0001193125-16-612261.txt : 20160603 0001193125-16-612261.hdr.sgml : 20160603 20160603134339 ACCESSION NUMBER: 0001193125-16-612261 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 8 CONFORMED PERIOD OF REPORT: 20160331 FILED AS OF DATE: 20160603 DATE AS OF CHANGE: 20160603 EFFECTIVENESS DATE: 20160603 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER LIMITED-TERM GOVERNMENT FUND CENTRAL INDEX KEY: 0000788303 IRS NUMBER: 366832913 STATE OF INCORPORATION: DE FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04563 FILM NUMBER: 161695028 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 3036713200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER LTD TERM GOVERNMENT FUND DATE OF NAME CHANGE: 20061002 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER LIMITED TERM GOVERNMENT FUND DATE OF NAME CHANGE: 19940330 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER GOVERNMENT SECURITIES FUND /CO/ DATE OF NAME CHANGE: 19931208 0000788303 S000008468 OPPENHEIMER LIMITED TERM GOVERNMENT FUND C000023206 A C000023207 B C000023208 C C000023209 R C000023210 Y C000122218 I N-CSRS 1 d183424dncsrs.htm OPPENHEIMER LIMITED-TERM GOVERNMENT FUND Oppenheimer Limited-Term Government Fund

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-4563

Oppenheimer Limited-Term Government Fund

(Exact name of registrant as specified in charter)

6803 South Tucson Way, Centennial, Colorado 80112-3924

(Address of principal executive offices)  (Zip code)

Cynthia Lo Bessette

OFI Global Asset Management, Inc.

225 Liberty Street, New York, New York 10281-1008

(Name and address of agent for service)

Registrant’s telephone number, including area code: (303) 768-3200

Date of fiscal year end:  September 30

Date of reporting period:  3/31/2016


Item 1.  Reports to Stockholders.


 

LOGO


Table of Contents

 

Fund Performance Discussion      3   
Portfolio Allocation      5   
Fund Expenses      8   
Statement of Investments      10   
Statement of Assets and Liabilities      20   
Statement of Operations      22   
Statements of Changes in Net Assets      23   
Financial Highlights      24   
Notes to Financial Statements      35   
Portfolio Proxy Voting Policies and Guidelines; Updates to Statement of Investments      52   
Distribution Sources      53   
Trustees and Officers      54   
Privacy Policy Notice      55   

 

 

Class A Shares

AVERAGE ANNUAL TOTAL RETURNS AT 3/31/16

 

     Class A Shares of the Fund        
             Barclays U.S.   Barclays U.S. 1-3 Year  
     Without Sales Charge   With Sales Charge   Government Bond   Government Bond  
             Index   Index  
6-Month    0.13%   -2.13%   2.18%   0.46%
1-Year    0.41       -1.85      2.37      0.93    
5-Year    1.10       0.64      3.42      0.90    
10-Year    2.19       1.95      4.52      2.56    

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Fund returns include changes in share price, reinvested distributions, and a 2.25% maximum applicable sales charge except where “without sales charge” is indicated. Prior to April 1, 2012, the maximum initial sales charge for Class A shares of the Fund was 3.50%. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677).

 

2      OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Fund Performance Discussion

The Fund’s Class A shares (without sales charge) produced a total return of 0.13% during the reporting period. On a relative basis, the Barclays U.S. 1-3 Year Government Bond Index returned 0.46%.

MARKET OVERVIEW

During the six-month reporting period, volatility was experienced across equity and credit markets as investors struggled with Federal Reserve (the “Fed”) uncertainty, falling commodity prices, and weak global growth. October 2015 experienced one of the most dramatic credit-spread tightening periods on record, yet it was not to last. The better-than-expected payroll report released in early November increased expectations of a Fed hike in December and risk assets began to sell off and credit spreads widened in sympathy. Although other economic data was mixed domestically, European data continued to improve while emerging market data was generally mixed to weaker.

In December, the Fed increased the overnight policy rate by 0.25%, the first such action in a decade. As expectations of the hike increased after the November jobs report, 2-year Treasury yields began to climb. Longer term Treasury yields also rose in late October and November but ended 2015 near 2.25% after touching 2.00% in mid-October and 2.35% in early November.

Before the Fed action, the European Central Bank (the “ECB”) decreased policy rates,

but newly announced easing actions underwhelmed the market. The Bank of Japan (“BoJ”) also performed additional easing actions. Short-term yields moved further negative in Germany and crossed into negative territory in Japan by the end of 2015.

2016 started off with credit markets widening amid stock market weakness. The Fed’s statement in January suggested they would continue gradually raising rates this year, which further roiled markets as global growth continued to show risk of slowing further. Risk asset weakness and the BoJ cutting rates to negative levels at the end of January helped U.S. Treasury yields fall dramatically.

By mid-February markets began to turn. The ECB hinted it would likely ease further, the BoJ’s tone remained dovish, China signaled it would provide further stimulus, and better than expected economic data helped turn sentiment. A dovish Fed statement in mid-March and further dovish statements from Chair Yellen (sometimes at odds with other Fed speakers) helped the better trend in risk sentiment persist.

 

 

3       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FUND REVIEW

During the reporting period, the Fund received its strongest results from agency residential mortgage-backed securities (“RMBS”). We have been opportunistically taking advantage of movement in the agency RMBS market, which benefited the Fund’s performance this period. Also contributing positively to performance was security selection with U.S. Treasury and agency debt.

The primary detractor from performance this reporting period was the Fund’s security selection in commercial mortgage-backed securities (“CMBS”). Our allocation to CMBS is focused on the investment-grade portion of the capital structure in non-agency issued securities. During the reporting period, CMBS spreads widened in sympathy with credit spreads.

STRATEGY & OUTLOOK

In our view, dovish central banks, particularly a dovish Fed, have cleared the way for risk assets to perform well over the next several months. Chair Yellen’s speech before the Economics Club of New York was unequivocal

in the dovish tone, with Ms. Yellen also highlighting the bank’s willingness to allow inflation to run somewhat above its target before hiking aggressively. Although the term “gradual” implies the potential for further hikes, the exceedingly slow pace should no longer be a headwind for asset prices.

As mentioned earlier, we have been opportunistically taking advantage of movement in the agency RMBS market and are overweight that sector.

Looking at our modest allocation to non-government debt, the Fund’s overweight to asset-backed securities (ABS) is primarily concentrated in securities backed by auto loans which currently feature attractive yields and strong underwriting. However, recent market performance has given the opportunity to rotate out a portion of the auto sector into other attractively priced high quality RMBS. As mentioned earlier, our allocation to CMBS is focused on the investment-grade portion of the capital structure in non-agency issued securities.

 

LOGO     

 

LOGO

Peter A. Strzalkowski, CFA

  Portfolio Manager
 

 

4       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Portfolio Allocation

 

   

Mortgage-Backed Obligations

  

Government Agency

     54.7%   

Non-Agency

     4.9      

U.S. Government Obligations

     37.2      

Asset-Backed Securities

     3.2      

Portfolio holdings and allocations are subject to change. Percentages are as of March 31, 2016, and are based on the total market value of investments.

 

 

5       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Share Class Performance

AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 3/31/16

 

    Inception
Date
  6-Month      1-Year      5-Year      10-Year       
Class A (OPGVX)   3/10/86   0.13%   0.41%   1.10%   2.19%    
Class B (OGSBX)   5/3/93   -0.27      -0.39      0.32      1.73       
Class C (OLTCX)   2/1/95   -0.27      -0.39      0.29      1.40       
Class I (OLTIX)   12/28/12   0.29      0.74      0.95*    N/A       
Class R (OLTNX)   3/1/01   0.20      0.22      0.82      1.92       
Class Y (OLTYX)   1/26/98   0.28      0.72      1.46      2.49       

AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 3/31/16

 

    Inception
Date
  6-Month      1-Year      5-Year      10-Year       
Class A (OPGVX)   3/10/86   -2.13%   -1.85%   0.64%   1.95%    
Class B (OGSBX)   5/3/93   -4.24      -4.34      0.13      1.73       
Class C (OLTCX)   2/1/95   -1.26      -1.38      0.29      1.40       
Class I (OLTIX)   12/28/12   0.29      0.74      0.95*    N/A       
Class R (OLTNX)   3/1/01   0.20      0.22      0.82      1.92       
Class Y (OLTYX)   1/26/98   0.28      0.72      1.46      2.49       

* Shows performance since inception.

 

STANDARDIZED YIELDS       
For the 30 Days Ended 3/31/16         
Class A      1.54%            
Class B      0.78               
Class C      0.78               
Class I      1.89               
Class R      1.28               
Class Y      1.87               

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s investment. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800. CALL OPP (225.5677). Fund returns include changes in share price, reinvested distributions, and the applicable sales charge: for Class A shares, the current maximum initial sales charge of 2.25%; for Class B shares, the contingent deferred sales charge of 4% (1-year) and 1% (5-year); and for Class C shares, the contingent deferred sales charge (“CDSC”) of 1% for the 1-year period. Prior to 7/1/14, Class R shares were named Class N shares. Beginning 7/1/14, new purchases of Class

 

6       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


R shares will no longer be subject to a CDSC upon redemption (any CDSC will remain in effect for purchases prior to 7/1/14). There is no sales charge for Class I and Class Y shares. Because Class B shares convert to Class A shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized.

Standardized yield is based on net investment income for the 30-day period ended 3/31/16 and the maximum offering price at the end of the period for Class A shares and the net asset value for Class B, Class C, Class I, Class R and Class Y shares. Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields.

The Fund’s performance is compared to the performance of the Barclays U.S. Government Bond Index and the Barclays U.S. 1-3 Year Government Bond Index. The Barclays U.S. Government Bond Index is a market-weighted index of U.S. government securities with maturities of 1 year or more. The Barclays U.S. 1-3 Year Government Bond Index is an index of U.S. Government securities with maturities of 1 to 3 years. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

The Fund’s investment strategy and focus can change over time. The mention of specific fund holdings does not constitute a recommendation by OppenheimerFunds, Inc. or its affiliates.

Before investing in any of the Oppenheimer funds, investors should carefully consider a fund’s investment objectives, risks, charges and expenses. Fund prospectuses and summary prospectuses contain this and other information about the funds, and may be obtained by asking your financial advisor, visiting oppenheimerfunds.com, or calling 1.800. CALL OPP (225.5677). Read prospectuses and summary prospectuses carefully before investing.

Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.

The Fund’s Statement of Additional Information contains additional information about the Fund’s Trustees and Officers and is available without charge, upon request, by calling 1.800. CALL OPP (225.5677).

 

7       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Fund Expenses

Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments and/or contingent deferred sales charges on redemptions; and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended March 31, 2016.

Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended March 31, 2016” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes. The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front-end or contingent deferred sales charges (loads). Therefore, the “hypothetical” section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

8       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

Actual   

Beginning

Account

Value

October 1, 2015

    

Ending

Account

Value

March 31, 2016

    

Expenses

Paid During

6 Months Ended

March 31, 2016

     
Class A      $  1,000.00        $  1,001.30        $        4.01     
Class B          1,000.00               997.30                  8.02     
Class C          1,000.00               997.30                  8.02     
Class I          1,000.00            1,002.90                  2.41     
Class R          1,000.00            1,002.00                  5.52     
Class Y          1,000.00            1,002.80                  2.51   

Hypothetical

(5% return before expenses)

                           
Class A          1,000.00            1,021.00                  4.05     
Class B          1,000.00            1,017.00                  8.10     
Class C          1,000.00            1,017.00                  8.10     
Class I          1,000.00            1,022.60                  2.43     
Class R          1,000.00            1,019.50                  5.57     
Class Y          1,000.00            1,022.50                  2.53   

Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended March 31, 2016 are as follows:

 

Class    Expense Ratios        
Class A      0.80%        
Class B      1.60           
Class C      1.60           
Class I      0.48           
Class R      1.10           
Class Y      0.50           

The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.

