050 | | | | 01/01/2037 | | | | 926,471 | |
| | 2,400,000 | | | Pima County, AZ IDA (Excalibur Charter School)1 | | | 5.500 | | | | 09/01/2046 | | | | 2,167,824 | |
| | 3,000,000 | | | Pima County, AZ IDA (New Plan Learning/OG Ohio/250 Shoup Mill Obligated Group)1 | | | 8.125 | | | | 07/01/2041 | | | | 3,035,970 | |
| | 3,315,000 | | | Pima County, AZ IDA (P.L.C. Charter Schools)1 | | | 6.000 | | | | 12/01/2036 | | | | 3,397,676 | |
| | 6,310,000 | | | Pima County, AZ IDA (P.L.C. Charter Schools)1 | | | 6.000 | | | | 12/01/2046 | | | | 6,412,664 | |
| | 5,730,000 | | | Pima County, AZ IDA (P.L.C. Charter Schools)1 | | | 7.500 | | | | 04/01/2041 | | | | 7,301,911 | |
| | 1,025,000 | | | Pima County, AZ IDA (Paideia Academies) | | | 6.000 | | | | 07/01/2035 | | | | 1,035,045 | |
| | 3,310,000 | | | Pima County, AZ IDA (Paideia Academies) | | | 6.125 | | | | 07/01/2045 | | | | 3,325,987 | |
| | 1,600,000 | | | Pima County, AZ IDA (Sonoran Science Academy)1 | | | 5.670 | | | | 12/01/2027 | | | | 1,600,864 | |
| | 1,960,000 | | | Pima County, AZ IDA (Sonoran Science Academy)1 | | | 5.750 | | | | 12/01/2037 | | | | 1,960,568 | |
| | 765,000 | | | Pinal County, AZ IDA (San Manuel Facility)1 | | | 6.250 | | | | 06/01/2026 | | | | 765,237 | |
| | 1,022,000 | | | Prescott Valley, AZ Southside Community Facilities District No. 1 | | | 7.250 | | | | 07/01/2032 | | | | 740,071 | |
| | 265,000 | | | Show Low Bluff, AZ Community Facilities District | | | 5.600 | | | | 07/01/2031 | | | | 242,191 | |
| | 41,000 | | | Show Low Bluff, AZ Community Facilities District Special Assessment | | | 5.200 | | | | 07/01/2017 | | | | 41,303 | |
| | 1,000,000 | | | Tartesso West, AZ Community Facilities District1 | | | 5.900 | | | | 07/15/2032 | | | | 1,001,720 | |
| | 695,000 | | | Tempe, AZ IDA (Tempe Life Care Village)1 | | | 6.000 | | | | 12/01/2032 | | | | 732,690 | |
| | 1,550,000 | | | Tempe, AZ IDA (Tempe Life Care Village)1 | | | 6.250 | | | | 12/01/2042 | | | | 1,639,637 | |
| | 675,000 | | | Verrado, AZ Community Facilities District No. 11 | | | 5.700 | | | | 07/15/2029 | | | | 713,759 | |
| | 1,800,000 | | | Verrado, AZ Community Facilities District No. 11 | | | 6.000 | | | | 07/15/2027 | | | | 1,943,568 | |
24 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Arizona (Continued) | | | | | | | | | | | | |
| | $610,000 | | | Verrado, AZ Community Facilities District No. 11 | | | 6.000 | % | | | 07/15/2033 | | | $ | 650,162 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 72,935,906 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Arkansas—0.1% | | | | | | | | | | | | |
| | 5,645,000 | | | Cave Springs, AR Municipal Property (Creeks Special Sewer District)3 | | | 6.250 | | | | 02/01/2038 | | | | 3,356,009 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | California—13.5% | | | | | | | | | | | | |
| | 2,500,000 | | | Adelanto, CA Public Utility Authority1 | | | 6.750 | | | | 07/01/2039 | | | | 2,720,650 | |
| | 7,300,000 | | | Alameda, CA Corridor Transportation Authority1 | | | 5.000 | | | | 10/01/2034 | | | | 8,210,237 | |
| | 750,000 | | | Alhambra, CA (Atherton Baptist Homes)1 | | | 7.625 | | | | 01/01/2040 | | | | 882,487 | |
| | 250,000 | | | Beaumont, CA Financing Authority, Series C1 | | | 5.000 | | | | 09/01/2022 | | | | 255,482 | |
| | 200,000 | | | Blythe, CA Redevel. Agency (Redevel. Project No. 1 Tax Allocation)1 | | | 6.200 | | | | 05/01/2031 | | | | 200,356 | |
| | 5,500,000 | | | Brea, CA Community Facilities District (Brea Plaza Area)1 | | | 7.375 | | | | 09/01/2039 | | | | 5,793,975 | |
| | 127,310,000 | | | CA County Tobacco Securitization Agency | | | 5.307 | 4 | | | 06/01/2046 | | | | 15,837,364 | |
| | 107,400,000 | | | CA County Tobacco Securitization Agency | | | 5.502 | 4 | | | 06/01/2050 | | | | 1,925,682 | |
| | 246,760,000 | | | CA County Tobacco Securitization Agency | | | 6.341 | 4 | | | 06/01/2055 | | | | 1,463,287 | |
| | 33,920,000 | | | CA County Tobacco Securitization Agency | | | 6.647 | 4 | | | 06/01/2046 | | | | 957,901 | |
| | 215,100,000 | | | CA County Tobacco Securitization Agency | | | 6.998 | 4 | | | 06/01/2055 | | | | 2,084,319 | |
| | 8,100,000 | | | CA County Tobacco Securitization Agency | | | 8.145 | 4 | | | 06/01/2033 | | | | 3,172,689 | |
| | 255,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.250 | | | | 06/01/2045 | | | | 255,156 | |
| | 7,000,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.250 | | | | 06/01/2046 | | | | 6,663,020 | |
| | 865,000 | | | CA County Tobacco Securitization Agency (TASC)1 | | | 5.500 | | | | 06/01/2033 | | | | 869,377 | |
| | 520,920,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.559 | 4 | | | 06/01/2050 | | | | 44,830,375 | |
| | 18,500,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.650 | 2 | | | 06/01/2041 | | | | 18,826,710 | |
| | 18,030,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 5.700 | 2 | | | 06/01/2046 | | | | 18,348,590 | |
| | 2,630,000 | | | CA County Tobacco Securitization Agency (TASC)1 | | | 5.875 | | | | 06/01/2035 | | | | 2,643,097 | |
| | 7,285,000 | | | CA County Tobacco Securitization Agency (TASC)1 | | | 5.875 | | | | 06/01/2043 | | | | 7,335,849 | |
| | 4,625,000 | | | CA County Tobacco Securitization Agency (TASC)1 | | | 6.000 | | | | 06/01/2042 | | | | 4,642,297 | |
| | 5,000,000 | | | CA County Tobacco Securitization Agency (TASC)1 | | | 6.125 | | | | 06/01/2038 | | | | 5,000,850 | |
| | 49,600,000 | | | CA County Tobacco Securitization Agency (TASC) | | | 6.399 | 4 | | | 06/01/2046 | | | | 5,124,672 | |
| | 9,125,000 | | | CA Enterprise Devel. Authority (Sunpower Corp.) | | | 8.500 | | | | 04/01/2031 | | | | 10,009,760 | |
| | 10,000,000 | | | CA GO1 | | | 4.000 | | | | 09/01/2032 | | | | 10,487,000 | |
| | 2,160,000 | | | CA GO1 | | | 5.000 | | | | 09/01/2031 | | | | 2,521,346 | |
| | 340,000,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.043 | 4 | | | 06/01/2047 | | | | 16,133,000 | |
| | 133,715,000 | | | CA Golden State Tobacco Securitization Corp. (TASC)6 | | | 5.750 | | | | 06/01/2047 | | | | 132,301,172 | |
| | 37,950,000 | | | CA Golden State Tobacco Securitization Corp. (TASC) | | | 5.750 | | | | 06/01/2047 | | | | 37,548,868 | |
| | 30,420,000 | | | CA Health Facilities Financing Authority (SJHS/SJHCN/ SJHE/SJHO Obligated Group)6 | | | 5.750 | | | | 07/01/2039 | | | | 33,075,058 | |
| | 1,835,000 | | | CA Independent Cities Finance Authority Mobile Home Park (Lamplighter Salinas)1 | | | 6.250 | | | | 07/15/2050 | | | | 1,998,187 | |
| | 10,000,000 | | | CA Infrastructure and Economic Devel. (Sanford Consortium)6 | | | 5.000 | | | | 05/15/2040 | | | | 11,184,100 | |
| | 750,000 | | | CA Municipal Finance Authority (Harbor Regional Center)1 | | | 8.500 | | | | 11/01/2039 | | | | 896,370 | |
| | 60,000 | | | CA Public Works1 | | | 6.625 | | | | 11/01/2034 | | | | 60,193 | |
25 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | California (Continued) | | | | | | | | | | | | |
| | $5,945,000 | | | CA School Finance Authority Charter School (Grimmway Schools)1 | | | 5.250 | % | | | 07/01/2051 | | | $ | 5,756,365 | |
| | 160,600,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.146 | 4 | | | 06/01/2056 | | | | 4,024,636 | |
| | 20,800,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.692 | 4 | | | 06/01/2041 | | | | 4,334,720 | |
| | 58,990,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.898 | 4 | | | 06/01/2047 | | | | 7,288,215 | |
| | 60,785,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.995 | 4 | | | 06/01/2036 | | | | 18,739,408 | |
| | 13,505,000 | | | CA Silicon Valley Tobacco Securitization Authority | | | 8.998 | 4 | | | 06/01/2047 | | | | 1,582,381 | |
| | 1,145,000 | | | CA Statewide CDA (Albert Einstein Academy) | | | 6.000 | | | | 11/01/2032 | | | | 1,167,694 | |
| | 1,730,000 | | | CA Statewide CDA (Albert Einstein Academy) | | | 6.250 | | | | 11/01/2042 | | | | 1,769,963 | |
| | 10,000 | | | CA Statewide CDA (Escrow Term)1 | | | 6.750 | | | | 09/01/2037 | | | | 10,022 | |
| | 2,019,578 | | | CA Statewide CDA (Microgy Holdings)5 | | | 9.000 | | | | 12/01/2038 | | | | 20 | |
| | 8,015,000 | | | CA Statewide CDA (Yucaipa Valley Water Reservoir) | | | 6.000 | | | | 09/02/2044 | | | | 7,547,405 | |
| | 555,300,000 | | | CA Statewide Financing Authority Tobacco Settlement | | | 5.954 | 4 | | | 06/01/2055 | | | | 4,581,225 | |
| | 4,515,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC)1 | | | 6.000 | | | | 05/01/2037 | | | | 4,548,772 | |
| | 1,010,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC)1 | | | 6.000 | | | | 05/01/2043 | | | | 1,015,030 | |
| | 100,000 | | | CA Statewide Financing Authority Tobacco Settlement (TASC)1 | | | 6.000 | | | | 05/01/2043 | | | | 100,498 | |
| | 2,500,000 | | | Calexico, CA Community Redevel. Agency Tax Allocation (Central Business District & Residential Redevel.)1 | | | 7.250 | | | | 08/01/2033 | | | | 2,975,175 | |
| | 10,465,000 | | | Cerritos, CA Community College District1 | | | 5.250 | | | | 08/01/2033 | | | | 11,509,407 | |
| | 1,440,000 | | | Coyote Canyon, CA Public Facilities Community Facilities District No. 2004-11 | | | 6.625 | | | | 09/01/2039 | | | | 1,633,838 | |
| | 7,780,000 | | | Fresno, CA Unified School District | | | 4.319 | 4 | | | 08/01/2042 | | | | 2,516,986 | |
| | 377,795,000 | | | Inland, CA Empire Tobacco Securitization Authority (TASC) | | | 6.704 | 4 | | | 06/01/2057 | | | | 2,905,244 | |
| | 750,000,000 | | | Inland, CA Empire Tobacco Securitization Authority (TASC) | | | 7.996 | 4 | | | 06/01/2057 | | | | 6,187,500 | |
| | 1,230,000 | | | Lathrop, CA Special Tax Community Facilities District No. 03-21 | | | 7.000 | | | | 09/01/2033 | | | | 1,231,943 | |
| | 1,625,000 | | | Los Angeles, CA Community Facilities District Special Tax (Legends at Cascades)1 | | | 5.750 | | | | 09/01/2040 | | | | 1,675,586 | |
| | 1,500,000 | | | Los Angeles, CA Dept. of Airports1 | | | 5.000 | | | | 05/15/2035 | | | | 1,673,265 | |
| | 31,940,000 | | | Los Angeles, CA Dept. of Airports (Los Angeles International Airport)6 | | | 5.375 | | | | 05/15/2030 | | | | 33,419,461 | |
| | 5,000,000 | | | Los Angeles, CA Dept. of Water & Power6 | | | 5.000 | | | | 07/01/2034 | | | | 5,334,250 | |
| | 21,000,000 | | | Los Angeles, CA Dept. of Water & Power1,7 | | | 5.000 | | | | 07/01/2035 | | | | 24,513,300 | |
| | 9,230,000 | | | Los Angeles, CA Regional Airports Improvement Corp. (Delta-Continental Airlines)1 | | | 9.250 | | | | 08/01/2024 | | | | 9,290,826 | |
| | 4,625,000 | | | Los Angeles, CA Unified School District1 | | | 4.000 | | | | 07/01/2033 | | | | 4,833,449 | |
| | 200,000 | | | Maywood, CA Public Financing Authority1 | | | 7.000 | | | | 09/01/2038 | | | | 200,196 | |
| | 10,000,000 | | | Northern CA Tobacco Securitization Authority (TASC) | | | 5.375 | | | | 06/01/2038 | | | | 9,722,300 | |
| | 115,975,000 | | | Northern CA Tobacco Securitization Authority (TASC) | | | 6.372 | 4 | | | 06/01/2045 | | | | 6,792,656 | |
| | 45,000 | | | Placer County, CA Improvement Bond Act 19151 | | | 6.500 | | | | 09/02/2030 | | | | 45,043 | |
| | 21,711,000 | | | River Rock, CA Entertainment Authority3 | | | 8.000 | | | | 11/01/2018 | | | | 4,233,645 | |
| | 1,750,000 | | | Riverside County, CA Redevel. Agency1 | | | 7.125 | | | | 10/01/2042 | | | | 2,112,268 | |
| | 3,805,000 | | | Sacramento County, CA Airport System1 | | | 5.250 | | | | 07/01/2033 | | | | 3,997,914 | |
26 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | California (Continued) | | | | | | | | | | | | |
| | $100,000 | | | Sacramento County, CA Special Tax Community Facilities District No. 2004-1 (McClellan Park) | | | 6.000 | % | | | 09/01/2031 | | | $ | 96,807 | |
| | 2,000,000 | | | San Buenaventura, CA Community Memorial Health Systems1 | | | 8.000 | | | | 12/01/2031 | | | | 2,407,720 | |
| | 10,000,000 | | | San Francisco, CA City & County Public Utilities Commission1 | | | 4.000 | | | | 11/01/2036 | | | | 10,376,100 | |
| | 750,000 | | | San Francisco, CA City & County Redevel. Financing Authority (Mission Bay North Redevel.)1 | | | 6.750 | | | | 08/01/2041 | | | | 904,365 | |
| | 1,000,000 | | | San Francisco, CA City & County Redevel. Financing Authority (Mission Bay North Redevel.)1 | | | 7.000 | | | | 08/01/2041 | | | | 1,215,070 | |
| | 14,880,000 | | | San Jose, CA Airport1 | | | 5.000 | | | | 03/01/2037 | | | | 14,927,318 | |
| | 7,250,000 | | | San Jose, CA Airport1 | | | 5.000 | | | | 03/01/2037 | | | | 7,272,185 | |
| | 11,270,000 | | | Santa Clara County, CA Financing Authority1 | | | 4.000 | | | | 05/15/2032 | | | | 11,845,897 | |
| | 6,000,000 | | | Santa Clara, CA Redevel. Agency Tax Allocation (Bayshore North)1 | | | 5.750 | | | | 06/01/2026 | | | | 6,738,420 | |
| | 195,570,000 | | | Southern CA Tobacco Securitization Authority | | | 6.381 | 4 | | | 06/01/2046 | | | | 16,801,419 | |
| | 41,325,000 | | | Southern CA Tobacco Securitization Authority | | | 6.398 | 4 | | | 06/01/2046 | | | | 813,276 | |
| | 143,080,000 | | | Southern CA Tobacco Securitization Authority | | | 7.098 | 4 | | | 06/01/2046 | | | | 2,629,810 | |
| | 12,115,000 | | | Stockton, CA Unified School District | | | 5.918 | 4 | | | 08/01/2038 | | | | 4,556,573 | |
| | 14,735,000 | | | Stockton, CA Unified School District | | | 5.948 | 4 | | | 08/01/2041 | | | | 4,830,133 | |
| | 17,145,000 | | | Stockton, CA Unified School District | | | 5.948 | 4 | | | 08/01/2043 | | | | 5,106,810 | |
| | 6,245,000 | | | Stockton, CA Unified School District | | | 5.997 | 4 | | | 08/01/2037 | | | | 2,462,903 | |
| | 1,335,000 | | | Susanville, CA Public Financing Authority (Utility Enterprises)1 | | | 5.875 | | | | 06/01/2035 | | | | 1,427,355 | |
| | 1,425,000 | | | Susanville, CA Public Financing Authority (Utility Enterprises)1 | | | 6.000 | | | | 06/01/2045 | | | | 1,535,409 | |
| | 3,500,000 | | | West Hollywood, CA Community Devel. Commission Tax Allocation (East Side Redevel.)1 | | | 7.500 | | | | 09/01/2042 | | | | 4,265,135 | |
| | | | | | | | | | | | | | | | 713,742,787 | |
| | Colorado—3.3% | | | | | | | | | | | | |
| | 3,100,000 | | | Base Village, CO Metropolitan District No. 21 | | | 5.750 | | | | 12/01/2046 | | | | 3,126,257 | |
| | 500,000 | | | Blue Lake, CO Metropolitan District No. 2 | | | 8.000 | | | | 12/15/2046 | | | | 499,270 | |
| | 1,185,000 | | | Brennan, CO Metropolitan District | | | 5.250 | | | | 12/01/2046 | | | | 1,073,551 | |
| | 1,025,000 | | | CO Country Club Highlands Metropolitan District3 | | | 7.250 | | | | 12/01/2037 | | | | 417,780 | |
| | 2,600,000 | | | CO Elbert and Highway 86 Metropolitan District1 | | | 5.750 | | | | 12/01/2046 | | | | 2,606,474 | |
| | 4,475,000 | | | CO Elbert and Highway 86 Metropolitan District3 | | | 7.500 | | | | 12/01/2032 | | | | 2,235,576 | |
| | 2,176,000 | | | CO Elkhorn Ranch Metropolitan District3 | | | 6.375 | | | | 12/01/2035 | | | | 1,416,119 | |
| | 1,780,000 | | | CO Fossil Ridge Metropolitan District No. 11 | | | 7.250 | | | | 12/01/2040 | | | | 1,897,978 | |
| | 14,350,000 | | | CO Health Facilities Authority (Sisters of Charity of Leavenworth Health System)6 | | | 5.000 | | | | 01/01/2044 | | | | 15,680,245 | |
| | 1,030,000 | | | CO Health Facilities Authority Health & Residential Care Facilities (Volunteers of America)1 | | | 5.300 | | | | 07/01/2037 | | | | 969,724 | |
| | 1,945,000 | | | CO Midcities Metropolitan District No. 2 | | | 7.750 | | | | 12/15/2046 | | | | 1,773,023 | |
| | 2,275,000 | | | CO Neu Towne Metropolitan District3 | | | 7.250 | | | | 12/01/2034 | | | | 603,626 | |
| | 680,000 | | | CO North Range Metropolitan District No. 21 | | | 5.500 | | | | 12/15/2018 | | | | 682,999 | |
| | 1,000,000 | | | CO North Range Metropolitan District No. 21 | | | 5.500 | | | | 12/15/2037 | | | | 986,980 | |
| | 12,585,000 | | | CO Park Valley Water and Sanitation Metropolitan District | | | 5.993 | 4 | | | 12/15/2017 | | | | 3,020,274 | |
27 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Colorado (Continued) | | | | | | | | | | | | |
| | $1,590,000 | | | CO Potomac Farms Metropolitan District | | | 7.250 | % | | | 12/01/2037 | | | $ | 1,015,199 | |
| | 248,000 | | | CO Potomac Farms Metropolitan District | | | 7.625 | 2 | | | 12/01/2023 | | | | 161,875 | |
| | 855,000 | | | CO Prairie Center Metropolitan District No. 31 | | | 5.400 | | | | 12/15/2031 | | | | 834,634 | |
| | 500,000 | | | CO Silver Peaks Metropolitan District | | | 5.750 | | | | 12/01/2036 | | | | 334,025 | |
| | 1,720,000 | | | CO Sorrell Ranch Metropolitan District5 | | | 6.750 | | | | 12/15/2036 | | | | 340,577 | |
| | 2,500,000 | | | CO STC Metropolitan District No. 2 | | | 6.000 | | | | 12/01/2038 | | | | 2,413,725 | |
| | 1,213,000 | | | CO Stoneridge Metropolitan District1 | | | 5.625 | | | | 12/01/2036 | | | | 1,260,161 | |
| | 1,615,000 | | | CO Table Mountain Metropolitan District1 | | | 5.250 | | | | 12/01/2045 | | | | 1,513,449 | |
| | 569,000 | | | CO Table Mountain Metropolitan District | | | 7.750 | | | | 12/15/2045 | | | | 540,613 | |
| | 8,000,000 | | | CO Talon Pointe Metropolitan District5 | | | 8.000 | | | | 12/01/2039 | | | | 800,000 | |
| | 3,415,000 | | | Cundall Farms, CO Metropolitan District | | | 6.875 | | | | 12/01/2044 | | | | 3,326,688 | |
| | 785,000 | | | Cundall Farms, CO Metropolitan District | | | 7.750 | | | | 12/15/2044 | | | | 719,201 | |
| | 19,515,000 | | | Denver, CO City & County Airport1 | | | 5.000 | | | | 11/15/2030 | | | | 20,021,024 | |
| | 35,375,000 | | | Denver, CO City & County Airport Special Facilities (United Air Lines)1 | | | 5.250 | | | | 10/01/2032 | | | | 35,908,809 | |
| | 26,350,000 | | | Denver, CO City & County Airport Special Facilities (United Air Lines)1 | | | 5.750 | | | | 10/01/2032 | | | | 26,812,442 | |
| | 2,000,000 | | | Erie Farm, CO Metropolitan District | | | 5.500 | | | | 12/01/2045 | | | | 1,879,860 | |
| | 600,000 | | | Erie Farm, CO Metropolitan District | | | 7.750 | | | | 12/15/2045 | | | | 565,686 | |
| | 2,065,000 | | | Hawthorn, CO Metropolitan District No. 21 | | | 6.375 | | | | 12/01/2044 | | | | 2,009,245 | |
| | 950,000 | | | Hawthorn, CO Metropolitan District No. 2 | | | 7.750 | | | | 12/15/2044 | | | | 906,519 | |
| | 1,960,000 | | | Highlands, CO Metropolitan District No. 3 | | | 5.125 | | | | 12/01/2046 | | | | 1,779,602 | |
| | 775,000 | | | Iliff Commons, CO Metropolitan District No. 3 | | | 6.000 | | | | 12/01/2046 | | | | 776,364 | |
| | 1,195,000 | | | Leyden Rock, CO Metropolitan District No. 10 | | | 7.250 | | | | 12/15/2045 | | | | 1,074,962 | |
| | 1,410,000 | | | Marvella, CO Metropolitan District | | | 5.125 | | | | 12/01/2046 | | | | 1,284,129 | |
| | 1,000,000 | | | Mountain Shadows, CO Metropolitan District1 | | | 5.000 | | | | 12/01/2046 | | | | 939,840 | |
| | 2,595,000 | | | Prairiestar, CO Metropolitan District No. 2 | | | 5.750 | | | | 12/01/2046 | | | | 2,297,068 | |
| | 3,945,000 | | | Reserve, CO Metropolitan District No. 21 | | | 5.000 | | | | 12/01/2045 | | | | 3,462,329 | |
| | 665,000 | | | Reserve, CO Metropolitan District No. 21 | | | 5.125 | | | | 12/01/2045 | | | | 584,695 | |
| | 1,035,000 | | | Southglenn, CO Metropolitan District1 | | | 5.000 | | | | 12/01/2030 | | | | 1,056,000 | |
| | 810,000 | | | Southglenn, CO Metropolitan District1 | | | 5.000 | | | | 12/01/2036 | | | | 802,499 | |
| | 725,000 | | | Tabernash Meadows, CO Water & Sanitation District1 | | | 7.125 | | | | 12/01/2034 | | | | 767,123 | |
| | 295,000 | | | Tallyns Reach CO Metropolitan District No. 31 | | | 5.000 | | | | 12/01/2033 | | | | 303,080 | |
| | 685,000 | | | Tallyns Reach CO Metropolitan District No. 31 | | | 5.125 | | | | 11/01/2038 | | | | 704,646 | |
| | 1,220,000 | | | Tallyns Reach, CO Metropolitan District No. 3 | | | 6.750 | | | | 11/01/2038 | | | | 1,178,703 | |
| | 750,000 | | | Thompsong Crossing, CO Metropolitan District No. 6 | | | 6.000 | | | | 12/01/2044 | | | | 723,038 | |
| | 1,645,000 | | | Villas Eastlake Reservoir, CO Metropolitan District1 | | | 6.500 | | | | 12/01/2046 | | | | 1,715,455 | |
| | 20,183,519 | | | Woodmen Heights, CO Metropolitan District No. 1 | | | 0.000 | 2 | | | 12/15/2041 | | | | 10,080,255 | |
| | 5,342,763 | | | Woodmen Heights, CO Metropolitan District No. 11 | | | 6.000 | | | | 12/01/2041 | | | | 5,094,057 | |
| | 1,245,000 | | | York Street, CO Metropolitan District | | | 6.250 | | | | 12/01/2047 | | | | 1,241,825 | |
| | | | | | | | | | | | | | | | 174,219,278 | |
| | Connecticut—1.0% | | | | | | | | | | | | |
| | 12,500,000 | | | CT GO1 | | | 4.000 | | | | 08/15/2030 | | | | 13,025,000 | |
| | 5,295,000 | | | CT GO1 | | | 4.000 | | | | 08/15/2031 | | | | 5,477,625 | |
| | 5,000,000 | | | CT Special Tax1 | | | 5.000 | | | | 09/01/2028 | | | | 5,840,950 | |
| | 6,000,000 | | | CT Special Tax1 | | | 5.000 | | | | 08/01/2032 | | | | 6,798,180 | |
| | 7,965,000 | | | CT Special Tax1 | | | 5.000 | | | | 08/01/2033 | | | | 8,980,378 | |
28 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Connecticut (Continued) | | | | | | | | | | | | |
| | $8,125,000 | | | CT Special Tax (Transportation Infrastructure)1 | | | 5.000 | % | | | 09/01/2030 | | | $ | 9,323,600 | |
| | 470,000 | | | Georgetown, CT Special Taxing District5 | | | 5.125 | | | | 10/01/2036 | | | | 141,005 | |
| | 1,580,000 | | | Hartford, CT GO1 | | | 5.000 | | | | 10/01/2033 | | | | 1,690,884 | |
| | 11,494,118 | | | Mashantucket Western Pequot Tribe CT16 | | | 6.050 | | | | 07/01/2031 | | | | 453,443 | |
| | | | | | | | | | | | | | | | 51,731,065 | |
| | Delaware—0.1% | | | | | | | | | | | | |
| | 1,260,000 | | | Bridgeville, DE Special Obligation (Heritage Shores)1 | | | 5.450 | | | | 07/01/2035 | | | | 1,260,075 | |
| | 7,330,000 | | | Millsboro, DE Special Obligation (Plantation Lakes) | | | 5.450 | | | | 07/01/2036 | | | | 6,156,394 | |
| | | | | | | | | | | | | | | | 7,416,469 | |
| | District of Columbia—1.8% | | | | | | | | | | | | |
| | 4,745,000 | | | District of Columbia (Howard University)1 | | | 6.250 | | | | 10/01/2032 | | | | 5,611,911 | |
| | 5,255,000 | | | District of Columbia (Howard University)1 | | | 6.250 | | | | 10/01/2032 | | | | 5,410,075 | |
| | 21,795,000 | | | District of Columbia (Howard University)1 | | | 6.500 | | | | 10/01/2041 | | | | 22,507,697 | |
| | 315,000 | | | District of Columbia (Howard University)1 | | | 6.500 | | | | 10/01/2041 | | | | 375,704 | |
| | 3,200,000 | | | District of Columbia Center for Strategic & International Studies1 | | | 6.375 | | | | 03/01/2031 | | | | 3,466,656 | |
| | 2,000,000 | | | District of Columbia Center for Strategic & International Studies1 | | | 6.625 | | | | 03/01/2041 | | | | 2,181,340 | |
| | 32,680,000 | | | District of Columbia Tobacco Settlement Financing Corp.1 | | | 6.750 | | | | 05/15/2040 | | | | 33,496,346 | |
| | 1,375,680,000 | | | District of Columbia Tobacco Settlement Financing Corp. (TASC) | | | 5.909 | 4 | | | 06/15/2055 | | | | 17,113,459 | |
| | 1,055,000,000 | | | District of Columbia Tobacco Settlement Financing Corp. (TASC) | | | 6.211 | 4 | | | 06/15/2055 | | | | 5,675,900 | |
