0001193125-16-786315.txt : 20161206 0001193125-16-786315.hdr.sgml : 20161206 20161206162004 ACCESSION NUMBER: 0001193125-16-786315 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20160930 FILED AS OF DATE: 20161206 DATE AS OF CHANGE: 20161206 EFFECTIVENESS DATE: 20161206 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-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-04563 FILM NUMBER: 162036523 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-CSR 1 d284353dncsr.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:  9/30/2016


Item 1.  Reports to Stockholders.


Annual Report

 

    

 

9/30/2016

 

  

 

  

 

    

 

LOGO

     

 

  

 

 

Oppenheimer

Limited-Term

Government Fund

 

 

 


Table of Contents

 

 

 

 

Class A Shares

AVERAGE ANNUAL TOTAL RETURNS AT 9/30/16

 

        

 

                   Class A Shares of the Fund                  

       
        Without Sales Charge     With Sales Charge  

 

Bloomberg Barclays
U.S. Government Bond

Index

 

 

Bloomberg Barclays  

U.S. 1-3 Year  

Government Bond  

Index  

 

1-Year     0.96%   -1.32%   4.00%   0.89%
5-Year       1.12      0.66     2.16      0.72   
10-Year       2.01      1.78     4.34      2.33   

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. 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). See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.

 

2        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Fund Performance Discussion

The Fund’s Class A shares (without sales charge) produced a total return of 0.96% during the reporting period. On a relative basis, the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Index”) returned 0.89%.

MARKET OVERVIEW

The first half of the reporting period was a turbulent time for various asset classes. The prospect of more sluggish demand for energy and construction materials from China and other emerging markets sent equity and commodity prices broadly lower. The Federal Reserve (the “Fed”) finally hiked interest rates 0.25% in December 2015, but did not raise rates for the remainder of the reporting period.

Early 2016 seemed to pick up where 2015 left off; with heightened volatility fueled by the three usual suspects: global economic slowdown in China, oil and Fed uncertainty. The Brexit came and went with most financial assets rallying strong early in the third quarter of 2016 after a two-day swoon. 10-Year U.S. Treasury yields fell to record lows as German and Japanese bonds went further into negative territory. Credit spreads tightened

 

 

 

COMPARISON OF CHANGE IN VALUE OF $10,000 HYPOTHETICAL INVESTMENTS IN:

LOGO

 

3        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


dramatically and by mid-July stood at levels not seen since before the emerging markets-influenced sell off in the summer of 2015.

Central banks disappointed in early July with the Fed and Bank of Japan (BoJ) were mostly on hold. Fed Chair Janet Yellen and others were hawkish at its annual policy symposium at Jackson Hole, which raised expectations for a September hike which did not materialize as data softened. As the September BoJ meeting approached, expectations rose that they would invoke policies aimed to steepen their yield curve, which reverberated throughout developed market bond markets. 10-Year U.S. Treasury yields rose 15 basis points (bps) over two days and the 2-year/10-year yield curve steepened about the same amount.

FUND REVIEW

Against this backdrop, the Fund produced a muted total return for the one-year period. The Fund’s exposure to agency mortgage-backed securities (“MBS”) was the top outperformer versus the Index. The Fund’s modest allocations to structured credit sectors including asset-backed securities and commercial mortgages also produced incremental outperformance. On the other hand, our relative weightings to U.S. Treasuries and agency debentures detracted from performance during the reporting period.

STRATEGY & OUTLOOK

We see the Fed and other central bank policies remaining the largest risks to the

market. The Fed in particular hiking interest rates during the fourth quarter would be a cause of market volatility and may be viewed as a policy mistake. A U.S. interest rate hike while other developed market central banks maintain an easing bias could strengthen the U.S. dollar, which would translate into lower oil and commodity prices and would once again be a negative for credits in those sectors. Brexit fears appear to be localized, but there remains risk of a contagion which we believe are small at this point.

In Agency MBS, we have a slight overweight in 15-year mortgages which tend to be less sensitive overall to interest rates. We currently do not find spreads particularly attractive in 30-year MBS and have reduced our position.

In asset-backed securities (“ABS”), we have reduced our exposure to the auto sector by replacing maturities with shorter duration (0-2 year) bonds that currently offer attractive spreads. This is a defensive position as we feel that due to the credit curve flattening throughout the year, adding risk in longer duration auto bonds has become too expensive. This posture will allow us to add risk if/when the curve steepens once again. Prudent underwriting, a robust structure and collateral performance by issuers that is in line or above expectations remain a focus in our selection process. However, we do find the auto sector in general appealing. In CMBS, both agency and non-agency, we cut our positions over the third quarter of 2016 and are likely to remain light risk in this sector as

 

 

4        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


spreads are not attractive given the weaker underwriting and collateral available in new vintages.

 

LOGO   

LOGO

 

Peter A. Strzalkowski, CFA

Portfolio Manager

 

 

5        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Top Holdings and Allocations

 

Mortgage-Backed Obligations        
      Government Agency     46.7%   
      Non-Agency     14.9      
U.S. Government Obligations     33.6      
Asset-Backed Securities     4.8      

Over-the-Counter Options

Purchased

    —*        

*Less than 0.05%.

Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2016, and are based on the total market value of investments.

 

 

6        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Share Class Performance

 

AVERAGE ANNUAL TOTAL RETURNS WITHOUT SALES CHARGE AS OF 9/30/16

 

    

 

Inception
Date

 

      

1-Year

 

      

5-Year

 

      

10-Year          

 

 

Class A (OPGVX)

     3/10/86           0.96        1.12        2.01%        

Class B (OGSBX)

     5/3/93           0.15           0.34           1.55           

Class C (OLTCX)

     2/1/95           0.15           0.32           1.22           

Class I (OLTIX)

     12/28/12           1.28           1.08        N/A           

Class R (OLTNX)

     3/1/01           0.65           0.80           1.72           

Class Y (OLTYX)

     1/26/98           1.26           1.49           2.32           

 

AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 9/30/16

 

  

     Inception
Date
       1-Year        5-Year        10-Year            

Class A (OPGVX)

     3/10/86           -1.32        0.66        1.78%        

Class B (OGSBX)

     5/3/93           -3.83           0.15           1.55           

Class C (OLTCX)

     2/1/95           -0.84           0.32           1.22           

Class I (OLTIX)

     12/28/12           1.28           1.08        N/A           

Class R (OLTNX)

     3/1/01           0.65           0.80           1.72           

Class Y (OLTYX)

     1/26/98           1.26           1.49           2.32           

*Shows performance since inception.

STANDARDIZED YIELDS

 

For the 30 Days Ended 9/30/16

  

Class A

     1.43%                       

Class B

     0.67                           

Class C

     0.67                          

Class I

     1.78                           

Class R

     1.17                          

Class Y

     1.76                           

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. Returns do not consider capital gains or income taxes on an individual’s 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. There

 

7        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


is no sales charge for Class I, Class R 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. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.

Standardized yield is based on net investment income for the 30-day period ended 9/30/16 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 Bloomberg Barclays U.S. Government Bond Index and the Bloomberg Barclays U.S. 1-3 Year Government Bond Index. The Bloomberg Barclays U.S. Government Bond Index is a market-weighted index of U.S. government securities with maturities of 1 year or more. The Bloomberg 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.

 

8        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 September 30, 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 September 30, 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.

 

9        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Actual

  

Beginning

Account

Value

April 1, 2016

      

Ending

Account

Value

September 30, 2016

      

Expenses

Paid During

6 Months Ended

September 30, 2016    

     

 

   

Class A

     $   1,000.00                      $   1,008.30                     $     4.02                   

 

   

Class B

     1,000.00                      1,004.20                     8.10                   

 

   

Class C

     1,000.00                      1,004.30                     8.05                   

 

   

Class I

     1,000.00                      1,009.90                     2.47                   

 

   

Class R

     1,000.00                      1,004.50                     5.53                   

 

   

Class Y

     1,000.00                      1,009.80                     2.52                   

Hypothetical

              
(5% return before expenses)                             

 

   

Class A

     1,000.00                      1,021.00                     4.05                   

 

   

Class B

     1,000.00                      1,016.95                     8.15                   

 

   

Class C

     1,000.00                      1,017.00                     8.10                   

 

   

Class I

     1,000.00                      1,022.55                     2.48                   

 

   

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 September 30, 2016 are as follows:

 

Class    Expense Ratios         

Class A

     0.80%     

Class B

     1.61          

Class C

     1.60        

Class I

     0.49          

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.

 

10        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS September 30, 2016

 

     Principal Amount      Value    

 

 
Asset-Backed Securities—5.6%      

 

 
AmeriCredit Automobile Receivables Trust:      
Series 2014-4, Cl. D, 3.07%, 11/9/20    $ 830,000       $ 845,120     
Series 2015-2, Cl. D, 3.00%, 6/8/21      1,175,000         1,196,576     
Series 2015-3, Cl. D, 3.34%, 8/8/21      4,250,000         4,376,444     
Series 2016-1, Cl. D, 3.59%, 2/8/22      4,000,000         4,143,492     

 

 
California Republic Auto Receivables Trust, Series 2013-2, Cl. C, 3.32%, 8/17/20                   2,115,000         2,164,914     

 

 
Capital Auto Receivables Asset Trust:      
Series 2013-4, Cl. D, 3.22%, 5/20/19      955,000         971,295     
Series 2014-3, Cl. D, 3.14%, 2/20/20      1,440,000         1,472,481     
Series 2016-2, Cl. D, 3.16%, 11/20/23      505,000         513,818     
Series 2016-3, Cl. D, 2.65%, 1/20/24      835,000         837,869     

 

 
CarMax Auto Owner Trust, Series 2016-3, Cl. D, 2.94%, 1/17/23      955,000         967,664     

 

 
Credit Acceptance Auto Loan Trust, Series 2014-2A, Cl. B, 2.67%, 9/15/221      1,445,000         1,454,609     

 

 
Drive Auto Receivables Trust:      
Series 2016-BA, Cl. C, 3.19%, 7/15/221      2,260,000         2,301,453     
Series 2016-BA, Cl. D, 4.53%, 8/15/231      3,000,000         3,066,034     

 

 
DT Auto Owner Trust:      
Series 2013-2A, Cl. D, 4.18%, 6/15/201      3,016,765         3,051,300     
Series 2014-1A, Cl. D, 3.98%, 1/15/211      3,230,000         3,275,181     
Series 2014-2A, Cl. D, 3.68%, 4/15/211      4,660,000         4,728,620     
Series 2016-2A, Cl. C, 3.67%, 1/18/221      3,015,000         3,082,218     

 

 
Exeter Automobile Receivables Trust, Series 2014-2A, Cl. C, 3.26%, 12/16/191      1,015,000         1,026,215     

 

 
First Investors Auto Owner Trust:      
Series 2012-2A, Cl. D, 3.79%, 9/16/191      1,500,000         1,503,985     
Series 2013-3A, Cl. D, 3.67%, 5/15/201      1,115,000         1,126,838     

 

 
GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/181      154,182         154,057     

 

 
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Cl. D, 4.046%, 9/27/211,2,3      625,000         629,147     

 

 
Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.824%, 10/25/191,2      1,090,000         1,090,195     

 

 
Santander Drive Auto Receivables Trust:      
Series 2013-4, Cl. E, 4.67%, 1/15/201      3,200,000                     3,276,592     
Series 2013-A, Cl. E, 4.71%, 1/15/211      2,415,000         2,492,854     
Series 2014-4, Cl. D, 3.10%, 11/16/20      1,675,000         1,718,210     
Series 2015-1, Cl. D, 3.24%, 4/15/21      3,000,000         3,069,734     
Series 2015-3, Cl. D, 3.49%, 5/17/21      3,065,000         3,156,013     
Series 2016-2, Cl. D, 3.39%, 4/15/22      3,000,000         3,102,697     

 

 
SNAAC Auto Receivables Trust, Series 2014-1A, Cl. D, 2.88%, 1/15/201      1,245,000         1,237,425     

 

 
Westlake Automobile Receivables Trust:      
Series 2014-1A, Cl. D, 2.20%, 2/15/211      1,405,000         1,406,396     
Series 2014-2A, Cl. D, 2.86%, 7/15/211      1,490,000         1,489,942     
     

 

 

 
Total Asset-Backed Securities (Cost $64,150,788)         64,929,388     

 

11        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount     Value    

 

 
Mortgage-Backed Obligations—70.8%     

 

 
Government Agency—53.6%     

 

 
FHLMC/FNMA/FHLB/Sponsored—50.3%     

 

 
Federal Home Loan Mortgage Corp. Gold Pool:     
4.50%, 5/1/19    $ 27,826      $ 28,549     
5.50%, 4/1/18-1/1/24                   3,143,657        3,367,461     
6.00%, 5/1/18-10/1/29      1,757,048                    2,003,488     
6.50%, 4/1/18-4/1/34      1,218,622        1,398,014     
7.00%, 10/1/31-10/1/37      806,147        948,615     
7.50%, 1/1/32-9/1/33      2,710,617        3,324,969     
8.50%, 3/1/31      30,422        35,539     
9.00%, 8/1/22-5/1/25      40,242        44,040     

 

 
Federal Home Loan Mortgage Corp. Non Gold Pool, 11%, 11/1/20      12,187        12,394     

 