 

9       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

STATEMENT OF INVESTMENTS March 31, 2016 Unaudited

 

     Principal Amount      Value  

 

 
Asset-Backed Securities—3.5%      

 

 
AmeriCredit Automobile Receivables Trust:      
Series 2014-4, Cl. D, 3.07%, 11/9/20    $ 830,000       $ 832,158     
Series 2015-2, Cl. D, 3.00%, 6/8/21      1,175,000                     1,165,093     

 

 
California Republic Auto Receivables Trust, Series 2013-2, Cl. C, 3.32%, 8/17/20                  2,115,000         2,148,831     

 

 
Capital Auto Receivables Asset Trust:      
Series 2013-4, Cl. D, 3.22%, 5/20/19      955,000         961,481     
Series 2014-3, Cl. D, 3.14%, 2/20/20      1,440,000         1,425,256     

 

 
Credit Acceptance Auto Loan Trust, Series 2014-2A, Cl. B, 2.67%, 9/15/221      1,445,000         1,448,806     

 

 
DT Auto Owner Trust:      
Series 2013-1A, Cl. D, 3.74%, 5/15/201      1,354,918         1,362,896     
Series 2013-2A, Cl. D, 4.18%, 6/15/201      3,920,000         3,976,493     
Series 2014-1A, Cl. D, 3.98%, 1/15/211      3,230,000         3,253,441     
Series 2014-2A, Cl. D, 3.68%, 4/15/211      4,660,000         4,668,739     

 

 
Exeter Automobile Receivables Trust, Series 2014-2A, Cl. C, 3.26%, 12/16/191      1,015,000         1,002,497     

 

 
First Investors Auto Owner Trust:      
Series 2012-2A, Cl. D, 3.79%, 9/16/191      1,500,000         1,506,351     
Series 2013-3A, Cl. D, 3.67%, 5/15/201      1,115,000         1,101,307     
Series 2014-3A, Cl. D, 3.85%, 2/15/221      1,305,000         1,295,988     

 

 
GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/181      646,458         645,923     

 

 
Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.733%, 10/25/191,2      1,090,000         1,084,252     

 

 
Santander Drive Auto Receivables Trust:      
Series 2013-4, Cl. E, 4.67%, 1/15/201      3,200,000         3,326,448     
Series 2013-A, Cl. D, 3.78%, 10/15/191      170,000         173,310     
Series 2013-A, Cl. E, 4.71%, 1/15/211      2,415,000         2,467,087     
Series 2014-4, Cl. D, 3.10%, 11/16/20      1,675,000         1,688,602     
Series 2015-3, Cl. D, 3.49%, 5/17/21      3,065,000         3,051,789     

 

 
SNAAC Auto Receivables Trust, Series 2014-1A, Cl. D, 2.88%, 1/15/201      1,245,000         1,194,719     

 

 
Westlake Automobile Receivables Trust:      
Series 2014-1A, Cl. D, 2.20%, 2/15/211      1,405,000         1,389,741     
Series 2014-2A, Cl. D, 2.86%, 7/15/211      1,490,000         1,455,681     
     

 

 

 
Total Asset-Backed Securities (Cost $42,619,795)         42,626,889     

 

 
Mortgage-Backed Obligations—65.8%      

 

 

Government Agency—60.3%

     

 

 

FHLMC/FNMA/FHLB/Sponsored—54.9%

     

 

 
Federal Home Loan Mortgage Corp. Gold Pool:      
4.50%, 5/1/19      37,513         38,864     
5.50%, 4/1/18-1/1/24      3,861,695         4,177,204     
6.00%, 5/1/18-10/1/29      2,130,362         2,391,402     
6.50%, 4/1/18-4/1/34      1,410,791         1,613,583     
7.00%, 8/1/16-10/1/37      920,530         1,096,159     
7.50%, 1/1/32-9/1/33      2,999,805         3,653,578     
8.50%, 3/1/31      31,007         36,326     

 

10       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

     Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal Home Loan Mortgage Corp. Gold Pool: (Continued)      
9.00%, 8/1/22-5/1/25    $ 50,410       $ 55,507     
10.00%, 8/1/21      27,421         27,560     

 

 
Federal Home Loan Mortgage Corp. Non Gold Pool, 11%, 11/1/20      14,617         15,165     

 

 
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:      
Series 192, Cl. IO, 5.221%, 2/1/283      154,295         28,468     
Series 205, Cl. IO, 13.225%, 9/1/293      1,093,466         200,947     
Series 206, Cl. IO, 0.00%, 12/1/293,4      64,341         14,588     
Series 243, Cl. 6, 0.00%, 12/15/323,4      359,927         66,132     

 

 
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt
Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22
               18,522,153                   18,995,639     

 

 
Federal Home Loan Mortgage Corp., Multifamily Structured Pass Through Certificates:      
Series K035, Cl. A1, 2.615%, 3/25/23      8,417,843         8,712,815     
Series K040, Cl. A1, 2.768%, 4/25/24      14,313,793         15,061,308     
Series K041, Cl. A1, 2.72%, 8/25/24      11,455,038         11,983,581     
Series K041, Cl. A2, 3.171%, 10/25/24      11,150,000         11,953,837     
Series K042, Cl. A1, 2.267%, 6/25/24      5,903,304         6,058,140     
Series K043, Cl. A1, 2.532%, 10/25/23      7,510,565         7,806,201     
Series K044, Cl. A1, 2.321%, 3/25/24      14,641,916         15,057,198     
Series K045, Cl. A1, 2.493%, 11/25/24      11,698,736         12,126,755     
Series K045, Cl. A2, 3.023%, 1/25/25      10,255,000         10,864,832     
Series K046, Cl. A1, 2.697%, 1/25/25      9,873,414         10,352,754     
Series K046, Cl. A2, 3.205%, 3/25/25      12,000,000         12,879,594     
Series K047, Cl. A1, 2.827%, 12/25/24      11,839,594         12,481,902     
Series K048, Cl. A1, 2.689%, 12/25/24      9,861,802         10,241,560     
Series K049, Cl. A2, 3.01%, 7/25/25      5,000,000         5,279,798     
Series K050, Cl. A2, 3.334%, 8/25/252      10,600,000         11,476,279     
Series K053, Cl. A1, 2.548%, 2/25/25      2,850,000         2,955,017     

 

 
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security:      
Series 216, Cl. PO, 13.538%, 12/1/315      216,765         198,395     
Series 219, Cl. PO, 13.637%, 3/1/325      639,040         584,926     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 1095, Cl. D, 1.086%, 6/15/212      2,379         2,400     
Series 151, Cl. F, 9.00%, 5/15/21      8,814         9,688     
Series 1695, Cl. F, 2.025%, 3/15/242      815,361         840,143     
Series 2035, Cl. PC, 6.95%, 3/15/28      565,325         648,269     
Series 2084, Cl. ZC, 6.50%, 8/15/28      285,420         323,921     
Series 2116, Cl. ZA, 6.00%, 1/15/29      384,559         439,060     
Series 2122, Cl. FD, 0.786%, 2/15/292      446,048         449,298     
Series 2132, Cl. FN, 1.339%, 3/15/292      617,118         631,400     
Series 2148, Cl. ZA, 6.00%, 4/15/29      639,639         734,255     
Series 2195, Cl. LH, 6.50%, 10/15/29      1,013,292         1,156,860     
Series 2220, Cl. PD, 8.00%, 3/15/30      163,743         193,363     
Series 2281, Cl. Z, 6.50%, 2/15/31      1,317,295         1,499,303     
Series 2319, Cl. BZ, 6.50%, 5/15/31      2,092,289         2,391,291     
Series 2326, Cl. ZP, 6.50%, 6/15/31      495,868         556,785     
Series 2344, Cl. FP, 1.386%, 8/15/312      323,560         332,353     
Series 2368, Cl. TG, 6.00%, 10/15/16      529         528     
Series 2392, Cl. FB, 1.036%, 1/15/292      99,099         100,660     

 

11       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   
Series 2396, Cl. FE, 1.036%, 12/15/312    $ 193,341       $ 196,540     
Series 2401, Cl. FA, 1.086%, 7/15/292      136,847         139,103     
Series 2427, Cl. ZM, 6.50%, 3/15/32      103,213         118,617     
Series 2464, Cl. FI, 1.436%, 2/15/322      201,791         206,536     
Series 2470, Cl. LF, 1.436%, 2/15/322      206,449         211,304     
Series 2471, Cl. FD, 1.436%, 3/15/322      280,556         287,224     
Series 2481, Cl. AF, 0.986%, 3/15/322      163,871         166,162     
Series 2500, Cl. FD, 0.936%, 3/15/322      313,553         318,089     
Series 2504, Cl. FP, 0.936%, 3/15/322      318,990         322,835     
Series 2526, Cl. FE, 0.836%, 6/15/292      358,314         361,651     
Series 2530, Cl. FD, 0.936%, 2/15/322      402,336         407,113     
Series 2538, Cl. F, 1.036%, 12/15/322      42,714         43,338     
Series 2550, Cl. FI, 0.786%, 11/15/322      139,104         139,765     
Series 2551, Cl. FD, 0.836%, 1/15/332      334,349         337,347     
Series 2564, Cl. MP, 5.00%, 2/15/18                  2,157,830                     2,218,426     
Series 2585, Cl. HJ, 4.50%, 3/15/18      1,190,680         1,229,882     
Series 2627, Cl. KM, 4.50%, 6/15/18      379,645         392,203     
Series 2630, Cl. MB, 4.50%, 6/15/18      470,071         485,702     
Series 2635, Cl. AG, 3.50%, 5/15/32      2,137,147         2,255,698     
Series 2668, Cl. AZ, 4.00%, 9/15/18      176,776         181,061     
Series 2676, Cl. KY, 5.00%, 9/15/23      1,096,847         1,182,884     
Series 2707, Cl. QE, 4.50%, 11/15/18      1,240,026         1,280,915     
Series 2708, Cl. N, 4.00%, 11/15/18      1,041,476         1,066,786     
Series 2764, Cl. OE, 4.50%, 3/15/19      1,714,795         1,767,487     
Series 2770, Cl. TW, 4.50%, 3/15/19      3,598,863         3,743,240     
Series 2843, Cl. BC, 5.00%, 8/15/19      535,039         554,389     
Series 3010, Cl. WB, 4.50%, 7/15/20      664,743         691,642     
Series 3025, Cl. SJ, 23.151%, 8/15/352      103,240         163,927     
Series 3134, Cl. FA, 0.736%, 3/15/362      5,630,463         5,628,501     
Series 3342, Cl. FT, 0.886%, 7/15/372      1,083,287         1,088,354     
Series 3645, Cl. EH, 3.00%, 12/15/20      3,651,590         3,731,661     
Series 3647, Cl. BD, 3.00%, 12/15/19      1,667,953         1,672,769     
Series 3659, Cl. DE, 2.00%, 3/15/19      1,097,688         1,107,157     
Series 3740, Cl. NP, 2.00%, 1/15/37      6,426,205         6,484,535     
Series 3741, Cl. PA, 2.15%, 2/15/35      3,526,849         3,563,852     
Series 3804, Cl. WJ, 3.50%, 3/15/39      3,991,339         4,087,361     
Series 3805, Cl. AK, 3.50%, 4/15/24      418,394         426,122     
Series 3815, Cl. BD, 3.00%, 10/15/20      426,247         433,531     
Series 3822, Cl. JA, 5.00%, 6/15/40      218,113         231,083     
Series 3840, Cl. CA, 2.00%, 9/15/18      288,219         290,519     
Series 3848, Cl. WL, 4.00%, 4/15/40      2,613,997         2,749,757     
Series 3857, Cl. GL, 3.00%, 5/15/40      2,447,795         2,550,293     
Series 3887, Cl. NC, 3.00%, 7/15/26      912,991         934,962     
Series 3917, Cl. BA, 4.00%, 6/15/38      1,208,760         1,271,983     
Series 3935, Cl. NA, 3.50%, 10/15/26      5,901,713         6,115,384     
Series 4109, Cl. KD, 3.00%, 5/15/32      2,540,753         2,581,796     
Series 4221, Cl. HJ, 1.50%, 7/15/23      12,059,211         12,177,262     