| | | | | | | | | | | | | | | | 95,839,088 | |
| | Florida—10.2% | | | | | | | | | | | | |
| | 750,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida)1 | | | 8.000 | | | | 10/01/2032 | | | | 891,600 | |
| | 1,000,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida)1 | | | 8.000 | | | | 10/01/2042 | | | | 1,186,590 | |
| | 1,000,000 | | | Alachua County, FL Health Facilities Authority (Oak Hammock University Florida)1 | | | 8.000 | | | | 10/01/2046 | | | | 1,184,930 | |
| | 4,655,000 | | | Amelia Concourse, FL Community Devel. District5 | | | 5.750 | | | | 05/01/2038 | | | | 3,956,983 | |
| | 3,385,000 | | | Amelia Concourse, FL Community Devel. District | | | 6.000 | | | | 05/01/2047 | | | | 3,092,096 | |
| | 6,630,000 | | | Arlington Ridge, FL Community Devel. District | | | 5.500 | | | | 05/01/2036 | | | | 5,633,710 | |
| | 1,045,000 | | | Avignon Villages, FL Community Devel. District5 | | | 5.300 | | | | 05/01/2014 | | | | 135,954 | |
| | 755,000 | | | Avignon Villages, FL Community Devel. District5 | | | 5.400 | | | | 05/01/2037 | | | | 98,225 | |
| | 14,970,000 | | | Baker, FL Correctional Devel. Corp. (Detention Center) | | | 7.500 | | | | 02/01/2030 | | | | 11,348,757 | |
| | 225,000 | | | Bayshore, FL Hsg. Corp.5 | | | 8.000 | | | | 12/01/2016 | | | | 110,259 | |
| | 7,625,000 | | | Baywinds, FL Community Devel. District1 | | | 5.250 | | | | 05/01/2037 | | | | 7,037,951 | |
| | 1,745,000 | | | Baywinds, FL Community Devel. District1,7 | | | 7.020 | | | | 05/01/2022 | | | | 1,716,522 | |
| | 7,555,000 | | | Belle Isle, FL Charter School (Cornerstone Charter Academy & Cornerstone Charter High School Obligated Group)1 | | | 6.000 | | | | 10/01/2042 | | | | 8,143,157 | |
| | 2,655,000 | | | Boynton Village, FL Community Devel. District Special Assessment | | | 6.000 | | | | 05/01/2038 | | | | 2,580,846 | |
29 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Florida (Continued) | | | | | | | | | | | | |
| | $175,000 | | | Broward County, FL HFA (Single Family) | | | 5.000 | % | | | 10/01/2039 | | | $ | 175,205 | |
| | 5,845,000 | | | Buckeye Park, FL Community Devel. District5 | | | 7.875 | | | | 05/01/2038 | | | | 1,749,525 | |
| | 925,000 | | | Carlton Lakes, FL Community Devel. District Special Assessment | | | 5.625 | | | | 11/01/2036 | | | | 875,670 | |
| | 2,250,000 | | | Carlton Lakes, FL Community Devel. District Special Assessment | | | 5.750 | | | | 11/01/2047 | | | | 2,211,525 | |
| | 5,000,000 | | | Central FL Expressway Authority1 | | | 4.000 | | | | 07/01/2036 | | | | 5,086,350 | |
| | 25,390,000 | | | CFM, FL Community Devel. District, Series A5 | | | 6.250 | | | | 05/01/2035 | | | | 10,786,688 | |
| | 8,115,000 | | | Chapel Creek, FL Community Devel. District Special Assessment5 | | | 5.500 | | | | 05/01/2038 | | | | 4,827,776 | |
| | 24,013,000 | | | Clearwater Cay, FL Community Devel. District5 | | | 5.500 | | | | 05/01/2037 | | | | 13,197,065 | |
| | 1,690,000 | | | Creekside, FL Community Devel. District5 | | | 5.200 | | | | 05/01/2038 | | | | 675,290 | |
| | 20,000 | | | Crosscreek, FL Community Devel. District5 | | | 5.500 | | | | 05/01/2017 | | | | 9,995 | |
| | 1,015,000 | | | Crosscreek, FL Community Devel. District | | | 5.600 | | | | 05/01/2037 | | | | 1,003,642 | |
| | 35,000 | | | Crosscreek, FL Community Devel. District5 | | | 5.600 | | | | 05/01/2039 | | | | 17,492 | |
| | 2,185,000 | | | Crosscreek, FL Community Devel. District | | | 6.750 | | | | 11/30/2021 | | | | 2,196,165 | |
| | 55,000 | | | Dade County, FL HFA (Golden Lakes Apartments)1 | | | 6.050 | | | | 11/01/2039 | | | | 55,050 | |
| | 20,000 | | | Dade County, FL HFA (Siesta Pointe Apartments)1 | | | 5.650 | | | | 09/01/2017 | | | | 20,061 | |
| | 900,000 | | | Dade County, FL IDA (Miami Cerebral Palsy Residence)1 | | | 8.000 | | | | 06/01/2022 | | | | 899,919 | |
| | 7,745,000 | | | Deer Run, FL Community Devel. District Special Assessment5 | | | 7.625 | | | | 05/01/2039 | | | | 5,808,440 | |
| | 1,940,000 | | | Durbin Crossing, FL Community Devel. District Special Assessment3 | | | 5.250 | | | | 11/01/2020 | | | | 796,642 | |
| | 6,718,000 | | | FL Capital Trust Agency (Atlantic Hsg. Foundation) | | | 7.000 | | | | 07/15/2032 | | | | 3,358,194 | |
| | 12,500,000 | | | FL Capital Trust Agency (Atlantic Hsg. Foundation) | | | 8.260 | | | | 07/15/2038 | | | | 6,248,500 | |
| | 6,045,000 | | | FL Devel. Finance Corp. (Florida Charter Educational Foundation) | | | 5.000 | | | | 07/15/2046 | | | | 5,298,684 | |
| | 95,000 | | | FL HFA (Stoddert Arms Apartments)1 | | | 6.250 | | | | 09/01/2026 | | | | 95,110 | |
| | 3,400,000 | | | FL Lake Ashton II Community Devel. District1 | | | 5.375 | | | | 05/01/2036 | | | | 2,885,070 | |
| | 7,660,000 | | | Glades, FL Correctional Devel. Corp. (Glades County Detention)3 | | | 7.375 | | | | 03/01/2030 | | | | 780,401 | |
| | 2,980,000 | | | Greater Lakes/Sawgrass Bay, FL Community Devel. District1 | | | 5.500 | | | | 05/01/2038 | | | | 2,750,004 | |
| | 1,715,000 | | | Harbor Bay, FL Community Devel. District1 | | | 6.750 | | | | 05/01/2034 | | | | 1,716,681 | |
| | 15,910,000 | | | Heritage Harbour North, FL Community Devel. District1 | | | 6.375 | | | | 05/01/2038 | | | | 15,993,846 | |
| | 350,000 | | | Highland Meadows, FL Community Devel. District Special Assessment, Series A1 | | | 5.500 | | | | 05/01/2036 | | | | 324,313 | |
| | 5,480,000 | | | Indigo, FL Community Devel. District3 | | | 5.750 | | | | 05/01/2036 | | | | 3,339,622 | |
| | 7,875,000 | | | Lakewood Ranch, FL Stewardship District1 | | | 5.500 | | | | 05/01/2036 | | | | 7,897,916 | |
| | 18,280,000 | | | Lakewood Ranch, FL Stewardship District (Country Club East Investors)1 | | | 5.400 | | | | 05/01/2037 | | | | 17,748,418 | |
| | 3,800,000 | | | Legends Bay, FL Community Devel. District | | | 5.875 | | | | 05/01/2038 | | | | 3,513,214 | |
| | 100,000 | | | Leon County, FL Educational Facilities Authority (Southgate Residence Hall)1 | | | 6.750 | | | | 09/01/2028 | | | | 100,055 | |
| | 1,275,000 | | | Liberty County, FL Revenue (Twin Oaks)5 | | | 8.250 | | | | 07/01/2028 | | | | 114,673 | |
| | 1,180,000 | | | Madison County, FL Mtg. (Twin Oaks) | | | 6.000 | | | | 07/01/2025 | | | | 696,023 | |
| | 5,000,000 | | | Magnolia Creek, FL Community Devel. District5 | | | 5.600 | | | | 05/01/2014 | | | | 1,048,100 | |
| | 5,360,000 | | | Magnolia Creek, FL Community Devel. District5 | | | 5.900 | | | | 05/01/2039 | | | | 1,123,563 | |
30 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | |
Principal
Amount | | | | Coupon | | | Maturity | | | Value | |
Florida (Continued) | | | | | | | | | | | | |
| $2,805,000 | | Magnolia West, FL Community Devel. District Special Assessment3 | | | 5.350 | % | | | 05/01/2037 | | | $ | 1,682,215 | |
| 1,435,000 | | Main Street, FL Community Devel. District | | | 6.800 | | | | 05/01/2038 | | | | 1,423,649 | |
| 1,160,000 | | Main Street, FL Community Devel. District1 | | | 6.800 | | | | 05/01/2038 | | | | 1,243,021 | |
| 4,000,000 | | Miami-Dade County, FL School Board1 | | | 5.000 | | | | 05/01/2031 | | | | 4,512,080 | |
| 5,455,000 | | Miami-Dade County, FL School Board1 | | | 5.000 | | | | 05/01/2032 | | | | 6,098,854 | |
| 10,000,000 | | Miami-Dade County, FL School Board COP6 | | | 5.000 | | | | 02/01/2027 | | | | 10,760,000 | |
| 10,000,000 | | Miami-Dade County, FL School Board COP6 | | | 5.250 | | | | 02/01/2027 | | | | 10,809,300 | |
| 50,000,000 | | Miami-Dade County, FL School Board COP6 | | | 5.375 | | | | 02/01/2034 | | | | 54,169,500 | |
| 12,430,000 | | Montecito, FL Community Devel. District5 | | | 5.100 | | | | 05/01/2013 | | | | 9,318,771 | |
| 5,405,000 | | Montecito, FL Community Devel. District3 | | | 5.500 | | | | 05/01/2037 | | | | 4,052,128 | |
| 565,000 | | Moody River, FL Estates Community Devel. District1 | | | 5.350 | | | | 05/01/2036 | | | | 507,127 | |
| 10,060,000 | | Nassau County, FL (Nassau Care Centers) | | | 6.900 | | | | 01/01/2038 | | | | 10,159,393 | |
| 3,640,000 | | Naturewalk, FL Community Devel. District5 | | | 5.300 | | | | 05/01/2016 | | | | 2,000,362 | |
| 4,345,000 | | Naturewalk, FL Community Devel. District3 | | | 5.500 | | | | 05/01/2038 | | | | 2,387,795 | |
| 750,000 | | Orange County, FL Health Facilities Authority (Orlando Lutheran Tower)1 | | | 5.500 | | | | 07/01/2032 | | | | 750,847 | |
| 2,015,000 | | Orange County, FL Tourist Devel. Tax Revenue1 | | | 4.000 | | | | 10/01/2032 | | | | 2,093,585 | |
| 3,750,000 | | Palm Bay, FL Educational Facilities (Patriot Charter School)5 | | | 7.000 | | | | 07/01/2036 | | | | 1,499,587 | |
| 3,000,000 | | Palm Beach County, FL Health Facilities Authority (Sinai Residences Boca Raton)1 | | | 7.500 | | | | 06/01/2049 | | | | 3,507,840 | |
| 12,260,000 | | Palm Coast Park, FL Community Devel. District Special Assessment | | | 5.700 | | | | 05/01/2037 | | | | 11,596,244 | |
| 6,005,000 | | Palm Glades, FL Community Devel. District Special Assessment1 | | | 7.125 | | | | 05/01/2039 | | | | 6,039,529 | |
| 1,850,000 | | Palm River, FL Community Devel. District5 | | | 5.150 | | | | 05/01/2013 | | | | 728,178 | |
| 1,565,000 | | Palm River, FL Community Devel. District5 | | | 5.375 | | | | 05/01/2036 | | | | 616,954 | |
| 1,485,000 | | Parkway Center, FL Community Devel. District, Series A1 | | | 6.300 | | | | 05/01/2034 | | | | 1,378,258 | |
| 5,575,000 | | Pine Ridge Plantation, FL Community Devel. District | | | 5.400 | | | | 05/01/2037 | | | | 4,773,092 | |
| 2,250,000 | | Pinellas County, FL Educational Facilities Authority (Pinellas Prep Academy)1 | | | 7.125 | | | | 09/15/2041 | | | | 2,402,438 | |
| 1,805,000 | | Poinciana West, FL Community Devel. District Special Assessment1 | | | 6.000 | | | | 05/01/2037 | | | | 1,828,357 | |
| 240,000 | | Port St. Lucie, FL Special Assessment (Peacock & Lowry)1,7 | | | 5.350 | | | | 07/01/2027 | | | | 224,467 | |
| 9,600,000 | | Portico, FL Community Devel. District | | | 5.450 | | | | 05/01/2037 | | | | 8,559,936 | |
| 3,005,000 | | Portofino Cove, FL Community Devel. District Special Assessment5 | | | 5.500 | | | | 05/01/2038 | | | | 1,351,709 | |
| 5,905,000 | | Portofino Isles, FL Community Devel. District (Portofino Court)5 | | | 5.600 | | | | 05/01/2036 | | | | 1,179,110 | |
| 1,000,000 | | Portofino Landings, FL Community Devel. District Special Assessment5 | | | 5.200 | | | | 05/01/2017 | | | | 391,980 | |
| 1,955,000 | | Portofino Landings, FL Community Devel. District Special Assessment5 | | | 5.400 | | | | 05/01/2038 | | | | 766,927 | |
| 2,470,000 | | Portofino Vista, FL Community Devel. District5 | | | 5.000 | | | | 05/01/2013 | | | | 1,111,055 | |
| 400,000 | | Renaissance Commons, FL Community Devel. District, Series A1 | | | 5.600 | | | | 05/01/2036 | | | | 394,172 | |
31 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Florida (Continued) | | | | | | | | | | | | |
| | $3,420,000 | | | Reunion East, FL Community Devel. District3 | | | 5.800 | % | | | 05/01/2036 | | | $ | 34 | |
| | 1,575,000 | | | Reunion East, FL Community Devel. District | | | 6.600 | | | | 05/01/2033 | | | | 1,544,540 | |
| | 3,680,000 | | | Reunion East, FL Community Devel. District | | | 6.600 | | | | 05/01/2036 | | | | 3,562,829 | |
| | 1,425,000 | | | Reunion East, FL Community Devel. District3 | | | 7.375 | | | | 05/01/2033 | | | | 14 | |
| | 140,000 | | | Ridgewood Trails, FL Community Devel. District1 | | | 5.650 | | | | 05/01/2038 | | | | 140,020 | |
| | 2,365,000 | | | River Bend, FL Community Devel. District5 | | | 7.125 | | | | 11/01/2015 | | | | 303,193 | |
| | 7,580,000 | | | River Glen, FL Community Devel. District Special Assessment5 | | | 5.450 | | | | 05/01/2038 | | | | 3,788,181 | |
| | 160,873 | | | Santa Rosa Bay, FL Bridge Authority | | | 6.250 | | | | 07/01/2028 | | | | 131,993 | |
| | 1,895,000 | | | Sarasota County, FL Educational Facilities (School of Arts & Sciences)1 | | | 6.500 | | | | 07/01/2040 | | | | 2,020,487 | |
| | 4,000,000 | | | Seminole County, FL IDA (Progressive Health)1 | | | 7.500 | | | | 03/01/2035 | | | | 3,770,880 | |
| | 3,240,000 | | | South Bay, FL Community Devel. District3 | | | 0.000 | 2 | | | 05/01/2025 | | | | 2,512,166 | |
| | 8,750,000 | | | South Bay, FL Community Devel. District3 | | | 0.000 | 2 | | | 05/01/2036 | | | | 6,715,188 | |
| | 7,035,000 | | | South Bay, FL Community Devel. District1 | | | 5.125 | | | | 05/01/2020 | | | | 6,785,609 | |
| | 7,435,000 | | | South Bay, FL Community Devel. District1 | | | 5.950 | | | | 05/01/2036 | | | | 6,906,297 | |
| | 5,110,000 | | | South Bay, FL Community Devel. District5 | | | 5.950 | | | | 05/01/2036 | | | | 253,967 | |
| | 3,735,000 | | | South Fork East, FL Community Devel. District1 | | | 6.500 | 2 | | | 05/01/2038 | | | | 3,513,440 | |
| | 14,510,000 | | | South Miami, FL Health Facilities Authority (BHSF/ BHM/HHI/SMH/MarH/DrsH/WKBP/BOS Obligated Group)1 | | | 5.000 | | | | 08/15/2032 | | | | 14,754,639 | |
| | 30,000,000 | | | South Miami, FL Health Facilities Authority (BHSF/ BHM/HHI/SMH/MarH/DrsH/WKBP/BOS Obligated Group)1 | | | 5.000 | | | | 08/15/2042 | | | | 30,347,100 | |
| | 860,333 | | | St. Johns County, FL IDA (Glenmoor)3 | | | 2.500 | | | | 01/01/2049 | | | | 9 | |
| | 2,325,000 | | | St. Johns County, FL IDA (Glenmoor)5 | | | 5.375 | 8 | | | 01/01/2049 | | | | 1,488,000 | |
| | 3,500,000 | | | St. Johns County, FL IDA (Presbyterian Retirement)1 | | | 5.875 | | | | 08/01/2040 | | | | 4,030,320 | |
| | 3,500,000 | | | St. Johns County, FL IDA (Presbyterian Retirement)1 | | | 6.000 | | | | 08/01/2045 | | | | 4,045,195 | |
| | 1,000,000 | | | St. Johns County, FL IDA (St. John’s County Welfare Federation) | | | 5.250 | | | | 10/01/2041 | | | | 845,250 | |
| | 16,765,000 | | | Tern Bay, FL Community Devel. District5 | | | 5.000 | | | | 05/01/2015 | | | | 4,080,433 | |
| | 19,075,000 | | | Tern Bay, FL Community Devel. District5 | | | 5.375 | | | | 05/01/2037 | | | | 4,645,716 | |
| | 2,415,000 | | | Town Center, FL at Palm Coast Community Devel. District1 | | | 6.000 | | | | 05/01/2036 | | | | 2,355,301 | |
| | 4,950,000 | | | Treeline, FL Preservation Community Devel. District3 | | | 6.800 | | | | 05/01/2039 | | | | 1,485,000 | |
| | 1,265,000 | | | Villa Vizcaya, FL Community Devel. District Special Assessment5 | | | 5.550 | | | | 05/01/2039 | | | | 695,320 | |
| | 640,000 | | | Villages of Glen Creek FL Community Devel. District Community Devel. District | | | 4.750 | | | | 05/01/2026 | | | | 599,251 | |
| | 1,080,000 | | | Villages of Glen Creek FL Community Devel. District Community Devel. District | | | 5.250 | | | | 05/01/2036 | | | | 973,231 | |
| | 3,515,000 | | | Villages of Glen Creek FL Community Devel. District Community Devel. District | | | 5.375 | | | | 05/01/2046 | | | | 3,102,585 | |
| | 1,815,000 | | | Villages of Glen Creek FL Community Devel. District Community Devel. District | | | 5.375 | | | | 05/01/2046 | | | | 1,602,046 | |
| | 4,395,000 | | | Waterford Estates, FL Community Devel. District Special Assessment5 | | | 5.125 | | | | 05/01/2013 | | | | 2,635,725 | |
| | 3,350,000 | | | Waterford Estates, FL Community Devel. District Special Assessment5 | | | 5.500 | | | | 05/01/2037 | | | | 2,009,029 | |
32 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Florida (Continued) | | | | | | | | | | | | |
| | $133,000 | | | Waters Edge, FL Community Devel. District1 | | | 5.350 | % | | | 05/01/2039 | | | $ | 122,369 | |
| | 5,045,000 | | | Waters Edge, FL Community Devel. District1 | | | 6.600 | 2 | | | 05/01/2039 | | | | 4,664,859 | |
| | 14,800,000 | | | Waterstone, FL Community Devel. District5 | | | 5.500 | | | | 05/01/2018 | | | | 7,397,188 | |
| | 1,215,000 | | | West Villages, FL Improvement District5 | | | 5.350 | | | | 05/01/2015 | | | | 728,490 | |
| | 18,800,000 | | | West Villages, FL Improvement District | | | 5.500 | | | | 05/01/2038 | | | | 18,798,308 | |
| | 18,150,000 | | | West Villages, FL Improvement District5 | | | 5.800 | | | | 05/01/2036 | | | | 10,882,377 | |
| | 14,925,000 | | | Westridge, FL Community Devel. District5 | | | 5.800 | | | | 05/01/2037 | | | | 8,954,851 | |
| | 11,045,000 | | | Westside, FL Community Devel. District3 | | | 5.650 | | | | 05/01/2037 | | | | 6,624,349 | |
| | 16,135,000 | | | Westside, FL Community Devel. District3 | | | 7.200 | | | | 05/01/2038 | | | | 9,677,128 | |
| | 7,420,000 | | | Wyld Palms, FL Community Devel. District5 | | | 5.400 | | | | 05/01/2015 | | | | 1,851,809 | |
| | 4,340,000 | | | Wyld Palms, FL Community Devel. District5 | | | 5.500 | | | | 05/01/2038 | | | | 1,083,134 | |
| | 3,830,000 | | | Zephyr Ridge, FL Community Devel. District5 | | | 5.250 | | | | 05/01/2013 | | | | 1,914,081 | |
| | 2,665,000 | | | Zephyr Ridge, FL Community Devel. District5 | | | 5.625 | | | | 05/01/2037 | | | | 1,331,860 | |
| | | | | | | | | | | | | | | | 538,534,718 | |
| | Georgia—1.5% | | | | | | | | | | | | |
| | 700,000 | | | Atlanta, GA Tax Allocation (Beltline)1 | | | 7.500 | | | | 01/01/2031 | | | | 776,916 | |
| | 3,600,000 | | | Atlanta, GA Tax Allocation (Beltline)1 | | | 7.500 | | | | 01/01/2031 | | | | 3,996,108 | |
| | 1,445,000 | | | Cobb County, GA Devel. Authority (Provident Group- Creekside Properties) | | | 6.000 | | | | 07/01/2036 | | | | 1,315,383 | |
| | 5,440,000 | | | Cobb County, GA Devel. Authority (Provident Group- Creekside Properties) | | | 6.000 | | | | 07/01/2051 | | | | 4,767,453 | |
| | 1,435,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)5 | | | 5.750 | | | | 11/01/2025 | | | | 717,227 | |
| | 1,380,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)5 | | | 6.000 | | | | 11/01/2032 | | | | 689,738 | |
| | 10,625,000 | | | Franklin County, GA Industrial Building Authority (Emmanuel College)5 | | | 6.250 | | | | 11/01/2043 | | | | 5,310,481 | |
| | 31,945,000 | | | Fulton County, GA Devel. Authority (Piedmont Healthcare)6 | | | 5.000 | | | | 06/15/2029 | | | | 34,773,724 | |
| | 13,730,000 | | | Fulton County, GA Devel. Authority (Piedmont Healthcare/Piedmont Hospital/Piedmont Hospital Foundation Obligated Group)6 | | | 5.250 | | | | 06/15/2037 | | | | 15,025,806 | |
| | 2,015,000 | | | GA Environmental Loan Acquisition Corp. (Local Water Authority)1 | | | 5.125 | | | | 03/15/2031 | | | | 2,112,365 | |
| | 9,100,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 0.000 | 2 | | | 06/01/2049 | | | | 5,543,993 | |
| | 2,250,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 6.246 | 4 | | | 06/01/2024 | | | | 1,435,320 | |
| | 3,750,000 | | | GA Road & Tollway Authority (I-75 S Express Lanes) | | | 6.748 | 4 | | | 06/01/2034 | | | | 1,195,800 | |
| | 2,000,000 | | | Marietta, GA Devel. Authority (University Facilities)1 | | | 7.000 | | | | 06/15/2039 | | | | 2,055,460 | |
| | | | | | | | | | | | | | | | 79,715,774 | |
| | Hawaii—0.1% | | | | | | | | | | | | |
| | 405,000 | | | HI Dept. of Transportation (Continental Airlines)1 | | | 5.625 | | | | 11/15/2027 | | | | 406,478 | |
| | 2,020,000 | | | Kuakini, HI Health System (KMC/KHS/KGC/KSS Obligated Group) | | | 6.300 | | | | 07/01/2022 | | | | 1,950,755 | |
33 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Hawaii (Continued) | | | | | | | | | | | | |
| | $275,000 | | | Kuakini, HI Health System (KMC/KHS/KGC/KSS Obligated Group) | | | 6.375 | % | | | 07/01/2032 | | | $ | 257,037 | |
| | | | | | | | | | | | | | | | 2,614,270 | |
| | Idaho—0.0% | | | | | | | | | | | | |
| | 1,230,700 | | | Nampa, ID Local Improvement District No. 148 | | | 6.625 | | | | 09/01/2030 | | | | 1,270,612 | |
| | | | | | | | | | | | | | | | | |
| | Illinois—6.6% | | | | | | | | | | | | |
| | 300,000 | | | Annawan, IL Tax Increment (Patriot Renewable Fuels)1 | | | 5.625 | | | | 01/01/2018 | | | | 297,270 | |
| | 3,000,000 | | | Carol Stream, IL Park District1 | | | 5.000 | | | | 01/01/2037 | | | | 3,344,460 | |
| | 30,685,000 | | | Caseyville, IL Tax (Forest Lakes)3 | | | 7.000 | | | | 12/30/2022 | | | | 1,414,578 | |
| | 1,100,000 | | | Chicago, IL Board of Education | | | 5.000 | | | | 12/01/2042 | | | | 869,968 | |
| | 5,700,000 | | | Chicago, IL Board of Education1 | | | 6.000 | | | | 04/01/2046 | | | | 5,708,037 | |
| | 1,500,000 | | | Chicago, IL Board of Education | | | 6.500 | | | | 12/01/2046 | | | | 1,354,950 | |
| | 8,000,000 | | | Chicago, IL Board of Education | | | 7.000 | | | | 12/01/2044 | | | | 7,627,280 | |
| | 20,000,000 | | | Chicago, IL GO1 | | | 5.250 | | | | 01/01/2033 | | | | 19,247,600 | |
| | 3,000,000 | | | Chicago, IL Midway Airport, Series A1 | | | 5.000 | | | | 01/01/2033 | | | | 3,220,830 | |
| | 35,000 | | | Chicago, IL Multifamily Hsg. (Cottage View Terrace)1 | | | 6.125 | | | | 02/20/2042 | | | | 35,127 | |
| | 8,000,000 | | | Chicago, IL O’Hare International Airport1 | | | 5.250 | | | | 01/01/2042 | | | | 9,063,840 | |
| | 10,032,000 | | | Cortland, IL Special Tax (Sheaffer System)3 | | | 5.500 | | | | 03/01/2017 | | | | 2,001,886 | |
| | 915,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2026 | | | | 918,925 | |
| | 965,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2027 | | | | 968,291 | |
| | 1,010,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2028 | | | | 1,013,767 | |
| | 1,060,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2029 | | | | 1,063,615 | |
| | 1,120,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2030 | | | | 1,123,338 | |
| | 1,175,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2031 | | | | 1,178,396 | |
| | 2,425,000 | | | Country Club Hills, IL GO1 | | | 5.000 | | | | 12/01/2032 | | | | 2,430,820 | |
| | 1,000,000 | | | Du Page County, IL Special Service Area No. 31 Special Tax (Monarch Landing)1 | | | 5.625 | | | | 03/01/2036 | | | | 973,160 | |
| | 1,585,000 | | | Franklin Park, IL GO1 | | | 6.250 | | | | 07/01/2030 | | | | 1,828,456 | |
| | 2,223,507 | | | Gilberts, IL Special Service Area No. 24 Special Tax (Conservancy) | | | 5.375 | | | | 03/01/2034 | | | | 1,843,331 | |
| | 6,165,000 | | | Harvey, IL GO3 | | | 5.500 | | | | 12/01/2027 | | | | 3,868,538 | |
| | 1,800,000 | | | Harvey, IL GO3 | | | 5.625 | | | | 12/01/2032 | | | | 1,129,500 | |
| | 10,140,000 | | | IL Educational Facilities Authority (Plum Creek Rolling Meadows)1 | | | 6.500 | | | | 12/01/2037 | | | | 10,274,456 | |
| | 5,180,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.375 | | | | 04/01/2044 | | | | 5,474,017 | |
| | 5,820,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.375 | | | | 04/01/2044 | | | | 6,150,343 | |
| | 19,410,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.375 | | | | 04/01/2044 | | | | 20,511,702 | |
| | 21,765,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.375 | | | | 04/01/2044 | | | | 23,000,371 | |
| | 10,575,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.500 | | | | 04/01/2044 | | | | 11,223,565 | |
| | 9,425,000 | | | IL Finance Authority (Advocate Health Care)6 | | | 5.500 | | | | 04/01/2044 | | | | 10,003,035 | |
