0001193125-17-361909.txt : 20171206 0001193125-17-361909.hdr.sgml : 20171206 20171205191735 ACCESSION NUMBER: 0001193125-17-361909 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20170930 FILED AS OF DATE: 20171206 DATE AS OF CHANGE: 20171205 EFFECTIVENESS DATE: 20171206 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: 171240866 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 d483866dncsr.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: 9/30/2017


Item 1. Reports to Stockholders.

 


Annual Report

 

    

 

9/30/2017

 

 

 

  

 

    

 

LOGO

     

 

  

 

 

Oppenheimer

Limited-Term

Government Fund

 

 

 


Table of Contents

 

 

 

 

Class A Shares

AVERAGE ANNUAL TOTAL RETURNS AT 9/30/17

 

        

                   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     0.21%   -2.05%   -1.56%   0.27%
5-Year       0.57      0.11      1.25      0.65   
10-Year       1.51      1.28      3.61      1.79   

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. Returns for periods of less than one year are cumulative and not annualized. For performance data current to the most recent month-end, visit oppenheimerfunds.com or call 1.800.CALL OPP (225.5677). 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 0.21% during the reporting period. On a relative basis, the Bloomberg Barclays U.S. 1-3 Year Government Bond Index (the “Index”) returned 0.27% and the Bloomberg Barclays U.S. Government Bond Index returned -1.56%.

MARKET OVERVIEW

2016 was marked by numerous events that took the markets by surprise. One major event was the election of Donald Trump in the early November U.S. presidential election. Markets began to price in optimism on fiscal spending and potential for broad reforms with the Republicans in control of both the presidency and Congress. Investors were most positive on the potential for economic expansion driven by infrastructure spending and tax cuts for individuals and corporations.

Markets continued their general risk-on mode through the end of the reporting period, as equities climbed and credit spreads narrowed to tight levels not seen since 2015. While geopolitical concerns were somewhat elevated with tensions in North Korea, and the devastating hurricanes that swept through the U.S., domestic gross domestic product (GDP) remained on its 2% trend growth during the third quarter. The effects of such storms typically reduce economic activity in

 

 

 

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

 

LOGO

 

3        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


the short term but then lead to rebuilding in the following months. The medium-term course of the economy should not be affected, in our view. Private consumption, the driving force of the economy in recent years, is growing at a moderate rate. Additionally, business fixed investment has gained momentum in recent months, and headwinds from international trade turned into tailwinds as lagged effects of past dollar strength diminishes. In fact, dollar weakness typically leads to global growth momentum gains.

With the U.S. expansion continuing, the Federal Reserve is nearing its dual mandates of full employment and price stability. While inflation has surprised to the downside for a few months now, the Fed sees it as temporary and has begun its balance sheet normalization program. The Fed continues to signal one more hike this year, possibly in December, and three hikes next year. The market is increasingly pricing in a December hike, but not more than one hike for 2018. The reaction to balance sheet normalization and hikes has been orderly.

FUND REVIEW

Against this backdrop, the Fund produced a muted total return for the one-year period. The Fund’s allocation to agency debentures was its strongest contributor to performance, where security selection benefited. Also benefiting performance was the Fund’s

exposure to agency mortgage-backed securities (“MBS”) and commercial mortgage-backed securities (“CMBS”). Primarily detracting from relative performance was the hedging cost to neutralize the Fund’s duration to the Index.

STRATEGY & OUTLOOK

We believe that macroeconomic fundamentals should continue to remain solid, with continued gains in wages and employment. Inflation may creep higher and potential fiscal stimulus could boost consumption at some point in the future. Likewise, we think the Fed is likely to hike one more time in 2017 and have been encouraged that the market has taken balance sheet normalization in stride.

We remain neutral duration as near term inflation risks appear to be fully priced into yields and the rise in risk premium consistent with a relative sanguine economic outlook. At period end, we continue to maintain an overweight to agency MBS relative to the Index. We believe the sector’s high quality and spread above Treasuries make it an attractive area to add incremental yield potential to the portfolio.

We continue to avoid student loan and more esoteric asset-backed securities (“ABS”). At period end, we continue to favor auto and, to some extent, credit card ABS given their attractive fundamentals, carry and solid

 

 

4        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


structures. We continue to have a smaller overweight to CMBS and remain up-instructure as the issues within the retail sector give us pause.

 

LOGO   

LOGO

 

Peter A. Strzalkowski, CFA

Portfolio Manager

 

 

5        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Top Holdings and Allocations

PORTFOLIO ALLOCATION

Mortgage-Backed Obligations        
      Government Agency     44.4%  
      Non-Agency     15.2     
U.S. Government Obligations     35.3     
Asset-Backed Securities     5.0     

Investment Company Oppenheimer Institutional Government Money Market Fund

    0.1     

Portfolio holdings and allocations are subject to change. Percentages are as of September 30, 2017, 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 9/30/17

 

    

 

Inception
Date

 

      

1-Year

 

      

5-Year

 

      

10-Year

 

 

 

Class A (OPGVX)

  

 

 

 

3/10/86

 

 

    

 

 

 

0.21

 

    

 

 

 

0.57

 

    

 

 

 

1.51

 

%      

Class B (OGSBX)

     5/3/93          -0.60          -0.21          1.06  

Class C (OLTCX)

     2/1/95          -0.60          -0.24          0.72  

Class I (OLTIX)

     12/28/12          0.30          0.92        N/A  

Class R (OLTNX)

     3/1/01          -0.10          0.24          1.21  

Class Y (OLTYX)

     1/26/98          0.29          0.89          1.81  

 

AVERAGE ANNUAL TOTAL RETURNS WITH SALES CHARGE AS OF 9/30/17

 

 

    

Inception
Date

      

1-Year

      

5-Year

      

10-Year

 

 

Class A (OPGVX)

  

 

 

 

3/10/86

 

 

    

 

 

 

-2.05

 

    

 

 

 

0.11

 

    

 

 

 

1.28

 

%      

Class B (OGSBX)

     5/3/93          -4.53          -0.40          1.06  

Class C (OLTCX)

     2/1/95          -1.58          -0.24          0.72  

Class I (OLTIX)

     12/28/12          0.30          0.92        N/A  

Class R (OLTNX)

     3/1/01          -0.10          0.24          1.21  

Class Y (OLTYX)

     1/26/98          0.29          0.89          1.81  

*Shows performance since inception.

 

STANDARDIZED YIELDS

 

For the 30 Days Ended 9/30/17

Class A

  2.02%                    

Class B

  1.26                        

Class C

  1.27                       

Class I

  2.38                        

Class R

  1.77                       

Class Y

  2.38                        

UNSUBSIDIZED STANDARDIZED YIELDS

 

For the 30 Days Ended 9/30/17

Class A

  1.88%                    

Class B

  1.11                        

Class C

  1.18                       

Class I

  2.38                        

Class R

  1.68                       

Class Y

  2.19                        
 

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 1% contingent deferred sales charge for the 1-year period. There is no sales charge for Class I, Class R and Class Y shares. Because Class B shares convert to Class A shares 72 months

 

7        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Because Class B shares convert to Class A Shares 72 months after purchase, the 10-year return for Class B shares uses Class A performance for the period after conversion. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.

Standardized yield is based on an SEC-standardized formula designed to approximate the Fund’s annualized hypothetical current income from securities less expenses for the 30-day period ended September 30, 2017 and that date’s maximum offering price (for Class A shares) or net asset value (for all other share classes). Each result is compounded semiannually and then annualized. Falling share prices will tend to artificially raise yields. The unsubsidized standardized yield is computed under an SEC standardized formula based on net income earned for the 30-day period ended September 30, 2017. The calculation excludes any expense reimbursements and thus may result in a lower yield.

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, 2017.

Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended September 30, 2017” to estimate the expenses you paid on your account during this period.

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

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

 

9        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Actual   

Beginning

Account

Value

April 1, 2017

      

Ending

Account

Value
September 30, 2017

      

Expenses

Paid During

6 Months Ended
September 30, 2017    

 

 

 

Class A

     $   1,000.00                     $   1,007.80                    $     4.03                

 

 

Class B

     1,000.00                     1,003.70                    8.07                

 

 

Class C

     1,000.00                     1,003.80                    8.07                

 

 

Class I

     1,000.00                     1,007.10                    2.47                

 

 

Class R

     1,000.00                     1,006.30                    5.55                

 

 

Class Y

     1,000.00                     1,007.00                    2.52                

Hypothetical

            
(5% return before expenses)                         

 

 

Class A

     1,000.00                     1,021.06                    4.06                

 

 

Class B

     1,000.00                     1,017.05                    8.12                

 

 

Class C

     1,000.00                     1,017.05                    8.12                

 

 

Class I

     1,000.00                     1,022.61                    2.49                

 

 

Class R

     1,000.00                     1,019.55                    5.58                

 

 

Class Y

     1,000.00                     1,022.56                    2.54                

Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended September 30, 2017 are as follows:

 

Class    Expense Ratios         

Class A

     0.80%    

Class B

     1.60         

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 and Transfer Agent. 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, 2017

 

     Principal Amount      Value    

 

 
Asset-Backed Securities—5.8%      

 

 
AmeriCredit Automobile Receivables Trust, Series 2017-2, Cl. D, 3.42%, 4/18/23    $ 2,405,000      $ 2,431,475    

 

 
CarFinance Capital Auto Trust, Series 2014-1A, Cl. D, 4.90%, 4/15/201      860,000        877,863    

 

 
CarMax Auto Owner Trust:      
Series 2016-3, Cl. D, 2.94%, 1/17/23      955,000        946,482    
Series 2016-4, Cl. D, 2.91%, 4/17/23                   2,150,000        2,124,889    
Series 2017-1, Cl. D, 3.43%, 7/17/23      1,870,000        1,873,894    

 

 
CCG Receivables Trust, Series 2017-1, Cl. B, 2.75%, 11/14/231      1,810,000        1,803,702    

 

 
CPS Auto Receivables Trust, Series 2017-C, Cl. B, 2.30%, 7/15/211      785,000        783,987    

 

 
Credit Acceptance Auto Loan Trust, Series 2014-2A, Cl. B, 2.67%, 9/15/221      888,365        888,604    

 

