|
|
|
|
|
|
|
12
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
|
U.S. Possessions (continued)
|
|
|
|
|
|
|
|
|
|
|
|
$725,000
|
|
|
Puerto Rico Infrastructure
1
|
|
|
5.500
|
%
|
|
|
07/01/2024
|
|
|
$
|
517,911
|
|
|
|
15,000,000
|
|
|
Puerto Rico Infrastructure
|
|
|
5.650
|
4
|
|
|
07/01/2029
|
|
|
|
4,361,550
|
|
|
|
4,600,000
|
|
|
Puerto Rico Infrastructure
|
|
|
7.460
|
4
|
|
|
07/01/2030
|
|
|
|
670,910
|
|
|
|
4,000,000
|
|
|
Puerto Rico Infrastructure
1
|
|
|
5.000
|
|
|
|
07/01/2041
|
|
|
|
2,412,520
|
|
|
|
2,500,000
|
|
|
Puerto Rico Infrastructure (Mepsi Campus)
|
|
|
6.500
|
|
|
|
10/01/2037
|
|
|
|
1,494,125
|
|
|
|
1,100,000
|
|
|
Puerto Rico ITEMECF (Ana G. Mendez
University)
1
|
|
|
5.000
|
|
|
|
03/01/2036
|
|
|
|
714,538
|
|
|
|
200,000
|
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
|
|
|
5.000
|
|
|
|
04/01/2027
|
|
|
|
144,698
|
|
|
|
190,000
|
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
|
|
|
5.375
|
|
|
|
04/01/2042
|
|
|
|
126,046
|
|
|
|
130,000
|
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
|
|
|
5.125
|
|
|
|
04/01/2032
|
|
|
|
89,206
|
|
|
|
855,000
|
|
|
Puerto Rico ITEMECF (Guaynabo Municipal Government
Center)
1
|
|
|
5.625
|
|
|
|
07/01/2022
|
|
|
|
625,065
|
|
|
|
100,000
|
|
|
Puerto Rico ITEMECF (International American University)
|
|
|
5.000
|
|
|
|
10/01/2031
|
|
|
|
76,649
|
|
|
|
4,305,000
|
|
|
Puerto Rico ITEMECF (Polytechnic
University)
1
|
|
|
5.000
|
|
|
|
08/01/2022
|
|
|
|
3,452,524
|
|
|
|
150,000
|
|
|
Puerto Rico ITEMECF (University of the Sacred Heart)
|
|
|
5.000
|
|
|
|
10/01/2042
|
|
|
|
99,873
|
|
|
|
1,000,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
7.000
|
|
|
|
07/01/2021
|
|
|
|
817,790
|
|
|
|
3,150,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
7.000
|
|
|
|
07/01/2025
|
|
|
|
2,507,211
|
|
|
|
4,200,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
5.000
|
|
|
|
07/01/2032
|
|
|
|
2,637,768
|
|
|
|
810,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
5.250
|
|
|
|
07/01/2029
|
|
|
|
520,223
|
|
|
|
4,795,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
5.625
|
|
|
|
07/01/2039
|
|
|
|
3,093,302
|
|
|
|
235,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
6.000
|
|
|
|
07/01/2041
|
|
|
|
156,306
|
|
|
|
1,400,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
6.500
|
|
|
|
07/01/2030
|
|
|
|
1,055,376
|
|
|
|
3,500,000
|
|
|
Puerto Rico Public Buildings
Authority
1
|
|
|
6.750
|
|
|
|
07/01/2036
|
|
|
|
2,591,995
|
|
|
|
4,055,000
|
|
|
Puerto Rico Public Finance Corp., Series
B
1
|
|
|
5.500
|
|
|
|
08/01/2031
|
|
|
|
2,635,831
|
|
|
|
38,120,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
7.538
|
4
|
|
|
08/01/2036
|
|
|
|
5,396,267
|
|
|
|
5,000,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
A
1
|
|
|
6.500
|
|
|
|
08/01/2044
|
|
|
|
3,924,150
|
|
|
|
14,995,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
A
6
|
|
|
5.250
|
|
|
|
08/01/2057
|
|
|
|
11,148,400
|
|
|
|
410,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
A
1
|
|
|
5.000
|
|
|
|
08/01/2043
|
|
|
|
268,689
|
|
|
|
25,000,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
6.100
|
4
|
|
|
08/01/2044
|
|
|
|
2,959,750
|
|
|
|
27,615,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
6.130
|
4
|
|
|
08/01/2043
|
|
|
|
3,505,724
|
|
|
|