| | 365,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group)1 | | | 5.375 | | | | 04/01/2044 | | | | 386,666 | |
| | 320,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/AH&HC Obligated Group)1 | | | 5.375 | | | | 04/01/2044 | | | | 348,666 | |
| | 3,195,000 | | | IL Finance Authority (Bethel Terrace Apartments)1 | | | 5.375 | | | | 09/01/2035 | | | | 3,195,735 | |
34 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Illinois (Continued) | | | | | | | | | | | | |
| | $145,000 | | | IL Finance Authority (Bridgeway/Bridgeway Foundation/Occupation Devel. Center Obligated Group)1 | | | 4.625 | % | | | 07/01/2027 | | | $ | 121,436 | |
| | 5,000,000 | | | IL Finance Authority (CDHS/CDHA)6 | | | 5.375 | | | | 11/01/2039 | | | | 5,475,950 | |
| | 12,500,000 | | | IL Finance Authority (Central Dupage Health)6 | | | 5.500 | | | | 11/01/2039 | | | | 13,781,250 | |
| | 5,590,000 | | | IL Finance Authority (DeKalb Supportive Living)1 | | | 6.100 | | | | 12/01/2041 | | | | 5,634,049 | |
| | 2,030,000 | | | IL Finance Authority (Friendship Village Schaumburg)1 | | | 5.625 | | | | 02/15/2037 | | | | 1,982,295 | |
| | 1,000,000 | | | IL Finance Authority (Lake Forest College)1 | | | 6.000 | | | | 10/01/2048 | | | | 1,059,000 | |
| | 850,000 | | | IL Finance Authority (Luther Oaks) | | | 6.000 | | | | 08/15/2026 | | | | 850,833 | |
| | 1,500,000 | | | IL Finance Authority (Luther Oaks) | | | 6.000 | | | | 08/15/2039 | | | | 1,500,795 | |
| | 105,000 | | | IL Finance Authority (PHN/PCTC/PC&SHN/PLC/PCHN/ PSSC/PHCr/PBH/PAS/PHFBT Obligated Group )1 | | | 7.750 | | | | 08/15/2034 | | | | 121,609 | |
| | 11,050,000 | | | IL Finance Authority (PHN/PCTC/PC&SHN/PLC/PCHN/ PSSC/PHCr/PBH/PAS/PHFBT Obligated Group )1 | | | 7.750 | | | | 08/15/2034 | | | | 12,834,133 | |
| | 575,000 | | | IL Finance Authority (Rogers Park Montessori School)1 | | | 6.000 | | | | 02/01/2034 | | | | 595,907 | |
| | 1,310,000 | | | IL Finance Authority (Rogers Park Montessori School)1 | | | 6.125 | | | | 02/01/2045 | | | | 1,351,671 | |
| | 11,870,000 | | | IL Finance Authority (St. Anthony Lassing) | | | 6.500 | | | | 12/01/2032 | | | | 12,394,298 | |
| | 1,500,000 | | | IL Finance Authority (The New Admiral at the Lake) | | | 8.000 | | | | 05/15/2040 | | | | 1,675,590 | |
| | 5,775,000 | | | IL Finance Authority (The New Admiral at the Lake) | | | 8.000 | | | | 05/15/2046 | | | | 6,434,332 | |
| | 4,185,000 | | | IL Finance Authority (Villa St. Benedict)1 | | | 6.125 | | | | 11/15/2035 | | | | 4,408,144 | |
| | 4,400,000 | | | IL Finance Authority (Villa St. Benedict)1 | | | 6.375 | | | | 11/15/2043 | | | | 4,679,224 | |
| | 1,640,000 | | | IL Hsg. Devel. Authority (Stonebridge Gurnee) | | | 5.450 | | | | 01/01/2046 | | | | 1,469,407 | |
| | 1,775,000 | | | IL Hsg. Devel. Authority (Stonebridge Gurnee) | | | 5.600 | | | | 01/01/2056 | | | | 1,576,715 | |
| | 15,580,000 | | | IL Sales Tax1 | | | 4.000 | | | | 06/15/2028 | | | | 16,449,052 | |
| | 15,580,000 | | | IL Sales Tax1 | | | 4.000 | | | | 06/15/2029 | | | | 16,315,220 | |
| | 12,455,000 | | | IL Sales Tax1 | | | 4.000 | | | | 06/15/2031 | | | | 12,893,541 | |
| | 7,140,000 | | | Lake County, IL Special Service Area No. 85 | | | 7.125 | | | | 03/01/2037 | | | | 2,996,515 | |
| | 13,635,000 | | | Lombard, IL Public Facilities Corp. (Conference Center & Hotel)3 | | | 7.125 | | | | 01/01/2036 | | | | 5,984,129 | |
| | 2,950,000 | | | Manhattan, IL Special Service Area Special Tax (Groebe Farm-Stonegate)5 | | | 5.750 | | | | 03/01/2022 | | | | 530,056 | |
| | 4,000,000 | | | Manhattan, IL Special Service Area Special Tax (Groebe Farm-Stonegate)5 | | | 6.125 | | | | 03/01/2040 | | | | 718,720 | |
| | 1,778,000 | | | Manhattan, IL Special Service Area Special Tax (Lakeside Towns Liberty)5 | | | 5.750 | | | | 03/01/2022 | | | | 346,888 | |
| | 3,491,000 | | | Plano, IL Special Service Area No. 55 | | | 6.000 | | | | 03/01/2036 | | | | 2,082,905 | |
| | 5,615,000 | | | Quad Cities, IL Regional EDA (Pheasant Ridge Apartments) | | | 6.375 | | | | 08/01/2040 | | | | 4,188,509 | |
| | 162 | | | Robbins, IL Res Rec (Robbins Res Rec Partners)1 | | | 7.250 | | | | 10/15/2024 | | | | 162 | |
| | 2,500,000 | | | Southwestern IL Devel. Authority (Comprehensive Mental Health Center) | | | 6.625 | | | | 06/01/2037 | | | | 2,517,275 | |
| | 1,500,000 | | | Southwestern IL Devel. Authority (Eden Retirement Center) | | | 5.850 | | | | 12/01/2036 | | | | 1,318,545 | |
| | 11,610,000 | | | Southwestern IL Devel. Authority (Local Government Programming) | | | 7.000 | | | | 10/01/2022 | | | | 5,804,420 | |
| | 4,200,000 | | | Southwestern IL Devel. Authority (Village of Sauget)1 | | | 5.625 | | | | 11/01/2026 | | | | 3,716,370 | |
| | 8,515,000 | | | Southwestern IL Devel. Authority Solid Waste Disposal (Center Ethanol Company) | | | 8.250 | | | | 12/01/2019 | | | | 8,537,565 | |
35 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Illinois (Continued) | | | | | | | | | | | | |
| | $12,690,000 | | | Upper, IL River Valley Devel. Authority (DeerPath Huntley)1 | | | 6.500 | % | | | 12/01/2032 | | | $ | 12,934,663 | |
| | 7,620,000 | | | Upper, IL River Valley Devel. Authority (Living Springs McHenry)1 | | | 6.100 | | | | 12/01/2041 | | | | 7,680,046 | |
| | 1,900,000 | | | Will-Kankakee, IL Regional Devel. Authority (Senior Estates Supportive Living)1 | | | 7.000 | | | | 12/01/2042 | | | | 1,957,133 | |
| | | | | | | | | | | | | | | | 348,012,871 | |
| | Indiana—1.4% | | | | | | | | | | | | |
| | 2,000,000 | | | Allen County, IN Economic Devel. (StoryPoint/ SrL16/SrLW/SrLFW/SrLF Obligated Group)7 | | | 6.875 | | | | 01/15/2052 | | | | 1,988,040 | |
| | 955,000 | | | Anderson, IN Multifamily Hsg. (Cross Lakes Apartments)3 | | | 8.000 | | | | 12/01/2045 | | | | 477,404 | |
| | 1,140,000 | | | Anderson, IN Multifamily Hsg. (Cross Lakes Apartments)5 | | | 9.000 | | | | 12/01/2045 | | | | 569,886 | |
| | 4,300,000 | | | Carmel, IN Redevel. District COP1 | | | 6.500 | | | | 07/15/2035 | | | | 5,078,515 | |
| | 1,225,000 | | | Chesterton, IN Economic Devel. (Storypoint/Sr. Living 2016/Sr. Living Waterville/Sr. Living Chesterton Obligated Group) | | | 6.375 | | | | 01/15/2051 | | | | 1,194,914 | |
| | 5,805,000 | | | East Chicago, IN Solid Waste Disposal (USG Corp.)1 | | | 6.375 | | | | 08/01/2029 | | | | 5,815,913 | |
| | 1,675,000 | | | IN Finance Authority (BHI Senior Living)1 | | | 5.500 | | | | 11/15/2031 | | | | 1,806,873 | |
| | 2,850,000 | | | IN Finance Authority (BHI Senior Living)1 | | | 5.750 | | | | 11/15/2041 | | | | 3,057,508 | |
| | 11,505,000 | | | IN Finance Authority (Marian University)1 | | | 6.375 | | | | 09/15/2041 | | | | 12,626,738 | |
| | 925,000 | | | IN Finance Authority Educational Facilities (Irvington Community) | | | 9.000 | | | | 07/01/2039 | | | | 900,617 | |
| | 3,950,000 | | | IN Hsg. & Community Devel. Authority (Evergreen Village Bloomington)1 | | | 5.500 | | | | 01/01/2037 | | | | 3,665,758 | |
| | 6,225,000 | | | IN Hsg. & Community Devel. Authority (Hammond Assisted Living Community)1 | | | 5.750 | | | | 01/01/2036 | | | | 5,875,529 | |
| | 4,965,000 | | | Merrillville, IN Economic Devel. (Belvedere Hsg.)1 | | | 5.750 | | | | 04/01/2036 | | | | 4,639,544 | |
| | 14,565,000 | | | Michigan City, IN Multifamily Hsg. (Silver Birch Project)1 | | | 5.150 | | | | 01/01/2037 | | | | 13,303,817 | |
| | 2,560,000 | | | Muncie, IN Multifamily Hsg. (Silver Birch Project)1 | | | 5.250 | | | | 01/01/2037 | | | | 2,341,222 | |
| | 5,355,000 | | | Shelbyville, IN Redevel. District Tax Increment (Central Shelbyville Economic)1 | | | 6.500 | | | | 07/01/2022 | | | | 5,589,817 | |
| | 3,605,000 | | | Vincennes, IN Economic Devel. (Southwest Indiana Regional Youth Village) | | | 6.250 | | | | 01/01/2029 | | | | 3,418,117 | |
| | | | | | | | | | | | | | | | 72,350,212 | |
| | Iowa—0.4% | | | | | | | | | | | | |
| | 630,000 | | | IA Finance Authority (Amity Fellowserve) | | | 6.000 | | | | 10/01/2028 | | | | 621,123 | |
| | 940,000 | | | IA Finance Authority (Amity Fellowserve) | | | 6.375 | | | | 10/01/2026 | | | | 940,818 | |
| | 2,190,000 | | | IA Finance Authority (Amity Fellowserve) | | | 6.500 | | | | 10/01/2036 | | | | 2,190,548 | |
| | 1,160,000 | | | IA Finance Authority (Boys & Girls Home and Family Services)3 | | | 5.900 | | | | 12/01/2028 | | | | 113,158 | |
| | 855,000 | | | IA Finance Authority Senior Hsg. (Wedum Walnut Ridge)1 | | | 5.375 | | | | 06/01/2025 | | | | 779,435 | |
| | 15,230,000 | | | IA Tobacco Settlement Authority | | | 5.500 | | | | 06/01/2042 | | | | 14,850,925 | |
36 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Iowa (Continued) | | | | | | | | | | | | |
| | $3,460,000 | | | IA Tobacco Settlement Authority (TASC)1 | | | 6.500 | % | | | 06/01/2023 | | | $ | 3,456,575 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 22,952,582 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Kansas—0.0% | | | | | | | | | | | | |
| | 565,000 | | | Lenexa, KS Multifamily Hsg. (Meadows Apartments)1 | | | 7.950 | | | | 10/15/2035 | | | | 565,497 | |
| | 3,528,794 | | | Olathe, KS Tax Increment (Gateway)3 | | | 5.000 | | | | 03/01/2026 | | | | 1,410,036 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 1,975,533 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Kentucky—0.6% | | | | | | | | | | | | |
| | 1,880,000 | | | Kuttawa, KY (1st Mtg.-GF/Kentucky)7 | | | 6.750 | | | | 03/01/2029 | | | | 1,882,726 | |
| | 14,000,000 | | | KY EDFA (BHS/BHP/BHL/BHCor/BHLex/BHlthL Obligated Group)6 | | | 5.375 | | | | 08/15/2024 | | | | 14,736,540 | |
| | 1,250,000 | | | KY EDFA (Masonic Home Independent Living II)1 | | | 7.250 | | | | 05/15/2041 | | | | 1,534,600 | |
| | 1,000,000 | | | KY EDFA (Masonic Home Independent Living II)1 | | | 7.375 | | | | 05/15/2046 | | | | 1,232,820 | |
| | 1,350,000 | | | KY EDFA (Owensboro Medical Health System)1 | | | 6.500 | | | | 03/01/2045 | | | | 1,474,079 | |
| | 6,785,000 | | | KY Municipal Power Agency1 | | | 5.000 | | | | 09/01/2034 | | | | 7,496,814 | |
| | 5,000,000 | | | KY Municipal Power Agency1 | | | 5.000 | | | | 09/01/2036 | | | | 5,494,900 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 33,852,479 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Louisiana—0.7% | | | | | | | | | | | | |
| | 12,270,000 | | | East Baton Rouge Parish, LA Sewer1 | | | 5.000 | | | | 02/01/2039 | | | | 13,625,958 | |
| | 1,200,000 | | | Juban Park, LA Community Devel. District Special Assessment5 | | | 5.150 | | | | 10/01/2014 | | | | 119,808 | |
| | 9,630,000 | | | LA GO1 | | | 4.000 | | | | 09/01/2031 | | | | 10,155,413 | |
| | 11,415,000 | | | LA HFA (La Chateau)1 | | | 7.250 | | | | 09/01/2039 | | | | 11,671,723 | |
| | 555,000 | | | LA Public Facilities Authority (Progressive Healthcare)3 | | | 6.375 | | | | 10/01/2020 | | | | 11,106 | |
| | 5,350,000 | | | LA Public Facilities Authority (Progressive Healthcare)3 | | | 6.375 | | | | 10/01/2028 | | | | 107,053 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 35,691,061 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Maine—0.4% | | | | | | | | | | | | |
| | 2,000,000 | | | ME H&HEFA (Maine General Medical Center)1 | | | 6.750 | | | | 07/01/2041 | | | | 2,169,680 | |
| | 4,800,000 | | | Rumford, ME Pollution Control (Boise Cascade Corp.) | | | 6.625 | | | | 07/01/2020 | | | | 4,818,528 | |
| | 12,265,000 | | | Rumford, ME Solid Waste Disposal (Boise Cascade Corp.) | | | 6.875 | | | | 10/01/2026 | | | | 12,312,098 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 19,300,306 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Maryland—0.1% | | | | | | | | | | | | |
| | 105,000 | | | Baltimore, MD Convention Center Hotel1 | | | 5.250 | | | | 09/01/2039 | | | | 105,307 | |
| | 1,100,000 | | | Baltimore, MD Special Obligation (Center/West Devel.)1 | | | 5.375 | | | | 06/01/2036 | | | | 1,101,914 | |
| | 1,360,000 | | | Baltimore, MD Special Obligation (Center/West Devel.)1 | | | 5.500 | | | | 06/01/2043 | | | | 1,364,026 | |
| | 1,750,000 | | | Baltimore, MD Special Obligation (Harbor Point)1 | | | 5.125 | | | | 06/01/2043 | | | | 1,692,197 | |
| | 6,861,636 | | | Salisbury, MD Special Obligation (Villages at Salisbury Lake)3 | | | 3.787 | 4 | | | 01/01/2037 | | | | 749,153 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,012,597 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Massachusetts—1.8% | | | | | | | | | | | | |
| | 19,080,000 | | | MA Devel. Finance Agency (Harvard University)1 | | | 5.000 | | | | 07/15/2034 | | | | 22,510,966 | |
37 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Massachusetts (Continued) | | | | | | | | | | | | |
| | $6,905,000 | | | MA Devel. Finance Agency (Lasell College)1 | | | 6.000 | % | | | 07/01/2041 | | | $ | 7,599,574 | |
| | 1,600,702 | | | MA Devel. Finance Agency (Linden Ponds) | | | 1.009 | 4 | | | 11/15/2056 | | | | 8,004 | |
| | 4,635,000 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 4.680 | | | | 11/15/2021 | | | | 4,614,096 | |
| | 195,000 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 4.680 | | | | 11/15/2021 | | | | 191,180 | |
| | 321,825 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 5.500 | | | | 11/15/2046 | | | | 293,987 | |
| | 685,000 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 6.250 | | | | 11/15/2018 | | | | 697,268 | |
| | 2,057,748 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 6.250 | | | | 11/15/2039 | | | | 2,087,338 | |
| | 6,062,305 | | | MA Devel. Finance Agency (Linden Ponds)1 | | | 6.250 | | | | 11/15/2046 | | | | 6,127,232 | |
| | 1,000,000 | | | MA Devel. Finance Agency (VOA Concord)1 | | | 5.200 | | | | 11/01/2041 | | | | 956,740 | |
| | 8,220,000 | | | MA Educational Financing Authority, Series H1 | | | 6.350 | | | | 01/01/2030 | | | | 8,597,873 | |
| | 9,820,000 | | | MA H&EFA (Milford Regional Medical Center)1 | | | 5.000 | | | | 07/15/2032 | | | | 9,923,601 | |
| | 9,980,000 | | | MA HFA, Series A6 | | | 5.300 | | | | 06/01/2049 | | | | 10,073,413 | |
| | 13,755,000 | | | MA HFA, Series C6 | | | 5.350 | | | | 12/01/2042 | | | | 14,596,355 | |
| | 8,015,000 | | | MA HFA, Series C6 | | | 5.400 | | | | 12/01/2049 | | | | 8,042,331 | |
| | 85,000 | | | MA Port Authority (Delta Air Lines)1 | | | 5.000 | | | | 01/01/2027 | | | | 85,309 | |
| | | | | | | | | | | | | | | 96,405,267 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Michigan—1.6% | | | | | | | | | | | | |
| | 3,465,000 | | | Arts & Technology Academy Pontiac, MI Public School Academy | | | 6.000 | | | | 11/01/2046 | | | | 3,108,244 | |
| | 2,740,000 | | | Charyl Stockwell Academy, MI Public School Academy1 | | | 5.500 | | | | 10/01/2035 | | | | 2,619,714 | |
| | 4,140,000 | | | Charyl Stockwell Academy, MI Public School Academy1 | | | 5.750 | | | | 10/01/2045 | | | | 3,949,850 | |
| | 10,100,000 | | | Detroit, MI City School District6 | | | 6.000 | | | | 05/01/2029 | | | | 12,123,333 | |
| | 803,643 | | | Detroit, MI GO1 | | | 5.000 | | | | 04/01/2020 | | | | 805,677 | |
| | 906,750 | | | Detroit, MI GO1 | | | 5.000 | | | | 04/01/2021 | | | | 909,117 | |
| | 54,250 | | | Detroit, MI GO | | | 5.250 | | | | 04/01/2017 | | | | 54,402 | |
| | 350,300 | | | Detroit, MI GO1 | | | 5.250 | | | | 04/01/2020 | | | | 351,284 | |
| | 155,000 | | | Detroit, MI GO | | | 5.250 | | | | 04/01/2020 | | | | 155,059 | |
| | 342,550 | | | Detroit, MI GO | | | 5.250 | | | | 04/01/2021 | | | | 343,468 | |
| | 206,150 | | | Detroit, MI GO1 | | | 5.250 | | | | 04/01/2022 | | | | 206,616 | |
| | 15,500 | | | Detroit, MI GO | | | 5.250 | | | | 04/01/2023 | | | | 15,542 | |
| | 250,000 | | | Detroit, MI GO1 | | | 5.250 | | | | 11/01/2035 | | | | 258,423 | |
| | 1,845,000 | | | Detroit, MI Local Devel. Finance Authority | | | 6.700 | | | | 05/01/2021 | | | | 1,845,461 | |
| | 1,175,000 | | | Detroit, MI Local Devel. Finance Authority | | | 6.850 | | | | 05/01/2021 | | | | 1,175,517 | |
| | 420,000 | | | Macomb, MI Public Academy1 | | | 6.750 | | | | 05/01/2037 | | | | 420,239 | |
| | 4,800,000 | | | MI Finance Authority (HFHS/HFMHCT/HFWH/WAFMH Obligated Group)1 | | | 5.000 | | | | 11/15/2028 | | | | 5,442,192 | |
| | 200,000 | | | MI Finance Authority (HFHS/HFMHCT/HFWH/WAFMH Obligated Group)1 | | | 5.000 | | | | 11/15/2041 | | | | 216,056 | |
| | 1,400,000 | | | MI Finance Authority (Old Redford Public School Academy)1 | | | 5.900 | | | | 12/01/2030 | | | | 1,401,106 | |
| | 685,000 | | | MI Public Educational Facilities Authority (American Montessori) | | | 6.500 | | | | 12/01/2037 | | | | 691,103 | |
| | 1,400,000 | | | MI Public Educational Facilities Authority (Old Redford Academy)1 | | | 6.000 | | | | 12/01/2035 | | | | 1,395,170 | |
| | 1,165,875 | | | MI Strategic Fund Limited Obligation (Wolverine Human Services)1 | | | 7.875 | | | | 08/31/2028 | | | | 1,170,270 | |
| | 3,700,000 | | | MI Strategic Fund Solid Waste (Genesee Power Station)1 | | | 7.500 | | | | 01/01/2021 | | | | 3,590,998 | |
38 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Michigan (Continued) | | | | | | | | | | | | |
| | $144,990,000 | | | MI Tobacco Settlement Finance Authority | | | 6.387 | %4 | | | 06/01/2052 | | | $ | 6,473,804 | |
| | 3,048,780,000 | | | MI Tobacco Settlement Finance Authority | | | 7.965 | 4 | | | 06/01/2058 | | | | 13,109,754 | |
| | 1,625,000 | | | Pontiac, MI City School District | | | 4.500 | | | | 05/01/2020 | | | | 1,477,450 | |
| | 3,500,000 | | | Summit Academy North, MI Public School Academy1 | | | 5.000 | | | | 11/01/2031 | | | | 3,414,145 | |
| | 2,800,000 | | | Summit Academy North, MI Public School Academy1 | | | 5.000 | | | | 11/01/2035 | | | | 2,634,128 | |
| | 13,735,000 | | | Wayne, MI Charter County Airport Facilities (Northwest Airlines)1 | | | 6.000 | | | | 12/01/2029 | | | | 13,764,530 | |
| | | | | | | | | | | | | | | 83,122,652 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Minnesota—0.6% | | | | | | | | | | | | |
| | 6,915,000 | | | Brooklyn Center, MN Multifamily Hsg. (Sanctuary Brooklyn Center)1 | | | 5.500 | | | | 11/01/2035 | | | | 6,633,352 | |
| | 3,115,000 | | | Brooklyn Center, MN Multifamily Hsg. (Sanctuary Brooklyn Center)1 | | | 6.500 | | | | 11/01/2035 | | | | 3,098,116 | |
| | 1,000,000 | | | Dakota County, MN Community Devel. Agency (Walker Methodist)1 | | | 5.000 | | | | 08/01/2046 | | | | 959,810 | |
| | 1,250,000 | | | Dakota County, MN Community Devel. Agency (Walker Methodist)1 | | | 5.000 | | | | 08/01/2051 | | | | 1,166,575 | |
| | 6,370,000 | | | International Falls, MN Solid Waste Disposal (Boise Cascade Corp.) | | | 6.850 | | | | 12/01/2029 | | | | 6,401,277 | |
| | 730,000 | | | Minneapolis, MN Multifamily Hsg. (Blaisdell Apartments)1 | | | 5.400 | | | | 04/01/2028 | | | | 719,488 | |
| | 5,340,000 | | | Minneapolis, MN Multifamily Hsg. (Blaisdell Apartments)1 | | | 5.500 | | | | 04/01/2042 | | | | 5,142,527 | |
| | 1,535,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Bridgecreek Senior Place)1 | | | 7.000 | | | | 09/15/2037 | | | | 1,535,691 | |
| | 1,613,056 | | | St. Paul, MN Hsg. & Redevel. Authority (Episcopal Nursing Home)1 | | | 5.630 | | | | 10/01/2033 | | | | 1,615,347 | |
| | 2,417,000 | | | St. Paul, MN Hsg. & Redevel. Authority (Great Northern Lofts)1,7 | | | 6.250 | | | | 03/01/2029 | | | | 2,283,775 | |
| | 2,305,000 | | | St. Paul, MN Hsg. & Redevel. Authority Charter School (Hmong College Prep Academy)1 | | | 5.500 | | | | 09/01/2043 | | | | 2,292,138 | |
| | 385,000 | | | Wadena, MN Hsg. & Redevel. Authority (Humphrey Manor East)7 | | | 6.000 | | | | 02/01/2019 | | | | 380,511 | |
| | | | | | | | | | | | | | | 32,228,607 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Mississippi—0.2% | | | | | | | | | | | | |
| | 2,065,000 | | | Meridian, MS Tax Increment (Meridian Crossroads)1 | | | 8.750 | | | | 12/01/2024 | | | | 2,251,180 | |
| | 1,395,000 | | | Ridgeland, MS Tax Increment (Colony Park)1 | | | 5.250 | | | | 10/01/2027 | | | | 1,445,499 | |
| | 1,755,000 | | | Ridgeland, MS Tax Increment (Colony Park)1 | | | 5.375 | | | | 10/01/2028 | | | | 1,820,883 | |
| | 16,410,000 | | | Stonebridge, MS Public Improvement District Special Assessment5 | | | 7.500 | | | | 10/01/2042 | | | | 2,290,344 | |
| | | | | | | | | | | | | | | 7,807,906 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Missouri—1.3% | | | | | | | | | | | | |
| | 4,900,000 | | | Branson, MO Commerce Park Community Improvement District3 | | | 5.750 | | | | 06/01/2026 | | | | 1,004,549 | |
| | 2,480,000 | | | Branson, MO IDA (Branson Hills Redevel.) | | | 5.750 | | | | 05/01/2026 | | | | 2,484,489 | |
| | 13,000,000 | | | Branson, MO IDA (Branson Hills Redevel.) | | | 7.050 | | | | 05/01/2027 | | | | 13,011,830 | |
39 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Missouri (Continued) | | | | | | | | | | | | |
| | $880,000 | | | Branson, MO IDA (Branson Landing) | | | 5.250 | % | | | 06/01/2021 | | | $ | 856,434 | |
| | 2,470,000 | | | Branson, MO IDA (Branson Landing) | | | 5.500 | | | | 06/01/2029 | | | | 2,324,665 | |
| | 19,160,000 | | | Branson, MO IDA (Branson Shoppe Redevel.)1 | | | 5.950 | | | | 11/01/2029 | | | | 19,176,478 | |
| | 570,000 | | | Broadway-Fairview, MO Transportation Devel. District (Columbia) | | | 6.125 | | | | 12/01/2036 | | | | 447,102 | |
| | 1,215,000 | | | Chillicothe, MO Tax Increment (South U.S. 65) | | | 5.500 | | | | 04/01/2021 | | | | 985,098 | |
| | 3,100,000 | | | Chillicothe, MO Tax Increment (South U.S. 65) | | | 5.625 | | | | 04/01/2027 | | | | 2,095,104 | |
| | 1,150,000 | | | Jennings, MO Tax Increment & Community Improvement (Northland Redevel. Area) | | | 5.000 | | | | 11/01/2023 | | | | 1,088,026 | |
| | 1,000,000 | | | Kansas City, MO IDA (Sales Tax)1 | | | 5.000 | | | | 04/01/2036 | | | | 922,440 | |
| | 740,000 | | | Kansas City, MO IDA (Sales Tax)1 | | | 5.000 | | | | 04/01/2046 | | | | 647,211 | |
| | 1,176,000 | | | Kansas City, MO IDA (West Paseo)1 | | | 6.750 | | | | 07/01/2036 | | | | 1,175,929 | |
| | 1,200,000 | | | Lees Summit, MO IDA (Kensington Farms)5 | | | 5.500 | | | | 03/01/2021 | | | | 775,668 | |
| | 750,000 | | | Lees Summit, MO IDA (Kensington Farms)5 | | | 5.750 | | | | 03/01/2029 | | | | 463,087 | |
| | 2,800,000 | | | Lees Summit, MO Tax (Summit Fair Community Improvement District)1 | | | 6.000 | | | | 05/01/2042 | | | | 2,819,628 | |
| | 2,310,000 | | | Liberty, MO Tax Increment (Liberty Triangle)1 | | | 5.875 | | | | 10/01/2029 | | | | 2,327,025 | |
| | 3,020,000 | | | MO Dardenne Town Square Transportation Devel. District3 | | | 5.000 | | | | 05/01/2026 | | | | 1,086,264 | |
| | 3,825,000 | | | MO Dardenne Town Square Transportation Devel. District3 | | | 5.000 | | | | 05/01/2036 | | | | 1,375,814 | |
| | 220,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.250 | | | | 10/01/2021 | | | | 212,324 | |
| | 400,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.400 | | | | 10/01/2026 | | | | 367,800 | |
| | 115,000 | | | MO Grindstone Plaza Transportation Devel. District | | | 5.550 | | | | 10/01/2036 | | | | 98,031 | |