 
Drive Auto Receivables Trust:      
Series 2016-BA, Cl. C, 3.19%, 7/15/221      2,260,000        2,283,378    
Series 2016-BA, Cl. D, 4.53%, 8/15/231      3,000,000        3,062,965    
Series 2016-CA, Cl. D, 4.18%, 3/15/241      1,340,000        1,384,521    
Series 2017-1, Cl. B, 2.36%, 3/15/21      1,215,000        1,217,389    
Series 2017-2, Cl. B, 2.25%, 6/15/21      780,000        780,720    
Series 2017-2, Cl. C, 2.75%, 9/15/23      860,000        859,122    
Series 2017-AA, Cl. D, 4.16%, 5/15/241      1,690,000        1,719,758    
Series 2017-BA, Cl. D, 3.72%, 10/17/221      1,790,000        1,801,714    

 

 
DT Auto Owner Trust:      
Series 2016-2A, Cl. C, 3.67%, 1/18/221      3,015,000        3,044,441    
Series 2017-1A, Cl. D, 3.55%, 11/15/221      535,000        535,512    
Series 2017-2A, Cl. D, 3.89%, 1/15/231      3,165,000        3,192,115    
Series 2017-3A, Cl. D, 3.58%, 5/15/231      1,880,000        1,882,532    

 

 
Exeter Automobile Receivables Trust:      
Series 2013-2A, Cl. D, 6.81%, 8/17/201      890,872        907,247    
Series 2014-2A, Cl. C, 3.26%, 12/16/191      904,649        910,113    

 

 
Flagship Credit Auto Trust, Series 2016-1, Cl. C, 6.22%, 6/15/221      2,825,000        2,999,483    

 

 
Navistar Financial Dealer Note Master Owner Trust II:      
Series 2016-1, Cl. D, 4.537% [LIBOR01M+330], 9/27/211,2      625,000        626,092    
Series 2017-1, Cl. C, 2.787% [LIBOR01M+155], 6/27/221,2      460,000        460,191    
Series 2017-1, Cl. D, 3.537% [LIBOR01M+230], 6/27/221,2      535,000        535,219    

 

 
Santander Drive Auto Receivables Trust:      
Series 2013-4, Cl. E, 4.67%, 1/15/201      3,200,000                    3,209,950    
Series 2013-A, Cl. E, 4.71%, 1/15/211      2,415,000        2,448,604    
Series 2014-4, Cl. D, 3.10%, 11/16/20      1,675,000        1,699,761    
Series 2015-3, Cl. D, 3.49%, 5/17/21      3,065,000        3,111,160    
Series 2016-2, Cl. D, 3.39%, 4/15/22      3,000,000        3,043,232    
Series 2017-1, Cl. D, 3.17%, 4/17/23      2,430,000        2,439,839    
Series 2017-2, Cl. D, 3.49%, 7/17/23      2,255,000        2,284,731    
Series 2017-3, Cl. D, 3.20%, 11/15/23      3,050,000        3,037,640    
     

 

 

 
Total Asset-Backed Securities (Cost $60,962,566)         61,208,325    

 

11        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount     Value    

 

 
Mortgage-Backed Obligations—69.9%     

 

 
Government Agency—52.1%     

 

 
FHLMC/FNMA/FHLB/Sponsored—46.2%     

 

 
Federal Home Loan Mortgage Corp. Gold Pool:     
4.50%, 5/1/19    $ 13,221     $ 13,523    
5.50%, 4/1/18-1/1/24                   2,105,494                   2,218,340    
6.00%, 5/1/18-10/1/29      1,286,853       1,459,558    
6.50%, 4/1/18-4/1/34      1,223,249       1,348,418    
7.00%, 10/1/31-10/1/37      628,014       718,382    
7.50%, 1/1/32-9/1/33      2,333,511       2,766,847    
8.50%, 3/1/31      29,168       33,246    
9.00%, 8/1/22-5/1/25      28,638       30,734    

 

 
Federal Home Loan Mortgage Corp. Non Gold Pool, 11%, 11/1/20      6,932       7,005    

 

 
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:     
Series 192, Cl. IO, 99.999%, 2/1/283      112,866       21,577    
Series 205, Cl. IO, 41.581%, 9/1/293      742,156       161,466    
Series 206, Cl. IO, 99.999%, 12/15/293      47,448       12,697    
Series 243, Cl. 6, 0.00%, 12/15/323,4      259,581       45,673    

 

 
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22      36,703,233       36,837,530    

 

 
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security:     
Series 216, Cl. PO, 13.652%, 12/1/315      158,053       139,548    
Series 219, Cl. PO, 13.742%, 3/1/325      452,698       402,878    

 

 
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:  
Series 1095, Cl. D, 1.884% [LIBOR01M+65], 6/15/212      1,002       1,002    
Series 151, Cl. F, 9.00%, 5/15/21      4,615       4,918    
Series 1695, Cl. F, 2.077% [D11COF+137], 3/15/242      552,436       568,062    
Series 2035, Cl. PC, 6.95%, 3/15/28      425,474       475,969    
Series 2084, Cl. ZC, 6.50%, 8/15/28      216,899       239,774    
Series 2116, Cl. ZA, 6.00%, 1/15/29      268,023       293,904    
Series 2122, Cl. FD, 1.584% [LIBOR01M+35], 2/15/292      335,280       335,059    
Series 2132, Cl. FN, 2.137% [LIBOR01M+90], 3/15/292      442,054       452,059    
Series 2148, Cl. ZA, 6.00%, 4/15/29      434,010       482,638    
Series 2195, Cl. LH, 6.50%, 10/15/29      765,937       860,259    
Series 2220, Cl. PD, 8.00%, 3/15/30      134,745       158,634    
Series 2281, Cl. Z, 6.50%, 2/15/31      1,011,770       1,117,961    
Series 2319, Cl. BZ, 6.50%, 5/15/31      1,568,134       1,746,607    
Series 2326, Cl. ZP, 6.50%, 6/15/31      382,868       424,647    
Series 2344, Cl. FP, 2.184% [LIBOR01M+95], 8/15/312      244,501       251,290    
Series 2392, Cl. FB, 1.834% [LIBOR01M+60], 1/15/292      71,800       72,951    
Series 2396, Cl. FE, 1.834% [LIBOR01M+60], 12/15/312      149,655       152,183    
Series 2401, Cl. FA, 1.884% [LIBOR01M+65], 7/15/292      94,530       96,105    
Series 2427, Cl. ZM, 6.50%, 3/15/32      79,879       88,357    
Series 2464, Cl. FI, 2.234% [LIBOR01M+100], 2/15/322      140,352       143,734    
Series 2470, Cl. LF, 2.234% [LIBOR01M+100], 2/15/322      143,592       147,053    
Series 2471, Cl. FD, 2.234% [LIBOR01M+100], 3/15/322      198,747       203,587    
Series 2481, Cl. AF, 1.784% [LIBOR01M+55], 3/15/322      116,087       117,740    
Series 2500, Cl. FD, 1.734% [LIBOR01M+50], 3/15/322      222,474       223,772    
Series 2504, Cl. FP, 1.734% [LIBOR01M+50], 3/15/322      225,974       227,167    
Series 2526, Cl. FE, 1.634% [LIBOR01M+40], 6/15/292      258,111       258,460    

 

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, 1.734% [LIBOR01M+50], 2/15/322    $ 279,837      $ 281,288    
Series 2538, Cl. F, 1.834% [LIBOR01M+60], 12/15/322      29,514        29,957    
Series 2550, Cl. FI, 1.584% [LIBOR01M+35], 11/15/322      73,479        73,785    
Series 2551, Cl. FD, 1.634% [LIBOR01M+40], 1/15/332      241,701        241,957    
Series 2564, Cl. MP, 5.00%, 2/15/18      291,983        293,206    
Series 2585, Cl. HJ, 4.50%, 3/15/18      147,036        147,491    
Series 2627, Cl. KM, 4.50%, 6/15/18      75,754        76,078    
Series 2630, Cl. MB, 4.50%, 6/15/18      95,311        95,756    
Series 2635, Cl. AG, 3.50%, 5/15/32                   1,535,763                    1,579,720    
Series 2668, Cl. AZ, 4.00%, 9/15/18      43,470        43,681    
Series 2676, Cl. KY, 5.00%, 9/15/23      691,335        727,573    
Series 2707, Cl. QE, 4.50%, 11/15/18      370,623        374,089    
Series 2708, Cl. N, 4.00%, 11/15/18      257,971        259,246    
Series 2764, Cl. OE, 4.50%, 3/15/19      494,692        499,466    
Series 2770, Cl. TW, 4.50%, 3/15/19      1,361,549        1,376,388    
Series 2786, Cl. JD, 4.50%, 4/15/19      1,543,080        1,555,564    
Series 2843, Cl. BC, 5.00%, 8/15/19      146,815        148,840    
Series 3010, Cl. WB, 4.50%, 7/15/20      838,496        856,890    
Series 3025, Cl. SJ, 20.224% [(3.667) x LIBOR01M+2,475], 8/15/352      70,439        103,321    
Series 3134, Cl. FA, 1.534% [LIBOR01M+30], 3/15/362      3,802,296        3,790,390    
Series 3342, Cl. FT, 1.684% [LIBOR01M+45], 7/15/372      424,991        426,836    
Series 3632, Cl. CA, 4.50%, 6/15/38      1,201,114        1,200,491    
Series 3645, Cl. EH, 3.00%, 12/15/20      1,311,798        1,322,870    
Series 3659, Cl. DE, 2.00%, 3/15/19      310,628        310,504    
Series 3740, Cl. NP, 2.00%, 1/15/37      910,444        910,861    
Series 3741, Cl. PA, 2.15%, 2/15/35      1,236,084        1,237,702    
Series 3804, Cl. WJ, 3.50%, 3/15/39      1,057,299        1,064,617    
Series 3815, Cl. BD, 3.00%, 10/15/20      102,391        102,909    
Series 3822, Cl. JA, 5.00%, 6/15/40      99,773        103,174    
Series 3840, Cl. CA, 2.00%, 9/15/18      71,629        71,580    
Series 3848, Cl. WL, 4.00%, 4/15/40      1,460,630        1,502,507    
Series 3857, Cl. GL, 3.00%, 5/15/40      1,484,081        1,513,744    
Series 3887, Cl. NC, 3.00%, 7/15/26      622,626        626,348    
Series 3917, Cl. BA, 4.00%, 6/15/38      554,459        569,960    
Series 3935, Cl. NA, 3.50%, 10/15/26      3,356,848        3,435,342    
Series 3974, Cl. C, 3.00%, 1/15/26      17,246,423        17,571,852    
Series 4016, Cl. AB, 2.00%, 9/15/25      8,407,465        8,431,642    
Series 4109, Cl. KD, 3.00%, 5/15/32      539,190        542,776    
Series 4221, Cl. HJ, 1.50%, 7/15/23      7,723,093        7,670,048    
Series 4253, Cl. TD, 2.00%, 7/15/40      2,589,850        2,591,992    
Series 4350, Cl. CA, 2.00%, 10/15/19      351,374        351,932    
Series 4399, Cl. A, 2.50%, 7/15/24      1,031,955        1,033,738    
Series 4446, Cl. PL, 2.50%, 7/15/38      3,449,643        3,455,440    
Series 4459, Cl. ND, 5.50%, 4/15/25      567,250        573,356    

