UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number
811-21882
Oppenheimer Rochester North Carolina Municipal Fund
(Exact name of registrant as specified in charter)
6803 South
Tucson Way,
Centennial, Colorado 80112-3924
(Address of principal executive offices) (Zip code)
Arthur S. Gabinet
OFI Global Asset Management, Inc.
Two World Financial Center,
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:
March 31
Date of reporting period:
12/31/2012
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Item 1.
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Schedule of Investments.
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Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
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Principal
Amount
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Coupon
|
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Maturity
|
|
Value
|
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Municipal Bonds and Notes–108.4%
|
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North Carolina–67.3%
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$ 175,000
|
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Asheville, NC Hsg. Authority (Oak Knoll Apartments)
1
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5.625
|
%
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|
09/01/2033
|
|
$
|
175,700
|
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|
1,000,000
|
|
Buncombe County, NC (Woodfin Downtown Corridor Devel.)
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7.250
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08/01/2034
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979,103
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50,000
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Catawaba County, NC GO
1
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4.700
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06/01/2013
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50,439
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2,240,000
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Charlotte, NC Airport
1
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5.000
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07/01/2021
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2,652,765
|
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|
500,000
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Charlotte, NC Airport
1
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5.000
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07/01/2031
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561,570
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100,000
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Charlotte, NC COP (Governmental Facilities)
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5.000
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06/01/2016
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101,876
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20,000
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Charlotte, NC COP (Governmental Facilities)
1
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5.000
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06/01/2028
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20,312
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|
35,000
|
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Charlotte, NC COP (Governmental Facilities)
1
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5.000
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06/01/2033
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35,542
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|
2,000,000
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Charlotte, NC COP (Governmental Facilities)
1
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5.250
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06/01/2020
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2,040,880
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|
550,000
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Charlotte, NC COP (Transit)
1
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5.000
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06/01/2018
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560,318
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645,000
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Charlotte, NC Douglas International Airport Special Facilities (US Airways)
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5.600
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07/01/2027
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634,944
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2,500,000
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Charlotte, NC Douglas International Airport Special Facilities (US Airways)
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7.750
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02/01/2028
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2,503,750
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1,830,000
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Charlotte-Mecklenburg, NC Hospital Authority (Carolinas Healthcare System)
1
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5.125
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01/15/2037
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2,048,337
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50,000
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Charlotte-Mecklenburg, NC Hospital Authority Health Care System (Carolinas Healthcare)
1
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5.250
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01/15/2039
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55,515
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250,000
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Columbus County, NC IF&PCFA (International Paper Company)
1
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5.700
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05/01/2034
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282,015
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70,000
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Columbus County, NC IF&PCFA (International Paper Company)
1
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5.850
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12/01/2020
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70,228
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100,000
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Columbus County, NC IF&PCFA (International Paper Company)
1
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6.250
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11/01/2033
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115,658
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1,900,000
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Durham, NC Hsg. Authority (JFK Towers)
1
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5.000
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12/01/2035
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1,981,434
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1,000,000
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Durham, NC Hsg. Authority (JFK Towers)
1
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5.000
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12/01/2047
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1,014,100
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4,825,000
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Durham, NC Hsg. Authority (Naples Terrace Apartments)
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5.700
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06/01/2033
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4,920,246
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100,000
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E. Lincoln County, NC Water & Sewer District
1
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4.750
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06/01/2018
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102,278
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150,000
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Elizabeth City, NC Multifamily Hsg. (Walker Landing)
1
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5.125
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03/20/2049
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152,685
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500,000
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Fayetteville, NC State University (Student Hsg.)
1
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5.000
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04/01/2037
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550,490
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165,000
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Halifax County, NC IF&PCFA (Champion International Corp.)
1
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5.450
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11/01/2033
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165,482
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115,000
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Halifax County, NC IF&PCFA (International Paper Company)
1
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5.900
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09/01/2025
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115,378
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30,000
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Iredell County, NC GO
1
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4.750
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02/01/2016
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30,710
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125,000
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Mint Hill, NC Sanitation District
1
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5.250
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06/01/2017
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128,000
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425,000
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Mint Hill, NC Sanitation District
1
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5.250
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06/01/2019
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435,158
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15,000
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Mint Hill, NC Sanitation District
1
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5.250
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06/01/2020
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15,357
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1,000,000
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NC Capital Facilities Finance Agency (Brevard College Corp.)