| | 700,000 | | | Northwoods, MO Transportation Devel. District | | | 5.850 | | | | 02/01/2031 | | | | 630,567 | |
| | 2,750,000 | | | Saint Charles County, MO IDA (Suemandy/Mid-Rivers Community Improvement District)1 | | | 5.000 | | | | 10/01/2046 | | | | 2,485,230 | |
| | 4,580,000 | | | St. Louis, MO IDA (Railway Exchange Building Redevel.)5 | | | 8.000 | | | | 04/27/2033 | | | | 1,600,344 | |
| | 2,442,000 | | | St. Louis, MO Tax Increment (1601 Washington Redevel.) | | | 6.000 | | | | 08/21/2026 | | | | 1,579,925 | |
| | 2,034,000 | | | St. Louis, MO Tax Increment (Pet Building Redevel.) | | | 5.500 | | | | 05/29/2028 | | | | 1,335,728 | |
| | 1,660,000 | | | St. Louis, MO Tax Increment (Printers Lofts)3 | | | 6.000 | | | | 08/21/2026 | | | | 663,552 | |
| | 3,043,000 | | | St. Louis, MO Tax Increment (Security Building Redevel.)3 | | | 6.300 | | | | 04/01/2027 | | | | 1,509,632 | |
| | 1,510,000 | | | St. Louis, MO Tax Increment (Washington East Condominiums)5 | | | 5.500 | | | | 01/20/2028 | | | | 981,576 | |
| | 2,367,000 | | | St. Louis, MO Tax Increment (Washington East Condominiums) | | | 5.500 | | | | 01/20/2028 | | | | 1,786,138 | |
| | 1,108,000 | | | St. Louis, MO Tax Increment Financing, Series A | | | 5.500 | | | | 09/02/2028 | | | | 664,855 | |
| | 1,865,000 | | | Stone Canyon, MO Improvement District (Infrastructure)5 | | | 5.700 | | | | 04/01/2022 | | | | 568,004 | |
40 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Missouri (Continued) | | | | | | | | | | | | |
| | $975,000 | | | Stone Canyon, MO Improvement District (Infrastructure)5 | | | 5.750 | % | | | 04/01/2027 | | | $ | 296,917 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 69,847,464 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Montana—0.0% | | | | | | | | | | | | |
| | 5,935,000 | | | Hardin, MT Tax Increment Industrial Infrastructure Devel. (Rocky Mountain Power)3 | | | 6.250 | 2 | | | 09/01/2031 | | | | 1,185,041 | |
| | Nebraska—0.5% | | | | | | | | | | | | |
| | 455,000 | | | Beatrice, NE Community Redevel. Authority (Beatrice Biodiesel)1 | | | 6.625 | | | | 12/01/2021 | | | | 432,523 | |
| | 20,000,000 | | | Douglas County, NE Hospital Authority (Methodist Health System)6 | | | 5.750 | | | | 11/01/2048 | | | | 21,626,386 | |
| | 3,700,000 | | | Omaha, NE Public Facilities Corp. (Omaha Baseball Stadium)1 | | | 4.000 | | | | 06/01/2031 | | | | 3,930,917 | |
| | | | | | | | | | | | | | | 25,989,826 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Nevada—0.2% | | | | | | | | | | | | |
| | 5,375,000 | | | Clark County, NV GO1 | | | 4.000 | | | | 11/01/2031 | | | | 5,765,118 | |
| | 975,000 | | | Clark County, NV Improvement District1 | | | 5.000 | | | | 02/01/2026 | | | | 927,927 | |
| | 750,000 | | | Clark County, NV Improvement District1 | | | 5.050 | | | | 02/01/2031 | | | | 700,943 | |
| | 3,110,000 | | | Henderson, NV Health Care Facility (DHlth/ BMH/CmntyHOSB/MSrH/SFMH/SNVMMH/CMF/SHSvcs Obligated Group)1 | | | 5.250 | | | | 07/01/2031 | | | | 3,167,970 | |
| | 110,000 | | | Mesquite, NV Special Improvement District (Canyon Creek)1 | | | 5.400 | | | | 08/01/2020 | | | | 106,184 | |
| | 375,000 | | | Mesquite, NV Special Improvement District (Canyon Creek)1,7 | | | 5.500 | | | | 08/01/2025 | | | | 342,776 | |
| | | | | | | | | | | | | | | 11,010,918 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | New Hampshire—0.0% | | | | | | | | | | | | |
| | 1,395,000 | | | NH Business Finance Authority (Huggins Hospital)1 | | | 6.875 | | | | 10/01/2039 | | | | 1,451,651 | |
| | New Jersey—5.3% | | | | | | | | | | | | |
| | 3,583,000 | | | Newark, NJ GO1 | | | 5.000 | | | | 07/15/2029 | | | | 3,750,828 | |
| | 5,000,000 | | | NJ EDA1 | | | 5.000 | | | | 06/15/2041 | | | | 4,985,750 | |
| | 110,000 | | | NJ EDA (Continental Airlines)1 | | | 4.875 | | | | 09/15/2019 | | | | 114,511 | |
| | 3,750,000 | | | NJ EDA (Continental Airlines)1 | | | 5.625 | | | | 11/15/2030 | | | | 4,081,012 | |
| | 565,000 | | | NJ EDA (Leap Academy Charter School)1 | | | 6.000 | | | | 10/01/2034 | | | | 560,090 | |
| | 750,000 | | | NJ EDA (Leap Academy Charter School)1 | | | 6.200 | | | | 10/01/2044 | | | | 735,345 | |
| | 500,000 | | | NJ EDA (Leap Academy Charter School)1 | | | 6.300 | | | | 10/01/2049 | | | | 492,885 | |
| | 1,000,000 | | | NJ EDA (Paterson Charter School Science & Technology)1 | | | 6.100 | | | | 07/01/2044 | | | | 1,001,930 | |
| | 5,000,000 | | | NJ Educational Facilities Authority (College of St. Elizabeth)1 | | | 5.000 | | | | 07/01/2046 | | | | 4,808,100 | |
| | 480,000 | | | NJ Educational Facilities Authority (Georgian Court University)1 | | | 5.000 | | | | 07/01/2033 | | | | 485,813 | |
| | 104,230,000 | | | NJ Tobacco Settlement Financing Corp. | | | 4.750 | | | | 06/01/2034 | | | | 92,555,198 | |
| | 61,680,000 | | | NJ Tobacco Settlement Financing Corp. | | | 5.000 | | | | 06/01/2029 | | | | 60,348,945 | |
41 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | New Jersey (Continued) | | | | | | | | | | | | |
| | $70,555,000 | | | NJ Tobacco Settlement Financing Corp. | | | 5.000 | % | | | 06/01/2041 | | | $ | 63,501,617 | |
| | 9,500,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.000 | | | | 06/15/2029 | | | | 9,749,375 | |
| | 10,200,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.000 | | | | 06/15/2030 | | | | 10,449,696 | |
| | 20,400,000 | | | NJ Transportation Trust Fund Authority1 | | | 5.000 | | | | 06/15/2031 | | | | 20,885,724 | |
| | 210,000 | | | Weehawken Township, NJ GO1 | | | 6.000 | | | | 08/01/2021 | | | | 235,733 | |
| | 210,000 | | | Weehawken Township, NJ GO1 | | | 6.000 | | | | 08/01/2022 | | | | 234,499 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 278,977,051 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | New Mexico—0.2% | | | | | | | | | | | | |
| | 615,000 | | | Boulders, NM Pubic Improvement District1 | | | 5.750 | | | | 10/01/2044 | | | | 599,004 | |
| | 395,000 | | | Mariposa East, NM Public Improvement District | | | 5.900 | 2 | | | 09/01/2032 | | | | 346,131 | |
| | 560,000 | | | Mariposa East, NM Public Improvement District | | | 5.900 | | | | 09/01/2032 | | | | 463,495 | |
| | 80,000 | | | Mariposa East, NM Public Improvement District1 | | | 5.900 | | | | 09/01/2032 | | | | 77,047 | |
| | 480,000 | | | Mariposa East, NM Public Improvement District | | | 12.495 | 4 | | | 09/01/2032 | | | | 67,123 | |
| | 875,000 | | | Montecito Estates, NM Public Improvement District1 | | | 7.000 | | | | 10/01/2037 | | | | 910,648 | |
| | 1,925,000 | | | NM Trails Public Improvement District | | | 7.750 | | | | 10/01/2038 | | | | 1,849,386 | |
| | 4,325,000 | | | Saltillo, NM Improvement District1 | | | 7.625 | | | | 10/01/2037 | | | | 4,400,947 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 8,713,781 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | New York—6.2% | | | | | | | | | | | | |
| | 15,015,000 | | | Brookhaven, NY IDA (BK at Lake Grove)1 | | | 7.750 | 8 | | | 11/01/2046 | | | | 15,913,197 | |
| | 14,980,000 | | | Brookhaven, NY IDA (BK at Lake Grove)1 | | | 7.750 | 8 | | | 11/01/2046 | | | | 15,859,476 | |
| | 10,000,000 | | | Brookhaven, NY IDA (BK at Lake Grove)1 | | | 7.750 | 8 | | | 11/01/2046 | | | | 10,587,100 | |
| | 17,700,000 | | | Erie County, NY Tobacco Asset Securitization Corp. | | | 5.630 | 4 | | | 06/01/2055 | | | | 125,670 | |
| | 17,000,000 | | | Glen Cove, NY Local Assistance Corp. (Gravies Point Public Improvement) | | | 0.000 | 2 | | | 01/01/2055 | | | | 11,355,150 | |
| | 1,750,000 | | | Glen Cove, NY Local Assistance Corp. (Gravies Point Public Improvement) | | | 5.000 | | | | 01/01/2056 | | | | 1,623,247 | |
| | 1,500,000 | | | Islip, NY IDA (Engel Burman at Sayville)1 | | | 7.750 | 8 | | | 11/01/2045 | | | | 1,745,340 | |
| | 1,000,000 | | | Monroe County, NY Industrial Devel. Corp. (St. John Fisher College)1 | | | 6.000 | | | | 06/01/2030 | | | | 1,125,410 | |
| | 2,937,408 | | | Nassau County, NY IDA (Amsterdam at Harborside)5 | | | 2.000 | | | | 01/01/2049 | | | | 491,135 | |
| | 2,495,127 | | | Nassau County, NY IDA (Amsterdam at Harborside)1 | | | 5.500 | | | | 07/01/2020 | | | | 2,475,515 | |
| | 187,500 | | | Nassau County, NY IDA (Amsterdam at Harborside)1 | | | 5.875 | | | | 01/01/2023 | | | | 186,797 | |
| | 922,500 | | | Nassau County, NY IDA (Amsterdam at Harborside)1 | | | 6.500 | | | | 01/01/2032 | | | | 918,081 | |
| | 1,780,000 | | | Nassau County, NY IDA (Amsterdam at Harborside)1 | | | 6.700 | | | | 01/01/2049 | | | | 1,756,789 | |
| | 2,100,000 | | | Nassau County, NY IDA (Amsterdam at Harborside)1 | | | 6.700 | | | | 01/01/2049 | | | | 2,072,616 | |
| | 234,000,000 | | | NY Counties Tobacco Trust V | | | 6.732 | 4 | | | 06/01/2060 | | | | 751,140 | |
| | 51,600,000 | | | NY Counties Tobacco Trust V | | | 7.146 | 4 | | | 06/01/2060 | | | | 170,280 | |
| | 8,200,000 | | | NY MTA Hudson Rail Yards1 | | | 5.000 | | | | 11/15/2051 | | | | 8,785,972 | |
| | 33,190,000 | | | NY MTA Hudson Rail Yards1 | | | 5.000 | | | | 11/15/2056 | | | | 35,610,547 | |
| | 485,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2027 | | | | 564,254 | |
| | 560,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2028 | | | | 649,622 | |
| | 900,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2029 | | | | 1,041,012 | |
| | 900,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2030 | | | | 1,038,591 | |
| | 900,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2031 | | | | 1,035,432 | |
| | 900,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2032 | | | | 1,031,832 | |
| | 900,000 | | | NY MTA, Series D1 | | | 5.250 | | | | 11/15/2033 | | | | 1,028,250 | |
42 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | New York (Continued) | | | | | | | | | | | | |
| | $7,100,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 5.650 | % | | | 10/01/2028 | | | $ | 5,838,401 | |
| | 6,045,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 5.750 | | | | 10/01/2036 | | | | 4,813,392 | |
| | 8,670,000 | | | NYC IDA (Brooklyn Navy Yard Cogeneration Partners) | | | 6.200 | | | | 10/01/2022 | | | | 8,196,271 | |
| | 2,985,000 | | | NYC Municipal Water Finance Authority6 | | | 5.750 | | | | 06/15/2040 | | | | 3,155,442 | |
| | 9,970,000 | | | NYC Municipal Water Finance Authority6 | | | 5.750 | | | | 06/15/2040 | | | | 10,539,282 | |
| | 4,990,000 | | | NYC Transitional Finance Authority (Future Tax)1 | | | 4.000 | | | | 05/01/2031 | | | | 5,352,723 | |
| | 19,100,000 | | | NYS DA (St. Mary’s Hospital for Children) | | | 7.875 | | | | 11/15/2041 | | | | 20,693,131 | |
| | 10,000,000 | | | NYS DA (State Personal Income Tax Authority)1 | | | 5.000 | | | | 02/15/2032 | | | | 11,711,700 | |
| | 14,870,000 | | | NYS DA (State Personal Income Tax Authority)1 | | | 5.000 | | | | 03/15/2036 | | | | 16,968,603 | |
| | 10,000,000 | | | NYS DA (State Personal Income Tax Authority)1 | | | 5.000 | | | | 02/15/2037 | | | | 11,434,200 | |
| | 21,750,000 | | | NYS Liberty Devel. Corp. (4 World Trade Center)1 | | | 5.750 | | | | 11/15/2051 | | | | 24,785,865 | |
| | 37,380,000 | | | NYS Liberty Devel. Corp. (Bank of America Tower)6 | | | 5.125 | | | | 01/15/2044 | | | | 40,337,736 | |
| | 3,000,000 | | | NYS Thruway Authority1 | | | 5.000 | | | | 01/01/2036 | | | | 3,356,670 | |
| | 2,500,000 | | | NYS Transitional Devel. Corp. (LaGuardia Airport Terminal B Redevel.)1 | | | 5.000 | | | | 07/01/2034 | | | | 2,710,725 | |
| | 5,000,000 | | | NYS Transitional Devel. Corp. (LaGuardia Airport Terminal B Redevel.)1 | | | 5.000 | | | | 07/01/2041 | | | | 5,291,650 | |
| | 7,000,000 | | | NYS Transitional Devel. Corp. (LaGuardia Airport Terminal B Redevel.)1 | | | 5.250 | | | | 01/01/2050 | | | | 7,407,260 | |
| | 16,000,000 | | | NYS Transportation Devel. Corp. (American Airlines/JFK International Airport)1 | | | 5.000 | | | | 08/01/2026 | | | | 16,705,280 | |
| | 200,000 | | | Port Authority NY/NJ (JFK International Air Terminal)1 | | | 5.750 | | | | 12/01/2025 | | | | 202,976 | |
| | 1,650,000 | | | Port Authority NY/NJ (KIAC)1 | | | 6.750 | | | | 10/01/2019 | | | | 1,691,052 | |
| | 8,385,000 | | | Suffolk, NY Tobacco Asset Securitization Corp. | | | 6.000 | | | | 06/01/2048 | | | | 8,477,738 | |
| | 1,640,000 | | | Yonkers, NY IDA (St. Joseph’s Hospital), Series 98-C7 | | | 6.200 | | | | 03/01/2020 | | | | 1,629,488 | |
| | | | | | | | | | | | | | | 329,242,040 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | North Carolina—0.1% | | | | | | | | | | | | |
| | 1,500,000 | | | NC Medical Care Commission (AHACHC)1 | | | 5.800 | | | | 10/01/2034 | | | | 1,503,300 | |
| | 1,650,000 | | | NC Medical Care Commission (Whitestone)1 | | | 7.750 | | | | 03/01/2031 | | | | 1,819,785 | |
| | | | | | | | | | | | | | | 3,323,085 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | North Dakota—0.1% | | | | | | | | | | | | |
| | 2,605,000 | | | Burleigh County, ND Educational Facilities (University of Maryland) | | | 5.100 | | | | 04/15/2036 | | | | 2,450,966 | |
| | 3,480,000 | | | Burleigh County, ND Educational Facilities (University of Maryland) | | | 5.200 | | | | 04/15/2046 | | | | 3,219,348 | |
| | | | | | | | | | | | | | | 5,670,314 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Ohio—9.7% | | | | | | | | | | | | |
| | 9,950,000 | | | Allen County, OH Hospital Facilities (Catholic Healthcare)6 | | | 5.000 | | | | 06/01/2038 | | | | 10,651,458 | |
| | 12,115,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.125 | | | | 06/01/2024 | | | | 11,032,888 | |
| | 18,115,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.375 | | | | 06/01/2024 | | | | 16,857,457 | |
| | 24,655,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.750 | | | | 06/01/2034 | | | | 22,486,100 | |
43 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Ohio (Continued) | | | | | | | | | | | | |
| | $41,465,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.875 | % | | | 06/01/2030 | | | $ | 37,901,913 | |
| | 144,205,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 5.875 | | | | 06/01/2047 | | | | 132,654,180 | |
| | 12,937,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.000 | | | | 06/01/2042 | | | | 11,961,162 | |
| | 57,055,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.250 | 2 | | | 06/01/2037 | | | | 54,377,979 | |
| | 76,170,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.500 | | | | 06/01/2047 | | | | 75,040,399 | |
| | 2,295,300,000 | | | Buckeye, OH Tobacco Settlement Financing Authority (TASC) | | | 6.529 | 4 | | | 06/01/2052 | | | | 21,943,068 | |
| | 5,645,000 | | | Butler County, OH Port Authority (Maple Knoll Communities)1 | | | 7.000 | | | | 07/01/2043 | | | | 5,668,201 | |
| | 4,495,000 | | | Centerville, OH Health Care (Bethany Lutheran Village)1 | | | 6.000 | | | | 11/01/2038 | | | | 4,517,025 | |
| | 2,075,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments)1 | | | 5.250 | | | | 09/01/2040 | | | | 2,009,471 | |
| | 645,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments)1 | | | 5.375 | | | | 09/01/2045 | | | | 624,844 | |
| | 1,305,000 | | | Cleveland-Cuyahoga County, OH Port Authority (Forest Hill Park Apartments)1 | | | 5.500 | | | | 09/01/2050 | | | | 1,258,516 | |
| | 240,000 | | | Columbus-Franklin County, OH Finance Authority, Series A1 | | | 6.000 | | | | 05/15/2035 | | | | 242,945 | |
| | 31,800,000 | | | Gallia County, OH Hospital Facilities (Holzer/HHlthS/ HMCG/HMCJ Obligated Group) | | | 8.000 | | | | 07/01/2042 | | | | 36,657,132 | |
| | 1,450,000 | | | Hancock County, OH Hospital (BVRHC/BVHF Obligated Group)1 | | | 6.250 | | | | 12/01/2034 | | | | 1,638,196 | |
| | 20,000 | | | Lake County, OH Hospital Facilities (Lake Hospital System)1 | | | 5.750 | | | | 08/15/2038 | | | | 21,043 | |
| | 105,000 | | | Lake County, OH Hospital Facilities (Lake Hospital System)1 | | | 5.750 | | | | 08/15/2038 | | | | 112,602 | |
| | 465,000 | | | Lorain County, OH Port Authority (Alumalloy LLC)1 | | | 6.000 | | | | 11/15/2025 | | | | 450,018 | |
| | 10,000,000 | | | Montgomery County, OH (Miami Valley Hospital)6 | | | 5.750 | | | | 11/15/2023 | | | | 11,230,600 | |
| | 2,000,000 | | | OH Air Quality Devel. Authority (FirstEnergy Generation) | | | 3.100 | 8 | | | 03/01/2023 | | | | 841,380 | |
| | 13,500,000 | | | OH Air Quality Devel. Authority (FirstEnergy Generation) | | | 3.750 | 8 | | | 12/01/2023 | | | | 5,861,700 | |
| | 10,795,000 | | | OH Air Quality Devel. Authority (FirstEnergy Generation) | | | 4.250 | 8 | | | 08/01/2029 | | | | 9,948,888 | |
| | 18,700,000 | | | OH Higher Educational Facility Commission (Hiram College)1 | | | 6.000 | | | | 10/01/2041 | | | | 18,251,761 | |
| | 16,320,000 | | | OH Port Authority of Columbiana Solid Waste (Apex Environmental)5,9 | | | 7.250 | | | | 08/01/2034 | | | | 163 | |
| | 2,235,822 | | | OH Port Authority of Columbiana Solid Waste (Apex Environmental)5,9 | | | 10.820 | | | | 08/01/2034 | | | | 22 | |
| | 1,500,000 | | | OH Water Devel. Authority (FirstEnergy Generation) | | | 3.000 | | | | 05/15/2019 | | | | 630,150 | |
| | 1,500,000 | | | Port of Greater Cincinnati, OH Devel. Authority (Public Parking Infrastructure) | | | 6.300 | | | | 02/15/2024 | | | | 1,454,430 | |
44 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
| Principal
Amount |
| | | | | Coupon | | | | Maturity | | | | Value | |
| | Ohio (Continued) | | | | | | | | | | | | |
| | $2,500,000 | | | Port of Greater Cincinnati, OH Devel. Authority (Public Parking Infrastructure) | | | 6.400 | % | | | 02/15/2034 | | | $ | 2,374,050 | |
| | 4,100,000 | | | Southeastern OH Port Authority Hospital Facility (Memorial Health System)1 | | | 5.750 | | | | 12/01/2032 | | | | 4,473,346 | |
| | 1,225,000 | | | Toledo-Lucas County, OH Port Authority (Storypoint/Sr. Living 2016/Sr. Living Waterville/Sr. Living Chesterton Obligated Group) | | | 6.125 | | | | 01/15/2034 | | | | 1,152,443 | |
| | 1,700,000 | | | Toledo-Lucas County, OH Port Authority (Storypoint/Sr. Living 2016/Sr. Living Waterville/Sr. Living Chesterton Obligated Group) | | | 6.375 | | | | 01/15/2051 | | | | 1,567,944 | |
| | 382,899 | | | Toledo-Lucas County, OH Port Authority (Town Square at Levis Commons)5 | | | 5.400 | | | | 11/01/2036 | | | | 4 | |
| | 1,061,189 | | | Toledo-Lucas County, OH Port Authority (Town Square at Levis Commons)1 | | | 5.400 | | | | 11/01/2036 | | | | 1,053,198 | |
| | 3,415,000 | | | Warren County, OH Port Authority (Corridor 75 Park) | | | 7.500 | | | | 12/01/2034 | | | | 3,499,009 | |
| | | | | | | | | | | | | | | 510,445,685 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Oklahoma—0.2% | | | | | | | | | | | | |
| | 5,000,000 | | | Atoka County, OK Healthcare Authority (Atoka Memorial Hospital) | | | 6.625 | | | | 10/01/2037 | | | | 4,000,000 | |
| | 4,710,000 | | | Grady County, OK Criminal Justice Authority1 | | | 7.000 | | | | 11/01/2041 | | | | 4,362,166 | |
| | 100,000 | | | OK Ordnance Works Authority Sewer & Solid Waste Disposal Facilities (Ralston Purina Group)1 | | | 6.500 | | | | 09/01/2026 | | | | 100,294 | |
| | | | | | | | | | | | | | | 8,462,460 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Oregon—0.1% | | | | | | | | | | | | |
| | 725,000 | | | OR Facilities Authority (Concordia University)1 | | | 6.125 | | | | 09/01/2030 | | | | 757,763 | |
| | 2,625,000 | | | OR Facilities Authority (Personalized Learning-Redmond Proficiency Academy)1 | | | 5.250 | | | | 06/15/2051 | | | | 2,387,464 | |
| | 1,640,000 | | | OR Facilities Authority (Personalized Learning-Redmond Proficiency Academy)1 | | | 5.750 | | | | 06/15/2046 | | | | 1,601,460 | |
| | | | | | | | | | | | | | | 4,746,687 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Pennsylvania—2.3% | | | | | | | | | | | | |
| | 1,000,000 | | | Allegheny County, PA Sanitary Authority1 | | | 4.000 | | | | 12/01/2031 | | | | 1,047,200 | |
| | 22,300,000 | | | Beaver County, PA IDA (FirstEnergy Generation) | | | 4.500 | 8 | | | 06/01/2028 | | | | 20,551,011 | |
| | 5,180,000 | | | Chester County, PA IDA (Hickman Friends Senior Community of West Chester) | | | 5.500 | | | | 01/01/2052 | | | | 4,892,873 | |
| | 2,750,000 | | | Crawford County, PA Hospital Authority (MMedC/ COHS/MMedCF/MPS/HCCO/TAHC/TAH/TAHCF/TAHS/ CVHC/HCrawC/FCIM Obligated Group) | | | 6.000 | | | | 06/01/2046 | | | | 2,748,597 | |
| | 3,215,000 | | | Crawford County, PA Hospital Authority (MMedC/ COHS/MMedCF/MPS/HCCO/TAHC/TAH/TAHCF/TAHS/ CVHC/HCrawC/FCIM Obligated Group) | | | 6.000 | | | | 06/01/2051 | | | | 3,206,802 | |
| | 515,000 | | | Luzerne County, PA IDA1 | | | 7.500 | | | | 12/15/2019 | | | | 528,199 | |
| | 500,000 | | | Luzerne County, PA IDA1 | | | 7.750 | | | | 12/15/2027 | | | | 521,595 | |
| | 803,864 | | | Northampton County, PA IDA (Northampton Generating)3 | | | 5.000 | | | | 12/31/2023 | | | | 321,128 | |
45 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Pennsylvania (Continued) | | | | | | | | | | | | |
| | $8,238,655 | | | Northampton County, PA IDA (Northampton Generating)3 | | | 5.000 | % | | | 12/31/2023 | | | $ | 3,291,178 | |
| | 24,937,498 | | | PA EDFA (Bionol Clearfield)5 | | | 8.500 | | | | 07/01/2015 | | | | 1,038,896 | |
| | 15,000,000 | | | PA EDFA (FirstEnergy Generation) | | | 4.500 | 8 | | | 06/01/2028 | | | | 13,823,400 | |
| | 11,500,000 | | | PA Geisinger Authority Health System, Series A6 | | | 5.250 | | | | 06/01/2039 | | | | 12,238,990 | |
| | 2,150,000 | | | PA GO1 | | | 4.000 | | | | 09/15/2031 | | | | 2,229,980 | |
| | 2,980,000 | | | PA GO1 | | | 4.000 | | | | 09/15/2032 | | | | 3,088,412 | |
| | 4,000,000 | | | PA HEFA (Shippensburg University)1 | | | 6.250 | | | | 10/01/2043 | | | | 4,399,840 | |
| | 3,000,000 | | | PA Public School Building Authority (School District of Philadelphia)1 | | | 5.000 | | | | 04/01/2030 | | | | 3,171,630 | |
| | 20,000,000 | | | PA State Public School Building Authority (Philadelphia School District)1 | | | 5.000 | | | | 06/01/2032 | | | | 21,773,000 | |
| | 1,500,000 | | | Philadelphia, PA Authority for Industrial Devel. (Architecture & Design Charter School)1 | | | 6.125 | | | | 03/15/2043 | | | | 1,568,790 | |
| | 1,030,000 | | | Philadelphia, PA Authority for Industrial Devel. (Green Woods Charter School)1 | | | 5.500 | | | | 06/15/2022 | | | | 1,082,623 | |
| | 2,000,000 | | | Philadelphia, PA Authority for Industrial Devel. (Green Woods Charter School)1 | | | 5.500 | | | | 06/15/2032 | | | | 2,033,300 | |
| | 2,390,000 | | | Philadelphia, PA Gas Works1 | | | 5.000 | | | | 10/01/2033 | | | | 2,640,448 | |
| | 3,350,000 | | | Philadelphia, PA H&HEFA (Temple University Health System)1 | | | 5.625 | | | | 07/01/2036 | | | | 3,590,061 | |
| | 5,250,000 | | | Philadelphia, PA H&HEFA (Temple University Health System)1 | | | 5.625 | | | | 07/01/2042 | | | | 5,607,840 | |
| | 5,680,000 | | | York, PA GO1 | | | 7.250 | | | | 11/15/2041 | | | | 6,180,919 | |
| | | | | | | | | | | | | | | 121,576,712 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Rhode Island—0.4% | | | | | | | | | | | | |
| | 44,240,000 | | | Central Falls, RI Detention Facility3 | | | 7.250 | | | | 07/15/2035 | | | | 10,960,902 | |