112,815,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
6.580
|
4
|
|
|
08/01/2054
|
|
|
|
6,700,083
|
|
|
|
19,000,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
5.950
|
4
|
|
|
08/01/2056
|
|
|
|
878,750
|
|
|
|
5,000,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
C
1
|
|
|
5.000
|
|
|
|
08/01/2040
|
|
|
|
3,785,950
|
|
|
|
13,000,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
C
6
|
|
|
5.750
|
|
|
|
08/01/2057
|
|
|
|
10,458,370
|
|
|
|
770,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
C
1
|
|
|
0.000
|
10
|
|
|
08/01/2032
|
|
|
|
541,148
|
|
|
|
7,450,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
C
1
|
|
|
6.500
|
|
|
|
08/01/2035
|
|
|
|
5,968,568
|
|
|
|
685,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series
C
1
|
|
|
5.250
|
|
|
|
08/01/2041
|
|
|
|
469,232
|
|
|
|
26,550,000
|
|
|
Puerto Rico Sales Tax Financing Corp., Series C
|
|
|
6.190
|
4
|
|
|
08/01/2038
|
|
|
|
3,116,705
|
|
|
|
1,000,000
|
|
|
University of Puerto Rico
1
|
|
|
5.000
|
|
|
|
06/01/2025
|
|
|
|
644,850
|
|
|
|
1,700,000
|
|
|
University of Puerto Rico, Series Q
1
|
|
|
5.000
|
|
|
|
06/01/2036
|
|
|
|
966,688
|
|
|
|
5,925,000
|
|
|
University of Puerto Rico, Series Q
1
|
|
|
5.000
|
|
|
|
06/01/2030
|
|
|
|
3,536,209
|
|
|
|
2,000,000
|
|
|
V.I. Public Finance Authority (Matching Fund Loan Notes)
|
|
|
5.000
|
|
|
|
10/01/2032
|
|
|
|
1,936,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
245,723,866
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Municipal Bonds and Notes (Cost $1,475,353,202)
|
|
|
|
|
|
|
|
|
|
|
1,285,208,455
|
|
|
|
|
|
|
|
|
13
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Value
|
|
|
|
Common Stocks–1.0%
|
|
|
|
3,100
|
|
|
CMS Liquidating Trust
8,9
(Cost $9,920,000)
|
|
$
|
10,701,200
|
|
|
|
Total Investments, at Value (Cost $1,485,273,202)–115.3%
|
|
|
1,295,909,655
|
|
|
|
Liabilities in Excess of Other Assets–(15.3)
|
|
|
(171,644,904
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets–100.0%
|
|
$
|
1,124,264,751
|
|
|
|
|
|
|
|
|
|
|
|
Footnotes to Statement of Investments
|
1.
|
All or a portion of the security position has been segregated for collateral to cover borrowings.
|
|
2.
|
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 original contractual interest rate. See accompanying Notes.
|
|
3.
|
All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after December 31, 2013. See accompanying Notes.
|
|
4.
|
Zero coupon bond reflects effective yield on the date of purchase.
|
|
5.
|
Represents the current interest rate for a variable or increasing rate security.
|
|
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 accompanying Notes.
|
|
7.
|
Restricted security. The aggregate value of restricted securities as of December 31, 2013 was $338,187, which represents 0.03% of the Fund’s net
assets. See accompanying Notes. Information concerning restricted securities is as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security
|
|
Acquisition
Date
|
|
|
Cost
|
|
|
Value
|
|
|
Unrealized
Depreciation
|
|
|
Sullivan County, NY Community College COP, 5.75%, 8/15/25
|
|
|
3/23/07
|
|
|
$
|
408,000
|
|
|
$
|
338,187
|
|
|
$
|
69,813
|
|
|
8.
|
Non-income producing security.
|
|
9.
|
Received as a result of a corporate action.
|
|
10.
|
Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date.