1
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5.000
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|
10/01/2026
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|
998,940
|
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|
500,000
|
|
NC Capital Facilities Finance Agency (Davidson College)
1
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5.000
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03/01/2040
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580,255
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1
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Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
Value
|
|
|
North Carolina Continued
|
|
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|
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$ 70,000
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NC Capital Facilities Finance Agency (Elizabeth City State Univeristy Hsg. Foundation)
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|
5.000
|
%
|
|
06/01/2028
|
|
$
|
70,252
|
|
|
30,000
|
|
NC Capital Facilities Finance Agency (Elizabeth City State University Hsg. Foundation)
|
|
|
5.000
|
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06/01/2033
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30,070
|
|
|
20,000
|
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NC Capital Facilities Finance Agency (Johnson & Wales University)
|
|
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5.000
|
|
|
04/01/2019
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|
20,129
|
|
|
475,000
|
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NC Capital Facilities Finance Agency (Johnson & Wales University)
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5.000
|
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|
04/01/2033
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|
476,435
|
|
|
320,000
|
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NC Capital Facilities Finance Agency (Johnson & Wales University)
|
|
|
5.250
|
|
|
04/01/2021
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|
321,971
|
|
|
1,655,000
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|
NC Capital Facilities Finance Agency (Meredith College)
1
|
|
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6.000
|
|
|
06/01/2031
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|
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1,847,543
|
|
|
1,535,000
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NC Capital Facilities Finance Agency (Meredith College)
1
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6.125
|
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06/01/2035
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1,707,780
|
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|
200,000
|
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NC Capital Facilities Finance Agency (Methodist University)
1
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5.000
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03/01/2019
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227,912
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|
440,000
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NC Capital Facilities Finance Agency (Methodist University)
1
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5.000
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03/01/2022
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502,097
|
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1,000,000
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NC Capital Facilities Finance Agency (Methodist University)
1
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5.000
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03/01/2034
|
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1,085,250
|
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|
710,000
|
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NC Capital Facilities Finance Agency (North Carolina A&T University Foundation)
|
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5.000
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06/01/2027
|
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713,827
|
|
|
50,000
|
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NC COP (Western Carolina University)
1
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4.000
|
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|
06/01/2015
|
|
|
50,642
|
|
|
115,000
|
|
NC COP (Western Carolina University)
1
|
|
|
5.000
|
|
|
06/01/2023
|
|
|
116,236
|
|
|
30,000
|
|
NC COP (Winston-Salem State University Hsg.)
|
|
|
4.800
|
|
|
06/01/2033
|
|
|
30,156
|
|
|
25,000
|
|
NC Eastern Municipal Power Agency
1
|
|
|
6.500
|
|
|
01/01/2018
|
|
|
31,239
|
|
|
105,000
|
|
NC Eastern Municipal Power Agency No. 1 Catawaba Electric, Series A
1
|
|
|
5.250
|
|
|
01/01/2020