| | 7,500,000 | | | RI Health & Educational Building Corp. (Public Schools Financing Program)1 | | | 6.000 | | | | 05/15/2029 | | | | 7,996,800 | |
| | 28,225,000 | | | RI Tobacco Settlement Financing Corp. (TASC) | | | 6.121 | 4 | | | 06/01/2052 | | | | 1,357,623 | |
| | | | | | | | | | | | | | | 20,315,325 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | South Carolina—0.6% | | | | | | | | | | | | |
| | 6,530,000 | | | Hardeeville, SC Assessment Revenue (Anderson Tract Municipal Improvement District) | | | 7.750 | | | | 11/01/2039 | | | | 6,622,726 | |
| | 13,531,000 | | | Richland County, SC Assessment Revenue (Village at Sandhill Improvement District) | | | 6.200 | | | | 11/01/2036 | | | | 13,503,938 | |
| | 7,507,415 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 2.882 | 4 | | | 01/01/2020 | | | | 5,800,535 | |
| | 200,000 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 6.295 | 4 | | | 01/01/2026 | | | | 99,928 | |
| | 8,400,272 | | | SC Connector 2000 Assoc. Toll Road, Series B | | | 6.618 | 4 | | | 01/01/2024 | | | | 4,708,467 | |
| | | | | | | | | | | | | | | 30,735,594 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | South Dakota—0.0% | | | | | | | | | | | | |
| | 1,425,000 | | | Turner County, SD Tax Increment1 | | | 5.000 | | | | 12/15/2026 | | | | 1,351,142 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Tennessee—0.3% | | | | | | | | | | | | |
| | 1,000,000 | | | Bristol, TN Industrial Devel. Board | | | 5.022 | 4 | | | 12/01/2022 | | | | 731,350 | |
| | 9,000,000 | | | Shelby County, TN HE&HFB (Trezevant Manor) | | | 5.500 | | | | 09/01/2047 | | | | 9,048,870 | |
46 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Tennessee (Continued) | | | | | | | | | | | | |
| | $6,425,000 | | | Shelby County, TN HE&HFB (Trezevant Manor) | | | 8.000 | % | | | 09/01/2044 | | | $ | 6,801,698 | |
| | | | | | | | | | | | | | | 16,581,918 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Texas—10.0% | | | | | | | | | | | | |
| | 1,000,000 | | | Abilene, TX GO1 | | | 4.000 | | | | 02/15/2033 | | | | 1,042,600 | |
| | 2,040,000 | | | Anson, TX Education Facilities Corp. (Arlington Classics Academy)1 | | | 5.000 | | | | 08/15/2045 | | | | 1,979,616 | |
| | 1,325,000 | | | Arlington, TX Higher Education Finance Corp. (Leadership Prep School)1 | | | 5.000 | | | | 06/15/2046 | | | | 1,255,172 | |
| | 700,000 | | | Aubrey, TX Special Assessment (Jackson Ridge Public Improvement District No. 1)1 | | | 7.250 | | | | 09/01/2045 | | | | 674,590 | |
| | 230,000 | | | Beaumont, TX Multifamily HDC (Madison on the Lake Apartments)1 | | | 7.750 | | | | 12/01/2028 | | | | 216,087 | |
| | 41,315,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 5.000 | | | | 03/01/2041 | | | | — | |
| | 13,500,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 5.400 | | | | 05/01/2029 | | | | — | |
| | 2,345,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 6.300 | | | | 07/01/2032 | | | | — | |
| | 11,420,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 6.750 | | | | 10/01/2038 | | | | — | |
| | 10,000,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 7.700 | | | | 03/01/2032 | | | | — | |
| | 26,120,000 | | | Brazos River Authority, TX Pollution Control (TXU Energy Company)5,9 | | | 7.700 | | | | 04/01/2033 | | | | — | |
| | 1,925,000 | | | Brushy Creek, TX Regional Utility Authority1 | | | 4.000 | | | | 08/01/2030 | | | | 2,076,498 | |
| | 2,000,000 | | | Brushy Creek, TX Regional Utility Authority1 | | | 4.000 | | | | 08/01/2031 | | | | 2,135,260 | |
| | 2,000,000 | | | Brushy Creek, TX Regional Utility Authority1 | | | 4.000 | | | | 08/01/2032 | | | | 2,125,120 | |
| | 1,755,000 | | | Brushy Creek, TX Regional Utility Authority1 | | | 4.000 | | | | 08/01/2033 | | | | 1,841,328 | |
| | 15,350,000 | | | Cambridge, TX Student Hsg. (Cambridge Student Hsg. Devel.) | | | 7.000 | | | | 11/01/2039 | | | | 15,313,007 | |
| | 700,000 | | | Celina, TX Special Assessment | | | 5.375 | | | | 09/01/2028 | | | | 668,871 | |
| | 400,000 | | | Celina, TX Special Assessment | | | 5.500 | | | | 09/01/2032 | | | | 378,520 | |
| | 1,100,000 | | | Celina, TX Special Assessment | | | 5.875 | | | | 09/01/2040 | | | | 1,028,731 | |
| | 1,895,000 | | | Celina, TX Special Assessment1 | | | 6.250 | | | | 09/01/2045 | | | | 1,882,891 | |
| | 4,020,000 | | | Celina, TX Special Assessment | | | 7.500 | | | | 09/01/2045 | | | | 3,995,719 | |
| | 1,000,000 | | | Celina, TX Special Assessment (Sutton Fields II) | | | 7.250 | | | | 09/01/2045 | | | | 974,770 | |
| | 750,000 | | | Clifton, TX Higher Education Finance Corp. (Idea Public Schools)1 | | | 5.750 | | | | 08/15/2041 | | | | 805,395 | |
| | 1,250,000 | | | Crane, TX Independent School District1 | | | 5.000 | | | | 02/15/2030 | | | | 1,253,500 | |
| | 9,405,000 | | | El Paso, TX GO1 | | | 4.000 | | | | 08/15/2029 | | | | 10,117,617 | |
| | 1,500,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1)1 | | | 6.125 | | | | 09/01/2028 | | | | 1,548,090 | |
| | 1,500,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1)1 | | | 6.500 | | | | 09/01/2036 | | | | 1,536,945 | |
| | 2,000,000 | | | Flower Mound, TX Special Assessment (River Walk Public Improvement District No. 1)1 | | | 6.750 | | | | 09/01/2043 | | | | 2,039,160 | |
| | 2,400,000 | | | Galveston, TX Special Assessment | | | 5.625 | | | | 09/01/2028 | | | | 2,303,256 | |
| | 3,700,000 | | | Galveston, TX Special Assessment | | | 6.000 | | | | 09/01/2038 | | | | 3,490,358 | |
47 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Texas (Continued) | | | | | | | | | | | | |
| | $3,500,000 | | | Galveston, TX Special Assessment | | | 6.125 | % | | | 09/01/2044 | | | $ | 3,283,140 | |
| | 10,000,000 | | | Grand Parkway, TX Transportation Corp.6 | | | 5.000 | | | | 04/01/2053 | | | | 11,034,600 | |
| | 11,238,709 | | | Gulf Coast, TX IDA (Microgy Holdings)5 | | | 7.000 | | | | 12/01/2036 | | | | 112 | |
| | 20,000 | | | Gulf Coast, TX IDA Solid Waste (Citgo Petroleum Corp.) | | | 8.000 | | | | 04/01/2028 | | | | 20,031 | |
| | 3,225,000 | | | Harris County, TX Cultural Education Facilities Finance Corp. (Space Center Houston)1 | | | 7.000 | | | | 08/15/2028 | | | | 3,403,665 | |
| | 2,000,000 | | | Houston, TX Airport System1 | | | 5.000 | | | | 07/01/2024 | | | | 2,199,020 | |
| | 1,210,000 | | | Houston, TX Airport System1 | | | 5.000 | | | | 07/01/2025 | | | | 1,323,014 | |
| | 555,000 | | | Houston, TX Airport System1 | | | 5.000 | | | | 07/01/2026 | | | | 602,502 | |
| | 435,000 | | | Houston, TX Higher Education Finance Corp. (Cosmos Foundation)1 | | | 6.500 | | | | 05/15/2031 | | | | 523,405 | |
| | 380,000 | | | Houston, TX Higher Education Finance Corp. (Cosmos Foundation)1 | | | 6.500 | | | | 05/15/2031 | | | | 434,838 | |
| | 500,000 | | | Houston, TX Higher Education Finance Corp. (Ninos)1 | | | 6.000 | | | | 08/15/2036 | | | | 527,115 | |
| | 750,000 | | | Houston, TX Higher Education Finance Corp. (Ninos)1 | | | 6.000 | | | | 08/15/2041 | | | | 788,663 | |
| | 475,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District)1 | | | 5.375 | | | | 09/01/2028 | | | | 458,931 | |
| | 600,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District)1 | | | 5.750 | | | | 09/01/2038 | | | | 571,152 | |
| | 600,000 | | | Leander, TX Special Assesment (Oak Creek Public Improvement District)1 | | | 5.875 | | | | 09/01/2044 | | | | 568,296 | |
| | 450,000 | | | Mclendon-Chisholm, TX Special Assessment (Sonoma Public Improvement District)1 | | | 5.375 | | | | 09/15/2035 | | | | 427,383 | |
| | 400,000 | | | Mclendon-Chisholm, TX Special Assessment (Sonoma Public Improvement District)1 | | | 5.500 | | | | 09/15/2040 | | | | 377,532 | |
| | 8,750,000 | | | Mission, TX EDC (Carbonlite Recycling) | | | 6.500 | | | | 12/01/2033 | | | | 8,202,075 | |
| | 13,000,000 | | | Mission, TX EDC (Natgasoline)1 | | | 5.750 | | | | 10/01/2031 | | | | 13,452,920 | |
| | 18,550,000 | | | Mission, TX EDC (Natgasoline)1 | | | 5.750 | | | | 10/01/2031 | | | | 19,196,282 | |
| | 700,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. (East Grand Preparatory Academy)1 | | | 5.500 | | | | 08/15/2046 | | | | 695,051 | |
| | 1,200,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. (East Grand Preparatory Academy)1 | | | 5.500 | | | | 08/15/2051 | | | | 1,182,408 | |
| | 350,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (Cardinal Bay-Village on the Park Carriage Inn)1 | | | 5.000 | | | | 07/01/2031 | | | | 386,771 | |
| | 1,750,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (Cardinal Bay-Village on the Park Carriage Inn)1 | | | 5.000 | | | | 07/01/2046 | | | | 1,870,540 | |
| | 1,750,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (Cardinal Bay-Village on the Park Carriage Inn)1 | | | 5.000 | | | | 07/01/2051 | | | | 1,863,155 | |
| | 400,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (MRC Senior Living-Langford Project) | | | 5.375 | | | | 11/15/2036 | | | | 372,760 | |
| | 650,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (MRC Senior Living-Langford Project) | | | 5.500 | | | | 11/15/2046 | | | | 597,090 | |
48 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Texas (Continued) | | | | | | | | | | | | |
| | $1,000,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Senior Living (MRC Senior Living-Langford Project) | | | 5.500 | % | | | 11/15/2052 | | | $ | 900,350 | |
| | 1,250,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Student Hsg. (A&M University-Collegiate Hsg. Corpus Christi II)1 | | | 5.000 | | | | 04/01/2048 | | | | 1,293,838 | |
| | 2,315,000 | | | New Hope, TX Cultural Educational Facilities Finance Corp. Student Hsg. (A&M University-Collegiate Hsg. San Antonio)1 | | | 5.000 | | | | 04/01/2048 | | | | 2,404,984 | |
| | 1,300,000 | | | New Hope, TX Educational Facilities Finance Corp. Retirement Facility (Wesleyan Homes) | | | 5.500 | | | | 01/01/2049 | | | | 1,316,146 | |
| | 785,000 | | | New Hope, TX Educational Facilities Finance Corp. Student Hsg. (Stephenville-Tarleton State University)1 | | | 5.875 | | | | 04/01/2036 | | | | 877,936 | |
| | 1,950,000 | | | New Hope, TX Educational Facilities Finance Corp. Student Hsg. (Stephenville-Tarleton State University)1 | | | 6.000 | | | | 04/01/2045 | | | | 2,189,616 | |
| | 1,475,000 | | | Newark, TX Higher Education Finance Corp. (A+ Charter Schools)1 | | | 5.750 | | | | 08/15/2045 | | | | 1,495,812 | |
| | 1,600,000 | | | North Central TX HFC (Village Kaufman Apartments)1 | | | 6.150 | 8 | | | 01/01/2043 | | | | 1,660,912 | |
| | 38,000,000 | | | North Central TX HFDC (Children’s Medical Center)6 | | | 5.750 | | | | 08/15/2039 | | | | 41,382,000 | |
| | 5,195,000 | | | North TX Tollway Authority6 | | | 5.750 | | | | 01/01/2048 | | | | 5,395,683 | |
| | 1,940,000 | | | North TX Tollway Authority6 | | | 5.750 | | | | 01/01/2048 | | | | 2,014,942 | |
| | 14,060,000 | | | North TX Tollway Authority6 | | | 5.750 | | | | 01/01/2048 | | | | 14,603,138 | |
| | 725,000 | | | North TX Tollway Authority6 | | | 5.750 | | | | 01/01/2048 | | | | 753,007 | |
| | 655,000 | | | Pottsboro, TX Higher Education Finance Corp. (Imagine International Academy of North Texas)1 | | | 5.000 | | | | 08/15/2036 | | | | 635,907 | |
| | 1,000,000 | | | Pottsboro, TX Higher Education Finance Corp. (Imagine International Academy of North Texas)1 | | | 5.000 | | | | 08/15/2046 | | | | 940,280 | |
| | 2,000,000 | | | Red River, TX Educational Finance Corp. (Houston Baptist University)1 | | | 5.500 | | | | 10/01/2046 | | | | 2,155,420 | |
| | 3,000,000 | | | Red River, TX Health Facilities Devel. Corp. (Happy Harbor Methodist Home) | | | 8.000 | | | | 11/15/2049 | | | | 3,424,890 | |
| | 750,000 | | | Rowlett, TX Special Assessment (Bayside Public Improvement District) | | | 6.000 | | | | 09/15/2046 | | | | 702,593 | |
| | 2,050,000 | | | Sabine Neches, TX HFC (Fox Run Apartments)1 | | | 6.150 | | | | 01/01/2043 | | | | 2,119,085 | |
| | 1,288,929 | | | Sabine Neches, TX HFC (Single Family Mtg.)1 | | | 5.430 | | | | 12/01/2039 | | | | 1,308,237 | |
| | 4,100,000 | | | Sabine River Authority, TX Pollution Control (TXU Electric Company)5,9 | | | 6.150 | | | | 08/01/2022 | | | | — | |
| | 1,800,000 | | | Sabine River Authority, TX Pollution Control (TXU Electric Company)5,9 | | | 6.450 | | | | 06/01/2021 | | | | — | |
| | 10,000,000 | | | San Jacinto, TX Community College District6 | | | 5.125 | | | | 02/15/2038 | | | | 10,431,600 | |
| | 26,820,000 | | | Sanger, TX Industrial Devel. Corp. (Texas Pellets)5 | | | 7.500 | | | | 07/01/2038 | | | | 12,040,034 | |
| | 7,935,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Baylor Health Care System)6 | | | 5.750 | | | | 11/15/2024 | | | | 8,589,316 | |
| | 32,600,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Baylor Health Care System)6 | | | 6.250 | | | | 11/15/2029 | | | | 35,576,054 | |
| | 3,810,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. (Buckingham Senior Living Community)1 | | | 5.750 | | | | 11/15/2037 | | | | 3,838,804 | |
| | 13,500,000 | | | Tarrant County, TX Health Facilities Devel. Corp. (Cook Children’s Medical Center)6 | | | 5.000 | | | | 12/01/2033 | | | | 14,482,395 | |
49 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Texas (Continued) | | | | | | | | | | | | |
| | $27,525,000 | | | Travis County, TX HFDC (Longhorn Village)1 | | | 7.125 | % | | | 01/01/2046 | | | $ | 29,993,717 | |
| | 2,495,000 | | | Trinity River Authority, TX Pollution Control (TXU Electric Company)5,9 | | | 6.250 | | | | 05/01/2028 | | | | — | |
| | 19,800,000 | | | Trophy Club, TX Public Improvement (Highlands Trophy Club)1 | | | 7.750 | | | | 10/01/2037 | | | | 20,679,912 | |
| | 34,600,000 | | | TX Angelina & Neches River Authority (Aspen Power)5 | | | 6.500 | | | | 11/01/2029 | | | | 1,512,020 | |
| | 117,760,000 | | | TX Municipal Gas Acquisition & Supply Corp.6 | | | 6.250 | | | | 12/15/2026 | | | | 139,188,565 | |
| | 900,000 | | | TX Public Finance Authority Charter School Finance Corp. (Ed-Burnham Wood)1 | | | 6.250 | | | | 09/01/2036 | | | | 914,148 | |
| | 635,000 | | | TX Student Hsg. Corp. (University of North Texas) | | | 6.750 | | | | 07/01/2021 | | | | 634,905 | |
| | 200,000 | | | TX Student Hsg. Corp. (University of North Texas) | | | 6.850 | | | | 07/01/2031 | | | | 195,060 | |
| | 8,500,000 | | | TX Water Devel. Board1 | | | 4.000 | | | | 10/15/2030 | | | | 9,188,500 | |
| | 2,076,000 | | | Vintage Township, TX Public Facilities Corp.1 | | | 7.375 | | | | 10/01/2038 | | | | 2,119,243 | |
| | 6,375,000 | | | Waxahachie, TX Special Assessment | | | 6.000 | | | | 08/15/2045 | | | | 5,971,208 | |
| | 2,920,000 | | | Wise County, TX (Parket County Junior College District)1 | | | 7.500 | | | | 08/15/2025 | | | | 3,345,502 | |
| | 4,615,000 | | | Wise County, TX (Parket County Junior College District)1 | | | 7.750 | | | | 08/15/2028 | | | | 5,304,896 | |
| | | | | | | | | | | | | | | 526,626,207 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Utah—0.5% | | | | | | | | | | | | |
| | 1,950,000 | | | Hideout, UT Local District No. 1 Special Assessment | | | 7.750 | | | | 08/01/2024 | | | | 1,922,310 | |
| | 4,915,000 | | | Hideout, UT Local District No. 1 Special Assessment | | | 8.250 | | | | 08/01/2034 | | | | 4,798,023 | |
| | 715,000 | | | UT Charter School Finance Authority (Endeavor Hall)1 | | | 5.500 | | | | 07/15/2022 | | | | 736,336 | |
| | 1,750,000 | | | UT Charter School Finance Authority (Endeavor Hall)1 | | | 6.000 | | | | 07/15/2032 | | | | 1,783,285 | |
| | 3,870,000 | | | UT Charter School Finance Authority (Endeavor Hall)1 | | | 6.250 | | | | 07/15/2042 | | | | 3,955,759 | |
| | 6,550,000 | | | UT Charter School Finance Authority (Hawthorn Academy)1 | | | 8.250 | | | | 07/15/2046 | | | | 7,352,572 | |
| | 750,000 | | | UT Charter School Finance Authority (Vista Entrada School of Performing Arts & Technology)1 | | | 6.300 | | | | 07/15/2032 | | | | 807,960 | |
| | 1,640,000 | | | UT Charter School Finance Authority (Vista Entrada School of Performing Arts & Technology)1 | | | 6.550 | | | | 07/15/2042 | | | | 1,772,282 | |
| | 825,000 | | | Utah County, UT Charter School (Renaissance Academy)1 | | | 5.625 | | | | 07/15/2037 | | | | 825,099 | |
| | 415,000 | | | Utah County, UT Charter School (Ronald Wilson Reagan Academy)1 | | | 5.000 | | | | 02/15/2036 | | | | 412,473 | |
| | 855,000 | | | Utah County, UT Charter School (Ronald Wilson Reagan Academy)1 | | | 5.000 | | | | 02/15/2046 | | | | 832,077 | |
| | | | | | | | | | | | | | | 25,198,176 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Virginia—1.0% | | | | | | | | | | | | |
| | 1,690,000 | | | Celebrate, VA North CDA Special Assessment3 | | | 6.750 | | | | 03/01/2034 | | | | 1,090,861 | |
| | 4,562,000 | | | Celebrate, VA South CDA Special Assessment5 | | | 6.250 | | | | 03/01/2037 | | | | 2,280,726 | |
| | 8,000,000 | | | Chesapeake Bay, VA Bridge & Tunnel District1 | | | 5.000 | | | | 07/01/2046 | | | | 8,635,360 | |
| | 14,300,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment3 | | | 5.125 | | | | 03/01/2036 | | | | 3,572,998 | |
| | 9,200,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment3 | | | 5.450 | | | | 03/01/2036 | | | | 2,298,712 | |
50 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Virginia (Continued) | | | | | | | | | | | | |
| | $3,206,000 | | | Farms New Kent, VA Community Devel. Authority Special Assessment3 | | | 5.800 | % | | | 03/01/2036 | | | $ | 801,051 | |
| | 632,000 | | | Lewistown, VA Commerce Center Community Devel. Authority1 | | | 6.050 | | | | 03/01/2044 | | | | 580,271 | |
| | 1,297,000 | | | Lewistown, VA Commerce Center Community Devel. Authority | | | 6.050 | | | | 03/01/2044 | | | | 1,131,023 | |
| | 1,995,000 | | | Lewistown, VA Commerce Center Community Devel. Authority5 | | | 6.050 | | | | 03/01/2054 | | | | 293,664 | |
| | 2,900,000 | | | New Port, VA CDA5 | | | 5.600 | | | | 09/01/2036 | | | | 1,448,579 | |
| | 1,945,000 | | | Norfolk, VA EDA, Series A | | | 6.000 | | | | 11/01/2036 | | | | 1,737,916 | |
| | 18,446,000 | | | Peninsula, VA Town Center Community Devel. Authority Special Obligation1 | | | 6.450 | | | | 09/01/2037 | | | | 18,558,890 | |
| | 253,700,000 | | | VA Tobacco Settlement Financing Corp. | | | 7.438 | 4 | | | 06/01/2047 | | | | 8,955,610 | |
| | 2,404,674 | | | West Point, VA IDA Solid Waste (Chesapeake Corp.)5 | | | 6.375 | | | | 03/01/2019 | | | | 24 | |
| | | | | | | | | | | | | | | 51,385,685 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Washington—1.4% | | | | | | | | | | | | |
| | 750,000 | | | Greater Wenatchee, WA Regional Events Center1 | | | 5.000 | | | | 09/01/2027 | | | | 773,910 | |
| | 200,000 | | | Kelso County, WA Hsg. Authority (Chinook & Columbia Apartments)1 | | | 5.600 | | | | 03/01/2028 | | | | 199,988 | |
| | 75,000 | | | King County, WA Hsg. Authority (Southwood Square Apartments)1 | | | 6.100 | | | | 10/01/2021 | | | | 75,737 | |
| | 725,000 | | | King County, WA Hsg. Authority (Southwood Square Apartments)1 | | | 6.200 | | | | 10/01/2031 | | | | 725,435 | |
| | 50,000 | | | Kitsap County, WA Consolidated Hsg. Authority (Heritage Apartments)1 | | | 6.100 | | | | 10/01/2031 | | | | 50,024 | |
| | 1,790,000 | | | Seattle, WA Hsg. Authority (Newholly Phase II)1 | | | 7.000 | | | | 01/01/2032 | | | | 1,807,059 | |
| | 3,744,358 | | | Tacoma, WA Consolidated Local Improvements District No. 65 | | | 5.750 | | | | 04/01/2043 | | | | 3,709,198 | |
| | 1,500,000 | | | Tes Properties, WA6 | | | 5.500 | | | | 12/01/2029 | | | | 1,648,860 | |
| | 12,000,000 | | | Tes Properties, WA6 | | | 5.625 | | | | 12/01/2038 | | | | 13,225,320 | |
| | 18,075,000 | | | WA Health Care Facilities Authority (Catholic Health Initiatives)6 | | | 6.375 | | | | 10/01/2036 | | | | 19,256,528 | |
| | 17,410,000 | | | WA Health Care Facilities Authority (Peacehealth)6 | | | 5.000 | | | | 11/01/2028 | | | | 18,575,774 | |
| | 1,000,000 | | | WA Hsg. Finance Commission (Heron’s Key) | | | 7.000 | | | | 07/01/2045 | | | | 999,180 | |
| | 1,700,000 | | | WA Hsg. Finance Commission (Heron’s Key) | | | 7.000 | | | | 07/01/2050 | | | | 1,687,267 | |
| | 10,860,000 | | | WA Kalispel Tribe Indians Priority District1 | | | 6.750 | | | | 01/01/2038 | | | | 10,426,469 | |
| | | | | | | | | | | | | | | 73,160,749 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | West Virginia—0.4% | | | | | | | | | | | | |
| | 3,000,000 | | | Brooke County, WV (Bethany College) | | | 6.500 | | | | 10/01/2031 | | | | 3,137,700 | |
| | 4,500,000 | | | Brooke County, WV (Bethany College) | | | 6.750 | | | | 10/01/2037 | | | | 4,724,505 | |
| | 27,145,000 | | | Harrison County, WV Tax Increment (Charles Pointe)3 | | | 7.000 | | | | 06/01/2035 | | | | 13,560,556 | |
| | | | | | | | | | | | | | | 21,422,761 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Wisconsin—2.3% | | | | | | | | | | | | |
| | 3,000,000 | | | WI H&EFA (AE Nursing Centers) | | | 7.250 | | | | 06/01/2038 | | | | 3,099,990 | |
| | 750,000 | | | WI H&EFA (Beloit College)1 | | | 6.125 | | | | 06/01/2035 | | | | 863,760 | |
| | 2,015,000 | | | WI H&EFA (Beloit College)1 | | | 6.125 | | | | 06/01/2039 | | | | 2,320,635 | |
51 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Wisconsin (Continued) | | | | | | | | | | | | |
| | $6,335,000 | | | WI H&EFA (Wellington Homes) | | | 6.750 | % | | | 09/01/2037 | | | $ | 6,363,064 | |
| | 2,000,000 | | | WI Public Finance Authority (Bancroft Neurohealth/ Bancroft Rehabilitation Services Obligated Group)1 | | | 5.125 | | | | 06/01/2048 | | | | 1,828,120 | |
| | 5,200,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group)1 | | | 5.000 | | | | 12/01/2045 | | | | 5,247,736 | |
| | 3,800,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group)1 | | | 5.150 | | | | 12/01/2050 | | | | 3,852,516 | |
| | 6,790,000 | | | WI Public Finance Authority (FNC&M / FBA / FCP / FFC / FGC / FJeffC / FJC / FMN / FTS / FP1 / FP2 / FRB Obligated Group)1 | | | 5.350 | | | | 12/01/2052 | | | | 6,952,688 | |
| | 1,665,000 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 0.210 | 4 | | | 10/01/2042 | | | | 714,169 | |
| | 6,657,500 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 7.000 | | | | 10/01/2042 | | | | 6,436,871 | |
| | 2,000,000 | | | WI Public Finance Authority (Las Ventanas Retirement Community) | | | 36.095 | 4 | | | 10/01/2042 | | | | 38,600 | |
| | 52,000,000 | | | WI Public Finance Authority (Natogasoline) | | | 10.000 | | | | 06/30/2021 | | | | 51,674,480 | |
| | 660,000 | | | WI Public Finance Authority (Thomas Jefferson Classical Academy)1 | | | 7.000 | | | | 07/01/2031 | | | | 701,705 | |
| | 2,500,000 | | | WI Public Finance Authority Charter School (Envision Science Academy) | | | 5.250 | | | | 05/01/2046 | | | | 2,265,500 | |
| | 1,280,000 | | | WI Public Finance Authority Charter School (Explore Knowledge Foundation)1 | | | 5.750 | | | | 07/15/2032 | | | | 1,360,422 | |