 
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:     
Series 192, Cl. IO, 91.982%, 2/1/284      135,201        30,315     
Series 205, Cl. IO, 34.308%, 9/1/294      985,572        217,323     
Series 206, Cl. IO, 99.999%, 12/1/294      59,021        16,118     
Series 243, Cl. 6, 0.00%, 12/15/324,5      324,902        55,223     

 

 
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22      23,670,808        23,993,058     

 

 
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security:     
Series 216, Cl. PO, 13.652%, 12/1/316      198,142        175,594     
Series 219, Cl. PO, 13.742%, 3/1/326      581,918        515,697     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 1095, Cl. D, 1.174%, 6/15/212      1,930        1,945     
Series 151, Cl. F, 9.00%, 5/15/21      6,825        7,415     
Series 1695, Cl. F, 2.063%, 3/15/242      717,457        738,383     
Series 2035, Cl. PC, 6.95%, 3/15/28      519,503        593,655     
Series 2084, Cl. ZC, 6.50%, 8/15/28      266,044        300,729     
Series 2116, Cl. ZA, 6.00%, 1/15/29      341,660        383,708     
Series 2122, Cl. FD, 0.874%, 2/15/292      399,815        399,648     
Series 2132, Cl. FN, 1.423%, 3/15/292      557,937        570,456     
Series 2148, Cl. ZA, 6.00%, 4/15/29      551,845        641,029     
Series 2195, Cl. LH, 6.50%, 10/15/29      925,449        1,062,170     
Series 2220, Cl. PD, 8.00%, 3/15/30      154,080        185,951     
Series 2281, Cl. Z, 6.50%, 2/15/31      1,218,556        1,395,332     
Series 2319, Cl. BZ, 6.50%, 5/15/31      1,896,835        2,182,394     
Series 2326, Cl. ZP, 6.50%, 6/15/31      453,115        513,542     
Series 2344, Cl. FP, 1.474%, 8/15/312      296,520        304,382     
Series 2392, Cl. FB, 1.124%, 1/15/292      87,396        88,765     
Series 2396, Cl. FE, 1.124%, 12/15/312      175,804        178,639     
Series 2401, Cl. FA, 1.174%, 7/15/292      120,854        122,828     
Series 2427, Cl. ZM, 6.50%, 3/15/32      95,256        109,782     
Series 2464, Cl. FI, 1.524%, 2/15/322      177,338        181,404     
Series 2470, Cl. LF, 1.524%, 2/15/322      181,432        185,592     
Series 2471, Cl. FD, 1.524%, 3/15/322      255,478        261,415     
Series 2481, Cl. AF, 1.074%, 3/15/322      149,223        151,265     
Series 2500, Cl. FD, 1.024%, 3/15/322      271,374        272,939     
Series 2504, Cl. FP, 1.024%, 3/15/322      290,477        292,001     
Series 2526, Cl. FE, 0.924%, 6/15/292      321,383        321,872     

 

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 2530, Cl. FD, 1.024%, 2/15/322    $ 353,582       $ 355,400     
Series 2538, Cl. F, 1.124%, 12/15/322      37,569         38,106     
Series 2550, Cl. FI, 0.874%, 11/15/322      115,495         116,021     
Series 2551, Cl. FD, 0.924%, 1/15/332      297,752         298,140     
Series 2564, Cl. MP, 5.00%, 2/15/18      1,412,695         1,441,804     
Series 2585, Cl. HJ, 4.50%, 3/15/18      740,873         759,006     
Series 2627, Cl. KM, 4.50%, 6/15/18      253,931         260,155     
Series 2630, Cl. MB, 4.50%, 6/15/18      321,077         328,977     
Series 2635, Cl. AG, 3.50%, 5/15/32      1,913,580         2,020,174     
Series 2668, Cl. AZ, 4.00%, 9/15/18      123,227         125,618     
Series 2676, Cl. KY, 5.00%, 9/15/23      938,339         1,020,130     
Series 2707, Cl. QE, 4.50%, 11/15/18      917,668         942,310     
Series 2708, Cl. N, 4.00%, 11/15/18      726,024         740,121     
Series 2764, Cl. OE, 4.50%, 3/15/19      1,269,320         1,302,252     
Series 2770, Cl. TW, 4.50%, 3/15/19      3,141,107         3,234,262     
Series 2843, Cl. BC, 5.00%, 8/15/19      372,936         384,222     
Series 3010, Cl. WB, 4.50%, 7/15/20      1,557,842         1,613,917     
Series 3025, Cl. SJ, 22.828%, 8/15/352      91,030         140,216     
Series 3134, Cl. FA, 0.824%, 3/15/362      5,081,021         5,062,749     
Series 3342, Cl. FT, 0.974%, 7/15/372      899,411         903,355     
Series 3645, Cl. EH, 3.00%, 12/15/20      2,751,934         2,804,559     
Series 3659, Cl. DE, 2.00%, 3/15/19      782,534         788,037     
Series 3740, Cl. NP, 2.00%, 1/15/37      4,402,957         4,432,258     
Series 3741, Cl. PA, 2.15%, 2/15/35      2,711,558                     2,736,133     
Series 3804, Cl. WJ, 3.50%, 3/15/39      2,768,442         2,820,193     
Series 3805, Cl. AK, 3.50%, 4/15/24      257,260         260,155     
Series 3815, Cl. BD, 3.00%, 10/15/20      294,946         299,135     
Series 3822, Cl. JA, 5.00%, 6/15/40      171,518         180,133     
Series 3840, Cl. CA, 2.00%, 9/15/18      200,308         201,587     
Series 3848, Cl. WL, 4.00%, 4/15/40                   2,126,736         2,221,198     
Series 3857, Cl. GL, 3.00%, 5/15/40      2,043,070         2,120,742     
Series 3887, Cl. NC, 3.00%, 7/15/26      783,286         799,763     
Series 3917, Cl. BA, 4.00%, 6/15/38      1,012,691         1,065,724     
Series 3935, Cl. NA, 3.50%, 10/15/26      5,210,892         5,399,596     
Series 4016, Cl. AB, 2.00%, 9/15/25      10,551,964         10,718,900     
Series 4109, Cl. KD, 3.00%, 5/15/32      1,575,773         1,595,662     
Series 4221, Cl. HJ, 1.50%, 7/15/23      10,367,766         10,441,798     
Series 4350, Cl. CA, 2.00%, 10/15/19      2,063,060         2,081,393     
Series 4446, Cl. PL, 2.50%, 7/15/38      4,482,464         4,606,860     
Series 4459, Cl. ND, 5.50%, 4/15/25      6,181,047         6,290,280     

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:    
Series 2074, Cl. S, 99.999%, 7/17/284      216,847         36,432     
Series 2079, Cl. S, 99.999%, 7/17/284      373,382         69,213     
Series 2493, Cl. S, 0.00%, 9/15/294,5      261,515         63,451     
Series 2526, Cl. SE, 46.936%, 6/15/294      444,030         93,696     
Series 2795, Cl. SH, 99.999%, 3/15/244      2,989,671         339,643     

 

13        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount      Value    

 

 
FHLMC/FNMA/FHLB/Sponsored (Continued)      

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued)    
Series 2796, Cl. SD, 96.603%, 7/15/264    $ 106,633       $ 18,480     
Series 2920, Cl. S, 0.00%, 1/15/354,5      2,600,350         471,189     
Series 2922, Cl. SE, 26.02%, 2/15/354      446,693         77,865     
Series 2981, Cl. AS, 12.483%, 5/15/354      891,306         171,123     
Series 3201, Cl. SG, 23.979%, 8/15/364      790,333         161,942     
Series 3397, Cl. GS, 0.00%, 12/15/374,5      57,147         11,126     
Series 3424, Cl. EI, 0.00%, 4/15/384,5      126,782         14,927     
Series 3450, Cl. BI, 22.62%, 5/15/384      2,754,969         466,871     
Series 3606, Cl. SN, 27.009%, 12/15/394      758,621         140,485     

 

 
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 1.024%, 5/15/362      2,521,618         2,527,117     

 

 
Federal National Mortgage Assn.:      
2.50%, 10/1/313      66,665,000         69,058,168     
3.00%, 10/1/463      36,845,000         38,310,165     
3.50%, 10/1/463      31,010,000         32,727,663     
4.00%, 10/1/463      26,380,000         28,334,798     

 

 
Federal National Mortgage Assn. Pool:      
3.50%, 8/1/40      1,436,028         1,516,196     
4.50%, 9/1/18-1/1/27      12,046,022         12,424,546     
5.00%, 2/1/18-3/1/23      28,470,010         29,485,043     
5.50%, 9/1/19-9/1/25      55,134,186         58,877,155     
6.00%, 3/1/17-2/1/40      40,677,666         44,340,932     
6.50%, 6/1/17-1/1/34      6,437,388         7,490,995     
7.00%, 11/1/17-2/1/36      5,243,604                     6,251,586     
7.50%, 2/1/27-8/1/33      6,868,650         8,191,424     
8.00%, 6/1/17      28         28     
8.50%, 7/1/32      46,992         51,366     
9.00%, 8/1/19      2,141         2,276     
9.50%, 11/1/21      758         812     
11.00%, 5/20/19-7/20/19      1,619         1,647     

 

 
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:      
Series 221, Cl. 2, 30.271%, 5/25/234      577,239         101,440     
Series 254, Cl. 2, 27.557%, 1/25/244      766,880         169,770     
Series 294, Cl. 2, 14.258%, 2/25/284      940,455         162,765     
Series 301, Cl. 2, 4.985%, 4/25/294      363,035         81,291     
Series 321, Cl. 2, 10.613%, 4/25/324                   2,162,196         481,941     
Series 324, Cl. 2, 0.00%, 7/25/324,5      740,989         164,980     
Series 331, Cl. 10, 26.872%, 2/25/334      1,115,342         224,107     
Series 331, Cl. 4, 7.715%, 2/25/334      784,477         150,859     
Series 331, Cl. 5, 28.452%, 2/25/334      1,259,255         239,971     
Series 331, Cl. 6, 6.576%, 2/25/334      1,233,269         265,550     
Series 334, Cl. 10, 0.00%, 2/25/334,5      482,364         88,205     
Series 339, Cl. 15, 1.821%, 10/25/334      423,436         91,202     
Series 339, Cl. 7, 0.00%, 11/25/334,5      808,693         158,840     
Series 351, Cl. 8, 0.00%, 4/25/344,5      834,794         165,317     
Series 356, Cl. 10, 0.00%, 6/25/354,5      596,037         108,418     
Series 356, Cl. 12, 0.00%, 2/25/354,5      290,865         53,413     

 

14        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

     Principal Amount      Value    

 

 
FHLMC/FNMA/FHLB/Sponsored (Continued)      

 

 
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)      
Series 362, Cl. 13, 0.00%, 8/25/354,5    $ 871,051       $ 174,782     
Series 364, Cl. 15, 0.00%, 9/25/354,5      452,870         81,357     

 

 
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Series 327, Cl. 1, 11.35%, 9/25/326      159,596         142,382     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 1988-7, Cl. Z, 9.25%, 4/25/18      5,537         5,731     
Series 1991-109, Cl. Z, 8.50%, 9/25/21      8,206         9,009     
Series 1997-16, Cl. PD, 7.00%, 3/18/27      778,514         882,664     
Series 1998-59, Cl. Z, 6.50%, 10/25/28      92,849         107,029     
Series 1999-54, Cl. LH, 6.50%, 11/25/29      440,106         517,271     
Series 2001-69, Cl. PF, 1.525%, 12/25/312      447,214         454,568     
Series 2002-12, Cl. PG, 6.00%, 3/25/17      72,138         73,016     
Series 2002-19, Cl. PE, 6.00%, 4/25/17      1,525         1,529     
Series 2002-29, Cl. F, 1.525%, 4/25/322      200,503         205,242     
Series 2002-39, Cl. FD, 1.531%, 3/18/322      410,201         422,623     
Series 2002-52, Cl. FD, 1.025%, 9/25/322      341,969         343,855     
Series 2002-53, Cl. FY, 1.025%, 8/25/322      243,130         243,902     
Series 2002-64, Cl. FJ, 1.525%, 4/25/322      61,791         63,252     
Series 2002-65, Cl. FB, 1.525%, 7/25/322      370,810         379,432     
Series 2002-68, Cl. FH, 1.031%, 10/18/322      121,525         122,105     
Series 2002-77, Cl. TF, 1.531%, 12/18/322      753,019         770,226     
Series 2002-82, Cl. FE, 1.525%, 12/25/322      336,295         344,292     
Series 2002-9, Cl. PC, 6.00%, 3/25/17      39,765         40,350     
Series 2002-90, Cl. FJ, 1.025%, 9/25/322      132,055         132,611     
Series 2002-90, Cl. FM, 1.025%, 9/25/322      126,976         127,511     
Series 2003-100, Cl. PA, 5.00%, 10/25/18      2,280,017         2,342,490     
Series 2003-112, Cl. AN, 4.00%, 11/25/18      481,209         490,521     
Series 2003-116, Cl. FA, 0.925%, 11/25/332      214,319         214,626     
Series 2003-119, Cl. FK, 1.025%, 5/25/182      546,434         547,560     
Series 2003-130, Cl. CS, 13.049%, 12/25/332      385,232         431,895     
Series 2003-21, Cl. FK, 0.925%, 3/25/332      20,269         20,302     
Series 2003-26, Cl. XF, 0.975%, 3/25/232      500,106         501,418     
Series 2003-44, Cl. CB, 4.25%, 3/25/33      116,508         117,942     
Series 2003-84, Cl. GE, 4.50%, 9/25/18      475,699         486,769     
Series 2004-101, Cl. BG, 5.00%, 1/25/20      83,820         84,140     
Series 2004-25, Cl. PC, 5.50%, 1/25/34      431,903         447,972     
Series 2004-72, Cl. FB, 1.025%, 9/25/342                   2,009,679         2,018,913     
Series 2005-109, Cl. AH, 5.50%, 12/25/25      4,006,841         4,353,200     
Series 2005-45, Cl. XA, 0.865%, 6/25/352      2,813,698         2,809,426     
Series 2005-67, Cl. BF, 0.875%, 8/25/352      1,149,290         1,148,571     
Series 2005-85, Cl. FA, 0.875%, 10/25/352      2,419,031         2,415,421     
Series 2006-11, Cl. PS, 22.641%, 3/25/362      385,144         599,347     
Series 2006-46, Cl. SW, 22.273%, 6/25/362      348,440         518,916     
Series 2006-50, Cl. KS, 22.274%, 6/25/362      267,784         399,417     
Series 2006-50, Cl. SK, 22.274%, 6/25/362      96,206         148,391     
Series 2007-113, Cl. DB, 4.50%, 12/25/22      6,619,780                     6,886,373     
Series 2007-79, Cl. FA, 0.975%, 8/25/372      737,445         738,596     
Series 2008-14, Cl. BA, 4.25%, 3/25/23      568,125         581,991     