 

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:  
Series 2074, Cl. S, 99.999%, 7/17/283    $ 167,164      $ 23,994    
Series 2079, Cl. S, 99.999%, 7/17/283      289,353        42,185    
Series 2493, Cl. S, 17.452%, 9/15/293      196,926        41,339    
Series 2526, Cl. SE, 50.097%, 6/15/293      356,612        67,151    
Series 2795, Cl. SH, 99.999%, 3/15/243      2,302,021        221,683    
Series 2796, Cl. SD, 91.63%, 7/15/263      87,701        14,176    
Series 2920, Cl. S, 13.552%, 1/15/353      2,042,494        337,974    
Series 2922, Cl. SE, 11.503%, 2/15/353      360,207        62,523    
Series 2981, Cl. AS, 8.733%, 5/15/353      726,180        106,411    
Series 3397, Cl. GS, 0.00%, 12/15/373,4      44,070        7,611    
Series 3424, Cl. EI, 0.00%, 4/15/383,4      86,853        8,569    
Series 3450, Cl. BI, 16.332%, 5/15/383      2,203,440        349,960    
Series 3606, Cl. SN, 19.449%, 12/15/393      617,882        100,942    

 

 
Federal Home Loan Mortgage Corp., Stripped Mtg.-Backed Security, Series 237, Cl. F16, 1.734% [LIBOR01M+50], 5/15/362      1,940,539                    1,952,773    

 

 
Federal National Mortgage Assn.:      
2.50%, 10/1/476                   9,320,000        9,382,255    
3.00%, 10/1/326      22,055,000        22,657,206    
3.50%, 10/1/476      86,925,000        89,583,681    
4.00%, 10/1/476      23,070,000        24,282,978    
4.50%, 10/1/476      10,040,000        10,774,567    

 

 
Federal National Mortgage Assn. Pool:      
3.07%, 10/1/18      1,617,917        1,631,389    
3.50%, 8/1/40      1,183,364        1,226,813    
4.50%, 9/1/18-1/1/27      6,363,616        6,521,974    
4.88%, 9/1/19      3,547,940        3,728,618    
5.00%, 2/1/18-3/1/25      11,530,726        11,888,697    
5.50%, 9/1/19-9/1/25      35,475,662        37,146,701    
6.00%, 3/1/18-2/1/40      28,166,463        30,047,306    
6.50%, 4/1/18-1/1/34      5,064,835        5,746,987    
7.00%, 1/1/30-2/1/36      4,267,964        4,936,510    
7.50%, 2/1/27-8/1/33      5,818,417        6,823,094    
8.50%, 7/1/32      43,682        47,117    
9.00%, 8/1/19      1,364        1,399    
9.50%, 11/1/21      396        402    
11.00%, 5/20/19-7/20/19      390        393    

 

 
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:      
Series 221, Cl. 2, 99.999%, 5/25/233      432,406        64,962    
Series 254, Cl. 2, 99.999%, 1/25/243      589,683        92,838    
Series 294, Cl. 2, 99.999%, 2/25/283      773,965        184,337    
Series 301, Cl. 2, 12.665%, 4/25/293      297,387        68,019    
Series 321, Cl. 2, 20.813%, 4/25/323      1,745,416        416,921    
Series 324, Cl. 2, 0.00%, 7/25/323,4      595,999        136,652    
Series 331, Cl. 10, 26.16%, 2/25/333      912,863        180,362    
Series 331, Cl. 4, 7.787%, 2/25/333      648,720        122,277    
Series 331, Cl. 5, 27.25%, 2/25/333      1,001,263        188,884    
Series 331, Cl. 6, 13.292%, 2/25/333      987,775        209,040    

 

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 334, Cl. 10, 0.00%, 2/25/333,4    $ 384,178      $ 69,159    
Series 339, Cl. 15, 4.611%, 10/25/333      333,882        79,976    
Series 339, Cl. 7, 0.00%, 11/25/333,4      644,127        141,415    
Series 351, Cl. 8, 0.00%, 4/25/343,4      665,386        133,821    
Series 356, Cl. 10, 0.00%, 6/25/353,4      475,194        99,324    
Series 356, Cl. 12, 0.00%, 2/25/353,4      233,379        51,587    
Series 362, Cl. 13, 0.00%, 8/25/353,4      696,857        160,867    
Series 364, Cl. 15, 0.00%, 9/25/353,4      363,916        75,131    

 

 
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Series 327, Cl. 1, 11.35%, 9/25/325      129,099        113,451    

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:  
Series 1988-7, Cl. Z, 9.25%, 4/25/18      538        545    
Series 1991-109, Cl. Z, 8.50%, 9/25/21      6,064        6,490    
Series 1997-16, Cl. PD, 7.00%, 3/18/27      594,660        659,490    
Series 1998-59, Cl. Z, 6.50%, 10/25/28      71,348        79,166    
Series 1999-54, Cl. LH, 6.50%, 11/25/29      357,779        399,948    
Series 2001-69, Cl. PF, 2.237% [LIBOR01M+100], 12/25/312      352,725        361,103    
Series 2002-29, Cl. F, 2.237% [LIBOR01M+100], 4/25/322      159,015        162,968    
Series 2002-39, Cl. FD, 2.234% [LIBOR01M+100], 3/18/322      345,803        355,779    
Series 2002-52, Cl. FD, 1.737% [LIBOR01M+50], 9/25/322      288,283        290,481    
Series 2002-53, Cl. FY, 1.737% [LIBOR01M+50], 8/25/322      185,580        186,148    
Series 2002-64, Cl. FJ, 2.237% [LIBOR01M+100], 4/25/322      49,006        50,224    
Series 2002-65, Cl. FB, 2.237% [LIBOR01M+100], 7/25/322      283,037        289,946    
Series 2002-68, Cl. FH, 1.734% [LIBOR01M+50], 10/18/322      98,353        98,821    
Series 2002-77, Cl. TF, 2.234% [LIBOR01M+100], 12/18/322      579,779        593,690    
Series 2002-82, Cl. FE, 2.237% [LIBOR01M+100], 12/25/322      265,541        272,165    
Series 2002-90, Cl. FJ, 1.737% [LIBOR01M+50], 9/25/322      106,820        107,267    
Series 2002-90, Cl. FM, 1.737% [LIBOR01M+50], 9/25/322      102,712        103,141    
Series 2003-100, Cl. PA, 5.00%, 10/25/18      694,084        699,761    
Series 2003-112, Cl. AN, 4.00%, 11/25/18      161,861        162,809    
Series 2003-116, Cl. FA, 1.637% [LIBOR01M+40], 11/25/332      178,056        178,268    
Series 2003-119, Cl. FK, 1.737% [LIBOR01M+50], 5/25/182      41,299        41,333    
Series 2003-130, Cl. CS, 11.626% [(2) x LIBOR01M+1,410], 12/25/332      232,411        251,200    
Series 2003-21, Cl. FK, 1.637% [LIBOR01M+40], 3/25/332      15,075        15,096    
Series 2003-26, Cl. XF, 1.687% [LIBOR01M+45], 3/25/232      237,745        238,074    
Series 2003-44, Cl. CB, 4.25%, 3/25/33      16,006        16,009    
Series 2003-84, Cl. GE, 4.50%, 9/25/18      154,505        155,800    
Series 2004-25, Cl. PC, 5.50%, 1/25/34      216,313        220,334    
Series 2004-72, Cl. FB, 1.737% [LIBOR01M+50], 9/25/342                   1,643,176        1,650,636    
Series 2005-109, Cl. AH, 5.50%, 12/25/25      2,958,134                    3,131,883    
Series 2005-45, Cl. XA, 1.577% [LIBOR01M+34], 6/25/352      2,381,895        2,389,702    
Series 2005-67, Cl. BF, 1.587% [LIBOR01M+35], 8/25/352      944,825        944,116    
Series 2005-85, Cl. FA, 1.587% [LIBOR01M+35], 10/25/352      1,863,150        1,863,736    
Series 2006-11, Cl. PS, 20.03% [(3.667) x LIBOR01M+2,456.67], 3/25/362      322,456        494,592    
Series 2006-46, Cl. SW, 19.663% [(3.667) x LIBOR01M+2,419.92], 6/25/362      279,839        408,201    

 

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 2006-50, Cl. KS, 19.664% [(3.667) x LIBOR01M+2,420], 6/25/362    $ 214,910      $ 303,871    
Series 2006-50, Cl. SK, 19.664% [(3.667) x LIBOR01M+2,420], 6/25/362      82,851        112,197    
Series 2007-113, Cl. DB, 4.50%, 12/25/22                   3,626,138                    3,704,916    
Series 2007-79, Cl. FA, 1.687% [LIBOR01M+45], 8/25/372      415,245        415,722    
Series 2008-14, Cl. BA, 4.25%, 3/25/23      242,726        245,347    
Series 2008-15, Cl. JN, 4.50%, 2/25/23      1,267,812        1,288,744    
Series 2008-24, Cl. DY, 5.00%, 4/25/23      96,755        97,521    
Series 2008-75, Cl. DB, 4.50%, 9/25/23      485,085        489,609    
Series 2008-77, Cl. EB, 4.50%, 9/25/23      871,547        892,975    
Series 2009-113, Cl. DB, 3.00%, 12/25/20      1,820,622        1,831,522    
Series 2009-36, Cl. FA, 2.177% [LIBOR01M+94], 6/25/372      2,183,357        2,231,312    
Series 2009-37, Cl. HA, 4.00%, 4/25/19      785,142        787,671    
Series 2009-70, Cl. NL, 3.00%, 8/25/19      847,208        849,712    
Series 2009-70, Cl. NT, 4.00%, 8/25/19      142,664        143,600    
Series 2009-70, Cl. TL, 4.00%, 8/25/19      577,847        580,485    
Series 2010-137, Cl. CJ, 2.50%, 12/25/25      6,610,508        6,669,517    
Series 2010-43, Cl. KG, 3.00%, 1/25/21      281,226        283,476    
Series 2010-99, Cl. DP, 3.00%, 8/25/39      3,210,406        3,242,429    
Series 2011-104, Cl. MA, 2.50%, 10/25/26      436,951        441,444    
Series 2011-106, Cl. LV, 3.50%, 1/25/23      1,105,356        1,106,539    
Series 2011-122, Cl. EC, 1.50%, 1/25/20      1,174,366        1,170,505    
Series 2011-15, Cl. DA, 4.00%, 3/25/41      1,039,007        1,070,167    
Series 2011-3, Cl. EL, 3.00%, 5/25/20      2,906,175        2,920,017    
Series 2011-3, Cl. KA, 5.00%, 4/25/40      1,632,147        1,741,311    
Series 2011-38, Cl. AH, 2.75%, 5/25/20      72,714        72,873    
Series 2011-44, Cl. EA, 3.00%, 6/25/24      244,898        246,748    
Series 2011-45, Cl. NG, 3.00%, 3/25/25      260,981        264,125    
Series 2011-45, Cl. TE, 3.00%, 3/25/25      522,224        529,057    
Series 2011-50, Cl. PA, 4.00%, 12/25/40      1,128,733        1,170,029    
Series 2011-58, Cl. AC, 2.50%, 6/25/24      974,266        977,722    
Series 2011-6, Cl. BA, 2.75%, 6/25/20      510,491        514,095    
Series 2011-82, Cl. AD, 4.00%, 8/25/26      863,874        874,871    
Series 2011-88, Cl. AB, 2.50%, 9/25/26      165,557        166,046    
Series 2011-90, Cl. AL, 3.50%, 9/25/23      1,036,251        1,058,982    
Series 2012-20, Cl. FD, 1.637% [LIBOR01M+40], 3/25/422      479,981        480,512    
Series 2013-100, Cl. CA, 4.00%, 3/25/39      9,564,651        9,915,502    
Series 2013-22, Cl. JA, 3.50%, 3/25/43      1,288,303        1,307,408    
Series 2014-66, Cl. QE, 2.00%, 1/25/40      17,609,818        17,613,400    