| | 845,000 | | | WI Public Finance Authority Charter School (Explore Knowledge Foundation)1 | | | 6.000 | | | | 07/15/2042 | | | | 898,708 | |
| | 1,910,000 | | | WI Public Finance Authority Educational Facility (Ask Academy)1 | | | 6.000 | | | | 02/01/2045 | | | | 1,782,947 | |
| | 5,875,000 | | | WI Public Finance Authority Educational Facility (Horizon Academy West Charter School)1 | | | 6.000 | | | | 09/01/2045 | | | | 5,756,678 | |
| | 6,815,000 | | | WI Public Finance Authority Higher Education Facilities (Wittenberg University) | | | 5.250 | | | | 12/01/2039 | | | | 6,222,842 | |
| | 10,960,000 | | | WI Public Financing Authority Multifamily Hsg. (Trinity- Eagle’s Point)1 | | | 5.250 | | | | 01/01/2052 | | | | 11,120,345 | |
| | | | | | | | | | | | | | | 119,501,776 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | U.S. Possessions—14.6% | | | | | | | | | | | | |
| | 27,050,000 | | | Northern Mariana Islands Commonwealth, Series B | | | 5.000 | | | | 10/01/2033 | | | | 23,250,827 | |
| | 10,000 | | | Puerto Rico Aqueduct & Sewer Authority14 | | | 5.000 | | | | 07/01/2025 | | | | 10,265 | |
| | 11,980,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.000 | | | | 07/01/2033 | | | | 9,152,121 | |
| | 11,450,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.250 | | | | 07/01/2042 | | | | 8,705,549 | |
| | 250,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.500 | | | | 07/01/2028 | | | | 194,645 | |
| | 25,035,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 5.750 | | | | 07/01/2037 | | | | 19,374,086 | |
| | 3,325,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2038 | | | | 2,606,368 | |
| | 7,645,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2044 | | | | 5,975,026 | |
| | 30,945,000 | | | Puerto Rico Aqueduct & Sewer Authority | | | 6.000 | | | | 07/01/2047 | | | | 24,066,545 | |
| | 5,350,000 | | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.375 | | | | 05/15/2033 | | | | 5,349,518 | |
| | 7,260,000 | | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.500 | | | | 05/15/2039 | | | | 7,259,274 | |
52 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $3,065,000 | | | Puerto Rico Children’s Trust Fund (TASC)1 | | | 5.625 | % | | | 05/15/2043 | | | $ | 3,064,847 | |
| | 152,450,000 | | | Puerto Rico Children’s Trust Fund (TASC) | | | 9.352 | 4 | | | 05/15/2055 | | | | 4,878,400 | |
| | 2,145,000 | | | Puerto Rico Commonwealth GO10,14 | | | 2.636 | | | | 07/01/2019 | | | | 2,165,699 | |
| | 285,000 | | | Puerto Rico Commonwealth GO10,14 | | | 2.656 | | | | 07/01/2020 | | | | 289,235 | |
| | 1,500,000 | | | Puerto Rico Commonwealth GO5 | | | 5.000 | | | | 07/01/2024 | | | | 978,600 | |
| | 5,000,000 | | | Puerto Rico Commonwealth GO5 | | | 5.000 | | | | 07/01/2033 | | | | 3,218,250 | |
| | 2,550,000 | | | Puerto Rico Commonwealth GO5 | | | 5.000 | | | | 07/01/2033 | | | | 1,663,875 | |
| | 1,660,000 | | | Puerto Rico Commonwealth GO5 | | | 5.000 | | | | 07/01/2034 | | | | 1,070,534 | |
| | 6,765,000 | | | Puerto Rico Commonwealth GO5 | | | 5.000 | | | | 07/01/2041 | | | | 4,338,056 | |
| | 700,000 | | | Puerto Rico Commonwealth GO5 | | | 5.125 | | | | 07/01/2031 | | | | 447,930 | |
| | 2,000,000 | | | Puerto Rico Commonwealth GO5 | | | 5.125 | | | | 07/01/2037 | | | | 1,280,000 | |
| | 5,000 | | | Puerto Rico Commonwealth GO14 | | | 5.250 | | | | 07/01/2024 | | | | 5,169 | |
| | 1,920,000 | | | Puerto Rico Commonwealth GO5 | | | 5.250 | | | | 07/01/2026 | | | | 1,243,008 | |
| | 2,165,000 | | | Puerto Rico Commonwealth GO5 | | | 5.250 | | | | 07/01/2037 | | | | 1,398,915 | |
| | 40,000 | | | Puerto Rico Commonwealth GO5 | | | 5.500 | | | | 07/01/2018 | | | | 26,471 | |
| | 14,695,000 | | | Puerto Rico Commonwealth GO5 | | | 5.500 | | | | 07/01/2026 | | | | 9,550,280 | |
| | 3,255,000 | | | Puerto Rico Commonwealth GO5 | | | 5.500 | | | | 07/01/2026 | | | | 2,109,305 | |
| | 340,000 | | | Puerto Rico Commonwealth GO5 | | | 5.500 | | | | 07/01/2027 | | | | 219,691 | |
| | 62,180,000 | | | Puerto Rico Commonwealth GO5 | | | 5.500 | | | | 07/01/2039 | | | | 41,271,975 | |
| | 11,540,000 | | | Puerto Rico Commonwealth GO5 | | | 5.750 | | | | 07/01/2036 | | | | 7,443,300 | |
| | 1,345,000 | | | Puerto Rico Commonwealth GO14 | | | 5.750 | | | | 07/01/2037 | | | | 1,347,542 | |
| | 3,000,000 | | �� | Puerto Rico Commonwealth GO5 | | | 5.750 | | | | 07/01/2038 | | | | 1,915,950 | |
| | 65,250,000 | | | Puerto Rico Commonwealth GO5 | | | 5.750 | | | | 07/01/2041 | | | | 42,657,187 | |
| | 2,625,000 | | | Puerto Rico Commonwealth GO5 | | | 6.000 | | | | 07/01/2035 | | | | 1,712,550 | |
| | 1,480,000 | | | Puerto Rico Commonwealth GO5 | | | 6.000 | | | | 07/01/2038 | | | | 980,500 | |
| | 9,265,000 | | | Puerto Rico Commonwealth GO5 | | | 6.000 | | | | 07/01/2039 | | | | 6,138,062 | |
| | 2,250,000 | | | Puerto Rico Commonwealth GO5 | | | 6.000 | | | | 07/01/2039 | | | | 1,476,337 | |
| | 14,550,000 | | | Puerto Rico Commonwealth GO5 | | | 6.500 | | | | 07/01/2037 | | | | 9,639,375 | |
| | 13,000,000 | | | Puerto Rico Commonwealth GO5 | | | 6.500 | | | | 07/01/2040 | | | | 8,546,200 | |
| | 1,545,000 | | | Puerto Rico Commonwealth GO5 | | | 8.000 | | | | 07/01/2035 | | | | 1,098,881 | |
| | 1,501,705 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 1,185,852 | |
| | 1,501,705 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2019 | | | | 1,185,852 | |
| | 1,629,052 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2021 | | | | 1,256,459 | |
| | 1,629,051 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2021 | | | | 1,256,458 | |
| | 543,017 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 01/01/2022 | | | | 417,356 | |
| | 543,018 | | | Puerto Rico Electric Power Authority | | | 10.000 | | | | 07/01/2022 | | | | 417,357 | |
| | 3,100,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 5.000 | | | | 07/01/2029 | | | | 2,016,891 | |
| | 7,070,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 5.000 | | | | 07/01/2042 | | | | 4,591,046 | |
| | 11,535,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 5.050 | | | | 07/01/2042 | | | | 7,490,368 | |
| | 20,375,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 6.750 | | | | 07/01/2036 | | | | 13,236,211 | |
| | 10,330,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 7.000 | | | | 07/01/2033 | | | | 6,713,054 | |
| | 480,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 7.000 | | | | 07/01/2040 | | | | 311,717 | |
| | 9,080,000 | | | Puerto Rico Electric Power Authority, Series A11 | | | 7.000 | | | | 07/01/2043 | | | | 5,895,916 | |
| | 160,000 | | | Puerto Rico Electric Power Authority, Series A | | | 7.250 | | | | 07/01/2030 | | | | 104,027 | |
| | 40,000 | | | Puerto Rico Electric Power Authority, Series AAA | | | 5.250 | | | | 07/01/2021 | | | | 26,224 | |
| | 40,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2022 | | | | 26,132 | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2023 | | | | 6,519 | |
| | 500,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2025 | | | | 325,575 | |
53 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $4,570,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | % | | | 07/01/2026 | | | $ | 2,975,070 | |
| | 2,600,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2028 | | | | 1,692,080 | |
| | 445,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2029 | | | | 289,486 | |
| | 95,000 | | | Puerto Rico Electric Power Authority, Series AAA11 | | | 5.250 | | | | 07/01/2030 | | | | 61,783 | |
| | 310,000 | | | Puerto Rico Electric Power Authority, Series CCC11 | | | 5.000 | | | | 07/01/2022 | | | | 202,539 | |
| | 35,000 | | | Puerto Rico Electric Power Authority, Series CCC | | | 5.000 | | | | 07/01/2024 | | | | 22,803 | |
| | 20,000 | | | Puerto Rico Electric Power Authority, Series CCC11 | | | 5.000 | | | | 07/01/2025 | | | | 13,016 | |
| | 285,000 | | | Puerto Rico Electric Power Authority, Series CCC | | | 5.000 | | | | 07/01/2027 | | | | 185,555 | |
| | 540,000 | | | Puerto Rico Electric Power Authority, Series CCC11 | | | 5.000 | | | | 07/01/2028 | | | | 351,421 | |
| | 2,570,000 | | | Puerto Rico Electric Power Authority, Series CCC11 | | | 5.250 | | | | 07/01/2027 | | | | 1,673,044 | |
| | 385,000 | | | Puerto Rico Electric Power Authority, Series CCC11 | | | 5.250 | | | | 07/01/2028 | | | | 250,558 | |
| | 185,000 | | | Puerto Rico Electric Power Authority, Series DDD11 | | | 5.000 | | | | 07/01/2022 | | | | 120,870 | |
| | 15,000 | | | Puerto Rico Electric Power Authority, Series NN | | | 5.500 | | | | 07/01/2020 | | | | 9,889 | |
| | 170,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2017 | | | | 119,872 | |
| | 20,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2018 | | | | 13,406 | |
| | 5,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2020 | | | | 3,297 | |
| | 55,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2021 | | | | 36,061 | |
| | 210,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2022 | | | | 137,204 | |
| | 280,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2023 | | | | 182,524 | |
| | 15,000 | | | Puerto Rico Electric Power Authority, Series TT | | | 5.000 | | | | 07/01/2024 | | | | 9,773 | |
| | 375,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2025 | | | | 244,208 | |
| | 895,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2026 | | | | 582,681 | |
| | 1,990,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2027 | | | | 1,295,629 | |
| | 7,355,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2032 | | | | 4,781,412 | |
| | 6,100,000 | | | Puerto Rico Electric Power Authority, Series TT11 | | | 5.000 | | | | 07/01/2037 | | | | 3,962,804 | |
| | 390,000 | | | Puerto Rico Electric Power Authority, Series UU11 | | | 1.557 | 8 | | | 07/01/2017 | | | | 263,367 | |
| | 685,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.000 | | | | 07/01/2028 | | | | 445,784 | |
| | 185,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.250 | | | | 07/01/2025 | | | | 120,463 | |
| | 415,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.250 | | | | 07/01/2033 | | | | 269,746 | |
| | 85,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.375 | | | | 07/01/2022 | | | | 55,528 | |
| | 390,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.375 | | | | 07/01/2024 | | | | 254,089 | |
| | 60,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.500 | | | | 07/01/2021 | | | | 39,335 | |
| | 605,000 | | | Puerto Rico Electric Power Authority, Series WW11 | | | 5.500 | | | | 07/01/2038 | | | | 392,960 | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series XX | | | 5.250 | | | | 07/01/2026 | | | | 6,510 | |
| | 845,000 | | | Puerto Rico Electric Power Authority, Series XX11 | | | 5.250 | | | | 07/01/2027 | | | | 550,087 | |
| | 2,660,000 | | | Puerto Rico Electric Power Authority, Series XX11 | | | 5.250 | | | | 07/01/2035 | | | | 1,726,659 | |
| | 38,430,000 | | | Puerto Rico Electric Power Authority, Series XX11 | | | 5.250 | | | | 07/01/2040 | | | | 24,957,211 | |
| | 18,575,000 | | | Puerto Rico Electric Power Authority, Series XX11 | | | 5.750 | | | | 07/01/2036 | | | | 12,067,435 | |
| | 190,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 4.625 | | | | 07/01/2025 | | | | 123,747 | |
| | 820,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.000 | | | | 07/01/2017 | | | | 578,207 | |
| | 140,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.000 | | | | 07/01/2018 | | | | 93,839 | |
| | 95,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2021 | | | | 62,287 | |
| | 850,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.000 | | | | 07/01/2022 | | | | 555,348 | |
| | 215,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2024 | | | | 140,075 | |
| | 10,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.000 | | | | 07/01/2026 | | | | 6,506 | |
| | 515,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.250 | | | | 07/01/2018 | | | | 345,678 | |
| | 25,000 | | | Puerto Rico Electric Power Authority, Series ZZ | | | 5.250 | | | | 07/01/2021 | | | | 16,390 | |
| | 50,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.250 | | | | 07/01/2022 | | | | 32,665 | |
54 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal
Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $380,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.250 | % | | | 07/01/2024 | | | $ | 247,574 | |
| | 275,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.250 | | | | 07/01/2025 | | | | 179,066 | |
| | 310,000 | | | Puerto Rico Electric Power Authority, Series ZZ11 | | | 5.250 | | | | 07/01/2026 | | | | 201,810 | |
| | 215,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.000 | | | | 07/01/2023 | | | | 217,159 | |
| | 45,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.000 | | | | 07/01/2027 | | | | 45,452 | |
| | 1,360,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.000 | | | | 07/01/2028 | | | | 804,318 | |
| | 2,175,000 | | | Puerto Rico Highway & Transportation Authority5 | | | 5.000 | | | | 07/01/2028 | | | | 371,925 | |
| | 250,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.000 | | | | 07/01/2029 | | | | 250,170 | |
| | 1,035,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.000 | | | | 07/01/2035 | | | | 602,618 | |
| | 7,895,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.300 | | | | 07/01/2035 | | | | 4,599,548 | |
| | 25,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.500 | | | | 07/01/2023 | | | | 27,280 | |
| | 5,000,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.500 | | | | 07/01/2029 | | | | 2,946,050 | |
| | 3,250,000 | | | Puerto Rico Highway & Transportation Authority | | | 5.500 | | | | 07/01/2030 | | | | 1,911,032 | |
| | 45,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.750 | | | | 07/01/2019 | | | | 45,567 | |
| | 6,940,000 | | | Puerto Rico Highway & Transportation Authority3,15 | | | 5.750 | | | | 07/01/2019 | | | | 4,198,700 | |
| | 350,000 | | | Puerto Rico Highway & Transportation Authority3,15 | | | 5.750 | | | | 07/01/2021 | | | | 211,750 | |
| | 9,000,000 | | | Puerto Rico Highway & Transportation Authority1,14 | | | 5.750 | | | | 07/01/2022 | | | | 9,113,400 | |
| | 605,000 | | | Puerto Rico Highway & Transportation Authority, Series H5 | | | 5.450 | | | | 07/01/2035 | | | | 170,912 | |
| | 4,715,000 | | | Puerto Rico Highway & Transportation Authority, Series M5 | | | 5.000 | | | | 07/01/2046 | | | | 1,331,987 | |
| | 5,000,000 | | | Puerto Rico Infrastructure3 | | | 5.000 | | | | 07/01/2031 | | | | 850,000 | |
| | 3,000,000 | | | Puerto Rico Infrastructure3 | | | 5.000 | | | | 07/01/2037 | | | | 510,000 | |
| | 7,300,000 | | | Puerto Rico Infrastructure (Mepsi Campus) | | | 6.500 | | | | 10/01/2037 | | | | 3,533,346 | |
| | 2,500,000 | | | Puerto Rico ITEMECF (Cogeneration Facilities) | | | 6.625 | | | | 06/01/2026 | | | | 2,380,250 | |
| | 4,050,000 | | | Puerto Rico ITEMECF (Hospital Auxilio Mutuo)1 | | | 6.000 | | | | 07/01/2033 | | | | 4,111,601 | |
| | 300,000 | | | Puerto Rico ITEMECF (University of the Sacred Heart)1 | | | 5.000 | | | | 10/01/2020 | | | | 252,384 | |
| | 100,000 | | | Puerto Rico ITEMECF (University of the Sacred Heart)1 | | | 5.000 | | | | 10/01/2021 | | | | 80,756 | |
| | 25,000 | | | Puerto Rico Municipal Finance Agency, Series B1,14 | | | 5.250 | | | | 07/01/2019 | | | | 26,188 | |
| | 3,870,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.000 | | | | 07/01/2032 | | | | 2,254,275 | |
| | 4,880,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.000 | | | | 07/01/2036 | | | | 2,842,600 | |
| | 150,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.000 | | | | 07/01/2037 | | | | 87,375 | |
| | 100,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.250 | | | | 07/01/2023 | | | | 58,250 | |
| | 1,640,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.250 | | | | 07/01/2033 | | | | 955,300 | |
| | 83,395,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.250 | | | | 07/01/2042 | | | | 48,577,587 | |
| | 260,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.500 | | | | 07/01/2023 | | | | 151,450 | |
| | 200,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.500 | | | | 07/01/2037 | | | | 116,500 | |
| | 15,860,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.625 | | | | 07/01/2039 | | | | 9,238,450 | |
| | 12,845,000 | | | Puerto Rico Public Buildings Authority5 | | | 5.750 | | | | 07/01/2022 | | | | 7,482,212 | |
| | 7,000,000 | | | Puerto Rico Public Buildings Authority3 | | | 5.875 | | | | 07/01/2039 | | | | 4,077,500 | |
| | 8,825,000 | | | Puerto Rico Public Buildings Authority3 | | | 6.000 | | | | 07/01/2041 | | | | 5,140,562 | |
| | 12,000,000 | | | Puerto Rico Public Buildings Authority3 | | | 6.125 | | | | 07/01/2023 | | | | 6,990,000 | |
| | 5,100,000 | | | Puerto Rico Public Buildings Authority3 | | | 6.250 | | | | 07/01/2026 | | | | 2,970,750 | |
| | 4,980,000 | | | Puerto Rico Public Buildings Authority3 | | | 6.750 | | | | 07/01/2036 | | | | 2,900,850 | |
| | 410,000 | | | Puerto Rico Public Buildings Authority3 | | | 7.000 | | | | 07/01/2021 | | | | 238,825 | |
| | 1,515,000 | | | Puerto Rico Public Buildings Authority, Series D3 | | | 5.250 | | | | 07/01/2036 | | | | 882,487 | |
| | 39,020,000 | | | Puerto Rico Public Finance Corp., Series B3 | | | 5.500 | | | | 08/01/2031 | | | | 3,219,150 | |
| | 9,500,000 | | | Puerto Rico Sales Tax Financing Corp. | | | 6.900 | 2 | | | 08/01/2026 | | | | 4,465,000 | |
55 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | U.S. Possessions (Continued) | | | | | | | | | | | | |
| | $220,000 | | | Puerto Rico Sales Tax Financing Corp. (Build America Bonds) | | | 5.750 | % | | | 08/01/2042 | | | $ | 100,100 | |
| | 42,745,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 0.000 | 2 | | | 08/01/2033 | | | | 12,863,680 | |
| | 1,630,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.000 | | | | 08/01/2024 | | | | 778,325 | |
| | 15,735,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.000 | | | | 08/01/2043 | | | | 7,513,463 | |
| | 11,885,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.250 | | | | 08/01/2027 | | | | 5,675,088 | |
| | 51,045,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.375 | | | | 08/01/2039 | | | | 24,373,988 | |
| | 700,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2023 | | | | 334,250 | |
| | 4,145,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2028 | | | | 1,979,238 | |
| | 13,705,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2037 | | | | 6,544,138 | |
| | 45,145,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.500 | | | | 08/01/2042 | | | | 21,556,738 | |
| | 44,060,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 5.750 | | | | 08/01/2037 | | | | 21,589,400 | |
| | 2,250,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.125 | | | | 08/01/2029 | | | | 1,155,938 | |
| | 3,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.375 | | | | 08/01/2039 | | | | 1,545,000 | |
| | 53,275,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 6.500 | | | | 08/01/2044 | | | | 27,503,219 | |
| | 7,945,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 7.886 | 4 | | | 08/01/2034 | | | | 891,111 | |
| | 37,060,000 | | | Puerto Rico Sales Tax Financing Corp., Series A | | | 8.691 | 4 | | | 08/01/2035 | | | | 4,135,525 | |
| | 30,980,000 | | | Puerto Rico Sales Tax Financing Corp., Series A-1 | | | 5.250 | | | | 08/01/2043 | | | | 14,792,950 | |
| | 330,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 4.000 | | | | 08/01/2026 | | | | 225,727 | |
| | 300,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.000 | | | | 08/01/2035 | | | | 143,250 | |
| | 135,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.000 | | | | 08/01/2046 | | | | 91,905 | |
| | 63,620,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.250 | | | | 08/01/2041 | | | | 30,378,550 | |
| | 3,670,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.375 | | | | 08/01/2036 | | | | 1,752,425 | |
| | 5,290,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.375 | | | | 08/01/2038 | | | | 2,525,975 | |
| | 10,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.500 | | | | 08/01/2040 | | | | 4,775,000 | |
| | 19,555,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 5.750 | | | | 08/01/2057 | | | | 13,313,631 | |
| | 5,000,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2039 | | | | 2,556,250 | |
| | 65,245,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.000 | | | | 08/01/2042 | | | | 33,356,506 | |
| | 10,865,000 | | | Puerto Rico Sales Tax Financing Corp., Series C | | | 6.750 | 2 | | | 08/01/2032 | | | | 5,649,800 | |
| | 5,000,000 | | | University of Puerto Rico, Series P | | | 5.000 | | | | 06/01/2030 | | | | 2,261,250 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 769,136,649 | |
| | | | | | | | | | | | | | | | |
| | Total Municipal Bonds and Notes (Cost $6,829,245,164) | | | | | | | | | | | 5,765,922,528 | |
| | | | |
| | | | | | | | | | | | | |
| | Corporate Bond and Note—0.1% | | | | | | | | | |
| | 2,890,000 | | | TX German Pellets Series Secured Note, Series 201612 (Cost $2,890,000) | | | 8.000 | | | | 06/13/2017 | | | | 2,890,000 | |
| | | | |
| | | | | | | | | | | | | |
| | Corporate Loans—0.0% | | | | | | | | | |
| | 6,000,000 | | | Aspen Power Senior Secured Bridge Promissory Note12 | | | 9.000 | 8 | | | 11/16/2017 | | | | 561,036 | |
| | 2,750,000 | | | Aspen Power Senior Secured Bridge Promissory Note12 | | | 9.000 | 8 | | | 11/16/2017 | | | | 257,142 | |
| | 7,000,000 | | | Aspen Power Senior Secured Bridge Promissory Note12 | | | 9.000 | 8 | | | 11/16/2017 | | | | 654,542 | |
56 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | | | | | | | | | | | | | | | |
Principal Amount | | | | | Coupon | | | Maturity | | | Value | |
| | Corporate Loans (Continued) | | | | | | | | | |
| | $3,500,000 | | | Aspen Power Senior Secured Bridge Promissory Note12 | | | 9.000 | %8 | | | 11/16/2017 | | | | $ 327,271 | |
| | | | | | | | | | | | | | | | |
| | Total Corporate Loans (Cost $19,250,000) | | | | | | | | | | | 1,799,991 | |
| | | | |
| Shares | | | | | | | | | | | | |
| | Common Stocks—0.0% | | | | | | | | | |
| | 7,679 | | | Delta Air Lines, Inc.12 | | | | | | | | | | | 362,756 | |
| | 2,919 | | | General Motors Co.12 | | | | | | | | | | | 106,864 | |
| | 3,627 | | | WCI Communities, Inc.12,13 | | | | | | | | | | | 84,872 | |
| | | | | | | | | | | | | | | | |
| | Total Common Stocks (Cost $112,350) | | | | | | | | | | | 554,492 | |
| | | | |
| | | | | | | | | | | | | | | | | |
| | Total Investments, at Value (Cost $6,851,497,514)—109.5% | | | | | | | | | | | 5,771,167,011 | |
| | Net Other Assets (Liabilities)—(9.5) | | | | | | | | | | | (501,080,944 | ) |
| | | | | | | | | | | | | | | | |
| | Net Assets—100.0% | | | | | | | | | | | $ 5,270,086,067 | |
| | | | | | | | | | | | | | | | |
Footnotes to Statement of Investments
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. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
3. 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.