|
|
|
105,125
|
|
|
1,000,000
|
|
NC Eastern Municipal Power Agency, Series A
1
|
|
|
5.000
|
|
|
01/01/2025
|
|
|
1,192,980
|
|
|
1,000,000
|
|
NC Eastern Municipal Power Agency, Series A
1
|
|
|
5.000
|
|
|
01/01/2026
|
|
|
1,183,770
|
|
|
1,000,000
|
|
NC Eastern Municipal Power Agency, Series D
1
|
|
|
5.000
|
|
|
01/01/2025
|
|
|
1,192,980
|
|
|
1,000,000
|
|
NC Eastern Municipal Power Agency, Series D
1
|
|
|
5.000
|
|
|
01/01/2026
|
|
|
1,183,770
|
|
|
560,000
|
|
NC Educational Facilities Finance Agency (St. Augustine’s College)
|
|
|
5.250
|
|
|
10/01/2018
|
|
|
560,095
|
|
|
1,860,000
|
|
NC Educational Facilities Finance Agency (St. Augustine’s College)
|
|
|
5.250
|
|
|
10/01/2028
|
|
|
1,848,022
|
|
|
35,000
|
|
NC HFA (Home Mtg.)
1
|
|
|
4.850
|
|
|
01/01/2023
|
|
|
35,043
|
|
|
7,565,000
|
|
NC HFA (Home Ownership)
1
|
|
|
5.250
|
|
|
01/01/2039
|
|
|
7,918,286
|
|
|
30,000
|
|
NC HFA (Home Ownership)
1
|
|
|
5.250
|
|
|
07/01/2039
|
|
|
31,267
|
|
|
20,000
|
|
NC HFA (Home Ownership)
1
|
|
|
5.375
|
|
|
01/01/2023
|
|
|
20,034
|
|
|
75,000
|
|
NC Medical Care Commission (AHA1HC/AHA3HC/AHA4HC/AHACHC/AHEHC/AHA7HC Obligated Group)
1
|
|
|
5.500
|
|
|
10/01/2024
|
|
|
79,001
|
|
|
2,210,000
|
|
NC Medical Care Commission (AHACHC)
1
|
|
|
5.800
|
|
|
10/01/2034
|
|
|
2,326,644
|
|
|
50,000
|
|
NC Medical Care Commission (Alamance Regional Medical Center)
1
|
|
|
5.000
|
|
|
08/15/2016
|
|
|
50,160
|
|
|
175,000
|
|
NC Medical Care Commission (Baptist Retirement Homes of North Carolina)
|
|
|
6.400
|
|
|
10/01/2031
|
|
|
176,019
|
|
|
295,000
|
|
NC Medical Care Commission (Baptist Retirement)
|
|
|
6.300
|
|
|
10/01/2021
|
|
|
296,847
|
|
|
|
|
|
|
|
|
2
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
North Carolina Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 500,000
|
|
NC Medical Care Commission (Blue Ridge Healthcare)
1
|
|
|
5.000
|
%
|
|
|
01/01/2036
|
|
|
$
|
524,195
|
|
|
2,075,000
|
|
NC Medical Care Commission (Catholic Health East)
1
|
|
|
5.250
|
|
|
|
11/15/2024
|
|
|
|
2,251,686
|
|
|
2,180,000
|
|
NC Medical Care Commission (Catholic Health East)
1
|
|
|
5.250
|
|
|
|
11/15/2025
|
|
|
|
2,359,806
|
|
|
255,000
|
|
NC Medical Care Commission (Cumberland County Hospital System)
1
|
|
|
5.250
|
|
|
|
10/01/2023
|
|
|
|
264,438
|
|
|
100,000
|
|
NC Medical Care Commission (Cumberland County Hospital System)
1
|
|
|
5.625
|
|
|
|
10/01/2033
|
|
|
|
103,982
|
|
|
50,000
|
|
NC Medical Care Commission (Deerfield Episcopal Retirement
Community)
1
|
|
|
5.000
|
|
|
|
11/01/2023
|
|
|
|
51,002
|
|
|
45,000
|
|
NC Medical Care Commission (Deerfield Episcopal Retirement
Community)
1
|
|
|
6.000
|
|
|
|
11/01/2033
|
|
|
|
49,356
|
|
|
1,380,000
|
|
NC Medical Care Commission (Deerfield Episcopal Retirement
Community)
1
|
|
|
6.125
|
|
|
|
11/01/2038
|
|
|
|
1,517,959
|
|
|
8,000,000
|
|
NC Medical Care Commission (Duke University Health System)
2
|
|
|
5.000
|
|
|
|
06/01/2042
|
|
|
|
8,927,360
|
|
|
130,000
|
|
NC Medical Care Commission (Forest at Duke)
1
|
|
|
5.500
|
|
|
|
09/01/2018
|
|
|
|
130,207
|
|
|
1,520,000
|
|
NC Medical Care Commission (Galloway Ridge)
|
|
|
6.000
|
|
|
|
01/01/2039
|
|
|
|
1,617,143
|
|
|
115,000
|
|
NC Medical Care Commission (Givens Estates)
1
|
|
|
5.000
|
|
|
|
07/01/2027
|
|
|
|
121,762
|
|
|
30,000
|
|
NC Medical Care Commission (Glenaire/The Presbyterian Homes Obligated Group)
|
|
|
5.500
|
|
|
|
10/01/2031
|
|
|
|
30,814
|
|
|
345,000
|
|
NC Medical Care Commission (Glenaire/The Presbyterian Homes Obligated Group)
|
|
|
5.600
|
|
|
|
10/01/2036
|
|
|
|
353,867
|
|
|
55,000
|
|
NC Medical Care Commission (Halifax Regional Medical Center)
1
|
|
|
5.000
|
|
|
|
08/15/2024
|
|
|
|
55,008
|
|
|
2,600,000
|
|
NC Medical Care Commission (HPRHS/HPRHSvcs Obligated Group)
|
|
|
5.000
|
|
|
|
10/01/2019
|
|
|
|
2,602,262
|
|
|
665,000
|
|
NC Medical Care Commission (HPRHS/HPRHSvcs Obligated Group)
|
|
|
5.000
|
|
|
|
10/01/2029
|
|
|
|
665,093
|
|
|
1,480,000
|
|
NC Medical Care Commission (HPRHS/HPRHSvcs Obligated Group)
|
|
|
5.125
|
|
|
|
10/01/2014
|
|
|
|
1,488,096
|
|
|
240,000
|
|
NC Medical Care Commission (Hugh Chatham Memorial Hospital)
|
|
|
5.000
|
|
|
|
10/01/2033
|
|
|
|
240,149
|
|
|
195,000
|
|
NC Medical Care Commission (Maria Parham Medical Center)
|
|
|
5.500
|
|
|
|
10/01/2018
|
|
|
|
202,582
|
|
|
500,000
|
|
NC Medical Care Commission (Mission Health System)
1
|
|
|
5.000
|
|
|
|
10/01/2036
|
|
|
|
546,815
|
|
|
615,000
|
|
NC Medical Care Commission (Scotland Memorial Hospital)
1
|
|
|
5.500
|
|
|
|
10/01/2019
|
|
|
|
616,353
|
|
|
1,000,000
|
|
NC Medical Care Commission (Southeastern Regional Medical Center)
1
|
|
|
5.000
|
|
|
|
06/01/2032
|
|
|
|
1,148,390
|
|
|
250,000
|
|
NC Medical Care Commission (Southminster)
|
|
|
6.125
|
|
|
|
10/01/2018
|
|
|
|
250,428
|
|
|
50,000
|
|
NC Medical Care Commission (STHS)
1
|
|
|
6.250
|
|
|
|
10/01/2019