 

15        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount      Value    

 

 
FHLMC/FNMA/FHLB/Sponsored (Continued)      

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   
Series 2008-15, Cl. JN, 4.50%, 2/25/23    $              2,977,925       $             3,073,137     
Series 2008-24, Cl. DY, 5.00%, 4/25/23      366,293         376,506     
Series 2008-75, Cl. DB, 4.50%, 9/25/23      1,302,548         1,333,523     
Series 2008-77, Cl. EB, 4.50%, 9/25/23      1,526,934         1,590,187     
Series 2009-113, Cl. DB, 3.00%, 12/25/20      4,987,714         5,064,846     
Series 2009-114, Cl. AC, 2.50%, 12/25/23      165,101         165,697     
Series 2009-36, Cl. FA, 1.465%, 6/25/372      4,259,300         4,347,380     
Series 2009-37, Cl. HA, 4.00%, 4/25/19      3,349,480         3,407,971     
Series 2009-70, Cl. NL, 3.00%, 8/25/19      2,894,512         2,933,562     
Series 2009-70, Cl. NT, 4.00%, 8/25/19      487,416         497,291     
Series 2009-70, Cl. TL, 4.00%, 8/25/19      1,974,232         2,006,580     
Series 2010-43, Cl. KG, 3.00%, 1/25/21      604,111         615,711     
Series 2010-99, Cl. DP, 3.00%, 8/25/39      5,705,529         5,838,830     
Series 2011-104, Cl. MA, 2.50%, 10/25/26      541,541         548,004     
Series 2011-122, Cl. EC, 1.50%, 1/25/20      3,049,221         3,057,267     
Series 2011-15, Cl. DA, 4.00%, 3/25/41      1,450,923         1,527,942     
Series 2011-3, Cl. EL, 3.00%, 5/25/20      7,660,100         7,777,159     
Series 2011-3, Cl. KA, 5.00%, 4/25/40      2,142,906         2,341,159     
Series 2011-38, Cl. AH, 2.75%, 5/25/20      216,192         218,820     
Series 2011-44, Cl. EA, 3.00%, 6/25/24      527,781         538,083     
Series 2011-45, Cl. NG, 3.00%, 3/25/25      431,583         441,559     
Series 2011-45, Cl. TE, 3.00%, 3/25/25      783,314         805,606     
Series 2011-58, Cl. AC, 2.50%, 6/25/24      1,985,077         2,010,333     
Series 2011-6, Cl. BA, 2.75%, 6/25/20      908,493         918,802     
Series 2011-69, Cl. EA, 3.00%, 11/25/29      728,625         733,643     
Series 2011-82, Cl. AD, 4.00%, 8/25/26      1,760,402         1,804,673     
Series 2011-88, Cl. AB, 2.50%, 9/25/26      459,943         465,005     
Series 2011-90, Cl. AL, 3.50%, 9/25/23      1,678,358         1,740,365     
Series 2012-20, Cl. FD, 0.925%, 3/25/422      661,581         660,286     
Series 2013-100, Cl. CA, 4.00%, 3/25/39      12,276,313         12,937,768     
Series 2013-22, Cl. JA, 3.50%, 3/25/43      2,112,520         2,156,196     
Series 2015-95, Cl. CD, 3.00%, 12/25/22      3,709,099         3,710,368     

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:    
Series 2001-63, Cl. SD, 37.238%, 12/18/314      320,451         65,012     
Series 2001-68, Cl. SC, 20.743%, 11/25/314      282,282         56,587     
Series 2001-81, Cl. S, 7.031%, 1/25/324      216,364         60,578     
Series 2002-28, Cl. SA, 5.784%, 4/25/324      207,519         42,374     
Series 2002-38, Cl. SO, 11.099%, 4/25/324      371,014         74,591     
Series 2002-39, Cl. SD, 29.612%, 3/18/324      398,111         86,835     
Series 2002-48, Cl. S, 10.708%, 7/25/324      333,523         71,324     
Series 2002-52, Cl. SD, 33.785%, 9/25/324      341,969         76,626     
Series 2002-52, Cl. SL, 6.699%, 9/25/324      216,697         44,806     
Series 2002-53, Cl. SK, 33.07%, 4/25/324      232,290         52,887     
Series 2002-56, Cl. SN, 10.47%, 7/25/324      452,981         95,379     
Series 2002-60, Cl. SM, 3.574%, 8/25/324      584,718         97,345     
Series 2002-77, Cl. IS, 29.048%, 12/18/324      531,054         114,292     

 

16        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, Interest-Only Stripped Mtg.-Backed Security: (Continued)    
Series 2002-77, Cl. SH, 13.264%, 12/18/324    $ 293,831       $ 64,966     
Series 2002-9, Cl. MS, 7.294%, 3/25/324      344,132         73,499     
Series 2003-33, Cl. IA, 0.157%, 5/25/334      66,572         12,256     
Series 2003-33, Cl. SP, 12.47%, 5/25/334      746,168         154,638     
Series 2003-38, Cl. SA, 99.999%, 3/25/234      138,377         2,223     
Series 2003-4, Cl. S, 3.607%, 2/25/334      417,886         85,841     
Series 2005-12, Cl. SC, 34.57%, 3/25/354      208,916         35,918     
Series 2005-14, Cl. SE, 31.304%, 3/25/354      3,214,844         559,824     
Series 2005-40, Cl. SA, 43.509%, 5/25/354      1,303,548         267,365     
Series 2005-52, Cl. JH, 49.726%, 5/25/354      672,662         124,080     
Series 2005-63, Cl. SA, 10.541%, 10/25/314      1,089,550         205,604     
Series 2005-63, Cl. X, 32.992%, 10/25/314      12,898         356     
Series 2008-55, Cl. SA, 0.00%, 7/25/384,5      17,654         2,149     
Series 2009-8, Cl. BS, 99.999%, 2/25/244      182,516         5,832     
Series 2009-85, Cl. IO, 20.548%, 10/25/244      433,138         9,347     
Series 2011-96, Cl. SA, 14.629%, 10/25/414      463,952         95,403     
Series 2012-134, Cl. SA, 10.531%, 12/25/424      1,613,105         368,958     
Series 2012-40, Cl. PI, 2.858%, 4/25/414      262,659         31,477     
Series 2013-2, Cl. IA, 8.619%, 2/25/434      1,211,061         237,718     

 

 
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:      
Series 1999-3, Cl. IO, 0.00%, 10/15/294,5      16,083,492         87,645     
Series 2001-3, Cl. IO, 5.879%, 10/15/314      7,435,981         46,523     
Series 2002-2, Cl. IO, 12.777%, 1/15/324      19,318,390         43,515     
Series 2002-3, Cl. IO, 8.426%, 8/15/324      25,782,069         162,912     
Series 2003-1, Cl. IO, 11.331%, 11/15/324                 39,384,236         208,799     
     

 

 

 
       

 

        588,419,787  

 

  

 

 

 
GNMA/Guaranteed—3.1%      

 

 
Government National Mortgage Assn. I Pool:      
6.50%, 1/15/24      45,153         52,107     
7.00%, 1/15/28-9/15/29      331,040         369,094     
7.50%, 6/15/28-8/15/28      356,501         368,214     
8.00%, 9/15/28      8,192         8,224     
8.50%, 8/15/17-12/15/17      12,506         12,559     
9.50%, 9/15/17      395         399     
10.50%, 12/15/17-1/15/21      9,794         9,860     

 

 
Government National Mortgage Assn. II Pool:      
3.50%, 10/1/463      17,565,000         18,658,696     
4.00%, 10/1/463      8,405,000         9,008,781     
7.00%, 1/20/30      33,871         40,237     
11.00%, 10/20/19      8,200         8,249     

 

 
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:      
Series 2002-76, Cl. SG, 31.977%, 10/16/294      173,942         38,666     
Series 2011-52, Cl. HS, 35.118%, 4/16/414      3,990,889         740,609     

 

 
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:   
Series 2003-92, Cl. CA, 4.771%, 7/17/33      1,371,382         1,468,509     
Series 2009-66, Cl. CD, 2.50%, 8/16/39      61,101         61,879     
Series 2010-55, Cl. QN, 3.00%, 10/20/37      1,919,720         1,932,413     

 

17        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount      Value    

 

 
GNMA/Guaranteed (Continued)      

 

 
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)   
Series 2014-167, Cl. WF, 0.973%, 7/20/442    $              3,186,400       $             3,187,456     
     

 

 

 
       

 

35,965,952  

 

  

 

 

 
Other Agency—0.2%      

 

 
Federal Home Loan Bank, Series 00-1372, Cl. 1, 4.75%, 5/18/18     

 

3,053,814

 

  

 

    

 

3,201,332  

 

  

 

 

 
Non-Agency—17.2%      

 

 
Commercial—4.9%      

 

 
BCAP LLC Trust:      
Series 2011-R11, Cl. 18A5, 2.43%, 9/26/351,2      835,378         837,404     
Series 2012-RR2, Cl. 6A3, 3.226%, 9/26/351,2      1,334,396         1,332,632     
Series 2012-RR6, Cl. RR6, 2.054%, 11/26/361      2,661,221         2,641,252     

 

 
CHL Mortgage Pass-Through Trust, Series 2003-J5, Cl. 2A1, 5%, 7/25/18      282,217         284,281     

 

 
Citigroup Mortgage Loan Trust, Inc., Series 2014-8, Cl. 1A1, 0.822%, 7/20/361,2      3,955,075         3,830,225     

 

 
COMM Mortgage Trust, Series 2013-CR7, Cl. D, 4.491%, 3/10/461,2      2,025,000         1,909,219     

 

 
Federal National Mortgage Assn., Alternative Credit Enhancement Securities:      
Series 2015-M11, Cl. A2, 2.921%, 4/25/252      6,950,000         7,390,308     
Series 2015-M13, Cl. A2, 2.801%, 6/25/252      4,000,000         4,212,629     
Series 2016-M5, Cl. A1, 2.073%, 4/25/26      1,349,229         1,369,903     

 

 
FREMF Mortgage Trust:      
Series 2013-K25, Cl. C, 3.743%, 11/25/451,2      805,000         802,221     
Series 2013-K26, Cl. C, 3.722%, 12/25/451,2      550,000         541,591     
Series 2013-K27, Cl. C, 3.616%, 1/25/461,2      850,000         834,678     
Series 2014-K36, Cl. C, 4.499%, 12/25/461,2      3,250,000         3,275,588     
Series 2014-K38, Cl. C, 4.79%, 6/25/471,2      5,250,000         5,446,899     
Series 2014-K714, Cl. C, 3.981%, 1/25/471,2      2,500,000         2,470,192     
Series 2014-K715, Cl. C, 4.268%, 2/25/461,2      2,205,000         2,226,726     

 

 
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.202%, 7/25/352      1,021,439         1,007,781     

 

 
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.97%, 4/21/342      704,073         716,270     

 

 
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Cl. D, 4.56%, 8/15/461,2      1,700,000         1,447,502     

 

 
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1A, 2.237%, 11/26/361,2      3,695,424         3,626,376     

 

 
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.598%, 6/26/461,2      1,728,063         1,728,387     

 

 
NCUA Guaranteed Notes Trust, Series 2010-A1, Cl. A, 0.863%, 12/7/202      4,134,763         4,130,504     

 

 
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.935%, 8/25/342      897,165         898,724     

 

 
Structured Agency Credit Risk Debt Nts.:      
Series 2015-HQA1, Cl. M1, 1.775%, 3/25/282      804,003         805,146     
Series 2016-HQA1, Cl. M1, 2.275%, 9/25/282      3,105,343         3,119,908     
     

 

 

 
       

 

56,886,346  

 

  

 

 

 
Multi-Family—11.7%      

 

 
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates:      
Series K010, Cl. A1, 3.32%, 7/25/20      7,665,720         7,820,323     
Series K035, Cl. A1, 2.615%, 3/25/23      8,010,259         8,294,482     

 

18        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

     Principal Amount      Value    

 

 
Multi-Family (Continued)      

 