 

12       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

     Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   
Series 4350, Cl. CA, 2.00%, 10/15/19    $ 3,338,724       $ 3,377,869     
Series 4446, Cl. PL, 2.50%, 7/15/38      5,082,841         5,205,049     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates,   
Interest-Only Stripped Mtg.-Backed Security:      
Series 2074, Cl. S, 45.817%, 7/17/283      238,724         45,356     
Series 2079, Cl. S, 0.00%, 7/17/283,4      422,106         85,027     
Series 2493, Cl. S, 44.72%, 9/15/293      290,144         75,049     
Series 2526, Cl. SE, 23.695%, 6/15/293      495,055         113,213     
Series 2795, Cl. SH, 4.04%, 3/15/243      3,397,642         441,196     
Series 2796, Cl. SD, 46.491%, 7/15/263      119,460         22,512     
Series 2920, Cl. S, 50.704%, 1/15/353      2,869,697         550,990     
Series 2922, Cl. SE, 5.631%, 2/15/353      486,893         90,805     
Series 2981, Cl. AS, 0.00%, 5/15/353,4      975,814         199,985     
Series 3201, Cl. SG, 2.162%, 8/15/363      876,499         172,655     
Series 3397, Cl. GS, 15.063%, 12/15/373      63,899         12,003     
Series 3424, Cl. EI, 10.252%, 4/15/383      143,863         17,457     
Series 3450, Cl. BI, 8.568%, 5/15/383      3,073,680         532,415     
Series 3606, Cl. SN, 0.67%, 12/15/393      839,870         165,412     

 

 
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 0.936%, 5/15/362      2,862,974         2,872,514     

 

 
Federal National Mortgage Assn.:      
3.50%, 4/1/466              30,825,000                 32,329,526     
4.00%, 4/1/466      31,490,000         33,657,542     
4.50%, 4/1/316      10,355,000         10,711,502     

 

 
Federal National Mortgage Assn. Pool:      
3.50%, 12/1/20-8/1/40      21,342,452         22,540,399     
4.50%, 9/1/18-1/1/276      12,802,986         13,405,493     
5.00%, 2/1/18-7/1/22      32,522,166         33,631,265     
5.50%, 9/1/19-9/1/25      19,744,094         21,073,326     
6.00%, 3/1/17-2/1/40      6,251,056         7,022,216     
6.50%, 6/1/17-1/1/34      7,361,062         8,456,919     
7.00%, 11/1/17-2/1/36      5,788,147         6,904,084     
7.50%, 2/1/27-8/1/33      7,754,972         9,388,395     
8.00%, 6/1/17      59         60     
8.50%, 7/1/32      48,559         53,167     
9.00%, 8/1/19      2,536         2,724     
9.50%, 11/1/21      981         1,056     
11.00%, 5/20/19-7/20/19      2,295         2,338     

 

 
Federal National Mortgage Assn., Alternative Credit Enhancement Securities:      
Series 2015-M11, Cl. A2, 2.827%, 4/25/252      6,950,000         7,231,482     
Series 2015-M13, Cl. A2, 2.71%, 6/25/252      4,000,000         4,122,649     
Series 2015-M8, Cl. A2, 2.90%, 1/25/252      6,000,000         6,269,902     

 

 
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:      
Series 221, Cl. 2, 32.466%, 5/25/233      661,260         127,289     
Series 254, Cl. 2, 29.353%, 1/25/243      878,601         161,364     
Series 294, Cl. 2, 13.886%, 2/25/283      1,038,560         189,562     
Series 301, Cl. 2, 0.00%, 4/25/293,4      421,635         78,205     

 

13       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)      
Series 321, Cl. 2, 15.621%, 4/25/323    $ 2,407,783       $ 441,684     
Series 324, Cl. 2, 0.00%, 7/25/323,4      837,652         153,828     
Series 331, Cl. 10, 22.998%, 2/25/333      1,237,013         256,540     
Series 331, Cl. 4, 0.00%, 2/25/333,4      912,438         180,144     
Series 331, Cl. 5, 14.033%, 2/25/333      1,405,566         278,774     
Series 331, Cl. 6, 6.83%, 2/25/333      1,380,716         308,417     
Series 334, Cl. 10, 3.373%, 2/25/333      538,565         100,652     
Series 339, Cl. 15, 8.377%, 10/25/333      479,274         106,015     
Series 339, Cl. 7, 0.00%, 11/25/333,4      908,518         185,017     
Series 351, Cl. 8, 0.00%, 4/25/343,4      930,627         172,037     
Series 356, Cl. 10, 0.00%, 6/25/353,4      672,676         127,523     
Series 356, Cl. 12, 0.00%, 2/25/353,4      329,240         63,686     
Series 362, Cl. 13, 0.00%, 8/25/353,4      977,937         203,240     
Series 364, Cl. 15, 0.00%, 9/25/353,4      517,377         98,001     

 

 
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed
Security, Series 327, Cl. 1, 11.163%, 9/25/325
     178,498         164,306     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:      
Series 1988-7, Cl. Z, 9.25%, 4/25/18      8,988         9,424     
Series 1991-109, Cl. Z, 8.50%, 9/25/21      9,229         10,218     
Series 1997-16, Cl. PD, 7.00%, 3/18/27      909,562                   1,034,297     
Series 1998-59, Cl. Z, 6.50%, 10/25/28      100,154         114,649     
Series 1999-54, Cl. LH, 6.50%, 11/25/29      483,947         561,650     
Series 2001-69, Cl. PF, 1.433%, 12/25/312      494,828         504,025     
Series 2002-12, Cl. PG, 6.00%, 3/25/17      286,302         291,629     
Series 2002-19, Cl. PE, 6.00%, 4/25/17      8,981         9,025     
Series 2002-29, Cl. F, 1.433%, 4/25/322      218,794         224,089     
Series 2002-39, Cl. FD, 1.44%, 3/18/322      445,016         458,846     
Series 2002-52, Cl. FD, 0.933%, 9/25/322      370,993         376,676     
Series 2002-53, Cl. FY, 0.933%, 8/25/322      267,767         269,598     
Series 2002-64, Cl. FJ, 1.433%, 4/25/322      67,429         69,060     
Series 2002-65, Cl. FB, 1.433%, 7/25/322      408,385         418,244     
Series 2002-68, Cl. FH, 0.94%, 10/18/322      135,529         137,333     
Series 2002-77, Cl. TF, 1.44%, 12/18/322      831,360         851,092     
Series 2002-82, Cl. FE, 1.433%, 12/25/322      375,683         384,673     
Series 2002-9, Cl. PC, 6.00%, 3/25/17      151,608         154,696     
Series 2002-90, Cl. FJ, 0.933%, 9/25/322      147,695         149,462     
Series 2002-90, Cl. FM, 0.933%, 9/25/322      142,014         143,713     
Series 2003-100, Cl. PA, 5.00%, 10/25/18      3,307,960         3,421,013     
Series 2003-112, Cl. AN, 4.00%, 11/25/18      683,966         699,341     
Series 2003-116, Cl. FA, 0.833%, 11/25/332      238,570         240,174     
Series 2003-119, Cl. FK, 0.933%, 5/25/182      933,792         936,337     
Series 2003-130, Cl. CS, 13.234%, 12/25/332      466,304         533,683     
Series 2003-21, Cl. FK, 0.833%, 3/25/332      24,475         24,576     
Series 2003-26, Cl. XF, 0.883%, 3/25/232      645,245         647,154     
Series 2003-44, Cl. CB, 4.25%, 3/25/33      160,448         163,135     
Series 2003-84, Cl. GE, 4.50%, 9/25/18      697,307         721,141     
Series 2004-101, Cl. BG, 5.00%, 1/25/20      309,407         312,688     
Series 2004-25, Cl. PC, 5.50%, 1/25/34      566,480         590,944     

 

14       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

         Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   
Series 2004-29, Cl. QG, 4.50%, 12/25/32    $ 248,612       $ 249,196     
Series 2004-72, Cl. FB, 0.933%, 9/25/342      2,339,067         2,369,672     
Series 2005-109, Cl. AH, 5.50%, 12/25/25      4,597,497         5,001,251     
Series 2005-45, Cl. XA, 0.773%, 6/25/352      3,084,945         3,093,063     
Series 2005-67, Cl. BF, 0.783%, 8/25/352      1,296,765         1,297,511     
Series 2005-85, Cl. FA, 0.783%, 10/25/352      2,685,355         2,685,992     
Series 2006-11, Cl. PS, 22.979%, 3/25/362      424,040         680,467     
Series 2006-46, Cl. SW, 22.612%, 6/25/362      388,800         549,890     
Series 2006-50, Cl. KS, 22.612%, 6/25/362      312,292         478,637     
Series 2006-50, Cl. SK, 22.612%, 6/25/362      104,795         163,800     
Series 2007-113, Cl. DB, 4.50%, 12/25/22      8,583,653                   8,968,519     
Series 2007-79, Cl. FA, 0.883%, 8/25/372      737,445         745,610     
Series 2008-14, Cl. BA, 4.25%, 3/25/23      783,270         805,714     
Series 2008-24, Cl. DY, 5.00%, 4/25/23      563,791         582,458     
Series 2008-75, Cl. DB, 4.50%, 9/25/23      1,849,783         1,902,039     
Series 2009-113, Cl. DB, 3.00%, 12/25/20      7,083,011         7,209,226     
Series 2009-114, Cl. AC, 2.50%, 12/25/23      294,143         296,047     
Series 2009-36, Cl. FA, 1.373%, 6/25/372      4,888,805         5,014,307     
Series 2009-37, Cl. HA, 4.00%, 4/25/19      5,125,650         5,241,651     
Series 2009-70, Cl. NT, 4.00%, 8/25/19      728,473         742,932     
Series 2009-70, Cl. TL, 4.00%, 8/25/19      2,950,610         3,009,175     
Series 2010-43, Cl. KG, 3.00%, 1/25/21      815,556         833,240     
Series 2010-99, Cl. DP, 3.00%, 8/25/39      7,221,567         7,376,439     
Series 2011-104, Cl. MA, 2.50%, 10/25/26      648,874         657,721     
Series 2011-122, Cl. EC, 1.50%, 1/25/20      4,266,116         4,279,701     
Series 2011-15, Cl. DA, 4.00%, 3/25/41      1,817,249         1,916,382     
Series 2011-3, Cl. EL, 3.00%, 5/25/20              10,982,820         11,176,087     
Series 2011-3, Cl. KA, 5.00%, 4/25/40      2,484,118         2,725,390     
Series 2011-38, Cl. AH, 2.75%, 5/25/20      313,154         317,808     
Series 2011-44, Cl. EA, 3.00%, 6/25/24      662,814         677,927     
Series 2011-45, Cl. NG, 3.00%, 3/25/25      522,505         537,084     
Series 2011-45, Cl. TE, 3.00%, 3/25/25      931,490         956,747     
Series 2011-6, Cl. BA, 2.75%, 6/25/20      1,266,513         1,283,055     
Series 2011-69, Cl. EA, 3.00%, 11/25/29      1,209,246         1,221,824     
Series 2011-82, Cl. AD, 4.00%, 8/25/26      2,367,388         2,432,519     
Series 2011-88, Cl. AB, 2.50%, 9/25/26      652,969         661,527     
Series 2011-90, Cl. AL, 3.50%, 9/25/23      2,111,072         2,193,491     
Series 2012-20, Cl. FD, 0.833%, 3/25/422      795,798         799,855     
Series 2013-100, Cl. CA, 4.00%, 3/25/39      13,651,310         14,543,540     
Series 2013-22, Cl. JA, 3.50%, 3/25/43      2,883,508         2,951,495     
Series 2015-95, Cl. CD, 3.00%, 12/25/22      16,627,044         16,805,794     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security:    
Series 2001-63, Cl. SD, 27.743%, 12/18/313      356,857         73,592     
Series 2001-68, Cl. SC, 20.08%, 11/25/313      308,241         65,608     
Series 2001-81, Cl. S, 24.389%, 1/25/323      243,907         57,417     
Series 2002-28, Cl. SA, 33.295%, 4/25/323      231,090         52,758     