|
|
|
|
50,121
|
|
|
310,000
|
|
NC Medical Care Commission (STHS/STMH/STM/HCC)
1
|
|
|
6.375
|
|
|
|
10/01/2029
|
|
|
|
311,237
|
|
|
65,000
|
|
NC Medical Care Commission (STTLC)
|
|
|
5.375
|
|
|
|
10/01/2014
|
|
|
|
65,161
|
|
|
105,000
|
|
NC Medical Care Commission (STTLC)
1
|
|
|
5.375
|
|
|
|
10/01/2019
|
|
|
|
105,194
|
|
|
|
|
|
|
|
|
3
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
North Carolina Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 355,000
|
|
NC Medical Care Commission (UHSEC/PCMH Obligated Group)
1
|
|
|
6.250
|
%
|
|
|
12/01/2033
|
|
|
$
|
423,369
|
|
|
150,000
|
|
NC Medical Care Commission (United Methodist)
|
|
|
5.500
|
|
|
|
10/01/2032
|
|
|
|
153,089
|
|
|
500,000
|
|
NC Medical Care Commission (University Health Systems of Eastern Carolina)
1
|
|
|
6.000
|
|
|
|
12/01/2029
|
|
|
|
589,505
|
|
|
2,000,000
|
|
NC Medical Care Commission (Vidant Health/ PCMH Obligated Group)
1
|
|
|
5.000
|
|
|
|
06/01/2036
|
|
|
|
2,185,960
|
|
|
250,000
|
|
NC Medical Care Commission (Village at Brookwood)
|
|
|
6.375
|
|
|
|
01/01/2022
|
|
|
|
250,413
|
|
|
750,000
|
|
NC Medical Care Commission (Wakemed)
1
|
|
|
5.000
|
|
|
|
10/01/2031
|
|
|
|
868,058
|
|
|
500,000
|
|
NC Medical Care Commission Health Care Facilities (Appalachian Regional Healthcare System)
1
|
|
|
6.625
|
|
|
|
07/01/2034
|
|
|
|
591,615
|
|
|
400,000
|
|
NC Medical Care Commission Health Care Facilities (Cleveland County)
1
|
|
|
5.750
|
|
|
|
01/01/2035
|
|
|
|
453,228
|
|
|
500,000
|
|
NC Medical Care Commission Health Care Facilities (Cumberland County Hospital System)
1
|
|
|
5.000
|
|
|
|
10/01/2032
|
|
|
|
563,900
|
|
|
35,000
|
|
NC Medical Care Commission Health Care Facilities (Cumberland County Hospital System)
1
|
|
|
5.500
|
|
|
|
10/01/2028
|
|
|
|
36,361
|
|
|
2,000,000
|
|
NC Medical Care Commission Health Care Facilities (Lutheran Services for the Aging)
|
|
|
5.000
|
|
|
|
03/01/2042
|
|
|
|
2,020,380
|
|
|
2,000,000
|
|
NC Medical Care Commission Health Care Facilities (Novant Health)
1
|
|
|
5.000
|
|
|
|
11/01/2043
|
|
|
|
2,168,940
|
|
|
2,000,000
|
|
NC Medical Care Commission Health Care Facilities (Novant Health)
1
|
|
|
5.250
|
|
|
|
11/01/2040
|
|
|
|
2,205,460
|
|
|
35,000
|
|
NC Medical Care Commission Health Care Facilities (Pines at
Davidson)
1
|
|
|
5.000
|
|
|
|
01/01/2036
|
|
|
|
35,698
|
|
|
15,000
|
|
NC Medical Care Commission Health Care Facilities (STHS/STMH Obligated Group)
1
|
|
|
6.500
|
|
|
|
10/01/2013
|
|
|
|
15,150
|
|
|
25,000
|
|
NC Medical Care Commission Hospital (Alamance Health System)
1
|
|
|
5.500
|
|
|
|
08/15/2013
|
|
|
|
25,091
|
|
|
130,000
|
|
NC Medical Care Commission Hospital (Alamance Health System)
1
|
|
|
5.500
|
|
|
|
08/15/2024
|
|
|
|
130,296
|
|
|
100,000
|
|
NC Medical Care Commission Hospital (Alamance Regional Medical
Center)
1
|
|
|
5.000
|
|
|
|
08/15/2020
|
|
|
|
100,243
|
|
|
1,075,000
|
|
NC Medical Care Commission Hospital (Maria Parham Medical Center)
|
|
|
6.500
|
|
|
|
10/01/2026
|
|
|
|
1,124,848
|
|
|
500,000
|
|
NC Medical Care Commission Retirement Facilities (Carolina Village)
|
|
|
6.000
|
|
|
|
04/01/2038
|
|
|
|
527,275
|
|
|
40,000
|
|
NC Medical Care Commission Retirement Facilities (Cypress Glen Retirement Community)
|
|
|
6.000
|
|
|
|
10/01/2033
|
|
|
|
40,692
|
|
|
50,000
|
|
NC Medical Care Commission Retirement Facilities (The Forest at Duke)
|
|
|
5.100
|
|
|
|
09/01/2013
|
|
|
|
50,089
|
|
|
25,000
|
|
NC Medical Care Commission Retirement Facilities (The Forest at Duke)
|
|
|
5.200
|
|
|
|
09/01/2014
|
|
|
|
25,046
|
|
|
5,000
|
|
NC Medical Care Commission Retirement Facilities (The United Methodist Retirement Homes)
|
|
|
5.500
|
|
|
|
10/01/2035
|
|
|
|
5,057
|
|
|
1,250,000
|
|
NC Medical Care Commission Retirement Facilities (Village at Brookwood)
|
|
|
5.250
|
|
|
|
01/01/2032
|
|
|
|
1,263,688
|
|
|
100,000
|
|
NC Municipal Power Agency No. 1 (Catawba Electric)
1
|
|
|
4.500
|
|
|
|
01/01/2020
|
|
|
|
100,101
|
|
|
|
|
|
|
|
|
4
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
North Carolina Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 250,000
|
|
NC Municipal Power Agency No. 1 (Catawba Electric)
1
|
|
|
5.250
|
%
|
|
|
01/01/2014
|
|
|
$
|
250,298
|
|
|
1,000,000
|
|
NC Municipal Power Agency No. 1 (Catawba Electric)
1
|
|
|
5.250
|
|
|
|
01/01/2016
|
|
|
|
1,001,190
|
|
|
50,000
|
|
NC Municipal Power Agency No. 1 (Catawba Electric)
1
|
|
|
5.250
|
|
|
|
01/01/2018
|
|
|
|
50,060
|
|
|
300,000
|
|
NC Municipal Power Agency No. 1 (Catawba Electric)
1
|
|
|
5.250
|
|
|
|
01/01/2019
|
|
|
|
300,357
|
|
|
250,000
|
|
NC Turnpike Authority (Monroe Connector System)
1
|
|
|
5.000
|
|
|
|
07/01/2036
|
|
|
|
286,965
|
|
|
240,000
|
|
NC Turnpike Authority (Triangle Expressway System)
1
|
|
|
5.750
|
|
|
|
01/01/2039
|
|
|
|
276,209
|
|
|
230,000
|
|
Northampton County, NC IF&PCFA (Champion International Corp.)