 

 
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest- Only Stripped Mtg.-Backed Security:  
Series 2001-63, Cl. SD, 36.247%, 12/18/313      251,525        47,991    
Series 2001-68, Cl. SC, 36.873%, 11/25/313      231,776        43,998    
Series 2001-81, Cl. S, 42.27%, 1/25/323      166,066        32,519    
Series 2002-28, Cl. SA, 45.494%, 4/25/323      167,519        31,941    
Series 2002-38, Cl. SO, 53.117%, 4/25/323      312,768        59,080    

 

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 2002-39, Cl. SD, 37.448%, 3/18/323    $ 335,612      $ 68,670    
Series 2002-48, Cl. S, 45.075%, 7/25/323      268,262        53,906    
Series 2002-52, Cl. SD, 49.233%, 9/25/323      288,283        59,774    
Series 2002-52, Cl. SL, 44.518%, 9/25/323      174,927        34,498    
Series 2002-53, Cl. SK, 50.842%, 4/25/323      195,822        40,958    
Series 2002-56, Cl. SN, 46.194%, 7/25/323      364,345        73,214    
Series 2002-60, Cl. SM, 38.207%, 8/25/323      446,311        77,875    
Series 2002-77, Cl. IS, 35.437%, 12/18/323      447,684        100,882    
Series 2002-77, Cl. SH, 16.414%, 12/18/323      240,696        49,801    
Series 2002-9, Cl. MS, 41.315%, 3/25/323      272,047        53,140    
Series 2003-33, Cl. IA, 7.911%, 5/25/333      55,315        12,990    
Series 2003-33, Cl. SP, 39.43%, 5/25/333      590,743        137,834    
Series 2003-4, Cl. S, 40.755%, 2/25/333      329,966        74,878    
Series 2005-12, Cl. SC, 27.231%, 3/25/353      168,989        26,143    
Series 2005-14, Cl. SE, 44.278%, 3/25/353      2,526,537        380,656    
Series 2005-40, Cl. SA, 57.963%, 5/25/353      1,061,162        158,467    
Series 2005-52, Cl. JH, 21.504%, 5/25/353      541,843        84,688    
Series 2005-63, Cl. SA, 45.647%, 10/25/313      895,351        152,355    
Series 2005-63, Cl. X, 37.363%, 10/25/313      10,599        298    
Series 2008-55, Cl. SA, 0.00%, 7/25/383,4      10,740        1,146    
Series 2009-8, Cl. BS, 0.00%, 2/25/243,4      26,434        1,221    
Series 2009-85, Cl. IO, 0.00%, 10/25/243,4      39,343        374    
Series 2011-96, Cl. SA, 11.079%, 10/25/413      462,514        80,558    
Series 2012-134, Cl. SA, 7.991%, 12/25/423      1,433,492        296,386    
Series 2012-40, Cl. PI, 7.305%, 4/25/413      220,908        33,234    
Series 2013-2, Cl. IA, 8.145%, 2/25/433      1,033,506        197,534    

 

 
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:      
Series 1999-3, Cl. IO, 0.00%, 10/15/293,4      13,840,400        47,661    
Series 2001-3, Cl. IO, 0.00%, 10/15/313,4      6,210,799        26,875    
Series 2002-2, Cl. IO, 0.00%, 1/15/323,7      15,968,898        72,382    
Series 2002-3, Cl. IO, 2.748%, 8/15/323      21,993,207        319,346    
Series 2003-1, Cl. IO, 4.562%, 11/15/323                 32,709,349        246,396    
     

 

 

 
       

 

        484,763,192  

 

 

 

 

 
GNMA/Guaranteed—5.7%      

 

 
Government National Mortgage Assn. I Pool:      
6.50%, 1/15/24      36,088        39,845    
7.00%, 1/15/28-9/15/29      287,000        312,933    
7.50%, 6/15/28-8/15/28      310,810        319,295    
8.00%, 9/15/28      6,638        6,662    
10.50%, 12/15/17-1/15/21      4,117        4,136    

 

 
Government National Mortgage Assn. II Pool:      
3.50%, 10/1/476      16,660,000        17,315,988    
4.00%, 10/1/476      35,550,000        37,434,428    
7.00%, 1/20/30      26,102        30,582    
11.00%, 10/20/19      4,728        4,753    

 

17        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Principal Amount      Value    

 

 
GNMA/Guaranteed (Continued)      

 

 
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:     
Series 2002-76, Cl. SG, 32.929%, 10/16/293    $ 141,927      $ 27,690    
Series 2011-52, Cl. HS, 28.727%, 4/16/413                   3,406,392        512,996    

 

 
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:  
Series 2003-92, Cl. CA, 4.771%, 7/17/33      962,030                    1,009,853    
Series 2009-66, Cl. CD, 2.50%, 8/16/39      26,654        26,798    
Series 2014-167, Cl. WF, 1.687% [LIBOR01M+45], 7/20/442      2,199,059        2,199,147    
     

 

 

 
       

 

59,245,106  

 

 

 

 

 
Other Agency—0.2%      

 

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

 

2,407,473

 

 

 

    

 

2,446,829  

 

 

 

 

 
Non-Agency—17.8%      

 

 
Commercial—16.9%      

 

 
BCAP LLC Trust:      
Series 2011-R11, Cl. 18A5, 2.69% [H15T1Y+210], 9/26/351,2      554,170        557,941    
Series 2012-RR6, Cl. RR6, 2.054%, 11/26/361      1,629,647        1,473,989    

 

 
COMM Mortgage Trust, Series 2013-CR7, Cl. D, 4.427%, 3/10/461,8      2,025,000        1,611,085    

 

 
Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates:     
Series K010, Cl. A1, 3.32%, 7/25/20      1,785,361        1,809,244    
Series K027, Cl. A2, 2.637%, 1/25/23      3,500,000        3,553,405    
Series K028, Cl. A2, 3.111%, 2/25/23      3,400,000        3,530,317    
Series K029, Cl. A2, 3.32%, 2/25/238      4,500,000        4,719,923    
Series K030, Cl. A2, 3.25%, 4/25/238      3,820,000        3,994,683    
Series K033, Cl. A2, 3.06%, 7/25/238      2,000,000        2,070,071    
Series K034, Cl. A2, 3.531%, 7/25/238      4,550,000        4,823,153    
Series K035, Cl. A1, 2.615%, 3/25/23      6,810,022        6,902,808    
Series K040, Cl. A1, 2.768%, 4/25/24      13,279,770        13,556,358    
Series K041, Cl. A1, 2.72%, 8/25/24      10,637,328        10,808,818    
Series K042, Cl. A1, 2.267%, 6/25/24      5,471,289        5,459,819    
Series K043, Cl. A1, 2.532%, 10/25/23      7,072,085        7,165,460    
Series K044, Cl. A1, 2.321%, 3/25/24      13,801,112        13,799,002    
Series K045, Cl. A1, 2.493%, 11/25/24      11,026,912        11,128,675    
Series K046, Cl. A1, 2.697%, 1/25/25      9,452,296        9,613,381    
Series K047, Cl. A1, 2.827%, 12/25/24      10,466,138        10,674,605    
Series K048, Cl. A1, 2.689%, 12/25/24      9,350,451        9,487,749    
Series K053, Cl. A1, 2.548%, 2/25/25      2,665,203        2,697,728    
Series K701, Cl. A2, 3.882%, 11/25/178      1,915,915        1,916,014    
Series K707, Cl. A2, 2.22%, 12/25/18      20,000,000        20,087,720    

 

 
Federal National Mortgage Assn., Alternative Credit Enhancement Securities, Series 2016-M5, Cl. A1, 2.073%, 4/25/26      1,288,548        1,261,305    

 

 
FREMF Mortgage Trust:      
Series 2011-K702, Cl. B, 4.93%, 4/25/441,8      410,000        414,044    
Series 2013-K25, Cl. C, 3.744%, 11/25/451,8      805,000        801,617    
Series 2013-K26, Cl. C, 3.722%, 12/25/451,8      550,000        548,206    
Series 2013-K27, Cl. C, 3.615%, 1/25/461,8      850,000        842,588    
Series 2014-K36, Cl. C, 4.50%, 12/25/461,8      3,250,000        3,312,785    
Series 2014-K38, Cl. C, 4.79%, 6/25/471,8      5,250,000        5,456,165    
Series 2014-K714, Cl. C, 3.98%, 1/25/471,8      2,500,000        2,529,632    

 

18        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

     Principal Amount      Value    

 

 
Commercial (Continued)      

 

 
FREMF Mortgage Trust: (Continued)      
Series 2014-K715, Cl. C, 4.266%, 2/25/461,8    $ 2,205,000      $ 2,247,287    

 

 
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 3.29%, 4/21/348      501,356        512,766    