4. Zero coupon bond reflects effective yield on the original acquisition date.
5. 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.
6. 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.
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. Security received as the result of issuer reorganization.
10. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
11. Subject to a forbearance agreement. Rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.
12. Received as a result of a corporate action.
13. Non-income producing security.
14. Scheduled principal and interest payments are guaranteed by Assured Guaranty Corporation or National Public Finance Guarantee.
15. Scheduled principal and interest payments are guaranteed by Financial Guaranty Insurance Corporation.
16. Interest or dividend is paid-in-kind, when applicable.
To simplify the listings of securities, abbreviations are used per the table below:
| | |
ACMC | | Advocate Condell Medical Center |
AE | | American Eagle |
AH&HC | | Advocate Health & Hospitals Corp. |
AHACHC | | ARC/HDS Alamance Country Housing Corp. |
AHCN | | Advocate Health Care Metro |
57 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
To simplify the listings of securities, abbreviations are used per the table below: (Continued)
| | |
ANSHN | | Advocate North Side Health Network |
ARC | | Assoc. of Retarded Citizens |
BHCor | | Baptist Health Corbin |
BHI | | Baptist Homes of Indiana |
BHL | | Baptist Health Louisville |
BHLex | | Baptist Health Lexington |
BHlthL | | Baptist Health Lagrange |
BHM | | Baptist Hospital of Miami |
BHP | | Baptist Health Paducah |
BHS | | Baptist Healthcare System |
BHSF | | Baptist Health South Florida |
BMH | | Bakersfield Memorial Hospital |
BOS | | Baptist Outpatient Services |
BVHF | | Blanchard Valley Health Foundation |
BVRHC | | Blanchard Valley Regional Health Care |
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 |
CHCW | | Catholic Healthcare West |
CMCD | | Children’s Medical Center of Dallas |
CMCtrF | | Children’s Medical Center Foundation |
CMF | | CHCW Medical Foundation |
CmntyHOSB | | Community Hospital of San Bernardino |
COHS | | Community Health Service |
COP | | Certificates of Participation |
CVHC | | Conneaut Valley Health Center |
DA | | Dormitory Authority |
DHlth | | Dignity Health |
DrsH | | Doctors Hospital |
EDA | | Economic Devel. Authority |
EDC | | Economic Devel. Corp. |
EDFA | | Economic Devel. Finance Authority |
FBA | | FFAH Beaumont Avenue |
FCIM | | French Creek Internal Medicine |
FCommH | | Fayette Community Hospital |
FCP | | FFAH Coleridge Road |
FFC | | FFAH Franklin Court |
FGC | | FFAH Glendale Court |
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 |
58 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
To simplify the listings of securities, abbreviations are used per the table below: (Continued)
| | |
H&EFA | | Health and Educational Facilities Authority |
H&HEFA | | Hospitals and Higher Education Facilities Authority |
HCCO | | Homecare Connections |
HCrawC | | Hospice of Crawford County |
HDC | | Housing Devel. Corp. |
HDS | | Housing Devel. Services |
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. |
HFHS | | Henry Ford Health System |
HFMHCT | | Henry Ford Macomb Hospital Corp.-Clinton Township |
HFWH | | Henry Ford Wyandotte Hospital |
HHI | | Homestead Hospital |
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 |
MarH | | Mariners Hospital |
MHRMC | | Mission Hospital Regional Medical Center |
MMedC | | Meadville Medical Center |
MMedCF | | Meadville Medical Center Foundation |
MPS | | Meadville Physician Services |
MRC | | Methodist Retirement Communities |
MSrH | | Mercy Senior Housing |
MTA | | Metropolitan Transportation Authority |
NY/NJ | | New York/New Jersey |
NYC | | New York City |
NYS | | New York State |
PAS | | Presence Ambulatory Services |
PBH | | Presence Behavioral Health |
PC&SHN | | Presence Central & Suburban Hospitals Network |
PCHN | | Presence Chicago Hospitals Network |
PClinic | | Piedmont Clinic |
PCTC | | Presence Care Transformation Corp. |
PHC | | Piedmont Healthcare |
PHCr | | Presence Home Care |
PHFBT | | Presence Health Food Foundation Board of Trustees |
PHHosp | | Piedmont Henry Hospital |
PHI | | Piedmont Heart Institute |
PHIP | | Piedmont Heart Institute Physicians |
PHlthCF | | Piedmont Healthcare Foundation |
PHN | | Presence Health Network |
59 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF INVESTMENTS Unaudited / Continued
To simplify the listings of securities, abbreviations are used per the table below: (Continued)
| | |
PHosp | | Piedmont Hospital |
PLC | | Presence Life Connections |
PMCC | | Piedmont Medical Care Corp. |
PMSH | | Piedmont Mountainside Hospital |
PNH | | Piedmont Newnan Hospital |
PSSC | | Presence Senior Services - Chicagoland |
QVMCNC | | Queen of the Valley Medical Center of Napa California |
Res Rec | | Resource Recovery Facility |
ROLs | | Reset Option Longs |
SFMH | | St. Francis Memorial Hospital |
SHSvcs | | Sequoia Health Services |
SJHCN | | St. Joseph Home Care Network |
SJHE | | St. Joseph Hospital of Eureka |
SJHO | | St. Joseph Hospital of Orange |
SJHosp | | St. Jude Hospital |
SJHS | | St. Joseph Health System |
SMH | | South Miami Hospital |
SMMCtr | | St. Mary’s Medical Center |
SNVMMH | | Sierra Nevada Memorial-Miners Hospital |
SrL16 | | Senior Living 2016 |
SrLF | | Senior Living Fairfield |
SrLFW | | Senior Living Fort Wayne |
SrLW | | Senior Living Waterville |
TAH | | Titusville Area Hospital |
TAHC | | Titusville Area Health Center |
TAHCF | | Titusville Area Health Foundation |
TAHS | | Titusville Area Health Service |
TASC | | Tobacco Settlement Asset-Backed Bonds |
VOA | | Volunteers of America |
WAFMH | | W A Foote Memorial Hospital |
WICF | | W.I. Cook Foundation |
WKBP | | West Kendall Baptist Hospital |
See accompanying Notes to Financial Statements.
60 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF ASSETS AND LIABILITIES January 31, 2017 Unaudited
| | | | |
Assets | | | | |
Investments, at value (cost $6,851,497,514) —see accompanying statement of investments | | $ | 5,771,167,011 | |
Receivables and other assets: | | | | |
Interest | | | 78,679,819 | |
Shares of beneficial interest sold | | | 11,354,547 | |
Investments sold on a when-issued or delayed delivery basis | | | 2,613,434 | |
Other | | | 1,205,778 | |
| | | | |
Total assets | | | 5,865,020,589 | |
| | | | |
Liabilities | | | | |
Bank overdraft | | | 23,317 | |
Payables and other liabilities: | | | | |
Payable for short-term floating rate notes issued (See Note 4) | | | 516,480,000 | |
Payable for borrowings (See Note 9) | | | 37,500,000 | |
Investments purchased on a when-issued or delayed delivery basis | | | 26,729,350 | |
Dividends | | | 6,450,603 | |
Shares of beneficial interest redeemed | | | 6,138,000 | |
Trustees’ compensation | | | 629,816 | |
Distribution and service plan fees | | | 547,934 | |
Shareholder communications | | | 4,689 | |
Interest expense on borrowings | | | 4,226 | |
Other | | | 426,587 | |
| | | | |
Total liabilities | | | 594,934,522 | |
| | | | |
Net Assets | | $ | 5,270,086,067 | |
| | | | |
| | | | |
Composition of Net Assets | | | | |
Paid-in capital | | $ | 8,831,035,514 | |
Accumulated net investment income | | | 81,229,369 | |
Accumulated net realized loss on investments | | | (2,561,848,313) | |
Net unrealized depreciation on investments | | | (1,080,330,503) | |
| | | | |
Net Assets | | $ | 5,270,086,067 | |
| | | | |
61 OPPENHEIMER ROCHESTER HIGH YIELD 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 $3,027,152,351 and 433,942,189 shares of beneficial interest outstanding) | | $ | 6.98 | |
| |
| Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | | $ | 7.33 | |
| |
| Class B Shares: | | | | |
| |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $20,833,459 and 2,971,713 shares of beneficial interest outstanding) | | $ | 7.01 | |
| |
| Class C Shares: | | | | |
| |
| Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,275,099,848 and 183,515,022 shares of beneficial interest outstanding) | | $ | 6.95 | |
| |
| Class Y Shares: | | | | |
| |
| Net asset value, redemption price and offering price per share (based on net assets of $947,000,409 and 135,886,281 shares of beneficial interest outstanding) | | $ | 6.97 | |
See accompanying Notes to Financial Statements.
62 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF
OPERATIONS For the Six Months Ended January 31, 2017 Unaudited
| | | | |
Investment Income | | | | |
Interest | | $ | 184,898,998 | |
Dividends | | | 5,328 | |
| | | | |
Total investment income | | | 184,904,326 | |
| | | | |
Expenses | | | | |
Management fees | | | 10,294,820 | |
Distribution and service plan fees: | | | | |
Class A | | | 2,343,490 | |
Class B | | | 114,896 | |
Class C | | | 6,095,649 | |
Transfer and shareholder servicing agent fees: | | | | |
Class A | | | 1,584,891 | |
Class B | | | 12,774 | |
Class C | | | 677,355 | |
Class Y | | | 468,314 | |
Shareholder communications: | | | | |
Class A | | | 20,157 | |
Class B | | | 194 | |
Class C | | | 11,570 | |
Class Y | | | 6,685 | |
Interest expense and fees on short-term floating rate notes issued (See Note 4) | | | 5,415,538 | |
Borrowing fees | | | 3,510,432 | |
Legal, auditing and other professional fees | | | 2,304,968 | |
Interest expense on borrowings | | | 117,195 | |
Trustees’ compensation | | | 44,294 | |
Custodian fees and expenses | | | 22,404 | |
Other | | | 30,709 | |
| | | | |
Total expenses | | | 33,076,335 | |
Net Investment Income | | | 151,827,991 | |
Realized and Unrealized Loss | | | | |
Net realized loss on investments | | | (157,119,174) | |
Net change in unrealized appreciation/depreciation on investments | | | (137,888,890) | |
Net Decrease in Net Assets Resulting from Operations | | $ | (143,180,073) | |
| | | | |
See accompanying Notes to Financial Statements.
63 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENTS OF CHANGES IN NET ASSETS
| | | | | | | | |
| | | Six Months Ended
January 31, 2017
(Unaudited) | | | Year Ended
July 31, 2016 | |
Operations | | | | | | | | |
Net investment income | | $ | 151,827,991 | | | $ | 331,235,088 | |
Net realized loss | | | (157,119,174) | | | | (2,076,581) | |
Net change in unrealized appreciation/depreciation | | | (137,888,890) | | | | 385,032,195 | |
| | | | |
Net increase (decrease) in net assets resulting from operations | | | (143,180,073) | | | | 714,190,702 | |
| | | | | | | | |
Dividends and/or Distributions to Shareholders | | | | | | | | |
Dividends from net investment income: | | | | | | | | |
Class A | | | (95,482,235) | | | | (202,787,362) | |
Class B | | | (666,217) | | | | (2,211,758) | |
Class C | | | (35,880,723) | | | | (76,045,026) | |
Class Y | | | (28,974,361) | | | | (54,440,217) | |
| | | | |
| | | (161,003,536) | | | | (335,484,363) | |
| | | | | | | | |
Beneficial Interest Transactions | | | | | | | | |
Net increase (decrease) in net assets resulting from beneficial interest transactions: | | | | | | | | |
Class A | | | (43,305,917) | | | | 51,939,322 | |
Class B | | | (8,664,216) | | | | (21,534,658) | |
Class C | | | (24,280,135) | | | | 46,666,928 | |
Class Y | | | 78,432,298 | | | | 170,204,604 | |
| | | | |
| | | 2,182,030 | | | | 247,276,196 | |
| | | | | | | | |
Net Assets | | | | | | | | |
Total increase (decrease) | | | (302,001,579) | | | | 625,982,535 | |
Beginning of period | | | 5,572,087,646 | | | | 4,946,105,111 | |
| | | | |
| End of period (including accumulated net investment income of $81,229,369 and $90,404,914, respectively) | | $ | 5,270,086,067 | | | $ | 5,572,087,646 | |
| | | | |
See accompanying Notes to Financial Statements.
64 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
STATEMENT OF
CASH FLOWS For the Six Months Ended January 31, 2017 Unaudited
| | | | |
Cash Flows from Operating Activities | | | | |
Net decrease in net assets from operations | | $ | (143,180,073) | |
Adjustments to reconcile net decrease in net assets from operations to net cash provided by operating activities: | | | | |
| |
Purchase of investment securities | | | (1,405,944,682) | |
Proceeds from disposition of investment securities | | | 1,246,061,243 | |
Short-term investment securities, net | | | 90,924,628 | |
Premium amortization | | | 11,163,465 | |
Discount accretion | | | (45,005,201) | |
Net realized loss on investments | | | 157,119,174 | |
Net change in unrealized appreciation/depreciation on investments | | | 137,888,890 | |
Change in assets: | | | | |
Decrease in other assets | | | 1,157,912 | |
Increase in interest receivable | | | (1,507,315) | |
Decrease in receivable for securities sold | | | 118,618,677 | |
Change in liabilities: | | | | |
Decrease in other liabilities | | | (80,941) | |
Decrease in payable for securities purchased | | | (19,703,256) | |
| | | | |
Net cash provided by operating activities | | | 147,512,521 | |
Cash Flows from Financing Activities | | | | |
Proceeds from borrowings | | | 407,400,000 | |
Payments on borrowings | | | (369,900,000) | |
Payments on short-term floating rate notes issued | | | (97,680,000) | |
Proceeds from shares sold | | | 870,765,925 | |
Payments on shares redeemed | | | (974,971,787) | |
Cash distributions paid | | | (28,738,700) | |
| | | | |
Net cash used in financing activities | | | (193,124,562) | |
Net decrease in cash | | | (45,612,041) | |
Cash, beginning balance | | | 45,588,724 | |
| | | | |
Cash, ending balance | | $ | (23,317) | |
| | | | |
Supplemental disclosure of cash flow information:
Noncash financing activities not included herein consist of reinvestment of dividends and distributions of $130,660,805.
Cash paid for interest on borrowings—$112,969.
Cash paid for interest on short-term floating rate notes issued—$5,415,538
See accompanying Notes to Financial Statements.
65 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class A | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $7.37 | | | | $6.86 | | | | $7.01 | | | | $6.87 | | | | $7.50 | | | | $6.92 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.21 | | | | 0.46 | | | | 0.51 | | | | 0.50 | | | | 0.51 | | | | 0.50 | |
| Net realized and unrealized gain (loss) | | | (0.38) | | | | 0.52 | | | | (0.18) | | | | 0.13 | | | | (0.65) | | | | 0.60 | |
| | | | |
| Total from investment operations | | | (0.17) | | | | 0.98 | | | | 0.33 | | | | 0.63 | | | | (0.14) | | | | 1.10 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.22) | | | | (0.47) | | | | (0.48) | | | | (0.49) | | | | (0.49) | | | | (0.52) | |
| |
| Net asset value, end of period | | | $6.98 | | | | $7.37 | | | | $6.86 | | | | $7.01 | | | | $6.87 | | | | $7.50 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value2 | | | (2.50)% | | | | 14.91% | | | | 4.59% | | | | 9.63% | | | | (2.19)% | | | | 16.63% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $3,027,152 | | | | $3,245,013 | | | | $2,968,690 | | | | $3,260,438 | | | | $3,688,901 | | | | $4,463,156 | |
| |
| Average net assets (in thousands) | | | $3,142,324 | | | | $3,064,632 | | | | $3,258,788 | | | | $3,477,994 | | | | $4,450,000 | | | | $4,001,353 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 5.70% | | | | 6.54% | | | | 7.19% | | | | 7.24% | | | | 6.69% | | | | 7.00% | |
| Expenses excluding specific expenses listed below | | | 0.71% | | | | 0.74% | | | | 0.74% | | | | 0.71% | | | | 0.73% | | | | 0.64% | |
| Interest and fees from borrowings | | | 0.13% | | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.20% | | | | 0.17% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | |
| | | | |
| Total expenses | | | 1.04% | | | | 1.00% | | | | 0.99% | | | | 1.05% | | | | 1.08% | | | | 1.07% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.04% | | | | 1.00% | | | | 0.99% | | | | 1.05%5 | | | | 1.08%5 | | | | 1.07%5 | |
| |
| Portfolio turnover rate | | | 21% | | | | 20% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | |
66 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
5. Waiver was less than 0.005%.
See accompanying Notes to Financial Statements.
67 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class B | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $7.41 | | | | $6.89 | | | | $7.04 | | | | $6.89 | | | | $7.53 | | | | $6.94 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.18 | | | | 0.41 | | | | 0.46 | | | | 0.45 | | | | 0.45 | | | | 0.44 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.52 | | | | (0.19) | | | | 0.14 | | | | (0.66) | | | | 0.61 | |
| | | | |
| Total from investment operations | | | (0.21) | | | | 0.93 | | | | 0.27 | | | | 0.59 | | | | (0.21) | | | | 1.05 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.19) | | | | (0.41) | | | | (0.42) | | | | (0.44) | | | | (0.43) | | | | (0.46) | |
| |
| Net asset value, end of period | | | $7.01 | | | | $7.41 | | | | $6.89 | | | | $7.04 | | | | $6.89 | | | | $7.53 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value2 | | | (2.99)% | | | | 14.14% | | | | 3.79% | | | | 8.89% | | | | (3.12)% | | | | 15.76% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $20,834 | | | | $30,878 | | | | $49,792 | | | | $77,369 | | | | $107,602 | | | | $161,197 | |
| |
| Average net assets (in thousands) | | | $25,239 | | | | $37,720 | | | | $65,703 | | | | $90,234 | | | | $142,525 | | | | $156,216 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 5.03% | | | | 5.84% | | | | 6.43% | | | | 6.49% | | | | 5.86% | | | | 6.17% | |
| Expenses excluding specific expenses listed below | | | 1.47% | | | | 1.49% | | | | 1.50% | | | | 1.49% | | | | 1.56% | | | | 1.48% | |
| Interest and fees from borrowings | | | 0.13% | | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.20% | | | | 0.17% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | |
| | | | |
| Total expenses | | | 1.80% | | | | 1.75% | | | | 1.75% | | | | 1.83% | | | | 1.91% | | | | 1.91% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.80% | | | | 1.75% | | | | 1.75% | | | | 1.83%5 | | | | 1.91%5 | | | | 1.91%5 | |
| |
| Portfolio turnover rate | | | 21% | | | | 20% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | |
68 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities.
5. Waiver was less than 0.005%.
See accompanying Notes to Financial Statements.
69 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class C | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $7.35 | | | | $6.83 | | | | $6.99 | | | | $6.85 | | | | $7.48 | | | | $6.90 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.18 | | | | 0.41 | | | | 0.46 | | | | 0.44 | | | | 0.45 | | | | 0.44 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.53 | | | | (0.20) | | | | 0.14 | | | | (0.65) | | | | 0.61 | |
| | | | |
| Total from investment operations | | | (0.21) | | | | 0.94 | | | | 0.26 | | | | 0.58 | | | | (0.20) | | | | 1.05 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.19) | | | | (0.42) | | | | (0.42) | | | | (0.44) | | | | (0.43) | | | | (0.47) | |
| |
| Net asset value, end of period | | | $6.95 | | | | $7.35 | | | | $6.83 | | | | $6.99 | | | | $6.85 | | | | $7.48 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value2 | | | (2.88)% | | | | 14.13% | | | | 3.68% | | | | 8.84% | | | | (2.94)% | | | | 15.80% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $1,275,100 | | | | $1,375,239 | | | | $1,234,906 | | | | $1,311,700 | | | | $1,463,567 | | | | $1,691,778 | |
| |
| Average net assets (in thousands) | | | $1,342,965 | | | | $1,289,508 | | | | $1,344,166 | | | | $1,337,849 | | | | $1,735,006 | | | | $1,533,562 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 4.95% | | | | 5.80% | | | | 6.43% | | | | 6.49% | | | | 5.92% | | | | 6.23% | |
| Expenses excluding specific expenses listed below | | | 1.47% | | | | 1.49% | | | | 1.50% | | | | 1.47% | | | | 1.50% | | | | 1.41% | |
| Interest and fees from borrowings | | | 0.13% | | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.20% | | | | 0.17% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | |
| | | | |
| Total expenses | | | 1.80% | | | | 1.75% | | | | 1.75% | | | | 1.81% | | | | 1.85% | | | | 1.84% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 1.80% | | | | 1.75% | | | | 1.75% | | | | 1.81%5 | | | | 1.85%5 | | | | 1.84%5 | |
| |
| Portfolio turnover rate | | | 21% | | | | 20% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | |
70 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities
5. Waiver was less than 0.005%.
See accompanying Notes to Financial Statements.
71 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
FINANCIAL HIGHLIGHTS Continued
| | | | | | | | | | | | | | | | | | | | | | | | |
| Class Y | | Six Months
Ended
January 31,
2017
(Unaudited) | | | Year Ended
July 31, 2016 | | | Year Ended
July 31, 2015 | | | Year Ended
July 31, 2014 | | | Year Ended
July 31, 2013 | | | Year Ended
July 31, 2012 | |
| Per Share Operating Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, beginning of period | | | $7.37 | | | | $6.85 | | | | $7.00 | | | | $6.86 | | | | $7.50 | | | | $6.91 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income1 | | | 0.21 | | | | 0.47 | | | | 0.52 | | | | 0.50 | | | | 0.52 | | | | 0.50 | |
| Net realized and unrealized gain (loss) | | | (0.39) | | | | 0.53 | | | | (0.18) | | | | 0.14 | | | | (0.66) | | | | 0.62 | |
| | | | |
| Total from investment operations | | | (0.18) | | | | 1.00 | | | | 0.34 | | | | 0.64 | | | | (0.14) | | | | 1.12 | |
| |
| Dividends and/or distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | |
| Dividends from net investment income | | | (0.22) | | | | (0.48) | | | | (0.49) | | | | (0.50) | | | | (0.50) | | | | (0.53) | |
| |
| Net asset value, end of period | | | $6.97 | | | | $7.37 | | | | $6.85 | | | | $7.00 | | | | $6.86 | | | | $7.50 | |
| | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Return, at Net Asset Value2 | | | (2.43)% | | | | 15.10% | | | | 4.61% | | | | 9.96% | | | | (2.19)% | | | | 16.97% | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental Data | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (in thousands) | | | $947,000 | | | | $920,958 | | | | $692,717 | | | | $562,641 | | | | $472,068 | | | | $517,080 | |
| |
| Average net assets (in thousands) | | | $929,176 | | | | $804,978 | | | | $700,339 | | | | $501,364 | | | | $572,611 | | | | $344,746 | |
| |
| Ratios to average net assets:3 | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | 5.82% | | | | 6.68% | | | | 7.33% | | | | 7.36% | | | | 6.83% | | | | 7.05% | |
| Expenses excluding specific expenses listed below | | | 0.57% | | | | 0.59% | | | | 0.59% | | | | 0.56% | | | | 0.59% | | | | 0.49% | |
| Interest and fees from borrowings | | | 0.13% | | | | 0.09% | | | | 0.08% | | | | 0.09% | | | | 0.10% | | | | 0.12% | |
| Interest and fees on short-term floating rate notes issued4 | | | 0.20% | | | | 0.17% | | | | 0.17% | | | | 0.25% | | | | 0.25% | | | | 0.31% | |
| | | | |
| Total expenses | | | 0.90% | | | | 0.85% | | | | 0.84% | | | | 0.90% | | | | 0.94% | | | | 0.92% | |
| Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | | | 0.90% | | | | 0.85% | | | | 0.84% | | | | 0.90% | | | | 0.94%5 | | | | 0.92%5 | |
| |
| Portfolio turnover rate | | | 21% | | | | 20% | | | | 16% | | | | 16% | | | | 18% | | | | 11% | |
72 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
1. Per share amounts calculated based on the average shares outstanding during the period.
2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
3. Annualized for periods less than one full year.
4. Interest and fee expense related to the Fund’s liability for short-term floating rate notes issued in conjunction with inverse floating rate securities
5. Waiver was less than 0.005%.
See accompanying Notes to Financial Statements.
73 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS January 31, 2017 Unaudited
1. Organization
Oppenheimer Rochester High-Yield 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.
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.
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,
74 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.
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. The Fund has analyzed its tax positions for the fiscal year ended July 31, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.
During the fiscal year ended July 31, 2016, the Fund utilized $17,180,805 of capital loss carryforward to offset capital gains realized in that fiscal year. Details of the fiscal year ended July 31, 2016 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.
75 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
2. Significant Accounting Policies (Continued)
Capital losses with no expiration will be carried forward to future years if not offset by gains.
| | | | |
| Expiring | | | |
2017 | | $ | 566,789,505 | |
2018 | | | 915,944,693 | |
2019 | | | 35,463,515 | |
No expiration | | | 889,939,777 | |
| | | | |
Total | | $ | 2,408,137,490 | |
| | | | |
At period end, it is estimated that the capital loss carryforwards would be $1,518,197,713 expiring by 2019 and $1,047,058,951, 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.
| | | | |
Total federal tax cost | | $ | 6,311,323,2631 | |
| | | | |
| |
Gross unrealized appreciation | | $ | 438,377,624 | |
Gross unrealized depreciation | | | (1,544,524,277) | |
| | | | |
Net unrealized depreciation | | $ | (1,106,146,653) | |
| | | | |
1. The Federal tax cost of securities does not include cost of $565,990,401, 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.
76 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
2. Significant Accounting Policies (Continued)
Recent Accounting Pronouncement. In October 2016, the Securities and Exchange Commission (“SEC”) adopted amendments to rules under the Investment Company Act of 1940 (“final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. The final rules amend Regulation S-X and require funds to provide standardized, enhanced derivative disclosure in fund financial statements in a format designed for individual investors. The amendments to Regulation S-X also update the disclosures for other investments and investments in, and advances to affiliates and amend the rules regarding the general form and content of fund financial statements. The compliance date for the amendments to Regulation S-X is August 1, 2017. OFI Global is currently evaluating the amendments and their impact, if any, on the fund’s financial statements.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at 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:
Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Fund’s assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded. If the official closing price or last sales 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
77 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
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 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.