1
|
|
|
6.450
|
|
|
|
11/01/2029
|
|
|
|
230,863
|
|
|
10,000
|
|
Northern Hospital District of Surry County, NC Health Care
Facilities
1
|
|
|
5.500
|
|
|
|
10/01/2029
|
|
|
|
10,008
|
|
|
500,000
|
|
Northern Hospital District of Surry County, NC Health Care
Facilities
1
|
|
|
6.250
|
|
|
|
10/01/2038
|
|
|
|
542,780
|
|
|
365,000
|
|
Oak Island, NC Enterprise System
1
|
|
|
6.000
|
|
|
|
06/01/2036
|
|
|
|
423,732
|
|
|
10,000
|
|
Piedmont Triad, NC Airport Authority
1
|
|
|
6.000
|
|
|
|
07/01/2021
|
|
|
|
10,030
|
|
|
20,000
|
|
University of NC System
1
|
|
|
5.500
|
|
|
|
10/01/2034
|
|
|
|
22,817
|
|
|
20,000
|
|
Wake County, NC IF&PCFA (Carolina Power & Light Company)
1
|
|
|
5.375
|
|
|
|
02/01/2017
|
|
|
|
20,253
|
|
|
10,000
|
|
Wilson, NC Combined Enterprise System
1
|
|
|
4.000
|
|
|
|
12/01/2014
|
|
|
|
10,030
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
95,550,657
|
|
|
U.S. Possessions–41.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000
|
|
Guam GO
1
|
|
|
5.375
|
|
|
|
11/15/2013
|
|
|
|
5,011
|
|
|
300,000
|
|
Guam GO
1
|
|
|
6.750
|
|
|
|
11/15/2029
|
|
|
|
336,621
|
|
|
1,550,000
|
|
Guam GO
1
|
|
|
7.000
|
|
|
|
11/15/2039
|
|
|
|
1,748,943
|
|
|
1,500,000
|
|
Guam Government Business Privilege
1
|
|
|
5.000
|
|
|
|
01/01/2037
|
|
|
|
1,660,830
|
|
|
1,240,000
|
|
Guam Government Business Privilege
1
|
|
|
5.000
|
|
|
|
01/01/2042
|
|
|
|
1,368,935
|
|
|
1,400,000
|
|
Guam Government Business Privilege
1
|
|
|
5.250
|
|
|
|
01/01/2036
|
|
|
|
1,581,412
|
|
|
250,000
|
|
Guam Government Waterworks Authority & Wastewater System
1
|
|
|
5.875
|
|
|
|
07/01/2035
|
|
|
|
257,745
|
|
|
125,000
|
|
Guam Power Authority, Series A
1
|
|
|
5.000
|
|
|
|
10/01/2023
|
|
|
|
147,173
|
|
|
125,000
|
|
Guam Power Authority, Series A
1
|
|
|
5.000
|
|
|
|
10/01/2030
|
|
|
|
141,418
|
|
|
125,000
|
|
Guam Power Authority, Series A
1
|
|
|
5.000
|
|
|
|
10/01/2034
|
|
|
|
139,429
|
|
|
1,000,000
|
|
Guam Power Authority, Series A
1
|
|
|
5.500
|
|
|
|
10/01/2030
|
|
|
|
1,132,500
|
|
|
180,000
|
|
Guam Tobacco Settlement Economic Devel. & Commerce Authority
(TASC)
1
|
|
|
5.250
|
|
|
|
06/01/2032
|
|
|
|
174,767
|
|
|
67,775,000
|
|
Guam Tobacco Settlement Economic Devel. & Commerce Authority (TASC)
|
|
|
7.250
|
3
|
|
|
06/01/2057
|
|
|
|
1,644,899
|
|
|
365,000
|
|
Northern Mariana Islands Commonwealth, Series A
|
|
|
5.000
|
|
|
|
06/01/2017
|
|
|
|
351,699
|
|
|
2,190,000
|
|
Northern Mariana Islands Commonwealth, Series A
|
|
|
5.000
|
|
|
|
06/01/2030
|
|
|
|
1,810,539
|
|
|
250,000
|
|
Puerto Rico Aqueduct & Sewer Authority
1
|
|
|
6.000
|
|
|
|
07/01/2038
|
|
|
|
250,870
|
|
|
1,000,000
|
|
Puerto Rico Aqueduct & Sewer Authority
1
|
|
|
6.000
|
|
|
|
07/01/2044
|
|
|
|
1,001,160
|
|
|
500,000
|
|
Puerto Rico Aqueduct & Sewer Authority
1
|
|
|
6.125
|
|
|
|
07/01/2024
|
|
|
|
533,630
|
|
|
1,740,000
|
|
Puerto Rico Children’s Trust Fund (TASC)
1
|
|
|
5.375
|
|
|
|
05/15/2033
|
|
|
|
1,741,636
|
|
|
|
|
|
|
|
|
5
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
U.S. Possessions Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 3,495,000
|
|
Puerto Rico Children’s Trust Fund (TASC)
1
|
|
|
5.500
|
%
|
|
|
05/15/2039
|
|
|
$
|
3,498,285
|
|
|
4,305,000
|
|
Puerto Rico Children’s Trust Fund (TASC)
1
|
|
|
5.625
|
|
|
|
05/15/2043
|
|
|
|
4,309,047
|
|
|
22,370,000
|
|
Puerto Rico Children’s Trust Fund (TASC)
|
|
|