 
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates: (Continued)      
Series K040, Cl. A1, 2.768%, 4/25/24    $ 14,032,379       $ 14,781,901     
Series K041, Cl. A1, 2.72%, 8/25/24      11,241,158         11,796,017     
Series K042, Cl. A1, 2.267%, 6/25/24      5,786,875         5,962,017     
Series K043, Cl. A1, 2.532%, 10/25/23      7,388,586         7,694,951     
Series K044, Cl. A1, 2.321%, 3/25/24      14,434,409         14,904,757     
Series K045, Cl. A1, 2.493%, 11/25/24      11,513,890         11,994,616     
Series K046, Cl. A1, 2.697%, 1/25/25      9,770,882         10,293,251     
Series K047, Cl. A1, 2.827%, 12/25/24      11,717,953         12,417,681     
Series K048, Cl. A1, 2.689%, 12/25/24      9,706,733         10,138,048     
Series K050, Cl. A2, 3.334%, 8/25/252      5,600,000         6,183,783     
Series K053, Cl. A1, 2.548%, 2/25/25      2,796,850         2,894,702     
Series K054, Cl. A2, 2.745%, 1/25/26      6,620,000         6,994,879     
Series K701, Cl. A2, 3.882%, 11/25/172      4,402,500         4,497,363     
     

 

 

 
       

 

136,668,771  

 

  

 

 

 
Residential—0.6%      

 

 
Bear Stearns ARM Trust, Series 2005-2, Cl. A1, 2.92%, 3/25/352      1,754,592         1,765,612     

 

 
Citigroup Mortgage Loan Trust, Inc., Series 2012-8, Cl. 1A1, 3.04%, 10/25/351,2      2,630,422         2,628,630     

 

 
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 2.852%, 12/25/342      740,031         739,911     

 

 
RALI Trust:      
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36      100,175         82,256     
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37      1,438,222         1,212,648     

 

 
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.669%, 10/25/332      732,862         748,319     
     

 

 

 
        7,177,376     
     

 

 

 
Total Mortgage-Backed Obligations (Cost $814,089,221)        

 

828,319,564  

 

  

 

 

 
U.S. Government Obligations—38.6%      

 

 
Federal Home Loan Bank Nts., 0.875%, 8/5/19               133,035,000         132,557,138     

 

 
Federal Home Loan Mortgage Corp. Nts., 1.125%, 8/12/21      60,000,000         59,427,360     

 

 
Federal National Mortgage Assn. Nts.:      
0.875%, 8/2/19      79,154,000         78,845,062     
1.00%, 8/28/19      55,408,000         55,378,579     
1.875%, 9/24/26      4,158,000         4,132,753     

 

 
United States Treasury Nts.:      
1.375%, 3/31/207      10,650,000         10,791,027     
1.625%, 4/30/19      62,411,000         63,627,515     
1.75%, 10/31/208      39,215,000         40,252,825     
2.25%, 11/30/178      6,000,000         6,107,928     
     

 

 

 
Total U.S. Government Obligations (Cost $450,391,167)                 451,120,187     

 

19        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Counterparty            

Exercise

Price

     Expiration
Date
                           Contracts     Value

 

Over-the-Counter Option Purchased—0.0%                

 

U.S. Treasury Bonds, 1.50% Put9 ($560,700)

 

    

 

BOA

 

  

 

    

 

      USD

 

  

 

    

 

98.184

 

  

 

    

 

3/23/17

 

  

 

    

 

        USD

 

  

 

   

 

            32,040,000

 

  

 

 

448,063  

 

 

Total Investments, at Value (Cost $1,329,191,876)                       115.0%      1,344,817,202  

 

Net Other Assets (Liabilities)                                 (15.0)      (175,304,817) 
                

 

 

Net Assets                                100.0%      $   1,169,512,385  
                

 

 

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 $71,972,583 or 6.15% of the Fund’s net assets at period end.

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

3. 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.

4. 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 $10,024,389 or 0.86% of the Fund’s net assets at period end.

5. Interest rate is less than 0.0005%.

6. 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 $833,673 or 0.07% of the Fund’s net assets at period end.

7. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.

8. 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 $3,271,149. See Note 6 of the accompanying Notes.

9. Non-income producing security.

 

 

 
Futures Contracts as of September 30, 2016            
Description   Exchange     Buy/Sell    

Expiration

Date

   

Number

of

Contracts

    Value    

Unrealized

Appreciation

(Depreciation)

 

 

 
United States Treasury Long Bonds     CBT        Buy        12/20/16        29      $        4,876,531       $           (56,580)    
United States Treasury Nts., 10 yr.     CBT        Sell        12/20/16        1,517        198,916,625        70,992     
United States Treasury Nts., 2 yr.     CBT        Sell        12/30/16        296        64,666,750        (57,541)    
United States Ultra Bonds     CBT        Buy        12/20/16        4        735,500        (14,801)    
           

 

 

 
             $ (57,930)    
           

 

 

 

 

20        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

 

 
Over-the-Counter Options Written at September 30, 2016           
              Exercise      Expiration                  Premiums           
Description    Counterparty    Price      Date      Number of Contracts      Received        Value  

 

 

U.S. Treasury Bonds, 1.50%

Put

           BOA  USD      95.734         3/23/17          USD      (32,040,000)         $240,300         $ (199,681)   

Glossary:

Counterparty Abbreviations
BOA    Bank of America NA
Exchange Abbreviations
CBT    Chicago Board of Trade

See accompanying Notes to Financial Statements.

 

21        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF ASSETS AND LIABILITIES September 30, 2016

 

 

 
Assets   
Investments, at value (cost $1,329,191,876)—see accompanying statement of investments     $    1,344,817,202      

 

 
Cash      7,354,583      

 

 
Cash used for collateral on futures      7,000      

 

 
Receivables and other assets:   
Investments sold (including $63,346,180 sold on a when-issued or delayed delivery basis)      74,713,987      
Interest and principal paydowns      3,363,353      
Shares of beneficial interest sold      796,525      
Variation margin receivable      666,540      
Other      151,279      
  

 

 

 
Total assets     

 

1,431,870,469   

 

  

 

 

 
Liabilities   
Options written, at value (premiums received $240,300)      199,681      

 

 
Payables and other liabilities:   
Investments purchased (including $259,515,405 purchased on a when-issued or delayed delivery basis)      260,076,105      
Shares of beneficial interest redeemed      1,367,830      
Distribution and service plan fees      155,085      
Trustees’ compensation      107,302      
Variation margin payable      51,219      
Dividends      45,060      
Shareholder communications      12,331      
Other      343,471      
  

 

 

 
Total liabilities     

 

262,358,084   

 

  

 

 

 
Net Assets     $ 1,169,512,385      
  

 

 

 
  

 

 
Composition of Net Assets   
Par value of shares of beneficial interest     $ 260,727      

 

 
Additional paid-in capital      1,275,990,330      

 

 
Accumulated net investment income      7,877,194      

 

 
Accumulated net realized loss on investments      (130,223,881)     

 

 
Net unrealized appreciation on investments      15,608,015      
  

 

 

 
Net Assets     $ 1,169,512,385      
  

 

 

 

 

22        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 $545,792,747 and 121,629,114 shares of beneficial interest outstanding)    $ 4.49     
Maximum offering price per share (net asset value plus sales charge of 2.25% of offering price)    $ 4.59     

 

 
Class B Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $5,419,547 and 1,208,030 shares of beneficial interest outstanding)    $ 4.49     

 

 
Class C Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $170,883,485 and 38,158,691 shares of beneficial interest outstanding)    $ 4.48     

 

 
Class I Shares:   
Net asset value, redemption price and offering price per share (based on net assets of $363,972,744 and 81,152,270 shares of beneficial interest outstanding)    $ 4.49     

 

 
Class R Shares:   
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $31,529,408 and 7,032,637 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 $51,914,454 and 11,545,949 shares of beneficial interest outstanding)    $ 4.50     

 

 

See accompanying Notes to Financial Statements.

 

23        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF OPERATIONS For the Year Ended September 30, 2016

 

 

 
Investment Income   
Interest      $         21,874,423       

 

 
Fee income on when-issued securities      2,880,713       
  

 

 

 
Total investment income     

 

24,755,136    

 

  

 

 

 
Expenses   
Management fees      5,000,078       

 

 
Distribution and service plan fees:   
Class A      1,343,095       
Class B      75,513       
Class C      1,769,994       
Class R      151,716       

 

 
Transfer and shareholder servicing agent fees:   
Class A      1,224,219       
Class B      16,667       
Class C      390,460       
Class I      108,284       
Class R      67,935       
Class Y      126,052       

 

 
Shareholder communications:   
Class A      25,686       
Class B      1,316       
Class C      6,877       
Class I      12       
Class R      1,072       
Class Y      1,322       

 

 
Trustees’ compensation      73,974       

 

 
Custodian fees and expenses      46,685       

 

 
Borrowing fees      20,943       

 

 
Other      258,682       
  

 

 

 
Total expenses      10,710,582       
Less waivers and reimbursements of expenses      (912,154)      
  

 

 

 
Net expenses     

 

9,798,428    

 

  

 

 

 
Net Investment Income      14,956,708       

 

24        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

 

 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investments from unaffiliated companies     $ 8,197,077       
Closing and expiration of futures contracts      (8,563,612)      
  

 

 

 
Net realized loss      (366,535)      

 

 
Net change in unrealized appreciation/depreciation on:   
Investments      (4,130,639)      
Futures contracts      570,727       
Option contracts written      40,619       
  

 

 

 
Net change in unrealized appreciation/depreciation     

 

(3,519,293)   

 

  

 

 

 
Net Increase in Net Assets Resulting from Operations     $         11,070,880       
  

 

 

 
See accompanying Notes to Financial Statements.   

 

25        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENTS OF CHANGES IN NET ASSETS

 

    

Year Ended

September 30, 2016

    

Year Ended

September 30, 2015

 

 

 
Operations      
Net investment income     $ 14,956,708         $ 18,252,874     

 

 
Net realized loss      (366,535)          (4,875,478)    

 

 
Net change in unrealized appreciation/depreciation      (3,519,293)          2,455,994     
  

 

 

 
Net increase in net assets resulting from operations     

 

11,070,880  

 

  

 

    

 

15,833,390  

 

  

 

 

 
Dividends and/or Distributions to Shareholders      
Dividends from net investment income:      
Class A      (8,971,873)          (11,102,551)    
Class B      (67,887)          (151,041)    
Class C      (1,447,860)          (2,058,571)    
Class I      (6,964,221)          (10,029,918)    
Class R      (401,817)          (513,965)    
Class Y      (1,096,858)          (884,551)    
  

 

 

 
    

 

(18,950,516) 

 

  

 

    

 

(24,740,597) 

 

  

 

 

 
Beneficial Interest Transactions      
Net increase (decrease) in net assets resulting from beneficial interest transactions:      
Class A      (14,299,790)          (28,570,446)    
Class B      (5,230,551)          (5,580,333)    
Class C      (5,145,435)          (11,978,869)    
Class I      7,367,661           (83,106,090)    
Class R      1,505,354           (2,985,288)    
Class Y      4,193,888           12,854,040     
  

 

 

 
    

 

(11,608,873) 

 

  

 

    

 

(119,366,986) 

 

  

 

 

 
Net Assets      
Total decrease      (19,488,509)          (128,274,193)    

 

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

 

 

 
End of period (including accumulated net investment income of $7,877,194 and $7,869,256, respectively)     $   1,169,512,385         $   1,189,000,894     
  

 

 

 
See accompanying Notes to Financial Statements.      

 

26        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS

 

Class A   Year Ended
September 30,
2016
    Year Ended
    September 30,
20151
    Year Ended
    September 30,
20141
    Year Ended
    September 30,
20131
    Year Ended
    September 28,
20121,2
 

 

 
Per Share Operating Data          

Net asset value, beginning of period

    $4.52        $4.55        $4.59        $4.71        $4.67   

 

 

Income (loss) from investment operations:

         

Net investment income3

    0.06        0.06        0.07        0.07        0.10   

Net realized and unrealized gain (loss)

    (0.02)        0.004        (0.02)        (0.10)        0.04   
 

 

 

 

Total from investment operations

    0.04        0.06        0.05        (0.03)        0.14   

 

 

Dividends and/or distributions to shareholders:

         

Dividends from net investment income

    (0.07)        (0.09)        (0.09)        (0.09)        (0.10)   

 

 

Net asset value, end of period

    $4.49        $4.52        $4.55        $4.59        $4.71   
 

 

 

 

    

         

 

 
Total Return, at Net Asset Value5     0.96%        1.26%        1.04%        (0.63)%        3.00%   
 

    

         

 

 
Ratios/Supplemental Data          

Net assets, end of period (in thousands)

    $545,793        $563,832        $596,274        $703,706        $835,353   

 

 

Average net assets (in thousands)

    $556,423        $576,463        $646,216        $771,385        $856,033   

 

 

Ratios to average net assets:6

         

Net investment income

    1.28%        1.42%        1.41%        1.43%        2.01%   
Expenses excluding specific expenses listed below     0.92%        0.91%        0.91%        0.87%        0.86%   

Interest and fees from borrowings

    0.00%7        0.00%7        0.00%        0.00%        0.00%   
 

 

 

 

Total expenses

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

 

 

Portfolio turnover rate8

    211%        155%        229%        154%        152%   

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.

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. 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  

 

 

Year Ended September 30, 2016

    $2,885,579,349        $2,865,270,817   

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   

See accompanying Notes to Financial Statements.