78 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
3. Securities Valuation (Continued)
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 | | $ | — | | | $ | 207,795,525 | | | $ | — | | | $ | 207,795,525 | |
Alaska | | | — | | | | 21,770,525 | | | | 209,732 | | | | 21,980,257 | |
Arizona | | | — | | | | 71,866,779 | | | | 1,069,127 | | | | 72,935,906 | |
Arkansas | | | — | | | | — | | | | 3,356,009 | | | | 3,356,009 | |
California | | | — | | | | 713,742,767 | | | | 20 | | | | 713,742,787 | |
Colorado | | | — | | | | 170,595,378 | | | | 3,623,900 | | | | 174,219,278 | |
Connecticut | | | — | | | | 51,731,065 | | | | — | | | | 51,731,065 | |
Delaware | | | — | | | | 7,416,469 | | | | — | | | | 7,416,469 | |
District of Columbia | | | — | | | | 95,839,088 | | | | — | | | | 95,839,088 | |
79 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 | | $ | — | | | $ | 516,654,162 | | | $ | 21,880,556 | | | $ | 538,534,718 | |
Georgia | | | — | | | | 79,715,774 | | | | — | | | | 79,715,774 | |
Hawaii | | | — | | | | 2,614,270 | | | | — | | | | 2,614,270 | |
Idaho | | | — | | | | 1,270,612 | | | | — | | | | 1,270,612 | |
Illinois | | | — | | | | 338,060,728 | | | | 9,952,143 | | | | 348,012,871 | |
Indiana | | | — | | | | 72,350,212 | | | | — | | | | 72,350,212 | |
Iowa | | | — | | | | 22,839,424 | | | | 113,158 | | | | 22,952,582 | |
Kansas | | | — | | | | 1,975,533 | | | | — | | | | 1,975,533 | |
Kentucky | | | — | | | | 33,852,479 | | | | — | | | | 33,852,479 | |
Louisiana | | | — | | | | 35,572,902 | | | | 118,159 | | | | 35,691,061 | |
Maine | | | — | | | | 19,300,306 | | | | — | | | | 19,300,306 | |
Maryland | | | — | | | | 5,012,597 | | | | — | | | | 5,012,597 | |
Massachusetts | | | — | | | | 96,405,267 | | | | — | | | | 96,405,267 | |
Michigan | | | — | | | | 83,122,652 | | | | — | | | | 83,122,652 | |
Minnesota | | | — | | | | 32,228,607 | | | | — | | | | 32,228,607 | |
Mississippi | | | — | | | | 7,807,906 | | | | — | | | | 7,807,906 | |
Missouri | | | — | | | | 69,847,464 | | | | — | | | | 69,847,464 | |
Montana | | | — | | | | — | | | | 1,185,041 | | | | 1,185,041 | |
Nebraska | | | — | | | | 25,989,826 | | | | — | | | | 25,989,826 | |
Nevada | | | — | | | | 11,010,918 | | | | — | | | | 11,010,918 | |
New Hampshire | | | — | | | | 1,451,651 | | | | — | | | | 1,451,651 | |
New Jersey | | | — | | | | 278,977,051 | | | | — | | | | 278,977,051 | |
New Mexico | | | — | | | | 8,713,781 | | | | — | | | | 8,713,781 | |
New York | | | — | | | | 329,242,040 | | | | — | | | | 329,242,040 | |
North Carolina | | | — | | | | 3,323,085 | | | | — | | | | 3,323,085 | |
North Dakota | | | — | | | | 5,670,314 | | | | — | | | | 5,670,314 | |
Ohio | | | — | | | | 510,445,685 | | | | — | | | | 510,445,685 | |
Oklahoma | | | — | | | | 8,462,460 | | | | — | | | | 8,462,460 | |
Oregon | | | — | | | | 4,746,687 | | | | — | | | | 4,746,687 | |
Pennsylvania | | | — | | | | 120,537,816 | | | | 1,038,896 | | | | 121,576,712 | |
Rhode Island | | | — | | | | 20,315,325 | | | | — | | | | 20,315,325 | |
South Carolina | | | — | | | | 17,231,656 | | | | 13,503,938 | | | | 30,735,594 | |
South Dakota | | | — | | | | 1,351,142 | | | | — | | | | 1,351,142 | |
Tennessee | | | — | | | | 16,581,918 | | | | — | | | | 16,581,918 | |
Texas | | | — | | | | 525,114,075 | | | | 1,512,132 | | | | 526,626,207 | |
Utah | | | — | | | | 25,198,176 | | | | — | | | | 25,198,176 | |
Virginia | | | — | | | | 44,712,900 | | | | 6,672,785 | | | | 51,385,685 | |
Washington | | | — | | | | 73,160,749 | | | | — | | | | 73,160,749 | |
West Virginia | | | — | | | | 21,422,761 | | | | — | | | | 21,422,761 | |
Wisconsin | | | — | | | | 119,463,176 | | | | 38,600 | | | | 119,501,776 | |
U.S. Possessions | | | — | | | | 763,417,315 | | | | 5,719,334 | | | | 769,136,649 | |
Corporate Bond and Note | | | — | | | | 2,890,000 | | | | — | | | | 2,890,000 | |
Corporate Loans | | | — | | | | — | | | | 1,799,991 | | | | 1,799,991 | |
Common Stocks | | | 554,492 | | | | — | | | | — | | | | 554,492 | |
| | | | |
Total Assets | | $ | 554,492 | | | $ | 5,698,818,998 | | | $ | 71,793,521 | | | $ | 5,771,167,011 | |
| | | | |
80 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 table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| | | | | | | | |
| | | Transfers out of
Level 2* | | | Transfers into
Level 3* | |
| |
Assets Table | | | | | | | | |
Investments, at Value: | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | |
Alaska | | $ | (181,417 | ) | | $ | 181,417 | |
Iowa | | | (127,542 | ) | | | 127,542 | |
U.S. Possessions | | | (5,836,938 | ) | | | 5,836,938 | |
| | | | |
Total Assets | | $ | (6,145,897 | ) | | $ | 6,145,897 | |
| | | | |
* Transferred from Level 2 to Level 3 because of the lack of observable market data.
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, 2016 | | | Realized gain
(loss) | | | Change in
unrealized
appreciation/
depreciation | | | Accretion/
(amortization)
of premium/
discounta | |
Assets Table | | | | | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | | | | | |
Alaska | | $ | 54,975 | | | $ | — | | | $ | (26,588) | | | $ | (72) | |
Arizona | | | 1,147,646 | | | | — | | | | (78,274) | | | | (245) | |
Arkansas | | | 3,357,081 | | | | — | | | | (1,072) | | | | — | |
California | | | 20 | | | | — | | | | — | | | | — | |
Colorado | | | 5,227,731 | | | | — | | | | (1,954,444) | | | | 350,613 | |
Florida | | | 21,139,065 | | | | — | | | | (57,137) | | | | 798,628 | |
Illinois | | | 12,502,117 | | | | — | | | | (134,974) | | | | — | |
Iowa | | | — | | | | — | | | | (14,384) | | | | — | |
Louisiana | | | 1,771,441 | | | | — | | | | (1,725,740) | | | | 72,458 | |
Montana | | | 1,186,169 | | | | — | | | | (8,865) | | | | 7,737 | |
Pennsylvania | | | 1,044,881 | | | | — | | | | (5,985) | | | | — | |
South Carolina | | | 13,881,542 | | | | 42,329 | | | | (85,884) | | | | 5,951 | |
Texas | | | 7,662,359 | | | | — | | | | (1,495,227) | | | | — | |
Virginia | | | 6,676,492 | | | | — | | | | (29,245) | | | | 25,538 | |
Wisconsin | | | 38,600 | | | | — | | | | — | | | | — | |
U.S. Possessions | | | — | | | | — | | | | (117,604) | | | | — | |
Corporate Loans | | | 13,475,000 | | | | — | | | | (11,675,009) | | | | — | |
| | | | |
Total Assets | | $ | 89,165,119 | | | $ | 42,329 | | | $ | (17,410,432) | | | $ | 1,260,608 | |
| | | | |
a. Included in net investment income.
81 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
3. Securities Valuation (Continued)
| | | | | | | | | | | | |
| | | Sales | | | Transfers into
Level 3 | | | Value as of
January 31,
2017 | |
Assets Table | | | | | | | | | | | | |
Investments, at Value: | | | | | | | | | | | | |
Municipal Bonds and Notes | | | | | | | | | | | | |
Alaska | | $ | — | | | $ | 181,417 | | | $ | 209,732 | |
Arizona | | | — | | | | — | | | | 1,069,127 | |
Arkansas | | | — | | | | — | | | | 3,356,009 | |
California | | | — | | | | — | | | | 20 | |
Colorado | | | — | | | | — | | | | 3,623,900 | |
Florida | | | — | | | | — | | | | 21,880,556 | |
Illinois | | | (2,415,000 | ) | | | — | | | | 9,952,143 | |
Iowa | | | — | | | | 127,542 | | | | 113,158 | |
Louisiana | | | — | | | | — | | | | 118,159 | |
Montana | | | — | | | | — | | | | 1,185,041 | |
Pennsylvania | | | — | | | | — | | | | 1,038,896 | |
South Carolina | | | (340,000 | ) | | | — | | | | 13,503,938 | |
Texas | | | (4,655,000 | ) | | | — | | | | 1,512,132 | |
Virginia | | | — | | | | — | | | | 6,672,785 | |
Wisconsin | | | — | | | | — | | | | 38,600 | |
U.S. Possessions | | | — | | | | 5,836,938 | | | | 5,719,334 | |
Corporate Loans | | | — | | | | — | | | | 1,799,991 | |
| | | | |
Total Assets | | $ | (7,410,000 | ) | | $ | 6,145,897 | | | $ | 71,793,521 | |
| | | | |
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 | | | | |
Alaska | | $ | (26,588) | |
Arizona | | | (78,274) | |
Arkansas | | | (1,072) | |
Colorado | | | (1,954,444) | |
Florida | | | (57,137) | |
Illinois | | | (134,974) | |
Iowa | | | (14,384) | |
Louisiana | | | (1,725,740) | |
Montana | | | (8,865) | |
Pennsylvania | | | (5,985) | |
South Carolina | | | (85,884) | |
Texas | | | (1,946,250) | |
Virginia | | | (29,245) | |
U.S. Possessions | | | (117,604) | |
Corporate Loans | | | (11,675,009) | |
| | | | |
Total Assets | | $ | (17,861,455) | |
| | | | |
82 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
3. Securities Valuation (Continued)
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 31,
2017 | | | Valuation
Technique | | | Unobservable
Input | | | Range of
Unobservable
Inputs | | | Unobservable
Input Used | |
Assets Table | |
Investments, at Value: | |
Municipal Bonds and Notes | |
Alaska | | $ | 209,732 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Arizona | | | 1,069,127 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Arkansas | | | 3,356,009 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
California | | | 20 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Colorado | | | 3,623,900 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Florida | | | 21,880,556 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Illinois | | | 9,952,143 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Iowa | | | 113,158 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Louisiana | | | 118,159 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Montana | | | 1,185,041 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Pennsylvania | | | 1,038,896 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
South Carolina | | | 13,503,938 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Texas | | | 1,512,132 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Virginia | | | 6,672,785 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
Wisconsin | | | 38,600 | | | | Pricing service | | | | N/A | | | | N/A | | | | N/A (a) | |
U.S. Possessions | | | 5,719,334 | | |
| Comparative
Bond Method |
| |
| Adjustment
factor |
| | | N/A | | | | 117.65%(b) | |
Corporate Loans | | | 1,799,991 | | |
| Expected
recovery
proceeds |
| |
| Expected
recovery
proceeds |
| | $ | 1.8 -$2.2 Million | | | $ | 1.8 Million | (c) |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 71,793,521 | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
(a) 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.
(b) Securities classified as Level 3 which were fair valued using an unadjusted price provided by a pricing service on a comparable bond, adjusted by the anticipated additional entitlement for this bond. 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 vendor’s valuation for the comparable bond or a significant increase (decrease) to the expected additional entitlement will result in a significant increase (decrease) to the fair value of the investment
(c) The Fund fair values certain corporate loans at the expected recovery proceeds. The Manager monitors such investments for additional market information or the occurrence of a significant event which would warrant a reevaluation of the security’s fair valuation. A significant decrease (increase) to the expected recovery value will result in a significant decrease (increase) 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
83 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 to 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
84 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
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 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
85 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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 $286,180,000.
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 $957,662,497 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $516,480,000 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 | | | $ | 3,191,459 | |
86 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | | | |
Principal
Amount | | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity
Date | | | Value | |
| | $ 77,555,000 | | | CA Golden State Tobacco Securitization Corp. ROLs3 | | | 6.280 | % | | | 6/1/47 | | | $ | 76,141,173 | |
| | 3,750,000 | | | CA Health Facilities Financing Authority (SJHS/ SJHCN/SJHE/SJHO/SJHosp/SMMCtr/MHRMC/ QVMCNC Obligated Group) Tender Option Bond Series 2016-XF0330 Trust | | | 19.193 | | | | 7/1/39 | | | | 5,059,201 | |
| | 3,855,000 | | | CA Health Facilities Financing Authority Tender Option Bond Series 2015-XF2104 Trust3 | | | 16.030 | | | | 7/1/39 | | | | 5,200,858 | |
| | 5,000,000 | | | CA Infrastructure and Economic Devel. (Sanford Consortium) Tender Option Bond Series 2016- XF0335 Trust | | | 9.130 | | | | 5/15/40 | | | | 6,184,100 | |
| | 7,175,000 | | | CO Health Facilities Authority (Sisters of Charity of Leavenworth Health System) Tender Option Bond Series 2015 XF-0239 Trust | | | 7.391 | | | | 1/1/44 | | | | 8,505,245 | |
| | 2,525,000 | | | Detroit, MI City School District Tender Option Bond Series 2015 XF-0241 Trust3 | | | 15.442 | | | | 5/1/29 | | | | 4,548,333 | |
| | 4,675,000 | | | Douglas County, NE Hospital Authority Tender Option Bond Series 2015-XF2132 Trust3 | | | 17.231 | | | | 11/1/48 | | | | 6,301,386 | |
| | 7,280,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/ PMCC/PClinic/PHlthCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024 Trust | | | 13.560 | | | | 6/15/29 | | | | 9,853,262 | |
| | 3,465,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/ PMCC/PClinic/PHlthCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024-2 Trust | | | 14.320 | | | | 6/15/37 | | | | 4,760,806 | |
| | 680,000 | | | Fulton County, GA Devel. Authority (PHC/FCommH/PHosp/PMSH/PNH/ PMCC/PClinic/PHlthCF/PHI/PHIP/PHHosp Obligated Group) Tender Option Bond Series 2015-XF0024-3 Trust | | | 14.330 | | | | 6/15/29 | | | | 935,462 | |
| | 2,875,000 | | | Geisinger, PA Authority (Geisinger Health System) Tender Option Bond Series 2015 XF-0040 Trust | | | 14.450 | | | | 6/1/39 | | | | 3,613,990 | |
| | 5,000,000 | | | Grand Parkway, TX Transportation Corp. Tender Option Bond Series 2015-XF2034 Trust3 | | | 7.360 | | | | 4/1/53 | | | | 6,034,600 | |
| | 5,000,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023 Trust | | | 15.320 | | | | 4/1/44 | | | | 6,226,600 | |
| | 4,345,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-2 Trust | | | 14.880 | | | | 4/1/44 | | | | 5,331,185 | |
| | 2,750,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-3 Trust | | | 14.880 | | | | 4/1/44 | | | | 3,374,360 | |
| | 2,500,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-4 Trust | | | 14.880 | | | | 4/1/44 | | | | 3,067,600 | |
87 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 | |
| | $ 2,200,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-5 Trust | | | 14.880 | % | | | 4/1/44 | | | $ | 2,699,488 | |
| | 1,250,000 | | | IL Finance Authority (AHCN/ANSHN/ACMC/ AH&HC Obligated Group) Tender Option Bond Series 2015-XF0023-6 Trust | | | 14.880 | | | | 4/1/44 | | | | 1,533,800 | |
| | 3,125,000 | | | IL Finance Authority (CDHS/CDHA Obligated Group) Tender Option Bond Series 2015-XF0025 Trust | | | 15.320 | | | | 11/1/39 | | | | 4,406,250 | |
| | 1,250,000 | | | IL Finance Authority (CDHS/CDHA Obligated Group) Tender Option Bond Series 2015-XF0025-2 Trust | | | 14.880 | | | | 11/1/39 | | | | 1,725,950 | |
| | 3,500,000 | | | KY EDFA (BHS/BHP/BHL/BHCor/BHLex/BHlthL Obligated Group) Tender Option Bond Series 2015-XF2011 Trust3 | | | 13.860 | | | | 8/15/24 | | | | 4,236,540 | |
| | 7,985,000 | | | Los Angeles, CA Dept. of Airports (Los Angeles International Airport) Tender Option Bond Series 2015 XF-0041 Trust | | | 14.730 | | | | 5/15/30 | | | | 9,464,461 | |
| | 1,250,000 | | | Los Angeles, CA Dept. of Water & Power Tender Option Bond Series 2015 XF-0039 Trust | | | 13.580 | | | | 7/1/34 | | | | 1,584,250 | |
| | 3,750,000 | | | MA HFA Tender Option Bond Series 2015-XF2130 Trust3 | | | 12.139 | | | | 6/1/49 | | | | 3,843,412 | |
| | 3,010,000 | | | MA HFA Tender Option Bond Series 2015-XF2130- 2 Trust3 | | | 12.414 | | | | 12/1/49 | | | | 3,037,331 | |
| | 6,880,000 | | | MA HFA Tender Option Bond Series 2015-XF2150 Trust3 | | | 9.534 | | | | 12/1/42 | | | | 7,721,355 | |
| | 2,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117 Trust3 | | | 14.150 | | | | 2/1/27 | | | | 3,309,300 | |
| | 2,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117-2 Trust3 | | | 13.280 | | | | 2/1/27 | | | | 3,260,000 | |
| | 12,500,000 | | | Miami-Dade County, FL School Board Tender Option Bond Series 2015-XF2117-3 Trust3 | | | 14.580 | | | | 2/1/34 | | | | 16,669,500 | |
| | 2,500,000 | | | Montgomery County, OH (Miami Valley Hospital) Tender Option Bond Series 2015-XF0029 Trust | | | 15.820 | | | | 11/15/23 | | | | 3,730,600 | |
| | 9,500,000 | | | North Central TX HFDC (CMCD/CMCtrF Obligated Group) Tender Option Bond Series 2015-XF0034 Trust | | | 16.165 | | | | 8/15/39 | | | | 12,882,000 | |
| | 4,000,000 | | | North TX Tollway Authority Tender Option Bond Series 2015-XF2036 Trust3 | | | 16.030 | | | | 1/1/48 | | | | 4,618,080 | |
| | 1,480,000 | | | North TX Tollway Authority Tender Option Bond Series 2015-XF2037 Trust3 | | | 14.770 | | | | 1/1/48 | | | | 1,708,690 | |
| | 3,240,000 | | | NYC Municipal Water Finance Authority Tender Option Bond Series 2015-XF2151 Trust3 | | | 19.523 | | | | 6/15/40 | | | | 3,979,724 | |
| | 18,695,000 | | | NYS Liberty Devel. Corp. Tender Option Bond Series 2015-XF2146 Trust3 | | | 9.079 | | | | 1/15/44 | | | | 21,652,736 | |
| | 2,500,000 | | | San Jacinto, TX Community College District Tender Option Bond Series 2015-XF2010 Trust3 | | | 13.860 | | | | 2/15/38 | | | | 2,931,600 | |
88 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
| | | | | | | | | | | | | | | | |
Principal
Amount | | | Inverse Floater1 | | Coupon
Rate2 | | | Maturity
Date | | | Value | |
| | $ 1,985,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. Tender Option Bond Series 2015- XF2057 Trust3 | | | 15.420 | % | | | 11/15/29 | | | $ | 2,639,315 | |
| | 8,150,000 | | | Tarrant County, TX Cultural Education Facilities Finance Corp. Tender Option Bond Series 2015- XF2057-2 Trust3 | | | 17.160 | | | | 11/15/29 | | | | 11,126,054 | |
| | 6,750,000 | | | Tarrant County, TX Health Facilities Devel. Corp. (CCMCtr/CCHCS/CCPN/WICF Obligated Group) Tender Option Bond Series 2015-XF0028 Trust | | | 7.390 | | | | 12/1/33 | | | | 7,732,395 | |
| | 375,000 | | | Tes Properties, WA Tender Option Bond Series 2015-XF0038 Trust | | | 15.160 | | | | 12/1/29 | | | | 523,860 | |
| | 3,000,000 | | | Tes Properties, WA Tender Option Bond Series 2015-XF0038-2 Trust | | | 15.600 | | | | 12/1/38 | | | | 4,225,320 | |
| | 104,605,000 | | | TX Municipal Gas Acquisition & Supply Corp. ROLs3 | | | 5.300 | | | | 12/15/26 | | | | 126,038,564 | |
| | 8,705,000 | | | WA Health Care Facilities Authority (Peacehealth) Tender Option Bond Series 2015 XF-0042 Trust | | | 7.120 | | | | 11/1/28 | | | | 9,870,774 | |
| | 4,520,000 | | | WA Health Care Facilities Authority Tender Option Bond Series 2015-XF2035 Trust3 | | | 17.230 | | | | 10/1/36 | | | | 5,701,528 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 441,182,497 | |
| | | | | | | | | | | | | | | | |
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 35% 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 $516,480,000 or 8.81% 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.
89 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
4. Investments and Risks (Continued)
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:
| | | | |
| | | When-Issued or
Delayed Delivery
Basis Transactions | |
Purchased securities | | | $26,729,350 | |
Sold securities | | | 2,613,434 | |
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
90 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
4. Investments and Risks (Continued)
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 | | $ | 631,791,641 | |
Market Value | | $ | 321,766,846 | |
Market Value as % of Net Assets | | | 6.11% | |
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 $102,926,481, representing 1.95% of the Fund’s net assets, were subject to these forbearance agreements.
Concentration Risk. The Fund invests a large percentage of its total assets in obligations of issuers within its respective state and U.S. territories. Risks may arise from geographic concentration in any state, commonwealth or territory, such as Puerto Rico, the U.S. Virgin Islands, Guam or the Northern Mariana Islands. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory such as ongoing developments in Puerto Rico 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.
91 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
5. Market Risk Factors (Continued)
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 31, 2017 | | | Year Ended July 31, 2016 | |
| | | Shares | | | Amount | | | Shares | | | Amount | |
| |
Class A | | | | | | | | | | | | | | | | |
Sold | | | 57,142,838 | | | $ | 407,594,968 | | | | 86,452,000 | | | $ | 611,505,576 | |
Dividends and/or distributions reinvested | | | 10,865,591 | | | | 77,819,305 | | | | 23,193,253 | | | | 163,980,260 | |
Redeemed | | | (74,155,184) | | | | (528,720,190) | | | | (102,437,853) | | | | (723,546,514) | |
| | | | |
Net increase (decrease) | | | (6,146,755) | | | $ | (43,305,917) | | | | 7,207,400 | | | $ | 51,939,322 | |
| | | | |
|
| |
| | | | |
Class B | | | | | | | | | | | | | | | | |
Sold | | | 23,465 | | | $ | 171,375 | | | | 160,607 | | | $ | 1,148,292 | |
Dividends and/or distributions reinvested | | | 83,383 | | | | 601,925 | | | | 280,246 | | | | 1,984,560 | |
Redeemed | | | (1,304,085) | | | | (9,437,516) | | | | (3,499,569) | | | | (24,667,510) | |
| | | | |
Net decrease | | | (1,197,237) | | | $ | (8,664,216) | | | | (3,058,716) | | | $ | (21,534,658) | |
| | | | |
|
| |
Class C | | | | | | | | | | | | | | | | |
Sold | | | 17,723,596 | | | $ | 126,892,480 | | | | 35,755,468 | | | $ | 252,677,043 | |
Dividends and/or distributions reinvested | | | 4,059,571 | | | | 28,959,953 | | | | 8,620,150 | | | | 60,682,555 | |
Redeemed | | | (25,495,552) | | | | (180,132,568) | | | | (37,865,695) | | | | (266,692,670) | |
| | | | |
Net increase (decrease) | | | (3,712,385) | | | $ | (24,280,135) | | | | 6,509,923 | | | $ | 46,666,928 | |
| | | | |
|
| |
Class Y | | | | | | | | | | | | | | | | |
Sold | | | 43,244,592 | | | $ | 307,197,131 | | | | 60,869,249 | | | $ | 430,204,335 | |
Dividends and/or distributions reinvested | | | 3,253,072 | | | | 23,279,622 | | | | 6,115,406 | | | | 43,218,178 | |
Redeemed | | | (35,627,525) | | | | (252,044,455) | | | | (43,086,261) | | | | (303,217,909) | |
| | | | |
Net increase | | | 10,870,139 | | | $ | 78,432,298 | | | | 23,898,394 | | | $ | 170,204,604 | |
| | | | |
92 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
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 | | $ | 1,405,944,682 | | | $ | 1,246,061,243 | |
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 | |
The Fund’s effective management fee for the reporting period was 0.38% 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
93 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
8. Fees and Other Transactions with Affiliates (Continued)
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 | | | 36,410 | |
Accumulated Liability as of January 31, 2017 | | | 263,150 | |
The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustee under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustee. The Fund purchases shares of the funds selected for deferral by the Trustee in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the 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’
94 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
8. Fees and Other Transactions with Affiliates (Continued)
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 31, 2017 | | $ | 330,860 | | | $ | 44,267 | | | $ | 12,999 | | | $ | 91,339 | |
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
95 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
NOTES TO FINANCIAL STATEMENTS Unaudited / Continued
9. Borrowings and Other Financing (Continued)
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 (0.9238% 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 0.09% 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 at an interest rate of 0.9238%.
Details of the borrowings for the reporting period are as follows:
| | | | |
Average Daily Loan Balance | | $ | 28,449,457 | |
Average Daily Interest Rate | | | 0.804 | % |
Fees Paid | | $ | 737,749 | |
Interest Paid | | $ | 112,969 | |
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
96 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
9. Borrowings and Other Financing (Continued)
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 0.04% 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:
97 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 Managers 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. 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.
98 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
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 the Sub-Adviser has 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 and risk management services, 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 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
99 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS Unaudited / Continued
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 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, 2017. 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.
100 OPPENHEIMER ROCHESTER HIGH YIELD 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.
101 OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
OPPENHEIMER ROCHESTER HIGH YIELD MUNICIPAL FUND
| | |
| Trustees and Officers | | Brian F. Wruble, Chairman of the Board of Trustees and Trustee |
| | Beth Ann Brown, 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 |
| | Scott S. Cottier, Vice President |
| | Troy E. Willis, Vice President |
| | Mark R. DeMitry, Vice President |
| | Michael L. Camarella, Vice President |
| | Elizabeth Mossow, Vice President |
| | Charles S. Pulire, Vice President |
| | Richard Stein, Vice President |
| | Cynthia Lo Bessette, Secretary and Chief Legal Officer |
| | Jennifer Foxson, 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. |
© 2017 OppenheimerFunds, Inc. All rights reserved.
102 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,SM our electronic document delivery service |
| ● | | Your transactions with us, our affiliates or others |
| ● | | Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use. |
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 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.
103 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.
| ● | | 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, safeguard that information. 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 November 2016. 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 © 2017 OppenheimerFunds Distributor, Inc. All rights reserved. RS0795.001.0117 March 24, 2017 |
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 1/31/2017, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to 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: | | 3/17/2017 |
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: | | 3/17/2017 |
| | |
| By: | | /s/ Brian S. Petersen |
| | Brian S. Petersen |
| | Principal Financial Officer |
| Date: | | 3/17/2017 |