6.539
|
3
|
|
|
05/15/2050
|
|
|
|
1,703,699
|
|
|
39,500,000
|
|
Puerto Rico Children’s Trust Fund (TASC)
|
|
|
7.625
|
3
|
|
|
05/15/2057
|
|
|
|
721,665
|
|
|
5,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
5.000
|
|
|
|
07/01/2028
|
|
|
|
4,934
|
|
|
45,000
|
|
Puerto Rico Commonwealth GO
|
|
|
5.000
|
|
|
|
07/01/2041
|
|
|
|
41,568
|
|
|
70,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
5.125
|
|
|
|
07/01/2031
|
|
|
|
69,340
|
|
|
395,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
5.250
|
|
|
|
07/01/2030
|
|
|
|
396,063
|
|
|
40,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
5.875
|
|
|
|
07/01/2036
|
|
|
|
40,353
|
|
|
800,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
6.000
|
|
|
|
07/01/2039
|
|
|
|
821,392
|
|
|
2,250,000
|
|
Puerto Rico Commonwealth GO
1
|
|
|
6.500
|
|
|
|
07/01/2037
|
|
|
|
2,374,718
|
|
|
85,000
|
|
Puerto Rico Convention Center Authority
1
|
|
|
5.000
|
|
|
|
07/01/2027
|
|
|
|
84,179
|
|
|
400,000
|
|
Puerto Rico Electric Power Authority, Series AAA
1
|
|
|
5.250
|
|
|
|
07/01/2029
|
|
|
|
407,820
|
|
|
320,000
|
|
Puerto Rico Electric Power Authority, Series AAA
1
|
|
|
5.250
|
|
|
|
07/01/2030
|
|
|
|
326,656
|
|
|
440,000
|
|
Puerto Rico Electric Power Authority, Series AAA
1
|
|
|
5.250
|
|
|
|
07/01/2031
|
|
|
|
447,498
|
|
|
5,000
|
|
Puerto Rico HFC
1
|
|
|
5.100
|
|
|
|
12/01/2018
|
|
|
|
5,070
|
|
|
40,000
|
|
Puerto Rico HFC (Homeowner Mtg.)
1
|
|
|
5.100
|
|
|
|
12/01/2031
|
|
|
|
40,226
|
|
|
25,000
|
|
Puerto Rico Highway & Transportation Authority
1
|
|
|
5.000
|
|
|
|
07/01/2022
|
|
|
|
25,031
|
|
|
250,000
|
|
Puerto Rico Highway & Transportation Authority
|
|
|
5.300
|
|
|
|
07/01/2035
|
|
|
|
250,078
|
|
|
335,000
|
|
Puerto Rico IMEPCF (American Airlines)
4
|
|
|
6.450
|
|
|
|
12/01/2025
|
|
|
|
235,304
|
|
|
50,000
|
|
Puerto Rico Infrastructure
|
|
|
6.928
|
3
|
|
|
07/01/2043
|
|
|
|
6,759
|
|
|
1,000,000
|
|
Puerto Rico Infrastructure
|
|
|
7.000
|
3
|
|
|
07/01/2032
|
|
|
|
306,390
|
|
|
450,000
|
|
Puerto Rico Infrastructure
|
|
|
7.000
|
3
|
|
|
07/01/2033
|
|
|
|
126,653
|
|
|
30,000
|
|
Puerto Rico Infrastructure
|
|
|
7.000
|
3
|
|
|
07/01/2036
|
|
|
|
6,617
|
|
|
335,000
|
|
Puerto Rico Infrastructure
|
|
|
7.102
|
3
|
|
|
07/01/2035
|
|
|
|
79,482
|
|
|
3,000,000
|
|
Puerto Rico Infrastructure
|
|
|
7.332
|
3
|
|
|
07/01/2030
|
|
|
|
1,082,760
|
|
|
725,000
|
|
Puerto Rico Infrastructure (Mepsi Campus)
|
|
|
6.250
|
|
|
|
10/01/2024
|
|
|
|
757,843
|
|
|
2,120,000
|
|
Puerto Rico Infrastructure (Mepsi Campus)
|
|
|
6.500
|
|
|
|
10/01/2037
|
|
|
|
2,187,692
|
|
|
100,000
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
1
|
|
|
5.000
|
|
|
|
04/01/2027
|
|
|
|
100,877
|
|
|
1,850,000
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
1
|
|
|
5.000
|
|
|
|
03/01/2036
|
|
|
|
1,795,536
|
|
|
100,000
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
1
|
|
|
5.125
|
|
|
|
04/01/2032
|
|
|
|
100,028
|
|
|
100,000
|
|
Puerto Rico ITEMECF (Ana G. Mendez University)
1
|
|
|
5.375
|
|
|
|
04/01/2042
|
|
|
|
100,461
|
|
|
50,000
|
|
Puerto Rico ITEMECF (Ashford Presbyterian Community)
|
|
|
6.700
|
|
|
|
11/01/2020
|
|
|
|
48,517
|
|
|
100,000
|
|
Puerto Rico ITEMECF (University of the Sacred Heart)
1
|
|
|
5.000
|
|
|
|
10/01/2042
|
|
|
|
98,620
|
|
|
25,000
|
|
Puerto Rico Municipal Finance Agency, Series A
1
|
|
|
5.500
|
|
|
|
07/01/2017
|