 

27        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

Class B

  Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
  September 30,
2016
        September 30,
20151
        September 30,
20141
        September 30,
20131
        September 28,
20121,2
 

 

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

 

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

 

 

 
Total from investment operations      0.01         0.02         0.01        (0.06)         0.10   

 

 
Dividends and/or distributions to shareholders:          
Dividends from net investment income     (0.04)        (0.05)        (0.05)        (0.06)        (0.05)   

 

 
Net asset value, end of period     $4.49        $4.52        $4.55        $4.59        $4.71   
 

 

 

 

 

 

 

 
Total Return, at Net Asset Value4     0.15%        0.57%        0.24%        (1.41)%        2.18%   
 

 

 

 

 
Ratios/Supplemental Data          
Net assets, end of period (in thousands)     $5,420        $10,722        $16,385        $27,893        $43,860   

 

 
Average net assets (in thousands)     $7,558        $12,904        $21,830        $35,494        $49,094   

 

 
Ratios to average net assets:5          
Net investment income     0.49%        0.61%        0.62%        0.65%        1.22%   
Expenses excluding specific expenses listed below     1.69%        1.68%        1.67%        1.81%        1.83%   
Interest and fees from borrowings     0.00%6        0.00%6        0.00%        0.00%        0.00%   
 

 

 

 
Total expenses     1.69%        1.68%        1.67%        1.81%        1.83%   
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses     1.61%        1.60%        1.60%        1.60%        1.60%   

 

 
Portfolio turnover rate7     211%        155%        229%        154%        152%   

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.

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  

 

 

Year Ended September 30, 2016

     $2,885,579,349        $2,865,270,817   

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   

 

See accompanying Notes to Financial Statements.

    

 

28        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

Class C   Year Ended
September 30,
2016
    Year Ended
September 30,
20151
    Year Ended
September 30,
20141
    Year Ended
September 30,
20131
    Year Ended
September 28,
20121,2
 

 

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

 

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

 

 

 
Total from investment operations     0.01        0.02        0.01        (0.07)        0.10   

 

 
Dividends and/or distributions to shareholders:          
Dividends from net investment income     (0.04)        (0.05)        (0.05)        (0.05)        (0.06)   

 

 
Net asset value, end of period     $4.48        $4.51        $4.54        $4.58        $4.70   
 

 

 

 

 

 
Total Return, at Net Asset Value4     0.15%        0.46%        0.24%        (1.42)%        2.19%   

 

 
Ratios/Supplemental Data          
Net assets, end of period (in thousands)     $170,883        $177,216        $190,398        $233,776        $290,157   

 

 
Average net assets (in thousands)     $177,471        $181,572        $208,333        $265,441        $306,251   

 

 
Ratios to average net assets:5          
Net investment income     0.48%        0.62%        0.61%        0.64%        1.22%   
Expenses excluding specific expenses listed below     1.67%        1.66%        1.66%        1.61%        1.59%   
Interest and fees from borrowings     0.00%6        0.00%6        0.00%        0.00%        0.00%   
 

 

 

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

 

 
Portfolio turnover rate7     211%        155%        229%        154%        152%   

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.

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  

 

 

Year Ended September 30, 2016

    $2,885,579,349        $2,865,270,817   

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   

See accompanying Notes to Financial Statements.

 

29        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

Class I   Year Ended
September 30,
2016
    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     0.07        0.08        0.08        0.05   
Net realized and unrealized loss     (0.01)        (0.01)        (0.02)        (0.06)   
 

 

 

 
Total from investment operations     0.06        0.07        0.06        (0.01)   

 

 
Dividends and/or distributions to shareholders:        
Dividends from net investment income     (0.09)        (0.10)        (0.10)        (0.06)   

 

 
Net asset value, end of period     $4.49        $4.52        $4.55        $4.59   
 

 

 

 

 

 
Total Return, at Net Asset Value4     1.28%        1.71%        1.38%        (0.28)%   

 

 
Ratios/Supplemental Data        
Net assets, end of period (in thousands)     $363,973        $358,985        $445,363        $229,314   

 

 
Average net assets (in thousands)     $360,944        $447,250        $391,818        $78,761   

 

 
Ratios to average net assets:5        
Net investment income     1.59%        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     211%        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  

 

 

Year Ended September 30, 2016

    $2,885,579,349        $2,865,270,817   

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   

See accompanying Notes to Financial Statements.

 

30        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

Class R   Year Ended
September 30,
2016
    Year Ended
September 30,
20151
    Year Ended
September  30,
20141
    Year Ended
September  30,
20131
    Year Ended
September  28,
20121,2
 

 

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

 

 
Income (loss) from investment operations:          
Net investment income3     0.04        0.05        0.05        0.05        0.08   
Net realized and unrealized gain (loss)     (0.01)        (0.01)        (0.01)        (0.09)        0.05   
 

 

 

 
Total from investment operations     0.03        0.04        0.04        (0.04)        0.13   

 

 
Dividends and/or distributions to shareholders:          
Dividends from net investment income     (0.06)        (0.08)        (0.08)        (0.08)        (0.08)   

 

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

 

 

 

 

   

 

 
Total Return, at Net Asset Value4     0.65%        0.85%        0.74%        (0.92)%        2.69%   

 

   

 

 
Ratios/Supplemental Data          
Net assets, end of period (in thousands)     $31,529        $30,218        $33,413        $39,598        $43,962   

 

 
Average net assets (in thousands)     $30,885        $31,657        $36,387        $42,032        $44,441   

 

 
Ratios to average net assets:5          
Net investment income     0.97%        1.12%        1.11%        1.13%        1.71%   
Expenses excluding specific expenses listed below     1.17%        1.16%        1.15%        1.17%        1.17%   
Interest and fees from borrowings     0.00%6        0.00%6        0.00%        0.00%        0.00%   
 

 

 

 
Total expenses     1.17%        1.16%        1.15%        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%   

 

 
Portfolio turnover rate7     211%        155%        229%        154%        152%   

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.

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  

 

 

Year Ended September 30, 2016

    $2,885,579,349        $2,865,270,817   

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   

See accompanying Notes to Financial Statements.

 

31        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

Class Y   Year Ended
September 30,
2016
    Year Ended
September 30,
20151
    Year Ended
September 30,
20141
    Year Ended
September 30,
20131
    Year Ended
September 28,
20121,2
 

 

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

 

 
Income (loss) from investment operations:          
Net investment income3     0.07        0.08        0.08        0.08        0.11   
Net realized and unrealized gain (loss)     (0.01)        (0.01)        0.004        (0.10)        0.04   
 

 

 

 
Total from investment operations     0.06        0.07        0.08        (0.02)        0.15   

 

 
Dividends and/or distributions to shareholders:          
Dividends from net investment income     (0.09)        (0.10)        (0.10)        (0.11)        (0.10)   

 

 
Net asset value, end of period     $4.50        $4.53        $4.56        $4.58        $4.71   
 

 

 

 

 

   

 

 
Total Return, at Net Asset Value5     1.26%        1.57%        1.78%        (0.44)%        3.30%   

 

   

 

 
Ratios/Supplemental Data          
Net assets, end of period (in thousands)     $51,914        $48,028        $35,442        $192,989        $532,594   

 

 
Average net assets (in thousands)     $57,294        $40,668        $60,953        $393,408        $512,755   

 

 
Ratios to average net assets:6          
Net investment income     1.58%        1.72%        1.77%        1.76%        2.30%   
Expenses excluding specific expenses listed below     0.68%        0.66%        0.66%        0.54%        0.51%   
Interest and fees from borrowings     0.00%7        0.00%7        0.00%        0.00%        0.00%   
 

 

 

 
Total expenses     0.68%        0.66%        0.66%        0.54%        0.51%   
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses     0.50%        0.50%        0.50%        0.50%        0.50%   

 

 
Portfolio turnover rate8     211%        155%        229%        154%        152%   

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.

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. 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  

 

 

Year Ended September 30, 2016

    $2,885,579,349        $2,865,270,817   

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   

See accompanying Notes to Financial Statements.

 

32        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS September 30, 2016

 

 

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. At period end, approximately 31% of the shares of the Fund were owned by the Manager, other funds advised or subadvised by the Manager or an affiliate of the Manager.

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. As of July 1, 2014, Class N shares were renamed Class R shares. Class N shares subject to a contingent deferred sales charge (“CDSC”) on July 1, 2014, continue to be subject to a CDSC after the shares were renamed. Purchases of Class R shares occurring on or after July 1, 2014, are not subject to a CDSC upon redemption. 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 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.

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

 

33        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS 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 or at other times as deemed necessary by the Manager.

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, including any net realized gain on investments not offset by capital loss carryforwards, if any, to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions

 

34        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

2. Significant Accounting Policies (Continued)

 

for the fiscal year ended September 30, 2016, including open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.

The tax components of capital shown in the following table represent distribution requirements the Fund must satisfy under the income tax regulations, losses the Fund may be able to offset against income and gains realized in future years and unrealized appreciation or depreciation of securities and other investments for federal income tax purposes.

 

Undistributed

Net Investment

Income

  Undistributed
Long-Term
Gain
   

Accumulated

Loss
Carryforward1,2,3,4,5

    Net Unrealized
Appreciation
Based on cost of
Securities and
Other Investments
for Federal Income
Tax Purposes
 

 

 
$8,107,855     $—        $130,405,139        $15,665,919   

1. At period end, the Fund had $129,203,412 of net capital loss carryforward available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. Details of the capital loss carryforwards are included in the table below. Capital loss carryovers with no expiration, if any, must be utilized prior to those with expiration dates.

 

Expiring       

 

 

2017

   $ 21,325,466   

2018

     73,585,342   

No expiration

     34,292,604   
  

 

 

 

Total

   $                 129,203,412   
  

 

 

 

2. The Fund had $1,201,727 of straddle losses which were deferred.

3. During the reporting period, the Fund did not utilize any capital loss carryforward.

4. During the previous reporting period, the Fund did not utilize any capital loss carryforward.

5. During the reporting period, $12,640,219 of unused capital loss carryforward expired.

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.

Accordingly, the following amounts have been reclassified for the reporting period. Net assets of the Fund were unaffected by the reclassifications.

 

35        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

2. Significant Accounting Policies (Continued)

 

Reduction

to Paid-in Capital

   Increase
to Accumulated
Net Investment
Income
     Reduction
to Accumulated Net
Realized Loss
on Investments
 

 

 

$12,542,597

     $4,001,746         $8,540,851   

The tax character of distributions paid during the reporting periods:

 

     Year Ended
September 30, 2016
     Year Ended
September 30, 2015
 

 

 

Distributions paid from:

     

Ordinary income

   $ 18,950,516        $ 24,740,597    

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

 

Federal tax cost of securities      $ 1,329,191,902     
Federal tax cost of other investments      (258,211,644)    
  

 

 

 
Total federal tax cost      $  1,070,980,258     
  

 

 

 
Gross unrealized appreciation      $ 19,903,005     
Gross unrealized depreciation      (4,237,086)    
  

 

 

 
Net unrealized appreciation      $ 15,665,919     
  

 

 

 

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

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

 

36        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

3. Securities Valuation (Continued)

 

the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

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

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

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

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

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

Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.

 

37        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

3. Securities Valuation (Continued)

 

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.

 

Structured securities   Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events.

 

Swaps   Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates.

If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

 

38        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

3. Securities Valuation (Continued)

 

To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.

Classifications

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

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

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

 

   

Level 1—

Unadjusted

        Quoted Prices

   

Level 2—

Other Significant

  Observable Inputs

   

Level 3—

Significant

    Unobservable

Inputs

   

Value  

 

 

 

Assets Table

       

Investments, at Value:

       
Asset-Backed Securities   $      $ 64,929,388      $      $ 64,929,388     
Mortgage-Backed Obligations            828,319,564               828,319,564     
U.S. Government Obligations            451,120,187               451,120,187     
Over-the-Counter Option Purchased            448,063               448,063     
 

 

 

 
Total Investments, at Value            1,344,817,202               1,344,817,202     

Other Financial Instruments:

       
Futures contracts   $ 70,992      $      $      $ 70,992     
 

 

 

 
Total Assets   $ 70,992      $ 1,344,817,202      $      $     1,344,888,194     
 

 

 

 

 

39        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

3. Securities Valuation (Continued)

 

   

Level 1—

Unadjusted

      Quoted Prices

   

Level 2—

Other Significant

  Observable Inputs

   

Level 3—

Significant

    Unobservable

Inputs

   

Value 

 

Liabilities Table

       

Other Financial Instruments:

       
Options written, at value   $      $ (199,681   $      $            (199,681)
Futures contracts     (128,922                 (128,922)
 

 

 

Total Liabilities   $ (128,922   $ (199,681   $      $            (328,603)
 

 

 

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 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      $259,515,405   
Sold securities      63,346,180   

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

 

40        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

4. Investments and Risks (Continued)

 

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.

At period end, the Fund pledged $26,344 of collateral to the counterparty 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 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

 

41        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

5. Market Risk Factors (Continued)

 

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 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.

 

42        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

6. Use of Derivatives (Continued)

 

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.

During the reporting period, the Fund had an ending monthly average market value of $125,705,325 and $312,579,846 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.

Option Activity

The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.

Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium received or paid, and market value of the option, is recorded as

 

43        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

6. Use of Derivatives (Continued)

 

unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations.

The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.