 

15       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

         Principal Amount      Value  

 

 

FHLMC/FNMA/FHLB/Sponsored (Continued)

     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security: (Continued)    
Series 2002-38, Cl. SO, 43.063%, 4/25/323    $ 402,503       $ 80,991     
Series 2002-39, Cl. SD, 34.047%, 3/18/323      431,900         100,563     
Series 2002-48, Cl. S, 29.191%, 7/25/323      377,031         87,651     
Series 2002-52, Cl. SD, 31.801%, 9/25/323      370,993         88,688     
Series 2002-52, Cl. SL, 31.44%, 9/25/323      241,310         55,552     
Series 2002-53, Cl. SK, 33.668%, 4/25/323      252,005         61,202     
Series 2002-56, Cl. SN, 30.826%, 7/25/323      512,072         117,166     
Series 2002-60, Cl. SM, 29.79%, 8/25/323      643,967         122,456     
Series 2002-77, Cl. IS, 38.358%, 12/18/323      576,126         132,331     
Series 2002-77, Cl. SH, 34.108%, 12/18/323      341,260         74,570     
Series 2002-9, Cl. MS, 25.379%, 3/25/323      376,077         87,575     
Series 2003-33, Cl. IA, 0.491%, 5/25/333      74,498         13,748     
Series 2003-33, Cl. SP, 29.049%, 5/25/333      835,568         186,145     
Series 2003-38, Cl. SA, 0.00%, 3/25/233,4      278,156         8,774     
Series 2003-4, Cl. S, 30.505%, 2/25/333      466,830         116,727     
Series 2005-12, Cl. SC, 7.691%, 3/25/353      232,164         46,216     
Series 2005-14, Cl. SE, 36.037%, 3/25/353      3,563,508         588,439     
Series 2005-40, Cl. SA, 46.214%, 5/25/353      1,425,969         266,394     
Series 2005-52, Cl. JH, 1.403%, 5/25/353      742,574         140,610     
Series 2005-63, Cl. SA, 45.197%, 10/25/313              1,212,906         256,160     
Series 2005-63, Cl. X, 32.456%, 10/25/313      14,358         441     
Series 2008-55, Cl. SA, 6.324%, 7/25/383      20,917         2,694     
Series 2009-8, Cl. BS, 0.00%, 2/25/243,4      367,100         15,013     
Series 2009-85, Cl. IO, 0.00%, 10/25/243,4      830,994         26,218     
Series 2011-96, Cl. SA, 4.432%, 10/25/413      511,509         93,104     
Series 2012-134, Cl. SA, 8.796%, 12/25/423      1,739,516         435,020     
Series 2012-40, Cl. PI, 0.00%, 4/25/413,4      284,979         36,603     

 

 
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:      
Series 1999-3, Cl. IO, 10.076%, 10/15/293      17,610,612         103,987     
Series 2001-3, Cl. IO, 13.873%, 10/15/313      8,100,223         54,694     
Series 2002-2, Cl. IO, 18.382%, 1/15/323      20,353,381         48,028     
Series 2002-3, Cl. IO, 10.636%, 8/15/323      28,678,598         186,898     
Series 2003-1, Cl. IO, 7.433%, 11/15/323      42,593,711         237,843     
     

 

 

 
                664,591,419     

 

 

GNMA/Guaranteed—4.7%

     

 

 
Government National Mortgage Assn. I Pool:      
6.50%, 1/15/24      48,632         55,740     
7.00%, 1/15/28-9/15/29      355,511         397,580     
7.50%, 6/15/28-8/15/28      367,783         380,253     
8.00%, 9/15/28      12,221         12,268     
8.50%, 8/15/17-12/15/17      35,995         36,754     
9.50%, 9/15/17      599         607     
10.50%, 12/15/17-1/15/21      12,677         12,767     

 

 
Government National Mortgage Assn. II Pool:      
3.50%, 4/1/466      43,790,000         46,297,662     
4.00%, 4/1/466      985,000         1,053,296     
7.00%, 1/20/30      37,966         46,497     

 

16       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

     Principal Amount      Value  

 

 

GNMA/Guaranteed (Continued)

     

 

 
Government National Mortgage Assn. II Pool: (Continued)      
11.00%, 10/20/19    $ 10,038       $ 10,094     

 

 
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:      
Series 2002-76, Cl. SG, 4.474%, 10/16/293      190,171         44,926     
Series 2011-52, Cl. HS, 4.573%, 4/16/413      4,341,694         845,971     

 

 
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 2009-66, Cl. CD, 2.50%, 8/16/39      88,112         89,350     
Series 2010-55, Cl. QN, 3.00%, 10/20/37      3,451,753         3,488,645     
Series 2014-167, Cl. WF, 0.889%, 7/20/442                4,094,216         4,095,236     
     

 

 

 
                  56,867,646     

 

 

Other Agency—0.7%

     

 

 
Federal Home Loan Banks, Series 00-1372, Cl. 1, 4.75%, 5/18/18      3,486,157         3,689,676     

 

 
NCUA Guaranteed Notes Trust, Series 2010-A1, Cl. A, 0.792%, 12/7/202      4,659,081         4,654,096     
     

 

 

 
        8,343,772     

 

 

Non-Agency—5.5%

     

 

 

Commercial—5.2%

     

 

 
BCAP LLC Trust:      
Series 2011-R11, Cl. 18A5, 2.43%, 9/26/351,2      1,102,197         1,103,778     
Series 2012-RR2, Cl. 6A3, 2.853%, 9/26/351,2      1,812,118         1,800,702     
Series 2012-RR6, Cl. RR6, 2.404%, 11/26/361      3,312,939         3,210,123     

 

 
Bear Stearns ARM Trust, Series 2005-2, Cl. A1, 3.09%, 3/25/352      2,012,838         2,009,574     

 

 
CHL Mortgage Pass-Through Trust, Series 2003-J5, Cl. 2A1, 5%, 7/25/18      416,924         420,695     

 

 
Citigroup Mortgage Loan Trust, Inc.:      
Series 2012-8, Cl. 1A1, 2.862%, 10/25/351,2      3,364,351         3,351,850     
Series 2014-8, Cl. 1A1, 1.012%, 7/20/361,2      4,795,219         4,403,271     

 

 
COMM Mortgage Trust:      
Series 2012-CR5, Cl. E, 4.338%, 12/10/451,2      1,590,000         1,477,593     
Series 2013-CR7, Cl. D, 4.351%, 3/10/461,2      2,025,000         1,865,491     

 

 
CSMC, Series 2009-13R, Cl. 4A1, 2.739%, 9/26/361,2      134,928         135,164     

 

 
FREMF Mortgage Trust:      
Series 2013-K25, Cl. C, 3.618%, 11/25/451,2      805,000         753,133     
Series 2013-K26, Cl. C, 3.599%, 12/25/451,2      550,000         510,433     
Series 2013-K27, Cl. C, 3.496%, 1/25/461,2      850,000         777,523     
Series 2014-K36, Cl. C, 4.363%, 12/25/461,2      3,250,000         2,976,155     
Series 2014-K38, Cl. C, 4.636%, 6/25/471,2      5,250,000         4,565,338     
Series 2014-K714, Cl. C, 3.849%, 1/25/471,2      2,500,000         2,433,786     
Series 2014-K715, Cl. C, 4.127%, 2/25/461,2      2,205,000         2,156,788     

 

 
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 2.869%, 7/25/352      1,124,308         1,105,330     

 

 
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.42%, 12/15/471,2      1,765,000         1,634,571     

 

 
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Cl. E, 5.192%, 5/15/451,2      3,255,000         3,204,111     

 

 
JP Morgan Resecuritization Trust, Series 2009-11, Cl. 5A1, 2.739%, 9/26/361,2      513,670         513,448     

 

 
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.787%, 4/21/342      818,325         830,593     

 

 
Morgan Stanley Bank of America Merrill Lynch Trust:      
Series 2012-C6, Cl. E, 4.657%, 11/15/451,2      1,795,000         1,734,059     

 

17       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Unaudited / Continued

 

     Principal Amount      Value  

 

 

Commercial (Continued)

     

 

 
Morgan Stanley Bank of America Merrill Lynch Trust: (Continued)      
Series 2013-C11, Cl. D, 4.414%, 8/15/461,2    $ 1,700,000       $ 1,501,282     
Series 2013-C13, Cl. D, 4.892%, 11/15/461,2      4,060,000         3,735,725     
Series 2013-C7, Cl. D, 4.296%, 2/15/461,2      260,000         233,430     

 

 
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1A, 2.193%, 11/26/361,2      4,346,383         4,247,765     

 

 
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.546%, 6/26/461,2      1,968,442         1,962,780     

 

 
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.569%, 8/25/342      1,043,786         1,042,131     

 

 
Structured Agency Credit Risk Debt Nts.:      
Series 2015-HQA1, Cl. M1, 1.683%, 3/25/282      2,595,246         2,598,164     
Series 2016-HQA1, Cl. M1, 2.191%, 9/25/282      3,250,000         3,258,259     

 

 
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.889%, 5/10/631,2      630,000         600,526     

 

 
WF-RBS Commercial Mortgage Trust, Series 2012-C10, Cl. D, 4.454%, 12/15/451,2      930,000         864,163     
     

 

 

 
        63,017,734     

 

 

Residential—0.3%

     

 

 
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.727%, 12/25/342      830,144         814,850     

 

 
RALI Trust:      
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36      109,620         87,123     
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37      1,575,923         1,263,228     

 

 
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.537%, 10/25/332      819,797         832,388     
     

 

 

 
        2,997,589     
     

 

 

 
Total Mortgage-Backed Obligations (Cost $780,548,347)         795,818,160     

 

 
U.S. Government Obligations—41.1%      

 

 
Federal Home Loan Banks Nts., 1.375%, 2/18/21      60,000,000         60,084,600     

 

 
Federal Home Loan Mortgage Corp. Nts., 1.125%, 4/15/19      78,183,000         78,540,687     

 

 
Federal National Mortgage Assn. Nts., 0.875%, 3/28/18      78,185,000         78,353,254     

 

 
United States Treasury Nts.:      
0.625%, 8/31/17      10,000,000         9,990,230     
0.75%, 10/31/177            109,177,000         109,238,794     
1.375%, 3/31/20      15,650,000         15,826,986     
1.625%, 4/30/19      59,608,000         60,925,873     
1.75%, 10/31/20      39,215,000         40,201,493     
2.25%, 11/30/17      42,000,000         43,061,466     
     

 

 

 
Total U.S. Government Obligations (Cost $493,554,858)         496,223,383     

 

 
Total Investments, at Value (Cost $1,316,723,000)      110.4%           1,334,668,432     

 

 
Net Other Assets (Liabilities)      (10.4)             (125,321,353)    
  

 

 

 

Net Assets

     100.0%         $     1,209,347,079     
  

 

 

 

Footnotes to Statement of Investments

1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $83,106,667 or 6.87% of the Fund’s net assets at period end.

 

18       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

Footnotes to Statement of Investments (Continued)

2. Represents the current interest rate for a variable or increasing rate security.

3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $11,078,961 or 0.92% of the Fund’s net assets at period end.

4. Interest rate is less than 0.0005%.

5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $947,627 or 0.08% of the Fund’s net assets at period end.

6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.

7. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $3,165,791. See Note 6 of the accompanying Notes.