|
To simplify the listings of securities, abbreviations are used per the table below:
|
|
|
|
|
ACDS
|
|
Assoc. for Children with Down Syndrome
|
|
ALIA
|
|
Alliance of Long Island Agencies
|
|
AP
|
|
Advantage Planning
|
|
CCRC
|
|
Continuing Care Retirement Center
|
|
CHSLI
|
|
Catholic Health Services of Long Island
|
|
CMA
|
|
Community Mainstreaming Associates, Inc.
|
|
COP
|
|
Certificates of Participation
|
|
DA
|
|
Dormitory Authority
|
|
DDI
|
|
Developmental Disabilities Institute
|
|
DRIVERS
|
|
Derivative Inverse Tax Exempt Receipts
|
|
EBC
|
|
Engel Berman Corp.
|
|
EFC
|
|
Environmental Facilities Corp.
|
|
EFLI
|
|
Epilepsy Foundation of L.I., Inc.
|
|
FIT
|
|
Fashion Institute of Technology
|
|
GO
|
|
General Obligation
|
|
GSHMC
|
|
Good Samaritan Hospital Medical Center
|
|
HAII
|
|
Homes Anew II, Inc.
|
|
HDC
|
|
Housing Devel. Corp.
|
|
|
|
|
|
|
|
14
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
|
|
|
HFA
|
|
Housing Finance Agency
|
|
IDA
|
|
Industrial Devel. Agency
|
|
ITEMECF
|
|
Industrial, Tourist, Educational, Medical and Environmental Community Facilities
|
|
L.I.
|
|
Long Island
|
|
LIFERS
|
|
Long Inverse Floating Exempt Receipts
|
|
LIJMC
|
|
Long Island Jewish Medical Center
|
|
MMC
|
|
Mercy Medical Center
|
|
MTA
|
|
Metropolitan Transportation Authority
|
|
NSUH
|
|
North Shore University Hospital
|
|
NSUHGC
|
|
North Shore University Hospital at Glen Cove
|
|
NY/NJ
|
|
New York/New Jersey
|
|
NYC
|
|
New York City
|
|
NYS
|
|
New York State
|
|
NYU
|
|
New York University
|
|
PSCH
|
|
Professional Service Centers for the Handicapped, Inc.
|
|
ROLs
|
|
Reset Option Longs
|
|
SCHRC
|
|
St. Charles Hospital and Rehabilitation Center
|
|
TASC
|
|
Tobacco Settlement Asset-Backed Bonds
|
|
TFABs
|
|
Tobacco Flexible Amortization Bonds
|
|
UDC
|
|
Urban Development Corporation
|
|
UVBH
|
|
United Veteran’s Beacon House
|
|
V.I.
|
|
United States Virgin Islands
|
|
YMCA
|
|
Young Men’s Christian Assoc.
|
|
|
|
|
|
|
|
15
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited
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 broker dealer (the “sponsor”). The sponsor creates a trust (the “Trust”) into which it deposits the underlying municipal bond. 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
(typically an affiliate of the sponsor) must contribute cash to the Trust to ensure that the tendering holders receive the purchase price of their securities on the repurchase date.
Because holders of the short-term floating rate securities are granted the right to tender their securities to the Trust for repurchase at
frequent intervals for the purchase price, with such payment effectively guaranteed by the liquidity provider, the securities generally bear short-term rates of interest commensurate with money market instruments. When interest is paid on the
underlying municipal bond to the Trust, such proceeds are first used to pay the Trust’s administrative expenses and accrued interest to holders of the short-term floating rate securities, with any remaining amounts being paid to the Fund, as
the holder of the inverse floating rate security. Accordingly, the amount of such interest on the underlying municipal bond paid to the Fund is inversely related the rate of interest on the short-term floating rate securities. Additionally, because
the principal amount of the short-term floating rate securities is fixed and is not adjusted in response to changes in the market value of the underlying municipal bond, any change in the market value of the underlying municipal bond is reflected
entirely in a change to the value of the inverse floating rate security.
Typically, the terms of an inverse floating rate
security grant certain rights to the Fund, as holder. For example, the Fund may have 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
|
|
|
|
|
|
|
16
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
uses to redeem the short-term floating rate securities. The Trust then distributes the underlying municipal bond to the Fund. Similarly, the Fund may
have the right to directly purchase the underlying municipal bond from the Trust by paying to 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. Through the exercise of either of these rights, 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. 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
|
|
|
|
|
|
|
17
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
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. As of December 31, 2013, the Fund’s maximum exposure under such agreements is estimated at $67,074,439.