 

 
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C11, Cl. D, 4.515%, 8/15/461,8      1,700,000        1,470,677    

 

 
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1A, 2.754%, 11/26/361,8      2,091,538        2,079,963    

 

 
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.078%, 6/26/461,8      1,013,529        1,017,002    

 

 
NCUA Guaranteed Notes Trust, Series 2010-A1, Cl. A, 1.582% [LIBOR01M+35], 12/7/202      2,910,885        2,916,258    

 

 
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 3.372%, 8/25/348      685,677        690,076    
     

 

 

 
       

 

177,542,319  

 

 

 

 

 
Residential—0.9%      

 

 
Bear Stearns ARM Trust, Series 2005-2, Cl. A1, 3.26% [H15T1Y+245], 3/25/352      1,289,277        1,304,921    

 

 
Citigroup Mortgage Loan Trust, Inc.:      
Series 2012-8, Cl. 1A1, 3.386%, 10/25/351,8      1,050,703        1,057,398    
Series 2014-8, Cl. 1A1, 1.526% [US0001M+29], 7/20/361,2      2,507,072        2,470,112    

 

 
Connecticut Avenue Securities, Series 2017-C03, Cl. 1M1, 2.187% [US0001M+95], 10/25/292      749,013        752,793    

 

 
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 3.536%, 7/25/358      795,511        801,457    

 

 
Merrill Lynch Mortgage Investors Trust, Series 2005-A1, Cl. 2A1, 3.192%, 12/25/348      594,427        607,811    

 

 
RALI Trust:      
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36      79,459        71,123    
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37      1,162,324        1,097,140    

 

 
Structured Agency Credit Risk Debt Nts., Series 2016-HQA1, Cl. M1, 2.987% [US0001M+175], 9/25/282      1,099,957        1,103,671    

 

 
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 3.015%, 10/25/338      574,007        589,768    
     

 

 

 
        9,856,194    
     

 

 

 
Total Mortgage-Backed Obligations (Cost $729,474,122)        

 

733,853,640  

 

 

 

 

 
U.S. Government Obligations—41.4%      

 

 
Federal Home Loan Mortgage Corp. Nts., 1.625%, 9/29/20               123,575,000        123,360,103    

 

 
Federal National Mortgage Assn. Nts.:      
1.50%, 7/30/20      151,445,000        150,691,107    
1.875%, 4/5/22      80,000,000        79,850,640    
1.875%, 9/24/26      4,158,000        3,950,395    
2.00%, 1/5/22      20,000,000        20,056,320    

 

 
United States Treasury Nts.:      
1.50%, 7/15/20      10,650,000        10,619,839    
1.75%, 10/31/209,10      39,215,000        39,333,717    
2.25%, 11/30/17      6,000,000        6,011,120    
     

 

 

 
Total U.S. Government Obligations (Cost $434,217,940)                 433,873,241    

 

19        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF INVESTMENTS Continued

 

     Shares      Value    

 

 
Investment Company—0.1%      

 

 
Oppenheimer Institutional Government Money Market Fund, Cl. E, 0.98%11,12 (Cost $1,000,000)                  1,000,000      $ 1,000,000    

 

 
Total Investments, at Value (Cost $1,225,654,628)                  117.2%        1,229,935,206    

 

 
Net Other Assets (Liabilities)                   (17.2)        (180,538,268)   
  

 

 

 
Net Assets                  100.0%      $    1,049,396,938    
  

 

 

 

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 $63,248,482 or 6.03% of the Fund’s net assets at period end.

2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].

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

These securities amount to $7,821,858 or 0.75% of the Fund’s net assets at period end.

4. Interest rate is less than 0.0005%.

5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows.

These securities amount to $655,877 or 0.06% of the Fund’s net assets at period end.

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

7. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.

8. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.

9. 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 $3,011,088. See Note 6 of the accompanying Notes.

10. 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.

11. Rate shown is the 7-day yield at period end.

12. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:

 

     Shares
September 30,
2016
     Gross
Additions
     Gross
Reductions
     Shares
September 30,
2017
 

 

 
Oppenheimer Institutional            
Government Money Market Fund, Cl. E      —          1,000,000          —          1,000,000    

 

20        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Footnotes to Statement of Investments (Continued)

 

      Value      Income      Realized
Gain (Loss)
     Change in
Unrealized
Gain (Loss)
 
Oppenheimer Institutional Government Money Market Fund, Cl. E    $             1,000,000       $                 5,607       $                 —        $                 —    

 

 

 
Futures Contracts as of September 30, 2017  
                                       

Unrealized

Appreciation

(Depreciation)

 
           

Expiration

     Number   Notional Amount            
Description    Buy/Sell      Date      of Contracts      (000’s)      Value     
United States Treasury Long Bonds      Buy        12/19/17        22        USD 3,382      $ 3,361,875      $ (20,106)  
United States Treasury Nts., 10 yr.      Sell        12/19/17        1,299        USD 164,862        162,780,938        2,080,711    
United States Treasury Nts., 2 yr.      Sell        12/29/17        650        USD 140,553        140,207,032        345,814    
United States Ultra Bonds      Buy        12/19/17        4        USD 673        660,500        (12,550)  
                 

 

 

 
                  $             2,393,869    
                 

 

 

 

Glossary:

Definitions

D11COF      Cost of Funds for the 11th District of San Francisco
H15T1Y      US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
ICE LIBOR      Intercontinental Exchange London Interbank Offered Rate
LIBOR01M      ICE LIBOR USD 1 Month
US0001M      ICE LIBOR USD 1 Month

See accompanying Notes to Financial Statements.

 

21        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT OF ASSETS AND LIABILITIES September 30, 2017

 

 

 

 
Assets   
Investments, at value—see accompanying statement of investments:   
Unaffiliated companies (cost $1,224,654,628)     $    1,228,935,206     
Affiliated companies (cost $1,000,000)      1,000,000     
  

 

 

 
     1,229,935,206     

 

 
Cash      26,466,287     

 

 
Receivables and other assets:   
Investments sold (including $126,916,785 sold on a when-issued or delayed delivery basis)      127,400,128     
Interest, dividends and principal paydowns      3,203,161     
Shares of beneficial interest sold      2,125,946     
Variation margin receivable      390,628     
Expense waivers/reimbursements due from manager      221     
Other      193,218     
  

 

 

 
Total assets     

 

1,389,714,795   

 

 

 

 

 
Liabilities   
Payables and other liabilities:   
Investments purchased (including $339,359,530 purchased on a when-issued or delayed delivery basis)      339,359,782     
Shares of beneficial interest redeemed      562,640     
Trustees’ compensation      132,765     
Distribution and service plan fees      128,864     
Dividends      50,880     
Shareholder communications      10,802     
Other      72,124     
  

 

 

 
Total liabilities     

 

340,317,857   

 

 

 

 

 
Net Assets     $ 1,049,396,938     
  

 

 

 
  

 

 
Composition of Net Assets   

 

Par value of shares of beneficial interest

  

 

 $

 

237,697   

 

 

 

 
Additional paid-in capital      1,152,673,729     

 

 
Accumulated net investment income      8,132,555     

 

 
Accumulated net realized loss on investments      (118,321,490)    

 

 
Net unrealized appreciation on investments      6,674,447     
  

 

 

 
Net Assets     $ 1,049,396,938     
  

 

 

 

 

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 $465,902,643 and 105,493,873 shares of beneficial interest outstanding)    $ 4.42  

Maximum offering price per share (net asset value plus sales charge of 2.25% of offering price)

   $ 4.52  

 

 

Class B Shares:

  
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,773,746 and 401,645 shares of beneficial interest outstanding)    $ 4.42  

 

 

Class C Shares:

  
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $128,747,923 and 29,211,661 shares of beneficial interest outstanding)    $ 4.41  

 

 

Class I Shares:

  
Net asset value, redemption price and offering price per share (based on net assets of $361,508,070 and 81,897,492 shares of beneficial interest outstanding)    $ 4.41  

 

 

Class R Shares:

  
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $25,258,531 and 5,724,226 shares of beneficial interest outstanding)    $ 4.41  

 

 

Class Y Shares:

  
Net asset value, redemption price and offering price per share (based on net assets of $66,206,025 and 14,968,276 shares of beneficial interest outstanding)    $ 4.42  

See accompanying Notes to Financial Statements.

 

23        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENT

OF OPERATIONS For the Year Ended September 30, 2017

 

 

 
Investment Income   
Interest      $         20,748,686       

 

 
Fee income on when-issued securities      3,609,830       

 

 
Dividends — affiliated companies      5,607       
  

 

 

 
Total investment income      24,364,123       
  

 

 
Expenses   
Management fees      4,632,308       

 

 
Distribution and service plan fees:   
Class A      1,193,815       
Class B      32,560       
Class C      1,470,393       
Class R      134,724       

 

 
Transfer and shareholder servicing agent fees:   
Class A      1,095,850       
Class B      7,180       
Class C      324,640       
Class I      109,020       
Class R      60,890       
Class Y      129,104       

 

 
Shareholder communications:   
Class A      29,127       
Class B      659       
Class C      7,671       
Class I      18       
Class R      1,400       
Class Y      2,157       

 

 
Trustees’ compensation      61,660       

 

 
Borrowing fees      24,658       

 

 
Custodian fees and expenses      10,399       

 

 
Other      267,868       
  

 

 

 
Total expenses      9,596,101       
Less waivers and reimbursements of expenses      (821,708)      
  

 

 

 
Net expenses     

 

8,774,393     

 

 

 

 

 
Net Investment Income      15,589,730       

 

24        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

 

 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment transactions in unaffiliated companies     $ (8,371,877)     
Option contracts written      (144,924)     
Futures contracts      3,378,792      
  

 

 

 
Net realized loss      (5,138,009)     

 

 
Net change in unrealized appreciation/depreciation on:   
Investment transactions in unaffiliated companies      (11,344,748)     
Futures contracts      2,451,799      
Option contracts written      (40,619)     
  

 

 

 
Net change in unrealized appreciation/depreciation     

 

(8,933,568)   

 

 

 

 

 
Net Increase in Net Assets Resulting from Operations     $         1,518,153      
  

 

 

 

See accompanying Notes to Financial Statements.