 

 

 
Futures Contracts as of March 31, 2016   
Description    Exchange      Buy/Sell     

Expiration

Date

    

Number

of

Contracts

     Value      Unrealized
Appreciation
(Depreciation)
 

 

 
United States Treasury Long Bonds      CBT         Buy         6/21/16         27       $ 4,439,813        $ 54,934     
United States Treasury Nts., 10 yr.      CBT         Sell         6/21/16         1,869             243,700,078         242,925     
United States Treasury Nts., 2 yr.      CBT         Buy         6/30/16         697         152,468,750         562,495     
United States Treasury Nts., 5 yr.      CBT         Sell         6/30/16         47         5,694,711         5,494     
United States Ultra Bonds      CBT         Buy         6/21/16         4         690,125         (5,827)    
                 

 

 

 
                   $             860,021     
                 

 

 

 

Glossary:

Exchange Abbreviations

CBT                        Chicago Board of Trade

See accompanying Notes to Financial Statements.

 

19       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

STATEMENT OF ASSETS AND LIABILITIES March 31, 2016 Unaudited

 

 

 
Assets   
Investments, at value (cost $1,316,723,000)—see accompanying statement of investments     $     1,334,668,432      

 

 
Cash      4,959,225      

 

 
Receivables and other assets:   
Investments sold on a when-issued or delayed delivery basis      27,432,817      
Interest and principal paydowns      4,922,002      
Shares of beneficial interest sold      1,612,427      
Variation margin receivable      85,892      
Other      178,530      
  

 

 

 
Total assets      1,373,859,325      

 

 
Liabilities   
Payables and other liabilities:   
Investments purchased (including $159,603,475 purchased on a when-issued or delayed delivery basis)      160,800,361      
Shares of beneficial interest redeemed      2,387,455      
Variation margin payable      713,395      
Distribution and service plan fees      165,481      
Trustees’ compensation      94,564      
Dividends      57,822      
Shareholder communications      10,001      
Other      283,167      
  

 

 

 
Total liabilities      164,512,246      

 

 

Net Assets

    $ 1,209,347,079      
  

 

 

 

 

 
Composition of Net Assets   
Par value of shares of beneficial interest     $ 269,978      

 

 
Additional paid-in capital      1,330,043,059      

 

 
Accumulated net investment income      3,867,201      

 

 
Accumulated net realized loss on investments      (143,638,612)     

 

 
Net unrealized appreciation on investments      18,805,453      
  

 

 

 

Net Assets

    $ 1,209,347,079      
  

 

 

 

 

20       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

 
Net Asset Value Per Share   
Class A Shares:   
Net asset value and redemption price per share (based on net assets of $562,269,624 and 125,475,147 shares of beneficial interest outstanding)    $ 4.48     
Maximum offering price per share (net asset value plus sales charge of 2.25% of offering price)    $ 4.58     

 

 
Class B Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $7,659,309 and 1,709,802 shares of beneficial interest outstanding)    $ 4.48     

 

 
Class C Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $180,233,511 and 40,302,349 shares of beneficial interest outstanding)    $ 4.47     

 

 
Class I Shares:   
Net asset value, redemption price and offering price per share (based on net assets of $361,895,413 and 80,801,815 shares of beneficial interest outstanding)    $ 4.48     

 

 
Class R Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $31,409,672 and 7,015,786 shares of beneficial interest outstanding)    $ 4.48     

 

 
Class Y Shares:   
Net asset value, redemption price and offering price per share (based on net assets of $65,879,550 and 14,672,610 shares of beneficial interest outstanding)    $ 4.49     

See accompanying Notes to Financial Statements.

 

21       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

STATEMENT OF OPERATIONS For the Six Months Ended March 31, 2016 Unaudited

 

 

 
Investment Income   
Interest     $       11,019,696      

 

 
Fee income on when-issued securities      1,816,739      
  

 

 

 
Total investment income      12,836,435      

 

 
Expenses   
Management fees      2,502,021      

 

 
Distribution and service plan fees:   
Class A      672,592      
Class B      44,731      
Class C      889,960      
Class R      73,661      

 

 
Transfer and shareholder servicing agent fees:   
Class A      613,144      
Class B      9,869      
Class C      196,227      
Class I      53,684      
Class R      33,027      
Class Y      64,847      

 

 
Shareholder communications:   
Class A      11,645      
Class B      548      
Class C      3,258      
Class I      7      
Class R      479      
Class Y      452      

 

 
Trustees’ compensation      37,682      

 

 
Custodian fees and expenses      26,808      

 

 
Borrowing fees      10,434      

 

 
Other      110,328      
  

 

 

 
Total expenses      5,355,404      
Less waivers and reimbursements of expenses      (446,701)     
  

 

 

 
Net expenses      4,908,703      

 

 
Net Investment Income      7,927,732      

 

 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investments      2,130,582      
Closing and expiration of futures contracts      (7,370,997)     
  

 

 

 
Net realized loss      (5,240,415)     

 

 
Net change in unrealized appreciation/depreciation on:   
Investments      (1,810,533)     
Futures contracts      1,488,678      
  

 

 

 
Net change in unrealized appreciation/depreciation      (321,855)     

 

 
Net Increase in Net Assets Resulting from Operations     $ 2,365,462      
  

 

 

 

See accompanying Notes to Financial Statements.

 

22       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

STATEMENTS OF CHANGES IN NET ASSETS

 

 

     Six Months Ended
March 31, 2016
(Unaudited)
     Year Ended
September 30, 2015
 

 

 
Operations      
Net investment income      $ 7,927,732          $ 18,252,874      

 

 
Net realized loss      (5,240,415)           (4,875,478)     

 

 
Net change in unrealized appreciation/depreciation      (321,855)           2,455,994      
  

 

 

 
Net increase in net assets resulting from operations      2,365,462            15,833,390      

 

 
Dividends and/or Distributions to Shareholders      
Dividends from net investment income:      
Class A      (5,637,044)           (11,102,551)     
Class B      (55,528)           (151,041)     
Class C      (1,093,846)           (2,058,571)     
Class I      (4,204,421)           (10,029,918)     
Class R      (259,082)           (513,965)     
Class Y      (679,866)           (884,551)     
  

 

 

 
     (11,929,787)           (24,740,597)     

 

 
Beneficial Interest Transactions      
Net increase (decrease) in net assets resulting from beneficial interest transactions:      
Class A      2,964,881            (28,570,446)     
Class B      (2,981,502)           (5,580,333)     
Class C      4,453,427            (11,978,869)     
Class I      5,797,758            (83,106,090)     
Class R      1,431,685            (2,985,288)     
Class Y      18,244,261            12,854,040      
  

 

 

 
     29,910,510            (119,366,986)     

 

 
Net Assets      
Total increase (decrease)      20,346,185            (128,274,193)     

 

 
Beginning of period      1,189,000,894            1,317,275,087      
  

 

 

 
End of period (including accumulated net investment income of $3,867,201 and $7,869,256, respectively)      $   1,209,347,079          $   1,189,000,894      
  

 

 

 

See accompanying Notes to Financial Statements.

 

23       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS

 

 

Class A    Six Months
Ended
March 31,
2016
(Unaudited)
      Year Ended
September
30, 20151
      Year Ended
September
30, 20141
       Year Ended
September
30, 20131
       Year Ended
September
28, 20121,2
       Year Ended
September
30, 20111

 

Per Share Operating Data                
Net asset value, beginning of period    $4.52   $4.55   $4.59    $4.71    $4.67    $4.73

 

Income (loss) from investment operations:                
Net investment income3    0.03   0.06   0.07    0.07    0.10    0.13
Net realized and unrealized gain (loss)    (0.02)   0.004   (0.02)    (0.10)    0.04    (0.06)
  

 

Total from investment operations    0.01   0.06   0.05    (0.03)    0.14    0.07

 

Dividends and/or distributions to shareholders:                
Dividends from net investment income    (0.05)   (0.09)   (0.09)    (0.09)    (0.10)    (0.13)

 

Net asset value, end of period    $4.48   $4.52   $4.55    $4.59    $4.71    $4.67
  

 

 

Total Return, at Net Asset Value5    0.13%   1.26%   1.04%    (0.63)%    3.00%    1.38%

 

Ratios/Supplemental Data                
Net assets, end of period (in thousands)        $562,270       $563,832   $596,274    $703,706    $835,353    $901,117

 

Average net assets (in thousands)    $557,419   $576,463   $646,216    $771,385    $856,033    $947,592

 

Ratios to average net assets:6                
Net investment income    1.35%   1.42%   1.41%    1.43%    2.01%    2.63%
Expenses excluding specific expenses listed below    0.92%   0.91%   0.91%    0.87%    0.86%    0.85%7
Interest and fees from borrowings    0.00%8   0.00%8   0.00%    0.00%    0.00%    0.00%
  

 

Total expenses    0.92%   0.91%   0.91%    0.87%    0.86%    0.85%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    0.80%   0.80%   0.80%    0.80%    0.80%    0.77%

 

Portfolio turnover rate9    114%   155%   229%    154%    152%    87%

 

24       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Less than $0.005 per share.

5. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

6. Annualized for periods less than one full year.

7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Year Ended September 30, 2011      0.85                                                                                                                          

8. Less than 0.005%.

9. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Year Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

Year Ended September 28, 2012

     $5,578,800,491         $5,394,779,917   

Year Ended September 30, 2011

     $5,748,952,116         $5,463,391,268   

See accompanying Notes to Financial Statements.

 

25       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS Continued

 

Class B    Six Months
Ended
March 31,
2016
(Unaudited)
      Year Ended
September
30, 20151
      Year Ended
September
30, 20141
       Year Ended
September
30, 20131
       Year Ended
September
28, 20121,2
       Year Ended
September
30, 20111

 

Per Share Operating Data                
Net asset value, beginning of period    $4.52   $4.55   $4.59    $4.71    $4.66    $4.72

 

Income (loss) from investment operations:                
Net investment income3    0.01   0.03   0.03    0.03    0.06    0.09
Net realized and unrealized gain (loss)    (0.02)   (0.01)   (0.02)    (0.09)    0.04    (0.06)
  

 

Total from investment operations    (0.01)   0.02   0.01    (0.06)    0.10    0.03

 

Dividends and/or distributions to shareholders:                
Dividends from net investment income    (0.03)   (0.05)   (0.05)    (0.06)    (0.05)    (0.09)

 

Net asset value, end of period    $4.48   $4.52   $4.55    $4.59    $4.71    $4.66
  

 

 

Total Return, at Net Asset Value4    (0.27)%   0.57%   0.24%    (1.41)%    2.18%    0.58%

 

Ratios/Supplemental Data                
Net assets, end of period (in thousands)    $7,659   $10,722   $16,385    $27,893    $43,860    $54,978

 

Average net assets (in thousands)    $8,953   $12,904   $21,830    $35,494    $49,094    $63,116

 

Ratios to average net assets:5                
Net investment income    0.56%   0.61%   0.62%    0.65%    1.22%    1.85%
Expenses excluding specific expenses listed below    1.68%   1.68%   1.67%    1.81%    1.83%    1.84%6
Interest and fees from borrowings    0.00%7   0.00%7   0.00%    0.00%    0.00%    0.00%
  

 

Total expenses    1.68%   1.68%   1.67%    1.81%    1.83%    1.84%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    1.60%   1.60%   1.60%    1.60%    1.60%    1.55%

 

Portfolio turnover rate8    114%   155%   229%    154%    152%    87%

 

26       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

5. Annualized for periods less than one full year.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Year Ended September 30, 2011      1.84                                                                                                                          

7. Less than 0.005%.

8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Year Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

Year Ended September 28, 2012

     $5,578,800,491         $5,394,779,917   

Year Ended September 30, 2011

     $5,748,952,116         $5,463,391,268   

See accompanying Notes to Financial Statements.