|
|
|
25,080
|
|
|
30,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
5.250
|
|
|
|
07/01/2033
|
|
|
|
29,684
|
|
|
100,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
6.250
|
|
|
|
07/01/2026
|
|
|
|
109,268
|
|
|
250,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
6.250
|
|
|
|
07/01/2031
|
|
|
|
280,793
|
|
|
600,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
6.750
|
|
|
|
07/01/2036
|
|
|
|
659,232
|
|
|
500,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
7.000
|
|
|
|
07/01/2021
|
|
|
|
539,705
|
|
|
750,000
|
|
Puerto Rico Public Buildings Authority
1
|
|
|
7.000
|
|
|
|
07/01/2025
|
|
|
|
805,238
|
|
|
5,000
|
|
Puerto Rico Public Buildings Authority, Series D
1
|
|
|
5.250
|
|
|
|
07/01/2036
|
|
|
|
4,820
|
|
|
2,000,000
|
|
Puerto Rico Public Finance Corp., Series B
1
|
|
|
5.500
|
|
|
|
08/01/2031
|
|
|
|
2,027,200
|
|
|
|
|
|
|
|
|
6
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
|
Coupon
|
|
|
Maturity
|
|
|
Value
|
|
|
U.S. Possessions Continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 750,000
|
|
Puerto Rico Sales Tax Financing Corp., Series A
1
|
|
|
5.375
|
%
|
|
|
08/01/2039
|
|
|
$
|
769,943
|
|
|
5,000,000
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
6.100
|
3
|
|
|
08/01/2044
|
|
|
|
829,350
|
|
|
500,000
|
|
Puerto Rico Sales Tax Financing Corp., Series A
1
|
|
|
6.375
|
|
|
|
08/01/2039
|
|
|
|
550,640
|
|
|
1,000,000
|
|
Puerto Rico Sales Tax Financing Corp., Series A
1
|
|
|
6.500
|
|
|
|
08/01/2044
|
|
|
|
1,112,520
|
|
|
10,000,000
|
|
Puerto Rico Sales Tax Financing Corp., Series A
|
|
|
7.530
|
3
|
|
|
08/01/2056
|
|
|
|
719,400
|
|
|
8,000,000
|
|
Puerto Rico Sales Tax Financing Corp., Series C
2
|
|
|
5.750
|
|
|
|
08/01/2057
|
|
|
|
8,726,640
|
|
|
200,000
|
|
University of Puerto Rico
1
|
|
|
5.000
|
|
|
|
06/01/2025
|
|
|
|
196,922
|
|
|
250,000
|
|
University of Puerto Rico
1
|
|
|
5.000
|
|
|
|
06/01/2026
|
|
|
|
244,095
|
|
|
275,000
|
|
University of Puerto Rico, Series Q
1
|
|
|
5.000
|
|
|
|
06/01/2030
|
|
|
|
264,924
|
|
|
1,000,000
|
|
V.I. Public Finance Authority (Matching Fund Loan Note)
1
|
|
|
5.250
|
|
|
|
10/01/2029
|
|
|
|
1,091,930
|
|
|
420,000
|
|
V.I. Tobacco Settlement Financing Corp. (TASC)
1
|
|
|
5.000
|
|
|
|
05/15/2021
|
|
|
|
411,541
|
|
|
300,000
|
|
V.I. Water & Power Authority
|
|
|
5.500
|
|
|
|
07/01/2017
|
|
|
|
300,687
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,329,990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments, at Value (Cost $148,287,887)–108.4%
|
|
|
|
|
|
|
|
|
|
|
153,880,647
|
|
|
Liabilities in Excess of Other Assets–(8.4)
|
|
|
|
|
|
|
|
|
|
|
(11,895,872
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets–100.0%
|
|
|
|
|
|
|
|
|
|
$
|
141,984,775
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Footnotes to Statement of Investments
|
1.
|
All or a portion of the security position has been segregated for collateral to cover borrowings.
|
|
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 accompanying Notes.
|
|
3.
|
Zero coupon bond reflects effective yield on the date of purchase.
|
|
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 original contractual interest rate. See accompanying Notes.
|
To simplify the listings of
securities, abbreviations are used per the table below:
|
|
|
|
|
AHA1HC
|
|
ARC/HDS Alamance #1 Hsg. Corp.
|
|
AHA3HC
|
|
ARC/HDS Alamance #3 Hsg. Corp.