 

25        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


STATEMENTS OF CHANGES IN NET ASSETS

 

   

Year Ended
September 30, 2017

    Year Ended
September 30, 2016
 

 

 
Operations    
Net investment income   $ 15,589,730      $ 14,956,708   

 

 
Net realized loss     (5,138,009)       (366,535)  

 

 
Net change in unrealized appreciation/depreciation     (8,933,568)       (3,519,293)  
 

 

 

 
Net increase in net assets resulting from operations    

 

1,518,153 

 

 

 

   

 

11,070,880 

 

 

 

 

 
Dividends and/or Distributions to Shareholders    
Dividends from net investment income:    
Class A     (8,891,411)       (8,971,873)  
Class B     (34,266)       (67,887)  
Class C     (1,468,012)       (1,447,860)  
Class I     (7,614,411)       (6,964,221)  
Class R     (409,449)       (401,817)  
Class Y     (1,201,282)       (1,096,858)  
 

 

 

 
   

 

(19,618,831)

 

 

 

   

 

(18,950,516)

 

 

 

 

 
Beneficial Interest Transactions    
Net increase (decrease) in net assets resulting from beneficial interest transactions:    
Class A     (71,513,993)       (14,299,790)  
Class B     (3,576,089)       (5,230,551)  
Class C     (39,546,711)       (5,145,435)  
Class I     3,335,173        7,367,661   
Class R     (5,806,475)       1,505,354   
Class Y     15,093,326        4,193,888   
 

 

 

 
   

 

(102,014,769)

 

 

 

   

 

(11,608,873)

 

 

 

 

 
Net Assets    
Total decrease     (120,115,447)       (19,488,509)  

 

 
Beginning of period     1,169,512,385        1,189,000,894   
 

 

 

 
End of period (including accumulated net investment income of $8,132,555 and $7,877,194, respectively)   $ 1,049,396,938      $ 1,169,512,385   
 

 

 

 

See accompanying Notes to Financial Statements.    

 

26        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS

 

Class A    Year Ended
September
30, 2017
    Year Ended
September
30, 2016
    Year Ended
September
30, 20151
    Year Ended
September
30, 20141
     Year Ended
September
30, 20131
 

 

 
Per Share Operating Data            
Net asset value, beginning of period      $4.49        $4.52        $4.55        $4.59         $4.71   

 

 
Income (loss) from investment operations:            
Net investment income2      0.06        0.06        0.06        0.07         0.07   
Net realized and unrealized loss      (0.05)       (0.02)       (0.00) 3       (0.02)        (0.10)  
Total from investment operations      0.01        0.04        0.06        0.05         (0.03)  

 

 
Dividends and/or distributions to shareholders:            
Dividends from net investment income      (0.08)       (0.07)       (0.09)       (0.09)        (0.09)  

 

 
Net asset value, end of period      $4.42        $4.49        $4.52        $4.55         $4.59   
  

 

 

 
           

 

 
Total Return, at Net Asset Value4      0.21%       0.96%       1.26%       1.04%        (0.63)%  
           

 

 
Ratios/Supplemental Data            
Net assets, end of period (in thousands)      $465,903        $545,793        $563,832        $596,274         $703,706   

 

 
Average net assets (in thousands)      $497,770        $556,423        $576,463        $646,216         $771,385   

 

 
Ratios to average net assets:5            
Net investment income      1.41%       1.28%       1.42%       1.41%        1.43%  
Expenses excluding specific expenses listed below      0.92%       0.92%       0.91%       0.91%        0.87%  
Interest and fees from borrowings      0.00% 6       0.00% 6       0.00% 6       0.00%        0.00%  
  

 

 

 
Total expenses      0.92% 7       0.92%       0.91%       0.91%        0.87%  
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      150%       211%       155%       229%        154%  

 

27        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.

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

3. Less than $0.005 per share.

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

 

Year Ended September 30, 2017

     0.92%                          

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, 2017

     $3,808,381,196       $3,786,725,701  

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.

    

 

28        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Class B

  Year Ended     Year Ended     Year Ended     Year Ended     Year Ended  
 

September 30,

2017

   

    September 30,

2016

   

    September 30,

20151

   

    September 30,

20141

   

    September 30,

20131

 

 

 
Per Share Operating Data          
Net asset value, beginning of period     $4.49        $4.52       $4.55        $4.59       $4.71  

 

 
Income (loss) from investment operations:          
Net investment income2     0.03        0.02        0.03        0.03        0.03   
Net realized and unrealized loss     (0.06)       (0.01)       (0.01)       (0.02)       (0.09)  
 

 

 

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

 

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

 

 
Net asset value, end of period     $4.42        $4.49        $4.52        $4.55        $4.59   
 

 

 

 

 

 

 

 
Total Return, at Net Asset Value3     (0.60)%       0.15%       0.57%       0.24%       (1.41)%  

 

 

 

 
Ratios/Supplemental Data          
Net assets, end of period (in thousands)     $1,774        $5,420        $10,722        $16,385        $27,893   

 

 
Average net assets (in thousands)     $3,250        $7,558        $12,904        $21,830        $35,494   

 

 
Ratios to average net assets:4          
Net investment income     0.58%       0.49%       0.61%       0.62%       0.65%  
Expenses excluding specific expenses listed below     1.70%       1.69%       1.68%       1.67%       1.81%  
Interest and fees from borrowings     0.00%5       0.00%5       0.00%5       0.00%       0.00%  
 

 

 

 
Total expenses     1.70%6       1.69%       1.68%       1.67%       1.81%  
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses     1.60%       1.61%       1.60%       1.60%       1.60%  

 

 
Portfolio turnover rate7     150%       211%       155%       229%       154%  

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.

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

3. 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.

4. Annualized for periods less than one full year.

5. Less than 0.005%.

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

 

Year Ended September 30, 2017

     1.70%                          

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, 2017

     $3,808,381,196        $3,786,725,701  

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.

 

29        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued    

 

 

Class C    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
20151
    Year Ended
September 30,
20141
     Year Ended
September 30,
20131
 

 

 
Per Share Operating Data            
Net asset value, beginning of period      $4.48        $4.51        $4.54        $4.58         $4.70   

 

 
Income (loss) from investment operations:            
Net investment income2      0.03        0.02        0.03        0.03         0.03   
Net realized and unrealized loss      (0.06)       (0.01)       (0.01)       (0.02)        (0.10)  
  

 

 

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

 

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

 

 
Net asset value, end of period      $4.41        $4.48        $4.51        $4.54         $4.58   
  

 

 

 

 

 
Total Return, at Net Asset Value3      (0.60)%       0.15%       0.46%       0.24%        (1.42)%  

 

 
Ratios/Supplemental Data            
Net assets, end of period (in thousands)      $128,748        $170,883        $177,216       $190,398         $233,776   

 

 
Average net assets (in thousands)      $147,398        $177,471        $181,572       $208,333         $265,441   

 

 
Ratios to average net assets:4            
Net investment income      0.61%       0.48%       0.62%       0.61%        0.64%  
Expenses excluding specific expenses listed below      1.68%       1.67%       1.66%       1.66%        1.61%  
Interest and fees from borrowings      0.00% 5       0.00% 5       0.00% 5       0.00%        0.00%  
  

 

 

 
Total expenses      1.68% 6       1.67%       1.66%       1.66%        1.61%  
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses      1.60%       1.60%       1.60%       1.60%        1.60%  

 

 
Portfolio turnover rate7      150%       211%       155%       229%        154%  

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.

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

3. 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.

4. Annualized for periods less than one full year.

5. Less than 0.005%.

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

 

Year Ended September 30, 2017

     1.68%                          

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, 2017

     $3,808,381,196        $3,786,725,701  

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 I   

Year Ended

September 30,
2017

   

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          $4.49            $4.52            $4.55            $4.59            $4.66   

 

 
Income (loss) from investment operations:           
Net investment income3          0.08            0.07            0.08            0.08            0.05   
Net realized and unrealized loss          (0.07)            (0.01)            (0.01)            (0.02)            (0.06)   
  

 

 

 
Total from investment operations          0.01            0.06            0.07            0.06            (0.01)   

 

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

 

 
Net asset value, end of period          $4.41            $4.49            $4.52            $4.55            $4.59   
  

 

 

 

 

 
Total Return, at Net Asset Value4          0.30%           1.28%           1.71%           1.38%           (0.28)%  

 

 
Ratios/Supplemental Data           
Net assets, end of period (in thousands)      $361,508        $363,973        $358,985        $445,363        $229,314   

 

 
Average net assets (in thousands)      $363,396        $360,944        $447,250        $391,818        $78,761   

 

 
Ratios to average net assets:5           
Net investment income          1.74%            1.59%            1.75%            1.73%            1.48%   
Expenses excluding specific expenses listed below          0.48%            0.48%            0.47%            0.47%            0.46%   
Interest and fees from borrowings     
    0.00%6
 
 
 
   
    0.00%6
 
 
 
   
    0.00%6
 
 
 
        0.00%            0.00%   
  

 

 

 
Total expenses     
    0.48%7
 
 
 
        0.48%            0.47%            0.47%            0.46%   
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses     
    0.48%8
 
 
 
        0.48%            0.47%            0.47%            0.46%   

 

 
Portfolio turnover rate9          150%            211%            155%            229%            154%   

 

31        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. 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. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

 

Year Ended September 30, 2017

     0.48%                          

8. Waiver was less than 0.005%.

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

 

     Purchase Transactions      Sale Transactions  

 

 

Year Ended September 30, 2017

     $3,808,381,196        $3,786,725,701  

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  

Period Ended September 30, 2013

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

See accompanying Notes to Financial Statements.    

 

32        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Class R   

Year Ended

September 30,
2017

   

Year Ended

September 30,
2016

   

Year Ended

September 30,
20151

   

Year Ended

September 30,
20141

    

Year Ended

September 30,
20131

 

 

 
Per Share Operating Data            
Net asset value, beginning of period      $4.48        $4.51        $4.55        $4.59         $4.71   

 

 
Income (loss) from investment operations:            
Net investment income2      0.05        0.04        0.05        0.05         0.05   
Net realized and unrealized loss      (0.05)       (0.01)       (0.01)       (0.01)        (0.09)  
  

 

 

 
Total from investment operations      0.00        0.03       0.04        0.04         (0.04)  

 

 
Dividends and/or distributions to shareholders:            
Dividends from net investment income      (0.07)       (0.06)       (0.08)       (0.08)        (0.08)  

 

 
Net asset value, end of period      $4.41        $4.48        $4.51        $4.55         $4.59   
  

 

 

 

 

 
Total Return, at Net Asset Value3      (0.10)%       0.65%       0.85%       0.74%        (0.92)%  

 

 
Ratios/Supplemental Data            
Net assets, end of period (in thousands)      $25,258        $31,529        $30,218        $33,413         $39,598   

 

 
Average net assets (in thousands)      $27,649        $30,885        $31,657        $36,387         $42,032   

 

 
Ratios to average net assets:4            
Net investment income      1.11%       0.97%       1.12%       1.11%        1.13%  
Expenses excluding specific expenses listed below      1.17%       1.17%       1.16%       1.15%        1.17%  
Interest and fees from borrowings      0.00% 5       0.00% 5       0.00% 5       0.00%        0.00%  
  

 

 

 
Total expenses      1.17% 6       1.17%       1.16%       1.15%        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      150%       211%       155%       229%        154%  

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.