When the Fund creates an inverse floating rate security in a tender option bond transaction by selling an underlying municipal bond to a
sponsor for deposit into 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 in the annual and semiannual reports (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 in the annual and semiannual reports 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 in the annual and semiannual reports, while interest payable on the related short-term floating rate securities is recorded as interest expense. At December 31, 2013, municipal bond
holdings with a value of $266,546,310 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $161,480,000 in short-term floating rate securities issued and outstanding at
that date.
At December 31, 2013, the inverse floating rate securities associated with tender option bond transactions
accounted for as secured borrowings were as follows:
|
|
|
|
|
|
|
18
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Inverse
Floater
1
|
|
Coupon
Rate
2
|
|
|
Maturity
Date
|
|
|
Value
|
|
|
|
$5,000,000
|
|
|
Monroe County, NY Industrial Devel. Corp. (Unity Hospital Rochester) ROLs
3
|
|
|
8.48
|
%
|
|
|
8/15/40
|
|
|
$
|
5,688,500
|
|
|
|
2,240,000
|
|
|
Monroe County, NY Industrial Devel. Corp. (Unity Hospital Rochester) ROLs
3
|
|
|
8.905
|
%
|
|
|
8/15/35
|
|
|
|
2,745,882
|
|
|
|
10,000,000
|
|
|
NY Liberty Devel. Corp. (Bank of America Tower at One Bryant Park) ROLs
3
|
|
|
9.127
|
%
|
|
|
1/15/46
|
|
|
|
10,994,600
|
|
|
|
15,000,000
|
|
|
NY Liberty Devel. Corp. (Bank of America Tower at One Bryant Park) ROLs
3
|
|
|
9.56
|
%
|
|
|
1/15/44
|
|
|
|
15,473,700
|
|
|
|
6,670,000
|
|
|
NYC GO DRIVERS
|
|
|
13.11
|
%
|
|
|
11/15/31
|
|
|
|
8,971,350
|
|
|
|
3,750,000
|
|
|
NYC GO LIFERS
|
|
|
18.135
|
%
|
|
|
4/1/36
|
|
|
|
5,247,450
|
|
|
|
2,750,000
|
|
|
NYC GO ROLs
|
|
|
15.735
|
%
|
|
|
3/1/26
|
|
|
|
3,999,930
|
|
|
|
10,000,000
|
|
|
NYC Municipal Water Finance Authority
ROLs
3
|
|
|
17.099
|
%
|
|
|
6/15/40
|
|
|
|
12,491,200
|
|
|
|
4,160,000
|
|
|
NYC Municipal Water Finance Authority
ROLs
3
|
|
|
21.93
|
%
|
|
|
6/15/37
|
|
|
|
4,443,587
|
|
|
|
10,000,000
|
|
|
NYC Transitional Finance Authority
ROLs
3
|
|
|
9.34
|
%
|
|
|
1/15/34
|
|
|
|
10,875,200
|
|
|
|
10,000,000
|
|
|
NYS DA (Personal Income Tax) DRIVERS
|
|
|
7.914
|
%
|
|
|
3/15/37
|
|
|
|
10,686,800
|
|
|
|
6,670,000
|
|
|
NYS DA (State Personal Income Tax Authority)
|
|
|
13.435
|
%
|
|
|
3/15/36
|
|
|
|
9,086,341
|
|
|
|
7,500,000
|
|
|
Puerto Rico Sales Tax Financing Corp.
LIFERS
3
|
|
|
8.696
|
%
|
|
|
8/1/57
|
|
|
|
3,653,400
|
|
|
|
3,250,000
|
|
|
Puerto Rico Sales Tax Financing Corp.
ROLs
3
|
|
|
20.60
|
%
|
|
|
8/1/57
|
|
|
|
708,370
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
105,066,310
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 in the annual and semiannual reports, and interest on the security is recorded as investment income on the Fund’s Statement of Operations in the annual and semiannual
reports.
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 $161,480,000 as of December 31, 2013.
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
|
|
|
|
|
|
|
19
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six
months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of
securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery
transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous.