 

27       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS Continued

 

Class C   

Six Months
Ended
March 31,
2016

(Unaudited)

      Year Ended
September
30, 20151
      Year Ended
September
30, 20141
       Year Ended
September
30, 20131
       Year Ended
September
28, 20121,2
       Year Ended
September
30, 20111

 

Per Share Operating Data                
Net asset value, beginning of period    $4.51   $4.54   $4.58    $4.70    $4.66    $4.72

 

Income (loss) from investment operations:                
Net investment income3    0.01   0.03   0.03    0.03    0.05    0.09
Net realized and unrealized gain (loss)    (0.02)   (0.01)   (0.02)    (0.10)    0.05    (0.06)
  

 

Total from investment operations    (0.01)   0.02   0.01    (0.07)    0.10    0.03

 

Dividends and/or distributions to shareholders:                
Dividends from net investment income    (0.03)   (0.05)   (0.05)    (0.05)    (0.06)    (0.09)

 

Net asset value, end of period    $4.47   $4.51   $4.54    $4.58    $4.70    $4.66
  

 

 

Total Return, at Net Asset Value4    (0.27)%   0.46%   0.24%    (1.42)%    2.19%    0.59%

 

Ratios/Supplemental Data                
Net assets, end of period (in thousands)    $180,233   $177,216   $190,398    $233,776    $290,157    $333,542

 

Average net assets (in thousands)    $178,440   $181,572   $208,333    $265,441    $306,251    $343,597

 

Ratios to average net assets:5                
Net investment income    0.55%   0.62%   0.61%    0.64%    1.22%    1.86%
Expenses excluding specific expenses listed below    1.67%   1.66%   1.66%    1.61%    1.59%    1.58%6
Interest and fees from borrowings    0.00%7   0.00%7   0.00%    0.00%    0.00%    0.00%
  

 

Total expenses    1.67%   1.66%   1.66%    1.61%    1.59%    1.58%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    1.60%   1.60%   1.60%    1.60%    1.59%    1.54%

 

Portfolio turnover rate8    114%   155%   229%    154%    152%    87%

 

28       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

5. Annualized for periods less than one full year.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Year Ended September 30, 2011      1.58                                                                                                                          

7. Less than 0.005%.

8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Year Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

Year Ended September 28, 2012

     $5,578,800,491         $5,394,779,917   

Year Ended September 30, 2011

     $5,748,952,116         $5,463,391,268   

See accompanying Notes to Financial Statements.

 

29       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS Continued

 

Class I    Six Months
Ended
March 31,
2016
(Unaudited)
      Year Ended
September
30, 20151
      Year Ended
September
30, 20141
  Period Ended
September
30, 20131,2

 

Per Share Operating Data         
Net asset value, beginning of period    $4.52   $4.55   $4.59   $4.66

 

Income (loss) from investment operations:         
Net investment income3    0.04   0.08   0.08   0.05
Net realized and unrealized loss    (0.03)   (0.01)   (0.02)   (0.06)
  

 

Total from investment operations    0.01   0.07   0.06   (0.01)

 

Dividends and/or distributions to shareholders:         
Dividends from net investment income    (0.05)   (0.10)   (0.10)   (0.06)

 

Net asset value, end of period    $4.48   $4.52   $4.55   $4.59
  

 

 

Total Return, at Net Asset Value4    0.29%   1.71%   1.38%   (0.28)%

 

Ratios/Supplemental Data         
Net assets, end of period (in thousands)        $361,895       $358,985   $445,363   $229,314

 

Average net assets (in thousands)    $357,887   $447,250   $391,818   $78,761

 

Ratios to average net assets:5         
Net investment income    1.67%   1.75%   1.73%   1.48%
Expenses excluding specific expenses listed below    0.48%   0.47%   0.47%   0.46%
Interest and fees from borrowings    0.00%6   0.00%6   0.00%   0.00%
  

 

Total expenses    0.48%   0.47%   0.47%   0.46%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    0.48%   0.47%   0.47%   0.46%

 

Portfolio turnover rate7    114%   155%   229%   154%

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. For the period from December 28, 2012 (inception of offering) to September 30, 2013.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

5. Annualized for periods less than one full year.

6. Less than 0.005%.

7. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Period Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

See accompanying Notes to Financial Statements.

 

30       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

Class R    Six Months
Ended
March 31,
2016
(Unaudited)
      Year Ended
September
30, 20151
      Year Ended
September
30, 20141
       Year Ended
September
30, 20131
       Year Ended
September
28, 20121,2
       Year Ended
September
30, 20111

 

Per Share Operating Data                
Net asset value, beginning of period    $4.51   $4.55   $4.59    $4.71    $4.66    $4.72

 

Income (loss) from investment operations:                
Net investment income3    0.02   0.05   0.05    0.05    0.08    0.11
Net realized and unrealized gain (loss)    (0.01)   (0.01)   (0.01)    (0.09)    0.05    (0.06)
  

 

Total from investment operations    0.01   0.04   0.04    (0.04)    0.13    0.05

 

Dividends and/or distributions to shareholders:                
Dividends from net investment income    (0.04)   (0.08)   (0.08)    (0.08)    (0.08)    (0.11)

 

Net asset value, end of period    $4.48   $4.51   $4.55    $4.59    $4.71    $4.66
  

 

 

Total Return, at Net Asset Value4    0.20%   0.85%   0.74%    (0.92)%    2.69%    1.09%

 

Ratios/Supplemental Data                
Net assets, end of period (in thousands)        $31,410       $30,218   $33,413    $39,598    $43,962    $44,133

 

Average net assets (in thousands)    $30,030   $31,657   $36,387    $42,032    $44,441    $46,042

 

Ratios to average net assets:5                
Net investment income    1.05%   1.12%   1.11%    1.13%    1.71%    2.35%
Expenses excluding specific expenses listed below    1.16%   1.16%   1.15%    1.17%    1.17%    1.17%6
Interest and fees from borrowings    0.00%7   0.00%7   0.00%    0.00%    0.00%    0.00%
  

 

Total expenses    1.16%   1.16%   1.15%    1.17%    1.17%    1.17%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    1.10%   1.10%   1.10%    1.10%    1.10%    1.05%

 

Portfolio turnover rate8    114%   155%   229%    154%    152%    87%

 

31       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS Continued

 

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

5. Annualized for periods less than one full year.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

 

Year Ended September 30, 2011      1.17                                                                                                                          

7. Less than 0.005%.

8. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Year Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

Year Ended September 28, 2012

     $5,578,800,491         $5,394,779,917   

Year Ended September 30, 2011

     $5,748,952,116         $5,463,391,268   

See accompanying Notes to Financial Statements.

 

32       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

Class Y    Six Months
Ended
March 31,
2016
(Unaudited)
 

    Year Ended

September
30, 20151

 

    Year Ended

    September
30, 20141

 

    Year Ended

September
30, 20131

  

    Year Ended

September
28, 20121,2

       Year Ended
September
30, 20111

 

Per Share Operating Data               
Net asset value, beginning of period    $4.53   $4.56   $4.58   $4.71    $4.66    $4.72

 

Income (loss) from investment operations:               
Net investment income3    0.04   0.08   0.08   0.08    0.11    0.14
Net realized and unrealized gain (loss)    (0.03)   (0.01)   0.004   (0.10)    0.04    (0.06)
  

 

Total from investment operations    0.01   0.07   0.08   (0.02)    0.15    0.08

 

Dividends and/or distributions to shareholders:               
Dividends from net investment income    (0.05)   (0.10)   (0.10)   (0.11)    (0.10)    (0.14)

 

Net asset value, end of period    $4.49   $4.53   $4.56   $4.58    $4.71    $4.66
  

 

 

Total Return, at Net Asset Value5    0.28%   1.57%   1.78%   (0.44)%    3.30%    1.66%

 

Ratios/Supplemental Data               
Net assets, end of period (in thousands)        $65,880       $48,028   $35,442   $192,989    $532,594    $508,871

 

Average net assets (in thousands)    $59,063   $40,668   $60,953   $393,408    $512,755    $483,961

 

Ratios to average net assets:6               
Net investment income    1.65%   1.72%   1.77%   1.76%    2.30%    2.92%
Expenses excluding specific expenses listed below    0.67%   0.66%   0.66%   0.54%    0.51%    0.50%7
Interest and fees from borrowings    0.00%8   0.00%8   0.00%   0.00%    0.00%    0.00%
  

 

Total expenses    0.67%   0.66%   0.66%   0.54%    0.51%    0.50%
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses    0.50%   0.50%   0.50%   0.50%    0.50%    0.49%

 

Portfolio turnover rate9    114%   155%   229%   154%    152%    87%

 

33       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

FINANCIAL HIGHLIGHTS Continued

 

1. On September 11, 2015, the Fund effected a share split as described in Note 11 of the accompanying Notes. Per share data prior to this date has been restated to give effect to the share split.

2. September 28, 2012 represents the last business day of the Fund’s reporting period. See Note 2 of the accompanying Notes.

3. Per share amounts calculated based on the average shares outstanding during the period.

4. Less than $0.005.

5. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

6. Annualized for periods less than one full year.

7. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Year Ended September 30, 2011      0.50                                                                                                                          

8. Less than 0.005%.

9. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

 

     Purchase Transactions      Sale Transactions  

 

 

Six Months Ended March 31, 2016

     $1,415,868,532         $1,466,801,511   

Year Ended September 30, 2015

     $4,772,687,222         $4,772,841,445   

Year Ended September 30, 2014

     $3,062,315,364         $3,194,025,891   

Year Ended September 30, 2013

     $5,770,708,418         $6,001,196,249   

Year Ended September 28, 2012

     $5,578,800,491         $5,394,779,917   

Year Ended September 30, 2011

     $5,748,952,116         $5,463,391,268   

See accompanying Notes to Financial Statements.

 

34       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS March 31, 2016 Unaudited

 

 

1. Organization

Oppenheimer Limited-Term Government Fund (the “Fund”) is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek income. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI.

The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a contingent deferred sales charge (“CDSC”). Class R shares are sold only through retirement plans. Retirement plans that offer Class R shares may impose charges on those accounts. Class I and Class Y shares are sold to certain institutional investors or intermediaries without either a front-end sales charge or a CDSC, however, the intermediaries may impose charges on their accountholders who beneficially own Class I and Class Y shares. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class. Class A, B, C and R shares have separate distribution and/or service plans under which they pay fees. Class I and Class Y shares do not pay such fees. Class B shares will automatically convert to Class A shares 72 months after the date of purchase.

The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

 

 

2. Significant Accounting Policies

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating

 

35       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

2. Significant Accounting Policies (Continued)

expenses directly attributable to a specific class are charged against the operations of that class.

Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income distributions, if any, are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually.

The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.

Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.

Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdraft at a rate equal to the Prime Rate plus 0.35%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state

 

36       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

2. Significant Accounting Policies (Continued)

jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended September 30, 2015, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.

During the fiscal year ended September 30, 2015, the Fund did not utilize any capital loss carryforward to offset capital gains realized in that fiscal year. The Fund had straddle losses of $2,157,152. Details of the fiscal year ended September 30, 2015 capital loss carryforwards are included in the table below. Capital loss carryforwards with no expiration, if any, must be utilized prior to those with expiration dates. Capital losses with no expiration will be carried forward to future years if not offset by gains.

Expiring        

2016

    $ 12,640,219   

2017

     21,325,466   

2018

     73,585,342   

No expiration

     29,480,650   
  

 

 

 

Total

    $             137,031,677   
  

 

 

 

At period end, it is estimated that the capital loss carryforwards would be $107,551,027 expiring by 2018 and $34,721,065, which will not expire. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.

Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.

The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes at period end are noted in the following table. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses or tax realization of financial statement unrealized gain or loss.

 

37       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

2. Significant Accounting Policies (Continued)

Federal tax cost of securities

     $  1,316,774,119    

Federal tax cost of other investments

     (92,656,122)   
  

 

 

 

Total federal tax cost

     $  1,224,117,997    
  

 

 

 

Gross unrealized appreciation

     $ 24,135,612    

Gross unrealized depreciation

     (5,381,278)   
  

 

 

 

Net unrealized appreciation

     $ 18,754,334    
  

 

 

 

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

 

 

3. Securities Valuation

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the mean between the bid and asked price on the principal exchange or, if not available from the principal exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a

 

38       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

3. Securities Valuation (Continued)

single dealer. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage 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.