During the reporting period, the Fund had an ending monthly average market value of $34,466 on purchased put options.

Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.

The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.

The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.

During the reporting period, the Fund had an ending monthly average market value of $15,360 on written put options.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

Written option activity for the reporting period was as follows:

 

    

                Number of

Contracts

                     Amount of
Premiums
 

 

 
Options outstanding as of September 30, 2015      —        $ —    
Options written      32,040,000          240,300    
  

 

 

 
Options outstanding as of September 30, 2016      32,040,000        $ 240,300    
  

 

 

 

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.

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC

 

44        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

6. Use of Derivatives (Continued)

 

options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.

To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

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.

 

45        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

6. Use of Derivatives (Continued)

 

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 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.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.

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 by counterparty the Fund’s OTC derivative assets net of the related collateral pledged by the Fund at period end.

         

Gross Amounts Not Offset in the Statement of

Assets & Liabilities

     
Counterparty  

    Gross Amounts
Not Offset in

the Statement

of Assets &
Liabilities*

    Financial
Instruments
    Available for
Offset
  Financial
    Instruments
Collateral
Received**
  Cash Collateral
Received**
        Net Amount  

 

 
Bank of America NA   $ 448,063       $        (199,681)    $                      –    $                       –    $ 248,382    

*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.

**Reported collateral posted for the benefit of the Fund within this table is limited to the net outstanding amount due from an individual counterparty. The collateral posted for the benefit of the Fund may exceed these amounts.

The following table presents by counterparty the Fund’s OTC derivative liabilities net of the related collateral pledged by the Fund at period end.

 

46        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

6. Use of Derivatives (Continued)

 

         

  Gross Amounts Not Offset in the Statement of  

Assets & Liabilities

     
Counterparty  

    Gross Amounts
Not Offset in

the Statement

of Assets &

Liabilities*

    Financial
Instruments
    Available for
Offset
  Financial
    Instruments
Collateral
Pledged**
  Cash Collateral
Pledged**
        Net Amount  

 

 
Bank of America NA   $ (199,681)       $          199,681    $                      –    $                       –    $ –    

*OTC derivatives are reported gross on the Statement of Assets and Liabilities. Exchange traded options and margin related to centrally cleared swaps and futures are excluded from these reported amounts.

**Reported collateral pledged within this table is limited to the net outstanding amount due from the Fund. The securities pledged as collateral by the Fund as reported on the Statements of Investments may exceed these amounts.

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     $ 666,540*       Variation margin payable     $ 51,219*   
Interest rate contracts          Options written, at value      199,681    
Interest rate contracts    Investments, at value      448,063**         
     

 

 

       

 

 

 
Total        $ 1,114,603            $ 250,900    
     

 

 

       

 

 

 

*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.

**Amounts relate to purchased option contracts and purchased swaption contracts, if any.

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      $ (8,563,612)                     

 

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

 

Derivatives Not Accounted

for as Hedging Instruments

       Investments*      Option
            contracts
written
     Futures
            contracts
     Total  

 

 
Interest rate contracts    $ 448,063        $ 40,619        $ 570,727        $         1,059,409      

*Includes purchased option contracts and purchased swaption contracts, if any.

 

 

7. Shares of Beneficial Interest

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest

 

47        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

7. Shares of Beneficial Interest (Continued)

 

of each class. Transactions in shares of beneficial interest were as follows:

 

     Year Ended September 30, 2016      Year Ended September 30, 2015     
     Shares      Amount      Shares     Amount     

 

 
Class A           
Sold                  24,235,662       $ 108,709,662         10,606,342      $ 91,748,735      
Dividends and/or distributions reinvested      1,875,728         8,400,360         1,220,521        10,370,156      
Redeemed      (29,287,917      (131,409,812      (14,892,969     (130,689,337)     
Shares tendered from share split                      62,317,6501        —      
  

 

 

 
Net increase (decrease)      (3,176,527    $     (14,299,790      59,251,544      $ (28,570,446)     
  

 

 

 

 

 
Class B           
Sold      233,969       $ 1,049,951         101,990      $ 887,010      
Dividends and/or distributions reinvested      14,767         66,045         17,000        147,075      
Redeemed      (1,414,933      (6,346,547      (741,937     (6,614,418)     
Shares tendered from share split                      1,195,1521        —      
  

 

 

 
Net increase (decrease)      (1,166,197    $ (5,230,551      572,205      $ (5,580,333)     
  

 

 

 

 

 
Class C           
Sold      8,168,453       $ 36,556,950         3,998,170      $ 32,676,164      
Dividends and/or distributions reinvested      302,202         1,349,364         223,206        1,910,836      
Redeemed      (9,619,209      (43,051,749      (5,367,953     (46,565,869)     
Shares tendered from share split                      19,479,5841        —      
  

 

 

 
Net increase (decrease)      (1,148,554    $ (5,145,435      18,333,007      $     (11,978,869)     
  

 

 

 

 

 
Class I           
Sold      10,369,126       $ 46,508,181         6,710,710      $ 58,749,585      
Dividends and/or distributions reinvested      1,554,983         6,964,031         1,169,947        10,029,704      
Redeemed      (10,274,266      (46,104,551      (16,987,818     (151,885,379)     
Shares tendered from share split                      39,621,6921        —      
  

 

 

 
Net increase (decrease)      1,649,843       $ 7,367,661         30,514,531      $ (83,106,090)     
  

 

 

 

 

 
Class R           
Sold      2,220,429       $ 9,948,798         676,425      $ 5,491,369      
Dividends and/or distributions reinvested      83,772         374,932         56,170        478,328      
Redeemed      (1,966,859      (8,818,376      (1,100,071     (8,954,985)     
Shares tendered from share split                      3,385,8991        —      
  

 

 

 
Net increase (decrease)      337,342       $ 1,505,354         3,018,423      $ (2,985,288)     
  

 

 

 

 

48        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

7. Shares of Beneficial Interest (Continued)

 

    

Year Ended September 30, 2016 

     Year Ended September 30, 2015    
     Shares       Amount       Shares      Amount    

 

 
Class Y            
Sold      12,213,341        $         54,859,078          3,288,939       $ 28,623,728     
Dividends and/or distributions reinvested      182,791          820,530          79,727         674,916     
Redeemed                  (11,458,637)         (51,485,720)         (1,848,448      (16,444,604)    
Shares tendered from share split      —          —          5,200,4651         —     
  

 

 

 
Net increase      937,495        $ 4,193,888          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      $195,341,129         $248,872,036   

 

U.S. government and government agency obligations

 

     2,281,383,929         2,259,271,129   

To Be Announced (TBA) mortgage-related securities

 

     2,885,579,349         2,865,270,817   

 

 

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 shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on

 

49        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

9. Fees and Other Transactions with Affiliates (Continued)

 

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 pursuant to Rule 12b-1 under the 1940 Act to compensate the Distributor for distributing

 

50        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

9. Fees and Other Transactions with Affiliates (Continued)

 

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  
Year Ended    Distributor      Distributor      Distributor      Distributor      Distributor  

 

 
September 30, 2016      $63,469         $7,663         $4,066         $12,611         $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 $655,512, $6,400, $129,678, $20,567 and $99,997 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 $1.3 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.

 

51        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

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.

 

52        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


         

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

 

The Board of Trustees and Shareholders of Oppenheimer Limited-Term Government Fund:

We have audited the accompanying statement of assets and liabilities of Oppenheimer Limited-Term Government Fund, including the statement of investments, as of September 30, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2016, by correspondence with the custodian and brokers, or by other appropriate auditing procedures where replies from brokers were not received. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Oppenheimer Limited-Term Government Fund as of September 30, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

 

 

KPMG LLP

Denver, Colorado

November 22, 2016

 

53        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


         

FEDERAL INCOME TAX INFORMATION

 

 

In early 2016, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2015.

None of the dividends paid by the Fund during the reporting period are eligible for the corporate dividend-received deduction.

Dividends, if any, paid by the Fund during the reporting period which are not designated as capital gain distributions, may be eligible for lower individual income tax rates to the extent that the Fund has received qualified dividend income as stipulated by recent tax legislation. In early 2016, shareholders of record received information regarding the percentage of distributions that are eligible for lower individual income tax rates. The amount will be the maximum amount allowed.

Recent tax legislation allows a regulated investment company to designate distributions not designated as capital gain distributions, as either interest related dividends or short-term capital gain dividends, both of which are exempt from the U.S. withholding tax applicable to non U.S. taxpayers. For the reporting period, the maximum amount allowable but not less than $18,760,943 of the ordinary distributions to be paid by the Fund qualifies as an interest related dividend

The foregoing information is presented to assist shareholders in reporting distributions received from the Fund to the Internal Revenue Service. Because of the complexity of the federal regulations which may affect your individual tax return and the many variations in state and local tax regulations, we recommend that you consult your tax advisor for specific guidance.

 

54        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY

AND SUB-ADVISORY AGREEMENTS Unaudited

 

 

The Fund has entered into an investment advisory agreement with OFI Global Asset Management, Inc. (“OFI Global” or the “Adviser”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”) (“OFI Global” and “OFI” together the “Managers”) and OFI Global has entered into a sub-advisory agreement with OFI whereby OFI provides investment sub-advisory services to the Fund (collectively, the “Agreements”). Each year, the Board of Trustees (the “Board”), including a majority of the independent Trustees, is required to determine whether to approve the terms of the Agreements and the renewal thereof. The Investment Company Act of 1940, as amended, requires that the Board request and evaluate, and that the Managers provide, such information as may be reasonably necessary to evaluate the terms of the Agreements. The Board employs an independent consultant to prepare a report that provides information, including comparative information that the Board requests for that purpose. In addition to in-person meetings focused on this evaluation, the Board receives information throughout the year regarding Fund services, fees, expenses and performance.

The Managers and the independent consultant provided information to the Board on the following factors: (i) the nature, quality and extent of the Managers’ services, (ii) the comparative investment performance of the Fund and the Managers, (iii) the fees and expenses of the Fund, including comparative fee and expense information, (iv) the profitability of the Managers and their affiliates, including an analysis of the cost of providing services, (v) whether economies of scale are realized as the Fund grows and whether fee levels reflect these economies of scale for Fund investors and (vi) other benefits to the Managers from their relationship with the Fund. The Board was aware that there are alternatives to retaining the Managers.

Outlined below is a summary of the principal information considered by the Board as well as the Board’s conclusions.

Nature, Quality and Extent of Services. The Board considered information about the nature, quality and extent of the services provided to the Fund and information regarding the Managers’ key personnel who provide such services. The Managers’ duties include providing the Fund with the services of the portfolio manager and the Sub-Adviser’s investment team, who provide research, analysis and other advisory services in regard to the Fund’s investments; and securities trading services. OFI Global is responsible for oversight of third-party service providers; monitoring compliance with applicable Fund policies and procedures and adherence to the Fund’s investment restrictions; risk management; and oversight of the Sub-Adviser. OFI Global is also responsible for providing certain administrative services to the Fund. Those services include providing and supervising all administrative and clerical personnel who are necessary in order to provide effective corporate administration for the Fund; compiling and maintaining records with respect to the Fund’s operations; preparing and filing reports required by the U.S. Securities and Exchange Commission; preparing periodic reports regarding the operations of the Fund for its shareholders; preparing proxy materials for shareholder meetings; and preparing the registration statements required by federal and state securities laws for the sale of the Fund’s shares. OFI Global also provides the Fund with office space, facilities and equipment.

 

55        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY

AND SUB-ADVISORY AGREEMENTS Unaudited / Continued

 

The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance and risk management services, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of its staff. In its evaluation of the quality of the portfolio management services provided, the Board considered the experience of Peter Strzalkowski, the portfolio manager for the Fund, and the Sub-Adviser’s investment team and analysts. The Board members also considered the totality of their experiences with the Managers as directors or trustees of the Fund and other funds advised by the Managers. The Board considered information regarding the quality of services provided by affiliates of the Managers, which the Board members have become knowledgeable about through their experiences with the Managers and in connection with the renewal of the Fund’s service agreements. The Board concluded, in light of the Managers’ experience, reputation, personnel, operations and resources that the Fund benefits from the services provided under the Agreements.

Investment Performance of the Managers and the Fund. Throughout the year, the Managers provided information on the investment performance of the Fund, the Adviser and the Sub-Adviser, including comparative performance information. The Board reviewed information, prepared by the Managers and the independent consultant, comparing the Fund’s historical performance to its benchmarks and to the performance of other retail short government funds. The Board considered that the Fund outperformed its category median for the one-, three- and five-year periods, and performed in line with the category median for the ten-year period.

Fees and Expenses of the Fund.  The Board reviewed the fees paid to the Adviser and the other expenses borne by the Fund. The Board noted that the Adviser, not the Fund, pays the Sub-Adviser’s fee under the sub-advisory agreement. The independent consultant provided comparative data in regard to the fees and expenses of the Fund and other retail short government funds with comparable asset levels and distribution features. The Board also noted that the Fund’s contractual management fee was lower than its peer group median and category median and its total expenses, net of waivers, were lower than its peer group median and equal to its category median. The Board also considered that the Adviser has contractually agreed to waive fees and/or reimburse certain expenses so that the total annual fund operating expenses as a percentage of average daily net assets will not exceed the following annual rates: 0.80% for Class A shares, 1.60% for Class B shares and Class C shares, 1.10% for Class R shares, and 0.50% for Class Y shares, and that the expense limitations may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

Economies of Scale and Profits Realized by the Managers. The Board considered information regarding the Managers’ costs in serving as the Fund’s investment adviser and sub-adviser, including the costs associated with the personnel and systems necessary to manage the Fund, and information regarding the Managers’ profitability from their

 

56        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently has management fee breakpoints, which are intended to share with Fund shareholders economies of scale that may exist as the Fund’s assets grow.