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

3. 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.

4. Annualized for periods less than one full year.

5. Less than 0.005%.

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

 

Year Ended September 30, 2017

     1.17%                          

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, 2017

     $3,808,381,196        $3,786,725,701  

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.    

 

33        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FINANCIAL HIGHLIGHTS Continued

 

 

Class Y    Year Ended
September 30,
2017
    Year Ended
September 30,
2016
    Year Ended
September 30,
20151
    Year Ended
September 30,
20141
    Year Ended
September 30,
20131
 
Per Share Operating Data           
Net asset value, beginning of period      $4.50       $4.53       $4.56       $4.58       $4.71  

 

 
Income (loss) from investment operations:           
Net investment income2      0.08       0.07       0.08       0.08       0.08  
Net realized and unrealized loss      (0.07)       (0.01)       (0.01)       0.003       (0.10)  
  

 

 

 
Total from investment operations      0.01       0.06       0.07       0.08       (0.02)  

 

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

 

 
Net asset value, end of period      $4.42       $4.50       $4.53       $4.56       $4.58  
  

 

 

 
Total Return, at Net Asset Value4      0.29%       1.26%       1.57%       1.78%       (0.44)%  

 

   
Ratios/Supplemental Data                                         
Net assets, end of period (in thousands)      $66,206       $51,914       $48,028       $35,442       $192,989  

 

 
Average net assets (in thousands)      $58,767       $57,294       $40,668       $60,953       $393,408  

 

 
Ratios to average net assets:5           
Net investment income      1.73%       1.58%       1.72%       1.77%       1.76%  
Expenses excluding specific expenses listed below      0.68%       0.68%       0.66%       0.66%       0.54%  
Interest and fees from borrowings      0.00%6       0.00%6       0.00%6       0.00%       0.00%  
  

 

 

 
Total expenses     
0.68%7
 
    0.68%       0.66%       0.66%       0.54%  
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      150%       211%       155%       229%       154%  

 

34        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


    

 

1. On September 11, 2015, the Fund effected a 2 for 1 share split effectively increasing the number of outstanding shares for the Fund. The Fund’s holdings and total value of shareholders’ investments were unchanged. Per share data prior to this date has been restated to give effect to the share split.

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

3. Less than $0.005 per share.

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

 

Year Ended September 30, 2017

     0.68%                          

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, 2017

    $3,808,381,196       $3,786,725,701  

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.

 

35        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS September 30, 2017

 

 

1. Organization

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

The Fund offers Class A, Class C, Class I, Class R and Class Y shares, and previously offered Class B shares for new purchase through June 29, 2012. Subsequent to that date, no new purchases of Class B shares are permitted, however reinvestment of dividend and/or capital gain distributions and exchanges of Class B shares into and from other Oppenheimer funds are allowed. Class A shares are sold at their offering price, which is normally net asset value plus a front-end sales charge. Class C and Class R shares are sold, and Class B shares were sold, without a front-end sales charge but may be subject to a 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 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,

 

36        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

2. Significant Accounting Policies (Continued)

 

are declared daily and paid monthly. Capital gain distributions, if any, are declared and paid annually or at other times as deemed necessary by the Manager.

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 value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations. 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 for the fiscal year ended September 30, 2017, 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

 

37        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

2. Significant Accounting Policies (Continued)

 

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

 

 
$8,265,509      $—          $115,631,459        $3,984,235  

1. At period end, the Fund had $115,631,459 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       

 

 

2018

   $ 73,585,342  

No expiration

     42,046,117  
  

 

 

 

Total

   $                 115,631,459  
  

 

 

 

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

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

4. During the reporting period, $21,325,466 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.

 

Reduction

to Paid-in Capital

  

Increase

to Accumulated
Net Investment
Income

    

Reduction

to Accumulated Net
Realized Loss

on Investments

 

 

 

$21,324,862

     $4,284,462        $17,040,400  

The tax character of distributions paid during the reporting periods:

 

     Year Ended
September 30, 2017
     Year Ended
September 30, 2016
 

 

 

Distributions paid from:

     

Ordinary income

   $ 19,618,831       $ 18,950,516   

 

38        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

2. Significant Accounting Policies (Continued)

 

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      $ 1,225,950,973    
Federal tax cost of other investments      (298,965,597)   
  

 

 

 
Total federal tax cost      $ 926,985,376    
  

 

 

 
Gross unrealized appreciation      $ 9,494,221    
Gross unrealized depreciation      (5,509,986)   
  

 

 

 
Net unrealized appreciation      $ 3,984,235    
  

 

 

 

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 the calendar quarter in which the fair valuation was determined.

Valuation Methods and Inputs

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

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

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, short-term notes, mortgage-backed securities, collateralized mortgage obligations,

 

39        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

3. Securities Valuation (Continued)

 

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. Pricing services generally price debt securities assuming orderly transactions of an institutional “round lot” size, but some trades may occur in smaller, “odd lot” sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.

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.

Securities for which market quotations are not readily available 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. Those standardized fair valuation 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.

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 may be 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

 

40        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

3. Securities Valuation (Continued)

 

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 Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.

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   $     $ 61,208,325     $     $ 61,208,325    
Mortgage-Backed Obligations           733,853,640             733,853,640    
U.S. Government Obligations           433,873,241             433,873,241    
Investment Company     1,000,000                   1,000,000    
 

 

 

 
Total Investments, at Value     1,000,000       1,228,935,206             1,229,935,206    

Other Financial Instruments:

       
Futures contracts     2,426,525                   2,426,525    
 

 

 

 
Total Assets   $         3,426,525     $     1,228,935,206     $     $     1,232,361,731    
 

 

 

 

Liabilities Table

       

Other Financial Instruments:

       
Futures contracts   $ (32,656)     $     $     $ (32,656)   
 

 

 

 
Total Liabilities   $ (32,656)     $     $     $ (32,656)   
 

 

 

 

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

Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/ or reimburse Fund expenses in an amount equal to the indirect management fees incurred

 

41        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

4. Investments and Risks (Continued)

 

through the Fund’s investment in the Affiliated Funds.

Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (“IGMMF”), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.

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      $339,359,530  
Sold securities      126,916,785  

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been

 

42        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

4. Investments and Risks (Continued)

 

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 Fund pledged $313,948 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 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

 

43        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

5. Market Risk Factors (Continued)

 

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 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.

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

 

44        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

6. Use of Derivatives (Continued)

 

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 may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.

During the reporting period, the Fund had an ending monthly average market value of $7,659,379 and $392,026,192 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 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.

 

45        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

6. Use of Derivatives (Continued)

 

Interest Rate Options. The Fund may purchase or write call and put options on treasury and/or euro futures to increase or decrease exposure to interest rate risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. A purchased put or written call 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.

At period end, the Fund had no purchased options outstanding.

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.

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.

At period end, the Fund had no written options outstanding.

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 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.

 

46        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

6. Use of Derivatives (Continued)

 

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.

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

 

47        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

6. Use of Derivatives (Continued)

 

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

 

              Asset Derivatives  

Derivatives Not

Accounted for as

Hedging Instruments

  Statement of Assets
and Liabilities Location
  Value  

 

 
Interest rate contracts   Variation margin receivable    $         390,628 * 

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

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

 

Amount of Realized Gain or (Loss) Recognized on Derivatives  

 

 

Derivatives

Not Accounted

for as Hedging

Instruments

   Investment
transactions
in unaffiliated
companies*
    Option
contracts
written
   

Futures

contracts

    Total  

 

 
Interest rate contracts      $            246,278         $        (144,924)         $        3,378,792       $         3,480,146   

 

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

 

   

 

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

 

 

 

Derivatives

Not Accounted

for as Hedging

Instruments

  

Investment
transactions

in unaffiliated
companies*

    Option
contracts
written
    Futures
contracts
    Total  

 

 
Interest rate contracts      $            112,637        $        (40,619)        $        2,451,799      $         2,523,817   

 

*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

 

48        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

7. Shares of Beneficial Interest (Continued)

 

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

 

     Year Ended September 30, 2017      Year Ended September 30, 2016     
     Shares        Amount      Shares     Amount     

 

 
Class A             
Sold                  14,294,978        $ 63,384,713        24,235,662     $ 108,709,662     
Dividends and/or distributions reinvested      1,878,641          8,317,536        1,875,728       8,400,360     
Redeemed      (32,308,860        (143,216,242      (29,287,917)       (131,409,812)    
  

 

 

 
Net decrease      (16,135,241      $     (71,513,993)        (3,176,527   $     (14,299,790)    
  

 

 

 

 

 
Class B             
Sold      50,631        $ 224,316        233,969     $ 1,049,951     
Dividends and/or distributions reinvested      7,542          33,369        14,767       66,045     
Redeemed      (864,558        (3,833,774      (1,414,933)       (6,346,547)    
  

 

 

 
Net decrease      (806,385      $ (3,576,089      (1,166,197   $ (5,230,551)    
  

 

 

 

 

 
Class C             
Sold      3,009,333        $ 13,331,805        8,168,453     $ 36,556,950     
Dividends and/or distributions reinvested      311,224          1,374,040        302,202       1,349,364     
Redeemed      (12,267,587        (54,252,556      (9,619,209)       (43,051,749)    
  

 

 

 
Net decrease      (8,947,030      $ (39,546,711      (1,148,554   $ (5,145,435)    
  

 

 

 

 

 
Class I             
Sold      10,912,134        $ 48,368,725        10,369,126     $ 46,508,181     
Dividends and/or distributions reinvested      1,720,509          7,614,122        1,554,983       6,964,031     
Redeemed      (11,887,421        (52,647,674      (10,274,266)       (46,104,551)    
  

 

 

 
Net increase      745,222        $ 3,335,173        1,649,843     $ 7,367,661     
  

 

 

 

 

 
Class R             
Sold      1,387,184        $ 6,140,771        2,220,429     $ 9,948,798     
Dividends and/or distributions reinvested      85,457          378,105        83,772       374,932     
Redeemed      (2,781,052        (12,325,351      (1,966,859)       (8,818,376)    
  

 

 

 
Net increase (decrease)      (1,308,411      $ (5,806,475      337,342     $ 1,505,354     
  

 

 

 

 

 
Class Y             
Sold      15,719,058        $ 69,694,421        12,213,341     $ 54,859,078     
Dividends and/or distributions reinvested      249,778          1,107,759        182,791       820,530     
Redeemed      (12,546,509        (55,708,854      (11,458,637)       (51,485,720)    
  

 

 

 
Net increase      3,422,327        $ 15,093,326        937,495     $ 4,193,888     
  

 

 

 

 

 

8. Purchases and Sales of Securities

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

 

     Purchases      Sales  

 

 
Investment securities      $165,909,781        $206,543,173  

 

49        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

 

8. Purchases and Sales of Securities (Continued)

 

     Purchases      Sales  

 

 

 

U.S. government and government agency obligations

     1,428,262,777        1,498,819,860  

 

To Be Announced (TBA) mortgage-related securities

     3,808,381,196        3,786,725,701  

 

 

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 annual net assets, which shall be calculated after any applicable fee waivers. 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

 

50        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

 

9. Fees and Other Transactions with Affiliates (Continued)

 

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 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.