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

Security Type

 

  

Standard inputs generally considered by third-party pricing vendors

 

Corporate debt, government debt, municipal, mortgage- backed and asset-backed securities    Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors.
Loans    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
Event-linked bonds    Information obtained from market participants regarding reported trade data and broker-dealer price quotations.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or

 

39       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

3. Securities Valuation (Continued)

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 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).

 

40       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

3. Securities Valuation (Continued)

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The Fund classifies each of its investments in those Underlying Funds which are publicly offered and reported on an exchange as Level 1, and those Underlying Funds which are not publicly offered are not assigned a level, without consideration as to the classification level of the specific investments held by the Underlying Funds.

The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:

 

     

Level 1—

Unadjusted

        Quoted Prices

    

Level 2—

Other Significant

Observable Inputs

    

Level 3—

Significant

      Unobservable

Inputs

     Value   

Assets Table

           

Investments, at Value:

           

Asset-Backed Securities

   $ —        $ 42,626,889        $ —        $ 42,626,889     

Mortgage-Backed Obligations

     —          795,818,160          —          795,818,160     

U.S. Government Obligations

     —          496,223,383          —          496,223,383     
  

 

 

 

Total Investments, at Value

     —          1,334,668,432          —          1,334,668,432     

Other Financial Instruments:

           

Futures contracts

     865,848          —          —          865,848     
  

 

 

 

Total Assets

   $         865,848        $     1,334,668,432        $         $   1,335,534,280     
  

 

 

 

Liabilities Table

           

Other Financial Instruments:

           

Futures contracts

   $ (5,827)       $ —        $ —        $ (5,827)    
  

 

 

 

Total Liabilities

   $ (5,827)       $ —        $ —        $ (5,827)    
  

 

 

 

Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.

 

 

4. Investments and Risks

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net

 

41       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

4. Investments and Risks (Continued)

asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

     When-Issued or  
     Delayed Delivery  
     Basis Transactions  

 

 

Purchased securities

     $159,603,475   

Sold securities

     27,432,817   

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

At period end, the counterparty pledged $42,000 of collateral to the Fund for forward roll transactions.

 

 

5. Market Risk Factors

The Fund’s investments in securities and/or financial derivatives may expose the Fund to various market risk factors:

Commodity Risk. Commodity risk relates to the change in value of commodities or

 

42       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

5. Market Risk Factors (Continued)

commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

 

 

6. Use of Derivatives

The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (“OTC”) transaction, or through a securities or futures exchange and cleared through a clearinghouse.

Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded

 

43       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

6. Use of Derivatives (Continued)

leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund’s performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Fund’s initial investment.

Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.

The Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.

Futures Contracts

A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.

Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

 

44       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

6. Use of Derivatives (Continued)

During the reporting period, the Fund had an ending monthly average market value of $190,870,758 and $351,966,942 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.

With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded

 

45       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

6. Use of Derivatives (Continued)

and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.

The following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:

 

                 Asset Derivatives    

        Liability Derivatives

 

Derivatives

Not Accounted

for as Hedging

Instruments

  

Statement of Assets

and Liabilities Location

   Value    

Statement of Assets

and Liabilities Location

   Value  

 

 

Interest rate contracts Variation margin receivable

   $                 85,892 *    Variation margin payable    $                 713,395 * 

*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.

The effect of derivative instruments on the Statement of Operations is as follows:

Amount of Realized Gain or (Loss) Recognized on Derivatives  

Derivatives

Not Accounted

for as Hedging

Instruments

  

Closing and

expiration

of futures

contracts

 

Interest rate contracts

   $         (7,370,997)   

 

Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives  

Derivatives

Not Accounted

for as Hedging

Instruments

  

Futures

contracts

 

Interest rate contracts

   $         1,488,678   

 

 

7. Shares of Beneficial Interest

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:

 

46       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

7. Shares of Beneficial Interest (Continued)

     Six Months Ended March 31, 2016        Year Ended September 30, 2015    
     Shares      Amount        Shares      Amount    

 

 

Class A

             
Sold      14,675,717        $ 65,834,801            10,606,342        $ 91,748,735      
Dividends and/or distributions reinvested      1,178,688          5,275,534            1,220,521          10,370,156      
Redeemed      (15,184,899)         (68,145,454)           (14,892,969)         (130,689,337)     
Shares tendered from share split      —          —            62,317,6501           —       
  

 

 

 
Net increase (decrease)                  669,506        $         2,964,881            59,251,544        $ (28,570,446)     
  

 

 

 

 

 

Class B

             
Sold      167,481        $ 751,764            101,990        $ 887,010      
Dividends and/or distributions reinvested      12,091          54,052            17,000          147,075      
Redeemed      (843,997)         (3,787,318)           (741,937)         (6,614,418)     
Shares tendered from share split      —          —            1,195,1521           —      
  

 

 

 
Net increase (decrease)      (664,425)       $ (2,981,502)           572,205        $ (5,580,333)     
  

 

 

 

 

 

Class C

             
Sold      5,797,987        $ 25,947,756            3,998,170        $ 32,676,164      
Dividends and/or distributions reinvested      228,390          1,019,113            223,206          1,910,836      
Redeemed      (5,031,273)         (22,513,442)           (5,367,953)         (46,565,869)     
Shares tendered from share split      —          —            19,479,5841           —      
  

 

 

 
Net increase (decrease)      995,104        $ 4,453,427            18,333,007        $ (11,978,869)     
  

 

 

 

 

 

Class I

             
Sold      5,548,488        $ 24,897,355            6,710,710        $ 58,749,585      
Dividends and/or distributions reinvested      939,398          4,204,305            1,169,947          10,029,704      
Redeemed      (5,188,498)         (23,303,902)           (16,987,818)         (151,885,379)     
Shares tendered from share split      —          —            39,621,6921           —      
  

 

 

 
Net increase (decrease)      1,299,388        $ 5,797,758            30,514,531        $         (83,106,090)     
  

 

 

 

 

 

Class R

             
Sold      1,166,349        $ 5,225,243            676,425        $ 5,491,369      
Dividends and/or distributions reinvested      54,088          241,909            56,170          478,328      
Redeemed      (899,946)         (4,035,467)               (1,100,071)         (8,954,985)     
Shares tendered from share split      —          —            3,385,8991           —      
  

 

 

 
Net increase (decrease)      320,491        $ 1,431,685            3,018,423        $ (2,985,288)     
  

 

 

 

 

47       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

7. Shares of Beneficial Interest (Continued)

     Six Months Ended March 31, 2016      Year Ended September 30, 2015    
     Shares      Amount      Shares      Amount    

 

 

Class Y

           
Sold      8,593,235        $ 38,582,137          3,288,939        $ 28,623,728      
Dividends and/or distributions reinvested      108,229          485,516          79,727          674,916      
Redeemed      (4,637,308)         (20,823,392)         (1,848,448)         (16,444,604)     
Shares tendered from share split      —          —          5,200,4651           —      
  

 

 

 
Net increase                  4,064,156        $         18,244,261                      6,720,683        $         12,854,040      
  

 

 

 

1. As of the close of September 11, 2015, the Fund implemented a share split which resulted in an addition of shares. See Note 11.

 

 

8. Purchases and Sales of Securities

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations, for the reporting period were as follows:

 

     Purchases      Sales  

 

 
Investment securities      $104,239,983         $96,376,406   
U.S. government and government agency obligations      1,270,621,987         1,248,091,375   
To Be Announced (TBA) mortgage-related securities      1,415,868,532                                 1,466,801,511   

 

 

9. Fees and Other Transactions with Affiliates

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

 

  Fee Schedule       

 

 
  Up to $100 million      0.500%        
  Next $150 million      0.450           
  Next $250 million      0.425           
  Next $4.5 billion      0.400           
  Over $5 billion      0.380           

The Fund’s effective management fee for the reporting period was 0.42% of average annual net assets before any applicable waivers.

Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.

Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and

 

48       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

9. Fees and Other Transactions with Affiliates (Continued)

shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.

Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.

Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.

Distribution and Service Plan (12b-1) Fees. Under its General Distributor’s Agreement with the Fund, OppenheimerFunds Distributor, Inc. (the “Distributor”) acts as the Fund’s principal underwriter in the continuous public offering of the Fund’s classes of shares.

Service Plan for Class A Shares. The Fund has adopted a Service Plan (the “Plan”) for Class A shares pursuant to Rule 12b-1 under the 1940 Act. Under the Plan, the Fund reimburses the Distributor for a portion of its costs incurred for services provided to accounts that hold Class A shares. Reimbursement is made periodically at an annual rate of up to 0.25% of the daily net assets of Class A shares of the Fund. The Distributor currently uses all of those fees to pay dealers, brokers, banks and other financial institutions periodically for providing personal service and maintenance of accounts of their customers that hold Class A shares. Any unreimbursed expenses the Distributor incurs with respect to Class A shares in any fiscal year cannot be recovered in subsequent periods. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.

Distribution and Service Plans for Class B, Class C and Class R Shares. The Fund has adopted Distribution and Service Plans (the “Plans”) for Class B, Class C and Class R shares

 

49       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

NOTES TO FINANCIAL STATEMENTS Unaudited / Continued

 

 

9. Fees and Other Transactions with Affiliates (Continued)

pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing those share classes, maintaining accounts and providing shareholder services. Under the Plans, the Fund pays the Distributor an annual asset-based sales charge of 0.75% on Class B and Class C shares’ daily net assets and 0.25% on Class R shares’ daily net assets. The Fund also pays a service fee under the Plans at an annual rate of 0.25% of daily net assets. The Plans continue in effect from year to year only if the Fund’s Board of Trustees votes annually to approve their continuance at an in person meeting called for that purpose. Fees incurred by the Fund under the Plans are detailed in the Statement of Operations.

Sales Charges. Front-end sales charges and CDSC do not represent expenses of the Fund. They are deducted from the proceeds of sales of Fund shares prior to investment or from redemption proceeds prior to remittance, as applicable. The sales charges retained by the Distributor from the sale of shares and the CDSC retained by the Distributor on the redemption of shares is shown in the following table for the period indicated.

            Class A      Class B      Class C      Class R  
     Class A      Contingent      Contingent      Contingent      Contingent  
     Front-End      Deferred      Deferred      Deferred      Deferred  
     Sales Charges      Sales Charges      Sales Charges      Sales Charges      Sales Charges  
     Retained by      Retained by      Retained by      Retained by      Retained by  
Six Months Ended    Distributor      Distributor      Distributor      Distributor      Distributor  

 

 

March 31, 2016

     $33,167         $2,741         $2,857         $5,932         $1   

Waivers and Reimbursements of Expenses. The Manager has contractually agreed to limit the “Total expenses” for all share classes so that “Expenses after payments, waivers and/ or reimbursements and reduction to custodian expenses”, as a percentage of average annual net assets, will not exceed the following annual rates: 0.80% for Class A shares, 1.60% for Class B and Class C shares, 1.10% for Class R shares and 0.50% for Class Y shares, as calculated on the daily net assets of the Fund. The expense limitations do not include extraordinary expenses, interest and fees from borrowing, and other expenses not incurred in the ordinary course of the Fund’s business. During the reporting period, the Manager reimbursed the Fund $319,782, $3,463, $63,212, $9,464 and $50,780 for Class A, Class B, Class C, Class R and Class Y shares, respectively.

Waivers and/or reimbursements may be modified or terminated as set forth according to the terms in the prospectus.

 

 

10. Borrowings and Other Financing

Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.28 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.

 

50       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

    

 

 

11. Share Split

As of the close of business on September 11, 2015, the Fund implemented a 2 for 1 share split. This share split effectively increased the number of outstanding shares for the Fund. As a result, shareholders’ accounts reflect additional shares with a lower net asset value per share. While the number of shares increased, neither the Fund’s holdings nor the total value of shareholders’ investments was affected. Per share data in the financial highlights prior to September 11, 2015, has been adjusted to give effect to this share split.