Other Benefits to the Managers. In addition to considering the profits realized by the Managers, the Board considered information that was provided regarding the direct and indirect benefits the Managers receive as a result of their relationship with the Fund, including compensation paid to the Managers’ affiliates.

Conclusions. These factors were also considered by the independent Trustees meeting separately from the full Board, assisted by experienced counsel to the Fund and to the independent Trustees. Fund counsel and the independent Trustees’ counsel are independent of the Managers within the meaning and intent of the Securities and Exchange Commission Rules.

Based on its review of the information it received and its evaluations described above, the Board, including a majority of the independent Trustees, decided to continue the Agreements through August 31, 2017. In arriving at its decision, the Board did not identify any factor or factors as being more important than others, but considered all of the above information, and considered the terms and conditions of the Agreements, including the management fees, in light of all the surrounding circumstances.

 

57        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.

 

58        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


TRUSTEES AND OFFICERS Unaudited

 

 

 

Name, Position(s) Held with the Fund, Length of Service, Year of Birth   Principal Occupation(s) During the Past 5 Years; Other Trusteeships/ Directorships Held; Number of Portfolios in the Fund Complex Currently Overseen
INDEPENDENT TRUSTEES   The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal.

Robert J. Malone, Chairman of the Board of Trustees

(since 2016), Trustee (since 2002)

Year of Birth: 1944

  Chairman - Colorado Market of MidFirst Bank (since January 2015); Chairman of the Board (2012-2016) and Director (August 2005-March 2016) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2015); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Board of Directors of Opera Colorado Foundation (non-profit organization) (2008-2012); Director of Colorado UpLIFT (charitable organization) (1986-2010); Director of Jones Knowledge, Inc. (2006-2010); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004); Chairman of the Board (1991-1994) and Trustee (1985-1994) of Regis University; and Chairman of the Board (1990-1991) and Trustee (1984-1999) of Young Presidents Organization. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Jon S. Fossel,

Trustee (since 1990)

Year of Birth: 1942

  Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (since March 2005); Director of Jack Creek Preserve Foundation (non-profit organization) (March 2005-December 2014); Chairman of the Board (2006-December 2011) and Director (June 2002-December 2011) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (November 2004-December 2009); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Sub-Adviser; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Sub-Adviser), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

 

59        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


TRUSTEES AND OFFICERS Unaudited / Continued

 

 

Richard Grabish,

Trustee (since 2008)

Year of Birth: 1948

  Formerly Senior Vice President and Assistant Director of Sales and Marketing (March 1997-December 2007), Director (March 1987-December 2007) and Manager of Private Client Services (June 1985-June 2005) of A.G. Edwards & Sons, Inc. (broker/dealer and investment firm); Chairman and Chief Executive Officer of A.G. Edwards Trust Company, FSB (March 2001-December 2007); President and Vice Chairman of A.G. Edwards Trust Company, FSB (investment adviser) (April 1987-March 2001); President of A.G. Edwards Trust Company, FSB (investment adviser) (June 2005-December 2007). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Grabish has served on the Boards of certain Oppenheimer funds since 2001, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Beverly L. Hamilton,

Trustee (since 2002)

Year of Birth: 1946

  Trustee of Monterey Institute for International Studies (educational organization) (2000-2014); Board Member of Middlebury College (educational organization) (December 2005-June 2011); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002- 2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Victoria J. Herget,

Trustee (since 2012)

Year of Birth: 1951

  Board Chair (2008-2015) and Director (2004-Present), United Educators (insurance company); Trustee (since 2000) and Chair (since 2010), Newberry Library (independent research library); Trustee, Mather LifeWays (senior living organization) (since 2001); Independent Director of the First American Funds (mutual fund family) (2003-2011); former Managing Director (1993-2001), Principal (1985-1993), Vice President (1978-1985) and Assistant Vice President (1973-1978) of Zurich Scudder Investments (investment adviser) (and its predecessor firms); Trustee (1992-2007), Chair of the Board of Trustees (1999-2007), Investment Committee Chair (1994-1999) and Investment Committee member (2007-2010) of Wellesley College; Trustee, BoardSource (non-profit organization) (2006-2009) and Chicago City Day School (K-8 School) (1994-2005). Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Herget has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

 

60        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

 

F. William Marshall, Jr.,

Trustee (since 2001)

Year of Birth: 1942

  Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (1996-2015), MML Series Investment Fund (investment company) (1996-2015) and Mass Mutual Premier Funds (investment company) (January 2012-December 2015); President and Treasurer of the SIS Fund (private charitable fund) (January 1999-March 2011); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

Karen L. Stuckey,

Trustee (since 2012)

Year of Birth: 1953

  Member (since May 2015) of Desert Mountain Community Foundation Advisory Board (non-profit organization); Partner (1990-2012) of PricewaterhouseCoopers LLP (professional services firm) (held various positions 1975-1990); Trustee (1992-2006), member of Executive, Nominating and Audit Committees and Chair of Finance Committee (1992-2006, and Emeritus Trustee (since 2006) of Lehigh University; and member, Women’s Investment Management Forum (professional organization) since inception. Oversees 45 portfolios in the OppenheimerFunds complex. Ms. Stuckey has served on the Boards of certain Oppenheimer funds since 2012, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

James D. Vaughn,

Trustee (since 2012)

Year of Birth: 1945

 

Retired; former managing partner (1994-2001) of Denver office of Deloitte & Touche LLP, (held various positions 1969-1993); Trustee and Chairman of the Audit Committee of Schroder Funds (2003-2012); Board member and Chairman of Audit Committee of AMG National Trust Bank (since 2005); Trustee and Investment Committee member, University of South Dakota Foundation (since 1996); Board member, Audit Committee Member and past Board Chair, Junior Achievement (since 1993); former Board member, Mile High United Way, Boys and Girls Clubs, Boy Scouts, Colorado Business Committee for the Arts, Economic Club of Colorado and Metro Denver Network. Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Vaughn has served on the Boards of certain Oppenheimer funds since 2012, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations.

 

 

INTERESTED TRUSTEE AND

OFFICER

 

 

Mr. Steinmetz is an “Interested Trustee” because he is affiliated with the Manager and the Sub-Adviser by virtue of his positions as Chairman of the Sub-Adviser and officer and director of the Manager. Both as a Trustee and as an officer, Mr. Steinmetz serves for an indefinite term, or until his resignation, retirement, death or removal. Mr. Steinmetz’s address is 225 Liberty Street, New York, New York 10281-1008.

 

61        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


TRUSTEES AND OFFICERS Unaudited / Continued

 

 

Arthur P. Steinmetz,

Trustee (since 2015), President and Principal Executive Officer (since 2014)

Year of Birth: 1958

 

Chairman of the Sub-Adviser (since January 2015); CEO and Chairman of the Manager (since July 2014), President of the Manager (since May 2013), a Director of the Manager (since January 2013), Director of the Sub-Adviser (since July 2014), President, Management Director and CEO of Oppenheimer Acquisition Corp. (the Sub-Adviser’s parent holding company) (since July 2014), and President and Director of OFI SteelPath, Inc. (since January 2013). Chief Investment Officer of the OppenheimerFunds advisory entities from (January 2013-December 2013); Executive Vice President of the Manager (January 2013-May 2013); Chief Investment Officer of the Sub-Adviser (October 2010-December 2012); Chief Investment Officer, Fixed-Income, of the Sub-Adviser (April 2009-October 2010); Executive Vice President of the Sub-Adviser (October 2009-December 2012); Director of Fixed Income of the Sub-Adviser (January 2009-April 2009); and a Senior Vice President of the Sub-Adviser (March 1993-September 2009). An officer of 100 portfolios in the OppenheimerFunds complex.

 

 

OTHER OFFICERS OF THE FUND

 

 

The addresses of the Officers in the chart below are as follows: for Mr. Strzalkowski, Mss. Lo Bessette, Foxson and Picciotto, 225 Liberty Street, New York, New York 10281-1008, for Mr. Petersen, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal.

Peter A. Strzalkowski,

Vice President (since 2009)

Year of Birth: 1965

  Vice President and Senior Portfolio Manager of the Sub-Adviser (since August 2007) and co-Team Leader for the Sub-Adviser’s Investment Grade Fixed Income Team (since January 2014). A member of the Sub-Adviser’s Investment Grade Fixed Income Team (April 2009-January 2014). Managing Partner and Chief Investment Officer of Vector Capital Management, LLC, a structured products money management firm he founded, (July 2006-August 2007). Senior Portfolio Manager at Highland Capital Management, L.P. (June 2005-July 2006) and a Senior Fixed Income Portfolio Manager at Microsoft Corp. (June 2003-June 2005). Vice President and Senior Fixed Income Portfolio Manager at First Citizens Bank Trust, Capital Management Group (April 2000-June 2003) and a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000).

Cynthia Lo Bessette,

Secretary and Chief Legal Officer

(since 2016)

Year of Birth: 1969

  Senior Vice President and Deputy General Counsel (March 2015-February 2016) and Executive Vice President, General Counsel and Secretary of the Manager (since February 2016); Chief Legal Officer of the Sub-Adviser and the Distributor (since February 2016); Vice President, General Counsel and Secretary of Oppenheimer Acquisition Corp. (since February 2016); General Counsel of OFI SteelPath, Inc., VTL Associates, LLC and Index Management Solutions, LLC (since February 2016); Chief Legal Officer of OFI Global Institutional, Inc., HarbourView Asset Management Corporation, OFI Global Trust Company, Oppenheimer Real Asset Management, Inc., OFI Private Investments Inc., Shareholder Services, Inc. and Trinity Investment Management Corporation (since February 2016); Vice President, Corporate Counsel (February 2012-March 2015) and Deputy Chief Legal Officer (April 2013-March 2015) of Jennison Associates LLC; Assistant General Counsel (April 2008-September 2009) and Deputy General Counsel (October 2009-February 2012) of Lord Abbett & Co. LLC. An officer of 100 portfolios in the OppenheimerFunds complex.

Jennifer Foxson,

Vice President and Chief Business

Officer (since 2014)

Year of Birth: 1969

  Senior Vice President of OppenheimerFunds Distributor, Inc. (since June 2014); Vice President of OppenheimerFunds Distributor, Inc. (April 2006-June 2014); Vice President of the Sub-Adviser (January 1998-March 2006); Assistant Vice President of the Sub-Adviser (October 1991-December 1998). An officer of 100 portfolios in the OppenheimerFunds complex.

 

62        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

 

Mary Ann Picciotto,

Chief Compliance Officer and Chief

Anti-Money Laundering Officer (since 2014)

Year of Birth: 1973

  Senior Vice President and Chief Compliance Officer of the Manager (since March 2014); Chief Compliance Officer of the Sub-Adviser, OFI SteelPath, Inc., OFI Global Trust Company, OFI Global Institutional, Inc., Oppenheimer Real Asset Management, Inc., OFI Private Investments, Inc., Harborview Asset Management Corporation, Trinity Investment Management Corporation, and Shareholder Services, Inc. (since March 2014); Managing Director of Morgan Stanley Investment Management Inc. and certain of its various affiliated entities; Chief Compliance Officer of various Morgan Stanley Funds (May 2010-January 2014); Chief Compliance Officer of Morgan Stanley Investment Management Inc. (April 2007-January 2014). An officer of 100 portfolios in the OppenheimerFunds complex.

Brian S. Petersen,

Treasurer and Principal Financial &

Accounting Officer (since 2016)

Year of Birth: 1970

  Vice President of the Manager (since January 2013); Vice President of the Sub-Adviser (February 2007-December 2012); Assistant Vice President of the Sub-Adviser (August 2002-2007). An officer of 100 portfolios in the OppenheimerFunds complex.

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).

 

63        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


OPPENHEIMER LIMITED-TERM GOVERNMENT FUND

 

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

 

 

 

© 2016 OppenheimerFunds, Inc. All rights reserved.

 

64        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.

 

65        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

 

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Oppenheimer funds are distributed by OppenheimerFunds Distributor, Inc.

225 Liberty Street, New York, NY 10281-1008

© 2016 OppenheimerFunds Distributor, Inc. All rights reserved.

 

RA0855.001.0916 November 22, 2016

 


Item 2.  Code of Ethics.

The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions.

Item 3.  Audit Committee Financial Expert.

The Board of Trustees of the registrant has determined that F. William Marshall, Jr., the Chairman of the Board’s Audit Committee, is the audit committee financial expert and that Mr. Marshall is “independent” for purposes of this Item 3.

Item 4.  Principal Accountant Fees and Services.

 

(a) Audit Fees

The principal accountant for the audit of the registrant’s annual financial statements billed $53,900 in fiscal 2016 and $44,200 in fiscal 2015.

 

(b) Audit-Related Fees

The principal accountant for the audit of the registrant’s annual financial statements billed $7,629 in fiscal 2016 and no such fees in fiscal 2015.

The principal accountant for the audit of the registrant’s annual financial statements billed $598,285 in fiscal 2016 and $185,479 in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

Such services include:  Internal control reviews, GIPS attestation procedures, system conversion testing, custody audits, and additional audit services.

 

(c) Tax Fees

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015.