The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of December 31, 2013, the Fund had sold securities issued on a delayed delivery basis as follows:
|
|
|
|
|
|
|
|
|
When-Issued or
Delayed Delivery
Basis
Transactions
|
|
|
Sold securities
|
|
$
|
465,000
|
|
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 as of December 31, 2013 is as follows:
|
|
|
|
|
|
|
Cost
|
|
$
|
7,587,237
|
|
|
Market Value
|
|
$
|
4,279,075
|
|
|
Market value as % of Net Assets
|
|
|
0.38%
|
|
Concentration Risk.
There are certain risks arising from geographic concentration in any state, commonwealth or
territory. Certain economic, regulatory or political developments occurring in the state, commonwealth or territory may impair the ability of certain issuers of municipal securities to pay principal and interest on their obligations.
Securities Valuation
The Fund
calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day
responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are
not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review,
|
|
|
|
|
|
|
20
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was
determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and
futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last
sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a
foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior
to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing
price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from
either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single
dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange
are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or
foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices
utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which
approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing
services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in
determining their evaluated prices is provided below.
|
|
|
|
|
|
|
21
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
|
|
|
|
|
Security Type
|
|
Standard inputs generally considered by third-party
pricing
vendors
|
|
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities
|
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate
factors.
|
|
Loans
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
|
Event-linked bonds
|
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
|
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the
“good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation”, or a significant event has occurred that would materially affect the value of the security the
security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in
good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a
security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair
valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate
securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted
quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be
assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the
continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior 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
|
|
|
|
|
|
|
22
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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 as of
December 31, 2013 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 York
|
|
|
—
|
|
|
|
1,036,399,670
|
|
|
|
3,084,919
|
|
|
|
1,039,484,589
|
|
|
U.S. Possessions
|
|
|
—
|
|
|
|
245,723,866
|
|
|
|
—
|
|
|
|
245,723,866
|
|
|
Common Stock
|
|
|
—
|
|
|
|
—
|
|
|
|
10,701,200
|
|
|
|
10,701,200
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets
|
|
$
|
—
|
|
|
$
|
1,282,123,536
|
|
|
$
|
13,786,119
|
|
|
$
|
1,295,909,655
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date,
which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfer out of
Level 2*
|
|
|
Transfer into
Level 3*
|
|
|
Assets Table
|
|
|
|
|
|
|
|
|
|
Investments, at Value:
|
|
|
|
|
|
|
|
|
|
Municipal Bonds and Notes
|
|
$
|
(3,079,328
|
)
|
|
$
|
3,079,328
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Assets
|
|
$
|
(3,079,328
|
)
|
|
$
|
3,079,328
|
|
|
|
|
|
|
|
|
|
|
|
*
Transferred from Level 2 to Level 3 because of the lack of observable market data.
|
|
|
|
|
|
|
23
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Restricted Securities
As of
December 31, 2013, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value.
Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the
composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of December 31, 2013 are noted below. The primary difference between book and tax appreciation or depreciation of
securities and other investments, if applicable, is attributable to the tax deferral of losses.
|
|
|
|
|
|
|
Federal tax cost of securities
|
|
$
|
1,324,462,772
|
1
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
27,951,140
|
|
|
Gross unrealized depreciation
|
|
|
(217,666,580
|
)
|
|
|
|
|
|
|
|
Net unrealized depreciation
|
|
$
|
(189,715,440
|
)
|
|
|
|
|
|
|
1.
The Federal tax cost of securities does not include cost of $161,162,323, 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.
|
|
|
|
|
|
|
24
|
|
|
|
OPPENHEIMER ROCHESTER AMT-FREE NEW YORK MUNICIPAL FUND
|
|
Item 2.
|
Controls and Procedures.
|
|
|
(a)
|
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 12/31/2013, 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 the 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.
|
|
|
(b)
|
There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal
quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
|
Exhibits 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 Rochester AMT - Free New York Municipal Fund
|
|
|
|
|
By:
|
|
/s/ William F. Glavin, Jr.
|
|
|
|
William F. Glavin, Jr.
|
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Principal Executive Officer
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Date:
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2/10/2014
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report
has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By:
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/s/ William F. Glavin, Jr.
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William F. Glavin, Jr.
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Principal Executive Officer
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Date:
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2/10/2014
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By:
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/s/ Brian W. Wixted
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Brian W. Wixted
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Principal Financial Officer
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Date:
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2/10/2014
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