 

 

12. Pending Litigation

In 2009, several putative class action lawsuits were filed and later consolidated before the U.S. District Court for the District of Colorado against OppenheimerFunds, Inc. (“OFI”), OppenheimerFunds Distributor, Inc. (“OFDI”), and Oppenheimer Rochester California Municipal Fund, a fund advised by OFI Global Asset Management, Inc. and distributed by the Distributor (the “California Fund”), in connection with the California Fund’s investment performance. The plaintiffs asserted claims against OFI, OFDI and certain present and former trustees and officers of the California Fund under the federal securities laws, alleging, among other things, that the disclosure documents of the California Fund contained misrepresentations and omissions and the investment policies of the California Fund were not followed. Plaintiffs in the suit filed an amended complaint and defendants filed a motion to dismiss. In 2011, the court issued an order which granted in part and denied in part the defendants’ motion to dismiss. In 2012, plaintiffs filed a motion, which defendants opposed, to certify a class and appoint class representatives and class counsel. In March 2015, the court granted plaintiffs’ motion for class certification. In May 2015, the U.S. Court of Appeals for the Tenth Circuit vacated the class certification order and remanded the matter to the district court for further proceedings. In October 2015, the district court reaffirmed its order and determined that the suit will proceed as a class action. In December 2015, the Tenth Circuit denied defendants’ petition to appeal the district court’s reaffirmed class certification order.

OFI and OFDI believe the suit is without merit; that it is premature to render any opinion as to the likelihood of an outcome unfavorable to them in the suit; and that no estimate can yet be made as to the amount or range of any potential loss. Furthermore, OFI believes that the suit should not impair the ability of OFI or OFDI to perform their respective duties to the Fund and that the outcome of the suit should not have any material effect on the operations of any of the Oppenheimer funds.

 

51       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES;

UPDATES TO STATEMENTS OF INVESTMENTS Unaudited

 

 

The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800. CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800. CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Householding—Delivery of Shareholder Documents

This is to inform you about OppenheimerFunds’ “householding” policy. If more than one member of your household maintains an account in a particular fund, OppenheimerFunds will mail only one copy of the fund’s prospectus (or, if available, the fund’s summary prospectus), annual and semiannual report and privacy policy. The consolidation of these mailings, called householding, benefits your fund through reduced mailing expense, and benefits you by reducing the volume of mail you receive from OppenheimerFunds. Householding does not affect the delivery of your account statements.

Please note that we will continue to household these mailings for as long as you remain an OppenheimerFunds shareholder, unless you request otherwise. If you prefer to receive multiple copies of these materials, please call us at 1.800. CALL-OPP (225-5677). You may also notify us in writing or via email. We will begin sending you individual copies of the prospectus (or, if available, the summary prospectus), reports and privacy policy within 30 days of receiving your request to stop householding.

 

52       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


DISTRIBUTION SOURCES Unaudited

 

 

For any distribution that took place over the Fund’s reporting period, the table below details on a per-share basis the percentage of the Fund’s total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. Because the Fund is actively managed, the relative amount of the Fund’s total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive IRS tax forms in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.

For the most current information, please go to oppenheimerfunds.com. Select your Fund, then the ’Detailed’ tab; where ‘Dividends’ are shown, the Fund’s latest pay date will be followed by the sources of any distribution, updated daily.

 

                          Other    
     Pay             Net Profit      Capital    
 Fund Name    Date      Net Income      from Sale      Sources    

 

 

 Oppenheimer Limited-Term Government Fund

     12/31/15         25.5%         0.0%         74.5%    

 

 

 

53       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

OPPENHEIMER LIMITED-TERM GOVERNMENT FUND

 

Trustees and Officers    Sam Freedman, Chairman of the Board of Trustees and Trustee
   Jon S. Fossel, Trustee
   Richard F. Grabish, Trustee
   Beverly L. Hamilton, Trustee
   Victoria J. Herget, Trustee
   Robert J. Malone, Trustee
   F. William Marshall, Jr., Trustee
   Karen L. Stuckey, Trustee
   James D. Vaughn, Trustee
   Arthur P. Steinmetz, Trustee, President and Principal Executive Officer
   Peter Strzalkowski, Vice President
   Cynthia Lo Bessette, Secretary and Chief Legal Officer
   Jennifer Sexton, Vice President and Chief Business Officer
   Mary Ann Picciotto, Chief Compliance Officer and Chief Anti-Money
   Laundering Officer
   Brian S. Petersen, Treasurer and Principal Financial & Accounting Officer
Manager    OFI Global Asset Management, Inc.
Sub-Adviser    OppenheimerFunds, Inc.
Distributor    OppenheimerFunds Distributor, Inc.
Transfer and Shareholder    OFI Global Asset Management, Inc.
Servicing Agent   
Sub-Transfer Agent    Shareholder Services, Inc.
   DBA OppenheimerFunds Services
Independent Registered    KPMG LLP
Public Accounting Firm   
Legal Counsel    Ropes & Gray LLP
  

The financial statements included herein have been taken from the

records of the Fund without examination of those records by the

independent registered public accounting firm.

 

© 2016 OppenheimerFunds, Inc. All rights reserved.

 

54       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

PRIVACY POLICY NOTICE

 

As an Oppenheimer fund shareholder, you are entitled to know how we protect your personal information and how we limit its disclosure.

Information Sources

We obtain nonpublic personal information about our shareholders from the following sources:

  Applications or other forms
  When you create a user ID and password for online account access
  When you enroll in eDocs Direct, our electronic document delivery service
  Your transactions with us, our affiliates or others
  A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited
  When you set up challenge questions to reset your password online

If you visit oppenheimerfunds.com and do not log on to the secure account information areas, we do not obtain any personal information about you. When you do log on to a secure area, we do obtain your user ID and password to identify you. We also use this information to provide you with products and services you have requested, to inform you about products and services that you may be interested in and assist you in other ways.

We do not collect personal information through our website unless you willingly provide it to us, either directly by email or in those areas of the website that request information. In order to update your personal information (including your mailing address, email address and phone number) you must first log on and visit your user profile.

If you have set your browser to warn you before accepting cookies, you will receive the warning message with each cookie. You can refuse cookies by turning them off in your browser. However, doing so may limit your access to certain sections of our website.

We use cookies to help us improve and manage our website. For example, cookies help us recognize new versus repeat visitors to the site, track the pages visited, and enable some special features on the website. This data helps us provide a better service for our website visitors.

Protection of Information

We do not disclose any non-public personal information (such as names on a customer list) about current or former customers to anyone, except as permitted by law.

Disclosure of Information

Copies of confirmations, account statements and other documents reporting activity in your fund accounts are made available to your financial advisor (as designated by you). We may also use details about you and your investments to help us, our financial service affiliates, or firms that jointly market their financial products and services with ours, to better serve your investment needs or suggest financial services or educational material that may be of interest to you. If this requires us to provide you with an opportunity to “opt in” or “opt out” of such information sharing with a firm not affiliated with us, you will receive notification on how to do so, before any such sharing takes place.

Right of Refusal

We will not disclose your personal information to unaffiliated third parties (except as permitted by law), unless we first offer you a reasonable opportunity to refuse or “opt out” of such disclosure.

 

55       OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

PRIVACY POLICY NOTICE Continued

 

Internet Security and Encryption

In general, the email services provided by our website are encrypted and provide a secure and private means of communication with us. To protect your own privacy, confidential and/or personal information should only be communicated via email when you are advised that you are using a secure website. As a security measure, we do not include personal or account information in non-secure emails, and we advise you not to send such information to us in non-secure emails. Instead, you may take advantage of the secure features of our website to encrypt your email correspondence. To do this, you will need to use a browser that supports Secure Sockets Layer (SSL) protocol.

We do not guarantee or warrant that any part of our website, including files available for download, are free of viruses or other harmful code. It is your responsibility to take appropriate precautions, such as use of an anti-virus software package, to protect your computer hardware and software.

  All transactions, including redemptions, exchanges and purchases, are secured by SSL and 256-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format.
  Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data.
  You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser.

Other Security Measures

We maintain physical, electronic and procedural safeguards to protect your personal account information. Our employees and agents have access to that information only so that they may offer you products or provide services, for example, when responding to your account questions.

How You Can Help

You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, do not allow it to be used by anyone else. Also, take special precautions when accessing your account on a computer used by others.

Who We Are

This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated March 2015. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800. CALL OPP (225.5677).

 

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LOGO

OppenheimerFunds®

The Right Way

to Invest

 

Visit us at oppenheimerfunds.com for 24-hr access to

account information and transactions or call us at 800.CALL

OPP (800.225.5677) for 24-hr automated information and

automated transactions. Representatives also available

Mon–Fri 8am-8pm ET.

 

Visit Us

 

oppenheimerfunds.com

 

Call Us

 

800 225 5677

 

    

 

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LOGO

    

 

Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc.

225 Liberty Street, New York, NY 10281-1008

© 2016 OppenheimerFunds Distributor, Inc. All rights reserved.

 

RS0855.001.0316 May 27, 2016


Item 2.  Code of Ethics.

Not applicable to semiannual reports.

Item 3.  Audit Committee Financial Expert.

Not applicable to semiannual reports.

Item 4.  Principal Accountant Fees and Services.

Not applicable to semiannual reports.


Item 5.  Audit Committee of Listed Registrants

Not applicable.

Item 6.  Schedule of Investments.

a) Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR.

b) Not applicable.

Item 7.  Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8.  Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9.  Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10.  Submission of Matters to a Vote of Security Holders.

The Fund’s Governance Committee Provisions with Respect to Nominations of Directors/Trustees to the Respective Boards

None

Item 11.  Controls and Procedures.

Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 3/31/2016, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time


periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12.  Exhibits.

 

(a) (1) Not applicable to semiannual reports.

(2) Exhibits attached hereto.

(3) Not applicable.

 

(b) Exhibit attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Oppenheimer Limited-Term Government Fund
By:  

/s/ Arthur P. Steinmetz

 

 

Arthur P. Steinmetz

 

 

Principal Executive Officer

 

Date:

 

 

5/13/2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Arthur P. Steinmetz

 

 

Arthur P. Steinmetz

 

 

Principal Executive Officer

 

Date:

 

 

5/13/2016

By:  

/s/ Brian S. Petersen

 

 

Brian S. Petersen

 

 

Principal Financial Officer

 

Date:

 

 

5/13/2016

EX-99.CERT 2 d183424dex99cert.htm SECTION 302 CERTIFICATIONS Section 302 Certifications

Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Arthur P. Steinmetz, certify that:

 

1. I have reviewed this report on Form N-CSR of Oppenheimer Limited-Term Government Fund;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:   5/13/2016

 

/s/ Arthur P. Steinmetz

Arthur P. Steinmetz
Principal Executive Officer


Exhibit 99.CERT

Section 302 Certifications

CERTIFICATIONS

I, Brian S. Petersen, certify that:

 

1. I have reviewed this report on Form N-CSR of Oppenheimer Limited-Term Government Fund;

 

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4. The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

  (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

  (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

  (c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

  (d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and


5. The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions):

 

  (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

  (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:   5/13/2016

/s/ Brian S. Petersen

Brian S. Petersen
Principal Financial Officer
EX-99.906CERT 3 d183424dex99906cert.htm SECTION 906 CERTIFICATIONS Section 906 Certifications

EX-99.906CERT

Section 906 Certifications

CERTIFICATION PURSUANT TO 18 U.S.C SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

Arthur P. Steinmetz, Principal Executive Officer, and Brian S. Petersen, Principal Financial Officer, of Oppenheimer Limited-Term Government Fund (the “Registrant”), each certify to the best of his knowledge that:

 

1. The Registrant’s periodic report on Form N-CSR for the period ended 3/31/2016 (the “Form N-CSR”) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and

 

2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.

 

Principal Executive Officer     Principal Financial Officer
Oppenheimer Limited-Term Government Fund     Oppenheimer Limited-Term Government Fund

/s/ Arthur P. Steinmetz

     

/s/ Brian S. Petersen

 
Arthur P. Steinmetz       Brian S. Petersen  
Date:   5/13/2016       Date:  5/13/2016  
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