|
|
AHA4HC
|
|
ARC/HDS Alamance #4 Hsg. Corp.
|
|
AHA7HC
|
|
ARC/HDS Alamance #7 Housing Corp.
|
|
AHACHC
|
|
ARC/HDS Alamance County Housing Corp.
|
|
AHEHC
|
|
ARC/HDS Elon Housing Corp.
|
|
COP
|
|
Certificates of Participation
|
|
GO
|
|
General Obligation
|
|
HCC
|
|
Home Care of the Carolinas
|
|
HFA
|
|
Housing Finance Agency
|
|
HFC
|
|
Housing Finance Corp.
|
|
HPRHS
|
|
High Point Regional Health System
|
|
HPRHSvcs
|
|
High Point Regional Health Services
|
|
IF&PCFA
|
|
Industrial Facilities and Pollution Control Financing Authority
|
|
IMEPCF
|
|
Industrial, Medical and Environmental Pollution Control Facilities
|
|
ITEMECF
|
|
Industrial, Tourist, Educational, Medical and Environmental Community Facilities
|
|
JFK
|
|
John Fitzgerald Kennedy
|
|
PCMH
|
|
Pitt County Memorial Hospital
|
|
ROLs
|
|
Residual Option Longs
|
|
STHS
|
|
Stanly Health Services
|
|
STM
|
|
Stanly Manor
|
|
STMH
|
|
Stanly Memorial Hospital
|
|
STTLC
|
|
Stanly Total Living Center
|
|
TASC
|
|
Tobacco Settlement Asset-Backed Bonds
|
|
UHSEC
|
|
University Health Systems of Eastern Carolina
|
|
V.I.
|
|
United States Virgin Islands
|
|
|
|
|
|
|
|
7
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
Notes to Statement of Investments
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 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 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
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.
|
|
|
|
|
|
|
8
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
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 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, 2012,
the Fund’s maximum exposure under such agreements is estimated at $8,000,000.
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 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, 2012, municipal bond holdings with a value of $17,654,000 shown on the Fund’s Statement of Investments are held by such Trusts and serve as the underlying municipal bonds for the related $8,000,000 in
short-term floating rate securities issued and outstanding at that date.
|
|
|
|
|
|
|
9
|
|
|
|
Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
At December 31, 2012, the inverse floating rate securities associated with tender option bond
transactions accounted for as secured borrowings were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
Inverse
Floater
1
|
|
Coupon
Rate
2
|
|
|
Maturity
Date
|
|
|
Value
|
|
|
$ 4,000,000
|
|
NC Medical Care Commission ROLs
3
|
|
|
7.992
|
%
|
|
|
6/1/42
|
|
|
$
|
4,927,360
|
|
|
4,000,000
|
|
Puerto Rico Sales Tax Financing Corp.
ROLs
3
|
|
|
9.226
|
|
|
|
8/1/57
|
|
|
|
4,726,640
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,654,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $8,000,000 as of December 31, 2012.
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, 2012 is as follows:
|
|
|
|
|
|
|
Cost
|
|
$
|
335,000
|
|
|
Market Value
|
|
$
|
235,304
|
|
|
Market Value as a % of Net Assets
|
|
|
0.17
|
%
|
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, 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.
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10
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Oppenheimer Rochester North Carolina Municipal Fund
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Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
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.
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Security Type
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Standard inputs generally considered by third-party pricing
vendors
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Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities
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Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate
factors.
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Loans
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Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
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Event-linked bonds
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Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
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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
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11
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Oppenheimer Rochester North Carolina Municipal Fund
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Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
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 data inputs are categorized in the following hierarchy under applicable financial accounting
standards:
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1)
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Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
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2)
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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.)
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3)
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Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or
liability).
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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, 2012 based on valuation input level:
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Level 1—
Unadjusted
Quoted Prices
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Level 2—
Other
Significant
Observable
Inputs
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Level 3—
Significant
Unobservable
Inputs
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Value
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Assets Table
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Investments, at Value:
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Municipal Bonds and Notes
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North Carolina
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$
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—
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$
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95,550,657
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$
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—
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$
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95,550,657
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U.S. Possessions
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—
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58,329,990
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—
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58,329,990
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Total Assets
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$
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—
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$
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153,880,647
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$
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—
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$
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153,880,647
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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.
There have been no significant changes to the
fair valuation methodologies of the Fund during the period.
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12
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Oppenheimer Rochester North Carolina Municipal Fund
|
Oppenheimer Rochester North Carolina Municipal Fund
STATEMENT OF INVESTMENTS December 31, 2012 (Unaudited)
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, 2012 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.
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Federal tax cost of securities
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$
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140,285,215
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1
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Gross unrealized appreciation
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$
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8,033,237
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Gross unrealized depreciation
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(2,440,477
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)
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Net unrealized appreciation
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$
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5,592,760
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1.
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The Federal tax cost of securities does not include cost of $8,002,672 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.
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13
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Oppenheimer Rochester North Carolina Municipal Fund
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Item 2.
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Controls and Procedures.
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(a)
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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 12/31/2012, 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.
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(b)
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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.
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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 North Carolina Municipal Fund
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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:
|
|
2/11/2013
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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:
|
|
2/11/2013
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By:
|
|
/s/ Brian W. Wixted
|
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Brian W. Wixted
|
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Principal Financial Officer
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Date:
|
|
2/11/2013
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