The principal accountant for the audit of the registrant’s annual financial statements billed $45,432 in fiscal 2016 and $628,126 in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.

Such services include: tax compliance, tax planning and tax advice. Tax compliance generally involves preparation of original and amended tax returns, claims for a refund and tax payment-planning services. Tax planning and tax advice includes assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.

 

(d) All Other Fees

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015.

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2016 and no such fees in fiscal 2015 to the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.


Such fees would include the cost to the principal accountant of attending audit committee meetings and consultations regarding the registrant’s retirement plan with respect to its Trustees.

 

(e) (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant.

The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting.

Under applicable laws, pre-approval of non-audit services may be waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to its principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit.

(2) 0%

 

(f) Not applicable as less than 50%.

 

(g) The principal accountant for the audit of the registrant’s annual financial statements billed $651,346 in fiscal 2016 and $813,605 in fiscal 2015 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934.

 

(h) The registrant’s audit committee of the board of Trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered.

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 9/30/2016, 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) Exhibit attached hereto.

(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:   11/21/2016

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:   11/21/2016

 

By:  

/s/ Brian S. Petersen

  Brian S. Petersen
  Principal Financial Officer
Date:   11/21/2016
EX-99.CODE ETH 2 d284353dex99codeeth.htm CODE OF ETHICS Code of Ethics

CODE OF ETHICS FOR PRINCIPAL EXECUTIVE AND FINANCIAL OFFICERS OF

THE OPPENHEIMER FUNDS, OPPENHEIMERFUNDS, INC., OFI GLOBAL ASSET

MANAGEMENT, INC. AND OFI STEELPATH, INC.

This Code of Ethics for Principal Executive and Financial Officers (referred to in this document as the “Code”) has been adopted by each of the investment companies for which OppenheimerFunds, Inc. (“OFI”), OFI Global Asset Management, Inc. (“OFI Global”) , OFI SteelPath, Inc. (“OFI SteelPath”) or one of OFI’s other subsidiaries (referred to collectively in this document as “OFI”) acts as investment adviser (individually, a “Fund” and collectively, the “Funds”), and by OFI to effectuate compliance with Section 406 under the Sarbanes-Oxley Act of 2002 and the rules adopted to implement Section 406.

This Code applies to OFI’s and each Fund’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions (“Covered Officers”). A listing of positions currently within the ambit of Covered Officers is attached as Exhibit A.1

INTRODUCTION / DEFINITION / POLICY STATEMENT:

In general, the principles that govern honest and ethical conduct, including the avoidance of conflicts of interest between personal and professional relationships, reflect, at the minimum, the following: (1) the duty at all times in performing any responsibilities as a Fund financial officer, controller, accountant or principal executive officer to place the interests of the Funds ahead of personal interests; (2) the fundamental standard that Covered Officers should not take inappropriate advantage of their positions; (3) the duty to assure that a Fund’s financial statements and reports to its shareholders are prepared honestly and accurately in accordance with applicable rules, regulations and accounting standards; and (4) the duty to conduct the Funds’ business and affairs in an honest and ethical manner. Each Covered Officer should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

It is acknowledged that, as a result of the contractual relationship between each Fund and OFI, of which the Covered Officers are also officers or employees, and subject to OFI’s fiduciary duties to each Fund, the Covered Officers may, in the normal course of their duties, be involved in establishing policies and implementing decisions that will have different effects on OFI and the Funds. It is further acknowledged that the participation of the Covered Officers in such activities is inherent in the contractual relationship between each Fund and OFI and is consistent with the expectations of the Board of Trustees/Directors of the performance by the Covered Officers of their duties as officers of the Funds.

 

 

1 The obligations imposed by this Code on Covered Officers are separate from and in addition to any obligations that may be imposed on such persons as Covered Persons under the Code of Ethics adopted by OFI and the Funds under Rule 17j-1 of the Investment Company Act of 1940, as amended and any other code of conduct applicable to Covered Officers in whatever capacity they serve. This Code does not incorporate by reference any provisions of the Rule 17j-1 Code of Ethics and accordingly, any violations or waivers granted under the Rule 17j-1 Code of Ethics will not be considered a violation or waiver under this Code.


POLICY DETAILS:

A.

POLICY STATEMENT

Overview. As a means of implementing Section 406 of SOX (“Section 406”), the SEC has adopted certain rules that require a mutual fund to disclose:

 

   

Whether or not it has adopted a code of ethics that applies to the mutual fund’s principal executive officer, principal financial officer, principal accounting officer, controller or any other person that performs similar functions (each a “Covered Officer” and, collectively, the “Covered Officers”);

   

Why, if it has not adopted such code, it has not done so; and

   

Amendments to, and waivers from, the code of ethics relating to any of the Covered Officers.

Section 406 defines a “code of ethics” to mean such standards as are reasonable necessary to promote:

 

   

Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

 

   

Full, fair, accurate, timely and understandable disclosure in the periodic reports required to be filed by the issuer; and

 

   

Compliance with applicable laws, rules and regulations.

This Code of Ethics for Principal Executive and Financial Officers (the “Executive Code”) sets forth standards and procedures to ensure compliance with SOX Section 406 and shall apply to each Covered Officer of the Funds and ETF Trust (referred to herein as the “Funds”).

Honest and ethical conduct. This Executive Code is intended to assure that the behavior of Covered Officers does not put, or appear to put, the interests of other parties above those of the Funds and that conflicts of interest are identified and handled ethically. A conflict of interest occurs when a Covered Officer allows, or appears to allow, advantages that could otherwise be avoided or ameliorated, to other parties at the expense of a Fund. Such advantages may benefit a Covered Officer’s own private interests over the interests of the Funds. Conflicts of interest may also arise when, in addition to serving as a Covered Officer of the Funds, a Covered Officer also holds a position as an officer or employee of an investment adviser or other entity retained by a Fund. A conflict of interest may be created if a Covered Officer who also serves as an officer or employee of an investment adviser to the Funds, provides benefits to another party that are improper, or that are a breach of the Covered Officer’s fiduciary relationship to the Funds, if the benefit was derived from such Covered Officer’s position with the Funds.

The compliance programs and procedures of the Funds and the investment adviser(s) to the Funds are designed to prevent, or identify and correct, violations of provisions set forth in the Investment Company Act and the Investment Advisers Act, including certain conflict of interest provisions. The obligations imposed by this Executive Code on Covered Officers are separate and in addition to any obligations imposed on such persons under any other procedures, such as the Code of Ethics adopted by the Funds and the investment advisers to the Funds pursuant to Rule 17j-1 under the Investment Company Act. This Executive Code does not, and is not intended to, repeat or replace these programs and procedures. Violations of such other programs


and procedures shall be addressed in accordance with the applicable program or procedure, unless or until it is determined that a violation of such program and procedure is also a violation of this Executive Code.

If a Covered Officer becomes aware of a conflict of interest or perceives there to be a conflict of interest, such Covered Officer shall promptly report the matter to the Funds’ Chief Compliance Officer or the OFI General Counsel. Upon receipt of a report, the Chief Compliance Officer or OFI General Counsel will take prompt steps to determine whether a conflict or perceived conflict of interest exists. If it is determined that an actual or perceived conflict of interest exists, the Chief Compliance Officer or OFI General Counsel will take steps to resolve the conflict or the appearance of a conflict. If it is determined that no conflict or appearance of a conflict exists, the Chief Compliance Officer or OFI General Counsel shall meet with the Covered Officer to advise him or her of such finding and of his or her reason for taking no action. In lieu of determining whether a conflict or appearance of conflict exists, the matter may be referred to the Funds’ Boards.

Prohibited Activity: No Covered Officer shall, in connection with carrying out his or her duties on behalf of the Funds:

 

   

Use information concerning business and affairs of the Funds, including the investment intentions of the Funds, for personal gain to himself or herself, his or her family or friends or any other person, or in a manner detrimental to the interests of the Funds or the shareholders of the Funds;

 

   

Use his or her ability to influence investment intentions for personal gain to himself or herself, his or her family or friends or any other person or in a manner detrimental to the Funds or the shareholders of the Funds;

 

   

Use his or her personal influence or personal relationships to influence the preparation and issuance of financial reports of a Fund whereby the Covered Officer would benefit personally to the detriment of Funds or the shareholders of the Funds;

 

   

Intentionally take any action or fail to take any action in connection with his or her official acts on behalf of the Funds that causes the Funds to violate applicable laws, rules and regulations;

 

   

Employ any device, scheme, artifice or manipulative practice to defraud the Funds or the shareholders of the Funds;

 

   

Intentionally cause the Funds to make any untrue statement of a material fact or omit to state a material fact that conflicts with statements made in official documents, regulatory filings, financial statements or communications to the public;

 

   

Intentionally cause the Funds to fail to comply with applicable laws, rules and regulations, including failure to comply with the requirement of full, fair, accurate, understandable and timely disclosure in reports and documents that the Funds file with, or submit to, the SEC and in other public communications;


   

Intentionally mislead or fail to provide material information to the independent auditors of the Funds or to the Board of Trustees/Directors or the officers of the Funds or their investment adviser(s) in connection with financial reporting matters;

 

   

Intentionally cause a Fund to be financially disadvantaged or to bear unwarranted expenses;

 

   

Retaliate against others for, or otherwise discourage the reporting of, actual or apparent violations of this Code.

Waivers. Covered Officers requesting a waiver of any of the provisions of the Executive Code must submit a written request for such waiver to the Compliance Department, setting forth the basis of such request and all necessary facts upon which such request can be evaluated.

The Compliance Department shall review such request and make a written determination thereon, which shall be binding. The Compliance Department may, in reviewing such request, consult in its discretion with legal counsel to the Funds, or the Board, if applicable.

In determining whether to waive any of the provisions of this Code, the Compliance Department shall consider whether the proposed waiver:

 

   

Is prohibited by this Executive Code;

   

Is consistent with honest and ethical conduct; and

   

Will result in a conflict of interest between the Covered Officer’s personal and professional obligations to a Fund.

For purposes of clarification, a determination by a Board as to the appropriate handling of a conflict of interest that has been disclosed to it and that does not involve unethical or fraudulent conduct does not constitute a waiver of this Executive Code.

Sanctions. Any violation of this Executive Code shall be subject to the imposition of such sanctions as may be deemed appropriate under the circumstances and may include, without limitation, a letter of censure, suspension from employment or termination of employment.

 

B.

POLICY IMPLEMENTATION

Each Covered Officer shall:

 

   

Certify that he or she has received, read and understands his or her obligations under the Executive Code (upon becoming subject to the Executive Code and annually thereafter); and

   

At least annually, all Covered Officers shall certify that they have compiled with the requirements of the Executive Code and that they have disclosed or reported violations of the Executive Code to the Chief Compliance Officer; and


   

Promptly report to the Chief Compliance Officer of the Funds or the General Counsel if he or she becomes aware of any actual or perceived conflict of interest.

The Compliance Department shall:

 

   

Maintain the current list of Covered Officers;

   

Furnish each Covered Officer with this Executive Code when such individual becomes subject to the Executive Code and annually thereafter;

   

Periodically inform each Covered Officer of his or her duties and obligations under this Executive Code;

   

Provide Fund Treasury with information with respect to amendments to, or waivers of, this Executive Code;

   

Provide the Boards with a quarterly report setting forth:

 

     

A description of any report submitted by a Covered Officer of a conflict of interest or perceived conflict of interest and the disposition thereof;

     

A description of any request for a waiver from the Executive Code and the disposition thereof;

     

Any violation of the Executive Code that has been reported or detected and the sanction imposed;

     

Any other significant information arising under the Executive Code.

Fund Treasury shall ensure that the applicable Form N-CSR:

 

   

Provides disclosure to the effect that the Funds have adopted the Executive Code;

   

Includes the current Executive Code as an exhibit; and

   

Provides disclosure with respect to any waivers that have been granted under the Executive Code.

Amendments. At least annually, the Board of each Fund shall review the Executive Code and consider whether any amendments are necessary or desirable. Proposed amendments to the Executive Code shall be presented to the Boards for review and approval at such times other than the annual review as deemed necessary or desirable by the Chief Compliance Officer.

 

 

Approved by the Denver Board of the Oppenheimer Funds on August 2016

Approved by the New York of the Oppenheimer Funds on September 2016

Approved by OFI Legal and Compliance on July 2016


Exhibit A

Positions Covered by this Code of Ethics for Principal Executive and Financial Officers*

Each Oppenheimer fund

President (Principal Executive Officer)

Treasurer (Principal Financial Officer)

OppenheimerFunds, Inc., OFI Global Asset Management, Inc., OFI SteelPath, Inc., and VTL Associates, LLC

President (Principal Executive Officer)

Chief Executive Officer (Principal Executive Officer)

Chief Financial Officer Principal Financial Officer)

Treasurer (Principal Financial Officer)

 

*

There are no other positions with the Funds, OFI, OFI Global, OFI SteelPath, Inc., or VTL Associates, LLC held by persons who perform similar functions to those listed above.

EX-99.CERT 3 d284353dex99cert.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:    11/21/2016

 

/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:    11/21/2016

 

/s/ Brian S. Petersen

Brian S. Petersen
Principal Financial Officer
EX-99.906CERT 4 d284353dex99906cert.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 9/30/2016 (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

Arthur P. Steinmetz

   

/s/ Brian S. Petersen

Brian S. Petersen

 
Date:    11/21/2016     Date:    11/21/2016  
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