 

51        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


NOTES TO FINANCIAL STATEMENTS Continued

 

 

 

9. Fees and Other Transactions with Affiliates (Continued)

 

            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, 2017      $43,048        $3,431        $1,111        $9,797        $—  

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 waived fees and/or reimbursed the Fund as follows:

 

 Class A    $         532,537  
 Class B      2,787  
 Class C      93,013  
 Class R      14,677  
 Class Y      97,325  

This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

Effective January 1, 2017, the Transfer Agent has voluntarily agreed to waive fees and/or reimburse Fund expenses in an amount equal to 0.015% of average annual net assets for Classes A, B, C, R and Y.

During the reporting period, the Transfer Agent waived fees and/or reimbursed the Fund for transfer agent and shareholder servicing agent fees as follows:

 

 Class A    $         54,594  
 Class B      308  
 Class C      15,844  
 Class R      3,015  
 Class Y      6,830  

This fee waiver and/or reimbursement may be terminated at any time.

The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $778 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

 

52        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

 

10. Borrowings and Other Financing

Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 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.

 

53        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 (the Fund), including the statement of investments, as of September 30, 2017, 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 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, 2017, by correspondence with the custodian, transfer agent 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, 2017, 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 in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.

 

KPMG LLP

Denver, Colorado

November 22, 2017

 

54        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


FEDERAL INCOME TAX INFORMATION

 

 

In early 2017, if applicable, shareholders of record received information regarding all dividends and distributions paid to them by the Fund during calendar year 2016.

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 2017, 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 $19,730,940 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.

 

55        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.

 

56        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

The Board also considered the quality of the services provided and the quality of the Managers’ resources that are available to the Fund. The Board took account of the fact that the Sub-Adviser has over fifty years of experience as an investment adviser and that its assets under management rank it among the top mutual fund managers in the United States. The Board evaluated the Managers’ advisory, administrative, accounting, legal, compliance and risk management services, among other services, and information the Board has received regarding the experience and professional qualifications of the Managers’ key personnel and the size and functions of their 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 review or renewal of the Fund’s service agreements or service providers. 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 underperformed its 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 in line with 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

 

57        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


BOARD APPROVAL OF THE FUND’S INVESTMENT ADVISORY

AND SUB-ADVISORY AGREEMENTS Unaudited / Continued

 

to manage the Fund, and information regarding the Managers’ profitability from their relationship with the Fund. The Board also considered that the Managers must be able to pay and retain experienced professional personnel at competitive rates to provide quality services to the Fund. The Board reviewed whether the Managers may realize economies of scale in managing and supporting the Fund. The Board noted that the Fund currently 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, 2018. 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.

 

58        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.

 

59        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-January 2016) of Jones International University (educational organization); Trustee of the Gallagher Family Foundation (non-profit organization) (2000-2016); Chairman, Chief Executive Officer and Director of Steele Street Bank Trust (commercial banking) (August 2003-January 2015); Director 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 Member (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.

Andrew J. Donohue,

Trustee (since 2017)

Year of Birth: 1950

  Of Counsel, Shearman & Sterling LLP (since September 2017); Chief of Staff of the U.S. Securities and Exchange Commission (regulator) (June 2015-February 2017); Managing Director and Investment Company General Counsel of Goldman Sachs (investment bank) (November 2012-May 2015); Partner at Morgan Lewis & Bockius, LLP (law firm) (March 2011-October 2012); Director of the Division of Investment Management of U.S. Securities and Exchange Commission (regulator) (May 2006-November 2010); Global General Counsel of Merrill Lynch Investment Managers (investment firm) (May 2003-May 2006); General Counsel (October 1991-November 2001) and Executive Vice President (January 1993-November 2001) of OppenheimerFunds, Inc. (investment firm) (June 1991-November 2001). Oversees 45 portfolios in the OppenheimerFunds complex. Mr. Donohue has served on the Boards of certain Oppenheimer funds since 2017, 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 Board’s deliberations.

 

60        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

Jon S. Fossel,

Trustee (since 1990)

Year of Birth: 1942

  Chairman of the Board of Jack Creek Preserve Foundation (non-profit organization) (2005-2015); Director of Jack Creek Preserve Foundation (non-profit organization) (since March 2005); 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.

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); Director (1991-2016), Vice Chairman of the Board (2006-2009) and Chairman of the Board (2010-2013) 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; 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.

 

61        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


TRUSTEES AND OFFICERS Unaudited / Continued

 

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.

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 Charitable 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.

 

62        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

 

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.

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 101 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

  Senior Vice President of the Sub-Adviser (since January 2016); Senior Portfolio Manager of the Sub-Adviser (since August 2007); co-Team Leader for the Sub- Adviser’s Investment Grade Fixed Income Team (since January 2014); Vice President of the Sub-Adviser (August 2007-January 2016); 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); 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); a Vice President and Fixed Income Portfolio Manager at Centura Banks (November 1998-April 2000). An officer of other portfolios in the OppenheimerFunds complex.

 

63        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


TRUSTEES AND OFFICERS Unaudited / Continued

 

Cynthia Lo Bessette,

Secretary and Chief Legal Officer (since 2016)

Year of Birth: 1969

  Executive Vice President, General Counsel and Secretary of the Manager (since February 2016); Senior Vice President and Deputy General Counsel of the Manager (March 2015-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); 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 101 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 101 portfolios in the OppenheimerFunds complex.

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 101 portfolios in the OppenheimerFunds complex.

Brian S. Petersen,

Treasurer and Principal Financial & Accounting Officer (since 2016)

Year of Birth: 1970

  Senior Vice President of the Manager (since January 2017); Vice President of the Manager (January 2013-January 2017); Vice President of the Sub-Adviser (February 2007-December 2012); Assistant Vice President of the Sub-Adviser (August 2002- 2007). An officer of 101 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).

 

64        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     Servicing Agent    OFI Global Asset Management, Inc.
Sub-Transfer Agent    Shareholder Services, Inc. DBA OppenheimerFunds Services
Independent Registered    KPMG LLP
Public Accounting Firm   
Legal Counsel    Ropes & Gray LLP

 

 

 

© 2017 OppenheimerFunds, Inc. All rights reserved.

 

65        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,SM our electronic document delivery service
  Your transactions with us, our affiliates or others
  Technologies on our website, including: “cookies” and web beacons, which are used to collect data on the pages you visit and the features you use.

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

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

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

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

Protection of Information

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

Disclosure of Information

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

Right of Refusal

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

 

66        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


Internet Security and Encryption

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

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

Other Security Measures

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

How You Can Help

You can also do your part to keep your account information private and to prevent unauthorized transactions. If you obtain a user ID and password for your account, safeguard that information. Also, take special precautions when accessing your account on a computer used by others.

Who We Are

This joint notice describes the privacy policies of the Oppenheimer funds, OppenheimerFunds, Inc., each of its investment adviser subsidiaries, OppenheimerFunds Distributor, Inc. and OFI Global Trust Co. It applies to all Oppenheimer fund accounts you presently have, or may open in the future, using your Social Security number—whether or not you remain a shareholder of our funds. This notice was last updated November 2016. In the event it is updated or changed, we will post an updated notice on our website at oppenheimerfunds.com. If you have any questions about this privacy policy, write to us at P.O. Box 5270, Denver, CO 80217-5270, email us by clicking on the Contact Us section of our website at oppenheimerfunds.com or call us at 1.800.CALL OPP (225.5677).

 

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71        OPPENHEIMER LIMITED-TERM GOVERNMENT FUND


 

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RA0855.001.0917 November 21, 2017

 


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 Karen L. Stuckey, the Chairwoman of the Board’s Audit Committee, is the audit committee financial expert and that Ms. Stuckey 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 $55,600 in fiscal 2017 and $53,900 in fiscal 2016.

 

(b) Audit-Related Fees

The principal accountant for the audit of the registrant’s annual financial statements billed $3,500 in fiscal 2017 and $7,629 in fiscal 2016.

The principal accountant for the audit of the registrant’s annual financial statements billed $386,986 in fiscal 2017 and $598,285 in fiscal 2016 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, 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 2017 and no such fees in fiscal 2016.

The principal accountant for the audit of the registrant’s annual financial statements billed $286,402 in fiscal 2017 and $45,432 in fiscal 2016 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 2017 and no such fees in fiscal 2016.

The principal accountant for the audit of the registrant’s annual financial statements billed no such fees in fiscal 2017 and no such fees in fiscal 2016 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 $676,888 in fiscal 2017 and $651,346 in fiscal 2016 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 9/30/2017, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission.

There have been no changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that


have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

(a) (1) 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:   11/14/2017

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

 

By:  

/s/ Arthur P. Steinmetz

  Arthur P. Steinmetz
  Principal Executive Officer
Date:   11/14/2017

 

By:  

/s/ Brian S. Petersen

  Brian S. Petersen
  Principal Financial Officer
Date:   11/14/2017

 

EX-99.CODE ETH 2 d483866dex99codeeth.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.

POLICY DETAILS:

A. POLICY STATEMENT

 

 

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.


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 d483866dex99cert.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:  11/14/2017

 

/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:  11/14/2017

 

/s/ Brian S. Petersen

Brian S. Petersen
Principal Financial Officer
EX-99.906CERT 4 d483866dex99906cert.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 9/30/2017 (the “Form N-CSR”) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and

 

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

 

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

/s/ Arthur P. Steinmetz

    

/s/ Brian S. Petersen

Arthur P. Steinmetz      Brian S. Petersen
Date:  11/14/2017      Date:  11/14/2017
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